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[SUNAMERICA LOGO]
SunAmerica
Style SELECT Series -Registered Trademark-
[ART GRAPHIC]
1999
Semiannual Report
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A Message from the President
- ---------------------------------------------
June 15, 1999
Dear Shareholder:
We are very pleased that your funds experienced a very good semiannual
period. We are particularly proud to highlight our Aggressive Growth Portfolio
and our Focus Portfolio, both of which ranked in the top 15% of their category
averages for their performance for the six months ending April 30, 1999,
according to Lipper Analytical Services. The Mid-Cap Growth Portfolio
outperformed its Lipper category average for the semiannual period as well. Each
of these Portfolios, along with the Small-Cap Value, Value, and Large-Cap Value
Portfolios, also outperformed their respective Morningstar benchmark indices for
their six-month performance. (Returns do not reflect the impact of sales
charges.)
As a leader in bringing multi-managed mutual funds to the marketplace, we
believe it is important to continually enhance our Style SELECT Series fund
family in response to your growing investment needs. During the semiannual
period ending April 30, 1999, we made 3 key changes that contributed to this
success.
- On April 1, 1999, we launched a portfolio featuring two managers
well-recognized for their Growth and Income management style -- Tom
Marsico of Marsico Capital Management and Francis Gannon of SunAmerica
Asset Management. This new fund replaces our Large-Cap Blend Portfolio and
will hold a maximum of 60 stocks.
- Based on much research and experience, we determined that the
International Equity Portfolio is better structured with two subadvisers,
rather than three. Thus, since March 1, 1999, management duties for this
fund have been allocated between its two best performers: Bankers Trust
and Rowe-Price Fleming.
- Among our six style-based portfolios, we made one management change to
achieve greater consistency of style and added performance potential. On
December 1, 1998, American Century joined Davis Selected Advisers and
Neuberger Berman as one of the three subadvisers equally managing the
Value Portfolio. In commenting on American Century's four-star like-fund,
Morningstar commented, "It boasts fine returns, but its resilience is
still its main selling point....The Fund has proven durable in difficult
markets, earning one of the category's best three-year risk scores."*
On the following pages, one Adviser from each of the nine Style SELECT
Series portfolios discusses the management of their portion of the Portfolio
over the semiannual period and his or her investment outlook for the remainder
of 1999. You will also find a complete financial summary and a listing of
holdings for each Portfolio.
Clearly, this has been a period of exciting initiatives and opportunities
for SunAmerica Mutual Funds. We have enhanced the Style SELECT Series to bring
you a group of style-based and stylized multi-managed investment choices
designed to provide you with the same approach used by many of today's largest
and most successful institutional investors.
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We thank you for being a part of the success of the Style SELECT Series. We
value your confidence in us and look forward to continuing to serve your
investment needs in the future.
Sincerely,
[/S/ PETER A. HARBECK]
Peter A. Harbeck
President
* Morningstar, January 21, 1999. Morningstar proprietary ratings reflect
historical risk-adjusted performance as of December 31, 1998. They are subject
to change every month and are calculated from the Fund's 3-year average annual
total return in excess of 90-day T-bill returns. Top 10% of the funds in the
investment category receive 5 stars and the next 22.5% receive a 4-star
rating. Past performance is no guarantee of future results.
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CHRISTOPHER C. DAVIS
PORTFOLIO MANAGER
[DAVIS SELECTED ADVISERS LOGO]
LARGE-CAP VALUE PORTFOLIO
Q: HOW DID YOU MANAGE YOUR PORTION OF THE PORTFOLIO OVER THE PAST SIX MONTHS?
A: Our value-oriented investment style entails top-down and bottom-up
disciplines concurrently. That is, we first attempt to identify broad
macroeconomic trends that may affect the long-term growth potential of different
sectors or industries in order to focus our research efforts. However, we
ultimately choose investments on a company-by-company basis.
Our strategy is to focus on high quality, well-managed, fundamentally sound,
large-capitalization companies with strong potential for long-term growth of
earnings. We adhere to a rigorous price discipline and pay careful attention to
the valuations and earnings multiples of every company we own or consider for
investment. Companies purchased often have strong brand names. We believe in
patient, long-term investment practices and are wary of investment fads. Rather,
we concentrate on the underlying economic and business fundamentals of each
investment, because we believe that managing risk is key to delivering superior
long-term investment results. So, before we consider how much we might earn on a
new investment, we always consider how much we might lose.
Our portion of the Large-Cap Value Portfolio outpaced the return of the
S&P/Barra Value Index over the six months ending April 30, 1999. It also
outperformed the S&P 500 Index, a benchmark largely comprised of growth stocks,
over the same period. This is particularly impressive because large-cap value
stocks in general trailed large growth stocks. Several of our top positions
posted strong performance, led by Morgan Stanley Dean Witter. This company is
often cited as a successful marriage of investment banking and brokerage
cultures. In fact, the company announced a notable 50% increase in first quarter
earnings for 1999 over the same period in 1998 due to strong performance across
its securities operation, including investment banking, corporate finance, sales
and trading, and retail brokerage.
Q: WOULD YOU GIVE US MORE SPECIFIC EXAMPLES?
A: Also in the financial services sector, Citigroup and American Express
contributed positively to Portfolio performance. Financial services continues to
be an important investment theme in the Portfolio, as we believe this industry
is benefiting from a long secular growth trend fueled by increased consumer
demand from "baby boomers" entering their peak saving and investment years.
Technology stocks were another important component of the Portfolio. The
first four months of calendar 1999 witnessed much volatility in stock prices in
general and in the technology sector in
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particular. IBM was no exception to this volatility, but it still posted a
six-month return of 41.26%. IBM announced many new agreements for its powerful
information technology service division as well as an important $16 billion
strategic technology pact with Dell Computer. We believe such activity could
have a positive impact on IBM's long-term business growth.
Q: WHAT IS YOUR INVESTMENT OUTLOOK FOR THE REMAINDER OF 1999?
A: Many skeptics nervously ponder whether the stock market can continue to post
20+% annual returns. Indeed, the outlook is mixed. On the one hand, there
continues to be many positive forces supporting stock prices. The U.S. economy
continues to exhibit strong, steady growth without overheating. Broad corporate
profit growth is still positive although slowing. On the global front, the
liquidity crisis in Brazil appears to have been contained, Asian economies seem
to be stabilizing, and the U.S. equity market appears to have erased any fears
of further currency and liquidity crises in developing nations. However,
long-term interest rates have recently retreated, and some analysts have
commented that the quality of earnings may erode as many leading large cap
companies make write-offs from recent merger activity. Unless interest rates
decline or companies show strong, high quality earnings in the next few
quarters, the equity market may remain in a trading range.
Despite this uncertainty, there continues to be high expectations among
investors for future performance. It seems that the strong upward growth of
stock prices in the 1990s has given investors a new sense of "manifest destiny."
Investment dollars have continued to chase the leading stocks of the S&P 500
Index, pushing these large cap companies to stratospheric valuations. The S&P
500 Index, which was originally designed to be a broad proxy of the U.S. stock
market, has become increasingly dominated by high-multiple, large cap growth
companies with a high concentration among its leading members. Indeed, as of the
end of April 1999, the top 40 stocks equaled 49% of the total market cap of the
Index, with the two largest members, Microsoft and General Electric, totaling 7%
alone. Some market participants have argued that the high valuations and narrow
leadership are warranted and that there needs to be a new paradigm for valuing
companies in the new Information Age. However, we at Davis Selected Advisers
caution investors against the belief that "it's different this time."
Richard T. Cunniff and William J. Ruane, the managers of the legendary
Sequoia Fund, wrote, "the market currently is awarding extremely high
price/earnings ratios to both prime and secondary growth stocks despite the
clear historical evidence that every investment fashion, when carried to excess,
has led to a painful correction." These words were written in a Letter to
Shareholders in March 1972, only months before the original "Nifty Fifty"
collapsed in price. We concur with Mr. Cunniff and Mr. Ruane. Our thirty years
of experience in the markets support the view that investors should concentrate
not only on the quality of businesses they choose for investment, but on the
price and valuations that they pay for investment as well. We intend to do so in
the Large-Cap Value Portfolio, and thus remain steadfast to our investment
philosophy, discipline and style.
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PHILLIP N. DAVIDSON AND SCOTT MOORE
PORTFOLIO MANAGERS
[AMERICAN CENTURY LOGO]
VALUE PORTFOLIO
Q: HOW DID YOU MANAGE YOUR PORTION OF THE PORTFOLIO OVER THE PAST SIX MONTHS?
A: We've been managing our portion of the Portfolio since December 1, 1998, and
so our discussion is from that point through the end of the semiannual period on
April 30, 1999. That said, American Century invests in a highly diversified
array of undervalued stocks across a number of industries using a total return
strategy, emphasizing yield. We use a disciplined, value-oriented, bottom-up
equity investment approach, looking to profit from eventual recognition of the
true value of the Portfolio's holdings. In selecting equities for purchase, we
use an extensive proprietary database to identify securities we consider to have
above-average dividend yields, dividend-paying ability, and capital appreciation
potential. We also tend to adjust the Portfolio following periods of notable
performance. If a particular stock slips more than fundamentals would warrant,
all else being equal, we generally buy more of it, while a stock or industry
that outperforms is likely to be trimmed back.
Overall, performance for the period ending April 30, 1999 was solid, with
our Portfolio benefiting more from specific stock selection than from sector
selection. As a result, we made very few tactical changes in our sector or
industry weightings. Our strong relative results are particularly notable given
that investors continued their preference for the more visible growth and
liquidity of large-cap growth stocks through most of the semiannual period.
Small- and mid-cap shares struggled, and conservatively valued stocks also had
to swim against the current. However, there were positive signs. First, as
large-cap stocks became pricier in recent years, mid-cap firms have become
increasingly attractive on a valuation basis, and as a result, we have seen
unprecedented consolidation in a number of industries. Second, towards the end
of the first calendar quarter, as oil and other commodities prices increased and
concerns rose that inflation may be reignited, growth stocks sold off to a
degree, cyclical stocks returned to favor, and the equity market in general
broadened out just a bit.
Within American Century's portion of the Value Portfolio, our stake in
machinery and equipment manufacturers decreased due to consolidation within that
industry. We increased exposure to the utilities sector, primarily gas
utilities. Recent earnings were weak due to warm weather, leading to a decrease
in demand and a less than favorable pricing environment. Weather being cyclical,
we feel this is a short-term concern for an otherwise stable industry and look
to maintain a meaningful position in gas utilities.
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The recent rebound in energy prices due to supply/demand dynamics helped our
position in that sector. Other high quality companies, such as Minnesota Mining
& Manufacturing (3M) and Nalco Chemical Company, benefited from rotation to the
cyclical area, contributing to the performance of the Portfolio. Further
consolidation in the banking industry helped our stocks in that sector.
Q: WOULD YOU GIVE US MORE SPECIFIC EXAMPLES?
A: Merger and acquisition activity within several sectors was helpful to
performance. We don't specifically look for companies that are likely
acquisition candidates, but we have been finding an abundance of such companies
available, and these companies often demonstrate the characteristics we look
for. Sbarro, a chain of family-oriented Italian restaurants, is a good example.
More than a year ago, members of the Sbarro family attempted to take the company
private by buying out the 65% of the company it did not currently own. That
offer was rejected by shareholders, and the Sbarros subsequently increased their
offer price. Although the deal has not been completed, the stock price has fared
increasingly well throughout the negotiations and contributed nicely to returns.
Another example is Browning-Ferris, the second largest waste disposal company in
the United States. This company is being acquired by Allied Waste Industries,
which, at the end of the semiannual period, was driving its stock price up.
Other stocks that performed well were Mercantile Bancorp, Unocal Corp.,
Consolidated Paper, First Virginia Bank, Baker Hughes, Inc., American Bankers,
and Belco Oil and Gas.
Food and beverage companies detracted from results. Two names that
disappointed were Interstate Bakeries and Lance Inc. Interstate is the nation's
largest wholesale baker and distributor of fresh bread and snack cakes. Pricing
pressure and increasing competition drove the company's stock down. However,
Interstate remains competitive and its balance sheet is strong, so we held the
position. Lance also makes bakery products, along with snack food items that are
sold in convenience and grocery stores and through their proprietary vending
machine operation. The snack food business is generally considered a low-growth
industry, and Lance has had trouble advancing its sales and earnings due to
competitive pressures. We were attracted to the company because it has an
extensive distribution network and more than enough cash to cover its
liabilities in a net cash position. We believe Lance's problems are temporary
and so we held that position as well. Other stocks that detracted from Portfolio
performance were National Presto, JC Penney, Tenneco, and Avista Corporation.
Q: WHAT IS YOUR INVESTMENT OUTLOOK FOR THE REMAINDER OF 1999?
A: Although market conditions in recent months have been frustrating for value
investors and managers alike, we remain disciplined in our effort to seek
mature, out-of-favor companies with good relative yields and fundamentally sound
underlying businesses. The good news is that we are seeing an abundance of
sound, high quality companies that are available at attractive prices and
extremely high relative yields. We believe these types of companies should
provide good long-term prospects for appreciation and also help protect the
Portfolio during periods of increased volatility. We believe the Portfolio is
well positioned to benefit when market conditions shift.
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ROBERT J. MANCUSO
PORTFOLIO MANAGER
[THE GLENMEDE TRUST COMPANY LOGO]
SMALL-CAP VALUE PORTFOLIO
Q: HOW DID YOU MANAGE YOUR PORTION OF THE PORTFOLIO OVER THE PAST SIX MONTHS?
A: We use a proprietary ranking process based on traditional value
characteristics, earnings catalysts, and profitability to sort the small cap
equity universe. We then screen the ranked universe using liquidity,
capitalization, and historical valuation criteria. Finally, we evaluate the
highest-ranking surviving securities in each economic sector for purchase
suitability through a combination of extensive research and judgmental
elimination.
The difficulties and significant volatility faced by small cap investors in
general and small cap value investors in particular during the last fiscal
period continued through the semiannual period ending April 30, 1999.
The end of 1998 was actually a rebound period for small cap stocks, rallying
on the Federal Reserve Board's successive and surprise interest rate cuts,
receding concerns of a global credit crunch and recession, regained investor
confidence as reported earnings for the third calendar quarter were relatively
positive, and the U.S. economy remaining relatively strong with low inflation
and healthy consumer spending. However, the growth-oriented technology sector,
led by Internet stocks, performed best. As Internet stocks were priced into
speculative territory, value investors like Glenmede were challenged to find
attractively priced technology names. The rich multiples being paid for anything
with a ".com" in its name seemed unjustified.
Speculative growth stocks, such as Internet companies, continued to be the
best performers in the first quarter of 1999, and large cap stocks continued to
outperform small cap stocks. But even the highflying Internet stocks couldn't
lift the technology sector, which ended March flat. Concerns grew that the very
positive economic environment meant that, at best, the Federal Reserve Board was
on hold, and perhaps would act to raise interest rates at the first sign of
inflation. The result was a notable, although short-lived, sell-off in the small
cap market. Energy, which was the worst performing sector in the last quarter of
1998, was the only economic sector that produced a positive return this quarter.
In April, oil prices rose back to $18/barrel, and the market began to
perceive a strengthening global economy. Interest rates also crept higher on
concerns that the improved economic outlook abroad, combined with robust growth
at home, could ignite inflation. Against this backdrop, growth stocks sold off,
and investors rotated into more economically-sensitive cyclical stocks. Small
cap stocks also made something of a resurgence.
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Even with these signs of new life in April, small cap stocks lagged larger
capitalization stocks for the semiannual period, and value lagged growth,
leading to the extreme discount between these market capitalizations and
investment styles. Due primarily to style variance, our Portfolio underperformed
the Russell 2000 Index.
Q: WOULD YOU GIVE US MORE SPECIFIC EXAMPLES?
A: Besides style variance, wherein small cap value investors faced a tough
environment during the semiannual period, underweighting the technology sector
also impacted our Portfolio. Although near-term performance was hurt,
speculative periods ultimately correct. Toward the end of the period, we
increased our technology exposure to a near market weight. At the same time, we
intend to "stick to our knitting," as we continue to look for attractively
priced names with good earnings growth in this sector.
Security selection in the consumer and healthcare sectors was effected by
unforeseeable events. For example, unseasonably warm weather caused delays in
cold weather purchases that hurt our retail and apparel holdings. Federal
investigations into Medicare fraud of selected companies unfairly tarnished the
entire healthcare industry. Valuations suffered across the board. The good news
is that none of our holdings were under investigation and when the headlines
subside, we expect these names to rebound.
Q: WHAT IS YOUR INVESTMENT OUTLOOK FOR THE REMAINDER OF 1999?
A: Since early in 1998, investor concerns about weakness in Asian economies,
slowing growth in Europe, and the risk of a recession in Latin America created a
negatively biased atmosphere toward small capitalization stocks. However, the
improved investor sentiment toward small cap stocks in April is encouraging. So,
too, is Warren Buffet's recent purchase of a significant stake in several Real
Estate Investment Trusts (REITs) and a growing belief that the worst is over in
the emerging markets, which together seem to be leading investors back to the
fundamentals and rewarding value names. Furthermore, we believe that such a
historically significant divergence in valuations between small and large cap
stocks as well as between growth versus value stocks is unsustainable over the
long term. In our opinion, markets will ultimately close these valuation
differences, which should, in turn, lead to a period of small cap value
outperformance. Though it may be too early to judge sustainability, we are
optimistic that the current rally will continue.
We believe that our Portfolio is well positioned to capture the upside in
this new market environment. It is overweight in consumer durables, financials,
and real estate. These sectors have positive earning trends with attractive
valuations. Longer term, we believe that technology will be the primary driver
of growth in the domestic economy, and as a result, we continue to look for
attractive opportunities to bring this sector from a near market weight in the
Portfolio to an overweighted position. Oil price increases should allow for an
earnings recovery in the energy sector. We will be looking to add companies that
should be able to generate sustainable growth over time. We intend to maintain
the Portfolio's underweightings in basic industries and healthcare due to
earnings pressure. We also plan to stay underweighted in the utility sector, as
increasing competition, anemic growth, and high valuations create poor prospects
for these stocks.
As value investors, we continue to seek undervalued companies with clear
earnings visibility. We believe that buying stocks with solid fundamentals at
price/earnings ratios less than the overall market avails our shareholders of
attractive returns with less than market risk over the long term.
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RONALD E. CANAKARIS
PORTFOLIO TEAM MANAGER
[MONTAG & CALDWELL INVESTMENT COMPANY LOGO]
LARGE-CAP GROWTH PORTFOLIO
Q: HOW DID YOU MANAGE YOUR PORTION OF THE PORTFOLIO OVER THE PAST SIX MONTHS?
A: We use a low-risk growth equity investment approach, focusing on companies
having above-average rates of earnings growth, but which are undervalued in the
stock market. Our style may also be termed "growth at a reasonable price."
Stock selection combines in-house research, the discipline of a proprietary
valuation model, and a bottom-up investment process. More specifically, we seek
stocks that sell at a discount to their "fair value," show accelerating
quarterly earnings per share, operate from positions of strength within their
industries, and possess superior management and financial strength. We normally
sell stocks when their price exceeds their "fair value," when the fundamentals
begin to deteriorate, or when an earnings disappointment signals more problems
ahead.
Over the six months ending April 30, 1999, large capitalization growth
stocks dominated, as investors favored the high quality and strong liquidity of
these securities.
The market had bottomed on October 8th, following the Russian economic
collapse, weakening economies in Latin America, ongoing economic woes in Asia,
and more. In an effort to buffer potential losses from global market weakness,
the Federal Reserve Board made two successive interest rate cuts of 0.25% each
on October 15th and November 17th, following the first of the series of cuts on
September 29th. Our central bank's initiation of this rescue mission
successfully calmed agitated markets and was followed by over sixty interest
rate cuts around the globe. The subsequent drop in bond yields and rise in money
supply ignited the stock market, leading to the calendar year 1998 ending with
the strongest fourth quarter returns in twenty years for most major U.S. large
cap equity indices. The S&P 500 Index posted double-digit returns for the fourth
year in a row. Declining interest rates and low inflation had a particularly
positive impact on growth stocks. Many technology-related stocks saw staggering
gains.
As 1999 began, the U.S. economic expansion -- already the longest peacetime
expansion in history -- continued into its ninth year. Growth was stronger than
expected, and consumer spending remained vibrant. Low inflation, low
unemployment, and moderating but growing corporate profits supported the Federal
Reserve Board's decision to maintain a steady interest rate policy during the
first four months of 1999.
The equity market responded to the positive economic fundamentals,
continuing to rally in early 1999. The Dow Jones Industrial Average reached a
major milestone, closing above the 10,000 mark for the first time on March 29th.
Both the NASDAQ and S&P 500 Indices also closed in record territory. Yet, the
market remained incredibly narrow. For example, only eighteen stocks accounted
for 100% of the
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S&P 500's performance in the first quarter of 1999. Concerns over both foreign
and domestic economies kept investor preference toward large capitalization
stocks.
Our positioning within the large cap growth-oriented investment style
benefited the Portfolio. During the semiannual period, we sought opportunities
to take advantage of oversold conditions in various industry sectors by
increasing certain positions and adding new names to the Portfolio. We also
trimmed some overvalued positions, as they had performed well and grown in size
within the Portfolio.
Q: WOULD YOU GIVE US MORE SPECIFIC EXAMPLES?
A: Overall, our sector weightings remained stable, with the focus on technology
and selected healthcare and consumer stocks. Strength in each of these areas
contributed to the Portfolio's outperformance. Specifically, technology stock
prices exploded during the semiannual period, exacerbated by the Internet
frenzy. Thus, such companies as Cisco Systems, Microsoft, Solectron, and Tellabs
contributed to Portfolio performance. Boston Scientific was a strong performer
for the healthcare group, and Gap, Costco, and Marriott each contributed
positively from the consumer sectors. Strength in our financial sector holdings,
such as American Express, further boosted returns. A new addition, MCI Worldcom,
in the communications services sector, also did well.
Q: WHAT IS YOUR INVESTMENT OUTLOOK FOR THE REMAINDER OF 1999?
A: Sustained growth in the U.S. economy along with low inflation and an
improving global economy provides a positive earnings outlook for high quality,
large cap growth companies. Thus, our focus continues to be on global,
industry-leading companies whose relative earnings strength should, in our
opinion, become increasingly visible during the second half of the year.
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ARDEN C. ARMSTRONG
PORTFOLIO MANAGER
[MILLER ANDERSON & SHERRERD, LLP LOGO]
MID-CAP GROWTH PORTFOLIO
Q: HOW DID YOU MANAGE YOUR PORTION OF THE PORTFOLIO OVER THE PAST SIX MONTHS?
A: We seek to capture the return potential of rapidly growing companies and to
avoid stocks likely to disappoint by focusing on growth that surpasses analysts'
estimates.
Our process begins with a structured buy discipline. A quantitative screen
is used to sort stocks within each sector into quintiles based on estimate
revision; stocks that place in the top two quintiles are eligible for
investment. MAS conducts extensive fundamental research to evaluate each
purchase candidate based on sales growth, margin trends, and return on capital
as the primary drivers of company growth. This fundamental analysis is
supplemented with valuation analysis to weed out the most overvalued securities.
We prefer companies with substantial earnings growth and solid management if
offered at a reasonable valuation.
Equally important, we address risk control. The Portfolio is broadly
diversified, but also generally maintains overweighted positions in sectors of
the market expected to provide superior secular growth potential.
This investment style served us well during the semiannual period. While
mid-cap stocks in general did not outpace large cap growth stocks, our portion
of the Portfolio exceeded the returns of the S&P 400 Midcap Index and the S&P
500 Index for the six months ending April 30, 1999. The primary reasons for our
outperformance were our stock selection, our quick response to rapidly rotating
sub-industries and sectors, and the fact that mid-cap growth stocks, i.e. those
in which we primarily invest, outperformed mid-cap value stocks.
During the fourth quarter of 1998, interest rate cuts in the U.S. and around
the world provided the liquidity that virtually ended the financial crisis.
Accordingly, we viewed these rate cuts as bullish given the attractive valuation
levels in early October and changed the Portfolio's emphasis from stable growth
stocks to more aggressive stocks after the market sell-off. We focused our
purchases in:
- long duration, high beta stocks, such as Internet stocks
- cyclical growth stocks, such as the hardware industries within the
technology sector
- companies that sold off on perceptions of a need for access to capital,
but which in fact had sufficient capital from bank debt, private equity or
free cash flow from operations
- financially leveraged companies that were mispriced by the market
sell-off.
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These aggressive actions in the fourth quarter were rewarded by the market.
As 1999 began, we reduced exposure to the aggressive areas listed above,
with the exception of long duration, high beta stocks. We continued to look for
companies with stable or improving business fundamentals and positive or
increasing returns of capital. Within mid-cap stocks, the market was highly
segmented. Some sectors, such as telecommunications services and energy, showed
strong performance. Others produced negative returns. Within technology, which
was the best performing industry sector, we avoided the enterprise software and
information technology services and reduced exposure to the personal computer
industry, which all experienced difficulties. We did hold positions in the
communication-related and Internet stocks, which soared. In healthcare, biotech
stocks were generally positive, while services and hospital stocks were weak.
In April, as oil prices increased and the market began to perceive a
strengthening global economy, growth stocks sold off. In response, we
opportunistically increased our energy weighting to a market neutral weight and
added growth cyclicals/industrials that we believe will benefit from this
environment.
Q: WOULD YOU GIVE US MORE SPECIFIC EXAMPLES?
A: In technology, we eliminated or trimmed holdings in 3Com, Apple, and Maxtor,
which provides hard disk drive storage products for personal computers, in favor
of Internet and communications-related companies driving sector performance.
Strong performers here were Excite, an Internet search engine, and At Home, a
provider of broadband Internet services over the cable television
infrastructure.
Communications companies benefited from strong wireless demand, building
global infrastructure, increased competition brought on by the 1996
Telecommunications Act, and merger and acquisition activity, especially in
wireless communications. One of our strongest holdings was Qualcomm, a maker of
chip technology used in cellular phones and a direct beneficiary of these
trends. Their technology has emerged as the industry standard, positioning them
for strong growth. In telephone services, we focused on digital cellular because
it is growing rapidly, as opposed to analog cellular, seeing a shrinking
customer base. Sprint PCS was a strong performer. We remained underweighted in
food/ tobacco, consumer durables, retail, and basic resources.
Q: WHAT IS YOUR INVESTMENT OUTLOOK FOR THE REMAINDER OF 1999?
A: As global economies begin to show signs of recovery, we intend to add to the
Portfolio's positions in growth cyclicals and stocks with international
exposure. We are on the lookout for rising interest rate pressure, which may
adversely affect our aggressive growth holdings, and we plan to continue
reducing interest rate sensitive holdings in response to the strengthening
economy. We have also been evaluating the Y2K readiness of companies, especially
within the technology sector. As a result, we intend to avoid PC-related and
enterprise software companies and focus on Internet and semiconductor-related
companies, especially the particularly attractive communications
semi-conductors.
We continue to anticipate a rapidly changing market. Thus, we intend to
maintain our overweighting in telecommunications while rotating names based on
relative valuations. Similarly, we believe we will experience relatively high
turnover in technology, as different industry groups show strength. Overall, we
continue to look for companies with stable or improving business fundamentals
and attractive returns on capital.
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SCOTT W. SCHOELZEL
PORTFOLIO MANAGER
[JANUS LOGO]
AGGRESSIVE GROWTH PORTFOLIO
Q: HOW DID YOU MANAGE YOUR PORTION OF THE PORTFOLIO OVER THE PAST SIX MONTHS?
A: Janus managers employ a bottom-up investment strategy. We focus on companies
experiencing above-average unit growth and on companies realizing positive
change as a result of a new product development, an improved regulatory
environment, or a strong management team. We believe that intensive research,
based on the fundamental factors affecting the business prospects of companies,
can uncover growth opportunities not widely recognized by the investment
community.
For most of the semiannual period, investors' focus on earnings led them to
favor companies tapping into fast-growing areas of the economy, including
technology and telecommunications. Investors also showed a preference for the
liquidity and perceived stability of large capitalization stocks. Toward the end
of April, however, interest rates began to creep higher on concerns that the
improved economic outlook abroad, combined with robust growth at home, could
ignite inflation. Against this recent backdrop, investors rotated into more
economically-sensitive, cyclical stocks, and small- and mid-cap stocks also made
a resurgence, due in part to disappointing earnings announcements by several
large-cap companies. Overall, the S&P 500 Index rose 20.84% during the period,
as compared to the Russell 2000 Index return of 12.63%.
While we monitored these developments in the macro-environment, they did not
impact our investment decisions. Regardless of how the broader economy or the
equity markets overall are behaving, we strive to identify those factors that
may make our holdings move over the long term. We sift through thousands of
investment ideas, scrutinize business models, quiz management teams, and
gradually forge strong relationships with individual companies. Only after we
believe we have found a gem that earns our highest confidence will we buy.
We are pleased to report that our investment style, i.e. our focus on the
very growth stocks that the markets rewarded, served our investors well for the
semiannual period. We continued to focus on quality individual companies,
primarily in the Internet, telecommunications, retailing, and pharmaceutical
sectors. Strong performance by stocks in the first three of these sectors
particularly contributed to the Portfolio's outperformance.
Q: WOULD YOU GIVE US MORE SPECIFIC EXAMPLES?
A: We believe the Internet arrived as a valid consumer forum in the fourth
quarter of 1998, with Internet-related commerce emerging as a real factor during
the holiday season. This worked to the advantage of a number of the Portfolio's
stocks, including America Online. We were also able to capitalize on the growth
of the Internet indirectly through the continued robust performance of Cisco
<PAGE>
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Systems, the leading provider of networking equipment, and At Home, which offers
high-speed Internet access over the existing cable infrastructure.
Among telecommunications providers, the Portfolio benefited from strong
gains in Level 3 Communications, a company building broadband fiber optic
networks. These new technology broadband networks provide the company with a
competitive edge over traditional companies hampered with higher-cost legacy
equipment.
Home improvement retailer Home Depot and discount warehouse club Costco did
particularly well among the Portfolio's retail stocks, fueled by robust consumer
spending. We also added a position in The Gap, a company that has nurtured a
prominent brand for several years and, in the process, has become virtually
synonymous with the vitality of American popular culture. We believe this status
will help the company protect their revenues if the economy should slow.
Pharmaceutical stocks in the Portfolio did not perform as well. Eli Lilly
and Pfizer, for example, were hindered by concerns that the government could
take a more active roll in regulating drug prices. While we do not expect it to
happen soon, such regulation could potentially dampen long-term earnings growth,
while reducing the incentive to invest heavily in new research and development.
Our longer-term outlook for these companies remains positive, with the
combination of product innovation, demographics, and expansion of existing drugs
into new markets continuing to drive visible earnings growth.
We kept the Portfolio underweight in the financial services and
economically-sensitive sectors. This positioning hurt performance in April, when
there was a resurgence in cyclical stocks. However, we maintain that over the
long term we will be rewarded for our emphasis on companies able to generate
strong results in a variety of economic conditions.
Q: WHAT IS YOUR INVESTMENT OUTLOOK FOR THE REMAINDER OF 1999?
A: We believe that it is becoming increasingly difficult to anticipate what lies
in store for the financial markets and the economy. For that reason, we intend
to continue to do what we do best -- focus on individual companies. We will seek
out those companies that we believe will be the dominant players within their
respective industries, doing our best to look past short-term volatility.
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THOMAS F. MARSICO
PORTFOLIO MANAGER
[MARSICO CAPITAL MANAGEMENT, LLC LOGO]
FOCUS PORTFOLIO
Q: HOW DID YOU MANAGE YOUR PORTION OF THE PORTFOLIO OVER THE PAST SIX MONTHS?
A: In the Focus Portfolio, each of the three portfolio managers emphasizes
different stock-picking styles and may select stocks of companies in different
industries with varying market capitalizations. In seeking the common objective
of long-term growth of capital through investments in both domestic and foreign
stocks, each manager generally invests in ten favorite stocks. Given that this
is a more concentrated approach to stock selection, it makes the Portfolio
special, but it also must be considered an aggressive approach to growth
investing that may be subject to greater risks.
At Marsico Capital Management, we primarily focus on large cap growth
equities of companies with high potential for strong earnings growth. To
identify such opportunities before they become commonplace, we look for a
combination of four characteristics.
- CHANGE -- We believe extraordinary growth derives from products, markets
and technologies in flux. The challenge is to look at changing industries
and find the long-term winners. Ford Motor Company is an example of a
stock in the Portfolio that benefited from changes in the structure of the
company. Over the course of the last year, Ford divested non-core
businesses like Hertz and Associates First Capital. Its management reduced
the number of platforms new cars are built on, improved the efficiency of
existing plants, and lowered the cost of production. The result has been
better than expected earnings and improved stock performance.
- FRANCHISE -- In a changing global environment, we look for strong brand
franchises. The data storage software company, EMC, typifies the kind of
franchise business in which we invest. EMC is the number one producer of
mainframe computer disk memory hardware and software. Its products allow
customers to efficiently manage information at remote locations and across
different computer systems. Over the semiannual period, EMC continued to
deliver strong earnings gains.
- GLOBAL REACH -- We constantly look for investments in companies that can
take advantage of the global market. For example in the Focus Portfolio,
Citigroup benefits from its extensive international presence. The result
of the merger of Citicorp and Travelers is a combined company now offering
banking, insurance, credit cards and investment services in almost 100
countries.
- THEMES -- We seek companies that are moving with, not against, the major
social, economic and cultural shifts taking place in the world. One such
theme we are investing in is the emergence of
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21st century communications companies that combine telecom, cable,
cellular and Internet into a single consumer product. The recent bidding
war between AT&T and Comcast over MediaOne demonstrates the powerful
wealth creation potential that can result from the confluence of these
trends. In addition to MediaOne, stocks in the Portfolio that we believe
should benefit from the communications revolution are Cisco Systems,
Lucent, Time Warner, and Qualcomm.
Once an investment idea has emerged, we subject it to a detailed,
disciplined, top-down and bottom-up process. We analyze economic, political and
social factors that may enhance a company's ability to produce consistent growth
in real terms. We also look at an individual company's fundamentals to determine
its present and future value as an investment.
We believe this combination of macroeconomic analysis and fundamental stock
research served the Portfolio well during the six months ending April 30, 1999.
Q: WOULD YOU GIVE US MORE SPECIFIC EXAMPLES?
A: The semiannual period began with continued concerns about a domino effect
from the emerging markets' financial crises, especially in the aftermath of
Russia's economic collapse. While we shared many of these concerns, we focused
on compelling opportunities -- like Freddie Mac. Freddie Mac was selling as if
there would never be another home mortgage issued, a patently ridiculous idea,
of course. Once the Federal Reserve Board cut interest rates, triggering a wave
of interest rate easings around the world, emerging market concerns abated, and
the markets focused once again on the strong economic fundamentals in the U.S.
High productivity, low inflation, and low interest rates coupled with a steady
earnings outlook propelled the Dow Jones Industrial Average through the 10,000
mark at the end of March.
This strong economic activity was reflected in April when cyclical stocks
began to flex their muscles. Stocks like Alcoa, Caterpillar, and International
Paper each saw dramatic moves. However, our view is that this industrial
cyclicals rally was more a broadening of the market than a major shift toward
this sector. Independent analysts' reports regarding this sector's earnings
outlook and historical rally duration support our belief that there is
considerably more risk than reward in these stocks, with boxes around their
earnings expectations.
Thus we continue to focus on large cap growth companies where we believe the
earnings outlook is more open-ended. For instance, we anticipate continued
strong earnings growth from such diverse companies in the Portfolio as EMC and
Citigroup.
Q: WHAT IS YOUR INVESTMENT OUTLOOK FOR THE REMAINDER OF 1999?
A: Mark Twain once observed that you have to take the "long view to see the true
shape of the river." Here at Marsico Capital, we take the long view of the
financial markets. We foresee a healthy economy in which inflation continues to
be restrained. U.S. companies have demonstrated a consistent ability to improve
quality through productivity gains while keeping costs low. Additionally, a
strong U.S. dollar reduces the ability for U.S. producers to raise prices. As a
result, we believe it unlikely that interest rates will increase much from
current levels. In short, we continue to find the investment environment
attractive with a favorable economic backdrop for a strong stock market.
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FRANCIS GANNON
PORTFOLIO MANAGER
[SUNAMERICA ASSET MANAGEMENT LOGO]
FOCUSED GROWTH & INCOME PORTFOLIO
Q: HOW DID YOU MANAGE YOUR PORTION OF THE PORTFOLIO OVER THE PAST SIX MONTHS?
A: The Focused Growth & Income Portfolio's inception date was April 1, 1999.
Therefore, our review is only from that date through the end of the semiannual
period on April 30, 1999. In that time, we have been able to position the
Portfolio in some interesting stocks, and it is well worth reviewing this mutual
fund's stylized structure and our investment management strategies.
The Focused Growth & Income Portfolio is a large cap-blend fund with sector
diversification, expected to maintain a lower risk profile than either a pure
growth or value fund. A blended position among growth companies, value
companies, and companies we believe to have elements of both is theoretically
better able to withstand market volatility. This stylized structure also offers
the two portfolio managers -- i.e. Marsico Capital Management and SunAmerica
Asset Management -- flexibility in our respective stock selection processes,
allowing us to remain agile and respond to market movements. We each invest in
30 or fewer stocks believed to offer the best growth opportunities.
At SunAmerica Asset Management, we largely contemplate companies based on
both financial analysis and common sense. What we like to call our real-world
approach seeks to unearth what we believe are the best companies in the best
industries. Many of these companies are believed to be redefining the direction
of global business.
To take full advantage of the benefits of diversification, our portion of
the Portfolio was invested in the maximum number of 30 stocks by the end of
April. Our emphasis was on the financial services, healthcare, technology and
energy sectors.
Q: WOULD YOU GIVE US MORE SPECIFIC EXAMPLES?
A: Holdings in the Portfolio included Microsoft, EMC Corp., Pfizer, General
Electric, and Chase Manhattan Bank. Our investments in the energy sector,
primarily through Halliburton and Schlumberger, reflect our play on the recovery
in energy prices as well as in the global economy as a whole. We also focused on
holdings in the media and cable industry, which based on the convergence theme
among media, telecommunications and leisure were bought relatively early on the
growth curve. These companies include CBS, Liberty Media Group, and MediaOne.
We kept a somewhat higher than average percentage holding in cash, not as a
defensive move, but as "opportunity cash," which has allowed us to take
advantage of some of the recent pullback in certain sectors of the market.
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Q: WHAT IS YOUR INVESTMENT OUTLOOK FOR THE REMAINDER OF 1999?
A: Looking ahead, we believe that the favorable economic conditions of the
semiannual period are likely to continue. We anticipate moderate U.S. GDP growth
in the range of 3% to 3.5%, low inflation of less than 2%, and a Federal Reserve
Board on hold, as international pressures remain. This excellent backdrop should
propel the equity markets forward. As we see more evidence of a global market
recovery, the market may also broaden from the narrowness we saw, for example,
during the first three months of 1999 when only eighteen stocks accounted for
100% of the S&P 500's performance.
What is almost certain is that volatility will continue. Thus, seeking
long-term growth of capital and current income, i.e. total return potential, we
believe the Portfolio is well positioned to help investors meet both their
growth and income investment needs over varied market cycles.
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MARTIN G. WADE
PORTFOLIO TEAM MANAGER
[ROWE-PRICE FLEMING INTERNATIONAL, INC. LOGO]
INTERNATIONAL EQUITY PORTFOLIO
Q: HOW DID YOU MANAGE YOUR PORTION OF THE PORTFOLIO OVER THE PAST SIX MONTHS?
A: The Rowe Price-Fleming investment approach links a broad macroeconomic
framework with an awareness of attractive individual stock opportunities within
each market. We seek to identify and exploit the often long-term pricing
inefficiencies that result from segmented world stock markets and from valuation
disparities between and within individual developed and emerging markets. Our
stock selection decisions emphasize growth at a reasonable price. During the
semiannual period, the Portfolio underperformed its benchmark.
Overweighting Europe while underweighting Germany added value to the
Portfolio as did our positions in Mexico and Argentina. The new euro currency
launched successfully at the beginning of the year but declined against the
dollar due in large part to unexpectedly strong U.S. growth. In March, the
European Central Bank's interest rate cut, together with prospects for greater
export demand, improved Europe's economic outlook. Germany suffered from a
weaker economy and tension between Finance Minister Oskar Lafontaine and
business interests. Lafontaine's resignation and his more moderate successor
reassured markets. Boosting Mexico's market were strong export demand from the
U.S., higher oil prices, stable inflation, a firm currency, and declining
interest rates. Argentina's increase was largely due to greater market interest
prompted by Spanish oil company Repsol's bid for Argentina's largest energy
company, YPF.
These positives, however, balanced negatives from our underweightings in
Japan and Pacific ex-Japan markets, which rebounded after the declines seen
previously. Signs of the Japanese economy bottoming brought buyers from abroad
to the Nikkei Index and the start of corporate restructuring, financial system
reform, and improved prospects for exports drove the ascent of several other
Asian equity markets. The Portfolio did not fully participate in the region's
rally.
Our stock selection in the United Kingdom and Italy added value to the
Portfolio. For example, U.K. general retailer Kingfisher announced a merger with
food retailer Asda and both of these stocks we own outperformed. Oil company
Shell benefited from its progress in reducing capital expenditure and from the
nearly 40% rise in oil prices over the semiannual period. National Westminster
Bank rose, as the economy began to strengthen and interest rates were reduced.
In Italy, Olivetti's hostile bid for our holding Telecom Italia drove its price
up. Stock selection in Germany, and to a lesser extent in the Netherlands and
France, was weak, primarily due to a confluence of stock specific factors.
Another important element of the six-month period was shifting sector
performance as perceptions of global growth changed. For example, early in the
period, when international financial crisis
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concerns were still high, growth sectors ascended, with telecommunications and
pharmaceuticals particularly strong. As 1999 began, however, signs of improving
global growth and the strong rise in commodity prices shifted focus to cyclical
or value sectors. Rowe Price-Fleming is a growth manager, and thus we do not
generally hold the most cyclical sectors, such as chemicals and paper, as we
believe them to be inherently more volatile. The Portfolio does include energy
and banking holdings, generally classified as cyclicals, but we are attracted to
these sectors by the prospects for earnings growth that may be realized as these
companies consolidate and restructure. It must be noted that while investor
interest in value sectors increased in early 1999, it did so only so far as to
adjust the balance of sentiment that had previously been heavily weighted in
favor of growth.
Our management team has proven itself in both up and down markets. Thus we
intend to stay true to our discipline, using both macroeconomic analysis and
company specific fundamental research to seek long-term growth of capital.
Q: WOULD YOU GIVE US MORE SPECIFIC EXAMPLES?
A: Other portfolio activity included the selective reduction of holdings that
had performed strongly but which we believed to be vulnerable to weaker demand
and growth, e.g. French retailer Pinault Printemps and Japanese retailer Ito
Yokado. In response to its decision to increase investment in low growth,
capital intensive utilities, we reduced our position in Vivendi, the French
utilities and telecommunications business. Following the Japanese market's rise
in March, we took advantage of high valuations to trim holdings such as
Shin-Etsu Chemical and automotive parts manufacturer Denso.
As European savings are expanding rapidly, we added to French and Italian
insurers Axa and INA. We also increased holdings in the communications sector
because of its attractive growth prospects. We bought Dutch data networking
player Equant, Hong Kong's China Telecom, and Japanese mobile telecom DoCoMo,
and we edged up our holdings in Philips Electronics, Spanish telecom Telefonica,
and DoCoMo's parent, NTT. When commodities prices turned up, we bought
Australian resources company BHP, whose growth prospects are enhanced by new
U.S. management and a pragmatic restructuring plan.
Q: WHAT IS YOUR INVESTMENT OUTLOOK FOR THE REMAINDER OF 1999?
A: Looking ahead, we believe that Europe will moderately strengthen, helped by
continuing recovery in Asia and Latin America and stabilization in Japan.
Europe's corporate sector should remain dynamic as consolidation continues,
businesses act to improve returns, and the euro-zone moves forward. In Japan,
with some positive economic data balancing the negative and a new level of
restructuring and merger and acquisition activity, we foresee gradual progress
toward recovery. Elsewhere in Asia, we also anticipate gradual economic recovery
and continuing efforts toward corporate restructuring. The region's progress
will depend on China remaining stable and Japan's ongoing improvement. It is
also essential that the region's governments and businesses implement the
fundamental changes they have announced. We may seek opportunities to add to our
positions in both Japan and the Pacific ex-Japan.
After two months of renewed international investor confidence in Latin
America, the region's equity markets could have great opportunities ahead. Given
Brazil's track record for fiscal implementation and Mexico's dependency on
external factors, however, we are cautiously optimistic and plan to maintain our
current weightings in the region.
Overall, we believe international equity markets should rise at a reasonable
rate in the coming months. We shall continue to focus on stocks with sustainable
growth characteristics that we believe can withstand the vicissitudes of
shorter-term economic cycles.
<PAGE>
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STATEMENT OF ASSETS AND LIABILITIES -- APRIL 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
LARGE-CAP MID-CAP AGGRESSIVE FOCUSED GROWTH
GROWTH GROWTH GROWTH AND INCOME
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------------------------------------------------------
<S> <C> <C> <C> <C>
ASSETS:
Investment securities, at value*................... $ 80,865,926 $ 118,003,865 $ 200,314,747 $ 32,658,583
Repurchase agreements (cost equals market)......... 3,370,000 200,000 16,791,000 5,132,000
Short-term securities*............................. 1,599,571 2,462,663 14,487,101 2,204,400
Cash............................................... 52,115 4,196 15,713 92,280
Receivable for shares of beneficial interest
sold............................................. 430,321 183,090 1,357,280 1,239,576
Receivable for investments sold.................... 286,329 1,829,819 2,862,299 1,051,173
Interest and dividends receivable.................. 28,496 19,604 43,160 16,533
Receivable from investment adviser................. 24,612 1,822 2,660 18,098
Deferred organizational expenses................... 7,537 22,888 22,888 7,537
Prepaid expenses and other assets.................. 327 911 1,443 235
------------ -------------- -------------- --------------
Total assets..................................... 86,665,234 122,728,858 235,898,291 42,420,415
------------ -------------- -------------- --------------
LIABILITIES:
Payable for investments purchased.................. 1,432,618 3,235,368 2,844,194 2,441,104
Other accrued expenses............................. 302,950 215,613 325,234 87,239
Payable for shares of beneficial interest
redeemed......................................... 79,719 320,212 3,924,436 128,346
Investment advisory and management fees payable.... 69,227 96,105 189,289 28,827
Distribution and service maintenance fees payable.. 56,170 106,545 141,201 22,888
Written call options at value (proceeds $764,478 on
Aggressive Growth Portfolio)..................... -- -- 661,863 --
------------ -------------- -------------- --------------
Total liabilities................................ 1,940,684 3,973,843 8,086,217 2,708,404
------------ -------------- -------------- --------------
Net assets..................................... $ 84,724,550 $ 118,755,015 $ 227,812,074 $ 39,712,011
------------ -------------- -------------- --------------
------------ -------------- -------------- --------------
NET ASSETS WERE COMPOSED OF:
Common Stock, $.0001 par value (1 billion shares
authorized)...................................... $ 511 $ 684 $ 950 $ 261
Paid-in capital.................................... 69,998,438 89,502,401 142,871,740 33,713,747
------------ -------------- -------------- --------------
69,998,949 89,503,085 142,872,690 33,714,008
Accumulated undistributed net investment loss...... (459,784) (962,277) (1,354,428) (32,637)
Accumulated undistributed net realized gain (loss)
on investments, foreign currency, and other
assets and liabilities........................... (2,724,107) 12,852,191 23,289,449 3,082,779
Net unrealized appreciation of investments......... 17,909,492 17,362,016 62,901,748 2,947,861
Net unrealized appreciation on written options
contracts........................................ -- -- 102,615 --
------------ -------------- -------------- --------------
Net assets..................................... $ 84,724,550 $ 118,755,015 $ 227,812,074 $ 39,712,011
------------ -------------- -------------- --------------
------------ -------------- -------------- --------------
*Identified cost
Investment securities.............................. $ 62,956,434 $ 100,641,849 $ 137,412,999 $ 29,710,722
------------ -------------- -------------- --------------
------------ -------------- -------------- --------------
Short-term securities.............................. $ 1,599,571 $ 2,462,663 $ 14,487,101 $ 2,204,400
------------ -------------- -------------- --------------
------------ -------------- -------------- --------------
</TABLE>
See Notes to Financial Statements
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STATEMENT OF ASSETS AND LIABILITIES -- APRIL 30, 1999 (UNAUDITED) -- (CONTINUED)
<TABLE>
<CAPTION>
LARGE-CAP MID-CAP AGGRESSIVE FOCUSED GROWTH
GROWTH GROWTH GROWTH AND INCOME
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
----------------------------------------------------------
<S> <C> <C> <C> <C>
CLASS A:
Net assets.......................................... $ 24,375,561 $ 37,895,788 $ 86,339,894 $ 12,849,400
Shares outstanding.................................. 1,459,779 2,160,000 3,562,944 838,828
Net asset value and redemption price per share...... $ 16.70 $ 17.54 $ 24.23 $ 15.32
Maximum sales charge (5.75% of offering price)...... 1.02 1.07 1.48 0.93
------------ ------------ -------------- --------------
Maximum offering price to public.................... $ 17.72 $ 18.61 $ 25.71 $ 16.25
------------ ------------ -------------- --------------
------------ ------------ -------------- --------------
CLASS B:
Net assets.......................................... $ 45,297,964 $ 70,127,675 $ 122,895,820 $ 21,716,023
Shares outstanding.................................. 2,741,683 4,063,722 5,157,292 1,430,879
Net asset value, offering and redemption price per
share (excluding any applicable contingent
deferred sales charge)............................ $ 16.52 $ 17.26 $ 23.83 $ 15.18
------------ ------------ -------------- --------------
------------ ------------ -------------- --------------
CLASS II:
Net assets.......................................... $ 15,051,025 $ 10,731,552 $ 18,001,051 $ 5,146,588
Shares outstanding.................................. 911,323 621,106 755,556 339,487
Net asset value and redemption price per share
(excluding any applicable contingent deferred
sales charge)..................................... $ 16.52 $ 17.28 $ 23.82 $ 15.16
Maximum sales charge (1.00% of offering price)...... 0.17 0.17 0.24 0.15
------------ ------------ -------------- --------------
Maximum offering price to public.................... $ 16.69 $ 17.45 $ 24.06 $ 15.31
------------ ------------ -------------- --------------
------------ ------------ -------------- --------------
CLASS Z:
Net assets.......................................... -- -- $ 575,309 --
Shares outstanding.................................. -- -- 23,578 --
Net asset value, offering and redemption price per
share............................................. -- -- $ 24.40 --
------------ ------------ -------------- --------------
------------ ------------ -------------- --------------
</TABLE>
See Notes to Financial Statements
<PAGE>
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STATEMENT OF ASSETS AND LIABILITIES -- APRIL 30, 1999 (UNAUDITED) -- (CONTINUED)
<TABLE>
<CAPTION>
LARGE-CAP SMALL-CAP INTERNATIONAL
VALUE VALUE VALUE EQUITY FOCUS
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
ASSETS:
Investment securities, at value*............ $ 54,806,794 $ 183,395,264 $ 43,205,227 $ 83,903,986 $ 324,830,383
Repurchase agreements (cost equals
market)................................... 615,000 698,000 989,000 585,000 16,921,000
Short-term securities*...................... 358,000 758,000 -- 1,491,000 14,296,107
Cash........................................ 6,788 -- 540,172 1,366 30,590
Foreign cash................................ -- -- -- 1,935,371 --
Receivable for investments sold............. 496,548 2,962,226 303,214 467,883 14,112,112
Receivable for shares of beneficial interest
sold...................................... 280,939 226,357 184,948 144,583 8,167,782
Interest and dividends receivable........... 87,428 284,788 52,806 348,772 139,793
Deferred organizational expenses............ 7,537 22,888 7,537 22,888 27,366
Receivable from investment adviser.......... 7,493 7,598 9,954 5,232 38,114
Prepaid expenses and other assets........... 332 1,885 360 1,724 699
Foreign currency contracts.................. -- -- -- 757,668 --
Unrealized appreciation of foreign currency
contracts................................. -- -- -- 48,941 --
------------ -------------- ------------ ------------ --------------
Total assets.............................. 56,666,859 188,357,006 45,293,218 89,714,414 378,563,946
------------ -------------- ------------ ------------ --------------
LIABILITIES:
Payable for investments purchased........... 358,473 2,677,224 443,087 2,292,866 9,532,282
Other accrued expenses...................... 136,947 335,564 170,351 339,156 126,460
Payable for shares of beneficial interest
redeemed.................................. 103,622 297,626 80,588 311,676 524,743
Investment advisory and management fees
payable................................... 43,827 149,061 34,818 77,412 242,040
Distribution and service maintenance fees
payable................................... 36,033 114,897 27,119 54,733 233,658
Foreign currency contracts.................. -- -- -- 757,395 --
Unrealized depreciation of foreign currency
contracts................................. -- -- -- 30,402 --
Written call options at value (proceeds
$6,576 on International Equity
Portfolio)................................ -- -- -- 2,200 --
Due to custodian bank....................... -- 78,476 -- -- --
------------ -------------- ------------ ------------ --------------
Total liabilities......................... 678,902 3,652,848 755,963 3,865,840 10,659,183
------------ -------------- ------------ ------------ --------------
Net assets.............................. $ 55,987,957 $ 184,704,158 $ 44,537,255 $ 85,848,574 $ 367,904,763
------------ -------------- ------------ ------------ --------------
------------ -------------- ------------ ------------ --------------
NET ASSETS WERE COMPOSED OF:
Common Stock, $.0001 par value (1 billion
shares authorized)........................ $ 383 $ 1,083 $ 383 $ 642 $ 2,194
Paid-in capital............................. 49,065,871 160,311,416 49,869,268 81,866,234 319,553,671
------------ -------------- ------------ ------------ --------------
49,066,254 160,312,499 49,869,651 81,866,876 319,555,865
Accumulated undistributed net investment
income (loss)............................. (92,110) 195,629 13,732 (893,615) (1,255,885)
Accumulated undistributed net realized gain
(loss) on investments, foreign currency,
and other assets and liabilities.......... 378,553 1,897,172 (3,036,902) (3,891,763) 5,666,551
Net unrealized appreciation (depreciation)
of investments............................ 6,635,260 22,298,858 (2,309,226) 8,749,786 43,938,232
Net unrealized appreciation of foreign
currency, and other assets and
liabilities............................... -- -- -- 12,914 --
Net unrealized appreciation on written
options contracts......................... -- -- -- 4,376 --
------------ -------------- ------------ ------------ --------------
Net assets.............................. $ 55,987,957 $ 184,704,158 $ 44,537,255 $ 85,848,574 $ 367,904,763
------------ -------------- ------------ ------------ --------------
------------ -------------- ------------ ------------ --------------
*Identified cost
Investment securities....................... $ 48,171,534 $ 161,096,406 $ 45,514,453 $ 75,154,200 $ 280,892,151
------------ -------------- ------------ ------------ --------------
------------ -------------- ------------ ------------ --------------
Short-term securities....................... $ 358,000 $ 758,000 -- $ 1,491,000 $ 14,296,107
------------ -------------- ------------ ------------ --------------
------------ -------------- ------------ ------------ --------------
</TABLE>
See Notes to Financial Statements
<PAGE>
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STATEMENT OF ASSETS AND LIABILITIES -- APRIL 30, 1999 (UNAUDITED) -- (CONTINUED)
<TABLE>
<CAPTION>
LARGE-CAP SMALL-CAP INTERNATIONAL
VALUE VALUE VALUE EQUITY FOCUS
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
CLASS A:
Net assets................................. $ 14,964,545 $ 65,269,239 $ 14,748,377 $ 28,697,552 $ 99,124,532
Shares outstanding......................... 1,017,109 3,787,298 1,258,339 2,123,702 5,883,846
Net asset value and redemption price per
share.................................... $ 14.71 $ 17.23 $ 11.72 $ 13.51 $ 16.85
Maximum sales charge (5.75% of offering
price)................................... 0.90 1.05 0.72 0.82 1.03
------------ -------------- ------------ ------------ --------------
Maximum offering price to public........... $ 15.61 $ 18.28 $ 12.44 $ 14.33 $ 17.88
------------ -------------- ------------ ------------ --------------
------------ -------------- ------------ ------------ --------------
CLASS B:
Net assets................................. $ 31,974,483 $ 105,681,570 $ 23,327,346 $ 47,746,684 $ 149,365,711
Shares outstanding......................... 2,193,565 6,227,447 2,010,867 3,591,911 8,919,888
Net asset value, offering and redemption
price per share (excluding any applicable
contingent deferred sales charge)........ $ 14.58 $ 16.97 $ 11.60 $ 13.29 $ 16.75
------------ -------------- ------------ ------------ --------------
------------ -------------- ------------ ------------ --------------
CLASS II:
Net assets................................. $ 8,809,318 $ 13,661,549 $ 6,405,653 $ 9,368,182 $ 119,414,520
Shares outstanding......................... 604,369 805,076 551,951 704,682 7,133,263
Net asset value and redemption price per
share (excluding any applicable
contingent deferred sales charge)........ $ 14.58 $ 16.97 $ 11.61 $ 13.29 $ 16.74
Maximum sales charge (1.00% of offering
price)................................... 0.15 0.17 0.12 0.13 0.17
------------ -------------- ------------ ------------ --------------
Maximum offering price to public........... $ 14.73 $ 17.14 $ 11.73 $ 13.42 $ 16.91
------------ -------------- ------------ ------------ --------------
------------ -------------- ------------ ------------ --------------
CLASS Z:
Net assets................................. $ 239,611 $ 91,800 $ 55,879 $ 36,156 --
Shares outstanding......................... 16,176 5,296 4,745 2,658 --
Net asset value, offering and redemption
price per share.......................... $ 14.81 $ 17.33 $ 11.78 $ 13.60 --
------------ -------------- ------------ ------------ --------------
------------ -------------- ------------ ------------ --------------
</TABLE>
See Notes to Financial Statements
<PAGE>
25
STYLE SELECT SERIES LOGO
STATEMENT OF OPERATIONS -- FOR THE SIX MONTHS ENDED APRIL 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
LARGE-CAP MID-CAP AGGRESSIVE FOCUSED GROWTH
GROWTH GROWTH GROWTH AND INCOME
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
-----------------------------------------------------------
<S> <C> <C> <C> <C>
INVESTMENT INCOME:
Income:
Interest......................................... $ 77,463 $ 96,534 $ 425,925 $ 85,185
Dividends*....................................... 216,814 166,227 256,299 215,557
------------- ------------- ------------- --------------
Total investment income........................ 294,277 262,761 682,224 300,742
------------- ------------- ------------- --------------
Expenses:
Investment advisory and management fees.......... 335,637 558,254 952,023 154,046
Distribution and service maintenance fees
Class A........................................ 33,505 63,592 131,369 17,324
Class B........................................ 183,211 325,485 502,364 89,350
Class II....................................... 56,698 51,077 71,952 15,199
Transfer agent fees and expenses
Class A........................................ 27,400 47,563 103,426 12,438
Class B........................................ 51,920 83,632 129,232 24,751
Class II....................................... 18,977 14,211 19,211 5,548
Class Z........................................ -- -- 6,750 --
Registration fees
Class A........................................ 26,804 13,686 11,777 8,072
Class B........................................ 51,299 27,948 15,596 17,870
Class II....................................... 28,349 8,078 7,253 6,461
Class Z........................................ -- -- 3,962 --
Custodian fees and expenses...................... 54,703 78,798 135,896 30,079
Audit and tax consulting fees.................... 24,915 11,676 10,796 5,730
Printing expense................................. 22,650 8,170 3,350 4,650
Legal fees and expenses.......................... 15,100 150 -- 9,300
Trustees' fees and expenses...................... 2,161 3,016 2,822 1,735
Amortization of organizational expenses.......... 1,086 4,453 7,310 1,086
Insurance expense................................ 25 127 191 --
Miscellaneous expenses........................... 1,176 482 682 1,373
------------- ------------- ------------- --------------
Total expenses................................. 935,616 1,300,398 2,115,962 405,012
Less: expenses waived/reimbursed by investment
adviser...................................... (181,256) (77,589) (80,094) (70,888)
Less: custody credits earned on cash balances.. (1,106) (519) (3,130) (1,585)
------------- ------------- ------------- --------------
Net expenses................................... 753,254 1,222,290 2,032,738 332,539
------------- ------------- ------------- --------------
Net investment loss................................ (458,977) (959,529) (1,350,514) (31,797)
------------- ------------- ------------- --------------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Net realized gain (loss) on investments............ (1,496,215) 13,513,023 29,525,737 3,372,764
Net realized loss on options....................... -- -- (476,338) --
Net realized gain (loss) on foreign currency and
other assets and liabilities..................... 1 252 -- (171)
Net change in unrealized appreciation/ depreciation
of investments................................... 13,389,281 12,364,278 40,348,105 1,957,393
Net change in unrealized appreciation/ depreciation
on written options contracts..................... -- -- 138,403 --
------------- ------------- ------------- --------------
Net realized and unrealized gain on investments,
foreign currency and other assets and
liabilities...................................... 11,893,068 25,877,553 69,535,907 5,329,986
------------- ------------- ------------- --------------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS:...................................... $ 11,434,090 $ 24,918,024 $ 68,185,393 $ 5,298,189
------------- ------------- ------------- --------------
------------- ------------- ------------- --------------
*Net of foreign withholding taxes on dividends of.. $ 3,513 $ 258 $ 4,936 $ 692
------------- ------------- ------------- --------------
------------- ------------- ------------- --------------
</TABLE>
See Notes to Financial Statements
<PAGE>
26
STYLE SELECT SERIES LOGO
STATEMENT OF OPERATIONS -- FOR THE SIX MONTHS ENDED APRIL 30, 1999 (UNAUDITED)
- -- (CONTINUED)
<TABLE>
<CAPTION>
LARGE-CAP SMALL-CAP INTERNATIONAL
VALUE VALUE VALUE EQUITY FOCUS
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
<S> <C> <C> <C> <C> <C>
--------------------------------------------------------------------
INVESTMENT INCOME:
Income:
Interest...................................... $ 46,022 $ 356,087 $ 40,341 $ 110,836 $ 384,612
Dividends*.................................... 438,051 1,917,406 483,293 588,559 475,573
----------- ------------- ------------ ------------ ------------
Total investment income..................... 484,073 2,273,493 523,634 699,395 860,185
----------- ------------- ------------ ------------ ------------
Expenses:
Investment advisory and management fees....... 255,772 951,673 229,898 473,068 939,480
Distribution and service maintenance fees
Class A..................................... 24,118 117,428 26,181 50,108 110,386
Class B..................................... 151,279 542,511 123,499 241,807 449,303
Class II.................................... 34,509 73,171 30,834 44,327 340,583
Transfer agent fees and expenses
Class A..................................... 19,191 89,198 23,626 38,655 81,512
Class B..................................... 42,137 132,461 38,996 67,746 115,986
Class II.................................... 10,536 19,160 12,030 12,699 86,778
Class Z..................................... 6,668 6,900 7,755 6,900 --
Registration fees
Class A..................................... 11,315 -- 11,551 12,529 17,156
Class B..................................... 22,831 -- 19,841 24,166 24,409
Class II.................................... 8,023 4,868 6,867 8,039 18,501
Class Z..................................... 3,566 3,266 4,402 2,710 --
Custodian fees and expenses................... 40,813 144,209 40,136 181,145 107,288
Legal fees and expenses....................... 9,300 300 15,100 840 6,707
Audit and tax consulting fees................. 5,730 13,320 4,850 19,000 11,308
Printing expense.............................. 5,380 4,650 22,950 9,060 9,007
Amortization of organizational expenses....... 3,943 7,310 3,943 7,310 43,313
Trustees' fees and expenses................... 2,113 5,908 2,328 1,310 4,657
Insurance expense............................. 27 268 29 52 49
Miscellaneous expenses........................ 1,647 996 4,507 428 1,320
----------- ------------- ------------ ------------ ------------
Total expenses.............................. 658,898 2,117,597 629,323 1,201,899 2,367,743
Less: expenses waived/reimbursed by
investment adviser........................ (83,284) (45,284) (119,865) (143,092) (250,774)
Less: custody credits earned on cash
balances.................................. (211) (10) (357) (285) (899)
----------- ------------- ------------ ------------ ------------
Net expenses................................ 575,403 2,072,303 509,101 1,058,522 2,116,070
----------- ------------- ------------ ------------ ------------
Net investment income (loss).................... (91,330) 201,190 14,533 (359,127) (1,255,885)
----------- ------------- ------------ ------------ ------------
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS:
Net realized gain (loss) on investments......... 532,676 8,937,191 (1,709,679) 2,905,431 13,861,530
Net realized gain (loss) on options............. -- -- -- (55,678) --
Net realized loss on future contracts........... -- -- -- (395,185) --
Net realized loss on foreign currency and other
assets and liabilities........................ -- -- -- (763,220) --
Net change in unrealized appreciation/
depreciation of investments................... 7,826,000 16,847,129 5,049,458 7,183,305 37,302,647
Net change in unrealized appreciation/
depreciation on written options contracts..... -- -- -- 4,376 --
Net change in unrealized appreciation/
depreciation on future contracts.............. -- -- -- 163,839 --
Net change in unrealized appreciation/
depreciation of foreign currency and other
assets and liabilities........................ -- 70 -- 374,844 --
----------- ------------- ------------ ------------ ------------
Net realized and unrealized gain on investments,
foreign currency and other assets and
liabilities................................... 8,358,676 25,784,390 3,339,779 9,417,712 51,164,177
----------- ------------- ------------ ------------ ------------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS:................................... $ 8,267,346 $ 25,985,580 $ 3,354,312 $ 9,058,585 $ 49,908,292
----------- ------------- ------------ ------------ ------------
----------- ------------- ------------ ------------ ------------
*Net of foreign withholding taxes on dividends
of.......................................... $ 2,736 $ 10,595 $ -- $ 61,737 $ --
----------- ------------- ------------ ------------ ------------
----------- ------------- ------------ ------------ ------------
</TABLE>
See Notes to Financial Statements
<PAGE>
27
STYLE SELECT SERIES 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 YEAR ENDED YEAR
APRIL 30, ENDED APRIL 30, ENDED
1999 OCTOBER 31, 1999 OCTOBER 31,
(UNAUDITED) 1998 (UNAUDITED) 1998
----------------------------------------------------------
<S> <C> <C> <C> <C>
INCREASE IN NET ASSETS:
OPERATIONS:
Net investment loss.................................. $ (458,977) $ (409,677) $ (959,529) $ (1,373,755)
Net realized gain (loss) on investments.............. (1,496,215) (1,043,328) 13,513,023 5,170,910
Net realized gain (loss) on foreign currency and
other assets and liabilities....................... 1 (2) 252 2
Net change in unrealized appreciation/depreciation of
investments........................................ 13,389,281 5,789,617 12,364,278 (1,798,554)
------------ ------------ -------------- --------------
Net increase in net assets resulting from
operations......................................... 11,434,090 4,336,610 24,918,024 1,998,603
------------ ------------ -------------- --------------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income (Class A)................. -- (5,012) -- --
From net investment income (Class B)................. -- (4,017) -- --
From net investment income (Class II)................ -- (983) -- --
From net realized gains on investments (Class A)..... -- -- (1,375,514) --
From net realized gains on investments (Class B)..... -- -- (2,566,793) --
From net realized gains on investments (Class II).... -- -- (382,661) --
------------ ------------ -------------- --------------
Total dividends and distributions to shareholders...... -- (10,012) (4,324,968) --
------------ ------------ -------------- --------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
CAPITAL SHARE TRANSACTIONS (NOTE 9).................. 25,458,881 18,956,422 (1,989,772) 39,324,930
------------ ------------ -------------- --------------
TOTAL INCREASE IN NET ASSETS........................... 36,892,971 23,283,020 18,603,284 41,323,533
NET ASSETS:
Beginning of period.................................... 47,831,579 24,548,559 100,151,731 58,828,198
------------ ------------ -------------- --------------
End of period [including undistributed net investment
loss for April 30, 1999 and October 31, 1998 of
($459,784), ($807); ($962,277), and ($2,748)
respectively]........................................ $ 84,724,550 $ 47,831,579 $ 118,755,015 $ 100,151,731
------------ ------------ -------------- --------------
------------ ------------ -------------- --------------
</TABLE>
See Notes to Financial Statements
<PAGE>
28
STYLE SELECT SERIES LOGO
STATEMENT OF CHANGES IN NET ASSETS -- (CONTINUED)
<TABLE>
<CAPTION>
FOCUSED GROWTH AND INCOME
AGGRESSIVE GROWTH PORTFOLIO PORTFOLIO
------------------------------ --------------------------
FOR THE FOR THE
SIX MONTHS FOR THE SIX MONTHS FOR THE
ENDED YEAR ENDED YEAR
APRIL 30, ENDED APRIL 30, ENDED
1999 OCTOBER 31, 1999 OCTOBER 31,
(UNAUDITED) 1998 (UNAUDITED) 1998
----------------------------------------------------------
<S> <C> <C> <C> <C>
INCREASE IN NET ASSETS:
OPERATIONS:
Net investment loss.................................. $ (1,350,514) $ (1,671,812) $ (31,797) $ (27,267)
Net realized gain (loss) on investments.............. 29,525,737 (5,797,473) 3,372,764 158,012
Net realized gain (loss) on options.................. (476,338) 143,423 -- --
Net realized gain (loss) on foreign currency and
other assets and liabilities....................... -- -- (171) 8
Net change in unrealized appreciation/depreciation of
investments........................................ 40,348,105 8,948,305 1,957,393 2,032,468
Net change in unrealized appreciation/depreciation on
written option contracts........................... 138,403 (35,788) -- --
-------------- -------------- ------------ ------------
Net increase in net assets resulting from
operations......................................... 68,185,393 1,586,655 5,298,189 2,163,221
-------------- -------------- ------------ ------------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income (Class A)................. -- -- -- (12,655)
From net investment income (Class B)................. -- -- -- (10,889)
From net investment income (Class II)................ -- -- -- (1,447)
From net realized gains on investments (Class A)..... -- (291,095) (130,146) --
From net realized gains on investments (Class B)..... -- (365,194) (234,029) --
From net realized gains on investments (Class II).... -- (45,708) (35,835) --
-------------- -------------- ------------ ------------
Total dividends and distributions to shareholders...... -- (701,997) (400,010) (24,991)
-------------- -------------- ------------ ------------
NET INCREASE IN NET ASSETS RESULTING FROM CAPITAL SHARE
TRANSACTIONS (NOTE 9)................................ 17,789,698 47,881,964 6,367,626 1,630,996
-------------- -------------- ------------ ------------
TOTAL INCREASE IN NET ASSETS........................... 85,975,091 48,766,622 11,265,805 3,769,226
NET ASSETS:
Beginning of period.................................... 141,836,983 93,070,361 28,446,206 24,676,980
-------------- -------------- ------------ ------------
End of period [including undistributed net investment
loss for April 30, 1999 and October 31, 1998 of
($1,354,428), ($3,914); ($32,637), and ($840)
respectively]........................................ $ 227,812,074 $ 141,836,983 $ 39,712,011 $ 28,446,206
-------------- -------------- ------------ ------------
-------------- -------------- ------------ ------------
</TABLE>
See Notes to Financial Statements
<PAGE>
29
STYLE SELECT SERIES 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 YEAR ENDED YEAR
APRIL 30, ENDED APRIL 30, ENDED
1999 OCTOBER 31, 1999 OCTOBER 31,
(UNAUDITED) 1998 (UNAUDITED) 1998
----------------------------------------------------------
<S> <C> <C> <C> <C>
INCREASE IN NET ASSETS:
OPERATIONS:
Net investment income (loss)......................... $ (91,330) $ (42,190) $ 201,190 $ (804,668)
Net realized gain (loss) on investments.............. 532,676 151,733 8,937,191 (7,005,287)
Net realized gain (loss) on foreign currency and
other assets and liabilities....................... -- 5 -- (473)
Net change in unrealized appreciation/depreciation of
investments........................................ 7,826,000 145,056 16,847,129 (5,278,392)
Net change in unrealized appreciation/depreciation of
foreign currency and other assets and liabilities.. -- -- 70 1
------------ ------------ -------------- --------------
Net increase (decrease) in net assets resulting from
operations......................................... 8,267,346 254,604 25,985,580 (13,088,819)
------------ ------------ -------------- --------------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income (Class A)................. -- (8,099) -- --
From net investment income (Class B)................. -- (10,027) -- --
From net investment income (Class II)................ -- (1,868) -- --
From net investment income (Class Z)................. -- (197) -- --
From net realized gains on investments (Class A)..... (80,398) -- -- (1,938,244)
From net realized gains on investments (Class B)..... (180,925) -- -- (3,147,503)
From net realized gains on investments (Class II).... (37,456) -- -- (364,243)
From net realized gains on investments (Class Z)..... (1,202) -- -- --
------------ ------------ -------------- --------------
Total dividends and distributions to shareholders...... (299,981) (20,191) -- (5,449,990)
------------ ------------ -------------- --------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
CAPITAL SHARE TRANSACTIONS (NOTE 9).................. 919,685 22,129,144 (38,788,157) 80,750,098
------------ ------------ -------------- --------------
TOTAL INCREASE (DECREASE) IN NET ASSETS................ 8,887,050 22,363,557 (12,802,577) 62,211,289
NET ASSETS:
Beginning of period.................................... 47,100,907 24,737,350 197,506,735 135,295,446
------------ ------------ -------------- --------------
End of period [including undistributed net investment
income (loss) for April 30, 1999 and October 31, 1998
of ($92,110), ($780); $195,629, and ($5,561)
respectively]........................................ $ 55,987,957 $ 47,100,907 $ 184,704,158 $ 197,506,735
------------ ------------ -------------- --------------
------------ ------------ -------------- --------------
</TABLE>
See Notes to Financial Statements
<PAGE>
30
STYLE SELECT SERIES LOGO
STATEMENT OF CHANGES IN NET ASSETS -- (CONTINUED)
<TABLE>
<CAPTION>
INTERNATIONAL EQUITY
SMALL-CAP VALUE PORTFOLIO PORTFOLIO FOCUS PORTFOLIO
---------------------------- ---------------------------- ------------------------------
FOR THE
FOR THE FOR THE FOR THE PERIOD
SIX MONTHS FOR THE SIX MONTHS FOR THE SIX MONTHS JUNE 8,
ENDED YEAR ENDED YEAR ENDED 1998*
APRIL 30, ENDED APRIL 30, ENDED APRIL 30, THROUGH
1999 OCTOBER 31, 1999 OCTOBER 31, 1999 OCTOBER 31,
(UNAUDITED) 1998 (UNAUDITED) 1998 (UNAUDITED) 1998
------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
INCREASE IN NET ASSETS:
OPERATIONS:
Net investment income
(loss).................... $ 14,533 $ (47,296) $ (359,127) $ (387,307) $ (1,255,885) $ (199,494)
Net realized gain (loss) on
investments............... (1,709,679) (1,440,075) 2,905,431 (5,240,326) 13,861,530 (8,194,979)
Net realized loss on
options................... -- -- (55,678) (251,838) -- --
Net realized loss on future
contracts................. -- -- (395,185) (27,788) -- --
Net realized gain (loss) on
foreign currency and other
assets and liabilities.... -- -- (763,220) 459,966 -- --
Net change in unrealized
appreciation/ depreciation
of investments............ 5,049,458 (6,590,682) 7,183,305 4,506,398 37,302,647 6,635,585
Net change in unrealized
appreciation/ depreciation
on future contracts....... -- -- 163,839 (157,105) -- --
Net change in unrealized
appreciation/ depreciation
of foreign currency and
other assets and
liabilities............... -- -- 374,844 (454,809) -- --
Net change in unrealized
appreciation/ depreciation
on written option
contracts................. -- -- 4,376 -- -- --
------------- ------------- ------------- ------------- -------------- --------------
Net increase (decrease) in
net assets resulting from
operations................ 3,354,312 (8,078,053) 9,058,585 (1,552,809) 49,908,292 (1,758,888)
------------- ------------- ------------- ------------- -------------- --------------
DIVIDENDS AND DISTRIBUTIONS TO
SHAREHOLDERS:
From net investment income
(Class A)................. -- (16,218) -- -- -- --
From net investment income
(Class B)................. -- (19,460) -- -- -- --
From net investment income
(Class II)................ -- (4,296) -- -- -- --
From net investment income
(Class Z)................. -- (183) -- -- -- --
From net realized gains on
investments (Class A)..... -- -- (106,783) (431,326) -- --
From net realized gains on
investments (Class B)..... -- -- (193,653) (773,323) -- --
From net realized gains on
investments (Class II).... -- -- (33,985) (80,350) -- --
From net realized gains on
investments (Class Z)..... -- -- (586) -- -- --
------------- ------------- ------------- ------------- -------------- --------------
Total dividends and
distributions to
shareholders................ -- (40,157) (335,007) (1,284,999) -- --
------------- ------------- ------------- ------------- -------------- --------------
NET INCREASE (DECREASE) IN NET
ASSETS RESULTING FROM
CAPITAL SHARE TRANSACTIONS
(NOTE 9).................... (5,932,359) 30,250,351 (7,236,697) 15,719,105 207,022,542 112,732,817
------------- ------------- ------------- ------------- -------------- --------------
TOTAL INCREASE (DECREASE) IN
NET ASSETS.................. (2,578,047) 22,132,141 1,486,881 12,881,297 256,930,834 110,973,929
NET ASSETS:
Beginning of period........... 47,115,302 24,983,161 84,361,693 71,480,396 110,973,929 --
------------- ------------- ------------- ------------- -------------- --------------
End of period [including
undistributed net investment
income (loss) for April 30,
1999 and October 31, 1998 of
$13,732, ($801); ($893,615),
$265,285; ($1,255,855) and
$-- respectively]........... $ 44,537,255 $ 47,115,302 $ 85,848,574 $ 84,361,693 $ 367,904,763 $ 110,973,929
------------- ------------- ------------- ------------- -------------- --------------
------------- ------------- ------------- ------------- -------------- --------------
</TABLE>
- --------------------
* Commencement of Operations
See Notes to Financial Statements
<PAGE>
31
STYLE SELECT SERIES LOGO
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
NET DIVIDENDS
GAIN (LOSS) TOTAL FROM DISTRI- NET
NET ASSET NET ON INVEST- FROM NET BUTIONS ASSET
VALUE, INVEST- MENTS (BOTH INVEST- INVEST- FROM TOTAL VALUE,
PERIOD BEGINNING MENT REALIZED AND MENT MENT CAPITAL DISTRI- END OF
ENDED OF PERIOD LOSS(1) UNREALIZED) OPERATIONS INCOME GAINS BUTIONS PERIOD
- ---------------------------------------- --------- --------- ------------ ---------- --------- ------- ------- ------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
LARGE-CAP GROWTH PORTFOLIO
CLASS A
10/15/97-10/31/97....................... $12.50 $ -- $(0.71) $(0.71) $ -- $ -- $ -- $11.79
10/31/98................................ 11.79 (0.11) 2.05 1.94 (0.01) -- (0.01) 13.72
4/30/99(6).............................. 13.72 (0.07) 3.05 2.98 -- -- -- 16.70
CLASS B
10/15/97-10/31/97....................... 12.50 -- (0.71) (0.71) -- -- -- 11.79
10/31/98................................ 11.79 (0.21) 2.04 1.83 -- -- -- 13.62
4/30/99(6).............................. 13.62 (0.12) 3.02 2.90 -- -- -- 16.52
CLASS II
10/15/97-10/31/97....................... 12.50 -- (0.72) (0.72) -- -- -- 11.78
10/31/98................................ 11.78 (0.20) 2.04 1.84 -- -- -- 13.62
4/30/99(6).............................. 13.62 (0.12) 3.02 2.90 -- -- -- 16.52
- ------------------------------------------------------------------------------------------------------------------------------------
MID-CAP GROWTH PORTFOLIO
CLASS A
11/19/96-10/31/97....................... $12.50 $(0.16) $ 1.37 $ 1.21 $ -- $ -- $ -- $13.71
10/31/98................................ 13.71 (0.18) 1.07 0.89 -- -- -- 14.60
4/30/99(6).............................. 14.60 (0.10) 3.68 3.58 -- (0.64) (0.64) 17.54
CLASS B
11/19/96-10/31/97....................... 12.50 (0.25) 1.38 1.13 -- -- -- 13.63
10/31/98................................ 13.63 (0.27) 1.06 0.79 -- -- -- 14.42
4/30/99(6).............................. 14.42 (0.15) 3.63 3.48 -- (0.64) (0.64) 17.26
CLASS II
3/06/97-10/31/97........................ 11.93 (0.18) 1.89 1.71 -- -- -- 13.64
10/31/98................................ 13.64 (0.27) 1.06 0.79 -- -- -- 14.43
4/30/99(6).............................. 14.43 (0.16) 3.65 3.49 -- (0.64) (0.64) 17.28
- ------------------------------------------------------------------------------------------------------------------------------------
AGGRESSIVE GROWTH PORTFOLIO
CLASS A
11/19/96-10/31/97....................... $12.50 $(0.11) $ 3.51 $ 3.40 $ -- $ -- $ -- $15.90
10/31/98................................ 15.90 (0.16) 0.87 0.71 -- (0.11) (0.11) 16.50
4/30/99(6).............................. 16.50 (0.11) 7.84 7.73 -- -- -- 24.23
CLASS B
11/19/96-10/31/97....................... 12.50 (0.24) 3.54 3.30 -- -- -- 15.80
10/31/98................................ 15.80 (0.27) 0.87 0.60 -- (0.11) (0.11) 16.29
4/30/99(6).............................. 16.29 (0.17) 7.71 7.54 -- -- -- 23.83
CLASS II
3/06/97-10/31/97........................ 13.38 (0.17) 2.59 2.42 -- -- -- 15.80
10/31/98................................ 15.80 (0.27) 0.88 0.61 -- (0.11) (0.11) 16.30
4/30/99(6).............................. 16.30 (0.18) 7.70 7.52 -- -- -- 23.82
CLASS Z
4/03/98-10/31/98........................ 18.30 (0.03) (1.70) (1.73) -- -- -- 16.57
4/30/99(6).............................. 16.57 (0.05) 7.88 7.83 -- -- -- 24.40
<CAPTION>
RATIO OF
NET ASSETS RATIO OF INVESTMENT
END OF EXPENSES INCOME (LOSS)
PERIOD TOTAL PERIOD TO AVERAGE TO AVERAGE NET PORTFOLIO
ENDED RETURN(2) (000'S) NET ASSETS(4) ASSETS(4) TURNOVER
- ---------------------------------------- --------- ---------- ------------- -------------- ---------
<S> <C> <C> <C> <C> <C>
LARGE-CAP GROWTH PORTFOLIO
10/15/97-10/31/97....................... (5.68)% $ 23,609 1.78%(3) 0.34%(3) 1%
10/31/98................................ 16.42 14,390 1.78 (0.90) 30
4/30/99(6).............................. 21.72 24,376 1.78(3)(5) (0.90)(3) 13
10/15/97-10/31/97....................... (5.68) 773 2.43(3) (0.84)(3) 1
10/31/98................................ 15.54 26,125 2.43 (1.54) 30
4/30/99(6).............................. 21.29 45,298 2.43(3)(5) (1.55)(3) 13
10/15/97-10/31/97....................... (5.76) 166 2.43(3) (0.42)(3) 1
10/31/98................................ 15.64 7,317 2.43 (1.54) 30
4/30/99(6).............................. 21.29 15,051 2.43(3)(5) (1.55)(3) 13
- ----------------------------------------
MID-CAP GROWTH PORTFOLIO
11/19/96-10/31/97....................... 9.68% $ 18,404 1.85%(3) (1.19)%(3) 97%
10/31/98................................ 6.49 32,115 1.78 (1.19) 135
4/30/99(6).............................. 25.33 37,896 1.78(3)(5) (1.28)(3) 69
11/19/96-10/31/97....................... 9.04 35,739 2.47(3) (1.92)(3) 97
10/31/98................................ 5.80 58,555 2.43 (1.84) 135
4/30/99(6).............................. 24.94 70,128 2.43(3)(5) (1.93)(3) 69
3/06/97-10/31/97........................ 14.33 4,685 2.45(3) (1.97)(3) 97
10/31/98................................ 5.79 9,482 2.43 (1.84) 135
4/30/99(6).............................. 24.99 10,732 2.43(3)(5) (1.96)(3) 69
- ----------------------------------------
AGGRESSIVE GROWTH PORTFOLIO
11/19/96-10/31/97....................... 27.20% $ 38,537 1.84%(3) (0.77)%(3) 150%
10/31/98................................ 4.55 55,925 1.78 (0.95) 142
4/30/99(6).............................. 46.85 86,340 1.78(3)(5) (1.04)(3) 63
11/19/96-10/31/97....................... 26.40 48,594 2.47(3) (1.58)(3) 150
10/31/98................................ 3.87 74,998 2.43 (1.60) 142
4/30/99(6).............................. 46.29 122,896 2.43(3)(5) (1.67)(3) 63
3/06/97-10/31/97........................ 18.09 5,939 2.45(3) (1.68)(3) 150
10/31/98................................ 3.94 10,568 2.43 (1.60) 142
4/30/99(6).............................. 46.13 18,001 2.43(3)(5) (1.69)(3) 63
4/03/98-10/31/98........................ (9.45) 346 1.21(3) (0.36)(3) 142
4/30/99(6).............................. 47.25 575 1.21(3)(5) (0.49)(3) 63
</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 10/31/98 4/30/99 10/31/97 10/31/98 4/30/99
-------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C>
Large-Cap Growth A............ 0.59% 0.72% 0.50% Mid-Cap Growth II............. 0.96% 0.39% 0.20%
Large-Cap Growth B............ 1.53% 0.80% 0.50% Aggressive Growth A........... 0.26% 0.27% 0.10%
Large-Cap Growth II........... 3.29% 1.42% 0.76% Aggressive Growth B........... 0.32% 0.28% 0.11%
Mid-Cap Growth A.............. 0.34% 0.30% 0.17% Aggressive Growth II.......... 0.73% 0.44% 0.16%
Mid-Cap Growth B.............. 0.42% 0.33% 0.19% Aggressive Growth Z........... -- 7.62% 4.48%
</TABLE>
(5) The expense ratio reflects the effect of a gross up of custody expense
credits
(6) Unaudited
See Notes to Financial Statements
<PAGE>
32
STYLE SELECT SERIES 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
ENDED OF PERIOD (LOSS)(1) UNREALIZED) OPERATIONS INCOME GAINS BUTIONS PERIOD
- ---------------------------------------- --------- --------- ------------ ---------- --------- ------- ------- ------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
FOCUSED GROWTH AND INCOME
CLASS A
10/15/97-10/31/97....................... $12.50 $(0.01) $(0.53) $(0.52) $ -- $ -- $ -- $11.98
10/31/98................................ 11.98 0.03 1.04 1.07 (0.01) -- (0.01) 13.04
4/30/99(6).............................. 13.04 0.02 2.44 2.46 -- (0.18) (0.18) 15.32
CLASS B
10/15/97-10/31/97....................... 12.50 -- (0.54) (0.54) -- -- -- 11.96
10/31/98................................ 11.96 (0.07) 1.08 1.01 (0.01) -- (0.01) 12.96
4/30/99(6).............................. 12.96 (0.03) 2.43 2.40 -- (0.18) (0.18) 15.18
CLASS II
10/15/97-10/31/97....................... 12.50 -- (0.53) (0.53) -- -- -- 11.97
10/31/98................................ 11.97 (0.07) 1.06 0.99 (0.01) -- (0.01) 12.95
4/30/99(6).............................. 12.95 (0.03) 2.42 2.39 -- (0.18) (0.18) 15.16
- ------------------------------------------------------------------------------------------------------------------------------------
LARGE-CAP VALUE PORTFOLIO
CLASS A
10/15/97-10/31/97....................... $12.50 $ 0.01 $(0.65) $(0.64) $ -- $ -- $ -- 11.86
10/31/98................................ 11.86 0.03 0.71 0.74 (0.01) -- (0.01) 12.59
4/30/99(6).............................. 12.59 0.01 2.19 2.20 -- (0.08) (0.08) 14.71
CLASS B
10/15/97-10/31/97....................... 12.50 -- (0.64) (0.64) -- -- -- 11.86
10/31/98................................ 11.86 (0.04) 0.69 0.65 -- -- -- 12.51
4/30/99(6).............................. 12.51 (0.04) 2.19 2.15 -- (0.08) (0.08) 14.58
CLASS II
10/15/97-10/31/97....................... 12.50 -- (0.64) (0.64) -- -- -- 11.86
10/31/98................................ 11.86 (0.04) 0.69 0.65 -- -- -- 12.51
4/30/99(6).............................. 12.51 (0.04) 2.19 2.15 -- (0.08) (0.08) 14.58
CLASS Z
4/16/98-10/31/98........................ 13.86 0.06 (1.27) (1.21) (0.01) -- (0.01) 12.64
4/30/99(6).............................. 12.64 0.05 2.20 2.25 -- (0.08) (0.08) 14.81
<CAPTION>
RATIO OF
NET ASSETS RATIO OF INVESTMENT
END OF EXPENSES INCOME (LOSS)
PERIOD TOTAL PERIOD TO AVERAGE TO AVERAGE NET PORTFOLIO
ENDED RETURN(2) (000'S) NET ASSETS(4) ASSETS(4) TURNOVER
- ---------------------------------------- --------- ---------- ------------- -------------- ---------
<S> <C> <C> <C> <C> <C>
FOCUSED GROWTH AND INCOME
10/15/97-10/31/97....................... (4.16)% $ 23,593 1.78%(3) 1.35%(3) 2%
10/31/98................................ 8.95 9,799 1.78 0.22 98
4/30/99(6).............................. 19.10 12,849 1.72(3)(5) 0.23(3) 127
10/15/97-10/31/97....................... (4.32) 941 2.43(3) 0.29(3) 2
10/31/98................................ 8.43 16,157 2.43 (0.52) 98
4/30/99(6).............................. 18.76 21,716 2.37(3)(5) (0.42)(3) 127
10/15/97-10/31/97....................... (4.24) 143 2.43(3) 0.54(3) 2
10/31/98................................ 8.26 2,490 2.43 (0.53) 98
4/30/99(6).............................. 18.69 5,147 2.36(3)(5) (0.40)(3) 127
- ----------------------------------------
LARGE-CAP VALUE PORTFOLIO
10/15/97-10/31/97....................... (5.12)% $ 23,240 1.78%(3) 1.07%(3) --%
10/31/98................................ 6.22 12,921 1.78 0.22 37
4/30/99(6).............................. 17.55 14,965 1.78(3)(5) 0.11(3) 23
10/15/97-10/31/97....................... (5.12) 1,325 2.43(3) 0.22(3) --
10/31/98................................ 5.52 28,149 2.43 (0.34) 37
4/30/99(6).............................. 17.26 31,974 2.43(3)(5) (0.54)(3) 23
10/15/97-10/31/97....................... (5.12) 172 2.43(3) 0.53(3) --
10/31/98................................ 5.52 5,823 2.43 (0.31) 37
4/30/99(6).............................. 17.26 8,809 2.43(3)(5) (0.54)(3) 23
4/16/98-10/31/98........................ (8.72) 207 1.21(3) 0.97(3) 37
4/30/99(6).............................. 17.88 240 1.21(3)(5) 0.68(3) 23
</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 10/31/98 4/30/99 10/31/97 10/31/98 4/30/99
-------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C>
Focused Growth and Income A... 0.58% 0.62% 0.39% Large-Cap Value B............. 1.16% 0.61% 0.27%
Focused Growth and Income B... 1.26% 0.67% 0.45% Large-Cap Value II............ 3.22% 1.14% 0.37%
Focused Growth and Income II.. 3.12% 2.11% 0.77% Large-Cap Value Z............. -- 11.77% 9.57%
Large-Cap Value A............. 0.58% 0.67% 0.28%
</TABLE>
(5) The expense ratio reflects the effect of a gross up of custody expense
credits
(6) Unaudited
See Notes to Financial Statements
<PAGE>
33
STYLE SELECT SERIES 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
ENDED OF PERIOD (LOSS)(1) UNREALIZED) OPERATIONS INCOME GAINS BUTIONS PERIOD
- ---------------------------------------- --------- --------- ------------ ---------- --------- ------- ------- ------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
VALUE PORTFOLIO
CLASS A
11/19/96-10/31/97....................... $12.50 $ -- $ 3.59 $ 3.59 $ -- $ -- $ -- $16.09
10/31/98................................ 16.09 -- (0.51) (0.51) -- (0.59) (0.59) 14.99
4/30/99(6).............................. 14.99 0.05 2.19 2.24 -- -- -- 17.23
CLASS B
11/19/96-10/31/97....................... 12.50 (0.11) 3.61 3.50 -- -- -- 16.00
10/31/98................................ 16.00 (0.10) (0.50) (0.60) -- (0.59) (0.59) 14.81
4/30/99(6).............................. 14.81 -- 2.16 2.16 -- -- -- 16.97
CLASS II
3/06/97-10/31/97........................ 13.56 (0.08) 2.52 2.44 -- -- -- 16.00
10/31/98................................ 16.00 (0.11) (0.49) (0.60) -- (0.59) (0.59) 14.81
4/30/99(6).............................. 14.81 -- 2.16 2.16 -- -- -- 16.97
CLASS Z
4/03/98-10/31/98........................ 17.62 0.05 (2.63) (2.58) -- -- -- 15.04
4/30/99(6).............................. 15.04 0.10 2.19 2.29 -- -- -- 17.33
- ------------------------------------------------------------------------------------------------------------------------------------
SMALL-CAP VALUE PORTFOLIO
CLASS A
10/15/97-10/31/97....................... $12.50 $ 0.01 $(0.37) $(0.36) $ -- $ -- $ -- $12.14
10/31/98................................ 12.14 0.05 (1.36) (1.31) (0.01) -- (0.01) 10.82
4/30/99(6).............................. 10.82 0.03 0.87 0.90 -- -- -- 11.72
CLASS B
10/15/97-10/31/97....................... 12.50 0.01 (0.38) (0.37) -- -- -- 12.13
10/31/98................................ 12.13 (0.05) (1.33) (1.38) (0.01) -- (0.01) 10.74
4/30/99(6).............................. 10.74 (0.01) 0.87 0.86 -- -- -- 11.60
CLASS II
10/15/97-10/31/97....................... 12.50 0.01 (0.37) (0.36) -- -- -- 12.14
10/31/98................................ 12.14 (0.06) (1.33) (1.39) (0.01) -- (0.01) 10.74
4/30/99(6).............................. 10.74 (0.01) 0.88 0.87 -- -- -- 11.61
CLASS Z
4/03/98-10/31/98........................ 13.63 0.04 (2.80) (2.76) (0.02) -- (0.02) 10.85
4/30/99(6).............................. 10.85 0.06 0.87 0.93 -- -- -- 11.78
<CAPTION>
RATIO OF
NET ASSETS RATIO OF INVESTMENT
END OF EXPENSES INCOME (LOSS)
PERIOD TOTAL PERIOD TO AVERAGE TO AVERAGE NET PORTFOLIO
ENDED RETURN(2) (000'S) NET ASSETS(4) ASSETS(4) TURNOVER
- ---------------------------------------- --------- ---------- ------------- -------------- ---------
<S> <C> <C> <C> <C> <C>
VALUE PORTFOLIO
11/19/96-10/31/97....................... 28.72% $ 48,377 1.84%(3) --%(3) 48%
10/31/98................................ (3.32) 71,116 1.78 (0.01) 69
4/30/99(6).............................. 14.94 65,269 1.78(3)(5) 0.62(3) 79
11/19/96-10/31/97....................... 28.00 77,534 2.46(3) (0.74)(3) 48
10/31/98................................ (3.92) 111,030 2.43 (0.66) 69
4/30/99(6).............................. 14.58 105,682 2.43(3)(5) (0.01)(3) 79
3/06/97-10/31/97........................ 17.99 9,384 2.45(3) (0.78)(3) 48
10/31/98................................ (3.92) 15,260 2.43 (0.66) 69
4/30/99(6).............................. 14.58 13,662 2.43(3)(5) (0.03)(3) 79
4/03/98-10/31/98........................ (14.64) 101 1.21(3) 0.62(3) 69
4/30/99(6).............................. 15.23 92 1.21(3)(5) 1.21(3) 79
- ----------------------------------------
SMALL-CAP VALUE PORTFOLIO
10/15/97-10/31/97....................... (2.88)% $ 21,346 1.78%(3) 2.57%(3) --%
10/31/98................................ (10.79) 15,051 1.78 0.42 50
4/30/99(6).............................. 8.32 14,748 1.78(3)(5) 0.50(3) 42
10/15/97-10/31/97....................... (2.96) 3,112 2.43(3) 1.75(3) --
10/31/98................................ (11.40) 25,954 2.43 (0.44) 50
4/30/99(6).............................. 8.01 23,327 2.43(3)(5) (0.15)(3) 42
10/15/97-10/31/97....................... (2.88) 525 2.43(3) 1.75(3) --
10/31/98................................ (11.47) 5,968 2.43 (0.48) 50
4/30/99(6).............................. 8.10 6,406 2.43(3)(5) (0.16)(3) 42
4/03/98-10/31/98........................ (20.30) 142 1.21(3) 0.70(3) 50
4/30/99(6).............................. 8.57 56 1.21(3)(5) 1.01(3) 42
</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 10/31/98 4/30/99 10/31/97 10/31/98 4/30/99
-------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C>
Value A....................... 0.28% 0.17% 0.04% Small-Cap Value A............. 0.57% 0.66% 0.45%
Value B....................... 0.34% 0.19% 0.06% Small-Cap Value B............. 0.74% 0.62% 0.45%
Value II...................... 0.63% 0.21% 0.11% Small-Cap Value II............ 1.42% 1.05% 0.59%
Value Z....................... -- 28.83% 21.03% Small-Cap Value Z............. -- 20.37% 16.19%
</TABLE>
(5) The expense ratio reflects a gross up of custody expense credits
(6) Unaudited
See Notes to Financial Statements
<PAGE>
34
STYLE SELECT SERIES 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
ENDED OF PERIOD (LOSS)(1) UNREALIZED) OPERATIONS INCOME GAINS BUTIONS PERIOD
- ---------------------------------------- --------- --------- ------------ ---------- --------- ------- ------- ------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
INTERNATIONAL EQUITY PORTFOLIO
CLASS A
11/19/96-10/31/97....................... $12.50 $ 0.01 $(0.05) $(0.04) $ -- $ -- $ -- $12.46
10/31/98................................ 12.46 (0.01) (0.01) (0.02) -- (0.22) (0.22) 12.22
4/30/99(6).............................. 12.22 (0.04) 1.38 1.34 -- (0.05) (0.05) 13.51
CLASS B
11/19/96-10/31/97....................... 12.50 (0.09) (0.03) (0.12) -- -- -- 12.38
10/31/98................................ 12.38 (0.09) -- (0.09) -- (0.22) (0.22) 12.07
4/30/99(6).............................. 12.07 (0.08) 1.35 1.27 -- (0.05) (0.05) 13.29
CLASS II
3/06/97-10/31/97........................ 12.60 (0.07) (0.15) (0.22) -- -- -- 12.38
10/31/98................................ 12.38 (0.09) -- (0.09) -- (0.22) (0.22) 12.07
4/30/99(6).............................. 12.07 (0.08) 1.35 1.27 -- (0.05) (0.05) 13.29
CLASS Z
4/06/98-10/31/98........................ 13.87 0.03 (1.63) (1.60) -- -- -- 12.27
4/30/99(6).............................. 12.27 (0.01) 1.39 1.38 -- (0.05) (0.05) 13.60
- ------------------------------------------------------------------------------------------------------------------------------------
FOCUS PORTFOLIO
CLASS A
6/08/98-10/31/98........................ $12.50 $(0.01) $ 0.11 $ 0.10 $ -- $ -- $ -- $12.60
4/30/99(6).............................. 12.60 (0.05) 4.30 4.25 -- -- -- 16.85
CLASS B
6/08/98-10/31/98........................ 12.50 (0.04) 0.10 0.06 -- -- -- 12.56
4/30/99(6).............................. 12.56 (0.10) 4.29 4.19 -- -- -- 16.75
CLASS II
6/08/98-10/31/98........................ 12.50 (0.04) 0.10 0.06 -- -- -- 12.56
4/30/99(6).............................. 12.56 (0.10) 4.28 4.18 -- -- -- 16.74
<CAPTION>
RATIO OF
NET ASSETS RATIO OF INVESTMENT
END OF EXPENSES INCOME (LOSS)
PERIOD TOTAL PERIOD TO AVERAGE TO AVERAGE NET PORTFOLIO
ENDED RETURN(2) (000'S) NET ASSETS(4) ASSETS(4) TURNOVER
- ---------------------------------------- --------- ---------- ------------- -------------- ---------
<S> <C> <C> <C> <C> <C>
INTERNATIONAL EQUITY PORTFOLIO
11/19/96-10/31/97....................... (0.32)% $ 24,365 2.10%(3) 0.07%(3) 70%
10/31/98................................ (0.09) 28,418 2.03 (0.11) 114
4/30/99(6).............................. 10.99 28,698 2.03(3)(5) (0.61)(3) 73
11/19/96-10/31/97....................... (0.96) 42,656 2.72(3) (0.69)(3) 70
10/31/98................................ (0.67) 47,817 2.68 (0.74) 114
4/30/99(6).............................. 10.55 47,747 2.68(3)(5) (1.27)(3) 73
3/06/97-10/31/97........................ (1.75) 4,459 2.70(3) (0.75)(3) 70
10/31/98................................ (0.67) 7,982 2.68 (0.71) 114
4/30/99(6).............................. 10.55 9,368 2.68(3)(5) (1.23)(3) 73
4/06/98-10/31/98........................ (11.54) 145 1.46(3) 0.40(3) 114
4/30/99(6).............................. 11.27 36 1.46(3)(5) (0.11)(3) 73
- ---------------------------------------- -------------------------------------------------------------------
FOCUS PORTFOLIO
6/08/98-10/31/98........................ 0.80% $ 29,770 1.45%(3) (0.21)%(3) 106%
4/30/99(6).............................. 33.73 99,125 1.45(3)(5) (0.68)(3) 86
6/08/98-10/31/98........................ 0.48 45,817 2.10(3) (0.92)(3) 106
4/30/99(6).............................. 33.36 149,366 2.10(3)(5) (1.32)(3) 86
6/08/98-10/31/98........................ 0.48 35,387 2.10(3) (0.93)(3) 106
4/30/99(6).............................. 33.28 119,414 2.10(3)(5) (1.32)(3) 86
</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 10/31/98 4/30/99 10/31/97 10/31/98 4/30/99
-------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C>
International Equity A ....... 0.37% 0.45% 0.29% Focus A ...................... -- 0.32% 0.23%
International Equity B ....... 0.45% 0.48% 0.31% Focus B ...................... -- 0.32% 0.23%
International Equity II ...... 0.87% 0.55% 0.40% Focus II ..................... -- 0.32% 0.22%
International Equity Z ....... -- 16.25% 12.78%
</TABLE>
(5) The expense ratio reflects a gross up of custody expense credits
(6) Unaudited
See Notes to Financial Statements
<PAGE>
35
STYLE SELECT SERIES LOGO
Large-Cap Growth Portfolio
- -------------------------------------------
PORTFOLIO OF INVESTMENTS -- APRIL 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- ---------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCK--95.4%
BANKS--3.8%
Bank of New York Co., Inc............. 17,680 $ 707,200
BankAmerica Corp...................... 6,797 488,534
MBNA Corp............................. 21,400 603,213
State Street Corp..................... 16,000 1,400,000
---------------
3,198,947
---------------
BROADCASTING & MEDIA--9.8%
AT&T Corp.-Liberty Media Group, Inc.,
Class A+............................ 6,575 419,978
Cablevision Systems Corp., Class A+... 8,920 690,185
CBS Corp.+............................ 16,000 729,000
Comcast Corp., Class A................ 13,745 902,015
Interpublic Group of Cos., Inc........ 24,800 1,923,550
MediaOne Group, Inc.+................. 10,260 836,831
Omnicom Group, Inc.................... 14,000 1,015,000
Time Warner, Inc...................... 15,410 1,078,700
Viacom, Inc., Class B+................ 17,715 724,101
---------------
8,319,360
---------------
BUSINESS SERVICES--0.8%
Tyco International Ltd................ 8,190 665,438
---------------
COMMUNICATION EQUIPMENT--0.9%
Tellabs, Inc.+........................ 7,200 787,500
---------------
COMPUTERS & BUSINESS EQUIPMENT--6.8%
Dell Computer Corp.+.................. 17,795 731,819
EMC Corp.+............................ 16,985 1,850,303
Hewlett-Packard Co.................... 22,000 1,735,250
International Business Machines
Corp................................ 7,000 1,464,313
---------------
5,781,685
---------------
DRUGS--9.8%
Bristol-Myers Squibb Co.(1)........... 14,000 889,875
Eli Lilly & Co.(1).................... 30,605 2,253,293
Merck & Co., Inc...................... 21,700 1,524,425
Pfizer, Inc.(1)....................... 22,050 2,537,128
Pharmacia & Upjohn, Inc............... 10,100 565,600
SmithKline Beecham PLC ADR............ 8,175 536,996
---------------
8,307,317
---------------
ELECTRONICS--5.5%
ASM Lithography Holdings NV+.......... 14,400 561,600
Intel Corp............................ 36,800 2,249,400
Linear Technology Corp................ 11,470 652,356
Molex, Inc............................ 24,000 687,000
Solectron Corp.+...................... 10,800 523,800
---------------
4,674,156
---------------
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- ---------------------------------------------------------------------------
<S> <C> <C>
ENTERTAINMENT PRODUCTS--0.4%
Mattel, Inc........................... 13,300 $ 344,138
---------------
FINANCIAL SERVICES--6.4%
American Express Co................... 11,580 1,513,361
Charles Schwab Corp................... 11,775 1,292,306
Citigroup, Inc........................ 5,925 445,856
Federal Home Loan Mortgage Corp....... 6,650 417,288
Federal National Mortgage
Association......................... 9,225 654,398
Morgan Stanley, Dean Witter & Co...... 8,390 832,183
Newcourt Credit Group, Inc............ 10,350 292,388
---------------
5,447,780
---------------
FOOD, BEVERAGE & TOBACCO--4.2%
Bestfoods............................. 14,000 702,625
Coca-Cola Co.......................... 24,945 1,696,260
Coca-Cola Enterprises, Inc............ 21,350 736,575
Ralston-Ralston Purina Group.......... 12,600 384,300
---------------
3,519,760
---------------
HEALTH SERVICES--0.5%
IMS Health, Inc....................... 14,900 447,000
---------------
HOUSEHOLD PRODUCTS--4.0%
Gillette Co.(1)....................... 31,500 1,643,906
Procter & Gamble Co................... 12,000 1,125,750
Warner-Lambert Co.(1)................. 9,000 611,438
---------------
3,381,094
---------------
HOUSING--1.4%
Home Depot, Inc....................... 20,090 1,204,144
---------------
INSURANCE--1.9%
American International Group, Inc.*... 13,500 1,585,406
---------------
LEISURE & TOURISM--7.8%
Carnival Corp., Class A............... 24,275 1,001,344
Marriott International, Inc., Class
A................................... 16,000 670,000
McDonald's Corp.(1)................... 45,700 1,936,537
MGM Grand, Inc.+...................... 19,425 854,700
Southwest Airlines Co.(1)............. 12,450 405,403
The Walt Disney Co.................... 35,000 1,111,250
UAL Corp.+............................ 8,165 659,324
---------------
6,638,558
---------------
MACHINERY--0.6%
Applied Materials, Inc.+.............. 9,675 518,217
---------------
MEDICAL PRODUCTS--8.0%
AstraZeneca PLC ADR................... 16,234 637,185
Boston Scientific Corp.+.............. 23,000 978,937
Johnson & Johnson Co.................. 24,500 2,388,750
</TABLE>
<PAGE>
36
STYLE SELECT SERIES LOGO
Large-Cap Growth Portfolio
- -------------------------------------------
PORTFOLIO OF INVESTMENTS -- APRIL 30, 1999 (UNAUDITED) -- (CONTINUED)
<TABLE>
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- ---------------------------------------------------------------------------
<S> <C> <C>
</TABLE>
COMMON STOCK (CONTINUED)
MEDICAL PRODUCTS (CONTINUED)
<TABLE>
<S> <C> <C>
Medtronic, Inc.(1).................... 25,500 $ 1,834,406
Stryker Corp.......................... 15,000 917,813
---------------
6,757,091
---------------
MULTI-INDUSTRY--3.3%
General Electric Co................... 26,550 2,801,025
---------------
RETAIL--3.1%
Costco Cos., Inc.+.................... 4,300 347,763
Fred Meyer, Inc.+..................... 7,380 399,442
Gap, Inc.............................. 9,600 639,000
Office Depot, Inc.+................... 55,650 1,224,300
---------------
2,610,505
---------------
SOFTWARE--12.1%
American Power Conversion Corp.+...... 34,000 1,119,875
Automatic Data Processing, Inc........ 25,000 1,112,500
BMC Software, Inc.+................... 21,500 924,500
Cisco Systems, Inc.+.................. 26,475 3,019,805
Electronic Arts, Inc.+................ 9,000 456,750
Electronic Data Systems Corp.......... 12,000 645,000
Microsoft Corp.+...................... 36,200 2,941,250
---------------
10,219,680
---------------
TELECOMMUNICATIONS--1.8%
Ericsson L.M. Telecommunications
Co., Class B ADR.................... 22,400 603,400
Nokia Corp., Class A ADR.............. 12,700 942,181
---------------
1,545,581
---------------
TELEPHONE--2.5%
AT&T Corp............................. 16,838 850,294
Century Telephone Enterprises,
Inc.(1)............................. 15,000 603,750
MCI WorldCom, Inc.+................... 8,000 657,500
---------------
2,111,544
---------------
TOTAL INVESTMENT SECURITIES--95.4%
(cost $62,956,434).................... 80,865,926
---------------
<CAPTION>
PRINCIPAL
AMOUNT VALUE
SECURITY DESCRIPTION (IN THOUSANDS) (NOTE 3)
- ---------------------------------------------------------------------------
<S> <C> <C>
SHORT-TERM SECURITIES--1.9%
Federal Home Loan Mortgage Discount
Notes
4.82% due 05/03/99
(cost $1,599,571)................... $ 1,600 $ 1,599,571
---------------
REPURCHASE AGREEMENTS--4.0%
Agreement with State Street Bank and
Trust Co., bearing 4.00%, dated
4/30/99 to be repurchased 5/03/99 in
the amount of $2,773,924
collateralized by $2,170,000 U.S.
Treasury Bond 10.75% due 8/15/05
approximate aggregate value
$2,831,850
(cost $2,773,000)................... 2,773 2,773,000
Agreement with State Street Bank and
Trust Co., bearing 4.00%, dated
4/30/99 to be repurchased 5/03/99 in
the amount of $597,199
collateralized by $445,000 U.S.
Treasury Bond 8.875%, due 2/15/19
approximate aggregate value $609,094
(cost $597,000)..................... 597 597,000
---------------
TOTAL REPURCHASE AGREEMENTS
(cost $3,370,000)..................... 3,370,000
---------------
TOTAL INVESTMENTS--
(cost $67,926,005).................... 101.3% 85,835,497
Liabilities in excess of other assets... (1.3) (1,110,947)
------- ---------------
NET ASSETS-- 100.0% $ 84,724,550
------- ---------------
------- ---------------
</TABLE>
- ------------------
+ Non-income producing security
* Security represents an investment in an affiliated company
ADR ("American Depositary Receipt")
(1) Security is traded with rights attached
See Notes to Financial Statements
<PAGE>
37
STYLE SELECT SERIES LOGO
Mid-Cap Growth Portfolio
- -------------------------------------------
PORTFOLIO OF INVESTMENTS -- APRIL 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- ---------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCK--99.3%
AEROSPACE & MILITARY TECHNOLOGY--0.6%
BE Aerospace, Inc.+................... 16,300 $ 278,119
Gulfstream Aerospace Corp.+........... 8,700 424,125
---------------
702,244
---------------
APPAREL & TEXTILES--0.6%
Jones Apparel Group, Inc.+............ 22,100 729,300
---------------
AUTOMOTIVE--1.6%
AutoZone, Inc.+....................... 11,900 357,000
Danaher Corp.......................... 17,000 1,129,438
Donaldson Co., Inc.(1)................ 20,000 447,500
---------------
1,933,938
---------------
BANKS--3.8%
First Tennessee National Corp......... 13,900 599,438
Mercantile Bankshares Corp............ 15,000 555,000
North Fork Bancorp., Inc.(1).......... 17,200 387,000
Toronto Dominion Bank................. 8,900 475,594
Warnaco Group, Inc., Class A.......... 26,400 704,550
WestAmerica Bancorp................... 17,000 567,375
Wilmington Trust Corp................. 15,000 921,562
Zions Bancorp......................... 4,700 313,431
---------------
4,523,950
---------------
BROADCASTING & MEDIA--8.5%
AT&T Corp.-Liberty Media Group, Inc.,
Class A+............................ 16,119 1,029,601
Catalina Marketing Corp.+............. 13,200 1,127,775
Cinar Films, Inc., Class B+........... 23,000 480,125
Comcast Corp., Class A................ 2,100 137,813
Fox Entertainment Group, Inc., Class
A+.................................. 11,700 299,812
Heftel Broadcasting Corp., Class A+... 8,000 431,000
Houghton Mifflin Co................... 10,100 450,712
Imax Corp.+........................... 13,800 261,338
Jacor Communications, Inc.+........... 3,100 248,388
Jones Intercable, Inc., Class A+...... 20,500 950,687
Outdoor Systems, Inc.+................ 42,100 1,060,394
Rogers Communications, Inc., Class
B+.................................. 10,200 190,613
TCI Music, Inc., Class A+............. 12,100 544,500
TV Guide, Inc., Class A+.............. 17,800 749,825
Univision Communications, Inc., Class
A+.................................. 11,300 653,987
USA Networks, Inc.+................... 11,700 436,556
Valassis Communications, Inc.+........ 8,100 453,600
Young & Rubicam, Inc.+................ 15,200 605,150
---------------
10,111,876
---------------
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- ---------------------------------------------------------------------------
<S> <C> <C>
BUSINESS SERVICES--12.5%
Acxiom Corp.+......................... 36,200 $ 909,525
Allied Waste Industries, Inc.+........ 59,525 1,052,848
Browning-Ferris Industries, Inc.(1)... 11,900 474,512
Cintas Corp........................... 11,900 814,406
Concord EFS, Inc.+.................... 11,300 375,019
Dycom Industries, Inc................. 1,900 86,806
Fiserv, Inc.+......................... 14,850 869,653
G & K Services, Inc., Class A......... 20,000 935,000
Gartner Group, Inc., Class A+......... 21,200 404,125
Ingram Micro, Inc., Class A+.......... 8,200 209,100
Interim Services, Inc.+............... 18,800 326,650
Medquist, Inc.+....................... 14,600 500,050
National Data Corp.................... 9,500 438,188
NOVA Corp.+........................... 21,400 556,400
Pentair, Inc.......................... 8,000 376,000
Republic Services, Inc................ 29,000 596,312
Ritchie Brothers Auctioneers, Inc.+... 14,000 489,125
Robert Half International, Inc.+(1)... 16,800 401,100
Romac International, Inc.+............ 22,800 256,500
Saville Systems PLC ADR+.............. 23,300 279,600
Sodexho Marriott Services, Inc........ 10,600 240,488
Sothebys Holdings, Inc................ 2,900 123,613
Tetra Tech, Inc.+..................... 16,800 406,350
The BISYS Group, Inc.+................ 15,700 796,775
United Rentals, Inc.+................. 81,078 2,417,138
Viad Corp............................. 12,500 413,281
Waste Management, Inc................. 1,000 56,500
---------------
14,805,064
---------------
CHEMICALS--0.4%
Bush Boake Allen, Inc.+............... 6,000 164,625
Great Lakes Chemical Corp.(1)......... 6,800 325,125
Macdermid, Inc........................ 700 29,356
---------------
519,106
---------------
COMMUNICATION EQUIPMENT--2.6%
ADC Telecommunications, Inc.+......... 16,500 788,906
Broadcom Corp., Class A+.............. 7,400 570,725
Cox Communications, Inc., Class A+.... 2,100 166,688
Loral Space & Communications Corp.+... 21,700 423,150
QUALCOMM, Inc.+....................... 5,500 1,096,562
---------------
3,046,031
---------------
</TABLE>
<PAGE>
38
STYLE SELECT SERIES LOGO
Mid-Cap Growth Portfolio
- -------------------------------------------
PORTFOLIO OF INVESTMENTS -- APRIL 30, 1999 (UNAUDITED) -- (CONTINUED)
<TABLE>
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- ---------------------------------------------------------------------------
<S> <C> <C>
</TABLE>
COMMON STOCK (CONTINUED)
<TABLE>
<S> <C> <C>
COMPUTERS & BUSINESS EQUIPMENT--0.5%
Network Appliance, Inc.+.............. 5,300 $ 266,656
Network Solutions, Inc., Class A+..... 4,100 318,775
---------------
585,431
---------------
DRUGS--3.3%
ALZA Corp.+........................... 8,200 275,212
Amerisource Health Corp., Class A+.... 13,600 376,550
Biogen, Inc.+(1)...................... 8,000 760,500
Genzyme Corp.+........................ 19,000 714,875
Gilead Sciences, Inc.+................ 9,500 437,000
MedImmune, Inc.+...................... 3,900 214,988
Omnicare, Inc......................... 21,000 505,312
Sepracor, Inc.+....................... 1,100 92,950
Shire Pharmaceuticals Group ADR+...... 4,300 92,450
Teva Pharmaceutical Industries Ltd.
ADR................................. 10,600 483,625
---------------
3,953,462
---------------
ELECTRICAL EQUIPMENT--0.6%
Sanmina Corp.+........................ 2,100 139,388
SCI Systems, Inc.+.................... 15,200 578,550
---------------
717,938
---------------
ELECTRONICS--6.6%
Analog Devices, Inc.+(1).............. 13,400 470,675
Dallas Semiconductor Corp............. 24,000 1,020,000
KLA-Tencor Corp.+(1).................. 13,600 671,500
Linear Technology Corp................ 8,400 477,750
Littelfuse, Inc.+..................... 30,000 603,750
Maxim Integrated Products, Inc.+...... 6,800 380,800
Molex, Inc............................ 10,600 303,425
PMC-Sierra, Inc.+..................... 5,100 488,962
Teleflex, Inc......................... 9,900 431,269
Uniphase Corp.+....................... 5,800 701,800
Vitesse Semiconductor Corp.+.......... 13,500 625,219
Waters Corp.+......................... 1,400 147,175
Xilinx, Inc.+(1)...................... 33,200 1,514,750
---------------
7,837,075
---------------
ENERGY SERVICES--2.6%
Baker Hughes, Inc..................... 21,200 633,350
BJ Services Co.+...................... 47,900 1,281,325
Cooper Cameron Corp.+................. 12,900 498,262
Grey Wolf, Inc.+...................... 164,100 389,738
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- ---------------------------------------------------------------------------
<S> <C> <C>
</TABLE>
ENERGY SERVICES (CONTINUED)
<TABLE>
<S> <C> <C>
Nabors Industries, Inc.+.............. 14,400 $ 296,100
---------------
3,098,775
---------------
ENERGY SOURCES--0.8%
Barrett Resources Corp.+.............. 22,400 680,400
Millipore Corp........................ 3,700 113,544
Ocean Energy, Inc.+................... 12,900 120,131
---------------
914,075
---------------
FINANCIAL SERVICES--5.2%
Capital One Financial Corp............ 2,800 486,325
CIT Group, Inc., Class A.............. 16,400 533,000
E*TRADE Group, Inc.+.................. 6,700 773,850
FINOVA Group, Inc..................... 13,500 652,219
Franklin Resources, Inc............... 2,100 84,000
Heller Financial, Inc................. 23,500 637,437
Knight Trimark Group, Inc., Class
A+.................................. 4,300 658,706
National Commerce Bancorp............. 21,700 539,788
Providian Financial Corp.............. 5,400 696,937
Telebanc Financial Corp.+............. 4,400 453,200
Waddell & Reed Financial, Inc., Class
A................................... 19,600 442,225
Waddell & Reed Financial, Inc., Class
B................................... 8,700 194,119
---------------
6,151,806
---------------
FOOD, BEVERAGE & TOBACCO--1.9%
Beringer Wine Estates Holdings, Inc.,
Class B+............................ 27,500 1,082,812
Suiza Foods Corp.+.................... 14,700 552,169
US Foodservice, Inc.+................. 15,000 630,938
---------------
2,265,919
---------------
FOREST PRODUCTS--0.6%
Bemis Co., Inc.(1).................... 19,800 693,000
---------------
HEALTH SERVICES--3.9%
Covance, Inc.+........................ 56,300 1,235,081
Foundation Health Systems, Inc.+...... 27,600 381,225
HCR Manor Care, Inc.+................. 12,300 341,325
Health Management Associates, Inc.,
Class A+............................ 59,975 937,109
Lincare Holdings, Inc.+............... 43,900 1,284,075
Orthodontic Centers of America,
Inc.+............................... 13,900 172,013
Total Renal Care Holdings, Inc.+...... 17,200 238,650
---------------
4,589,478
---------------
</TABLE>
<PAGE>
39
STYLE SELECT SERIES LOGO
Mid-Cap Growth Portfolio
- -------------------------------------------
PORTFOLIO OF INVESTMENTS -- APRIL 30, 1999 (UNAUDITED) -- (CONTINUED)
<TABLE>
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- ---------------------------------------------------------------------------
<S> <C> <C>
</TABLE>
COMMON STOCK (CONTINUED)
<TABLE>
<S> <C> <C>
HOUSEHOLD PRODUCTS--1.6%
Dial Corp............................. 15,500 $ 527,000
Estee Lauder Cos. Class A............. 5,500 550,688
Ionics, Inc.+......................... 20,200 689,325
Omnipoint Corp.+...................... 8,900 158,531
---------------
1,925,544
---------------
HOUSING--0.4%
Miller (Herman), Inc.................. 26,100 520,369
---------------
INSURANCE--3.2%
Ace Ltd............................... 8,000 242,000
Aflac, Inc............................ 15,100 819,175
CMAC Investment Corp.................. 8,000 367,000
Fairfax Financial+.................... 100 27,690
Fairfax Financial Holdings Ltd.+...... 800 233,180
Frontier Insurance Group, Inc......... 19,700 272,106
MGIC Investment Corp.................. 6,200 301,088
Protective Life Corp.(1).............. 22,300 873,881
Reinsurance Group of America, Inc..... 16,500 705,375
---------------
3,841,495
---------------
LEISURE & TOURISM--3.9%
Comair Holdings, Inc.................. 25,050 551,100
Galileo International, Inc............ 16,100 788,900
Outback Steakhouse, Inc.+............. 14,400 515,700
Premier Parks, Inc.+.................. 36,600 1,264,987
Royal Caribbean Cruises Ltd........... 13,400 494,963
Speedway Motorsports, Inc.+........... 22,800 988,950
---------------
4,604,600
---------------
MACHINERY--1.7%
MSC Industrial Direct Co., Inc., Class
A+.................................. 45,100 972,469
Nordson Corp.(1)...................... 5,000 301,250
Smith International, Inc.+(1)......... 16,600 744,925
---------------
2,018,644
---------------
MEDICAL PRODUCTS--2.2%
Centocor, Inc.+....................... 6,500 287,219
Genentech, Inc.+...................... 4,300 363,888
Henry Schein, Inc.+................... 36,900 966,319
Sybron International Corp.+........... 18,600 514,987
VISX, Inc.+........................... 4,100 527,875
---------------
2,660,288
---------------
METALS & MINERALS--0.8%
Minerals Technologies, Inc............ 18,000 972,000
---------------
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- ---------------------------------------------------------------------------
<S> <C> <C>
RETAIL--7.7%
Abercrombie & Fitch Co., Class A+..... 4,000 $ 380,500
Ann Taylor Stores Corp.+.............. 9,300 441,750
Bed Bath & Beyond, Inc.+.............. 3,700 132,044
Best Buy Co., Inc.+................... 9,600 458,400
BJ's Wholesale Club, Inc.+............ 21,200 563,125
Borders Group, Inc.+.................. 14,400 207,900
Boyds Collection Ltd.+................ 26,800 469,000
Circuit City Stores, Inc.(1).......... 12,300 756,450
Costco Cos., Inc.+.................... 4,800 388,200
eBay, Inc.+........................... 2,500 520,000
Ethan Allen Interiors, Inc............ 17,700 897,169
Family Dollar Stores, Inc............. 21,700 523,512
Fred Meyer, Inc.+..................... 4,700 254,387
General Nutrition Cos., Inc.+......... 5,900 97,719
Hollywood Entertainment Corp.+........ 22,300 550,531
Richfood Holdings, Inc................ 14,100 176,250
Saks, Inc.+........................... 9,700 274,631
ShopKo Stores, Inc.+.................. 11,100 380,869
Tandy Corp.(1)........................ 7,600 550,525
Whole Foods Market, Inc.+............. 27,600 1,072,950
---------------
9,095,912
---------------
SOFTWARE--13.4%
Adobe Systems, Inc.................... 10,700 678,112
Affiliated Computer Services, Inc.,
Class A+............................ 17,300 661,725
Amazon.com, Inc.+..................... 2,200 378,400
Black Box Corp.+...................... 17,800 609,650
BMC Software, Inc.+................... 5,200 223,600
CheckFree Holdings Corp.+............. 4,600 218,500
CIBER, Inc.+.......................... 21,900 413,363
Citrix Systems, Inc.+................. 2,000 85,000
Cognos, Inc.+......................... 19,000 454,813
Concentric Network Corp. Delaware +... 5,600 467,600
DST Systems, Inc.+.................... 21,100 1,229,075
Excite, Inc.+......................... 4,200 613,200
Inktomi Corp.+........................ 5,500 660,687
Intuit, Inc.+......................... 2,700 232,200
MindSpring Enterprises, Inc.+......... 6,800 659,175
Parametric Technology Corp.+.......... 23,600 305,325
Pixar, Inc.+.......................... 7,800 323,700
Policy Management Systems Corp.+...... 27,600 867,675
Rational Software Corp.+.............. 24,500 725,812
Renaissance Worldwide, Inc.+.......... 9,700 64,263
Rhythms Netconnections, Inc.+......... 4,900 404,250
Sapient Corp.+........................ 6,500 407,875
</TABLE>
<PAGE>
40
STYLE SELECT SERIES LOGO
Mid-Cap Growth Portfolio
- -------------------------------------------
PORTFOLIO OF INVESTMENTS -- APRIL 30, 1999 (UNAUDITED) -- (CONTINUED)
<TABLE>
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- ---------------------------------------------------------------------------
<S> <C> <C>
</TABLE>
COMMON STOCK (CONTINUED)
SOFTWARE (CONTINUED)
<TABLE>
<S> <C> <C>
Shared Medical Systems Corp........... 18,700 $ 1,015,644
Softnet Systems, Inc.+................ 9,800 319,725
Sterling Commerce, Inc.+.............. 22,800 713,925
Sterling Software, Inc.+.............. 45,600 943,350
SunGard Data Systems, Inc.+........... 15,000 479,062
Synopsys, Inc.+....................... 20,600 970,775
Systems & Computer Technology
Corp.+.............................. 22,600 310,750
Yahoo!, Inc.+......................... 2,800 488,775
---------------
15,926,006
---------------
TELECOMMUNICATIONS--4.2%
Frontier Corp......................... 8,800 485,650
General Instrument Corp.+............. 21,200 773,800
Globalstar Telecommunications Ltd.+... 18,116 362,320
McLeodUSA, Inc., Class A+............. 6,800 379,100
Orange PLC ADR+....................... 3,100 209,250
RSL Communications Ltd., Class A+..... 15,500 512,469
Sprint Corp. (PCS Group).............. 10,700 453,412
Western Wireless Corp., Class A+...... 44,800 1,828,400
---------------
5,004,401
---------------
TELEPHONE--1.3%
Century Telephone Enterprises,
Inc.(1)............................. 9,000 362,250
Cincinnati Bell, Inc.................. 21,900 495,488
NEXTLINK Communications, Inc., Class
A+.................................. 9,200 667,000
---------------
1,524,738
---------------
TRANSPORTATION--2.3%
Air Express International Corp........ 27,500 601,562
C.H. Robinson Worldwide, Inc.......... 29,300 877,169
CNF Transportation, Inc............... 15,300 668,419
Werner Enterprises, Inc............... 30,750 584,250
---------------
2,731,400
---------------
TOTAL INVESTMENT SECURITIES--99.3%
(cost $100,641,849)................... 118,003,865
---------------
<CAPTION>
PRINCIPAL
AMOUNT VALUE
SECURITY DESCRIPTION (IN THOUSANDS) (NOTE 3)
- ---------------------------------------------------------------------------
<S> <C> <C>
SHORT-TERM SECURITIES--2.1%
Cayman Island Time Deposit
3.75% due 5/03/99................... $ 1,386 $ 1,386,000
Federal Home Loan Mortgage Discount
Notes
4.70% due 7/02/99................... 250 247,976
Federal Home Loan Mortgage Discount
Notes
4.71% due 5/06/99................... 39 38,975
Federal Home Loan Mortgage Discount
Notes
4.74% due 6/04/99................... 660 657,045
Federal Home Loan Mortgage Discount
Notes
4.75% due 5/20/99................... 133 132,667
---------------
TOTAL SHORT-TERM SECURITIES
(cost $2,462,663)..................... 2,462,663
---------------
REPURCHASE AGREEMENT--0.2%
Joint Repurchase Agreement
(Note 3)
(cost $200,000)..................... 200 200,000
---------------
TOTAL INVESTMENTS--
(cost $103,304,512)................... 101.6% 120,666,528
Liabilities in excess of other assets... (1.6) (1,911,513)
--------------- ---------------
NET ASSETS-- 100.0% $ 118,755,015
--------------- ---------------
--------------- ---------------
</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 LOGO
Aggressive Growth Portfolio
- -------------------------------------------
PORTFOLIO OF INVESTMENTS -- APRIL 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- ---------------------------------------------------------------------
<S> <C> <C>
COMMON STOCK--87.5%
AEROSPACE & MILITARY TECHNOLOGY--0.6%
Gulfstream Aerospace Corp.+........... 16,900 $ 823,875
Heico Corp., Class A.................. 29,400 619,237
--------------
1,443,112
--------------
APPAREL & TEXTILES--1.3%
Footstar, Inc.+....................... 1,700 574,812
Gentex Corp.+......................... 21,900 658,369
Gerber Childrenswear, Inc.+........... 10,600 82,150
Oakley, Inc.+......................... 40,700 279,813
Ross Stores, Inc...................... 11,500 526,125
Talbots, Inc.......................... 27,200 856,800
--------------
2,978,069
--------------
AUTOMOTIVE--1.6%
Ford Motor Co......................... 57,485 3,675,447
--------------
BANKS--1.2%
Americredit Corp.+.................... 33,200 549,875
Banco Latinoamericano de Exportaciones
SA, Class E......................... 24,000 765,000
Hamilton Bancorp, Inc.+............... 13,000 325,000
Pacific Century Financial Corp........ 26,100 567,675
Peoples Heritage Financial Group,
Inc................................. 31,400 608,375
--------------
2,815,925
--------------
BROADCASTING & MEDIA--9.2%
Adelphia Communications Corp., Class
A+.................................. 10,900 742,563
Cablevision Systems Corp., Class A+... 11,800 913,025
Catalina Marketing Corp.+............. 8,200 700,588
Central European Media Enterprises
Ltd., Class A+...................... 37,300 298,400
Cinar Films, Inc., Class B+........... 18,400 384,100
Clear Channel Communications, Inc.+... 10,300 715,850
Comcast Corp., Class A................ 48,195 3,162,797
Getty Images, Inc.+................... 33,700 871,987
Heftel Broadcasting Corp., Class A+... 12,200 657,275
Infinity Broadcasting Corp., Class
A+.................................. 5,600 155,050
Jacor Communications, Inc.+........... 7,000 560,875
Macromedia, Inc.+..................... 11,500 476,531
Multex Systems, Inc.+................. 8,800 377,300
Netgravity, Inc.+..................... 11,700 473,119
Nielsen Media Research, Inc........... 24,200 662,475
Outdoor Systems, Inc.+................ 37,280 938,990
Rowecom, Inc.+........................ 1,000 28,625
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- ---------------------------------------------------------------------
<S> <C> <C>
</TABLE>
BROADCASTING & MEDIA (CONTINUED)
<TABLE>
<S> <C> <C>
Scholastic Corp.+..................... 13,200 $ 617,925
Snyder Communications, Inc.+.......... 12,100 355,438
TCA Cable TV, Inc..................... 16,100 798,962
Time Warner, Inc...................... 61,420 4,299,400
USA Networks, Inc.+................... 10,000 373,125
Valuevision International, Inc., Class
A+.................................. 20,400 291,975
Wiley (John) & Sons, Inc., Class A.... 13,500 545,906
Ziff-Davis, Inc.-ZD+.................. 20,700 729,675
Ziff-Davis, Inc.-ZDNet+............... 42,400 670,450
--------------
20,802,406
--------------
BUSINESS SERVICES--3.0%
AnswerThink Consulting Group, Inc.+... 20,000 443,750
DeVry, Inc.+.......................... 29,400 775,425
Fiserv, Inc.+......................... 10,300 603,194
Marketwatch Common, Inc.+............. 500 35,563
Novellus Systems, Inc.+............... 5,100 240,975
On Assignment, Inc.+.................. 20,200 612,312
Paychex, Inc.......................... 7,000 356,562
QRS Corp.+............................ 17,000 926,500
RCM Technologies, Inc.+............... 27,900 357,469
Saville Systems PLC ADR+.............. 17,700 212,400
Sothebys Holdings, Inc., Class A+..... 19,500 831,187
The BISYS Group, Inc.+................ 12,700 644,525
USWeb Corp.+.......................... 28,000 628,250
--------------
6,668,112
--------------
COMMUNICATION EQUIPMENT--2.7%
AVT Corp.+............................ 6,100 165,463
Entrust Technologies, Inc.+........... 31,700 776,650
FORE Systems, Inc.+................... 23,100 776,738
Gilat Satellite Networks Ltd.+........ 9,000 465,750
Security Dynamics Technologies,
Inc.+............................... 31,400 682,950
Verisign, Inc.+....................... 28,820 3,292,685
--------------
6,160,236
--------------
COMPUTERS & BUSINESS EQUIPMENT--2.0%
Brightstar Information Corp.+......... 6,000 28,500
Electronics for Imaging, Inc.+........ 14,200 670,950
EMC Corp.+............................ 24,540 2,673,326
Network Appliance, Inc.+.............. 12,000 603,750
Network Solutions, Inc., Class A+..... 8,000 622,000
--------------
4,598,526
--------------
</TABLE>
<PAGE>
42
STYLE SELECT SERIES LOGO
Aggressive Growth Portfolio
- -------------------------------------------
PORTFOLIO OF INVESTMENTS -- APRIL 30, 1999 (UNAUDITED) -- (CONTINUED)
<TABLE>
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- ---------------------------------------------------------------------
<S> <C> <C>
</TABLE>
COMMON STOCK (CONTINUED)
<TABLE>
<S> <C> <C>
DRUGS--4.2%
Eli Lilly & Co.(1).................... 35,560 $ 2,618,105
Genzyme Corp.+........................ 7,400 278,425
MedImmune, Inc.+...................... 49,550 2,731,444
Nanogen, Inc.+........................ 20,000 158,750
Pfizer, Inc.(1)....................... 14,595 1,679,337
Sepracor, Inc.+....................... 18,835 1,591,557
Teva Pharmaceutical Industries Ltd.
ADR................................. 11,700 533,813
--------------
9,591,431
--------------
EDUCATION--0.4%
Caliber Learning Network, Inc.+....... 14,100 57,281
ITT Educational Services, Inc.+....... 22,300 547,744
Sylvan Learning Systems, Inc.+........ 12,000 301,500
--------------
906,525
--------------
ELECTRIC UTILITIES--0.2%
Niagara Mohawk Holdings, Inc.......... 37,100 496,213
--------------
ELECTRONICS--2.6%
Burr-Brown Corp.+(1).................. 24,200 641,300
Commscope, Inc........................ 17,800 433,875
Lattice Semiconductor Corp.+.......... 2,000 81,750
Maxim Integrated Products, Inc........ 16,500 924,000
Metromedia Fiber Network, Inc., Class
A................................... 14,805 1,244,546
Pittway Corp., Class A................ 23,400 617,175
Uniphase Corp.+....................... 9,500 1,149,500
Vitesse Semiconductor Corp.+.......... 18,500 856,781
--------------
5,948,927
--------------
ENERGY SERVICES--3.2%
BJ Services Co.+...................... 85,400 2,284,450
Diamond Offshore Drilling, Inc........ 22,900 757,131
Friede Goldman International, Inc.+... 43,000 803,563
Nabors Industries, Inc.+.............. 24,100 495,556
Petroleum Geo-Services ADR+........... 45,100 755,425
Transocean Offshore, Inc.............. 27,000 801,563
Weatherford International, Inc.+...... 42,100 1,426,137
--------------
7,323,825
--------------
ENTERTAINMENT PRODUCTS--0.1%
Penske Motorsports, Inc.+............. 7,100 257,375
--------------
FINANCIAL SERVICES--0.8%
Comdisco, Inc......................... 30,000 789,375
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- ---------------------------------------------------------------------
<S> <C> <C>
</TABLE>
FINANCIAL SERVICES (CONTINUED)
<TABLE>
<S> <C> <C>
Morgan Stanley, Dean Witter & Co...... 7,000 $ 694,312
Raymond James Financial, Inc.......... 10,000 215,625
--------------
1,699,312
--------------
FOOD, BEVERAGE & TOBACCO--0.3%
Ben & Jerrys Homemade, Inc.+.......... 25,900 738,150
--------------
HEALTH SERVICES--1.4%
Alternative Living Services, Inc.+.... 59,500 1,323,875
Concentra Managed Care, Inc.+......... 38,000 515,375
Sunrise Assisted Living, Inc.+........ 32,000 1,264,000
--------------
3,103,250
--------------
HOUSEHOLD PRODUCTS--0.2%
Central Garden & Pet Co.+............. 35,400 495,600
--------------
HOUSING--2.6%
D.R. Horton, Inc...................... 16,000 309,000
Home Depot, Inc....................... 87,430 5,240,336
Mohawk Industries, Inc.+.............. 9,400 303,150
Restoration Hardware, Inc.+........... 3,000 46,500
--------------
5,898,986
--------------
INSURANCE--1.3%
AMBAC, Inc............................ 13,900 839,212
Annuity & Life Re Holdings Ltd........ 10,000 197,500
Enhance Financial Services Group,
Inc................................. 25,000 517,188
Gallagher (Arthur J.) & Co............ 8,500 403,750
Reinsurance Group of America, Inc..... 29,950 905,987
Reliance Group Holdings, Inc.......... 20,000 150,000
--------------
3,013,637
--------------
LEISURE & TOURISM--2.8%
Action Performance Cos., Inc.+........ 29,800 1,009,475
Championship Auto Racing Teams,
Inc.+............................... 17,400 536,138
Extended Stay America, Inc.+.......... 55,700 584,850
MGM Grand, Inc.+...................... 5,610 246,840
Outback Steakhouse, Inc.+............. 30,900 1,106,606
Premier Parks, Inc.+.................. 26,500 915,906
Promus Hotel Corp.+................... 15,700 565,200
Steiner Leisure Ltd.+................. 6,550 203,869
Sunterra Corp.+....................... 46,800 503,100
Vistana, Inc.+........................ 46,400 690,200
--------------
6,362,184
--------------
</TABLE>
<PAGE>
43
STYLE SELECT SERIES LOGO
Aggressive Growth Portfolio
- -------------------------------------------
PORTFOLIO OF INVESTMENTS -- APRIL 30, 1999 (UNAUDITED) -- (CONTINUED)
<TABLE>
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- ---------------------------------------------------------------------
<S> <C> <C>
</TABLE>
COMMON STOCK (CONTINUED)
<TABLE>
<S> <C> <C>
MACHINERY--1.8%
Cognex Corp.+......................... 20,600 $ 597,400
Orbotech Ltd.+........................ 10,700 513,600
Oshkosh Truck Corp., Class B.......... 17,000 629,000
Smith International, Inc.+(1)......... 51,400 2,306,575
--------------
4,046,575
--------------
MEDICAL PRODUCTS--0.8%
Alkermes, Inc.+....................... 22,100 591,175
Henry Schein, Inc.+................... 22,400 586,600
Invitrogen Corp.+..................... 32,400 571,050
--------------
1,748,825
--------------
MULTI-INDUSTRY--1.2%
General Electric Co................... 26,615 2,807,882
--------------
REAL ESTATE INVESTMENT TRUSTS--0.6%
CB Richard Ellis Services, Inc.+...... 36,500 734,562
IndyMac Mortgage Holdings, Inc........ 15,100 249,150
Jones Lang Lasalle, Inc.+............. 18,100 483,044
--------------
1,466,756
--------------
RETAIL--7.0%
Abercrombie & Fitch Co., Class A+..... 13,900 1,322,237
BJ's Wholesale Club, Inc.+............ 21,600 573,750
Claire's Stores, Inc.................. 18,200 602,875
Costco Cos., Inc.+.................... 35,790 2,894,516
eBay, Inc.+........................... 12,555 2,611,440
Gap, Inc.............................. 28,350 1,887,047
Movado Group, Inc..................... 4,300 103,738
Payless ShoeSource, Inc.+............. 15,700 760,469
PetSmart, Inc.+....................... 73,800 682,650
Sunglass Hut International, Inc.+..... 77,000 967,312
The Kroll O'Gara Co.+................. 47,600 1,139,425
Ticketmaster Online-Citysearch, Inc.,
Class B+............................ 13,500 425,250
Wal-Mart Stores, Inc.................. 17,840 820,640
Walgreen Co.(1)....................... 41,760 1,122,300
--------------
15,913,649
--------------
SOFTWARE--25.0%
Amdocs, Ltd.+......................... 27,000 725,625
America Online, Inc................... 75,970 10,844,717
At Home Corp., Series A+.............. 38,025 5,473,223
Autobytel, Inc.+...................... 10,300 306,425
Beyond Common Corp.+.................. 18,900 556,369
BroadVision, Inc.+.................... 16,000 929,000
CheckFree Holdings Corp.+............. 33,710 1,601,225
Cisco Systems, Inc.+.................. 44,310 5,054,109
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- ---------------------------------------------------------------------
<S> <C> <C>
</TABLE>
SOFTWARE (CONTINUED)
<TABLE>
<S> <C> <C>
Citrix Systems, Inc.+................. 43,800 $ 1,861,500
CMGI, Inc.+........................... 4,100 1,041,400
Computer Network Technology Corp.+.... 41,200 769,925
Concentric Network Corp. Delaware+.... 5,200 434,200
Covad Communications Group, Inc.+..... 6,200 595,200
Critical Path, Inc.+.................. 7,800 775,125
CSG Systems International, Inc.+...... 15,000 579,375
Descartes Systems Group, Inc.+........ 40,000 250,000
DoubleClick, Inc.+.................... 5,800 810,912
Earthlink Network, Inc.+.............. 7,500 517,031
Electronic Arts, Inc.+................ 12,400 629,300
Excalibur Technologies Corp.+......... 31,300 489,063
Excite, Inc.+......................... 5,700 832,200
Exodus Communications, Inc.+.......... 6,400 576,400
Extreme Networks, Inc.+............... 1,000 55,438
Flashnet Communications, Inc.+........ 6,500 205,563
Fundtech Ltd+......................... 6,000 206,250
Infoseek Corp.+*...................... 19,200 980,400
Inktomi Corp.+........................ 22,360 2,685,995
Intuit, Inc.+......................... 7,180 617,480
Launch Media, Inc..................... 28,750 725,937
Legato Systems, Inc.+................. 11,500 465,031
Lycos, Inc.+.......................... 3,600 359,325
Micromuse, Inc.+...................... 19,400 666,875
Microsoft Corp.+...................... 68,700 5,581,875
Mpath Interactive, Inc................ 13,400 527,625
National Instruments Corp.+........... 16,050 545,700
Neon Systems, Inc.+................... 10,200 424,575
Onyx Software Corp.+.................. 6,500 151,938
RealNetworks, Inc.+................... 3,600 797,400
Safeguard Scientifics, Inc.+.......... 10,600 858,600
Siebel Systems, Inc.+................. 14,700 565,031
Spyglass, Inc.+....................... 24,100 435,306
Synopsys, Inc.+....................... 9,500 447,688
Transaction Systems Architects, Inc.,
Class A+............................ 35,400 1,137,225
Verticalnet, Inc.+.................... 2,500 283,125
Vignette Corp......................... 9,300 882,337
Yahoo!, Inc.+......................... 9,900 1,728,169
--------------
56,987,212
--------------
TELECOMMUNICATIONS--7.5%
Corecomm Ltd.+........................ 4,000 185,000
DSET Corp.+........................... 45,600 547,200
Frontier Corp......................... 17,200 949,225
GST Telecommunications, Inc.+......... 107,600 1,358,450
</TABLE>
<PAGE>
44
STYLE SELECT SERIES LOGO
Aggressive Growth Portfolio
- -------------------------------------------
PORTFOLIO OF INVESTMENTS -- APRIL 30, 1999 (UNAUDITED) -- (CONTINUED)
<TABLE>
<CAPTION>
SHARES/ VALUE
SECURITY DESCRIPTION CONTRACTS (NOTE 3)
- ---------------------------------------------------------------------
<S> <C> <C>
</TABLE>
COMMON STOCK (CONTINUED)
TELECOMMUNICATIONS (CONTINUED)
<TABLE>
<S> <C> <C>
ICG Communications, Inc.+............. 30,000 $ 660,000
Intermedia Communications, Inc.+...... 25,100 807,906
Level 3 Communications, Inc.+......... 50,990 4,589,100
McLeodUSA, Inc., Class A+............. 6,500 362,375
Nokia Corp., Class A ADR.............. 59,450 4,410,447
Qwest Communications International,
Inc.+............................... 11,324 966,786
RCN Corp.+............................ 13,300 640,063
Scientific-Atlanta, Inc.(1)........... 11,200 355,600
Stanford Telecommunications, Inc...... 38,400 691,200
Western Wireless Corp., Class A+...... 13,600 555,050
--------------
17,078,402
--------------
TELEPHONE--1.4%
AT&T Corp............................. 12,116 611,858
Century Telephone Enterprises,
Inc.(1)............................. 15,650 629,913
MCI WorldCom, Inc.+................... 23,435 1,926,064
--------------
3,167,835
--------------
TRANSPORTATION--0.5%
Offshore Logistics, Inc.+............. 47,300 579,425
Swift Transportation Co., Inc.+....... 31,350 572,138
--------------
1,151,563
--------------
TOTAL COMMON STOCK
(cost $136,216,496)................... 199,345,947
--------------
PUT OPTIONS--0.4%(2)
CMGI, Inc. exp. 6/99 @ $240........... 20 70,500
Doubleclick, Inc. exp. 6/99 @ $130.... 27 45,225
Halliburton Co. exp. 7/99 @ $40....... 210 107,625
Inktomi Corp. exp. 6/99 @ $115........ 34 46,750
Microsoft Corp. exp. 5/99 @ $88....... 134 18,425
Morgan Stanley Hawaii Tech Index exp.
5/99 @ $1,040....................... 135 614,250
Schlumberger Ltd. exp. 5/99 @ $60..... 139 66,025
--------------
TOTAL PUT OPTIONS
(cost $1,196,503)..................... 968,800
--------------
TOTAL INVESTMENT SECURITIES--87.9%
(cost $137,412,999)................... 200,314,747
--------------
<CAPTION>
PRINCIPAL
AMOUNT
(IN VALUE
SECURITY DESCRIPTION THOUSANDS) (NOTE 3)
- ---------------------------------------------------------------------
<S> <C> <C>
SHORT-TERM SECURITIES--6.4%
Federal Home Loan Mortgage Discount
Notes
4.82% due 05/03/99.................. $ 9,500 $ 9,497,456
Federal National Mortgage Association
Discount Notes 4.66% due 05/17/99... 5,000 4,989,645
--------------
TOTAL SHORT-TERM SECURITIES
(cost $14,487,101).................... 14,487,101
--------------
REPURCHASE AGREEMENTS--7.4%
Joint Repurchase Agreement Account
(Note 3)
(cost $1,949,000)................... 1,949 1,949,000
Joint Repurchase Agreement Account
(Note 3)
(cost $10,000,000).................. 10,000 10,000,000
Agreement with State Street Bank and
Trust Co., bearing 4.82%, dated
4/30/99 to be repurchased 5/03/99 in
the amount of $4,843,945
collateralized by $3,785,000 U.S.
Treasury Bond 10.75%, due 8/15/05
approximate aggregate value
$4,939,425
(cost $4,842,000)................... 4,842 4,842,000
--------------
TOTAL REPURCHASE AGREEMENTS
(cost $16,791,000).................. 16,791,000
--------------
TOTAL INVESTMENTS--
(cost $168,691,100)................... 101.7 % 231,592,848
Total written call options.............. (0.3 ) (661,863)
Liabilities in excess of other assets (1.4 ) (3,118,911)
----------- --------------
NET ASSETS-- 100.0 % $ 227,812,074
----------- --------------
----------- --------------
</TABLE>
- ------------------
+ Non-income producing security
* The security or a portion thereof has been segregated as collateral for the
written option contracts.
ADR ("American Depositary Receipt")
(1) Security is traded with rights attached
(2) 1 option contract equals 100 shares
See Notes to Financial Statements
<PAGE>
45
STYLE SELECT SERIES LOGO
Aggressive Growth Portfolio
- -------------------------------------------
PORTFOLIO OF INVESTMENTS -- APRIL 30, 1999 (UNAUDITED) -- (CONTINUED)
OPEN COVERED WRITTEN CALL OPTIONS
<TABLE>
<CAPTION>
STRIKE
CALL OPTIONS CONTRACTS(2) EXPIRATION DATE PRICE VALUE
- ------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
CMGI, Inc. (proceeds $135,173)..... 41 June 1999 $ 260 $(171,688)
DoubleClick, Inc. (proceeds
$138,573).......................... 58 June 1999 135 (147,175)
Inktomi Corp. (proceeds
$108,947).......................... 75 June 1999 125 (116,250)
Network Solutions, Inc. (proceeds
$78,248)........................... 68 June 1999 80 (85,000)
Yahoo!, Inc. (proceeds $303,537)... 84 July 1999 210 (141,750)
---------
Total Open Covered Written Call
Options
(proceeds $764,478) $(661,863)
---------
---------
</TABLE>
<PAGE>
46
STYLE SELECT SERIES LOGO
Focused Growth and Income Portfolio
- -------------------------------------------
PORTFOLIO OF INVESTMENTS -- APRIL 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- ---------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCK--82.2%
AUTOMOTIVE--5.1%
Ford Motor Co......................... 8,059 $ 515,272
General Motors Corp................... 16,923 1,505,090
---------------
2,020,362
---------------
BANKS--1.7%
Chase Manhattan Corp.................. 8,200 678,550
---------------
BROADCASTING & MEDIA--8.4%
AT&T Corp.-Liberty Media Group, Inc.,
Class A+............................ 6,000 383,250
CBS Corp.+............................ 8,000 364,500
Clear Channel
Communications, Inc.+............... 902 62,689
Comcast Corp., Class A................ 2,512 165,007
MediaOne Group, Inc.+................. 14,922 1,217,076
Time Warner, Inc...................... 16,540 1,157,800
---------------
3,350,322
---------------
COMMUNICATION EQUIPMENT--5.0%
Lucent Technologies, Inc.............. 13,992 841,269
QUALCOMM, Inc.+....................... 5,797 1,155,777
---------------
1,997,046
---------------
COMPUTERS & BUSINESS EQUIPMENT--6.8%
Dell Computer Corp.+.................. 6,000 246,750
EMC Corp.+............................ 16,398 1,786,357
International Business
Machines Corp....................... 3,250 679,859
---------------
2,712,966
---------------
DRUGS--2.0%
Merck & Co., Inc...................... 6,001 421,570
Pfizer, Inc.(1)....................... 3,309 380,742
---------------
802,312
---------------
ELECTRONICS--1.2%
Intel Corp............................ 8,000 489,000
---------------
ENERGY SERVICES--1.9%
Schlumberger Ltd...................... 12,000 766,500
---------------
ENERGY SOURCES--1.5%
Halliburton Co........................ 8,000 341,000
Mobil Corp.(1)........................ 2,300 240,925
---------------
581,925
---------------
FINANCIAL SERVICES--10.6%
Capital One Financial Corp............ 4,000 694,750
Citigroup, Inc........................ 25,197 1,896,074
Federal National Mortgage
Association......................... 6,689 474,501
Merrill Lynch & Co., Inc.(1).......... 4,000 335,750
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- ---------------------------------------------------------------------------
<S> <C> <C>
</TABLE>
FINANCIAL SERVICES (CONTINUED)
<TABLE>
<S> <C> <C>
Morgan Stanley, Dean
Witter & Co......................... 7,700 $ 763,744
Providian Financial Corp.............. 454 58,594
---------------
4,223,413
---------------
FOOD, BEVERAGE & TOBACCO--2.0%
Anheuser-Busch Cos., Inc.(1).......... 9,359 684,377
Coca-Cola Enterprises, Inc............ 3,200 110,400
---------------
794,777
---------------
HOUSING--1.9%
Home Depot, Inc....................... 12,644 757,850
---------------
LEISURE & TOURISM--4.8%
Four Seasons Hotels, Inc.............. 7,030 293,503
McDonald's Corp.(1)................... 10,133 429,386
Southwest Airlines Co.(1)............. 16,119 524,875
UAL Corp.+............................ 8,022 647,776
---------------
1,895,540
---------------
MEDICAL PRODUCTS--0.8%
Johnson & Johnson Co.................. 3,000 292,500
---------------
MULTI-INDUSTRY--4.5%
General Electric Co................... 12,577 1,326,873
Monsanto Co........................... 10,243 463,496
---------------
1,790,369
---------------
RETAIL--4.9%
Best Buy Co., Inc.+................... 1,291 61,645
CVS Corp.............................. 10,657 507,540
Dayton Hudson Corp.(1)................ 3,693 248,585
Starbucks Corp.+...................... 15,251 563,334
Value America Inc.+................... 5,000 197,187
Wal-Mart Stores, Inc.................. 7,765 357,190
---------------
1,935,481
---------------
SOFTWARE--12.5%
America Online, Inc................... 6,000 856,500
At Home Corp., Series A+.............. 3,600 518,175
Cisco Systems, Inc.+.................. 6,548 745,741
Extreme Networks, Inc.+............... 3,000 166,312
Inktomi Corp.+........................ 4,698 564,347
Microsoft Corp.+...................... 11,800 812,500
Razorfish, Inc........................ 7,500 320,625
Sun Microsystems, Inc.+............... 7,642 457,087
USinternetworking, Inc.+.............. 10,000 511,250
---------------
4,952,537
---------------
TELECOMMUNICATIONS--3.7%
Level 3 Communications, Inc.+......... 6,130 551,700
Qwest Communications International,
Inc.+............................... 6,020 513,957
</TABLE>
<PAGE>
47
STYLE SELECT SERIES LOGO
Focused Growth and Income Portfolio
- -------------------------------------------
PORTFOLIO OF INVESTMENTS -- APRIL 30, 1999 (UNAUDITED) -- (CONTINUED)
<TABLE>
<CAPTION>
SHARES/
PRINCIPAL
AMOUNT VALUE
SECURITY DESCRIPTION (IN THOUSANDS) (NOTE 3)
- ---------------------------------------------------------------------------
<S> <C> <C>
</TABLE>
COMMON STOCK (CONTINUED)
TELECOMMUNICATIONS (CONTINUED)
<TABLE>
<S> <C> <C>
Sprint Corp. (PCS Group).............. 9,226 $ 390,952
---------------
1,456,609
---------------
TELEPHONE--2.9%
AT&T Corp............................. 6,472 326,836
MCI WorldCom, Inc.+................... 6,400 526,000
Sprint Corp........................... 3,000 307,688
---------------
1,160,524
---------------
TOTAL INVESTMENT SECURITIES--82.2%
(cost $29,710,722).................... 32,658,583
---------------
SHORT-TERM SECURITIES--5.6%
Ciesco L.P.
4.85% due 5/03/99................... $ 105 104,972
Federal Home Loan Bank Discount Note
4.90% due 5/03/99................... 2,100 2,099,428
---------------
TOTAL SHORT-TERM SECURITIES
(cost $2,204,400)..................... 2,204,400
---------------
<CAPTION>
PRINCIPAL
AMOUNT VALUE
SECURITY DESCRIPTION (IN THOUSANDS) (NOTE 3)
- ---------------------------------------------------------------------------
<S> <C> <C>
REPURCHASE AGREEMENTS--12.9%
Joint Repurchase Agreement Account
(See Note 3)........................ $ 3,132 $ 3,132,000
Joint Repurchase Agreement (See Note
3).................................. 2,000 2,000,000
---------------
TOTAL REPURCHASE AGREEMENTS
(cost $5,132,000)..................... 5,132,000
---------------
TOTAL INVESTMENTS--
(cost $37,047,122).................... 100.7% 39,994,983
Liabilities in excess of other assets... (0.7) (282,972)
------- ---------------
NET ASSETS-- 100.0% $ 39,712,011
------- ---------------
------- ---------------
</TABLE>
- ------------------
+ Non-income producing security
(1) Security is traded with rights attached
See Notes to Financial Statements
<PAGE>
48
STYLE SELECT SERIES LOGO
Large-Cap Value Portfolio
- -------------------------------------------
PORTFOLIO OF INVESTMENTS -- APRIL 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- ---------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCK--97.8%
AEROSPACE & MILITARY TECHNOLOGY--1.9%
Boeing Co. ........................... 11,700 $ 475,312
Lockheed Martin Corp. ................ 8,700 374,644
Precision Castparts Corp.(1) ......... 4,700 200,925
---------------
1,050,881
---------------
APPAREL & TEXTILES--0.9%
Reebok International Ltd.+ ........... 26,200 492,888
---------------
AUTOMOTIVE--1.9%
Dana Corp. ........................... 10,000 471,250
Ford Motor Co. ....................... 3,800 242,962
General Motors Corp. ................. 4,100 364,644
---------------
1,078,856
---------------
BANKS--7.3%
Bank One Corp. ....................... 3,800 224,200
BankAmerica Corp. .................... 6,302 452,956
BankBoston Corp. ..................... 3,100 151,900
Chase Manhattan Corp. ................ 7,900 653,725
Golden West Financial Corp. .......... 1,100 110,138
MBNA Corp. ........................... 1,700 47,919
Mercantile Bancorp, Inc.(1) .......... 3,000 171,000
Mercantile Bankshares Corp. .......... 5,100 188,700
National City Corp. .................. 14,700 1,054,725
State Street Corp. ................... 1,200 105,000
SunTrust Banks, Inc. ................. 900 64,350
U.S. Bancorp ......................... 15,000 555,937
UBS AG ADR ........................... 18,400 316,250
---------------
4,096,800
---------------
BROADCASTING & MEDIA--1.6%
Dow Jones & Co., Inc. ................ 900 49,050
Eastman Kodak Co. .................... 4,300 320,887
Gannett Co., Inc. .................... 5,500 389,469
Tribune Co.(1) ....................... 1,200 100,125
WPP Group PLC ADR .................... 100 8,775
---------------
868,306
---------------
BUSINESS SERVICES--1.0%
Waste Management, Inc. ............... 10,200 576,300
---------------
CHEMICALS--1.7%
du Pont (E.I.) de Nemours & Co. ...... 6,600 466,125
IMC Global, Inc.(1) .................. 10,000 250,000
Millenium Chemicals, Inc. ............ 9,600 259,200
---------------
975,325
---------------
COMMUNICATION EQUIPMENT--0.8%
Loral Space & Communications
Corp.+ ............................. 6,900 134,550
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- ---------------------------------------------------------------------------
<S> <C> <C>
</TABLE>
COMMUNICATION EQUIPMENT (CONTINUED)
<TABLE>
<S> <C> <C>
SBC Communications, Inc. ............. 5,100 $ 285,600
---------------
420,150
---------------
COMPUTERS & BUSINESS EQUIPMENT--7.3%
Apple Computer, Inc.+ ................ 11,400 523,687
Hewlett-Packard Co. .................. 18,500 1,459,187
International Business Machines
Corp. .............................. 6,000 1,255,125
Wallace Computer Services, Inc. ...... 18,200 419,738
Xerox Corp. .......................... 7,200 423,000
---------------
4,080,737
---------------
DRUGS--2.6%
American Home Products Corp. ......... 3,900 237,900
Bristol-Myers Squibb Co.(1) .......... 1,800 114,413
Eli Lilly & Co.(1) ................... 400 29,450
Glaxo Wellcome PLC ADR ............... 200 11,650
Merck & Co., Inc. .................... 800 56,200
Novartis AG ADR ...................... 1,200 88,003
Pfizer, Inc.(1) ...................... 400 46,025
Pharmacia & Upjohn, Inc. ............. 10,200 571,200
SmithKline Beecham PLC ADR ........... 4,700 308,731
---------------
1,463,572
---------------
ELECTRIC UTILITIES--3.2%
American Electric Power Co., Inc. .... 500 20,719
Central & South West Corp. ........... 5,000 124,062
Consolidated Edison, Inc. ............ 400 18,175
GPU, Inc. ............................ 5,200 198,250
Illinova Corp. ....................... 17,400 456,750
Pinnacle West Capital Corp. .......... 6,800 263,925
SCANA Corp. .......................... 5,400 126,900
Southern Co. ......................... 5,900 159,669
Texas Utilities Co. .................. 11,000 437,250
---------------
1,805,700
---------------
ELECTRONICS--3.3%
Applied Materials, Inc.+ ............. 5,600 299,950
Eaton Corp. .......................... 300 27,506
Intel Corp. .......................... 6,600 403,425
Koninklijke (Royal) Philips
Electronics NV ADR ................. 500 42,688
Micron Technology, Inc.+ ............. 2,000 74,250
Molex, Inc. .......................... 3,325 107,231
Motorola, Inc. ....................... 1,300 104,162
</TABLE>
<PAGE>
49
STYLE SELECT SERIES LOGO
Large-Cap Value Portfolio
- -------------------------------------------
PORTFOLIO OF INVESTMENTS -- APRIL 30, 1999 (UNAUDITED) -- (CONTINUED)
<TABLE>
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- ---------------------------------------------------------------------------
<S> <C> <C>
</TABLE>
COMMON STOCK (CONTINUED)
ELECTRONICS (CONTINUED)
<TABLE>
<S> <C> <C>
Texas Instruments, Inc. .............. 7,600 $ 776,150
---------------
1,835,362
---------------
ENERGY SERVICES--0.7%
Ashland, Inc. ........................ 4,800 202,800
Cooper Cameron Corp.+ ................ 1,800 69,525
Schlumberger Ltd. .................... 1,900 121,363
---------------
393,688
---------------
ENERGY SOURCES--5.6%
Atlantic Richfield Co. ............... 7,100 595,956
Burlington Resources, Inc.(1) ........ 4,800 221,100
Devon Energy Corp. ................... 2,800 93,100
Exxon Corp. .......................... 1,500 124,594
Halliburton Co. ...................... 2,400 102,300
Royal Dutch Petroleum Co. NY Registry
Shares GDR ......................... 8,100 475,369
Shell Transport & Trading Co. PLC NY
Shares ADR ......................... 13,100 595,231
Union Pacific Resources Group,
Inc. ............................... 32,800 459,200
Unocal Corp. ......................... 6,000 249,375
USX-Marathon Group, Inc. ............. 7,000 218,750
---------------
3,134,975
---------------
FINANCIAL SERVICES--15.1%
American Express Co. ................. 12,700 1,659,731
Associates First Capital Corp., Class
A .................................. 13,200 584,925
Citigroup, Inc. ...................... 27,608 2,077,502
Coast Federal Litigation Contingent
Payment Rights Trust ............... 1,500 1,828
Donaldson, Lufkin & Jenrette, Inc. ... 2,300 160,856
Federal Home Loan Mortgage Corp. ..... 3,100 194,525
Federal National Mortgage
Association ........................ 2,700 191,531
Heller Financial, Inc. ............... 3,900 105,788
Household International, Inc. ........ 15,200 764,750
MBIA, Inc.(1) ........................ 2,300 154,675
Morgan Stanley, Dean Witter & Co. .... 4,700 466,181
ReliaStar Financial Corp. ............ 600 22,050
SLM Holding Corp. .................... 10,200 435,413
Student Loan Corp. ................... 1,800 73,125
Wells Fargo Co. ...................... 35,700 1,541,794
---------------
8,434,674
---------------
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- ---------------------------------------------------------------------------
<S> <C> <C>
FOOD, BEVERAGE & TOBACCO--2.3%
Coca-Cola Co. ........................ 100 $ 6,800
Corn Products International, Inc.+ ... 4,600 132,825
Diageo PLC ADR ....................... 9,300 428,963
Flowers Industries, Inc.(1) .......... 6,000 127,500
Philip Morris Cos, Inc. .............. 13,300 466,331
Universal Corp. ...................... 5,700 144,994
---------------
1,307,413
---------------
FOREST PRODUCTS--3.5%
Bowater, Inc.(1) ..................... 1,900 101,888
Champion International Corp. ......... 1,800 98,438
Georgia-Pacific Corp. (Timber
Group) ............................. 5,600 144,200
Georgia-Pacific Group ................ 100 9,250
Potlatch Corp. ....................... 10,800 447,525
Sealed Air Corp.+ .................... 4,200 255,412
Weyerhaeuser Co. ..................... 6,500 436,312
Willamette Industries, Inc.(1) ....... 9,700 453,475
---------------
1,946,500
---------------
GAS & PIPELINE UTILITIES--1.5%
Equitable Resources, Inc. ............ 20,000 530,000
National Fuel Gas Co. ................ 7,100 310,625
---------------
840,625
---------------
HEALTH SERVICES--4.4%
Columbia/HCA Healthcare Corp. ........ 20,600 508,562
HEALTHSOUTH Corp.+ ................... 10,400 139,750
Tenet Healthcare Corp.+ .............. 33,800 798,525
United HealthCare Corp. .............. 10,200 572,475
Wellpoint Health Networks, Inc., Class
A+ ................................. 6,500 456,625
---------------
2,475,937
---------------
HOUSEHOLD PRODUCTS--0.8%
Colgate-Palmolive Co. ................ 600 61,463
Gillette Co.(1) ...................... 1,500 78,281
Kimberly-Clark Corp. ................. 5,400 331,087
---------------
470,831
---------------
HOUSING--0.8%
Masco Corp. .......................... 14,500 425,938
---------------
INSURANCE--7.5%
Aetna, Inc. .......................... 6,800 596,275
Allstate Corp. ....................... 16,100 585,637
American General Corp. ............... 3,300 244,200
American International Group,
Inc.* .............................. 750 88,078
</TABLE>
<PAGE>
50
STYLE SELECT SERIES LOGO
Large-Cap Value Portfolio
- -------------------------------------------
PORTFOLIO OF INVESTMENTS -- APRIL 30, 1999 (UNAUDITED) -- (CONTINUED)
<TABLE>
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- ---------------------------------------------------------------------------
<S> <C> <C>
</TABLE>
COMMON STOCK (CONTINUED)
INSURANCE (CONTINUED)
<TABLE>
<S> <C> <C>
Berkley (W.R.) Corp. ................. 700 $ 19,250
Chubb Corp. .......................... 4,700 278,475
CIGNA Corp.(1) ....................... 3,900 340,031
Conseco, Inc. ........................ 2,600 82,063
Marsh & McLennan Cos., Inc.(1) ....... 2,200 168,438
Progressive Corp. .................... 3,700 530,950
Provident Cos., Inc. ................. 200 7,875
StanCorp Financial Group, Inc.+ ...... 5,700 137,156
Transamerica Corp. ................... 5,400 384,750
Transatlantic Holdings, Inc. ......... 5,400 415,125
UNUM Corp.(1) ........................ 6,000 327,750
---------------
4,206,053
---------------
INVESTMENT COMPANIES--0.1%
Morgan Stanley Asia-Pacific Fund ..... 7,200 65,700
---------------
LEISURE & TOURISM--2.9%
Brunswick Corp.(1) ................... 7,100 170,400
KLM Royal Dutch Airlines NV-NY
Registry Shares .................... 14,000 422,625
Marriott International, Inc., Class
A .................................. 3,500 146,563
McDonald's Corp.(1) .................. 21,000 889,875
---------------
1,629,463
---------------
MACHINERY--0.6%
Dover Corp. .......................... 5,300 195,769
Milacron, Inc. ....................... 2,100 48,300
New Holland NV ....................... 3,600 52,200
Smith International, Inc.+(1) ........ 1,400 62,825
---------------
359,094
---------------
MEDICAL PRODUCTS--1.0%
Baxter International, Inc. ........... 7,800 491,400
Johnson & Johnson Co. ................ 800 78,000
---------------
569,400
---------------
METALS & MINERALS--3.4%
Alcoa, Inc. .......................... 8,800 547,800
Hanson PLC ADR ....................... 4,600 225,113
Martin Marietta Materials, Inc. ...... 7,300 451,231
USX-US Steel Group, Inc. ............. 14,400 435,600
Vulcan Materials Co. ................. 4,500 214,875
---------------
1,874,619
---------------
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- ---------------------------------------------------------------------------
<S> <C> <C>
MULTI-INDUSTRY--3.3%
Berkshire Hathaway Inc., Class B+ .... 168 $ 414,960
Berkshire Hathaway, Inc., Class A+ ... 14 1,069,600
Cooper Industries, Inc. .............. 2,700 130,612
General Electric Co. ................. 100 10,550
Tyco International Ltd. .............. 2,400 195,000
---------------
1,820,722
---------------
REAL ESTATE COMPANIES--0.3%
Boardwalk Equities, Inc.+ ............ 100 1,001
Rouse Co. ............................ 6,400 155,600
---------------
156,601
---------------
REAL ESTATE INVESTMENT TRUSTS--0.9%
CenterPoint Properties Corp. ......... 100 3,594
Crescent Real Estate Equities Co. .... 5,400 120,825
Equity Office Properties Trust ....... 1,700 46,856
Equity Residential Properties
Trust .............................. 800 37,000
Federal Realty Investment Trust ...... 400 9,550
Gables Residential Trust ............. 100 2,381
General Growth Properties, Inc. ...... 3,300 121,481
Home Properties of New York, Inc. .... 300 7,763
Kimco Realty Corp. ................... 100 3,925
Mack-Cali Realty Corp. ............... 800 24,750
Public Storage, Inc. ................. 1,100 30,662
Reckson Associates Realty Corp. ...... 200 4,500
United Dominion Realty Trust, Inc. ... 400 4,350
Vornado Realty Trust ................. 2,600 101,400
Weingarten Realty Investors .......... 100 4,144
---------------
523,181
---------------
RETAIL--4.7%
Harcourt General, Inc. ............... 12,000 572,250
Kmart Corp.+ ......................... 23,700 352,537
Limited, Inc. ........................ 10,700 468,125
May Department Stores Co. ............ 7,350 292,622
Penney (J.C.), Inc.(1) ............... 11,000 501,875
Sears, Roebuck & Co. ................. 10,100 464,600
---------------
2,652,009
---------------
SOFTWARE--1.3%
First Data Corp. ..................... 12,800 543,200
Oracle Corp.+ ........................ 1,600 43,300
</TABLE>
<PAGE>
51
STYLE SELECT SERIES LOGO
Large-Cap Value Portfolio
- -------------------------------------------
PORTFOLIO OF INVESTMENTS -- APRIL 30, 1999 (UNAUDITED) -- (CONTINUED)
<TABLE>
<CAPTION>
SHARES/
PRINCIPAL
AMOUNT VALUE
SECURITY DESCRIPTION (IN THOUSANDS) (NOTE 3)
- ---------------------------------------------------------------------------
<S> <C> <C>
</TABLE>
COMMON STOCK (CONTINUED)
SOFTWARE (CONTINUED)
<TABLE>
<S> <C> <C>
SAP AG ADR ........................... 4,800 $ 150,600
---------------
737,100
---------------
TELECOMMUNICATIONS--0.1%
Globalstar Telecommunications Ltd.+ .. 1,900 38,000
---------------
TELEPHONE--1.7%
AT&T Corp. ........................... 13,800 696,900
Bell Atlantic Corp.(1) ............... 4,300 247,788
---------------
944,688
---------------
TRANSPORTATION--1.8%
Canadian National Railway Co. ........ 2,500 157,812
CSX Corp.(1) ......................... 15,300 753,525
Norfolk Southern Corp. ............... 2,100 68,644
---------------
979,981
---------------
TOTAL COMMON STOCK
(cost $48,091,574).................... 54,732,069
---------------
PREFERRED STOCK--0.1%
FINANCIAL SERVICES--0.0%
Devon Financing Trust convertible
6.50%............................... 200 13,475
---------------
REAL ESTATE INVESTMENT TRUSTS--0.1%
General Growth Properties, Inc.
convertible 7.25%................... 2,500 61,250
---------------
TOTAL PREFERRED STOCK
(cost $79,960)........................ 74,725
---------------
TOTAL INVESTMENT SECURITIES--97.9%
(cost $48,171,534) 54,806,794
---------------
SHORT-TERM SECURITIES--0.6%
Cayman Island Time Deposit with State
Street Bank and Trust Co.
2.75% due 5/03/99
(cost $358,000)..................... $ 358 358,000
---------------
<CAPTION>
PRINCIPAL
AMOUNT VALUE
SECURITY DESCRIPTION (IN THOUSANDS) (NOTE 3)
- ---------------------------------------------------------------------------
<S> <C> <C>
REPURCHASE AGREEMENTS--1.1%
Agreement with State Street Bank and
Trust Co., bearing 4.88%, dated
4/30/99 to be repurchased 5/03/99 in
the amount of $140,057
collateralized by $145,000 Federal
Home Loan Mortgage Corp. 5.20%, due
2/12/01 approximate aggregate value
$146,168
(cost $140,000)..................... $ 140 $ 140,000
Joint Repurchase Agreement Account
(Note 3)
(cost $475,000)..................... 475 475,000
---------------
TOTAL REPURCHASE AGREEMENTS
(cost $615,000)....................... 615,000
---------------
TOTAL INVESTMENTS--
(cost $49,144,534).................... 99.6% 55,779,794
Other assets less liabilities........... 0.4 208,163
--------------- ---------------
NET ASSETS-- 100.0% $ 55,987,957
--------------- ---------------
--------------- ---------------
</TABLE>
- ------------------
+ Non-income producing security
* Security represents an investment in an affiliated company
ADR ("American Depositary Receipt")
GDR ("Global Depositary Receipt")
(1) Security is traded with rights attached
See Notes to Financial Statements
<PAGE>
52
STYLE SELECT SERIES LOGO
Value Portfolio
- -------------------------------------------
PORTFOLIO OF INVESTMENTS -- APRIL 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- ---------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCK--93.5%
AEROSPACE & MILITARY TECHNOLOGY--0.5%
Gulfstream Aerospace Corp.+........... 700 $ 34,125
Raytheon Co., Class A................. 13,200 913,275
---------------
947,400
---------------
AUTOMOTIVE--2.5%
AutoZone, Inc.+....................... 20,000 600,000
General Motors Corp................... 15,100 1,342,956
General Motors Corp., Class H......... 25,000 1,384,375
Lear Corp.+........................... 20,300 931,263
Superior Industries International,
Inc................................. 14,000 350,000
---------------
4,608,594
---------------
BANKS--9.0%
Bank One Corp......................... 47,484 2,801,556
BankAmerica Corp...................... 43,181 3,103,634
Chase Manhattan Corp.................. 13,500 1,117,125
First Union Corp.(1).................. 200 11,075
First Virginia Banks, Inc.(1)......... 44,400 2,217,225
Golden West Financial Corp............ 4,100 410,513
Mercantile Bancorp., Inc.(1).......... 43,700 2,490,900
State Street Corp..................... 4,100 358,750
Summit Bancorp........................ 28,700 1,216,162
SunTrust Banks, Inc................... 4,200 300,300
U.S. Bancorp.......................... 18,600 689,363
UBS AG ADR............................ 70,200 1,194,249
UMB Financial Corp.................... 18,000 753,750
---------------
16,664,602
---------------
BROADCASTING & MEDIA--2.4%
AT&T Corp.-Liberty Media Group, Inc.,
Class A+............................ 7,500 479,062
Banta Corp............................ 9,000 191,813
Dow Jones & Co., Inc.................. 3,900 212,550
Gannett Co., Inc...................... 8,500 601,906
MediaOne Group, Inc.+................. 14,400 1,174,500
News Corp. Ltd. ADR................... 43,500 1,329,469
Tribune Co.(1)........................ 4,200 350,437
Washington Post Co., Class B.......... 200 114,800
WPP Group PLC ADR..................... 500 43,875
---------------
4,498,412
---------------
BUSINESS SERVICES--1.2%
Allied Waste Industries, Inc.+........ 14,000 247,625
HON INDUSTRIES, Inc................... 14,500 391,500
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- ---------------------------------------------------------------------------
<S> <C> <C>
</TABLE>
BUSINESS SERVICES (CONTINUED)
<TABLE>
<S> <C> <C>
Waste Management, Inc................. 27,272 $ 1,540,868
---------------
2,179,993
---------------
CHEMICALS--2.7%
Bush Boake Allen, Inc.+............... 15,000 411,562
du Pont (E.I.) de Nemours & Co........ 10,700 755,687
Lubrizol Corp......................... 8,900 246,419
Lyondell Chemical Co.................. 9,100 177,450
Nalco Chemical Co.(1)................. 48,700 1,780,594
Praxair, Inc.......................... 22,600 1,169,550
R.P.M., Inc........................... 35,600 500,625
---------------
5,041,887
---------------
COMMUNICATION EQUIPMENT--1.1%
Loral Space & Communications Corp.+... 62,400 1,216,800
SBC Communications, Inc............... 100 5,600
Tyco International Ltd................ 9,700 788,125
---------------
2,010,525
---------------
COMPUTERS & BUSINESS EQUIPMENT--6.4%
Hewlett-Packard Co.................... 63,000 4,969,125
International Business Machines
Corp................................ 23,000 4,811,312
Teradyne, Inc.+(1).................... 12,000 566,250
Xerox Corp............................ 24,500 1,439,375
---------------
11,786,062
---------------
DRUGS--2.9%
ALZA Corp.+........................... 26,200 879,337
American Home Products Corp........... 34,200 2,086,200
Bristol-Myers Squibb Co.(1)........... 6,900 438,581
Eli Lilly & Co.(1).................... 100 7,363
Glaxo Wellcome PLC ADR................ 700 40,775
Merck & Co., Inc...................... 3,800 266,950
Novartis AG ADR....................... 4,300 315,344
Pfizer, Inc.(1)....................... 1,600 184,100
SmithKline Beecham PLC ADR............ 16,900 1,110,119
---------------
5,328,769
---------------
ELECTRIC UTILITIES--2.7%
AFC Cable Systems, Inc.+.............. 7,400 244,200
Duke Energy Corp...................... 100 5,600
Edison International.................. 100 2,450
Florida Progress Corp.(1)............. 12,600 485,100
FPL Group, Inc.(1).................... 12,900 727,238
IDACORP, Inc.......................... 7,700 242,550
Nevada Power Co....................... 45,000 1,161,562
</TABLE>
<PAGE>
53
STYLE SELECT SERIES LOGO
Value Portfolio
- -------------------------------------------
PORTFOLIO OF INVESTMENTS -- APRIL 30, 1999 (UNAUDITED) -- (CONTINUED)
<TABLE>
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- ---------------------------------------------------------------------------
<S> <C> <C>
</TABLE>
COMMON STOCK (CONTINUED)
ELECTRIC UTILITIES (CONTINUED)
<TABLE>
<S> <C> <C>
Southern Co........................... 100 $ 2,706
Texas Utilities Co.................... 25,200 1,001,700
Unicom Corp........................... 27,400 1,063,463
---------------
4,936,569
---------------
ELECTRONICS--4.2%
Applied Materials, Inc.+.............. 19,500 1,044,469
Intel Corp............................ 24,500 1,497,562
Koninklijke (Royal) Philips
Electronics NV ADR.................. 3,000 256,125
Molex, Inc............................ 12,212 393,837
Motorola, Inc......................... 5,100 408,638
Quantum Corp.+(1)..................... 23,500 420,062
Texas Instruments, Inc................ 36,400 3,717,350
---------------
7,738,043
---------------
ENERGY SERVICES--0.8%
Cooper Cameron Corp.+................. 5,100 196,988
McDermott International, Inc.......... 29,600 858,400
Schlumberger Ltd...................... 7,400 472,675
---------------
1,528,063
---------------
ENERGY SOURCES--3.9%
Amerada Hess Corp..................... 100 5,700
Atlantic Richfield Co................. 4,400 369,325
Baker Hughes, Inc..................... 8,000 239,000
Chevron Corp.(1)...................... 5,500 548,625
Devon Energy Corp..................... 10,900 362,425
Exxon Corp............................ 700 58,144
Halliburton Co........................ 9,200 392,150
Mobil Corp.(1)........................ 100 10,475
Murphy Oil Corp....................... 5,400 253,462
Royal Dutch Petroleum Co.-NY Registry
Shares GDR.......................... 4,200 246,488
Sonat, Inc............................ 100 3,575
Texaco, Inc.(1)....................... 21,000 1,317,750
Tosco Corp............................ 35,000 936,250
USX-Marathon Group, Inc............... 5,300 165,625
WD-40 Co.............................. 43,000 1,150,250
Williams Cos., Inc.................... 23,800 1,124,550
---------------
7,183,794
---------------
ENTERTAINMENT PRODUCTS--1.0%
National Presto Industries, Inc....... 54,600 1,907,588
---------------
FINANCIAL SERVICES--11.7%
American Express Co................... 34,700 4,534,856
Citigroup, Inc........................ 44,923 3,380,456
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- ---------------------------------------------------------------------------
<S> <C> <C>
</TABLE>
FINANCIAL SERVICES (CONTINUED)
<TABLE>
<S> <C> <C>
Countrywide Credit Industry,
Inc.(1)............................. 29,500 $ 1,336,719
Donaldson, Lufkin & Jenrette, Inc..... 8,400 587,475
Federal Home Loan Mortgage Corp....... 11,800 740,450
Household International, Inc.......... 59,300 2,983,531
Morgan (J.P.) & Co., Inc.............. 200 26,950
Morgan Stanley, Dean Witter & Co...... 21,410 2,123,604
ReliaStar Financial Corp.............. 2,300 84,525
SLM Holding Corp...................... 36,600 1,562,362
Student Loan Corp..................... 6,500 264,063
Wells Fargo Co........................ 92,500 3,994,844
---------------
21,619,835
---------------
FOOD, BEVERAGE & TOBACCO--4.5%
Anheuser-Busch Cos., Inc.(1).......... 13,800 1,009,125
Archer-Daniels-Midland Co............. 22,500 337,500
Coca-Cola Co.......................... 500 34,000
ConAgra, Inc.......................... 37,700 937,787
Diageo PLC ADR........................ 14,900 687,263
Gallaher Group PLC ADR................ 200 4,525
Interstate Bakeries Corp.............. 8,000 178,000
Lancaster Colony Corp.(1)............. 30,000 885,000
Lance, Inc............................ 64,300 892,162
Nabisco Holdings Corp., Class A....... 27,300 1,032,281
Philip Morris Cos, Inc................ 50,500 1,770,656
UST, Inc.............................. 21,300 593,738
---------------
8,362,037
---------------
FOREST PRODUCTS--3.4%
Bemis Co., Inc.(1).................... 24,400 854,000
Consolidated Papers, Inc.............. 28,000 847,000
Fort James Corp....................... 10,600 402,800
International Paper Co................ 100 5,331
Minnesota Mining & Manufacturing
Co.................................. 25,100 2,233,900
Owens Illinois, Inc.+................. 25,300 733,700
Sealed Air Corp.+..................... 15,700 954,756
Union Camp Corp.(1)................... 100 7,938
Westvaco Corp.(1)..................... 10,000 298,750
---------------
6,338,175
---------------
GAS & PIPELINE UTILITIES--2.2%
AGL Resources, Inc.................... 36,900 671,119
Cascade Natural Gas Corp.............. 22,600 357,362
CTG Resources, Inc.................... 22,800 548,625
</TABLE>
<PAGE>
54
STYLE SELECT SERIES LOGO
Value Portfolio
- -------------------------------------------
PORTFOLIO OF INVESTMENTS -- APRIL 30, 1999 (UNAUDITED) -- (CONTINUED)
<TABLE>
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- ---------------------------------------------------------------------------
<S> <C> <C>
</TABLE>
COMMON STOCK (CONTINUED)
GAS & PIPELINE UTILITIES (CONTINUED)
<TABLE>
<S> <C> <C>
Laclede Gas Co.(1).................... 29,900 $ 603,606
Northwest Natural Gas Co.............. 39,100 879,750
Peoples Energy Corp................... 6,300 235,463
Washington Gas Light Co............... 30,500 718,656
---------------
4,014,581
---------------
HEALTH SERVICES--0.9%
Lab Holdings, Inc..................... 31,700 427,950
LabOne, Inc........................... 4,100 43,819
McKesson HBOC, Inc.................... 9,200 322,000
Tenet Healthcare Corp.+............... 39,000 921,375
---------------
1,715,144
---------------
HOUSEHOLD PRODUCTS--0.4%
Colgate-Palmolive Co.................. 2,500 256,094
Gillette Co.(1)....................... 7,600 396,625
---------------
652,719
---------------
HOUSING--0.9%
Masco Corp............................ 54,700 1,606,813
Maytag Corp.(1)....................... 200 13,675
---------------
1,620,488
---------------
INSURANCE--6.9%
Ace Ltd............................... 33,100 1,001,275
Allstate Corp......................... 33,900 1,233,112
American Financial Group, Inc......... 4,500 163,406
American International Group, Inc.*... 3,325 390,480
Argonaut Group, Inc................... 28,800 720,000
Berkley (W.R.) Corp................... 3,450 94,875
Chubb Corp............................ 21,300 1,262,025
CIGNA Corp.(1)........................ 23,500 2,048,906
NAC Re Corp.(1)....................... 5,200 283,400
Ohio Casualty Corp.................... 3,100 114,700
Progressive Corp...................... 13,600 1,951,600
Provident Cos., Inc................... 300 11,813
Transatlantic Holdings, Inc........... 19,800 1,522,125
Unitrin, Inc.......................... 3,500 121,188
UNUM Corp.(1)......................... 23,900 1,305,537
XL Capital Ltd., Class A.............. 9,000 546,188
---------------
12,770,630
---------------
INVESTMENT COMPANIES--0.1%
Morgan Stanley Asia-Pacific Fund...... 19,000 173,375
---------------
LEISURE & TOURISM--4.0%
Continental Airlines, Inc., Class
B+.................................. 20,600 889,662
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- ---------------------------------------------------------------------------
<S> <C> <C>
</TABLE>
LEISURE & TOURISM (CONTINUED)
<TABLE>
<S> <C> <C>
Luby's, Inc........................... 16,600 $ 278,050
Marriott International, Inc., Class
A................................... 14,700 615,563
McDonald's Corp.(1)................... 77,300 3,275,587
Mirage Resorts, Inc.+................. 35,000 785,313
Sbarro, Inc........................... 60,000 1,571,250
---------------
7,415,425
---------------
MACHINERY--1.1%
Dover Corp............................ 20,200 746,137
Flowserve Corp........................ 64,400 1,199,450
Smith International, Inc.+(1)......... 3,500 157,063
---------------
2,102,650
---------------
MEDICAL PRODUCTS--1.7%
Baxter International, Inc............. 17,600 1,108,800
Becton, Dickinson & Co................ 26,700 992,906
Centocor, Inc.+....................... 17,700 782,119
Johnson & Johnson Co.................. 3,000 292,500
---------------
3,176,325
---------------
METALS & MINERALS--1.7%
AK Steel Holding Corp................. 19,600 509,600
Carpenter Technology Corp............. 18,000 563,625
Martin Marietta Materials, Inc........ 21,400 1,322,787
Vulcan Materials Co................... 16,500 787,875
---------------
3,183,887
---------------
MULTI-INDUSTRY--2.5%
Berkshire Hathaway, Inc., Class A+.... 51 3,896,400
Fortune Brands, Inc................... 200 7,900
General Electric Co................... 400 42,200
Tenneco, Inc.......................... 25,700 693,900
---------------
4,640,400
---------------
REAL ESTATE COMPANIES--0.3%
Boardwalk Equities, Inc.+............. 700 7,009
Rouse Co.............................. 23,200 564,050
---------------
571,059
---------------
REAL ESTATE INVESTMENT TRUSTS--1.8%
CenterPoint Properties Corp........... 2,300 82,656
Crescent Real Estate Equities Co...... 20,500 458,687
Equity Office Properties Trust........ 6,400 176,400
</TABLE>
<PAGE>
55
STYLE SELECT SERIES LOGO
Value Portfolio
- -------------------------------------------
PORTFOLIO OF INVESTMENTS -- APRIL 30, 1999 (UNAUDITED) -- (CONTINUED)
<TABLE>
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- ---------------------------------------------------------------------------
<S> <C> <C>
</TABLE>
COMMON STOCK (CONTINUED)
REAL ESTATE INVESTMENT TRUSTS (CONTINUED)
<TABLE>
<S> <C> <C>
Equity Residential Properties Trust... 3,200 $ 148,000
Federal Realty Investment Trust....... 1,400 33,425
Gables Residential Trust.............. 600 14,288
General Growth Properties, Inc........ 12,300 452,794
Home Properties of New York, Inc...... 500 12,938
Host Marriott Corp.................... 38,000 505,875
Kimco Realty Corp..................... 300 11,775
Mack-Cali Realty Corp................. 4,200 129,937
Manufactured Home Communities, Inc.... 27,500 696,094
Public Storage, Inc................... 5,000 139,375
Reckson Associates Realty Corp........ 3,700 83,250
United Dominion Realty Trust, Inc..... 1,500 16,312
Vornado Realty Trust.................. 9,900 386,100
Weingarten Realty Investors........... 500 20,719
---------------
3,368,625
---------------
RETAIL--2.5%
Consolidated Stores Corp.+............ 8,500 292,187
Harcourt General, Inc................. 31,600 1,506,925
J.C. Penney, Inc.(1).................. 14,200 647,875
Rite Aid Corp.(1)..................... 52,000 1,212,250
Tandy Corp.(1)........................ 12,100 876,494
---------------
4,535,731
---------------
SOFTWARE--1.4%
Computer Associates International,
Inc................................. 28,300 1,208,056
Oracle Corp.+......................... 5,900 159,669
Parametric Technology Corp.+.......... 47,900 619,706
SAP AG ADR............................ 20,900 655,738
---------------
2,643,169
---------------
TELECOMMUNICATIONS--1.0%
Globalstar Telecommunications Ltd.+... 9,244 184,880
Northern Telecom Ltd.................. 23,600 1,609,225
---------------
1,794,105
---------------
TELEPHONE--2.1%
AT&T Corp............................. 11,700 590,850
Bell Atlantic Corp.(1)................ 16,800 968,100
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- ---------------------------------------------------------------------------
<S> <C> <C>
</TABLE>
TELEPHONE (CONTINUED)
<TABLE>
<S> <C> <C>
GTE Corp.............................. 14,000 $ 937,125
MCI WorldCom, Inc.+................... 15,700 1,290,344
---------------
3,786,419
---------------
TRANSPORTATION--1.1%
Burlington Northern Santa Fe Corp..... 17,600 644,600
XTRA Corp............................. 30,900 1,278,487
---------------
1,923,087
---------------
TOTAL COMMON STOCK
(cost $150,597,543)................... 172,768,167
---------------
PREFERRED STOCK--3.2%
ENERGY SOURCES--1.1%
Belco Oil & Gas Corp. convertible
6.50%............................... 28,000 511,000
Unocal Capital Trust convertible
6.25%............................... 26,300 1,531,975
---------------
2,042,975
---------------
FINANCIAL SERVICES--0.1%
Devon Financing Trust convertible
6.50%............................... 1,000 67,375
---------------
FOOD, BEVERAGE & TOBACCO--0.6%
Chiquita Brands International, Inc.
Series B convertible $3.75.......... 6,000 267,750
Ralston Purina Co. convertible
7.00%............................... 18,700 869,550
---------------
1,137,300
---------------
GAS & PIPELINE UTILITIES--0.5%
Avista Corp. Series L convertible
$1.24............................... 60,000 971,250
---------------
INSURANCE--0.7%
Aetna, Inc., Series C 6.25%........... 7,700 595,307
American Bankers Insurance Group,
Inc., Series B convertible 3.13%.... 7,000 740,250
---------------
1,335,557
---------------
REAL ESTATE COMPANIES--0.0%
Rouse Co., Series B 3.00%............. 400 15,900
---------------
REAL ESTATE INVESTMENT TRUSTS--0.2%
General Growth Properties, Inc.
convertible 7.25%................... 10,700 262,150
</TABLE>
<PAGE>
56
STYLE SELECT SERIES LOGO
Value Portfolio
- -------------------------------------------
PORTFOLIO OF INVESTMENTS -- APRIL 30, 1999 (UNAUDITED) -- (CONTINUED)
<TABLE>
<CAPTION>
SHARES/
PRINCIPAL
AMOUNT VALUE
SECURITY DESCRIPTION (IN THOUSANDS) (NOTE 3)
- ---------------------------------------------------------------------------
<S> <C> <C>
</TABLE>
PREFERRED STOCK (CONTINUED)
REAL ESTATE INVESTMENT TRUSTS (CONTINUED)
<TABLE>
<S> <C> <C>
Vornado Realty Trust Series A 6.50%... 300 $ 16,500
---------------
278,650
---------------
TOTAL PREFERRED STOCK
(cost $5,717,232)..................... 5,849,007
---------------
BONDS & NOTES--2.6%
ELECTRIC UTILITIES--0.3%
Niagara Mohawk Power Corp. Series H
zero coupon due 7/01/10............. $ 350 278,250
Niagara Mohawk Power Corp. Series E
7.38% due 7/01/03(2)................ 250 261,460
---------------
539,710
---------------
ENERGY SERVICES--0.3%
Diamond Offshore Drilling, Inc.
convertible
3.75% due 2/15/07................... 540 585,900
---------------
HEALTH SERVICES--0.7%
Medical Care International, Inc.
convertible
6.75% due 10/01/06.................. 1,475 1,275,875
---------------
MEDICAL PRODUCTS--0.6%
Beckman Instruments
7.45% due 3/04/08................... 1,175 1,144,955
---------------
METALS & MINERALS--0.7%
Homestake Mining Co.
convertible
5.50% due 6/23/00................... 1,260 1,231,650
---------------
TOTAL BONDS & NOTES
(cost $4,781,631)..................... 4,778,090
---------------
TOTAL INVESTMENT SECURITIES--99.3%
(cost $161,096,406)................... 183,395,264
---------------
PRINCIPAL
AMOUNT VALUE
SECURITY DESCRIPTION (IN THOUSANDS) (NOTE 3)
- ---------------------------------------------------------------------------
SHORT-TERM SECURITIES--0.4%
Cayman Island Time
Deposit with State Street
Bank and Trust Co.
2.75% due 5/03/99
(cost $758,000)..................... $ 758 $ 758,000
---------------
REPURCHASE AGREEMENT--0.4%
Agreement with State Street
Bank and Trust Co.,
bearing 4.00%, dated
4/30/99 to be
repurchased 5/03/99 in
the amount of $698,233
collateralized by $525,000
U.S. Treasury Bond
8.88%, due 2/15/19
approximate aggregate
value $718,594
(cost $698,000)..................... 698 698,000
---------------
TOTAL INVESTMENTS--
(cost $162,552,406)................... 100.1% 184,851,264
Liabilities in excess of other assets... (0.1) (147,106)
--------------- ---------------
NET ASSETS-- 100.0% $ 184,704,158
--------------- ---------------
--------------- ---------------
</TABLE>
- ------------------
+ Non-income producing security
* Security represents an investment in an affiliated company
ADR ("American Depositary Receipt")
GDR ("Global Depositary Receipt")
(1) Security is traded with rights attached
(2) Represents a zero-coupon bond which will convert to an interest-bearing
security at a later date
See Notes to Financial Statements
<PAGE>
57
STYLE SELECT SERIES LOGO
Small-Cap Value Portfolio
- -------------------------------------------
PORTFOLIO OF INVESTMENTS -- APRIL 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- ---------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCK--96.7%
AEROSPACE & MILITARY TECHNOLOGY--0.5%
AAR Corp.(1).......................... 4,800 $ 91,200
Kellstrom Industries, Inc.+........... 4,500 82,406
Moog, Inc., Class A................... 2,300 71,588
---------------
245,194
---------------
APPAREL & TEXTILES--4.5%
First Years, Inc...................... 4,300 65,306
Gerber Childrenswear, Inc.+........... 25,000 193,750
Just For Feet, Inc.+.................. 25,000 315,625
Kellwood Co.(1)....................... 4,900 126,175
Nautica Enterprises, Inc.+............ 4,800 65,100
Oakley, Inc.+......................... 13,800 94,875
Spiegel, Inc., Class A+............... 20,000 147,500
Stride Rite Corp.(1).................. 18,500 216,219
Talbots, Inc.......................... 3,900 122,850
Wolverine World Wide, Inc.(1)......... 55,000 660,000
---------------
2,007,400
---------------
AUTOMOTIVE--2.6%
Apogee Enterprises, Inc............... 14,400 176,400
Borg-Warner Automotive, Inc........... 6,400 363,200
Copart, Inc.+......................... 6,100 110,563
Dura Automotive Systems, Inc.+........ 3,200 91,600
Polaris Industries, Inc............... 4,700 177,131
Tower Automotive, Inc.+............... 11,000 253,000
---------------
1,171,894
---------------
BANKS--8.6%
AMCORE Financial, Inc.(1)............. 9,000 189,000
Astoria Financial Corp................ 3,560 178,000
BancWest Corp......................... 2,400 95,550
CCB Financial Corp.(1)................ 9,000 519,750
Community Bank Systems, Inc........... 10,300 260,719
Cullen/Frost Bankers, Inc............. 1,500 80,906
D & N Financial Corp.................. 2,000 45,500
First Sentinel Bancorp., Inc.......... 37,000 282,125
Greater Bay Bancorp................... 3,000 90,000
HUBCO, Inc............................ 11,210 396,554
Peoples Heritage Financial Group,
Inc................................. 30,000 581,250
Riverview Bancorp., Inc.+............. 20,000 225,000
Southwest Bancorp. of Texas, Inc.+.... 4,800 81,000
St. Paul Bancorp., Inc................ 13,000 313,625
Staten Islands Bancorp., Inc.......... 6,100 110,181
Sterling Bancshares, Inc.............. 3,600 45,000
Western Bancorp....................... 9,000 322,312
---------------
3,816,472
---------------
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- ---------------------------------------------------------------------------
<S> <C> <C>
BROADCASTING & MEDIA--2.3%
Banta Corp............................ 14,000 $ 298,375
Cable Design Technologies Corp.+...... 11,000 163,625
CellStar Corp.+....................... 13,300 98,088
HA-LO Industries, Inc.+............... 6,000 70,500
Jones Intercable, Inc., Class A+...... 3,500 162,312
Nielsen Media Research, Inc........... 5,233 143,253
Pulitzer, Inc......................... 2,000 89,625
---------------
1,025,778
---------------
BUSINESS SERVICES--3.4%
Bowne & Co., Inc...................... 12,100 226,875
CDI Corp.+............................ 4,400 116,875
Granite Construction, Inc............. 5,050 144,241
Interim Services, Inc.+............... 30,000 521,250
Metzler Group, Inc.+.................. 4,200 117,075
Pittston Brink's Group................ 10,100 266,387
Romac International, Inc.+............ 10,000 112,500
---------------
1,505,203
---------------
CHEMICALS--2.8%
A. Schulman, Inc...................... 40,700 712,250
Dexter Corp........................... 4,300 176,569
Ferro Corp............................ 5,600 155,050
Fuller (H.B.) Co...................... 2,900 196,475
---------------
1,240,344
---------------
COMMUNICATION EQUIPMENT--1.7%
Anixter International, Inc.+.......... 12,700 200,025
Belden, Inc........................... 5,500 105,875
DSP Communications, Inc.+............. 7,200 196,200
Network Equipment Technologies,
Inc.+(1)............................ 32,000 246,000
---------------
748,100
---------------
COMPUTERS & BUSINESS EQUIPMENT--4.4%
Bell & Howell Co.+.................... 6,000 200,625
Electronics for Imaging, Inc.+........ 5,200 245,700
Henry (Jack) & Associates, Inc........ 4,700 155,100
Hypercom Corp.+....................... 34,000 221,000
InaCom Corp.+......................... 3,900 37,781
Kemet Corp.+.......................... 14,200 219,213
NeoMagic Corp.+....................... 6,400 74,400
Reynolds & Reynolds Co., Class A...... 10,100 230,406
Sequent Computer
Systems, Inc.+...................... 5,500 60,156
Splash Technology
Holdings, Inc.+..................... 32,000 300,000
World Color Press, Inc.+.............. 3,900 99,694
</TABLE>
<PAGE>
58
STYLE SELECT SERIES LOGO
Small-Cap Value Portfolio
- -------------------------------------------
PORTFOLIO OF INVESTMENTS -- APRIL 30, 1999 (UNAUDITED) -- (CONTINUED)
<TABLE>
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- ---------------------------------------------------------------------------
<S> <C> <C>
</TABLE>
COMMON STOCK (CONTINUED)
COMPUTERS & BUSINESS EQUIPMENT (CONTINUED)
<TABLE>
<S> <C> <C>
Xircom, Inc.+......................... 4,600 $ 103,500
---------------
1,947,575
---------------
DRUGS--1.3%
Perrigo Co.+.......................... 59,700 455,212
Roberts Pharmaceutical Corp.+......... 3,700 62,900
West Pharmaceutical
Services, Inc....................... 1,882 62,224
---------------
580,336
---------------
ELECTRIC UTILITIES--1.3%
Calpine Corp.+........................ 5,300 225,912
Public Service Co. of
New Mexico.......................... 4,600 82,225
Sierra Pacific Resources Co........... 5,500 195,938
SIGCORP, Inc.......................... 2,200 63,388
---------------
567,463
---------------
ELECTRICAL EQUIPMENT--4.6%
AptarGroup, Inc....................... 6,700 187,600
Crane Co.(1).......................... 6,000 173,625
Credence Systems Corp.+............... 9,900 254,306
Flextronics International Ltd.+....... 2,200 101,750
Hussmann International, Inc........... 6,600 104,775
MagneTek, Inc.+....................... 10,000 108,125
Mark IV Industries, Inc............... 13,700 244,888
Roper Industries, Inc................. 7,000 199,500
Scotsman Industries, Inc.............. 3,900 78,731
Silicon Valley Group, Inc.+........... 4,200 55,125
Watsco, Inc........................... 4,900 96,163
Watts Industries, Inc., Class A....... 29,500 453,562
---------------
2,058,150
---------------
ELECTRONICS--3.6%
Allen Telecom, Inc.+.................. 13,500 126,563
Benchmark Electronics, Inc.+.......... 2,931 98,555
Dallas Semiconductor Corp............. 2,100 89,250
DSP Group, Inc.+...................... 5,000 90,625
FLIR Systems, Inc.+................... 3,000 41,250
Lam Research Corp.+................... 3,100 97,650
Methode Electronics, Inc., Class A.... 21,000 312,375
Oak Industries, Inc.+................. 4,700 196,225
Pittway Corp., Class A................ 10,000 263,750
Plexus Corp.+......................... 3,600 120,150
VLSI Technology, Inc.+................ 8,600 161,787
---------------
1,598,180
---------------
ENERGY SERVICES--0.9%
Marine Drilling Co., Inc.+............ 20,000 343,750
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- ---------------------------------------------------------------------------
<S> <C> <C>
</TABLE>
ENERGY SERVICES (CONTINUED)
<TABLE>
<S> <C> <C>
New Jersey Resources Corp............. 1,800 $ 66,375
---------------
410,125
---------------
ENERGY SOURCES--3.2%
Barrett Resources Corp.+.............. 6,700 203,513
Chieftain International, Inc.+........ 23,000 415,437
Devon Energy Corp..................... 5,000 166,250
Evergreen Resources, Inc.+............ 14,800 336,700
Helmerich & Payne, Inc................ 7,400 190,550
Tesoro Petroleum Corp.+............... 9,500 107,469
---------------
1,419,919
---------------
ENTERTAINMENT PRODUCTS--0.9%
Harman International Industries,
Inc.+............................... 8,500 390,469
---------------
FINANCIAL SERVICES--0.8%
E.W. Blanch Holdings, Inc............. 3,500 206,062
Metris Cos., Inc...................... 2,201 134,536
---------------
340,598
---------------
FOOD, BEVERAGE & TOBACCO--2.4%
American Italian Pasta Co., Class
A+.................................. 5,800 155,875
Aurora Foods, Inc.+................... 5,200 77,350
Canandaigua Brands, Inc., Class A..... 2,150 110,725
International Multifoods Corp......... 3,600 79,650
Lance, Inc............................ 5,800 80,475
Ralcorp Holdings, Inc.+............... 13,800 253,575
Suiza Foods Corp.+.................... 3,500 131,469
Universal Corp........................ 5,300 134,818
Vlasic Foods International, Inc.+..... 4,400 36,025
---------------
1,059,962
---------------
FOREST PRODUCTS--0.7%
Chesapeake Corp.(1)................... 3,300 107,250
Unisource Worldwide, Inc.............. 10,100 82,063
Wausau-Mosinee Paper Corp............. 7,500 123,750
---------------
313,063
---------------
GAS & PIPELINE UTILITIES--2.4%
Equitable Resources, Inc.............. 2,600 68,900
MDU Resources Group, Inc.............. 2,900 61,806
Mitchell Energy & Development Corp.,
Class B............................. 20,000 307,500
Newfield Exploration Co.+............. 14,000 376,250
Nui Corp.............................. 5,000 108,438
Peoples Energy Corp................... 3,400 127,075
---------------
1,049,969
---------------
</TABLE>
<PAGE>
59
STYLE SELECT SERIES LOGO
Small-Cap Value Portfolio
- -------------------------------------------
PORTFOLIO OF INVESTMENTS -- APRIL 30, 1999 (UNAUDITED) -- (CONTINUED)
<TABLE>
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- ---------------------------------------------------------------------------
<S> <C> <C>
</TABLE>
COMMON STOCK (CONTINUED)
<TABLE>
<S> <C> <C>
HEALTH SERVICES--1.2%
Apria Healthcare Group, Inc.+......... 10,100 $ 157,812
Orthodontic Centers of America,
Inc.+............................... 9,100 112,613
Sierra Health Services, Inc........... 19,550 244,375
---------------
514,800
---------------
HOUSEHOLD PRODUCTS--0.2%
Libbey, Inc........................... 2,900 87,181
---------------
HOUSING--3.4%
Bassett Furniture
Industries, Inc..................... 6,400 147,200
Dorel Industries, Inc., Class B+...... 6,400 135,200
Furniture Brands International,
Inc.+............................... 8,000 200,500
Holophane Corp.+...................... 12,000 309,750
Hughes Supply, Inc.................... 3,700 86,025
Interface, Inc........................ 11,000 77,344
Kaufman & Broad Home Corp............. 2,100 51,056
Kimball International, Inc., Class
B................................... 5,000 80,000
La-Z-Boy, Inc......................... 6,300 124,031
Toll Brothers, Inc.+.................. 13,100 280,012
Walter Industries, Inc.+.............. 1,300 14,788
---------------
1,505,906
---------------
INSURANCE--5.1%
American Heritage Life Investment
Corp................................ 2,600 60,288
Amerin Corp.+......................... 13,700 321,094
Chartwell Re Corp..................... 2,500 46,250
Enhance Financial Services Group,
Inc................................. 10,900 225,494
Frontier Insurance Group, Inc......... 7,040 97,240
Gallagher (Arthur J.) & Co............ 2,800 133,000
Harleysville Group, Inc............... 4,300 79,550
HCC Insurance Holdings, Inc........... 8,300 175,337
IPC Holdings Ltd...................... 15,000 266,250
LandAmerica Financial
Group, Inc.......................... 600 16,800
MONY Group, Inc....................... 2,500 66,250
NAC Re Corp.(1)....................... 2,500 136,250
Orion Capital Corp.................... 3,200 94,200
Presidential Life Corp................ 4,500 80,438
Protective Life Corp.(1).............. 3,600 141,075
Reliance Group Holdings, Inc.......... 15,600 117,000
Selective Insurance Group, Inc........ 4,900 94,937
StanCorp Financial
Group, Inc.+........................ 5,000 120,312
---------------
2,271,765
---------------
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- ---------------------------------------------------------------------------
<S> <C> <C>
INVESTMENT COMPANIES--1.1%
Morgan Stanley Asia-Pacific Fund...... 55,000 $ 501,875
---------------
LEISURE & TOURISM--3.1%
Alaska Air Group, Inc.+............... 2,000 88,125
Applebee's International, Inc......... 4,600 118,737
Bob Evans Farms, Inc.................. 7,100 130,019
CKE Restaurants, Inc.................. 4,200 68,775
Foodmaker, Inc........................ 7,800 188,175
Landry's Seafood Restaurants, Inc.+... 28,000 227,500
Lone Star Steakhouse & Saloon,
Inc.+............................... 6,900 75,038
Midwest Express Holdings, Inc.+....... 2,800 87,500
Prime Hospitality Corp.+.............. 9,600 117,000
Ryan's Family Steak
Houses, Inc.+....................... 13,800 169,050
Sbarro, Inc........................... 3,600 94,275
---------------
1,364,194
---------------
MACHINERY--3.4%
Applied Power, Inc., Class A.......... 3,300 104,156
Flowserve Corp........................ 10,000 186,250
JLG Industries, Inc................... 16,600 266,637
Kaydon Corp........................... 4,000 135,000
Omniquip International, Inc........... 6,100 75,488
PPT Vision, Inc.+..................... 26,000 110,500
Regal-Beloit Corp..................... 7,200 155,700
SpeedFam-IPEC, Inc.+.................. 20,000 227,500
Stewart & Stevenson
Services, Inc....................... 25,000 256,250
---------------
1,517,481
---------------
MEDICAL PRODUCTS--2.3%
CONMED Corp.+......................... 4,700 135,712
Invacare Corp......................... 3,300 76,313
Maxxim Medical, Inc................... 3,600 57,375
Sola International, Inc.+............. 33,000 490,875
Sunrise Medical, Inc.+................ 8,800 63,800
Varian Medical Systems, Inc........... 600 10,313
Wesley Jessen VisionCare, Inc.+....... 5,800 177,625
---------------
1,012,013
---------------
METALS & MINERALS--2.6%
Carlisle Cos., Inc.................... 3,200 156,800
Cleveland-Cliffs, Inc.(1)............. 1,800 71,663
Intermet Corp......................... 5,900 87,025
Lone Star Industries, Inc............. 5,900 210,556
Martin Marietta Materials, Inc........ 2,400 148,350
NS Group, Inc.+....................... 50,000 415,625
</TABLE>
<PAGE>
60
STYLE SELECT SERIES LOGO
Small-Cap Value Portfolio
- -------------------------------------------
PORTFOLIO OF INVESTMENTS -- APRIL 30, 1999 (UNAUDITED) -- (CONTINUED)
<TABLE>
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- ---------------------------------------------------------------------------
<S> <C> <C>
</TABLE>
COMMON STOCK (CONTINUED)
METALS & MINERALS (CONTINUED)
<TABLE>
<S> <C> <C>
Texas Industries, Inc................. 2,600 $ 80,275
---------------
1,170,294
---------------
REAL ESTATE COMPANIES--0.2%
Catellus Development Corp.+........... 7,400 113,775
---------------
REAL ESTATE INVESTMENT TRUSTS--9.4%
Amli Residential
Properties Trust.................... 4,100 89,431
Arden Realty Group, Inc............... 2,900 72,500
Bedford Property
Investors, Inc...................... 6,100 104,844
Bradley Real Estate, Inc.............. 4,300 85,731
Brandywine Realty Trust............... 5,300 100,038
CBL & Associates
Properties, Inc..................... 3,800 93,338
Chateau Communities, Inc.............. 3,700 107,531
Essex Property Trust, Inc............. 5,000 157,812
FelCor Suite Hotels, Inc.............. 9,800 234,587
Gables Residential Trust.............. 16,000 381,000
Glenborough Realty Trust, Inc......... 12,500 214,844
Glimcher Realty Trust................. 6,200 105,012
Home Properties of New York, Inc...... 12,000 310,500
IRT Property Co....................... 40,000 377,500
JDN Realty Corp....................... 6,100 134,962
Kilroy Realty Corp.................... 6,000 141,375
Koger Equity, Inc..................... 3,000 44,063
Liberty Property Trust................ 3,200 77,200
Mack-Cali Realty Corp................. 3,000 92,813
MGI Properties, Inc................... 1,100 30,388
Pacific Gulf Properties, Inc.......... 3,500 72,844
Parkway Properties, Inc............... 10,000 290,000
Prentiss Properties Trust............. 9,000 194,625
Regency Realty Corp................... 2,800 60,550
Summit Properties, Inc................ 28,000 511,000
TriNet Corporate Realty
Trust, Inc.......................... 4,300 117,981
---------------
4,202,469
---------------
RETAIL--5.3%
BJ's Wholesale Club, Inc.+............ 5,100 135,469
Children's Place Retail
Stores, Inc.+....................... 1,300 46,962
Cole National Corp., Class A+......... 4,800 74,400
Department 56, Inc.+.................. 2,900 78,481
Fred's, Inc........................... 10,700 123,719
Great Atlantic & Pacific
Tea Co., Inc........................ 3,900 119,925
Haverty Furniture Co., Inc............ 4,100 96,862
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- ---------------------------------------------------------------------------
<S> <C> <C>
</TABLE>
RETAIL (CONTINUED)
<TABLE>
<S> <C> <C>
Jostens, Inc.(1)...................... 20,000 $ 428,750
K2, Inc............................... 7,700 78,444
Movado Group, Inc..................... 4,600 110,975
Payless ShoeSource, Inc.+............. 7,100 343,906
Pier 1 Imports, Inc................... 56,600 417,425
ShopKo Stores, Inc.+.................. 4,700 161,269
Toro Co............................... 2,400 83,550
Wet Seal, Inc......................... 1,800 73,350
Whole Foods Market, Inc.+............. 200 7,775
---------------
2,381,262
---------------
SOFTWARE--2.9%
Computer Horizons Corp.+(1)........... 29,500 416,687
International Telecommunication
Data Systems, Inc.+................. 4,800 54,300
Pinnacle Systems, Inc.+............... 3,200 173,600
Remedy Corp.+......................... 5,200 91,000
Sterling Software, Inc.+.............. 7,700 159,294
Symantec Corp.+....................... 12,100 240,488
Wang Laboratories, Inc.+.............. 7,300 178,850
---------------
1,314,219
---------------
TELECOMMUNICATIONS--1.1%
General Communication, Inc., Class
A+.................................. 55,700 257,612
Metro One
Telecommunications, Inc.+........... 2,850 46,669
NTL, Inc.+............................ 2,400 182,850
---------------
487,131
---------------
TELEPHONE--0.2%
AT&T Corp............................. 1,854 93,625
---------------
TRANSPORTATION--2.3%
Budget Group, Inc., Class A+.......... 8,000 99,500
CNF Transportation, Inc............... 4,600 200,962
Knightsbridge Tankers Ltd............. 32,000 592,000
Pittston Burlington Co................ 8,800 78,650
Teekay Shipping Corp.................. 4,100 69,700
---------------
1,040,812
---------------
TOTAL COMMON STOCK
(cost $45,399,143).................... 43,074,996
---------------
RIGHTS--0.3%
SOFTWARE--0.3%
Structural Dynamics Research Corp.+(1)
(cost $115,310)..................... 6,700 130,231
---------------
TOTAL INVESTMENT SECURITIES--97.0%
(cost $45,514,453).................... 43,205,227
---------------
</TABLE>
<PAGE>
61
STYLE SELECT SERIES LOGO
Small-Cap Value Portfolio
- -------------------------------------------
PORTFOLIO OF INVESTMENTS -- APRIL 30, 1999 (UNAUDITED) -- (CONTINUED)
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
SECURITY DESCRIPTION (IN THOUSANDS) (NOTE 3)
- ---------------------------------------------------------------------------
<S> <C> <C>
REPURCHASE AGREEMENTS--2.2%
Agreement with State Street Bank and
Trust Co., bearing 4.00%, dated
4/30/99 to be repurchased 5/03/99 in
the amount of $457,152
collateralized by $420,000 U.S.
Treasury Bond 6.50%, due 11/15/26
approximate aggregate value $470,925
(cost $457,000)..................... $ 457 $ 457,000
Agreement with State Street Bank and
Trust Co., bearing 4.82%, dated
4/30/99 to be repurchased 5/03/99 in
the amount of $532,214
collateralized by $535,000 U.S.
Treasury Note 5.25%, due 1/31/01
approximate aggregate value $543,995
(cost $532,000)..................... 532 532,000
---------------
TOTAL REPURCHASE AGREEMENTS
(cost $989,000)....................... 989,000
---------------
TOTAL INVESTMENTS--
(cost $46,503,453).................... 99.2% 44,194,227
Other assets less liabilities........... 0.8 343,028
------- ---------------
NET ASSETS-- 100.0% $ 44,537,255
------- ---------------
------- ---------------
</TABLE>
- ------------------
+ Non-income producing security
(1) Security is traded with rights attached
See Notes to Financial Statements
<PAGE>
62
STYLE SELECT SERIES LOGO
International Equity Portfolio
- -------------------------------------------
PORTFOLIO OF INVESTMENTS -- APRIL 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- ---------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCK--95.7%
ARGENTINA--1.1%
Banco Frances del Rio de la Plata SA
ADR (Finance)....................... 1,460 $ 37,595
Banco de Galicia y Buenos Aires SA de
CV ADR (Finance).................... 909 20,964
Telefonica de Argentina SA ADR
(Utilities)......................... 2,690 100,539
TV Azteca SA de CV ADR+
(Information & Entertainment)....... 2,100 14,700
YPF Sociedad Anonima ADR (Energy)..... 17,526 736,092
---------------
909,890
---------------
AUSTRALIA--2.9%
Australian Gas Light Co., Ltd.
(Utilities)......................... 9,183 65,022
Brambles Industries Ltd.
(Multi-industry).................... 17,700 520,115
Broken Hill Proprietary Co., Ltd.
(Materials)......................... 6,000 67,832
Cable & Wireless Optus (Information
Technology)......................... 43,400 97,648
Colonial Ltd. (Finance)............... 31,599 118,981
Commonwealth Bank of Australia
(Finance)........................... 8,319 151,473
Goodman Fielder Wattie Ltd. (Consumer
Staples)............................ 29,000 28,018
Lend Lease Corp., Ltd. (Finance)...... 4,062 54,763
News Corp., Ltd.
(Information & Entertainment)....... 13,701 114,820
Publishing & Broadcasting Ltd.
(Information & Entertainment)....... 20,000 134,428
TABCORP Holdings Ltd.
(Information & Entertainment)....... 34,100 277,332
Telstra Corp., Ltd.+ (Information
Technology)......................... 57,319 311,033
Western Mining Corp., Ltd.
(Materials)......................... 9,800 42,348
Westpac Banking Corp., Ltd.
(Finance)........................... 63,890 487,733
---------------
2,471,546
---------------
AUSTRIA--0.4%
Erste Bank Der Oesterreichischen
Sparkassen AG+ (Finance)............ 5,700 325,160
---------------
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- ---------------------------------------------------------------------------
<S> <C> <C>
BELGIUM--0.8%
Credit Dexia/Communal Holding+
(Finance)........................... 284 $ 43,682
Fortis AG (Finance)................... 6,430 215,667
Kredietbank NV (Finance).............. 5,790 359,042
UCB SA (Healthcare)................... 1,540 71,582
---------------
689,973
---------------
BERMUDA--0.3%
Global Crossing Ltd.+ (Information
Technology)......................... 4,300 232,200
---------------
BOTSWANA--0.1%
Sechaba Brewery
(Consumer Staples).................. 93,000 100,208
---------------
BRAZIL--0.1%
Compania Brasileira de Distribuidora
GDR (Industrial & Commercial)....... 1,000 17,716
Compania Energetica de Minas Gerais
ADR (Utilities)..................... 1,888 45,294
Telecomunicacoes de Brasileiras SA ADR
(Information Technology)............ 7,795 609
Uniao De Banco Brasilieros SA GDR+
(Finance)........................... 2,000 49,625
---------------
113,244
---------------
CANADA--1.7%
Alcan Aluminium Ltd. (Materials)...... 1,740 54,893
BCE Emergis, Inc. (Information
Technology)......................... 3,300 104,108
Inco Ltd. (Materials)................. 1,600 30,615
Northern Telecom Ltd. (Information
Technology)......................... 5,600 380,221
Rogers Communications, Inc.
(Information & Entertainment)....... 16,400 307,057
Royal Bank of Canada (Finance)........ 640 31,208
Toronto Dominion Bank (Finance)....... 9,600 512,558
---------------
1,420,660
---------------
CHILE--0.0%
Chilectra SA ADR* (Utilities)......... 422 9,333
---------------
CHINA--0.1%
Huaneng Power International, Inc. ADR+
(Industrial & Commercial)........... 4,000 53,750
---------------
</TABLE>
<PAGE>
63
STYLE SELECT SERIES LOGO
International Equity Portfolio
- -------------------------------------------
PORTFOLIO OF INVESTMENTS -- APRIL 30, 1999 (UNAUDITED) -- (CONTINUED)
<TABLE>
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- ---------------------------------------------------------------------------
<S> <C> <C>
</TABLE>
COMMON STOCK (CONTINUED)
<TABLE>
<S> <C> <C>
DENMARK--0.2%
Den Danske Bank+ (Finance)............ 480 $ 55,265
Tele Danmark A/S (Utilities).......... 620 63,893
Unidanmark A/S, Class A (Finance)..... 540 37,074
---------------
156,232
---------------
FINLAND--1.1%
Nokia AB OY (Information
Technology)......................... 5,200 400,735
Nokia Corp., Class A ADR (Information
Technology)......................... 2,800 207,725
Stora Enso Oyj (Materials)............ 21,100 246,305
UPM-Kymmene OY (Materials)............ 3,720 112,589
---------------
967,354
---------------
FRANCE--11.6%
Alcatel Alsthom Compagnie Generael D'
Electricite (Information
Technology)......................... 1,520 186,586
Alstom+
(Industrial & Commercial)........... 10,100 330,759
AXA SA de CV+
(Information Technology)............ 5,964 769,905
Banque Nationale de Paris (Finance)... 3,500 290,061
Canal Plus
(Information & Entertainment)....... 2,430 675,648
Carrefour SA
(Consumer Discretionary)............ 773 612,448
Compagnie de St. Gobain (Materials)... 1,170 200,848
Compagnie Francaise d'Etudes et de
Construction Technip
(Industrial & Commercial)........... 610 73,527
Credit Commerce France (Finance)...... 1,720 181,701
Credit Local de France+ (Finance)..... 295 41,292
Groupe Danone
(Consumer Staples).................. 1,390 371,504
L' Oreal (Consumer Staples)........... 160 102,429
Lafarge SA (Materials)................ 742 72,114
Legrand SA
(Information Technology)............ 520 124,148
Pinault-Printemps-Redoute SA (Consumer
Discretionary)...................... 2,390 396,393
Sanofi SA (Healthcare)................ 1,986 311,135
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- ---------------------------------------------------------------------------
<S> <C> <C>
</TABLE>
FRANCE (CONTINUED)
<TABLE>
<S> <C> <C>
Schneider SA+
(Industrial & Commercial)........... 3,808 $ 248,406
SEITA (Consumer Staples).............. 5,700 343,224
Societe Generale (Finance)............ 2,526 452,038
Societe Generale d'Enterprises SA
(Industrial & Commercial)........... 12,800 540,877
Societe Nationale Elf Aquitaine SA
(Energy)............................ 2,650 411,521
Sodexho SA
(Information & Entertainment)....... 1,698 278,572
Suez Lyonnaise des Eaux (Industrial &
Commercial)......................... 2,900 493,233
Television Francais (Utilities)....... 945 184,685
Total SA, Class B (Energy)............ 8,150 1,115,812
Union du Credit-Bail Immobilier SA
(Real Estate)....................... 2,200 278,890
Vivendi SA
(Industrial & Commercial)........... 3,854 900,179
---------------
9,987,935
---------------
GERMANY--6.8%
Allianz AG (Finance).................. 1,320 420,426
Bayer AG (Materials).................. 3,853 163,626
DaimlerChrysler AG (Consumer
Discretionary)...................... 4,016 396,462
Deutsche Bank AG+ (Finance)........... 3,871 224,913
Deutsche Telekom AG (Information
Technology)......................... 4,716 185,828
Dresdner Bank AG (Finance)............ 5,037 217,100
Gehe AG
(Consumer Discretionary)............ 5,890 270,666
Hoechst AG (Healthcare)............... 11,810 559,552
HypoVereinsbank (Finance)............. 13,190 859,723
Intershop Communications AG
(Information Technology)............ 500 120,165
Linde AG
(Industrial & Commercial)........... 290 179,218
Mannesmann AG
(Industrial & Commercial)........... 7,150 941,136
Metro AG
(Consumer Discretionary)............ 5,700 411,869
Rhon-Klinikum AG (Consumer
Discretionary)...................... 680 68,243
SAP AG
(Information Technology)............ 600 192,054
Siemens AG (Multi-industry)........... 4,179 309,029
Software AG+
(Information Technology)............ 3,400 101,288
</TABLE>
<PAGE>
64
STYLE SELECT SERIES LOGO
International Equity Portfolio
- -------------------------------------------
PORTFOLIO OF INVESTMENTS -- APRIL 30, 1999 (UNAUDITED) -- (CONTINUED)
<TABLE>
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- ---------------------------------------------------------------------------
<S> <C> <C>
</TABLE>
COMMON STOCK (CONTINUED)
GERMANY (CONTINUED)
<TABLE>
<S> <C> <C>
VEBA AG (Utilities)................... 3,480 $ 190,799
Volkswagen AG
(Consumer Discretionary)............ 930 65,923
---------------
5,878,020
---------------
GREECE--0.2%
Hellenic Telecommunications
Organization SA (Information
Technology)......................... 3,300 76,557
Panafon Hellenic Telecom SA+
(Information Technology)............ 2,100 55,941
---------------
132,498
---------------
HONG KONG--2.2%
Cheung Kong (Holdings) Ltd. (Real
Estate)............................. 6,000 54,574
China Telecom+ (Utilities)............ 171,000 390,491
CLP Holdings Ltd. (Utilities)......... 23,000 123,442
Cosco Pacific Ltd. (Industrial &
Commercial)......................... 120,000 81,280
Henderson Land Development Co., Ltd.
(Real Estate)....................... 20,000 121,017
Hong Kong Telecommunications Ltd.
(Utilities)......................... 28,400 76,395
HSBC Holdings PLC (Finance)........... 2,800 104,038
Hutchison Whampoa Ltd.
(Multi-industry).................... 47,500 425,913
New World Development Co., Ltd.+ (Real
Estate)............................. 60,000 109,534
Peregrine Investments Holdings Ltd.(1)
(Finance)........................... 91,000 0
Sun Hung Kai Properties Ltd.+ (Real
Estate)............................. 37,300 327,235
Wharf Holdings Ltd.+
(Multi-industry).................... 43,000 105,406
---------------
1,919,325
---------------
INDIA--0.0%
Mahanagar Telephone Nigam Ltd. GDR+
(Information Technology)............ 2,000 20,800
---------------
IRELAND--1.3%
Bank of Ireland (Finance)............. 26,600 532,500
CBT Group PLC ADR+ (Information
Technology)......................... 2,527 39,169
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- ---------------------------------------------------------------------------
<S> <C> <C>
</TABLE>
IRELAND (CONTINUED)
<TABLE>
<S> <C> <C>
CRH PLC
(Industrial & Commercial)........... 27,100 $ 533,920
---------------
1,105,589
---------------
ITALY--7.0%
Assicurazione Generali SpA
(Finance)........................... 16,980 661,003
Banca Commerciale Italiana+
(Finance)........................... 82,100 675,630
Banca Popolare di Bergamo Credito
Varesino SpA (Finance).............. 12,100 304,861
Banca Popolare di Brescia (Finance)... 3,000 103,158
Banca Popolare di Milano (Finance).... 33,300 283,184
Banco di Roma SpA (Finance)........... 56,000 92,287
ENI SpA (Energy)...................... 107,271 705,990
Istituto Mobiliare Italiano
(Industrial & Commercial)........... 13,405 201,087
Istituto Nazionale delle Assicurazioni
(Finance)........................... 80,000 211,280
Italgas SpA+ (Utilities).............. 8,000 35,580
Mediolanum SpA (Finance).............. 14,780 97,585
Seat Pagine Gialle SpA
(Information & Entertainment)....... 106,010 131,139
Telecom Italia Mobile SpA (Information
Technology)......................... 51,000 303,863
Telecom Italia SpA (Information
Technology)......................... 128,277 1,364,604
Unicredito Italiano SpA (Finance)..... 159,708 809,835
---------------
5,981,086
---------------
JAPAN--12.4%
Alps Electric Co., Ltd. (Information
Technology)......................... 3,000 50,871
Amway Japan Ltd.
(Information & Entertainment)....... 50 507
Canon, Inc.
(Information Technology)............ 16,000 391,224
Citizen Watch Co.
(Consumer Discretionary)............ 6,000 49,740
Daiichi Pharmaceutical (Healthcare)... 8,000 129,961
Daiwa House Industry Co., Ltd.
(Consumer Discretionary)............ 9,000 107,394
DDI Corp. (Utilities)................. 23 114,210
Denso Corp.
(Consumer Discretionary)............ 16,000 324,904
</TABLE>
<PAGE>
65
STYLE SELECT SERIES LOGO
International Equity Portfolio
- -------------------------------------------
PORTFOLIO OF INVESTMENTS -- APRIL 30, 1999 (UNAUDITED) -- (CONTINUED)
<TABLE>
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- ---------------------------------------------------------------------------
<S> <C> <C>
</TABLE>
COMMON STOCK (CONTINUED)
JAPAN (CONTINUED)
<TABLE>
<S> <C> <C>
East Japan Railway Co. (Industrial &
Commercial)......................... 23 $ 135,781
Fanuc Ltd.
(Information Technology)............ 2,300 100,151
Fuji Heavy Industries Ltd. (Consumer
Discretionary)...................... 59,000 395,244
Fujitsu Ltd.
(Information Technology)............ 32,000 547,982
Hitachi Ltd.+
(Information Technology)............ 18,000 131,435
Honda Motor Co., Ltd. (Consumer
Discretionary)...................... 1,000 44,046
Ito-Yokado Co., Ltd. (Consumer
Discretionary)...................... 3,000 184,140
KAO Corp.
(Consumer Staples).................. 9,000 228,354
Kokuyo Co., Ltd. (Materials).......... 5,000 75,155
Komori Co., Ltd. (Industrial &
Commercial)......................... 5,000 92,531
Kuraray Co., Ltd. (Healthcare)........ 11,000 125,272
Kyocera Corp.
(Information Technology)............ 3,600 213,733
Makita Corp.
(Industrial & Commercial)........... 6,000 64,411
Marui Co., Ltd.
(Consumer Discretionary)............ 13,000 215,651
Matsushita Electric Industrial Co.,
Ltd.+
(Information Technology)............ 20,000 380,171
Mitsubishi Corp.
(Consumer Discretionary)............ 11,000 72,768
Mitsubishi Heavy Industries Ltd.
(Industrial & Commercial)........... 49,000 214,596
Mitsui Fudosan Co., Ltd. (Real
Estate)............................. 24,000 221,068
Murata Manufacturing Co., Ltd.
(Information Technology)............ 13,000 743,510
NEC Corp.
(Information Technology)............ 29,300 349,873
Nippon Telegraph & Telephone Corp.
(Utilities)......................... 77 838,218
Nippon Telegraph & Telephone Mobile
Communications Corp. (Utilities).... 11 644,783
Nomura Securities Co., Ltd.
(Finance)........................... 19,000 204,924
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- ---------------------------------------------------------------------------
<S> <C> <C>
</TABLE>
JAPAN (CONTINUED)
<TABLE>
<S> <C> <C>
Pioneer Electronic Corp. (Industrial &
Commercial)......................... 2,000 $ 38,017
Sankyo Co., Ltd. (Healthcare)......... 14,000 293,669
Sekisui Chemical Co., Ltd.
(Materials)......................... 15,000 100,234
Sekisui House Ltd. (Consumer
Discretionary)...................... 9,000 100,762
Seven-Eleven Japan Co., Ltd. (Consumer
Discretionary)...................... 1,000 85,329
Shin-Etsu Chemical Co. Ltd.
(Materials)......................... 6,000 190,923
Shiseido Co., Ltd.
(Consumer Staples).................. 7,000 110,199
Softbank Corp.
(Information Technology)............ 900 119,754
Sony Corp.
(Information Technology)............ 4,400 410,819
Sumitomo Corp.
(Industrial & Commercial)........... 18,000 132,943
Sumitomo Electric Industries Ltd.
(Industrial & Commercial)........... 24,000 290,404
Takeda Chemical Industries Ltd.
(Healthcare)........................ 9,700 421,563
TDK Corp.
(Information Technology)............ 4,000 302,462
Tokio Marine & Fire Insurance Co.,
Ltd. (Finance)...................... 6,000 69,888
Tokyo Electron Ltd. (Information
Technology)......................... 2,000 113,884
Toppan Printing Co., Ltd.
(Information & Entertainment)....... 10,000 120,248
UNY Co., Ltd.
(Consumer Staples).................. 6,000 95,461
Yamanouchi Pharmaceutical Co., Ltd.
(Healthcare)........................ 9,000 284,877
---------------
10,674,044
---------------
KAZAKHSTAN--0.1%
Firebird Republica Fund Ltd.(1)
(Investment Companies).............. 960 53,349
---------------
KOREA--1.1%
Korea Electric Power Corp. ADR
(Utilities)......................... 10,700 176,550
Korean Air
(Information & Entertainment)....... 9,100 113,320
Samsung Electronics (Industrial &
Commercial)......................... 2,800 215,330
</TABLE>
<PAGE>
66
STYLE SELECT SERIES LOGO
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- -------------------------------------------
PORTFOLIO OF INVESTMENTS -- APRIL 30, 1999 (UNAUDITED) -- (CONTINUED)
<TABLE>
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- ---------------------------------------------------------------------------
<S> <C> <C>
</TABLE>
COMMON STOCK (CONTINUED)
KOREA (CONTINUED)
<TABLE>
<S> <C> <C>
Samsung Securities Co., Ltd.
(Finance)........................... 6,180 $ 239,192
Shinhan Bank (Finance)................ 7,900 87,076
Shinhan Bank GDR (Finance)............ 5,755 137,401
---------------
968,869
---------------
LUXEMBOURG--0.0%
Societe Europeenne des Satellites SA
(Information & Entertainment)....... 260 39,792
---------------
MEXICO--1.3%
Alfa SA de CV, Class A
(Multi-industry).................... 22,500 89,489
Cemex SA (Materials).................. 385 1,792
Cemex SA de CV ADR (Materials)........ 3,000 27,923
Cemex SA de CV Class B (Materials).... 12,834 59,586
Fomento Economico Mexicano SA+
(Finance)........................... 15,000 53,571
Gruma SA ADR
(Consumer Staples).................. 632 4,898
Gruma SA, Class B+ (Consumer
Staples)............................ 5,124 9,826
Grupo Industrial Maseca SA de CV,
Class B (Industrial & Commercial)... 9,000 6,234
Grupo Modelo SA de CV, Class C
(Consumer Staples).................. 20,000 52,706
Grupo Televisa SA de CV GDR
(Information & Entertainment)....... 7,800 319,800
Kimberly-Clark de Mexico SA de CV,
Class A (Materials)................. 12,526 48,803
Telefonos de Mexico SA ADR
(Utilities)......................... 5,550 420,412
---------------
1,095,040
---------------
NETHERLANDS--9.2%
ABN Amro Holdings NV (Finance)........ 8,478 201,961
Akzo Nobel NV (Materials)............. 720 32,516
ASM Lithography Holdings NV+
(Information Technology)............ 5,110 215,388
Benckiser NV Class B (Consumer
Staples)............................ 5,650 311,564
CSM NV (Consumer Staples)............. 3,230 172,656
Elsevier NV
(Consumer Discretionary)............ 22,960 343,208
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- ---------------------------------------------------------------------------
<S> <C> <C>
</TABLE>
NETHERLANDS (CONTINUED)
<TABLE>
<S> <C> <C>
Equant NV-NY Shares+ (Information
Technology)......................... 6,620 $ 600,730
Fortis Amev NV (Finance).............. 8,170 290,858
Gucci Group NV-NY Registry Shares
(Consumer Discretionary)............ 1,051 79,285
ING Groep NV (Finance)................ 20,900 1,287,192
Koninklijke Ahold NV (Consumer
Discretionary)...................... 23,806 883,975
Koninklijke Hoogovens NV
(Materials)......................... 5,900 236,533
Koninklijke Numico NV (Consumer
Staples)............................ 2,820 106,054
Nutreco Holding NV (Consumer
Staples)............................ 8,858 358,864
Philips Electronics NV (Information
Technology)......................... 7,210 620,757
Royal Dutch Petroleum Co. (Energy).... 6,080 353,903
Royal Koninklijke KPN NV
(Utilities)......................... 1,020 42,562
SGS Thomson Microelectronics NV
(Information Technology)............ 1,340 139,576
TNT Post Group NV+ (Industrial &
Commercial)......................... 1,070 28,824
Unilever NV
(Consumer Staples).................. 3,290 225,216
United Pan-Europe Communications NV+
(Information & Entertainment)....... 4,300 222,356
Vedior NV+ (Industrial &
Commercial)......................... 9,400 211,512
VNU NV
(Information & Entertainment)....... 2,240 90,631
Wolters Kluwer NV+
(Information & Entertainment)....... 19,304 840,181
---------------
7,896,302
---------------
NEW ZEALAND--0.1%
Telecommunications Corp. of New
Zealand Ltd. (Information
Technology)......................... 23,000 119,805
---------------
NORWAY--0.6%
Norsk Hydro ASA (Energy).............. 5,560 248,796
Orkla ASA, Class A
(Multi-industry).................... 14,900 249,907
Saga Petroleum ASA, Series A
(Energy)............................ 770 8,528
---------------
507,231
---------------
</TABLE>
<PAGE>
67
STYLE SELECT SERIES LOGO
International Equity Portfolio
- -------------------------------------------
PORTFOLIO OF INVESTMENTS -- APRIL 30, 1999 (UNAUDITED) -- (CONTINUED)
<TABLE>
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- ---------------------------------------------------------------------------
<S> <C> <C>
</TABLE>
COMMON STOCK (CONTINUED)
<TABLE>
<S> <C> <C>
PORTUGAL--0.8%
Banco Comercial Portugues SA+
(Finance)........................... 9,600 $ 270,675
BPI-SGPS SA+ (Finance)................ 7,700 207,424
Jeronimo Martins SGPS SA (Consumer
Discretionary)...................... 5,618 183,926
---------------
662,025
---------------
RUSSIA--0.0%
Gazprom ADR (Energy).................. 1,080 11,475
---------------
SINGAPORE--0.9%
Allgreen Properties, Ltd.+ (Real
Estate)............................. 6,900 4,190
Natsteel Electronics Ltd. (Information
Technology)......................... 42,000 141,131
Overseas Chinese Banking Corp., Ltd.
alien shares (Finance).............. 36,400 341,190
Singapore Press Holdings Ltd.
(Information & Entertainment)....... 5,177 76,298
United Overseas Bank Ltd.+
(Finance)........................... 13,000 100,395
Wing Tai Holdings Ltd.
(Real Estate)....................... 86,100 107,098
---------------
770,302
---------------
SPAIN--3.7%
Banco Bilbao Vizcaya SA (Finance)..... 5,440 81,375
Banco Popular Espanol SA (Finance).... 780 55,208
Banco Santander SA (Finance).......... 24,346 528,785
Corporation Bancaria de Espana SA
(Finance)........................... 24,580 578,010
Endesa SA (Utilities)................. 7,170 159,365
Fomento de Construcciones y Contratas
SA
(Industrial & Commercial)........... 10,300 628,917
Gas Natural SDG SA (Utilities)........ 1,340 108,079
Iberdrola SA (Utilities).............. 11,120 155,650
Repsol SA (Energy).................... 5,502 89,510
Telefonica SA (Utilities)............. 17,185 805,140
---------------
3,190,039
---------------
SWEDEN--4.4%
ABB AB, Class A (Utilities)........... 8,470 117,960
ABB AG+ (Utilities)................... 120 175,002
AstraZeneca Group PLC+ (Healthcare)... 10,428 406,639
Atlas Copco AB, Class A (Industrial &
Commercial)......................... 12,470 335,509
Atlas Copco AB, Class B (Industrial &
Commercial)......................... 4,760 125,248
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- ---------------------------------------------------------------------------
<S> <C> <C>
</TABLE>
SWEDEN (CONTINUED)
<TABLE>
<S> <C> <C>
Autoliv AB
(Consumer Discretionary)............ 2,000 $ 69,456
Castellum AB (Real Estate)............ 3,200 29,205
Electrolux AB
(Consumer Discretionary)............ 39,130 793,082
Ericsson L.M. Telecommunications Co.,
Class B
(Information Technology)............ 8,400 220,529
Esselte AB
(Information Technology)............ 1,340 20,885
Granges AB+ (Materials)............... 380 6,441
Hennes & Mauritz AB, Class B
(Consumer Discretionary)............ 4,410 380,001
Nordbanken AB (Finance)............... 38,283 240,488
Sandvik AB, Class B (Industrial &
Commercial)......................... 4,240 95,735
Securitas AB, Series B (Consumer
Discretionary)...................... 3,262 48,329
Skandinaviska Enskilda Banken
(Finance)........................... 41,800 544,980
Svenska Cellulosa AB (Materials)...... 5,100 130,265
---------------
3,739,754
---------------
SWITZERLAND--5.4%
Adecco SA
(Industrial & Commercial)........... 580 292,338
Compagnie Financiere Richemont AG+
(Consumer Staples).................. 200 340,041
CS Holding AG+ (Finance).............. 2,064 409,228
Nestle SA (Consumer Staples).......... 400 740,119
Novartis AG (Healthcare).............. 390 570,800
Roche Holdings AG (Healthcare)........ 37 435,066
Swisscom AG+ (Utilities).............. 1,067 391,637
UBS AG+ (Finance)..................... 3,176 1,078,304
Zurich Allied AG+ (Finance)........... 600 386,577
---------------
4,644,110
---------------
UNITED KINGDOM--17.3%
Abbey National PLC (Finance).......... 13,000 292,783
ASDA Group PLC
(Consumer Staples).................. 43,000 143,190
Barclays PLC@(Finance)................ 15,900 505,939
BG PLC (Utilities).................... 16,294 91,743
BP Amoco PLC ADR (Energy)............. 2,100 237,694
British Land Co. PLC
(Real Estate)....................... 49,900 457,563
British Petroleum Co. PLC (Energy).... 11,000 208,809
</TABLE>
<PAGE>
68
STYLE SELECT SERIES LOGO
International Equity Portfolio
- -------------------------------------------
PORTFOLIO OF INVESTMENTS -- APRIL 30, 1999 (UNAUDITED) -- (CONTINUED)
<TABLE>
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- ---------------------------------------------------------------------------
<S> <C> <C>
</TABLE>
COMMON STOCK (CONTINUED)
UNITED KINGDOM (CONTINUED)
<TABLE>
<S> <C> <C>
British Steel PLC (Materials)......... 97,900 $ 231,907
Cable & Wireless PLC (Information
Technology)......................... 30,334 434,549
Cadbury Schweppes PLC (Consumer
Staples)............................ 23,000 306,731
Caradon PLC (Materials)............... 37,800 96,078
Centrica PLC+ (Utilities)............. 15,000 30,404
Colt Telecom Group PLC+ (Information
Technology)......................... 25,800 483,112
Compass Group PLC (Consumer
Staples)............................ 52,800 543,612
Diageo PLC
(Consumer Staples).................. 56,696 653,041
Electrocomponents PLC (Information
Technology)......................... 12,000 102,313
GKN PLC
(Consumer Discretionary)............ 3,000 51,205
Glaxo Wellcome PLC (Healthcare)....... 34,733 1,029,217
Hanson PLC
(Industrial & Commercial)........... 20,000 198,835
Kingfisher PLC
(Consumer Discretionary)............ 40,000 597,149
Ladbroke Group PLC
(Information & Entertainment)....... 22,000 105,732
Marks & Spencer PLC (Consumer
Discretionary)...................... 45,450 311,654
National Westminster Bank PLC
(Finance)........................... 54,000 1,298,703
Next PLC+
(Consumer Discretionary)............ 16,590 205,167
Orange PLC+
(Information & Entertainment)....... 20,900 282,423
P & O Finance BV+ (Finance)........... 26,140 380,145
Pearson PLC+
(Information & Entertainment)....... 14,800 314,276
Railtrack Group PLC+ (Consumer
Discretionary)...................... 18,800 392,561
Rank Group PLC
(Information & Entertainment)....... 8,000 33,268
Reed International PLC
(Information & Entertainment)....... 52,000 473,054
Rio Tinto PLC+ (Materials)............ 16,000 279,270
Rolls Royce PLC
(Industrial & Commercial)........... 12,000 55,597
Safeway PLC
(Consumer Staples).................. 28,000 116,663
SEMA Group PLC+ (Information
Technology)......................... 29,200 282,314
Shell Transport & Trading Co. PLC
(Energy)............................ 104,000 779,640
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- ---------------------------------------------------------------------------
<S> <C> <C>
</TABLE>
UNITED KINGDOM (CONTINUED)
<TABLE>
<S> <C> <C>
Siebe PLC+
(Industrial & Commercial)........... 83,320 $ 423,557
Smith (David S) Holdings PLC
(Materials)......................... 18,000 38,802
SmithKline Beecham PLC (Healthcare)... 66,800 883,331
Tesco PLC
(Consumer Staples).................. 74,000 219,933
Tomkins PLC
(Consumer Staples).................. 58,744 249,484
Unilever PLC
(Consumer Staples).................. 26,000 231,090
United News & Media PLC
(Information & Entertainment)....... 20,000 243,235
Vodafone Group PLC (Information
Technology)......................... 28,572 526,285
---------------
14,822,058
---------------
UNITED STATES--0.5%
Global Tele Systems Group, Inc.+
(Information Technology)............ 3,300 217,800
MIH Ltd.+
(Information & Entertainment)....... 5,900 115,050
Tlekomunikacja Polska SA* (Information
Technology)......................... 19,787 123,174
---------------
456,024
---------------
TOTAL COMMON STOCK
(cost $73,459,748).................... 82,125,022
---------------
PREFERRED STOCK--2.0%
AUSTRALIA--0.2%
News Corp., Ltd.
(Information & Entertainment)....... 11,188 87,452
Sydney Harbour Casualty (Finance)..... 28,600 32,174
---------------
119,626
---------------
BRAZIL--1.3%
Banco Bradesco SA (Finance)........... 4,258,000 22,687
Banco Itau SA+ (Finance).............. 51,000 26,866
Compania Energetica de Minas Gerais
(Utilities)......................... 1,443,000 34,750
Petroleo Brasileiros SA (Industrial &
Commercial)......................... 1,365,000 221,884
Telecomunicacoes de Brasileiras SA ADR
(Information Technology)............ 8,109 739,440
Telecomunicacoes de Sao Paulo SA
(Utilities)......................... 287,924 35,969
Telesc Celular SA (Information
Technology)......................... 275,000 11,755
---------------
1,093,351
---------------
</TABLE>
<PAGE>
69
STYLE SELECT SERIES LOGO
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- -------------------------------------------
PORTFOLIO OF INVESTMENTS -- APRIL 30, 1999 (UNAUDITED) -- (CONTINUED)
<TABLE>
<CAPTION>
SHARES/
CONTRACTS/ VALUE
SECURITY DESCRIPTION WARRANTS (NOTE 3)
- ---------------------------------------------------------------------------
<S> <C> <C>
</TABLE>
PREFERRED STOCK (CONTINUED)
<TABLE>
<S> <C> <C>
GERMANY--0.2%
Fresenius AG (Healthcare)............. 250 $ 43,577
SAP AG
(Information Technology)............ 318 119,257
---------------
162,834
---------------
HUNGARY--0.2%
OTP Bank (Finance).................... 4,861 204,575
---------------
THAILAND--0.1%
Siam Commercial Bank* (Finance)....... 105,000 107,634
---------------
TOTAL PREFERRED STOCK
(cost $1,662,417)..................... 1,688,020
---------------
PUT OPTIONS--0.1%(2)
UNITED STATES--0.1%
Currency Option Long Euro/ Short USD
exp 5/99 @ $1.075
(cost $32,035)...................... 20,000 35,000
---------------
WARRANTS--0.0%+
THAILAND--0.0%
Siam Commercial Bank 5/31/02 (Finance)
(cost $0)........................... 105 39,655
---------------
RIGHTS--0.0%+
BRAZIL--0.0%
Telesp zero coupon.................... 2,813 0
---------------
SPAIN--0.0%
Telefonica de Espana SA
zero coupon......................... 17,325 16,289
---------------
TOTAL RIGHTS
(cost $0)............................. 16,289
---------------
TOTAL INVESTMENT SECURITIES
(cost $75,154,200).................... 83,903,986
---------------
PRINCIPAL
AMOUNT VALUE
SECURITY DESCRIPTION (IN THOUSANDS) (NOTE 3)
- ---------------------------------------------------------------------------
SHORT-TERM SECURITIES--1.7%
Cayman Island Time Deposit with State
Street Bank and Trust Co.
3.75% due 5/03/99
(cost $1,491,000)................... $ 1,491 $ 1,491,000
---------------
REPURCHASE AGREEMENT--0.7%
Agreement with State Street Bank and
Trust Co., bearing 4.00%, dated
4/30/99 to be repurchased 5/03/99 in
the amount of $585,195
collateralized by $450,000 U.S.
Treasury Bond 8.50%, due 2/15/20
approximate aggregate value $599,063
(cost $585,000)..................... 585 585,000
---------------
TOTAL INVESTMENTS--
(cost $77,230,200).................... 100.2 % 85,979,986
Total written call options.............. (0.0 ) (2,200)
Liabilities in excess of other assets... (0.2 ) (129,212)
------- ---------------
NET ASSETS-- 100.0 % $ 85,848,574
------- ---------------
------- ---------------
</TABLE>
- ------------------
+ Non-income producing security
* Resale restricted to qualified institutional buyers
@ The security or a portion thereof has been segregated as collateral for the
written option contracts
ADR ("American Depositary Receipt")
GDR ("Global Depositary Receipt")
(1) Fair valued security, see Note 3
(2) 1 option contract equals 100 shares
See Notes to Financial Statements
OPEN COVERED WRITTEN CALL OPTIONS
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C>
EXPIRATION STRIKE
CALL OPTIONS CONTRACTS(2) DATE PRICE VALUE
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Currency Option Long Euro/Short USD.................................... 20,000 May 1999 $ 1.096 $ (2,200)
---------
---------
</TABLE>
<PAGE>
70
STYLE SELECT SERIES LOGO
Focus Portfolio
- -------------------------------------------
PORTFOLIO OF INVESTMENTS -- APRIL 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- ---------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCK--88.3%
BANKS--2.4%
Chase Manhattan Corp.................. 105,800 $ 8,754,950
---------------
BROADCASTING & MEDIA--9.6%
Clear Channel Communications, Inc.+... 182,800 12,704,600
Time Warner, Inc...................... 150,678 10,547,460
Univision Communications, Inc., Class
A+.................................. 210,500 12,182,687
---------------
35,434,747
---------------
BUSINESS SERVICES--3.8%
Hertz Corp., Class A.................. 209,800 12,522,438
Robert Half International, Inc.+(1)... 60,000 1,432,500
---------------
13,954,938
---------------
COMMUNICATION EQUIPMENT--7.8%
Lucent Technologies, Inc.............. 184,969 11,121,261
QUALCOMM, Inc.+....................... 88,200 17,584,875
---------------
28,706,136
---------------
COMPUTERS & BUSINESS EQUIPMENT--9.9%
Dell Computer Corp.+.................. 40,000 1,645,000
EMC Corp.+............................ 317,736 34,613,365
---------------
36,258,365
---------------
DRUGS--9.8%
Cardinal Health, Inc.................. 230,000 13,756,875
Pfizer, Inc.(1)....................... 100,000 11,506,250
Schering-Plough Corp.(1).............. 224,600 10,850,987
---------------
36,114,112
---------------
ELECTRONICS--6.2%
Applied Materials, Inc.+.............. 210,500 11,274,906
Texas Instruments, Inc................ 114,300 11,672,888
---------------
22,947,794
---------------
FINANCIAL SERVICES--5.7%
Citigroup, Inc........................ 206,440 15,534,610
Washington Mutual, Inc................ 135,000 5,551,875
---------------
21,086,485
---------------
HOUSING--2.4%
Home Depot, Inc....................... 145,000 8,690,938
---------------
RETAIL--8.5%
CVS Corp.............................. 280,000 13,335,000
Starbucks Corp.+...................... 355,000 13,112,813
Tiffany & Co.......................... 58,200 4,888,800
---------------
31,336,613
---------------
SOFTWARE--16.7%
Automatic Data Processing, Inc........ 255,000 11,347,500
Cisco Systems, Inc.+.................. 117,900 13,447,969
<CAPTION>
SHARES/
PRINCIPAL
AMOUNT VALUE
SECURITY DESCRIPTION (IN THOUSANDS) (NOTE 3)
- ---------------------------------------------------------------------------
<S> <C> <C>
</TABLE>
SOFTWARE (CONTINUED)
<TABLE>
<S> <C> <C>
Computer Sciences Corp.+(1)........... 335,000 $ 19,953,437
Inktomi Corp.+........................ 100,000 12,012,500
Sun Microsystems, Inc.+............... 80,000 4,785,000
---------------
61,546,406
---------------
TELECOMMUNICATIONS--2.2%
Sprint Corp. (PCS Group).............. 190,137 8,057,055
---------------
TELEPHONE--3.3%
MCI WorldCom, Inc.+................... 145,300 11,941,844
---------------
TOTAL INVESTMENT SECURITIES--88.3%
(cost $280,892,151)................... 324,830,383
---------------
SHORT-TERM SECURITIES--3.9%
Federal Home Loan Bank Discount Note
4.90% due 5/03/99
(cost $14,296,107).................. $ 14,300 14,296,107
---------------
REPURCHASE AGREEMENTS--4.6%
Agreement with State Street Bank and
Trust Co., bearing 4.00%, dated
4/30/99 to be repurchased 5/03/99 in
the amount of $6,435,144
collateralized by $5,855,000 U.S.
Treasury Bond 6.50%, due 11/15/26
approximate aggregate value
$6,564,919
(cost $6,433,000)................... 6,433 6,433,000
Agreement with State Street Bank and
Trust Co., bearing 4.00%, dated
4/30/99 to be repurchased 5/03/99 in
the amount of $10,491,496
collateralized by $8,605,000 U.S.
Treasury Bond 11.125%, due 8/15/03
approximate aggregate value
$10,702,469
(cost $10,488,000) ................ 10,488 10,488,000
---------------
TOTAL REPURCHASE AGREEMENTS
(cost $16,921,000).................... 16,921,000
---------------
TOTAL INVESTMENTS--
(cost $312,109,258)................... 96.8% 356,047,490
Other assets less liabilities........... 3.2 11,857,273
--------------- ---------------
NET ASSETS-- 100.0% $ 367,904,763
--------------- ---------------
--------------- ---------------
</TABLE>
- ------------------
+ Non-income producing security
(1) Security is traded with rights attached
See Notes to Financial Statements
<PAGE>
71
STYLE SELECT SERIES LOGO
NOTES TO FINANCIAL STATEMENTS -- APRIL 30, 1999 (UNAUDITED)
NOTE 1. ORGANIZATION
Style Select Series, Inc. (the "Fund") is an open-end 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 nine 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. Effective April 1, 1999 the Large-Cap Blend Portfolio
changed its name to the Focused Growth and Income Portfolio. The investment
objective for each of the Portfolios are as follows:
LARGE-CAP GROWTH seeks long-term growth of capital by investing generally in
equity securities of large-sized companies.
MID-CAP GROWTH seeks long-term growth of capital by investing generally in
equity securities of medium-sized companies.
AGGRESSIVE GROWTH seeks long-term growth of capital by investing generally in
equity securities of small and medium-sized companies.
FOCUSED GROWTH AND INCOME 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 seeks long-term growth of capital by investing in equity
securities of large-sized companies using a "value" style of investing.
VALUE seeks long-term growth of capital by investing in equity securities using
a "value" style of investing.
SMALL-CAP VALUE seeks long-term growth of capital by investing in equity
securities of small-sized companies using a "value" style of investing.
INTERNATIONAL EQUITY seeks long-term growth of capital by investing in equity
securities of issuers in countries other than the United States.
FOCUS seeks long-term growth of capital by investing generally in equity
securities.
Each Portfolio offers multiple classes of shares. The classes within each
Portfolio are presented in the Statement of Assets and Liabilities. The cost
structure for each class is as follows:
<TABLE>
<S> <C>
Class A shares-- Offered at net asset value per share plus an initial sales charge. 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-- Offered at net asset value per share without an initial sales charge, although a
declining contingent deferred sales charge may be imposed on redemptions made within
six years of purchase. Class B shares will convert automatically to Class A shares on
the first business day of the month after seven years from the issuance of such
shares and at such time will be subject to the lower distribution fee applicable to
Class A shares.
</TABLE>
<PAGE>
72
STYLE SELECT SERIES LOGO
NOTES TO FINANCIAL STATEMENTS -- APRIL 30, 1999 (UNAUDITED) -- (CONTINUED)
<TABLE>
<S> <C>
Class II Offered at net asset value per share plus an initial sales charge. Certain
shares-- redemptions made within the first 18 months of the date of purchase are subject to a
contingent deferred sales charge.
Class Z shares-- Offered at net asset value per share exclusively for sale to employees participating
in the SunAmerica profit sharing and retirement plan.
</TABLE>
Each class of shares bears the same voting, dividend, liquidation and other
rights and conditions. Class A, Class B, and Class II shares each make
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 "Act"), except that Class B, and Class II shares are subject to higher
distribution fee rates. There are no distribution or service fee payments
applicable to Class Z.
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.
<PAGE>
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NOTES TO FINANCIAL STATEMENTS -- APRIL 30, 1999 (UNAUDITED) -- (CONTINUED)
REPURCHASE AGREEMENTS: The Portfolios, along with other affiliated registered
investment companies, may transfer uninvested cash balances into a single joint
account, the daily aggregate balance of which is invested in one or more
repurchase agreements collateralized by U.S. Treasury or federal agency
obligations. The Portfolios' custodian takes possession of the collateral
pledged for investments in such repurchase agreements. The underlying collateral
is valued daily on a mark to market basis to ensure that the value, at the time
the agreement is entered into, is equal to at least 102% of the repurchase
price, including accrued interest. In the event of default of the obligation to
repurchase, a Portfolio has the right to liquidate the collateral and apply the
proceeds in satisfaction of the obligation. If the seller defaults and the value
of the collateral declines or if bankruptcy proceedings are commenced with
respect to the seller of the security, realization of the collateral by the
Portfolio may be delayed or limited.
Pursuant to exemptive relief granted by the Securities and Exchange Commission,
the Portfolios are permitted to participate in joint repurchase agreement
transactions with other affiliated mutual funds.
As of April 30, 1999, the Aggressive Growth Portfolio and the Focused Growth and
Income Portfolio had a 1.7% and 2.7% undivided interest, respectively, which
represented $1,949,000 and $3,132,000, respectively, in principal amount in a
joint repurchase agreement with State Street Bank and Trust Co. As of such date
the repurchase agreement in the joint account and the collateral therefore were
as follows:
State Street Bank and Trust Co. Repurchase Agreement, 4.85% dated 4/30/99, in
the principal amount of $114,809,000 repurchase price $114,855,402 due 5/03/99,
collateralized by $24,770,000 U.S. Treasury Bond 13.25% due 5/15/14, $23,725,000
U.S. Treasury Note 7.88% due 8/15/01, and $45,470,000 U.S. Treasury Notes 6.50%
due 11/15/26, approximate aggregate value $117,125,012.
As of April 30, 1999, the Aggressive Growth Portfolio and the Focused Growth and
Income Portfolio had a 6.7% and 1.3% undivided interest, respectively, which
represented $10,000,000 and $2,000,000, respectively, 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, 4.85% dated 4/30/99, in the principal
amount of $150,000,000 repurchase price $150,060,625 due 5/03/99, collateralized
by $50,000,000 U.S. Treasury Strip 7.25% due 8/15/22, $50,000,000 U.S. Treasury
Strip 6.38% due 8/15/27, and $37,115,000 U.S. Treasury Strip 6.63% due 6/30/01,
approximate aggregate value $153,139,518.
As of April 30, 1999, the Mid-Cap Growth Portfolio and the Large-Cap Value
Portfolio had a 0.13% and 0.30% undivided interest, respectively which
represented $200,000 and $475,000, respectively, in principal amount in a joint
repurchase agreement with Warburg Dillon Read. As of such date, the repurchase
agreement in the joint account and the collateral therefore were as follows:
Warburg Dillon Read Repurchase Agreement, 4.87% dated 4/30/99, in the principal
amount of $158,055,000 repurchase price $158,119,144 due 5/03/99, collateralized
by $169,482,000 U.S. Treasury Bonds 3.625% due 4/15/28, approximate aggregate
value $162,384,941.
SECURITIES TRANSACTIONS, INVESTMENT INCOME, EXPENSES, DIVIDENDS AND
DISTRIBUTIONS TO SHAREHOLDERS: As customary in the mutual fund industry,
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
<PAGE>
74
STYLE SELECT SERIES LOGO
NOTES TO FINANCIAL STATEMENTS -- APRIL 30, 1999 (UNAUDITED) -- (CONTINUED)
or repatriated. The Portfolios accrue such taxes when the related income is
earned. The Portfolios amortize premiums and accrue discounts including original
issue discounts 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.
The Portfolios issue and redeem their shares, invest in securities and
distribute dividends from net investment income and net realized gains which are
paid in cash or are reinvested at the discretion of the shareholders. These
activities are reported in the Statement of Changes in Net Assets.
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 are not affected.
For the year ended October 31, 1998, 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.............. $ 2 $ 410,993 $ (410,995)
Mid-Cap Growth Portfolio................ (1,362,464) 1,371,650 (9,186)
Aggressive Growth Portfolio............. 7,593 1,668,659 (1,676,252)
Focused Growth and Income Portfolio..... 536 31,361 (31,897)
Large-Cap Value Portfolio............... (5,880) 44,970 (39,090)
Value Portfolio......................... 22,478 799,787 (822,265)
Small-Cap Value Portfolio............... 112,852 51,544 (164,396)
International Equity Portfolio.......... (553,671) 566,735 (13,064)
Focus Portfolio......................... -- 199,494 (199,494)
</TABLE>
FOREIGN CURRENCY TRANSLATION: 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.
<PAGE>
75
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NOTES TO FINANCIAL STATEMENTS -- APRIL 30, 1999 (UNAUDITED) -- (CONTINUED)
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 Fund bears the risk of an
unfavorable change in the foreign exchange rate underlying the forward contract.
FUTURES CONTRACTS: A futures contract is an agreement between two parties to buy
and sell a financial instrument at a set price on a future date. Upon entering
into such a contract the Portfolios are required to pledge to the broker an
amount of cash or U.S. government securities equal to the minimum "initial
margin" requirements of the exchange on which the futures contract is traded.
The Portfolios' activities in futures contracts are for hedging purposes and are
conducted through regulated exchanges which do not result in counterparty credit
risks. A Portfolio's participation in the futures markets involves certain
risks, including imperfect correlation between movements in the price of futures
contracts and movements in the price of the securities hedged or used for cover.
Pursuant to a contract the Portfolios agree to receive from or pay to the broker
an amount of cash equal to the daily fluctuation in value of the contract. Such
receipts or payments are known as "variation margin" and are recorded by the
Portfolios as unrealized appreciation or depreciation. Futures contracts involve
elements of risk in excess of the amount reflected in the Statement of Assets
and Liabilities. When a contract is closed, the Portfolios record a realized
gain or loss equal to the difference between the value of the contract at the
time it was opened and the value at the time it was closed.
OPTIONS: An option is a contract conveying a right to buy or sell a financial
instrument at a specified price during a stipulated period. The premium paid by
a Portfolio for the purchase of a call or a put option is included in the
Portfolio's Statement of Assets and Liabilities as an investment and
subsequently marked to market to reflect the current market value of the option.
When a Portfolio writes a call or a put option, an amount equal to the premium
received by the Portfolio is included in the Portfolio's Statement of Assets and
Liabilities as a liability and is subsequently marked to market to reflect the
current market value of the option written. If an option which the Portfolio has
written either expires on its stipulated expiration date, or if the Portfolio
enters into a closing purchase transaction, the Portfolio realizes a gain (or
loss if the cost of a closing purchase transaction exceeds the premium received
when the option was written) without regard to any unrealized gain or loss on
the underlying security, and the liability related to such option is
extinguished. If a call option which the Portfolio has written is exercised, the
Portfolio realizes a capital gain or loss from the sale of the underlying
security and the proceeds from such sale are increased by the premium originally
received. If a put option which the Portfolio has written is exercised, the
amount of the premium originally received reduces the cost basis of the security
which the Portfolio purchased upon exercise of the option.
<PAGE>
76
STYLE SELECT SERIES LOGO
NOTES TO FINANCIAL STATEMENTS -- APRIL 30, 1999 (UNAUDITED) -- (CONTINUED)
During the six months ended April 30, 1999, transactions in written option
contracts were as follows:
<TABLE>
<CAPTION>
AGGRESSIVE GROWTH INTERNATIONAL EQUITY
PORTFOLIO PORTFOLIO
--------------------------- --------------------
CONTRACTS AMOUNT CONTRACTS AMOUNT
----------- -------------- --------- ---------
<S> <C> <C> <C> <C>
Written option contracts as of 10/31/98....................................... (79) $ (39,262) 0 $ 0
Options written during the period............................................. (1,038) (2,621,638) (20,000) (6,576)
Written options assigned during the period.................................... 79 39,262 -- --
Written options closed during the period...................................... 712 1,569,752 -- --
Net realized gain on written options
closed...................................................................... -- 287,408 -- --
----------- -------------- --------- ---------
Written option contracts as of 4/30/99........................................ (326) $ (764,478) (20,000) $ (6,576)
----------- -------------- --------- ---------
----------- -------------- --------- ---------
</TABLE>
ORGANIZATIONAL EXPENSES: Expenses incurred by SAAMCo in connection with the
organization of new Portfolios or new classes of shares 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
SERVICES 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, Focused Growth and Income, Large-Cap
Value, Value and Small-Cap Value Portfolios, respectively, 1.10% of the average
daily net assets of the International Equity Portfolio, and .85% of the average
daily net assets of the Focus Portfolio.
The organizations described below act as Advisers to the Fund pursuant to
Subadvisory Agreements with SunAmerica. Under the Subadvisory Agreements, the
Advisers manage the investment and reinvestment of the assets of the respective
Portfolios for which they are responsible. Each of the following Advisers is
independent of SunAmerica (with the exception of the Aggressive Growth and
Focused Growth and Income 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.
<TABLE>
<S> <C>
Large-Cap Growth Portfolio Janus Capital Corporation ("Janus")
L. Roy Papp & Associates ("Papp")
Montag & Caldwell, Inc. ("Montag & Caldwell")
Mid-Cap Growth Portfolio Miller Anderson & Sherrerd, LLP ("MAS")
Wellington Management Co., LLP ("Wellington
Management")
T. Rowe Price Associates, Inc. ("T. Rowe
Price")
</TABLE>
<PAGE>
77
STYLE SELECT SERIES LOGO
NOTES TO FINANCIAL STATEMENTS -- APRIL 30, 1999 (UNAUDITED) -- (CONTINUED)
<TABLE>
<S> <C>
Aggressive Growth Portfolio Janus
SunAmerica
Warburg Pincus Asset Management, Inc.
("Warburg")
Focused Growth and Income Portfolio Marsico Capital Management, LLC ("Marsico")
SunAmerica
Large-Cap Value Portfolio David L. Babson & Co., Inc. ("Babson")
Davis Selected Advisers, L.P. ("Davis")
Wellington Management
Value Portfolio Davis
Neuberger & Berman, LLC ("Neuberger & Berman")
American Century Investment Management, Inc.
("American Century")
Small-Cap Value Portfolio Berger Associates, Inc. ("Berger")
Lazard Asset Management ("Lazard")
The Glenmede Trust Company ("Glenmede")
International Equity Portfolio Rowe-Price Fleming International, Inc. ("Rowe-
Fleming")
Bankers Trust Company ("BT")
Focus Portfolio Bramwell Capital Management, Inc. ("Bramwell")
Jennison Associates LLC ("Jennison")
Marsico
</TABLE>
Effective April 1, 1999, Marsico and SunAmerica assumed the role as subadvisor
of the Focused Growth and Income Portfolio from Lazard, T. Rowe Price and MAS.
Effective December 1, 1998, American Century assumed the role as subadvisor of
the Value Portfolio from Strong Capital Management, Inc. Effective March 1,
1999, Warburg was removed as subadvisor of the International Equity Portfolio.
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, 1999, SunAmerica paid the Advisers for each Portfolio the
following, expressed as an annual percentage of the average daily net assets of
each Portfolio: Large-Cap Growth Portfolio, .48%; Mid-Cap Growth Portfolio,
.47%; Aggressive Growth Portfolio, .37%; Focused Growth and Income Portfolio,
.43%; Large-Cap Value Portfolio, .43%; Value Portfolio, .48%; Small-Cap Value
Portfolio, .55%; International Equity Portfolio, .66%; and Focus Portfolio,
.40%. SunAmerica has 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 Value Portfolio, Value
Portfolio and Small-Cap Value Portfolio 1.78% for Class A shares and 2.43% for
Class B shares and Class II shares, respectively. International Equity Portfolio
2.03% for Class A shares and 2.68% for Class B and Class II shares and 1.46% for
Class Z shares. Aggressive Growth Portfolio, Large-Cap Value Portfolio, Value
Portfolio and Small-Cap Value Portfolio 1.21% for Class Z shares. Focused Growth
and Income Portfolio, and Focus Portfolio 1.45% for Class A shares and 2.10% for
Class B shares and Class II shares. Prior to June 17, 1997, SunAmerica 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 II 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 assets of Class B and Class II shares for the
International Equity Portfolio. Prior to April 1, 1999, SunAmerica agreed to
<PAGE>
78
STYLE SELECT SERIES LOGO
NOTES TO FINANCIAL STATEMENTS -- APRIL 30, 1999 (UNAUDITED) -- (CONTINUED)
waive fees or reimburse expenses, if necessary, to keep annual operating
expenses at or below an annual rate of 1.78% of the average daily net assets of
Class A and 2.43% of the average daily net assets of Class B and Class II shares
for the Focused Growth and Income Portfolio. SunAmerica also may 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, 1999, expenses previously waived or
reimbursed by SAAMCO that are subject to recoupment are as follows:
<TABLE>
<CAPTION>
MANAGEMENT FEES OTHER EXPENSES
REIMBURSED REIMBURSED
--------------- ---------------
<S> <C> <C>
Large-Cap Growth A...................... $ 47,243 $ 199
Large-Cap Growth B...................... $ 90,708 $ --
Large-Cap Growth II..................... $ 27,563 $ 15,543
Mid-Cap Growth A........................ $ 22,921 $ --
Mid-Cap Growth B........................ $ 41,378 $ 3,250
Mid-Cap Growth II....................... $ 6,347 $ 3,693
Aggressive Growth A..................... $ 25,728 $ 154
Aggressive Growth B..................... $ 34,288 $ --
Aggressive Growth II.................... $ 4,813 $ 4,505
Aggressive Growth Z..................... $ -- $ 10,606
Focused Growth and Income A............. $ 19,097 $ --
Focused Growth and Income B............. $ 34,403 $ 5,667
Focused Growth and Income II............ $ 5,826 $ 5,895
Large-Cap Value A....................... $ 19,081 $ 324
Large-Cap Value B....................... $ 40,761 $ --
<CAPTION>
MANAGEMENT FEES OTHER EXPENSES
REIMBURSED REIMBURSED
--------------- ---------------
<S> <C> <C>
Large-Cap Value II...................... $ 8,554 $ 4,268
Large-Cap Value Z....................... $ -- $ 10,296
Value A................................. $ 10,647 $ 113
Value B................................. $ 17,055 $ 185
Value II................................ $ 2,355 $ 4,773
Value Z................................. $ -- $ 10,156
Small-Cap Value A....................... $ 33,410 $ --
Small-Cap Value B....................... $ 55,812 $ 180
Small-Cap Value II...................... $ 13,670 $ 4,484
Small-Cap Value Z....................... $ -- $ 12,309
International Equity A.................. $ 39,987 $ 995
International Equity B.................. $ 68,214 $ 6,652
International Equity II................. $ 12,149 $ 5,368
International Equity Z.................. $ -- $ 9,727
Focus A................................. $ 71,291 $ 786
Focus B................................. $ 101,346 $ 1,150
Focus II................................ $ 76,201 $ --
</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", "Class B Plan", and "Class
II Plan". In adopting the Distribution Plans, the Directors determined that
there was a reasonable likelihood that each such Plan would benefit the Fund and
the shareholders of the respective class. The sales charge and distribution fees
of a particular class will not be used to subsidize the sale of shares of any
other class.
Under the Class A Plan, Class B Plan, and Class II Plan, the Distributor
receives payments from a Portfolio at an annual rate of up to 0.10%, 0.75% and
0.75%, respectively, of average daily net assets of such Portfolio's Class to
compensate the Distributor and certain securities firms for providing sales and
promotional activities for distributing that 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 Fund shares, commissions and
other expenses such as those incurred for sales literature, prospectus printing
and distribution and compensation to wholesalers. It is possible
<PAGE>
79
STYLE SELECT SERIES LOGO
NOTES TO FINANCIAL STATEMENTS -- APRIL 30, 1999 (UNAUDITED) -- (CONTINUED)
that in any given year the amount paid to the distributor under each Class' Plan
may exceed the Distributor's distribution costs as described above. The
Distribution Plans 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 aggregate 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, 1999, SACS received fees (see
Statement of Operations) based upon the aforementioned rates.
SACS receives sales charges on each Portfolio's Class A and Class II 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 II shares. SACS has advised the Portfolios that
for the six months ended April 30, 1999 the proceeds received from sales (and
paid out to affiliated and non-affiliated broker-dealers) and redemptions are as
follows:
<TABLE>
<CAPTION>
CLASS B
CLASS A ---------------
--------------------------------------------------- CONTINGENT
AFFILIATED NON-AFFILIATED DEFERRED SALES
SALES CHARGES BROKER-DEALERS BROKER-DEALERS CHARGES
--------------- --------------- --------------- ---------------
<S> <C> <C> <C> <C>
Large-Cap Growth Portfolio.............. $ 227,260 $ 118,659 $ 73,741 $ 33,761
Mid-Cap Growth Portfolio................ 133,368 73,599 39,341 100,009
Aggressive Growth Portfolio............. 350,204 199,681 100,919 137,925
Focused Growth and Income Portfolio..... 139,757 60,940 58,361 33,700
Large-Cap Value Portfolio............... 89,936 35,554 37,767 53,969
Value Portfolio......................... 179,698 111,527 41,955 252,928
Small-Cap Value Portfolio............... 68,214 29,690 28,894 72,162
International Equity Portfolio.......... 117,688 64,049 35,264 103,417
Focus Portfolio......................... 2,159,090 708,197 1,176,867 93,884
</TABLE>
<TABLE>
<CAPTION>
CLASS II
---------------------------------------------------------------------
CONTINGENT
AFFILIATED NON-AFFILIATED DEFERRED SALES
SALES CHARGES BROKER-DEALERS BROKER-DEALERS CHARGES
--------------- --------------- --------------- ---------------
<S> <C> <C> <C> <C>
Large-Cap Growth Portfolio.............. $ 73,852 $ 35,133 $ 38,719 $ 3,342
Mid-Cap Growth Portfolio................ 16,875 7,990 8,885 4,545
Aggressive Growth Portfolio............. 43,526 24,469 19,057 2,861
Focused Growth and Income Portfolio..... 23,166 24,208 -- 1,008
Large-Cap Value Portfolio............... 36,548 15,024 21,524 4,897
Value Portfolio......................... 17,799 9,208 8,591 5,549
Small-Cap Value Portfolio............... 15,405 5,023 10,382 3,141
International Equity Portfolio.......... 25,605 11,036 14,569 2,745
Focus Portfolio......................... 859,094 180,316 678,778 24,606
</TABLE>
<PAGE>
80
STYLE SELECT SERIES LOGO
NOTES TO FINANCIAL STATEMENTS -- APRIL 30, 1999 (UNAUDITED) -- (CONTINUED)
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, 1999, 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, 1999
------------------------------------ ------------------------------------
CLASS A CLASS B CLASS II CLASS A CLASS B CLASS II
---------- ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C>
Large-Cap Growth
Portfolio.............. $ 21,060 $ 40,306 $ 12,473 $ 4,371 $ 8,153 $ 2,706
Mid-Cap Growth
Portfolio.............. 39,972 71,607 11,237 6,740 12,401 2,002
Aggressive Growth
Portfolio.............. 82,575 110,520 15,830 16,115 22,166 3,258
Focused Growth and Income
Portfolio.............. 10,889 19,657 3,344 2,010 3,572 759
Large-Cap Value
Portfolio.............. 15,160 33,281 7,592 2,574 5,545 1,481
Value Portfolio.......... 73,812 119,352 16,098 11,541 18,803 2,434
Small-Cap Value
Portfolio.............. 16,457 27,170 6,784 2,570 3,968 1,099
International Equity
Portfolio.............. 31,496 53,198 9,752 5,186 8,589 1,684
Focus Portfolio.......... 69,385 98,846 74,928 17,295 25,305 20,046
</TABLE>
NOTE 5. PURCHASES AND SALES OF INVESTMENT SECURITIES
The cost of purchase and proceeds from sales and maturities of long-term
investments during the six months ended April 30, 1999 were as follows:
<TABLE>
<CAPTION>
LARGE-CAP AGGRESSIVE FOCUSED GROWTH
GROWTH MID-CAP GROWTH GROWTH AND INCOME LARGE-CAP VALUE
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
--------------- --------------- --------------- --------------- ---------------
<S> <C> <C> <C> <C> <C>
Purchases (excluding U.S. government
securities)............................ $ 30,131,441 $ 74,421,459 $ 110,095,097 $ 33,160,554 $ 13,742,087
Sales (excluding U.S. government
securities)............................ 8,240,529 74,573,408 114,111,766 33,533,539 11,357,442
Purchases of U.S. government
securities............................. 326,668 -- -- 430,759 6,939
Sales of U.S. government securities..... -- -- -- 127,438 --
</TABLE>
<TABLE>
<CAPTION>
INTERNATIONAL
SMALL-CAP VALUE EQUITY
VALUE PORTFOLIO PORTFOLIO PORTFOLIO FOCUS PORTFOLIO
--------------- --------------- --------------- ---------------
<S> <C> <C> <C> <C>
Purchases (excluding U.S. government
securities)............................ $ 143,287,630 $ 18,927,172 $ 58,675,586 $ 341,776,729
Sales (excluding U.S. government
securities)............................ 177,962,491 23,168,327 61,886,992 169,944,211
Purchases of U.S. government
securities............................. -- -- -- 4,474,313
Sales of U.S. government securities..... 152,088 -- -- 4,274,009
</TABLE>
<PAGE>
81
STYLE SELECT SERIES LOGO
NOTES TO FINANCIAL STATEMENTS -- APRIL 30, 1999 (UNAUDITED) -- (CONTINUED)
NOTE 6. TRANSACTIONS WITH AFFILIATES
The following Portfolios incurred brokerage commissions with affiliated brokers:
<TABLE>
<CAPTION>
FOCUSED
GROWTH AND LARGE-CAP INTERNATIONAL
MID-CAP GROWTH INCOME VALUE VALUE EQUITY FOCUS
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
--------------- ------------- ------------- ------------- ------------- -------------
<S> <C> <C> <C> <C> <C> <C>
Morgan Stanley & Co., Inc..... $ 3,553 $ -- $ -- $ -- $ -- $ --
NationsBanc Montgomery
Securities................... -- 168 -- -- -- 16,094
Shelby Cullom Davis & Co...... -- -- 36 1,254 -- --
J.P. Morgan Securities,
Inc.......................... -- -- -- 2,969 -- --
Bankers Trust Co.............. -- -- -- -- 735 --
Jardine Fleming Securities
Ltd.......................... -- -- -- -- 5,161 --
Prudential Securities, Inc.... -- -- -- -- -- 4,980
</TABLE>
As disclosed in the investment portfolios, certain Portfolios own common stock
issued by American International Group, Inc. ("AIG"). Effective January 1, 1999,
SAAMCo, the investment adviser, became a wholly owned subsidiary of AIG.
NOTE 7. FEDERAL INCOME TAXES
The Portfolios intend to comply with the requirements of the Internal Revenue
Code applicable to regulated investment companies and distribute all of their
taxable income, including any net realized gain on investments, to their
shareholders. Therefore, no federal tax provision is required.
The amounts of aggregate unrealized gain (loss) and the cost of investment
securities for federal income tax purposes, including short-term securities and
repurchase agreements, were as follows:
<TABLE>
<CAPTION>
LARGE-CAP AGGRESSIVE FOCUSED GROWTH
GROWTH MID-CAP GROWTH GROWTH AND INCOME
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
--------------- --------------- --------------- ---------------
<S> <C> <C> <C> <C>
Cost.................................... $ 67,926,005 $ 103,304,512 $ 168,691,100 $ 37,047,122
--------------- --------------- --------------- ---------------
--------------- --------------- --------------- ---------------
Appreciation............................ $ 18,608,930 $ 22,248,953 $ 67,960,908 $ 3,405,236
Depreciation............................ (699,438) (4,886,937) (5,059,160) (457,375)
--------------- --------------- --------------- ---------------
Net unrealized appreciation............. $ 17,909,492 $ 17,362,016 $ 62,901,748 $ 2,947,861
--------------- --------------- --------------- ---------------
--------------- --------------- --------------- ---------------
</TABLE>
<TABLE>
<CAPTION>
INTERNATIONAL
LARGE-CAP VALUE SMALL-CAP VALUE EQUITY
PORTFOLIO VALUE PORTFOLIO PORTFOLIO PORTFOLIO FOCUS PORTFOLIO
--------------- --------------- --------------- --------------- ---------------
<S> <C> <C> <C> <C> <C>
Cost.................................... $ 49,144,534 $ 162,552,406 $ 46,503,453 $ 77,230,200 $ 312,109,258
--------------- --------------- --------------- --------------- ---------------
--------------- --------------- --------------- --------------- ---------------
Appreciation............................ $ 8,489,232 $ 28,274,232 $ 3,705,171 $ 10,229,702 $ 50,685,664
Depreciation............................ (1,853,972) (5,975,374) (6,014,397) (1,479,916) (6,747,432)
--------------- --------------- --------------- --------------- ---------------
Net unrealized appreciation/
depreciation........................... $ 6,635,260 $ 22,298,858 $ (2,309,226) $ 8,749,786 $ 43,938,232
--------------- --------------- --------------- --------------- ---------------
--------------- --------------- --------------- --------------- ---------------
</TABLE>
At October 31, 1998, Large-Cap Growth Portfolio had capital loss carryforward of
$1,082,976 which will expire between 2005-2006, Aggressive Growth Portfolio,
Value Portfolio, Small-Cap Value Portfolio, International Equity Portfolio and
Focus Portfolio had capital loss carryforwards of $4,430,983, $6,407,836,
$1,185,064, $5,850,175 and $4,898,476, respectively, which were available to the
extent provided in regulations and which will expire 2006.
<PAGE>
82
STYLE SELECT SERIES LOGO
NOTES TO FINANCIAL STATEMENTS -- APRIL 30, 1999 (UNAUDITED) -- (CONTINUED)
Focused Growth and Income Portfolio utilized capital loss carryforwards of
$13,688 to offset the Portfolios' net taxable gains realized and recognized in
the year ended October 31, 1998.
NOTE 8. OPEN FORWARD CURRENCY CONTRACTS
At April 30, 1999, 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, 1999.
<TABLE>
<CAPTION>
GROSS
CONTRACT IN UNREALIZED
TO DELIVER EXCHANGE FOR DELIVERY DATE APPRECIATION
- ----------------- ---------------- --------------- ---------------
<S> <C> <C> <C> <C> <C>
*USD 283,193 SGD 481,796 5/10/99 $ 1,124
*USD 202,477 CAD 304,680 5/18/99 6,490
CHF 509,220 USD 345,000 5/18/99 10,588
CHF 602,480 USD 400,000 5/18/99 4,343
JPY 89,066,250 USD 750,000 5/18/99 2,397
SEK 1,833,075 USD 225,000 5/18/99 7,535
SEK 5,869,290 USD 700,000 5/18/99 3,702
EUR 1,007,717 USD 1,067,525 5/24/99 1,341
EUR 1,865,745 USD 1,985,414 5/24/99 11,421
---------------
48,941
---------------
</TABLE>
<TABLE>
<CAPTION>
GROSS
CONTRACT IN UNREALIZED
TO DELIVER EXCHANGE FOR DELIVERY DATE DEPRECIATION
- ----------------- ----------------- --------------- ---------------
<S> <C> <C> <C> <C> <C>
*SGD 481,796 USD 280,000 5/10/99 $ (4,317)
AUD 933,003 USD 603,000 5/18/99 (14,437)
*CAD 304,680 USD 200,000 5/18/99 (8,967)
USD 225,000 NOK 1,758,285 5/18/99 (120)
GBP 1,150,277 USD 1,847,345 5/26/99 (2,561)
---------------
(30,402)
---------------
Net Unrealized Appreciation 18,539
---------------
---------------
</TABLE>
- ----------------
* Represents open forward currency contracts and offsetting or partially
offsetting open forward foreign currency contracts that do not have
additional market risk but have continued counterparty settlement risk.
<TABLE>
<S> <C> <C>
AUD -- Australian Dollar
CAD -- Canadian Dollar
CHF -- Swiss Franc
EUR -- Euro Currency
GBP -- Pound Sterling
JPY -- Japanese Yen
NOK -- Norwegian Krone
SEK -- Swedish Krona
SGD -- Singapore Dollar
USD -- United States Dollar
</TABLE>
<PAGE>
83
STYLE SELECT SERIES LOGO
NOTES TO FINANCIAL STATEMENTS -- APRIL 30, 1999 (UNAUDITED) -- (CONTINUED)
NOTE 9. CAPITAL SHARE TRANSACTIONS
Transactions in shares of each class of each series were as follows:
<TABLE>
<CAPTION>
LARGE-CAP GROWTH PORTFOLIO
-------------------------------------------------------------------------------------------------------------
CLASS A CLASS B
----------------------------------------------------- -----------------------------------------------------
FOR THE FOR THE
SIX MONTHS ENDED SIX MONTHS ENDED
APRIL 30, 1999 FOR THE YEAR ENDED APRIL 30, 1999 FOR THE YEAR ENDED
(UNAUDITED) OCTOBER 31, 1998 (UNAUDITED) OCTOBER 31, 1998
------------------------- ------------------------- ------------------------- -------------------------
SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
---------- ------------ ---------- ------------ ---------- ------------ ---------- ------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Shares sold......... 632,801 $ 10,100,080 1,126,670 $ 15,068,918 1,095,809 $ 17,248,567 2,091,339 $ 27,630,099
Reinvested
dividends.......... -- -- 317 4,694 -- -- 252 3,708
Shares redeemed..... (221,690) (3,439,578) (2,081,206) (27,467,943) (271,933) (4,309,814) (239,375) (3,214,482)
---------- ------------ ---------- ------------ ---------- ------------ ---------- ------------
Net increase
(decrease)......... 411,111 $ 6,660,502 (954,219) $(12,394,331) 823,876 $ 12,938,753 1,852,216 $ 24,419,325
---------- ------------ ---------- ------------ ---------- ------------ ---------- ------------
---------- ------------ ---------- ------------ ---------- ------------ ---------- ------------
</TABLE>
<TABLE>
<CAPTION>
-----------------------------------------------------
CLASS II
-----------------------------------------------------
FOR THE
SIX MONTHS ENDED
APRIL 30, 1999 FOR THE YEAR ENDED
(UNAUDITED) OCTOBER 31, 1998
------------------------- -------------------------
SHARES AMOUNT SHARES AMOUNT
---------- ------------ ---------- ------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Shares sold......... 460,864 $ 7,266,196 565,584 $ 7,501,837
Reinvested
dividends.......... -- -- 54 792
Shares redeemed..... (86,868) (1,406,570) (42,395) (571,201)
---------- ------------ ---------- ------------
Net increase........ 373,996 $ 5,859,626 523,243 $ 6,931,428
---------- ------------ ---------- ------------
---------- ------------ ---------- ------------
</TABLE>
<PAGE>
84
STYLE SELECT SERIES LOGO
NOTES TO FINANCIAL STATEMENTS -- APRIL 30, 1999 (UNAUDITED) -- (CONTINUED)
<TABLE>
<CAPTION>
MID-CAP GROWTH PORTFOLIO
-------------------------------------------------------------------------------------------------------------
CLASS A CLASS B
----------------------------------------------------- -----------------------------------------------------
FOR THE FOR THE
SIX MONTHS ENDED SIX MONTHS ENDED
APRIL 30, 1999 FOR THE YEAR ENDED APRIL 30, 1999 FOR THE YEAR ENDED
(UNAUDITED) OCTOBER 31, 1998 (UNAUDITED) OCTOBER 31, 1998
------------------------- ------------------------- ------------------------- -------------------------
SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
---------- ------------ ---------- ------------ ---------- ------------ ---------- ------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Shares sold......... 1,382,313 $ 22,186,687 2,003,438 $ 30,029,197 898,812 $ 14,236,190 2,411,557 $ 35,655,215
Reinvested
dividends.......... 87,640 1,288,305 -- -- 152,206 2,206,988 -- --
Shares redeemed..... (1,509,155) (24,503,802) (1,146,590) (16,877,753) (1,048,641) (16,697,024) (972,294) (14,050,897)
---------- ------------ ---------- ------------ ---------- ------------ ---------- ------------
Net increase
(decrease)......... (39,202) $ (1,028,810) 856,848 $ 13,151,444 2,377 $ (253,846) 1,439,263 $ 21,604,318
---------- ------------ ---------- ------------ ---------- ------------ ---------- ------------
---------- ------------ ---------- ------------ ---------- ------------ ---------- ------------
</TABLE>
<TABLE>
<CAPTION>
-----------------------------------------------------
CLASS II
-----------------------------------------------------
FOR THE
SIX MONTHS ENDED
APRIL 30, 1999 FOR THE YEAR ENDED
(UNAUDITED) OCTOBER 31, 1998
------------------------- -------------------------
SHARES AMOUNT SHARES AMOUNT
---------- ------------ ---------- ------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Shares sold......... 765,387 $ 12,155,104 1,037,718 $ 15,100,986
Reinvested
dividends.......... 17,899 259,890 -- --
Shares redeemed..... (819,110) (13,122,110) (724,281) (10,531,818)
---------- ------------ ---------- ------------
Net increase
(decrease)......... (35,824) $ (707,116) 313,437 $ 4,569,168
---------- ------------ ---------- ------------
---------- ------------ ---------- ------------
</TABLE>
<TABLE>
<CAPTION>
AGGRESSIVE GROWTH PORTFOLIO
-------------------------------------------------------------------------------------------------------------
CLASS A CLASS B
----------------------------------------------------- -----------------------------------------------------
FOR THE FOR THE
SIX MONTHS ENDED SIX MONTHS ENDED
APRIL 30, 1999 FOR THE YEAR ENDED APRIL 30, 1999 FOR THE YEAR ENDED
(UNAUDITED) OCTOBER 31, 1998 (UNAUDITED) OCTOBER 31, 1998
------------------------- ------------------------- ------------------------- -------------------------
SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
---------- ------------ ---------- ------------ ---------- ------------ ---------- ------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Shares sold......... 915,183 $ 19,839,735 1,887,998 $ 31,932,623 1,126,809 $ 24,188,957 2,426,954 $ 40,971,389
Reinvested
dividends.......... -- -- 15,149 232,082 -- -- 21,234 323,184
Shares redeemed..... (740,658) (16,619,050) (939,066) (15,813,931) (572,092) (12,008,541) (921,116) (14,741,870)
---------- ------------ ---------- ------------ ---------- ------------ ---------- ------------
Net increase........ 174,525 $ 3,220,685 964,081 $ 16,350,774 554,717 $ 12,180,416 1,527,072 $ 26,552,703
---------- ------------ ---------- ------------ ---------- ------------ ---------- ------------
---------- ------------ ---------- ------------ ---------- ------------ ---------- ------------
</TABLE>
<TABLE>
<CAPTION>
-------------------------------------------------------------------------------------------------------------
CLASS II CLASS Z
----------------------------------------------------- -----------------------------------------------------
FOR THE FOR THE FOR THE PERIOD
SIX MONTHS ENDED SIX MONTHS ENDED APRIL 3, 1998*
APRIL 30, 1999 FOR THE YEAR ENDED APRIL 30, 1999 THROUGH
(UNAUDITED) OCTOBER 31, 1998 (UNAUDITED) OCTOBER 31, 1998
------------------------- ------------------------- ------------------------- -------------------------
SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
---------- ------------ ---------- ------------ ---------- ------------ ---------- ------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Shares sold......... 197,231 $ 4,289,444 395,453 $ 6,677,908 4,487 $ 98,690 21,269 $ 378,269
Reinvested
dividends.......... -- -- 1,904 28,983 -- -- -- --
Shares redeemed..... (90,207) (1,960,635) (124,617) (2,098,913) (1,775) (38,902) (403) (7,760)
---------- ------------ ---------- ------------ ---------- ------------ ---------- ------------
Net increase........ 107,024 $ 2,328,809 272,740 $ 4,607,978 2,712 $ 59,788 20,866 $ 370,509
---------- ------------ ---------- ------------ ---------- ------------ ---------- ------------
---------- ------------ ---------- ------------ ---------- ------------ ---------- ------------
</TABLE>
* Inception of the class
<PAGE>
85
STYLE SELECT SERIES LOGO
NOTES TO FINANCIAL STATEMENTS -- APRIL 30, 1999 (UNAUDITED) -- (CONTINUED)
<TABLE>
<CAPTION>
FOCUSED GROWTH AND INCOME PORTFOLIO
-------------------------------------------------------------------------------------------------------------
CLASS A CLASS B
----------------------------------------------------- -----------------------------------------------------
FOR THE FOR THE
SIX MONTHS ENDED SIX MONTHS ENDED
APRIL 30, 1999 FOR THE YEAR ENDED APRIL 30, 1999 FOR THE YEAR ENDED
(UNAUDITED) OCTOBER 31, 1998 (UNAUDITED) OCTOBER 31, 1998
------------------------- ------------------------- ------------------------- -------------------------
SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
---------- ------------ ---------- ------------ ---------- ------------ ---------- ------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Shares sold......... 326,956 $ 4,788,177 710,580 $ 9,385,878 418,207 $ 6,091,921 1,318,539 $ 17,361,591
Reinvested
dividends.......... 9,305 124,043 845 12,086 15,408 203,845 685 9,757
Shares redeemed..... (248,635) (3,470,075) (1,930,218) (25,563,679) (249,145) (3,557,730) (151,506) (1,955,466)
---------- ------------ ---------- ------------ ---------- ------------ ---------- ------------
Net increase
(decrease)......... 87,626 $ 1,442,145 (1,218,793) $(16,165,715) 184,470 $ 2,738,036 1,167,718 $ 15,415,882
---------- ------------ ---------- ------------ ---------- ------------ ---------- ------------
---------- ------------ ---------- ------------ ---------- ------------ ---------- ------------
</TABLE>
<TABLE>
<CAPTION>
-----------------------------------------------------
CLASS II
-----------------------------------------------------
FOR THE
SIX MONTHS ENDED
APRIL 30, 1999 FOR THE YEAR ENDED
(UNAUDITED) OCTOBER 31, 1998
------------------------- -------------------------
SHARES AMOUNT SHARES AMOUNT
---------- ------------ ---------- ------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Shares sold......... 182,139 $ 2,678,988 210,319 $ 2,771,825
Reinvested
dividends.......... 2,151 28,463 79 1,120
Shares redeemed..... (37,074) (520,006) (30,059) (392,116)
---------- ------------ ---------- ------------
Net increase........ 147,216 $ 2,187,445 180,339 $ 2,380,829
---------- ------------ ---------- ------------
---------- ------------ ---------- ------------
</TABLE>
<TABLE>
<CAPTION>
LARGE-CAP VALUE PORTFOLIO
-------------------------------------------------------------------------------------------------------------
CLASS A CLASS B
----------------------------------------------------- -----------------------------------------------------
FOR THE FOR THE
SIX MONTHS ENDED SIX MONTHS ENDED
APRIL 30, 1999 FOR THE YEAR ENDED APRIL 30, 1999 FOR THE YEAR ENDED
(UNAUDITED) OCTOBER 31, 1998 (UNAUDITED) OCTOBER 31, 1998
------------------------- ------------------------- ------------------------- -------------------------
SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
---------- ------------ ---------- ------------ ---------- ------------ ---------- ------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Shares sold......... 264,900 $ 3,498,010 1,166,196 $ 14,892,230 569,932 $ 7,425,760 2,558,635 $ 32,748,118
Reinvested
dividends.......... 5,994 75,284 556 7,625 13,093 163,267 657 8,980
Shares redeemed..... (279,991) (3,714,405) (2,099,990) (26,169,149) (639,632) (8,353,424) (420,860) (5,315,302)
---------- ------------ ---------- ------------ ---------- ------------ ---------- ------------
Net increase
(decrease)......... (9,097) $ (141,111) (933,238) $(11,269,294) (56,607) $ (764,397) 2,138,432 $ 27,441,796
---------- ------------ ---------- ------------ ---------- ------------ ---------- ------------
---------- ------------ ---------- ------------ ---------- ------------ ---------- ------------
</TABLE>
<TABLE>
<CAPTION>
----------------------------------------------------- -----------------------------------------------------
CLASS II CLASS Z
----------------------------------------------------- -----------------------------------------------------
FOR THE FOR THE FOR THE PERIOD
SIX MONTHS ENDED SIX MONTHS ENDED APRIL 16, 1998*
APRIL 30, 1999 FOR THE YEAR ENDED APRIL 30, 1999 THROUGH
(UNAUDITED) OCTOBER 31, 1998 (UNAUDITED) OCTOBER 31, 1998
------------------------- ------------------------- ------------------------- -------------------------
SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
---------- ------------ ---------- ------------ ---------- ------------ ---------- ------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Shares sold......... 256,203 $ 3,375,967 509,447 $ 6,443,368 2,252 $ 30,066 19,034 $ 247,966
Reinvested
dividends.......... 2,238 27,906 98 1,336 95 1,202 14 197
Shares redeemed..... (119,566) (1,575,687) (58,595) (702,209) (2,548) (34,261) (2,671) (34,016)
---------- ------------ ---------- ------------ ---------- ------------ ---------- ------------
Net increase
(decrease)......... 138,875 $ 1,828,186 450,950 $ 5,742,495 (201) $ (2,993) 16,377 $ 214,147
---------- ------------ ---------- ------------ ---------- ------------ ---------- ------------
---------- ------------ ---------- ------------ ---------- ------------ ---------- ------------
</TABLE>
* Inception of the class
<PAGE>
86
STYLE SELECT SERIES LOGO
NOTES TO FINANCIAL STATEMENTS -- APRIL 30, 1999 (UNAUDITED) -- (CONTINUED)
<TABLE>
<CAPTION>
VALUE PORTFOLIO
-------------------------------------------------------------------------------------------------------------
CLASS A CLASS B
----------------------------------------------------- -----------------------------------------------------
FOR THE FOR THE
SIX MONTHS ENDED SIX MONTHS ENDED
APRIL 30, 1999 FOR THE YEAR ENDED APRIL 30, 1999 FOR THE YEAR ENDED
(UNAUDITED) OCTOBER 31, 1998 (UNAUDITED) OCTOBER 31, 1998
------------------------- ------------------------- ------------------------- -------------------------
SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
---------- ------------ ---------- ------------ ---------- ------------ ---------- ------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Shares sold....... 436,082 $ 6,889,412 3,024,790 $ 49,667,494 446,602 $ 6,980,991 3,700,591 $ 60,058,522
Reinvested
dividends........ -- -- 113,683 1,775,725 -- -- 181,420 2,813,830
Shares redeemed... (1,392,032) (22,108,429) (1,402,287) (22,115,075) (1,717,255) (26,974,648) (1,230,770) (18,910,699)
---------- ------------ ---------- ------------ ---------- ------------ ---------- ------------
Net increase
(decrease)....... (955,950) $(15,219,017) 1,736,186 $ 29,328,144 (1,270,653) $(19,993,657) 2,651,241 $ 43,961,653
---------- ------------ ---------- ------------ ---------- ------------ ---------- ------------
---------- ------------ ---------- ------------ ---------- ------------ ---------- ------------
</TABLE>
<TABLE>
<CAPTION>
--------------------------------------------------------------------------------------------------------
CLASS II CLASS Z
---------------------------------------------------- -------------------------------------------------
FOR THE FOR THE FOR THE PERIOD
SIX MONTHS ENDED SIX MONTHS ENDED APRIL 16, 1998*
APRIL 30, 1999 FOR THE YEAR ENDED APRIL 30, 1999 THROUGH
(UNAUDITED) OCTOBER 31, 1998 (UNAUDITED) OCTOBER 31, 1998
------------------------- ------------------------ ----------------------- -----------------------
SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
---------- ------------ ---------- ----------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Shares sold......... 123,994 $ 1,936,516 649,398 $10,523,159 3,715 $ 59,018 8,051 $ 130,827
Reinvested
dividends.......... -- -- 16,911 262,283 -- -- -- --
Shares redeemed..... (349,514) (5,487,738) (222,292) (3,432,853) (5,099) (83,279) (1,371) (23,115)
---------- ------------ ---------- ----------- ---------- ---------- ---------- ----------
Net increase
(decrease)......... (225,520) $ (3,551,222) 444,017 $ 7,352,589 (1,384) $ (24,261) 6,680 $ 107,712
---------- ------------ ---------- ----------- ---------- ---------- ---------- ----------
---------- ------------ ---------- ----------- ---------- ---------- ---------- ----------
</TABLE>
<TABLE>
<CAPTION>
SMALL-CAP VALUE PORTFOLIO
-------------------------------------------------------------------------------------------------------------
CLASS A CLASS B
----------------------------------------------------- -----------------------------------------------------
FOR THE FOR THE
SIX MONTHS ENDED SIX MONTHS ENDED
APRIL 30, 1999 FOR THE YEAR ENDED APRIL 30, 1999 FOR THE YEAR ENDED
(UNAUDITED) OCTOBER 31, 1998 (UNAUDITED) OCTOBER 31, 1998
------------------------- ------------------------- ------------------------- -------------------------
SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
---------- ------------ ---------- ------------ ---------- ------------ ---------- ------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Shares sold....... 318,452 $ 3,552,645 1,603,110 $ 20,093,169 335,481 $ 3,699,481 2,609,019 $ 32,523,069
Reinvested
dividends........ -- -- 1,239 15,852 -- -- 1,337 17,010
Shares redeemed... (451,674) (4,998,155) (1,970,872) (23,878,009) (742,148) (8,067,106) (449,305) (5,182,382)
---------- ------------ ---------- ------------ ---------- ------------ ---------- ------------
Net increase
(decrease)....... (133,222) $ (1,445,510) (366,523) $ (3,768,988) (406,667) $ (4,367,625) 2,161,051 $ 27,357,697
---------- ------------ ---------- ------------ ---------- ------------ ---------- ------------
---------- ------------ ---------- ------------ ---------- ------------ ---------- ------------
</TABLE>
<TABLE>
<CAPTION>
-------------------------------------------------------------------------------------------------------------
CLASS II CLASS Z
----------------------------------------------------- -----------------------------------------------------
FOR THE FOR THE FOR THE PERIOD
SIX MONTHS ENDED SIX MONTHS ENDED APRIL 16, 1998*
APRIL 30, 1999 FOR THE YEAR ENDED APRIL 30, 1999 THROUGH
(UNAUDITED) OCTOBER 31, 1998 (UNAUDITED) OCTOBER 31, 1998
------------------------- ------------------------- ------------------------- -------------------------
SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
---------- ------------ ---------- ------------ ---------- ------------ ---------- ------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Shares sold....... 136,859 $ 1,501,249 610,407 $ 7,609,109 3,785 $ 42,353 13,605 $ 169,205
Reinvested
dividends........ -- -- 244 3,104 -- -- 14 183
Shares redeemed... (140,575) (1,524,201) (98,273) (1,113,740) (12,124) (138,625) (535) (6,219)
---------- ------------ ---------- ------------ ---------- ------------ ---------- ------------
Net increase
(decrease)....... (3,716) $ (22,952) 512,378 $ 6,498,473 (8,339) $ (96,272) 13,084 $ 163,169
---------- ------------ ---------- ------------ ---------- ------------ ---------- ------------
---------- ------------ ---------- ------------ ---------- ------------ ---------- ------------
</TABLE>
* Inception of the class
<PAGE>
87
STYLE SELECT SERIES LOGO
NOTES TO FINANCIAL STATEMENTS -- APRIL 30, 1999 (UNAUDITED) -- (CONTINUED)
<TABLE>
<CAPTION>
INTERNATIONAL EQUITY PORTFOLIO
-----------------------------------------------------------------------------------------------------------------
CLASS A CLASS B
------------------------------------------------------- -------------------------------------------------------
FOR THE FOR THE
SIX MONTHS ENDED SIX MONTHS ENDED
APRIL 30, 1999 FOR THE YEAR ENDED APRIL 30, 1999 FOR THE YEAR ENDED
(UNAUDITED) OCTOBER 31, 1998 (UNAUDITED) OCTOBER 31, 1998
-------------------------- -------------------------- -------------------------- --------------------------
SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
---------- ------------- ---------- ------------- ---------- ------------- ---------- -------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Shares sold..... 3,333,641 $ 42,982,778 3,643,759 $ 46,757,853 329,454 $ 4,203,959 1,477,710 $ 19,056,486
Reinvested
dividends...... 7,841 98,642 34,215 406,818 14,042 174,266 58,619 691,698
Shares
redeemed....... (3,542,537) (45,952,712) (3,309,178) (42,505,076) (714,301) (9,160,255) (1,020,515) (12,793,168)
---------- ------------- ---------- ------------- ---------- ------------- ---------- -------------
Net increase
(decrease)..... (201,055) $ (2,871,292) 368,796 $ 4,659,595 (370,805) $ (4,782,030) 515,814 $ 6,955,016
---------- ------------- ---------- ------------- ---------- ------------- ---------- -------------
---------- ------------- ---------- ------------- ---------- ------------- ---------- -------------
</TABLE>
<TABLE>
<CAPTION>
----------------------------------------------------------------------------------------------------------------
CLASS II CLASS Z
------------------------------------------------------- ------------------------------------------------------
FOR THE FOR THE FOR THE PERIOD
SIX MONTHS ENDED SIX MONTHS ENDED APRIL 16, 1998*
APRIL 30, 1999 FOR THE YEAR ENDED APRIL 30, 1999 THROUGH
(UNAUDITED) OCTOBER 31, 1998 (UNAUDITED) OCTOBER 31, 1998
-------------------------- -------------------------- -------------------------- -------------------------
SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
---------- ------------- ---------- ------------- ---------- ------------- ---------- ------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Shares sold...... 188,214 $ 2,403,722 446,371 $ 5,752,349 2,580 $ 33,527 11,801 $ 159,226
Reinvested
dividends....... 2,040 25,318 3,864 45,601 47 586 -- --
Shares
redeemed........ (147,122) (1,890,934) (148,954) (1,852,682) (11,770) (155,594) -- --
---------- ------------- ---------- ------------- ---------- ------------- ---------- ------------
Net increase
(decrease)...... 43,132 $ 538,106 301,281 $ 3,945,268 (9,143) $ (121,481) 11,801 $ 159,226
---------- ------------- ---------- ------------- ---------- ------------- ---------- ------------
---------- ------------- ---------- ------------- ---------- ------------- ---------- ------------
</TABLE>
<TABLE>
<CAPTION>
FOCUS PORTFOLIO
---------------------------------------------------------------------------------------------------------------
CLASS A CLASS B
------------------------------------------------------ ------------------------------------------------------
FOR THE FOR THE PERIOD FOR THE FOR THE PERIOD
SIX MONTHS ENDED JUNE 8, 1998+ SIX MONTHS ENDED JUNE 8, 1998+
APRIL 30, 1999 THROUGH APRIL 30, 1999 THROUGH
(UNAUDITED) OCTOBER 31, 1998 (UNAUDITED) OCTOBER 31, 1998
-------------------------- ------------------------- ------------------------- --------------------------
SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
---------- ------------- ---------- ------------ ---------- ------------ ---------- -------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Shares sold....... 4,142,979 $ 64,587,815 4,937,120 $ 62,391,549 5,880,966 $ 92,830,787 4,130,135 $ 52,830,672
Reinvested
dividends........ -- -- -- -- -- -- -- --
Shares redeemed... (621,915) (9,842,218) (2,574,338) (32,571,137) (608,782) (9,596,126) (482,431) (5,983,085)
---------- ------------- ---------- ------------ ---------- ------------ ---------- -------------
Net increase...... 3,521,064 $ 54,745,597 2,362,782 $ 29,820,412 5,272,184 $ 83,234,661 3,647,704 $ 46,847,587
---------- ------------- ---------- ------------ ---------- ------------ ---------- -------------
---------- ------------- ---------- ------------ ---------- ------------ ---------- -------------
</TABLE>
<TABLE>
<CAPTION>
-----------------------------------------------------
CLASS II
-----------------------------------------------------
FOR THE FOR THE PERIOD
SIX MONTHS ENDED JUNE 8, 1998+
APRIL 30, 1999 THROUGH
(UNAUDITED) OCTOBER 31, 1998
------------------------- -------------------------
SHARES AMOUNT SHARES AMOUNT
---------- ------------ ---------- ------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Shares sold......... 4,723,826 $ 75,558,952 2,883,328 $ 36,845,163
Reinvested
dividends.......... -- -- -- --
Shares redeemed..... (408,100) (6,516,668) (65,791) (780,345)
---------- ------------ ---------- ------------
Net increase........ 4,315,726 $ 69,042,284 2,817,537 $ 36,064,818
---------- ------------ ---------- ------------
---------- ------------ ---------- ------------
</TABLE>
* Inception of the class
+ Commencement of Operations
<PAGE>
88
STYLE SELECT SERIES LOGO
NOTES TO FINANCIAL STATEMENTS -- APRIL 30, 1999 (UNAUDITED) -- (CONTINUED)
NOTE 10. DIRECTORS' RETIREMENT PLAN
The Directors (and Trustees) of the SunAmerica Family of Mutual Funds have
adopted the SunAmerica Disinterested Trustees' and Directors' Retirement Plan
(the "Retirement Plan") effective January 1, 1993 for the unaffiliated
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, 1999, Large-Cap Growth Portfolio,
Mid-Cap Growth Portfolio, Aggressive Growth Portfolio, Focused Growth and Income
Portfolio, Large-Cap Value Portfolio, Value Portfolio, Small-Cap Value
Portfolio, International Equity Portfolio, and Focus Portfolio had accrued
$1,521, $4,236, $6,147, $1,308, $1,463, $8,528, $1,450, $6,557, and $1,498,
respectively, for the Retirement Plan, which is included in accrued expenses on
the Statement of Assets and Liabilities, and as of April 30, 1999 expensed $714,
$1,488, $2,234, $468, $665, $2,967, $649, $1,310, and $1,498, respectively, for
the Retirement Plan, which is included in Directors' fees and expenses on the
Statement of Operations.
<PAGE>
[SUNAMERICA LOGO] SunAmerica BULK RATE
Mutual Funds U.S. POSTAGE
The SunAmerica Center PAID
733 Third Avenue KANSAS CITY, MO
New York, NY 10017-3204 PERMIT NO. 2891
Multi-Managed, Style-Based and Stylized Mutual Funds
<TABLE>
<S> <C> <C> <C>
Large-Cap Growth Portfolio [JANUS LOGO] [L. ROY PAPP & ASSOCIATES [MONTAG & CALDWELL INVESTMENT
LOGO] COUNSEL LOGO]
Mid-Cap Growth Portfolio [MILLER [T.ROWE PRICE LOGO] [WELLINGTON MANAGEMENT LOGO]
ANDERSON &
SHERRERD, LLP LOGO]
Aggressive Growth Portfolio [JANUS LOGO] [SUNAMERICA LOGO] [WARBURG PINCUS LOGO]
Focused Growth and [SUNAMERICA ASSET [MARSICO CAPITAL MANAGEMENT, LLC
Income Portfolio MANAGEMENT LOGO] LOGO]
Large-Cap Value Portfolio [DAVID L. BABSON & CO. [DAVIS SELECTED ADVISERS [WELLINGTON MANAGEMENT LOGO]
LOGO] LOGO]
Value Portfolio [AMERICAN CENTURY [NEUBERGER BERMAN [DAVIS SELECTED ADVISERS LOGO]
LOGO] LOGO]
Small-Cap Value Portfolio [LAZARD [BERGER [THE GLENMEDE TRUST COMPANY LOGO]
LOGO] LOGO]
International Equity Portfolio [BANKERS TRUST [WARBURG PINCUS LOGO]
LOGO]
Focus Portfolio [BRAMWELL CAPITAL [JENNISON ASSOCIATES [MARSICO CAPITAL MANAGEMENT, LLC LOGO]
MANAGEMENT, INC. LOGO]
LOGO]
</TABLE>
[SUNAMERICA LOGO] SunAmerica This report is submitted solely for the
Mutual Funds general information of shareholders of the
fund. Distribution of this report to persons
other than shareholders of the fund is
authorized only in connection with a
currently effective prospectus, setting
forth details of the Fund, which must
precede or accompany this report.
STYLE SELECT SERIES LOGO
