<PAGE>
[LOGO]
SunAmerica Mutual Funds
1999 ANNUAL REPORT
-------------------
Style SELECT Series-Registered Trademark-
-------------------
[LOGO]
[GRAPHIC]
[LOGO] SunAmerica
Mutual Funds
<PAGE>
A MESSAGE FROM THE PRESIDENT
December 6, 1999
Dear Shareholder:
We are very pleased that our three-year old Style SELECT Series has proved
rewarding to so many of our investors. As we have expanded and enhanced this
series of multi-managed mutual funds, our shareholders have benefited from Style
SELECT Series' institutional approach. For example, many of the funds performed
well this past fiscal year in what proved to be a very challenging investment
environment.
We are particularly proud to highlight our Focus Portfolio and our Focused
Growth and Income Portfolio. The Focus Portfolio ranked in the top 3% and the
Focused Growth and Income Portfolio ranked in the top 12% of their respective
category averages for the twelve months ended October 31, 1999, according to
Lipper Analytical Services.* As the first to offer individual investors
multi-managed focused funds, we are proud that our Portfolios' targeted approach
has succeeded, especially given the volatility of the equity markets over this
period.
In addition, the Aggressive Growth, Large-Cap Value, Value, and Small-Cap Value
Portfolios each also outperformed or tracked both its respective Lipper category
average and its respective Morningstar benchmark index for its twelve month
performance. (Returns do not reflect the impact of sales charges.)
Each Style SELECT Series Portfolio is designed to provide you with the same
multi-managed approach used by many of today's largest and most successful
institutional investors, an advantage you simply cannot get by investing in
traditional mutual funds. During the annual period ended October 31, 1999, we
continued to enhance our Style SELECT Series fund family in response to your
growing investment needs.
On April 1, 1999, we renamed our Large-Cap Blend Portfolio to Focused Growth and
Income Portfolio to illustrate the Portfolio's changed investment strategies.
Based on performance to date, the investment styles of Marsico Capital
Management and SunAmerica Asset Management have clearly served the Portfolio
well.
Among our six-style based portfolios, we changed some of the investment managers
to achieve greater consistency of style and added performance potential. On
December 1, 1998, American Century joined Davis Selected Advisers and Neuberger
Berman as a subadviser managing the Value Portfolio. In the second half of the
fiscal year, Third Avenue Funds joined Berger and Lazard as a subadviser
managing the Small-Cap Value Portfolio and Jennison Associates joined Janus and
Montag & Caldwell on the Large-Cap Growth Portfolio.
We determined that the International Equity Portfolio was better structured with
two subadvisers, rather than three, effective March 1, 1999.
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
annual period and his or her investment outlook as we near the year 2000. 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 continue to bring you style-based and stylized
investment choices designed to provide you with the opportunity to diversify
among management styles, each of which will perform differently in given
economic and market conditions. Allocating your assets among growth, value, and
focused funds across the equity capitalization and global spectrum offers you
the flexibility to take advantage of different research criteria, buy and sell
disciplines, and investment strategies.
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 serving your investment needs in
the future.
Sincerely,
/s/Peter A. Harbeck
Peter A. Harbeck
President
*Based on total return, sales charges not included. Focus Portfolio ranked 9th
out of 348 Multi-Cap Core Funds. Focused Growth and Income ranked 42nd out of
313 Large-Cap Core Funds.
1
<PAGE>
1999 ANNUAL REPORT STYLE SELECT SERIES*
LARGE-CAP VALUE PORTFOLIO [LOGO]
- ----------
FUND FOCUS
- ----------
LARGE-CAP VALUE PORTFOLIO CLASS A OUTPERFORMS MORNINGSTAR AND LIPPER CATEGORY
AVERAGES FOR 1-YEAR PERFORMANCE (AS OF OCTOBER 31, 1999)*
Q&A
JOHN R. RYAN AND STEVE IRONS, Portfolio Managers
WELLINGTON MANAGEMENT
HOW DID YOU MANAGE YOUR PORTION OF THE PORTFOLIO OVER THE PAST FISCAL YEAR?
We strive to maintain a consistent investment approach in every type of market
environment. Briefly, our approach seeks to provide returns above value-oriented
indexes and the S&P 500. We look to invest in the stocks of financially sound
but out-of-favor large capitalization companies that provide above-average
potential total returns and that sell at below-average P/E multiples. Investment
decisions are based primarily on detailed in-house fundamental research and
security valuations.
During the twelve months ended October 31, 1999, the equity market was
characterized by an explosion of speculation that focused almost entirely on
mega-caps and technology stocks. For example, within the S&P 500 Index,
technology accounted for more than half of the total return of the Index,
despite being only 19% of the total Index. This concentration developed as it
became clear that worldwide economic growth was accelerating due to the interest
rate cuts of the previous year. Further, there was a developing belief that the
Y2K issue would have a minimal impact, leading to a herd mentality favoring the
already richly valued technology sector.
As one would expect when value stocks are so out of favor, our portion of the
Large-Cap Value Portfolio underperformed the Russell 1000 Value Index for the
fiscal year, but it was in line with its peer group. Our disciplined investment
style often struggles when the markets become very turbulent, as we are
unwilling to pay the outlandish multiples for the stocks with which the market
is so enamoured.
WOULD YOU GIVE US MORE SPECIFIC EXAMPLES?
The Portfolio benefited from its stock selection in the technology sector, as we
continued to look for solid investments opportunistically. First Data Corp,
Hewlett-Packard, and Intel were particularly strong performers. Our
overweighting of the energy sector in late 1998 and 1999 also helped
performance, with Shell Transport and Trading, Union Pacific Resources, and YPF
notably strong. Some other stocks that contributed to portfolio performance were
Alcoa and Equitable Resources, as both of these undervalued companies gained
recognition.
On the other hand, the Portfolio was hurt by its overweighting in the healthcare
sector, as HMOs were hit by clouds of litigation exposure. Wellpoint Health
Networks was a laggard. Also, Tenet Healthcare, a hospital company, was a poor
performer, as it struggled to digest several acquisitions. Our underweighting
and certain specific stocks in the finance sector also impacted the Portfolio
during the period, despite the outstanding performance of one of our largest
holdings, Citigroup.
2
<PAGE>
Style SELECT Series 1999 Annual Report [LOGO]SUNAMERICA
MUTUAL FUNDS
- --------------
FUND OBJECTIVE
- --------------
SEEKS LONG-TERM GROWTH OF CAPITAL BY INVESTING GENERALLY IN EQUITY SECURITIES OF
LARGE-SIZED COMPANIES USING A "VALUE" STYLE OF INVESTING
- --------
ADVISERS
- --------
[GRAPHIC]
WHAT IS YOUR INVESTMENT OUTLOOK FOR THE REMAINDER OF 1999 AND INTO THE FIRST
QUARTER OF 2000?
Typically, corporations begin to see the potential in value stocks before the
public does. Therefore, merger & acquisition activity in portfolio holdings such
as Argentinian energy company YPF is a very positive sign.
The overseas economies that looked so fragile just a year ago are now proving
their resiliency. We currently expect global GDP growth of 2.5% for 1999 and
3.2% for 2000. In our view, the only potential deflection from a path of
synchronized global expansion during the year ahead might be a temporary Year
2000 problem and/or actions to avoid Year 2000 disruptions.
On the domestic front, the US economy continues to grow at a healthy pace. While
we believe that a deceleration is inevitable, it is not, in our opinion,
imminent. The economy should remain firm in the near term due to a rebuilding of
inventories during the rest of the year. On the other hand, the higher interest
rate environment probably will crimp the elevated demand in the housing sector
and already has led to a severe drop in refinancing activity. Additionally, we
expect that the surge in energy prices could affect domestic consumer spending.
The high and deteriorating trade deficit is a concern, particularly its
contribution toward a weaker dollar and inflation in imported goods prices.
Despite these concerns, the US economy has momentum and should continue on a
2%-3% GDP growth path, as sectors such as industrial and manufacturing
strengthen.
As for inflation, the bounceback in commodity prices is a concern, as broader
inflation indices could soon reflect the upward pressure of higher input costs
in a stronger economy. Coupled with the continued pressure on wages and recent
disquieting labor agreements, we expect inflation to push above 2% in 1999 and
to register nearly 2.5% in 2000. Still, we are not expecting a troublesome major
inflation cycle to unfold. We do expect a resilient global economy and rising
inflation to exert upward pressure on short-term interest rates.
In our view, corporate profits should show double-digit growth in both 1999 and
2000. This accelerating growth in profits, which is broad-based and includes the
recovering basic industries, should, in turn, provide stock market support and
could provide broader participation in any advance. The main risks to current
stock valuations remain excessive monetary tightening by the Federal Reserve
Board, a prospect we do not view as likely, and international liquidity shifts.
We still see excessive optimism reflected in the valuations for certain sectors,
but we are reasonably constructive in our overall outlook.
*PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. Portfolio returns do not
reflect the impact of sales charges. Morningstar proprietary ratings reflect
historical risk-adjusted performance as of October 31, 1999. They are subject to
change every month. The Lipper category average is an equally weighted
performance index, adjusted for capital gains distributions and income dividends
of the largest qualifying funds in this investment objective. Investors cannot
actually make investments in these indices.
3
<PAGE>
1999 Annual Report STYLE SELECT SERIES*
VALUE PORTFOLIO [LOGO]
- ----------
FUND FOCUS
- ----------
VALUE PORTFOLIO CLASS A OUTPERFORMS LIPPER CATEGORY AVERAGE AND RUSSELL MIDCAP
VALUE INDEX FOR 1-YEAR PERFORMANCE AS OF OCTOBER 31, 1999*
Q&A
MICHAEL M. KASSEN AND ROBERT I. GENDELMAN, PORTFOLIO MANAGERS
NEUBERGER BERMAN
HOW DID YOU MANAGE YOUR PORTION OF THE PORTFOLIO OVER THE PAST FISCAL YEAR?
Overall, value underperformed growth during the twelve months ending October 31,
1999. Rising interest rates negatively impacted financial stocks, which
represent almost a third of the total weight of the value index. Plus, a lack of
pricing power re-focused companies on cutting costs and improving productivity,
which, in turn meant increased spending on technology and information systems,
an obvious benefit to the top line of growth-oriented technology companies.
Within the value investment style, large capitalization stocks continued to be
in favor relative to smaller companies over the fiscal year. The Russell 1000
Value Index returned 16.52% for the fiscal year, while the Russell Midcap Value
Index and Russell 2000 Value Index returned 5.70% and 0.72%, respectively, for
the same time period. Within the Russell 1000 Value Index, the technology,
financial services, and communications sectors were the top performers.
Technology stocks benefited from the growing demand and increased spending for
bandwidth. Financials, while hurt overall, had strong gains in the fourth
calendar quarter of 1998 after the Federal Reserve Board had cut interest rates.
The communications sector benefited from growing demand and deregulation. Health
care, utilities, and consumer cyclicals underperformed.
Our portion of the Portfolio slightly underperformed the Russell 1000 Value
Index primarily due to underweight positions in the financial services and
communications sectors. However, performance was boosted by our overweight in
technology, the best performing sector of the Index. Our specific positions in
the consumer cyclicals and basic materials sectors also helped Portfolio
performance.
WOULD YOU GIVE US MORE SPECIFIC EXAMPLES?
We made some opportunistic purchases during the period, each of which helped
Portfolio performance. These include:
MERCK & CO. - Because of patents on four drugs due to expire in 2000-2001, the
stock was greeted by huge declines during the summer of 1999. The
price-to-earnings multiple fell dramatically. We bought the stock with the
belief that the next generation of drugs, recently developed, will experience
solid long-term growth.
NORTEL - During the global crisis late in 1998, this stock was more than cut in
half because of its exposure to Asia. The company has since emerged as one of
the global leaders in the telecommunications equipment industry, and its stock
still sells at a considerable discount to its peer leaders, Lucent and Cisco.
ERICSSON - This company fell behind its competitors in upgrading its line of
cellular phones, and thus its stock languished within a thriving industry. We
purchased the stock upon the launch of a major new product cycle.
During the period, we also reduced exposure to the consumer staples sector to
re-employ assets into such economically sensitive stocks as Allied Signal and
Weyerhauser, as we seek to take advantage of ongoing global economic growth.
There were a few names that hurt Portfolio performance, mainly from the
financial sector. These included Ace Limited, a Bermuda based re-insurer hurt
from tough price competition in the property & casualty business; Countrywide
Credit, a personal mortgage company that experienced lower mortgage origination
results from the higher interest rate environment; and Bank One, a major
regional bank that suffered at the hands of its recently acquired credit card
business, First USA.
4
<PAGE>
Style SELECT Series 1999 Annual Report [LOGO]SUNAMERICA
MUTUAL FUNDS
- --------------
FUND OBJECTIVE
- --------------
SEEKS LONG-TERM GROWTH OF CAPITAL BY INVESTING GENERALLY IN EQUITY SECURITIES OF
LARGE-SIZED COMPANIES USING A "VALUE" STYLE OF INVESTING
- --------
ADVISERS
- --------
[GRAPHIC]
WHAT IS YOUR INVESTMENT OUTLOOK FOR THE REMAINDER OF 1999 AND INTO THE FIRST
QUARTER OF 2000?
We are optimistic about the global economy in the year 2000. Inflation seems to
be under control, and interest rates remain at historically low levels despite
the increases since the fall of 1998. We believe the factors to sustain the
global expansion seem to be in place, a trend that would favor the value
investor.
As fears of inflation and of further Federal Reserve Board tightening diminish
and as consolidation expectations from the elimination of the Glass Steagall Act
grow, we are particularly optimistic on the financial services sector, which is
key to value investing.
Of course, we are still slightly concerned about market valuations, but
primarily in that certain segments of the market are extremely overvalued and
thus create the perception of a broad valuation problem. The Internet stocks are
the prime example of this. Our specific concern is how the overall market would
react if these specific valuations decline.
*PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. Portfolio returns do not
reflect the impact of sales charges. The Lipper category average is an equally
weighted performance index, adjusted for capital gains distributions and income
dividends of the largest qualifying funds in this investment objective. The
Russell Midcap Value Index measures the performance of those Russell Midcap
companies with lower price-to-book ratios and lower forecasted growth values.
The stocks are also members of the Russell 1000 Value Index. Investors cannot
actually make investments in these indices.
5
<PAGE>
1999 Annual Report
SMALL-CAP VALUE PORTFOLIO STYLE SELECT SERIES*
[LOGO]
- ----------
FUND FOCUS
- ----------
SMALL-CAP VALUE PORTFOLIO CLASS A OUTPERFORMS MORNINGSTAR AND LIPPER CATEGORY
AVERAGES PLUS THE RUSSELL 2000 VALUE INDEX FOR 1-YEAR PERFORMANCE AS OF OCTOBER
31, 1999*
Q&A
ROBERT H. PERKINS, PORTFOLIO MANAGER
PERKINS, WOLF, MCDONNELL, SUB-ADVISER TO BERGER ASSOCIATES
HOW DID YOU MANAGE YOUR PORTION OF THE PORTFOLIO OVER THE PAST FISCAL YEAR?
We search for undervalued stocks we believe to be selling at low prices relative
to assets, earnings, or cash flow. These companies also exhibit products and
services with competitive edges, quality balance sheets and strong managements.
It is an important part of our strategy to consider the downside risk before the
upside potential of each investment.
Our portion of the Small-Cap Value Portfolio turned in solid performance during
a challenging period. We significantly outperformed the Russell 2000 Value Index
for the fiscal year--despite the fact that small-cap stocks in general and
small-cap value stocks in particular underperformed large-cap stocks.
This disparity, in our view, is largely a function of excessive market
appreciation in the fifty largest companies in the S&P 500 Index, most of which
are currently technology stocks. These stocks sell at what we believe to be
unjustified prices of, for example, over 60 times estimated 1999 earnings in the
case of Microsoft and 80 times earnings for Cisco Systems. This is two to three
times their historical growth rate. These numbers are particularly disturbing
when considering the fact that nearly 60% of all big board stocks are down
year-to-date as are six out of the eleven S&P industry groups.
In contrast, our small-cap companies exhibited strong earnings growth, positive
fundamentals, and attractive relative valuations throughout the annual period.
In fact, small cap relative price/earnings ratios as compared to large cap
price/earnings ratios remained at multi-decade lows at the end of the fiscal
year.
WOULD YOU GIVE US MORE SPECIFIC EXAMPLES?
Our best performing sector this year was energy. Commodity prices rebounded and
several issues returned more than 100% over the fiscal year. We used the
strength in this sector to reduce holdings in such names as Newfield Exploration
and BJ Services and to add names where we saw further upside potential, such as
Marine Drilling Companies and Key Energy Services.
In the telecommunications sector, the Portfolio enjoyed strong gains from
Centennial Cellular and Jones Intercable, as well as from cellular
infrastructure providers REMEC and Sawtek. These stocks rebounded as demand
increased for broadband and lower cell phone prices.
Since the beginning of the fiscal year, we decreased the Portfolio's exposure to
fallen growth stocks in which we saw limited investment upside. These stocks
were those trading near or at their all-time lows. The exceptions were stocks in
the information technology (IT) services industry. Many companies have delayed
large IT projects until early in the year 2000 in order to prepare for the Y2K
changeover. Thus, during the twelve month period, IT companies corrected as much
as 50% to 60%. However, we viewed this downturn as temporary and thus as a
buying opportunity, since worldwide demand of IT services is expected to double
by 2003. We added Interim Services, Romac International, and Computer Horizons.
While a cloud of legislation hovering over Washington D.C. created uncertainty
in the healthcare sector and caused a widespread sell-off, opportunities are
beginning to appear. While we cannot be sure as to the exact timing, we do
believe that a number of companies will emerge from the shakeout stronger than
ever. We added Omnicare to the Portfolio.
The most disappointing stocks were in the financial sector, specifically the
banks and thrifts. Their earnings growth continued to meet or exceed
expectations, but their prices did not. Many of these companies are aggressively
buying back their stock and raising their dividends, and industry consolidation
continues. The one exception is in the real estate investment trust (REIT)
industry, where we continue to find attractive valuations. REITs traditionally
sell at yields equivalent to 10-year US Treasuries, which as of October 31, were
5.9%. The average current yield of REITs held by the Portfolio was 8.1%. This
industry is clearly out of favor, yet many companies boast clean balance sheets,
quality assets, and trade at a significant discount to their net asset values.
We continued to add to names such as Home Properties of New York and Prentiss
Properties Trust.
6
<PAGE>
Style SELECT Series 1999 Annual Report [LOGO]SUNAMERICA
MUTUAL FUNDS
- --------------
FUND OBJECTIVE
- --------------
SEEKS LONG-TERM GROWTH OF CAPITAL BY INVESTING GENERALLY IN EQUITY SECURITIES OF
SMALL-SIZED COMPANIES USING A "VALUE" STYLE OF INVESTING
- --------
ADVISERS
- --------
[GRAPHIC]
WHAT IS YOUR INVESTMENT OUTLOOK FOR THE REMAINDER OF 1999 AND INTO THE FIRST
QUARTER OF 2000?
Looking ahead, we reiterate our belief that the best long-term returns are
generated by investments in the small-cap area. Historically, when the general
market turns from larger companies to smaller ones, small-cap stocks perform
exceedingly well. It is also worth noting that with 17 different cycles since
1926, each lasting an average of four years, value outperformed growth eight
times and growth outperformed value nine times. More importantly perhaps, when
value outperformed, it did so by 27%. When value underperformed, it did so by
only 10%. We are confident that history will repeat itself.
Furthermore, we believe that the gross excesses, and accompanying increased
risks, seen in the equity markets recently, will be corrected and this current
cycle of underperformance will end. In our opinion, this should lead to a more
favorable environment for value investing in stocks that sell at lower
price-to-earnings ratios, such as those in our Portfolio,
which sell at an average of 14 times 1999 estimates and ten times 2000
estimates.
We will continue to apply the same small-cap value discipline that we have
practiced for the last thirty years while we await the return of capital to the
small cap sector.
*PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. Portfolio returns do not
reflect the impact of sales charges. Morningstar proprietary ratings reflect
historical risk-adjusted performance as of October 31, 1999. They are subject to
change every month. The Lipper category average is an equally weighted
performance index, adjusted for capital gains distributions and income dividends
of the largest qualifying funds in this investment objective. The Russell 2000
Value Index is a widely-recognized, capitalization-weighted (companies with
larger market capitalizations have more influence than those with smaller market
capitalizations) index of the 2,000 smallest companies out of the 3,000 largest
US companies with lower growth rates and price-to-book ratios. Investors cannot
actually make investments in these indices.
7
<PAGE>
1999 ANNUAL REPORT
LARGE-CAP GROWTH PORTFOLIO STYLE SELECT SERIES*
[GRAPHIC]
- ----------
FUND FOCUS
- ----------
LARGE-CAP GROWTH PORTFOLIO CLASS A OUTPERFORMS S&P 500 INDEX FOR 1-YEAR
PERFORMANCE AS OF OCTOBER 31, 1999*
Q&A
MARC PINTO, PORTFOLIO MANAGER
JANUS
HOW DID YOU MANAGE YOUR PORTION OF THE PORTFOLIO OVER THE PAST FISCAL YEAR?
Our research-intensive, stock specific strategy led us to a number of great
companies in a diverse set of industries over the past fiscal year, ranging from
the technology and telecommunications sectors to financial, consumer, media, and
pharmaceutical stocks. These selections helped the Portfolio outperform its
benchmark, the S&P 500 Index, for the twelve months ended October 31, 1999.
Strong stock selection skills and our growth-oriented strategy were particularly
key to the Portfolio's outperformance given developments in the recent difficult
investment environment.
Although the surging domestic economy prompted the Federal Reserve Board to
raise interest rates twice during the period, the intensely competitive business
environment kept inflation in check. With the notable exceptions of April and
May 1999 when economic data showed that the worst of the global financial crisis
was apparently over, higher interest rates pressured many cyclical and value
stocks, keeping larger, growth names in favor. The intense competition also
resulted in pricing power being limited to all but a few innovative companies.
In fact, the market remained incredibly narrow throughout the year. For example,
only four stocks accounted for more than half of the S&P 500's performance in
the first nine months of 1999. Eleven stocks accounted for 100% of the
performance. Clearly, most companies' profit growth was quite unremarkable.
Conversely, we believe our holdings offer the innovative, proprietary products
that allow them to protect their profit margins, resulting in above-average
earnings growth. This strong fundamental performance was amplified by investors'
recognition that solid earnings growth is becoming increasingly scarce in the
current economic and business environment. In turn, investors demonstrated a
willingness to pay a premium to access this growth.
WOULD YOU GIVE US MORE SPECIFIC EXAMPLES?
Specifically, the portfolio benefited from its positions in the technology
sector. Cisco Systems, the dominant supplier of Internet infrastructure
equipment, moved higher. The company's fundamentals remain strong, and it
continues to make shrewd acquisitions that should augment its intellectual
superiority. Linear Technology, the semiconductor manufacturer was also a winner
for the Portfolio. Linear's unique chip designs offer it some pricing power in
an otherwise commoditized industry. EMC, the data storage hardware manufacturer,
benefited from the continued digitization of the global economy. After all,
every time an e-mail is sent or a web page is created, more data is created.
This data has to be stored somewhere, and EMC's products offer a solution.
In the telecommunications sector, our position in Nokia, the leading
manufacturer of wireless phones, gained, based on solid earnings growth and the
still amazing potential offered by wireless data networks. Another top performer
for the Portfolio was Home Depot, the home improvement retailer, which continues
to win market share. This company also benefited from the past year's solid
housing market and strong mortgage refinancing trends.
During the fiscal year, we bought Sun Microsystems and Viacom. Sun Microsystems
is the leading manufacturer of web servers, and we believe that the company's
vision of the network eventually replacing the PC is gaining momentum. Viacom
has one of the best portfolios of content in the world, owning MTV, VH1,
Discovery, Encore, Paramount Pictures, Blockbuster Video, and CBS. We believe
that as TV and the Internet converge, companies with deep content libraries
stand to profit immensely. This same idea also applies to Time Warner, another
strong performer for the Portfolio during the period.
Only a few of the Portfolio's holdings did not perform well. Pfizer and Eli
Lilly declined, as the entire pharmaceutical sector came under pressure by talk
of potential government price regulation. Coca-Cola Enterprises fell on
decreases in the number of cases of soft drink sold. In each of these cases, we
trimmed our exposure. We sold our entire position in Newcourt Credit, the
finance company, which fell victim to the credit crunch of 1998 and never did
recover as the market for its lease-backed securities dried up.
8
<PAGE>
Style SELECT Series 1999 Annual Report [LOGO]SUNAMERICA
MUTUAL FUNDS
- --------------
FUND OBJECTIVE
- --------------
SEEKS LONG-TERM GROWTH OF CAPITAL BY INVESTING GENERALLY IN EQUITY SECURITIES OF
LARGE-SIZED COMPANIES
- --------
ADVISERS
- --------
[GRAPHIC]
WHAT IS YOUR INVESTMENT OUTLOOK FOR THE REMAINDER OF 1999 AND INTO THE FIRST
QUARTER OF 2000?
We believe that many of the same trends that influenced the equity market over
the past year will remain in effect in the coming months. These include a
general lack of corporate pricing power, strong productivity, high volatility,
global economic growth, interest rate movements, inflationary fears, and more.
While this outlook may not bode well for the broader stock market, it does keep
us extremely optimistic about our Portfolio's holdings. In our opinion, because
our holdings offer innovative, competitive products, maintain industry
leadership positions, and are led by outstanding management teams, they should
continue to offer above-average growth potential.
*Past performance is no guarantee of future results. Portfolio returns do not
reflect the impact of sales charges. The S&P 500 Index is the Standard & Poor's
500 Composite Stock Price Index, a widely-recognized, unmanaged index of common
stock prices. Investors cannot actually make investments in this index.
JANUS
[LOGO]
9
<PAGE>
1999 ANNUAL REPORT
MID-CAP GROWTH PORTFOLIO STYLE SELECT SERIES*
[GRAPHIC]
- ----------
FUND FOCUS
- ----------
MID-CAP GROWTH PORTFOLIO CLASS A OUTPERFORMS S&P 400 MIDCAP INDEX FOR 1-YEAR
PERFORMANCE AS OF OCTOBER 31, 1999*
Q&A
BRIAN W. H. BERGHUIS, PORTFOLIO TEAM MANAGER
T. ROWE PRICE
HOW DID YOU MANAGE YOUR PORTION OF THE PORTFOLIO OVER THE PAST FISCAL YEAR?
Even in a difficult environment, we are pleased to report that our portion of
the Mid-Cap Growth Portfolio outperformed both the S&P MidCap 400 Index and the
S&P 500 Index for the twelve months. This was a challenging year in which strong
market performance was accompanied by increasing volatility and what we consider
to be an unhealthy focus on a small group of market leaders.
Market leadership remained with large-cap stocks. After a sharp drop in the last
half of fiscal 1998, the mid-cap market staged a strong rebound late last fall,
and investor interest broadened beyond the narrow group of large-cap stocks that
have led the market in recent years. However, since mid-summer 1999, investors
have once again focused on technology and large-cap stocks, to the detriment of
other sectors. For the fiscal year as a whole, the Portfolio benefited from the
stronger performance of growth stocks relative to value stocks.
Our investment strategy favors mid-sized companies that are growing their
earnings at more than 15% a year. The companies are typically small enough to
adapt quickly to changing market conditions and trends, yet mature enough to
have successful products, experienced management, and an adequate infrastructure
to support future growth.
WOULD YOU GIVE US MORE SPECIFIC EXAMPLES?
Two wireless providers, Voice Stream Wireless and Western Wireless, were among
the top performers during the fiscal year. Both companies are benefiting from
strong subscriber growth as well as increasing investor interest in the sector.
In concert with market trends, other top contributors to the Portfolio included
other technology and telecommunications companies such as PMC Sierra, a
communications semiconductor manufacturer, Xilinx, a manufacturer of
programmable logic devices and software, and Analog Devices, a leading supplier
of semiconductors.
Two detractors from performance were Amerisource, a wholesale distributor of
pharmaceutical and healthcare products, and Warnaco, an apparel manufacturer.
Both companies experienced earnings disappointments during the year.
10
<PAGE>
Style SELECT Series 1999 Annual Report [LOGO]SUNAMERICA
MUTUAL FUNDS
- --------------
FUND OBJECTIVE
- --------------
SEEKS LONG-TERM GROWTH OF CAPITAL BY INVESTING GENERALLY IN EQUITY SECURITIES
OF MEDIUM-SIZED COMPANIES
- --------
ADVISERS
- --------
[GRAPHIC]
WHAT IS YOUR INVESTMENT OUTLOOK FOR THE REMAINDER OF 1999 AND INTO THE FIRST
QUARTER OF 2000?
We continue to see marked bifurcation among different stock classes. Companies
with earnings momentum continue to trade at increasingly lofty valuations, while
most other sectors languish. Although technology stocks have outperformed
considerably, we have maintained an underweighted technology position in our
portion of the Portfolio. Although the technology sector is attractive in any
ways, the valuations of these companies, as well as those of newly listed
companies, are soaring to loftier levels each week. In fact, technology
companies are now trading at approximately twice the valuations of
non-technology companies, up from a 16% premium at the end of September 1998.
This seems unsustainable and motivates us to keep smaller than average positions
in technology stocks in order to reduce volatility and specific stock risk in
the Portfolio.
Furthermore, although investors are currently enamored with technology and
Internet related stocks, we have found in the past that maintaining a valuation
is rewarded in the long run. That is not to say we are not actively looking at
technology companies, but at current valuations, investors severely punish the
smallest of company missteps with stock price declines of 40% to 50%. In our
opinion, many mid-cap companies have better underlying fundamental growth than
their larger peers, and yet they trade at very attractive valuations relative to
the large-cap market. We have opportunistically bought stocks on this basis as
momentum investors exit the stocks of well-run growth companies. These are the
companies, in our view, that will drive the Portfolio's future performance. We
believe our portion of the Mid-Cap Growth Portfolio is well positioned for the
future, and will benefit in a more normalized, less speculative environment.
*Past performance is no guarantee of future results. Portfolio returns do not
reflect the impact of sales charges. The S&P 400 MidCap Index is a
widely-recognized, unmanaged index of common stock prices. Investors cannot
actually make investments in this index.
11
<PAGE>
1999 ANNUAL REPORT
AGGRESSIVE GROWTH PORTFOLIO STYLE SELECT SERIES*
[GRAPHIC]
- ----------
FUND FOCUS
- ----------
AGGRESSIVE GROWTH PORTFOLIO CLASS A OUTPERFORMS MORNINGSTAR
AND LIPPER CATEGORY AVERAGES AS WELL AS THE RUSSELL 2500 GROWTH INDEX FOR 1-YEAR
PERFORMANCE AS OF OCTOBER 31, 1999*
Q&A
ELIZABETH B. DATER AND STEPHEN J. LURITO, PORTFOLIO MANAGERS
WARBURG PINCUS
HOW DID YOU MANAGE YOUR PORTION OF THE PORTFOLIO OVER THE PAST FISCAL YEAR?
We are pleased to report that our investment style served our investors well for
the annual period. Our portion of the Aggressive Growth Portfolio significantly
outperformed the Russell 2500 Growth and Russell 2000 Growth Indices and also
the S&P 500 Index for the twelve months ended October 31, 1999.
Several factors contributed to the Portfolio's strong performance. Most
importantly, we remained bullish on small caps, based on their compelling
valuations, healthy earnings outlooks, the strong US economy, M&A activity in
the small cap sector, and the shrinking "risk premium" between more liquid and
less liquid securities.
As the fiscal year began, the Portfolio performed well, sparked by three Federal
Reserve Board interest rate cuts and powered by a surging technology sector. The
Portfolio also benefited from robust gains among its health care, communications
and media, business services, and consumer related issues. During the second
fiscal quarter, the Portfolio was hurt by small company earnings concerns and
investors' focus on large cap, blue chip names. Still, there were a number of
bright spots in the Portfolio amongst the technology, business services,
electronics, and communications and media sectors.
The strong performance of the Portfolio during the third fiscal quarter was
driven by favorable earnings and interest rate expectations, ongoing strong
technology sector performance, and stabilization of the overseas markets.
Weighing on the Portfolio were specific health care holdings, which were hurt
by the specter of Medicare reform and associated regulatory uncertainties.
During the fourth fiscal quarter, we made few changes to the Portfolio,
though we did raise its weighting in telecommunications and equipment. Our
largest area of concentration remained technology, reflecting our view that a
number of these stocks remain attractively priced given their underlying
companies' growth prospects.
WOULD YOU GIVE US MORE SPECIFIC EXAMPLES?
Some specific examples of success we had in the technology area are VoiceStream
Wireless Corp., Citrix Systems Inc., Digital Island Inc., and Radware Ltd.
VoiceStream is the second largest personal communications services (PCS)
wireless communication company in the US and is building a national PCS network
through acquisitions. Citrix Systems is the leading provider of software for
thin client computing, which enables small laptops and hand held models to run
desktop client-server applications like Microsoft Windows systems.
Digital Island and Radware have been beneficiaries of the Internet. Digital
Island is a second-generation web host, capitalizing on recent growth in
outsourcing of company web sites. Radware, a relatively new holding for the
Portfolio, provides management for Internet traffic.
12
<PAGE>
Style SELECT Series 1999 Annual Report [LOGO]SUNAMERICA
MUTUAL FUNDS
- --------------
FUND OBJECTIVE
- --------------
SEEKS LONG-TERM GROWTH OF CAPITAL BY INVESTING GENERALLY IN EQUITY SECURITIES OF
SMALL, MEDIUM SIZED AND LARGE COMPANIES USING A "VALUE" STYLE OF INVESTING
- --------
ADVISERS
- --------
[GRAPHIC]
WHAT IS YOUR INVESTMENT OUTLOOK FOR THE REMAINDER OF 1999 AND INTO THE FIRST
QUARTER OF 2000?
Our enthusiasm for small caps remains intact because we continue to believe
that the domestic economy is sound and that corporate earnings are growing at
a robust pace. Europe continues its recovery. On the other hand, we maintain
that monetary policy, both in the US and in Europe, continues to restrain the
market from broadening and prevents the decline in risk premiums we have
anticipated all year. This, coupled with the approaching millennium, has
created a high level of uncertainty in the marketplace, and we expect
volatility to continue.
Relative valuations of small cap stocks compared to large cap stocks remain near
historic lows and are thus very compelling. Furthermore, we believe the frenetic
pace of mergers and acquisitions will continue, benefiting the shareholders of
small and growing companies with unique products and franchises. Companies are
looking to enhance productivity and improve their product mix as well as to
accelerate revenues while realizing cost efficiencies. With many small companies
selling at depressed valuations, a buy versus build strategy is infinitely more
desirable to corporate mergers. Finally, as interest rates stabilize and Y2K
becomes a memory, we believe that risk premiums will fall and that investors
will likely broaden their portfolios to include more small cap stocks.
In the Portfolio, we intend to continue emphasizing technology,
communications and media, and select consumer-oriented issues. We are also
increasingly optimistic about the energy industry, as world economies improve
outside the US. We expect the end of monetary policy tightening and
forthcoming financial services liberalization legislation to create a rally
in the financial services sector in the year 2000.
*Past performance is no guarantee of future results. Portfolio returns do not
reflect the impact of sales charges. Morningstar proprietary ratings reflect
historical risk-adjusted performance as of October 31, 1999. They are subject to
change every month. The Lipper category average is an equally weighted
performance index, adjusted for capital gains distributions and income dividends
of the largest qualifying funds in this investment objective. The Russell 2500
Growth Index measures the performance of those Russell 2500 companies with
higher price-to-book ratios and higher forecasted growth values. Investors
cannot actually make investments in these indices.
13
<PAGE>
1999 ANNUAL REPORT
FOCUS PORTFOLIO STYLE SELECT SERIES*
[GRAPHIC]
- ----------
FUND FOCUS
- ----------
FOCUS PORTFOLIO RANKS IN TOP 3% OF LIPPER CATEGORY AVERAGE* AND OUTPERFORMS S&P
500 INDEX FOR PERIOD ENDING OCTOBER 31, 1999*
Q&A
SPIROS "SIG" SEGALAS, PORTFOLIO MANAGER
JENNISON ASSOCIATES
HOW DID YOU MANAGE YOUR PORTION OF THE PORTFOLIO OVER THE PAST FISCAL YEAR?
Even though the financial markets were unusually volatile, our portion of the
Portfolio had an exceptionally good year. While value stocks shot ahead of
growth stocks during the second calendar quarter of 1999, prior to that and
subsequent to that, the equity market was extremely narrow, with most of its
appreciation coming from the technology and telecommunications sectors. To show
how consolidated the market was, only four stocks accounted for more than half
of the S&P 500's performance in the first nine months of 1999. Eleven stocks
accounted for 100% of the performance, with all but three of the top eleven
index contributors being technology stocks. Clearly, it was a year when strong
stock selection was key to our outperformance.
Our year-long concentration in technology and media had the most positive impact
on performance. Also helping performance were our telecommunications, retail,
and financial stocks. The laggard in the Portfolio was our small exposure to
pharmaceuticals.
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.
WOULD YOU GIVE US MORE SPECIFIC EXAMPLES?
Technology stocks such as Cisco Systems, Texas Instruments, and EMC Corp.
particularly boosted Portfolio performance. In the telecommunications sector,
broadcasters Univision and Clear Channel did well, and we expect strong gains to
continue due to above-trend demand for advertising, consolidation and market
share in the coming year. MCI WorldCom also did well for the Portfolio.
Among the financial stocks, we owned Citigroup, one of the few non-technology
stocks that was one of the S&P 500 top ten performers.
Our one retail holding, Tiffany & Co., contributed handsomely to our
outperformance. Its earnings have exceeded expectations, and we expect this to
continue in the Year 2000. Moreover, the re-launch of the company's web site
could have a meaningful impact, if successful.
*Based on total return, sales charges not included. Ranked 9th out of 348
Multi-Cap Core Funds.
14
<PAGE>
Style SELECT Series 1999 Annual Report [LOGO]SUNAMERICA
MUTUAL FUNDS
- --------------
FUND OBJECTIVE
- --------------
SEEKS LONG-TERM GROWTH OF CAPITAL BY INVESTING IN A FOCUSED PORTFOLIO OF 30
EQUITY SECURITIES
- ---------
ADVISERS
- ---------
[GRAPHIC]
WHAT IS YOUR INVESTMENT OUTLOOK FOR THE REMAINDER OF 1999 AND INTO THE FIRST
QUARTER OF 2000?
Given that stock prices are determined primarily by earnings and interest rates,
those are the key factors we monitor. In our view, earnings continue on an
above-trend path, driven by high levels of capital spending by corporations as
they seek productivity gains. Earnings are also being driven by high levels of
consumer spending, spurred on by full employment, high confidence, soaring stock
prices, and interest rates still low on a historic basis.
Our primary concern looking ahead is the Federal Reserve Board's potential
inclination to rein in growth with higher interest rates rather than risk
inflation gaining a toehold. We believe that current data does not support the
risk of materially higher inflation, but if it were to occur, earnings and
price/earnings multiples would likely have to be adjusted downward.
*Past performance is no guarantee of future results. Portfolio returns do not
reflect the impact of sales charges. Morningstar proprietary ratings reflect
historical risk-adjusted performance as of October 31, 1999. They are subject to
change every month. The Lipper category average is an equally weighted
performance index, adjusted for capital gains distributions and income dividends
of the largest qualifying funds in this investment objective. The S&P 500 Index
is the Standard & Poor's 500 Composite Stock Price Index, a widely-recognized,
unmanaged index of common stock prices. Investors cannot actually make
investments in these indices.
15
<PAGE>
1999 Annual Report
FOCUSED GROWTH AND STYLE SELECT SERIES*
INCOME PORTFOLIO [GRAPHIC]
- ----------
FUND FOCUS
- ----------
FOCUSED GROWTH AND INCOME PORTFOLIO RANKS IN TOP 12% OF LIPPER CATEGORY
AVERAGE,* AND OUTPERFORMS S&P 500 INDEX FOR THE PEROID ENDING OCTOBER 31, 1999*
Q&A
THOMAS F. MARSICO, PORTFOLIO MANAGER
MARSICO CAPITAL MANAGEMENT
HOW DID YOU MANAGE YOUR PORTION OF THE PORTFOLIO OVER THE PAST FISCAL YEAR?
It is well worth noting the portion of the Portfolio managed by Marsico Capital
Management significantly outperformed the S&P 500 for the seven months since the
Fund's change in subadvisers, a highly turbulent period for the stock market.
Remember, we began managing the Focused Growth and Income Portfolio April 1,
1999, when the Large-Cap Blend Portfolio was converted to the Focused Growth and
Income Portfolio. Therefore, our review is only from that date through the end
of the annual period on October 31, 1999.
As the second calendar quarter unfolded, the Federal Reserve Board's interest
rate policy and inflation indicators were at the center of investors' focus. In
April, the Consumer Price Index reported its largest monthly gain since 1990. In
May, the Fed announced that it had shifted to a tightening bias, and then on
June 30, it officially raised interest rates by 0.25%. Amidst all of this, U.S.
stock market leadership rotated dramatically, with value outperforming growth
for the first two months of the quarter. In June, growth stocks regained their
leadership role.
The third quarter of 1999 was characterized by a continued high degree of market
volatility, attributable in large part to interest rate, inflation, economic
strength, and yen/dollar worries. The Federal Reserve Board increased interest
rates again on August 24th. U.S. stocks as a whole were driven down
dramatically, with only two sectors of the equity market--technology and capital
goods, producing positive returns for the quarter.
WOULD YOU GIVE US MORE SPECIFIC EXAMPLES?
Throughout the period, the Portfolio was primarily helped by its holdings in
the technology sector, including EMC Corporation and Sun Microsystems. Other
top performers for the Portfolio included Flextronics, Vodafone Airtouch, and
Genentech. During the second calendar quarter, select retail and consumer
related positions also buoyed performance. However, results were adversely
affected during these months by positions in transportation and
pharmaceutical companies. Moving to a relative underweighting in
transportation and healthcare companies by the third calendar quarter
contributed positively to performance during those months. The Portfolio's
allocations to cable/media and entertainment companies detracted from results
during the third calendar quarter. Financial services stocks, particularly
banks, were under pressure from the threat of potentially higher interest
rates throughout the period.
*Based on total return, sales charges not included. Focused Growth and Income
ranked 42nd out of 363 Large-Cap Core Funds.
16
<PAGE>
Style SELECT Series 1999 Annual Report [LOGO]SUNAMERICA
MUTUAL FUNDS
- --------------
FUND OBJECTIVE
- --------------
SEEKS LONG-TERM GROWTH OF CAPITAL AND A REASONABLE LEVEL OF INCOME BY INVESTING
IN UP TO 60 EQUITY SECURITIES OF LARGE-SIZED COMPANIES
- ---------
ADVISERS
- ---------
[GRAPHIC]
WHAT IS YOUR INVESTMENT OUTLOOK FOR THE REMAINDER OF 1999 AND INTO THE FIRST
QUARTER OF 2000?
On balance, we remain positive about the outlook for equity investing. We
continue to believe the U.S. economy exhibits important strengths which can
foretell strong financial markets over the long run. While U.S. economic growth
has been strong, we do not think inflation is currently a threat thanks to
ongoing productivity enhancements fostered by rapid, innovative technological
developments. We further believe that a continued low inflation environment
should create the potential--over time--for lower interest rates. The U.S.
consumer is strong; the employment rate remains high; and the amount of federal
budget surpluses is projected to grow. Our view is that the dollar remains
strong and any perceived weakness compared to the yen is a case of the yen
returning to historical levels.
We do expect that volatility, in both stock and bond markets, will continue.
Therefore, we believe the importance of good stock selection--rather than
general sector or industry allocation--will increase even further as we move
into the new millennium. We believe the Portfolio's positions in technology are
prudently diversified across a variety of high quality companies, including
telecommunications equipment, data storage, hardware and software. Other areas
we find attractive looking ahead include the financial services and retail
sectors.
As always, we are completely focused on conducting hands-on, intensive analysis
of companies in our investment universe. We are committed to seeking long-term
growth of capital and current income, i.e. total return potential, to help
investors meet both their growth and income investment needs no matter what the
market environment.
*Past performance is no guarantee of future results. Portfolio returns do not
reflect the impact of sales charges. Morningstar proprietary ratings reflect
historical risk-adjusted performance as of October 31, 1999. They are subject to
change every month. The Lipper category average is an equally weighted
performance index, adjusted for capital gains distributions and income dividends
of the largest qualifying funds in this investment objective. The S&P 500 Index
is the Standard & Poor's 500 Composite Stock Price Index, a widely-recognized,
unmanaged index of common stock prices. Investors cannot actually make
investments in these indices.
17
<PAGE>
1999 ANNUAL REPORT
INTERNATIONAL EQUITY PORTFOLIO STYLE SELECT SERIES*
[GRAPHIC]
- ----------
FUND FOCUS
- ----------
INTERNATIONAL EQUITY PORTFOLIO LOOKS FOR GLOBAL ECONOMIC GROWTH TO SPUR WORLD
MARKETS HIGHER IN YEAR 2000
Q&A
MICHAEL LEVY AND ROBERT L. REINER, PORTFOLIO MANAGERS
BANKERS TRUST
HOW DID YOU MANAGE YOUR PORTION OF THE PORTFOLIO OVER THE PAST FISCAL YEAR?
We use the term "growth at a reasonable price" to describe our philosophy, which
combines the best of the fundamental value approach with a growth/momentum
investment overlay. In other words, we seek to capture attractive stocks poised
to rise. We also combine bottom-up and top-down strategies, putting
approximately two-thirds emphasis on finding the best stocks in the world and
one-third on finding the most undervalued markets. We emphasize tax efficiency,
although not at the expense of performance. And we use an active currency
approach to add value to the portfolio. Equally important, we consider our
strict sell discipline as crucial to our investment approach as we do our
stock-picking skills.
This past fiscal year was a challenging one for international equity managers,
and indeed, our portion of the Portfolio underperformed its benchmark and
category average. Still, with a long-term perspective, we have maintained our
strong three and five year performance.
For most of the annual period ended October 31, 1999, we maintained our
preference toward continental European equities, but we nevertheless reduced
our exposure there to gain access to exciting opportunities in other regions
around the world. Because many fund managers took profits out of Europe to
diversify elsewhere during the first calendar quarter of 1999, the resulting
move into Japan and emerging markets led to weakness in European stocks as
well as in the euro. Fighting in Kosovo further led to outflows from the
region.
In Japan, unprecedented foreign buying, fueled by incipient announcements of
corporate restructuring and economic recovery, helped to push the yen and the
Japanese equity market higher. Despite our doubts both that economic recovery
there is sustainable in the near term and that the bad debt crisis in the
financial sector has been resolved, our purchase of dominant technology and
telecommunications stocks led to a higher weighting there. Our Japanese stocks
dramatically outperformed the market.
In Asia ex-Japan, we were generally neutral, carrying out
several stock specific strategies for the Portfolio. Recovery in these markets
was exceptional, following the massive declines experienced during last year's
regional economic and financial crisis. However, steep pullbacks were
experienced nearly across the boards in the third calendar quarter of 1999 on
the back of higher commodity prices, bankruptcies in South Korea, and unrest in
Timor. There was also rising risk aversion here due to concerns over US interest
rates, Year 2000 preparedness, and equity supply.
Latin American markets fared well, but Brazil's currency devaluation in
January, Ecuador's eurobond default in the last fiscal quarter, and constant
US interest rate concerns did overhang the region. Emerging Europe rebounded
soundly off lows. The largest gains for this region were in Russia, despite
being among Emerging Europe's most illiquid markets. Greece posted impressive
retail-driven performance despite repeated "irrational exuberance" speeches
by its government officials. Elsewhere, Canada provided fertile offerings in
communications and resources stocks.
WOULD YOU GIVE US MORE SPECIFIC EXAMPLES?
Many stocks in our portion of the Portfolio were beneficiaries of the quickening
pace of domestic and global merger and acquisition activity. Banks,
telecommunications companies, and cyclical industrial firms in particular have
been seeking economies of scale, operating synergies and cross border exposure.
One example is the recent acquisition of Paribas by money center bank BNP in
France. As part of the ongoing restructuring of European businesses, spin-offs
of non-core assets and strategic alliances also provided rare opportunities.
We were impressed by the tremendous growth opportunities offered by foreign
technology and telecommunications stocks. For example, we added Nokia and
Ericsson to the Portfolio and added exposure to Sonera. In Asia, we held
positions in Korea's leading mobile phone company, SK Telecom, and Korea
Telecom, Japan's NTT and NTT Docomo, and Hong Kong's China Telecom.
Acceleration of global economic growth led to a sharp increase in our exposure
to materials. In Europe, we purchased shares in diversified chemical companies
Bayer and DSM, specialty chemical maker Clariant, steel producer Usinor,
engineered
18
<PAGE>
Style SELECT Series 1999 Annual Report [LOGO]SUNAMERICA
MUTUAL FUNDS
- --------------
FUND OBJECTIVE
- --------------
SEEKS LONG-TERM GROWTH OF CAPITAL BY INVESTING GENERALLY IN EQUITY SECURITIES
OF ISSUERS IN COUNTRIES OTHER THAN THE UNITED STATES
- ---------
ADVISERS
- ---------
[GRAPHIC]
materials manufacturer St. Gobain, and Nordic pulp & paper giant Stora Enso. We
added Canadian nickel leader Inco, Australian mining company WMC, and Korean
iron and steel maker Pohang. Within the energy sector, the Portfolio benefited
from both OPEC commitments to limit oil production and the acceleration of
industrial consolidation by participating in the acquisition of French oil giant
Elf Aquitaine by rival Total Fina.
In Japan, we purchased strong companies that are competitive on a global basis
or are well-positioned to succeed in a weak economy at home. Following the
purchase of electronic components leader Murata and computer giant Fujitsu in
the first half, we added Kyoto-based semiconductor maker Rohm. We bought
Internet bellwether Softbank. In Asia ex-Japan, we focused our holdings in
technology, telecommunications and multimedia. Among the non-Asian emerging
markets, we established positions in Turkey's financial services company Akbank
and conglomerate Sabanci. We saw opportunity in South Africa given firming
commodity prices and declining local interest rates. In Greece, we focused on
telecommunications holdings.
WHAT IS YOUR INVESTMENT OUTLOOK FOR THE REMAINDER OF 1999 AND INTO THE FIRST
QUARTER OF 2000?
We believe foreign markets will continue to be sensitive to US interest rates,
inflation and unemployment as well as demand, especially in technology. However,
we believe that global economic growth with inflation under control will spur
the world's equity markets higher in the coming year, especially in Europe.
Europe appears to offer an edge in that GDP growth is accelerating, monetary
conditions are favorable, and valuations remain relatively attractive. The
fruits of economic and monetary union are becoming increasingly evident.
We believe that although the Japanese economy shows some signs of bottoming, it
remains quite fragile and prone to recessionary pressures. The strong yen,
dependence on deficit spending, and consumer nervousness contribute to our
cautionary posture. Still, there are very good stocks to be found in Japan,
especially global companies with competitive cost bases, domestic companies
shielded from a weak economy, and technology-related shares benefiting from
spending shifts toward information technology, personal computing, and the
Internet.
Emerging markets stand to continue to benefit from the cyclical global recovery
underway. We believe that interest rates in Asia ex-Japan have bottomed, and so
equity returns in that region going forward will be more muted but still
healthy, driven by strong earnings performance and restructuring. We are
particularly optimistic on Taiwan, India, and, once the Daewoo crisis is sorted
out, South Korea. In our view, Latin America has greater return potential next
year if risk premiums and emerging market bond spreads can narrow. We expect
this is likely to happen once the US bond market stabilizes. Brazil appears
inexpensive, and emerging Europe should benefit from European Union recovery.
19
<PAGE>
STYLE SELECT SERIES LOGO
STATEMENT OF ASSETS AND LIABILITIES -- OCTOBER 31, 1999
<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*............... $94,836,464 $ 89,890,404 $233,000,099 $78,053,120
Repurchase agreements (cost equals market)..... 2,371,000 29,000,000 18,486,000 4,527,000
Short-term securities*......................... 800,000 4,229,021 15,200,000 5,100,000
Cash........................................... 70,930 3,049 59,447 65,380
Receivable for investments sold................ 994,993 908,839 3,549,354 978,898
Receivable for shares of beneficial interest
sold.......................................... 458,612 393,910 705,883 1,111,326
Interest and dividends receivable.............. 37,558 30,148 60,595 27,818
Receivable from investment adviser............. 19,244 39,850 59,885 51,968
Deferred organizational expenses............... 6,433 18,362 18,362 6,433
Prepaid expenses and other assets.............. 92 339 505 105
----------- ------------ ------------ -----------
Total assets................................. 99,595,326 124,513,922 271,140,130 89,922,048
----------- ------------ ------------ -----------
LIABILITIES:
Payable for investments purchased.............. 639,350 1,149,463 3,230,755 5,096,680
Other accrued expenses......................... 322,109 233,443 288,840 92,386
Payable for shares of beneficial interest
redeemed...................................... 92,469 87,435 240,737 84,704
Investment advisory and management fees
payable....................................... 77,768 100,429 212,364 63,232
Distribution and service maintenance fees
payable....................................... 63,483 79,719 159,938 48,968
Written call options at value (proceeds $37,703
on Aggressive Growth Portfolio)............... -- -- 75,763 --
----------- ------------ ------------ -----------
Total liabilities............................ 1,195,179 1,650,489 4,208,397 5,385,970
----------- ------------ ------------ -----------
Net assets................................. $98,400,147 $122,863,433 $266,931,733 $84,536,078
=========== ============ ============ ===========
NET ASSETS WERE COMPOSED OF:
Common Stock, $.0001 par value (1 billion
shares authorized)............................ $ 545 $ 685 $ 1,035 $ 498
Paid-in capital................................ 74,652,122 89,674,043 163,289,709 69,853,831
----------- ------------ ------------ -----------
74,652,667 89,674,728 163,290,744 69,854,329
Accumulated undistributed net investment
loss.......................................... (2,363) (5,903) (19,200) (1,762)
Accumulated undistributed net realized gain on
investments, foreign currency, and other
assets and liabilities........................ 2,842,958 14,201,383 32,568,615 5,315,695
Net unrealized appreciation of investments..... 20,906,885 18,993,225 71,129,634 9,367,804
Net unrealized appreciation of foreign
currency, and other assets and liabilities.... -- -- -- 12
Net unrealized depreciation on written options
contracts..................................... -- -- (38,060) --
----------- ------------ ------------ -----------
Net assets................................. $98,400,147 $122,863,433 $266,931,733 $84,536,078
=========== ============ ============ ===========
*Identified cost
Investment securities.......................... $73,929,579 $ 70,897,179 $161,870,465 $68,685,316
=========== ============ ============ ===========
Short-term securities.......................... $ 800,000 $ 4,229,021 $ 15,200,000 $ 5,100,000
=========== ============ ============ ===========
</TABLE>
See Notes to Financial Statements
20
<PAGE>
STYLE SELECT SERIES LOGO
STATEMENT OF ASSETS AND LIABILITIES -- OCTOBER 31, 1999 -- (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...................................... $28,050,043 $38,990,712 $100,467,975 $29,280,845
Shares outstanding.............................. 1,538,779 2,145,717 3,845,641 1,710,287
Net asset value and redemption price per
share.......................................... $ 18.23 $ 18.17 $ 26.13 $ 17.12
Maximum sales charge (5.75% of offering
price)......................................... 1.11 1.11 1.59 1.04
----------- ----------- ------------ -----------
Maximum offering price to public................ $ 19.34 $ 19.28 $ 27.72 $ 18.16
=========== =========== ============ ===========
CLASS B:
Net assets...................................... $51,691,023 $70,476,599 $140,508,402 $39,635,931
Shares outstanding.............................. 2,875,474 3,956,453 5,486,552 2,345,144
Net asset value, offering and redemption price
per share (excluding any applicable contingent
deferred sales charge)......................... $ 17.98 $ 17.81 $ 25.61 $ 16.90
=========== =========== ============ ===========
CLASS II:
Net assets...................................... $18,659,081 $13,396,122 $ 25,330,968 $15,619,302
Shares outstanding.............................. 1,038,447 751,217 989,494 925,037
Net asset value and redemption price per share
(excluding any applicable contingent deferred
sales charge).................................. $ 17.97 $ 17.83 $ 25.60 $ 16.89
Maximum sales charge (1.00% of offering
price)......................................... 0.18 0.18 0.26 0.17
----------- ----------- ------------ -----------
Maximum offering price to public................ $ 18.15 $ 18.01 $ 25.86 $ 17.06
=========== =========== ============ ===========
CLASS Z:
Net assets...................................... -- -- $ 624,388 --
Shares outstanding.............................. -- -- 23,670 --
Net asset value, offering and redemption price
per share...................................... -- -- $ 26.38 --
=========== =========== ============ ===========
</TABLE>
See Notes to Financial Statements
21
<PAGE>
STYLE SELECT SERIES LOGO
STATEMENT OF ASSETS AND LIABILITIES -- OCTOBER 31, 1999 -- (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*......... $55,550,300 $159,632,531 $41,494,091 $84,004,588 $624,283,518
Repurchase agreements (cost equals
market)................................ 1,683,000 3,716,000 3,497,000 1,068,000 45,738,000
Short-term securities*................... 575,000 1,862,000 -- 923,000 24,700,000
Cash..................................... 3,670 2,173 1,635 1,510 85,124
Foreign cash............................. -- -- -- 1,225,167 --
Receivable for investments sold.......... 818,628 3,666,721 448,239 459,256 30,533,232
Receivable for shares of beneficial
interest sold.......................... 288,984 99,237 467,102 1,446,162 11,936,300
Interest and dividends receivable........ 79,324 219,681 72,333 206,687 276,257
Receivable from investment adviser....... 10,292 4,393 10,481 30,594 192,337
Deferred organizational expenses......... 6,433 18,362 6,433 18,362 12,086
Prepaid expenses and other assets........ 96 706 1,505 1,223 179
Foreign currency contracts............... -- -- -- 742,319 --
Unrealized appreciation of forward
foreign currency contracts............. -- -- -- 34,769 --
----------- ------------ ----------- ----------- ------------
Total assets........................... 59,015,727 169,221,804 45,998,819 90,161,637 737,757,033
----------- ------------ ----------- ----------- ------------
LIABILITIES:
Payable for investments purchased........ 432,287 1,748,948 325,061 451,798 30,099,113
Other accrued expenses................... 112,302 234,445 149,245 298,066 255,139
Payable for shares of beneficial interest
redeemed............................... 61,283 251,281 73,711 114,953 1,158,510
Investment advisory and management fees
payable................................ 47,656 137,956 38,188 79,564 463,256
Distribution and service maintenance fees
payable................................ 39,048 106,448 29,839 56,300 457,840
Foreign currency contracts............... -- -- -- 742,285 --
Unrealized depreciation of forward
foreign currency contracts............. -- -- -- 13,147 --
----------- ------------ ----------- ----------- ------------
Total liabilities...................... 692,576 2,479,078 616,044 1,756,113 32,433,858
----------- ------------ ----------- ----------- ------------
Net assets........................... $58,323,151 $166,742,726 $45,382,775 $88,405,524 $705,323,175
=========== ============ =========== =========== ============
NET ASSETS WERE COMPOSED OF:
Common Stock, $.0001 par value (1 billion
shares authorized)..................... $ 419 $ 1,003 $ 391 $ 628 $ 3,694
Paid-in capital.......................... 54,509,055 147,176,066 50,939,259 78,632,363 584,961,592
----------- ------------ ----------- ----------- ------------
54,509,474 147,177,069 50,939,650 78,632,991 584,965,286
Accumulated undistributed net investment
income (loss).......................... (2,234) 32,289 (2,195) (60,065) (3,794)
Accumulated undistributed net realized
gain (loss) on investments, foreign
currency, and other assets and
liabilities............................ 1,011,641 6,623,103 (2,722,112) (1,954,597) 2,621,119
Net unrealized appreciation
(depreciation) of investments.......... 2,804,270 12,910,265 (2,832,595) 11,779,555 117,740,564
Net unrealized appreciation of foreign
currency, and other assets and
liabilities............................ -- -- 27 7,640 --
----------- ------------ ----------- ----------- ------------
Net assets........................... $58,323,151 $166,742,726 $45,382,775 $88,405,524 $705,323,175
=========== ============ =========== =========== ============
*Identified cost
Investment securities.................... $52,746,030 $146,722,266 $44,326,686 $72,225,033 $506,542,954
=========== ============ =========== =========== ============
Short-term securities.................... $ 575,000 $ 1,862,000 -- $ 923,000 $ 24,700,000
=========== ============ =========== =========== ============
</TABLE>
See Notes to Financial Statements
22
<PAGE>
STYLE SELECT SERIES LOGO
STATEMENT OF ASSETS AND LIABILITIES -- OCTOBER 31, 1998 -- (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.............................. $15,996,203 $58,581,052 $15,473,271 $29,323,709 $169,733,685
Shares outstanding...................... 1,138,533 3,482,688 1,322,315 2,055,964 8,825,047
Net asset value and redemption price per
share................................. $ 14.05 $ 16.82 $ 11.70 $ 14.26 $ 19.23
Maximum sales charge (5.75% of offering
price)................................ 0.86 1.03 0.71 0.87 1.17
----------- ----------- ----------- ----------- ------------
Maximum offering price to public........ $ 14.91 $ 17.85 $ 12.41 $ 15.13 $ 20.40
=========== =========== =========== =========== ============
CLASS B:
Net assets.............................. $31,422,544 $95,111,535 $22,600,723 $47,341,531 $271,531,337
Shares outstanding...................... 2,265,899 5,760,311 1,957,731 3,385,281 14,251,366
Net asset value, offering and redemption
price per share (excluding any
applicable contingent deferred sales
charge)............................... $ 13.87 $ 16.51 $ 11.54 $ 13.98 $ 19.05
=========== =========== =========== =========== ============
CLASS II:
Net assets.............................. $10,663,661 $12,976,420 $ 7,230,375 $11,708,616 $261,536,364
Shares outstanding...................... 768,841 786,093 626,090 837,167 13,727,738
Net asset value and redemption price per
share (excluding any applicable
contingent deferred sales charge)..... $ 13.87 $ 16.51 $ 11.55 $ 13.99 $ 19.05
Maximum sales charge (1.00% of offering
price)................................ 0.14 0.17 0.12 0.14 0.19
----------- ----------- ----------- ----------- ------------
Maximum offering price to public........ $ 14.01 $ 16.68 $ 11.67 $ 14.13 $ 19.24
=========== =========== =========== =========== ============
CLASS Z:
Net assets.............................. $ 240,743 $ 73,719 $ 78,406 $ 31,668 $ 2,521,789
Shares outstanding...................... 16,973 4,345 6,649 2,198 130,882
Net asset value, offering and redemption
price per share....................... $ 14.18 $ 16.97 $ 11.79 $ 14.41 $ 19.27
=========== =========== =========== =========== ============
</TABLE>
See Notes to Financial Statements
23
<PAGE>
STYLE SELECT SERIES LOGO
STATEMENT OF OPERATIONS -- FOR THE YEAR ENDED OCTOBER 31, 1999
<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....................................... $ 172,807 $ 257,849 $ 1,100,783 $ 236,741
Dividends*..................................... 453,124 365,833 527,747 347,980
----------- ----------- ----------- -----------
Total investment income...................... 625,931 623,682 1,628,530 584,721
----------- ----------- ----------- -----------
Expenses:
Investment advisory and management fees........ 785,225 1,172,218 2,151,676 450,966
Distribution and service maintenance fees
Class A...................................... 77,434 132,141 289,200 52,419
Class B...................................... 421,059 680,834 1,142,751 237,408
Class II..................................... 142,925 113,839 177,291 63,787
Transfer agent fees and expenses
Class A...................................... 67,950 98,170 244,630 35,602
Class B...................................... 123,473 170,436 301,577 64,353
Class II..................................... 42,205 32,093 49,142 19,247
Class Z...................................... -- -- 14,965 --
Registration fees
Class A...................................... 36,165 13,686 11,777 8,072
Class B...................................... 68,979 27,949 15,596 24,479
Class II..................................... 39,362 18,340 10,332 13,339
Class Z...................................... -- -- 10,417 --
Custodian fees and expenses.................... 137,092 203,828 328,501 83,331
Audit and tax consulting fees.................. 30,390 16,078 16,403 15,345
Printing expense............................... 22,650 15,530 3,350 4,650
Legal fees and expenses........................ 15,100 13,815 18,125 9,300
Amoritzation of organizational expenses........ 2,190 8,979 11,836 2,190
Trustees' fees and expenses.................... 5,395 8,630 8,445 2,695
Insurance expense.............................. 51 256 383 --
Miscellaneous expenses......................... 2,009 924 1,427 5,330
----------- ----------- ----------- -----------
Total expenses............................... 2,019,654 2,727,746 4,807,824 1,092,513
Less: expenses waived/reimbursed by
investment adviser......................... (253,503) (151,660) (178,404) (198,343)
Less: custody credits earned on cash
balances................................... (2,714) (1,105) (6,527) (3,279)
----------- ----------- ----------- -----------
Net expenses................................. 1,763,437 2,574,981 4,622,893 890,891
----------- ----------- ----------- -----------
Net investment loss.............................. (1,137,506) (1,951,299) (2,994,363) (306,170)
----------- ----------- ----------- -----------
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS:
Net realized gain on investments................. 4,070,851 16,802,129 42,805,808 5,923,715
Net realized loss on options..................... -- -- (1,510,002) (20,023)
Net realized gain (loss) on foreign currency and
other assets and liabilities................... 2 (498) -- (172)
Net change in unrealized
appreciation/depreciation of investments....... 16,386,674 13,995,487 48,575,991 8,377,336
Net change in unrealized
appreciation/depreciation on written options
contracts...................................... -- -- (2,272) --
Net change in unrealized
appreciation/depreciation of foreign currency
and other assets and liabilities............... -- -- -- 12
----------- ----------- ----------- -----------
Net realized and unrealized gain on investments,
foreign currency and other assets and
liabilities.................................... 20,457,527 30,797,118 89,869,525 14,280,868
----------- ----------- ----------- -----------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS:.................................... $19,320,021 $28,845,819 $86,875,162 $13,974,698
=========== =========== =========== ===========
*Net of foreign withholding taxes on dividends
of............................................. $ 4,006 $ 1,117 $ 5,147 $ 2,711
=========== =========== =========== ===========
</TABLE>
See Notes to Financial Statements
24
<PAGE>
STYLE SELECT SERIES LOGO
STATEMENT OF OPERATIONS -- FOR THE YEAR ENDED OCTOBER 31, 1999 -- (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.................................. $ 103,240 $ 602,358 $ 164,601 $ 146,473 $ 1,279,634
Dividends*................................ 1,067,344 3,490,112 858,131 1,374,589 1,460,076
---------- ----------- ----------- ----------- ------------
Total investment income................. 1,170,584 4,092,470 1,022,732 1,521,062 2,739,710
---------- ----------- ----------- ----------- ------------
Expenses:
Investment advisory and management fees... 555,008 1,856,050 471,172 945,209 3,073,664
Distribution and service maintenance fees
Class A................................. 51,738 229,141 54,357 100,842 334,465
Class B................................. 319,565 1,057,857 246,745 474,505 1,443,431
Class II................................ 85,348 142,408 67,918 95,731 1,214,056
Transfer agent fees and expenses
Class A................................. 40,342 173,453 47,004 88,606 235,765
Class B................................. 86,322 224,588 76,111 137,750 344,007
Class II................................ 25,340 34,788 21,661 31,081 279,435
Class Z................................. 17,693 17,260 15,567 16,335 5,265
Registration fees
Class A................................. 11,718 -- 11,551 12,529 43,345
Class B................................. 22,831 -- 19,841 24,168 50,829
Class II................................ 9,123 13,394 9,058 9,892 63,172
Class Z................................. 9,026 8,261 9,352 7,815 1,170
Custodian fees and expenses............... 95,782 277,820 84,975 324,442 337,296
Audit and tax consulting fees............. 14,865 24,395 16,225 46,080 18,984
Legal fees and expenses................... 9,300 13,940 15,100 8,900 32,432
Printing expense.......................... 6,180 30,375 23,460 18,995 43,412
Amortization of organizational expenses... 5,047 11,836 5,047 11,836 58,593
Trustees' fees and expenses............... 4,212 15,681 4,097 2,640 18,907
Miscellaneous expenses.................... 3,702 1,903 15,307 811 2,394
Insurance expense......................... 55 540 58 106 99
---------- ----------- ----------- ----------- ------------
Total expenses.......................... 1,373,197 4,133,690 1,214,606 2,358,273 7,600,721
Less: expenses waived/reimbursed by
investment adviser.................... (123,376) (88,974) (171,076) (243,582) (628,081)
Less: custody credits earned on cash
balances.............................. (468) (1,355) (999) (317) (3,510)
---------- ----------- ----------- ----------- ------------
Net expenses............................ 1,249,353 4,043,361 1,042,531 2,114,374 6,969,130
---------- ----------- ----------- ----------- ------------
Net investment income (loss)................ (78,769) 49,109 (19,799) (593,312) (4,229,420)
---------- ----------- ----------- ----------- ------------
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS:
Net realized gain (loss) on investments**... 1,241,999 13,645,902 (1,426,602) 4,703,415 14,151,972
Net realized loss on options................ -- -- (77,740) (117,396)
Net realized gain (loss) on future
contracts................................. -- 7,640 -- (395,185) --
Net realized gain (loss) on foreign currency
and other assets and liabilities.......... 5 -- -- (794,038) --
Net change in unrealized appreciation/
depreciation of investments............... 3,995,010 7,458,536 4,526,089 10,213,074 111,104,979
Net change in unrealized appreciation/
depreciation on future contracts.......... -- -- -- 157,105 --
Net change in unrealized appreciation/
depreciation of foreign currency and other
assets and liabilities.................... -- 70 27 369,570 --
---------- ----------- ----------- ----------- ------------
Net realized and unrealized gain on
investments, foreign currency and other
assets and liabilities.................... 5,237,014 21,112,148 3,099,514 14,176,201 125,139,555
---------- ----------- ----------- ----------- ------------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS:............................... $5,158,245 $21,161,257 $ 3,079,715 $13,582,889 $120,910,135
========== =========== =========== =========== ============
*Net of foreign withholding taxes on
dividends of.............................. $ 9,640 $ 14,334 $ 570 $ 172,073 $ 6,775
========== =========== =========== =========== ============
**Net of foreign withholding taxes on
capital gains of.......................... $ -- $ -- $ -- $ 15,739 $ --
========== =========== =========== =========== ============
</TABLE>
See Notes to Financial Statements
25
<PAGE>
STYLE SELECT SERIES LOGO
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
LARGE-CAP GROWTH PORTFOLIO MID-CAP GROWTH PORTFOLIO
--------------------------- -----------------------------
<S> <C> <C> <C> <C>
FOR THE FOR THE FOR THE FOR THE
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
OCTOBER 31, OCTOBER 31, OCTOBER 31, OCTOBER 31,
1999 1998 1999 1998
<CAPTION>
-----------------------------------------------------------
<S> <C> <C> <C> <C>
INCREASE IN NET ASSETS:
OPERATIONS:
Net investment loss........................... $(1,137,506) $ (409,677) $ (1,951,299) $ (1,373,755)
Net realized gain (loss) on investments....... 4,070,851 (1,043,328) 16,802,129 5,170,910
Net realized gain (loss) on foreign currency
and other assets and liabilities............ 2 (2) (498) 2
Net change in unrealized appreciation/
depreciation of investments................. 16,386,674 5,789,617 13,995,487 (1,798,554)
----------- ----------- ------------ ------------
Net increase in net assets resulting from
operations.................................. 19,320,021 4,336,610 28,845,819 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)................................... -- -- (2,566,792) --
From net realized gains on investments
(Class II).................................. -- -- (382,661) --
----------- ----------- ------------ ------------
Total dividends and distributions to
shareholders................................... -- (10,012) (4,324,967) --
----------- ----------- ------------ ------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM CAPITAL SHARE TRANSACTIONS (NOTE 9)....... 31,248,547 18,956,422 (1,809,150) 39,324,930
----------- ----------- ------------ ------------
TOTAL INCREASE IN NET ASSETS.................... 50,568,568 23,283,020 22,711,702 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 October 31, 1999 and
October 31, 1998 of ($2,363), ($807),
($5,903), and ($2,748) respectively].......... $98,400,147 $47,831,579 $122,863,433 $100,151,731
=========== =========== ============ ============
</TABLE>
See Notes to Financial Statements
26
<PAGE>
STYLE SELECT SERIES LOGO
STATEMENT OF CHANGES IN NET ASSETS -- (CONTINUED)
<TABLE>
<CAPTION>
FOCUSED GROWTH AND INCOME
AGGRESSIVE GROWTH PORTFOLIO PORTFOLIO
----------------------------- -------------------------
<S> <C> <C> <C> <C>
FOR THE FOR THE FOR THE FOR THE
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
OCTOBER 31, OCTOBER 31, OCTOBER 31, OCTOBER 31,
1999 1998 1999 1998
<CAPTION>
---------------------------------------------------------
<S> <C> <C> <C> <C>
INCREASE IN NET ASSETS:
Operations:
Net investment loss........................... $ (2,994,363) $ (1,671,812) $ (306,170) $ (27,267)
Net realized gain (loss) on investments....... 42,805,808 (5,797,473) 5,923,715 158,012
Net realized gain (loss) on options........... (1,510,002) 143,423 (20,023) --
Net realized gain (loss) on foreign currency
and other assets and liabilities............ -- -- (172) 8
Net change in unrealized appreciation/
depreciation of investments................. 48,575,991 8,948,305 8,377,336 2,032,468
Net change in unrealized appreciation/
depreciation of foreign currency and other
assets and liabilities...................... -- -- 12 --
Net change in unrealized appreciation/
depreciation on written option contracts.... (2,272) (35,788) -- --
------------ ------------ ----------- -----------
Net increase in net assets resulting from
operations.................................. 86,875,162 1,586,655 13,974,698 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)............ 38,219,588 47,881,964 42,515,184 1,630,996
------------ ------------ ----------- -----------
TOTAL INCREASE IN NET ASSETS.................... 125,094,750 48,766,622 56,089,872 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 October 31, 1999 and
October 31, 1998 of ($19,200), ($3,914),
($1,762), and ($840) respectively]............ $266,931,733 $141,836,983 $84,536,078 $28,446,206
============ ============ =========== ===========
</TABLE>
See Notes to Financial Statements
27
<PAGE>
STYLE SELECT SERIES LOGO
STATEMENT OF CHANGES IN NET ASSETS -- (CONTINUED)
<TABLE>
<CAPTION>
LARGE-CAP VALUE PORTFOLIO VALUE PORTFOLIO
------------------------- -----------------------------
<S> <C> <C> <C> <C>
FOR THE FOR THE FOR THE FOR THE
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
OCTOBER 31, OCTOBER 31, OCTOBER 31, OCTOBER 31,
1999 1998 1999 1998
<CAPTION>
---------------------------------------------------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income (loss).................. $ (78,769) $ (42,190) $ 49,109 $ (804,668)
Net realized gain (loss) on investments....... 1,241,999 151,733 13,645,902 (7,005,287)
Net realized gain on future contracts......... -- -- 7,640 --
Net realized gain (loss) on foreign currency
and other assets and liabilities............ 5 5 -- (473)
Net change in unrealized appreciation/
depreciation of investments................. 3,995,010 145,056 7,458,536 (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................... 5,158,245 254,604 21,161,257 (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)....... 6,363,980 22,129,144 (51,925,266) 80,750,098
----------- ----------- ------------ ------------
TOTAL INCREASE (DECREASE) IN NET ASSETS......... 11,222,244 22,363,557 (30,764,009) 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 October 31, 1999
and October 31, 1998 of ($2,234), ($780),
$32,289, and ($5,561) respectively]........... $58,323,151 $47,100,907 $166,742,726 $197,506,735
=========== =========== ============ ============
</TABLE>
See Notes to Financial Statements
28
<PAGE>
STYLE SELECT SERIES LOGO
STATEMENT OF CHANGES IN NET ASSETS -- (CONTINUED)
<TABLE>
<CAPTION>
INTERNATIONAL EQUITY
SMALL-CAP VALUE PORTFOLIO PORTFOLIO FOCUS PORTFOLIO
------------------------- ------------------------- -----------------------------
<S> <C> <C> <C> <C> <C> <C>
FOR THE
PERIOD
FOR THE FOR THE FOR THE FOR THE FOR THE JUNE 8,
YEAR YEAR YEAR YEAR YEAR 1998*
ENDED ENDED ENDED ENDED ENDED THROUGH
OCTOBER 31, OCTOBER 31, OCTOBER 31, OCTOBER 31, OCTOBER 31, OCTOBER 31,
1999 1998 1999 1998 1999 1998
<CAPTION>
-------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment loss..................... $ (19,799) $ (47,296) $ (593,312) $ (387,307) $ (4,229,420) $ (199,494)
Net realized gain (loss) on
investments........................... (1,426,602) (1,440,075) 4,703,415 (5,240,326) 14,151,972 (8,194,979)
Net realized loss on options............ -- -- (77,740) (251,838) (117,396) --
Net realized loss on future contracts... -- -- (395,185) (27,788) -- --
Net realized gain (loss) on foreign
currency and other assets and
liabilities........................... -- -- (794,038) 459,966 -- --
Net change in unrealized appreciation/
depreciation of investments........... 4,526,089 (6,590,682) 10,213,074 4,506,398 111,104,979 6,635,585
Net change in unrealized appreciation/
depreciation on future contracts...... -- -- 157,105 (157,105) -- --
Net change in unrealized appreciation/
depreciation of foreign currency and
other assets and liabilities.......... 27 -- 369,570 (454,809) -- --
----------- ----------- ----------- ----------- ------------ ------------
Net increase (decrease) in net assets
resulting from operations............. 3,079,715 (8,078,053) 13,582,889 (1,552,809) 120,910,135 (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)................................. (4,812,242) 30,250,351 (9,204,051) 15,719,105 473,439,111 112,732,817
----------- ----------- ----------- ----------- ------------ ------------
TOTAL INCREASE (DECREASE) IN NET ASSETS... (1,732,527) 22,132,141 4,043,831 12,881,297 594,349,246 110,973,929
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 October 31,
1999 and October 31, 1998 of ($2,195),
($801), ($60,065), $265,285, ($3,794),
and $-- respectively]................... $45,382,775 $47,115,302 $88,405,524 $84,361,693 $705,323,175 $110,973,929
=========== =========== =========== =========== ============ ============
</TABLE>
- --------------------
* Commencement of Operations
See Notes to Financial Statements
29
<PAGE>
STYLE SELECT SERIES LOGO
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
NET DIVIDENDS
GAIN (LOSS) TOTAL FROM DISTRI-
NET ASSET NET ON INVEST- FROM NET BUTIONS
VALUE, INVEST- MENTS (BOTH INVEST- INVEST- FROM
PERIOD BEGINNING MENT REALIZED AND MENT MENT CAPITAL
ENDED OF PERIOD LOSS(1) UNREALIZED) OPERATIONS INCOME GAINS
- --------------------- --------- -------- ------------ ---------- --------- --------
<S> <C> <C> <C> <C> <C> <C>
LARGE-CAP GROWTH PORTFOLIO
CLASS A
10/15/97-10/31/97.... $12.50 $ -- $(0.71) $(0.71) $ -- $ --
10/31/98............. 11.79 (0.11) 2.05 1.94 (0.01) --
10/31/99............. 13.72 (0.16) 4.67 4.51 -- --
CLASS B
10/15/97-10/31/97.... 12.50 -- (0.71) (0.71) -- --
10/31/98............. 11.79 (0.21) 2.04 1.83 -- --
10/31/99............. 13.62 (0.27) 4.63 4.36 -- --
CLASS II
10/15/97-10/31/97.... 12.50 -- (0.72) (0.72) -- --
10/31/98............. 11.78 (0.20) 2.04 1.84 -- --
10/31/99............. 13.62 (0.27) 4.62 4.35 -- --
- -----------------------------------------------------------------------------------------------------------------------------------
MID-CAP GROWTH PORTFOLIO
CLASS A
11/19/96-10/31/97.... $12.50 $(0.16) $ 1.37 $ 1.21 $ -- $ --
10/31/98............. 13.71 (0.18) 1.07 0.89 -- --
10/31/99............. 14.60 (0.21) 4.42 4.21 -- (0.64)
CLASS B
11/19/96-10/31/97.... 12.50 (0.25) 1.38 1.13 -- --
10/31/98............. 13.63 (0.27) 1.06 0.79 -- --
10/31/99............. 14.42 (0.31) 4.34 4.03 -- (0.64)
CLASS II
3/06/97-10/31/97..... 11.93 (0.18) 1.89 1.71 -- --
10/31/98............. 13.64 (0.27) 1.06 0.79 -- --
10/31/99............. 14.43 (0.32) 4.36 4.04 -- (0.64)
- -----------------------------------------------------------------------------------------------------------------------------------
AGGRESSIVE GROWTH PORTFOLIO
CLASS A
11/19/96-10/31/97.... $12.50 $(0.11) $ 3.51 $ 3.40 $ -- $ --
10/31/98............. 15.90 (0.16) 0.87 0.71 -- (0.11)
10/31/99............. 16.50 (0.23) 9.86 9.63 -- --
CLASS B
11/19/96-10/31/97.... 12.50 (0.24) 3.54 3.30 -- --
10/31/98............. 15.80 (0.27) 0.87 0.60 -- (0.11)
10/31/99............. 16.29 (0.37) 9.69 9.32 -- --
CLASS II
3/06/97-10/31/97..... 13.38 (0.17) 2.59 2.42 -- --
10/31/98............. 15.80 (0.27) 0.88 0.61 -- (0.11)
10/31/99............. 16.30 (0.37) 9.67 9.30 -- --
CLASS Z
4/03/98-10/31/98..... 18.30 (0.03) (1.70) (1.73) -- --
10/31/99............. 16.57 (0.10) 9.91 9.81 -- --
<CAPTION>
NET RATIO OF
ASSET NET ASSETS RATIO OF INVESTMENT
TOTAL VALUE, END OF EXPENSES INCOME (LOSS)
PERIOD DISTRI- END OF TOTAL PERIOD TO AVERAGE TO AVERAGE NET
ENDED BUTIONS PERIOD RETURN(2) (000'S) NET ASSETS(4) ASSETS(4)
- --------------------- -------- -------- --------- ---------- ------------- --------------
<S> <C> <C> <C> <C> <C> <C>
LARGE-CAP GROWTH PORT
CLASS A
10/15/97-10/31/97.... $ -- $11.79 (5.68)% $ 23,609 1.78%(3) 0.34 %(3)
10/31/98............. (0.01) 13.72 16.42 14,390 1.78 (0.90)
10/31/99............. -- 18.23 32.87 28,050 1.78 (0.98)
CLASS B
10/15/97-10/31/97.... -- 11.79 (5.68) 773 2.43(3) (0.84)(3)
10/31/98............. -- 13.62 15.54 26,125 2.43 (1.54)
10/31/99............. -- 17.98 32.01 51,691 2.43 (1.63)
CLASS II
10/15/97-10/31/97.... -- 11.78 (5.76) 166 2.43(3) (0.42)(3)
10/31/98............. -- 13.62 15.64 7,317 2.43 (1.54)
10/31/99............. -- 17.97 31.94 18,659 2.43 (1.63)
- ---------------------
MID-CAP GROWTH PORTFO
CLASS A
11/19/96-10/31/97.... $ -- $13.71 9.68% $ 18,404 1.85%(3) (1.19)%(3)
10/31/98............. -- 14.60 6.49 32,115 1.78 (1.19)
10/31/99............. (0.64) 18.17 29.83 38,991 1.76 (1.22)
CLASS B
11/19/96-10/31/97.... -- 13.63 9.04 35,739 2.47(3) (1.92)(3)
10/31/98............. -- 14.42 5.80 58,555 2.43 (1.84)
10/31/99............. (0.64) 17.81 28.92 70,477 2.40 (1.87)
CLASS II
3/06/97-10/31/97..... -- 13.64 14.33 4,685 2.45(3) (1.97)(3)
10/31/98............. -- 14.43 5.79 9,482 2.43 (1.84)
10/31/99............. (0.64) 17.83 28.97 13,396 2.43 (1.89)
- ---------------------
AGGRESSIVE GROWTH POR
CLASS A
11/19/96-10/31/97.... $ -- $15.90 27.20 % $ 38,537 1.84%(3) (0.77)%(3)
10/31/98............. (0.11) 16.50 4.55 55,925 1.78 (0.95)
10/31/99............. -- 26.13 58.36 100,468 1.76 (1.00)
CLASS B
11/19/96-10/31/97.... -- 15.80 26.40 48,594 2.47(3) (1.58)(3)
10/31/98............. (0.11) 16.29 3.87 74,998 2.43 (1.60)
10/31/99............. -- 25.61 57.21 140,508 2.39 (1.64)
CLASS II
3/06/97-10/31/97..... -- 15.80 18.09 5,939 2.45(3) (1.68)(3)
10/31/98............. (0.11) 16.30 3.94 10,568 2.43 (1.60)
10/31/99............. -- 25.60 57.06 25,331 2.41 (1.65)
CLASS Z
4/03/98-10/31/98..... -- 16.57 (9.45) 346 1.21(3) (0.36)(3)
10/31/99............. -- 26.38 59.20 624 1.21 (0.45)
<CAPTION>
PERIOD PORTFOLIO
ENDED TURNOVER
- --------------------- ---------
<S> <C>
LARGE-CAP GROWTH PORT
10/15/97-10/31/97.... 1%
10/31/98............. 30
10/31/99............. 66
10/15/97-10/31/97.... 1
10/31/98............. 30
10/31/99............. 66
10/15/97-10/31/97.... 1
10/31/98............. 30
10/31/99............. 66
- ---------------------
MID-CAP GROWTH PORTFO
11/19/96-10/31/97.... 97%
10/31/98............. 135
10/31/99............. 112
11/19/96-10/31/97.... 97
10/31/98............. 135
10/31/99............. 112
3/06/97-10/31/97..... 97
10/31/98............. 135
10/31/99............. 112
- ---------------------
AGGRESSIVE GROWTH POR
11/19/96-10/31/97.... 150%
10/31/98............. 142
10/31/99............. 126
11/19/96-10/31/97.... 150
10/31/98............. 142
10/31/99............. 126
3/06/97-10/31/97..... 150
10/31/98............. 142
10/31/99............. 126
4/03/98-10/31/98..... 142
10/31/99............. 126
</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 10/31/99 10/31/97 10/31/98 10/31/99
-------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C>
Large-Cap Growth A......... 0.59% 0.72% 0.31% Mid-Cap Growth II.............. 0.96% 0.39% 0.24%
Large-Cap Growth B......... 1.53% 0.80% 0.30% Aggressive Growth A............ 0.26% 0.27% 0.08%
Large-Cap Growth II........ 3.29% 1.42% 0.41% Aggressive Growth B............ 0.32% 0.28% 0.06%
Mid-Cap Growth A........... 0.34% 0.30% 0.12% Aggressive Growth II........... 0.73% 0.44% 0.10%
Mid-Cap Growth B........... 0.42% 0.33% 0.12% Aggressive Growth Z............ -- 7.62% 4.71%
</TABLE>
(5) The expense ratio reflects the effect of a gross up of custody expense
credits
See Notes to Financial Statements
30
<PAGE>
STYLE SELECT SERIES LOGO
FINANCIAL HIGHLIGHTS -- (CONTINUED)
<TABLE>
<CAPTION>
NET DIVIDENDS
NET GAIN (LOSS) TOTAL FROM
NET ASSET INVEST- ON INVEST- FROM NET
VALUE, MENT MENTS (BOTH INVEST- INVEST-
PERIOD BEGINNING INCOME REALIZED AND MENT MENT
ENDED OF PERIOD (LOSS)(1) UNREALIZED) OPERATIONS INCOME
- --------------------- --------- --------- ------------ ---------- ---------
<S> <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) $ --
10/31/98............. 11.98 0.03 1.04 1.07 (0.01)
10/31/99............. 13.04 (0.04) 4.30 4.26 --
CLASS B
10/15/97-10/31/97.... 12.50 -- (0.54) (0.54) --
10/31/98............. 11.96 (0.07) 1.08 1.01 (0.01)
10/31/99............. 12.96 (0.13) 4.25 4.12 --
CLASS II
10/15/97-10/31/97.... 12.50 -- (0.53) (0.53) --
10/31/98............. 11.97 (0.07) 1.06 0.99 (0.01)
10/31/99............. 12.95 (0.14) 4.26 4.12 --
- -------------------------------------------------------------------------------------------------------------------
LARGE-CAP VALUE PORTFOLIO
CLASS A
10/15/97-10/31/97.... $12.50 $ 0.01 $(0.65) $(0.64) $ --
10/31/98............. 11.86 0.03 0.71 0.74 (0.01)
10/31/99............. 12.59 0.05 1.49 1.54 --
CLASS B
10/15/97-10/31/97.... 12.50 -- (0.64) (0.64) --
10/31/98............. 11.86 (0.04) 0.69 0.65 --
10/31/99............. 12.51 (0.05) 1.49 1.44 --
CLASS II
10/15/97-10/31/97.... 12.50 -- (0.64) (0.64) --
10/31/98............. 11.86 (0.04) 0.69 0.65 --
10/31/99............. 12.51 (0.04) 1.48 1.44 --
CLASS Z
4/16/98-10/31/98..... 13.86 0.06 (1.27) (1.21) (0.01)
10/31/99............. 12.64 0.13 1.49 1.62 --
<CAPTION>
DISTRI- NET
BUTIONS ASSET NET ASSETS RATIO OF
FROM TOTAL VALUE, END OF EXPENSES
PERIOD CAPITAL DISTRI- END OF TOTAL PERIOD TO AVERAGE
ENDED GAINS BUTIONS PERIOD RETURN(2) (000'S) NET ASSETS(4)
- --------------------- -------- -------- -------- --------- ---------- -------------
<S> <C> <C> <C> <C> <C> <C>
FOCUSED GROWTH AND IN
CLASS A
10/15/97-10/31/97.... $ -- $ -- $11.98 (4.16)% $ 23,593 1.78%(3)
10/31/98............. -- (0.01) 13.04 8.95 9,799 1.78
10/31/99............. (0.18) (0.18) 17.12 33.10 29,281 1.54
CLASS B
10/15/97-10/31/97.... -- -- 11.96 (4.32) 941 2.43(3)
10/31/98............. -- (0.01) 12.96 8.43 16,157 2.43
10/31/99............. (0.18) (0.18) 16.90 32.21 39,636 2.20
CLASS II
10/15/97-10/31/97.... -- -- 11.97 (4.24) 143 2.43(3)
10/31/98............. -- (0.01) 12.95 8.26 2,490 2.43
10/31/99............. (0.18) (0.18) 16.89 32.24 15,619 2.16
- ---------------------
LARGE-CAP VALUE PORTF
CLASS A
10/15/97-10/31/97.... $ -- $ -- 11.86 (5.12)% $ 23,240 1.78%(3)
10/31/98............. -- (0.01) 12.59 6.22 12,921 1.78
10/31/99............. (0.08) (0.08) 14.05 12.28 15,996 1.78
CLASS B
10/15/97-10/31/97.... -- -- 11.86 (5.12) 1,325 2.43(3)
10/31/98............. -- -- 12.51 5.52 28,149 2.43
10/31/99............. (0.08) (0.08) 13.87 11.55 31,422 2.43
CLASS II
10/15/97-10/31/97.... -- -- 11.86 (5.12) 172 2.43(3)
10/31/98............. -- -- 12.51 5.52 5,823 2.43
10/31/99............. (0.08) (0.08) 13.87 11.55 10,664 2.43
CLASS Z
4/16/98-10/31/98..... -- (0.01) 12.64 (8.72) 207 1.21(3)
10/31/99............. (0.08) (0.08) 14.18 12.87 241 1.21
<CAPTION>
RATIO OF
INVESTMENT
INCOME (LOSS)
PERIOD TO AVERAGE NET PORTFOLIO
ENDED ASSETS(4) TURNOVER
- --------------------- -------------- ---------
<S> <C> <C>
FOCUSED GROWTH AND IN
10/15/97-10/31/97.... 1.35 %(3) 2%
10/31/98............. 0.22 98
10/31/99............. (0.26) 165
10/15/97-10/31/97.... 0.29(3) 2
10/31/98............. (0.52) 98
10/31/99............. (0.87) 165
10/15/97-10/31/97.... 0.54(3) 2
10/31/98............. (0.53) 98
10/31/99............. (0.97) 165
- ---------------------
LARGE-CAP VALUE PORTF
10/15/97-10/31/97.... 1.07 %(3) --%
10/31/98............. 0.22 37
10/31/99............. 0.34 42
10/15/97-10/31/97.... 0.22(3) --
10/31/98............. (0.34) 37
10/31/99............. (0.33) 42
10/15/97-10/31/97.... 0.53(3) --
10/31/98............. (0.31) 37
10/31/99............. (0.28) 42
4/16/98-10/31/98..... 0.97(3) 37
10/31/99............. 0.89 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 10/31/99 10/31/97 10/31/98 10/31/99
-------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C>
Focused Growth and Income 0.58% 0.62% 0.37% Large-Cap Value B.............. 1.16% 0.61% 0.16%
A........................
Focused Growth and Income 1.26% 0.67% 0.44% Large-Cap Value II............. 3.22% 1.14% 0.22%
B........................
Focused Growth and Income 3.12% 2.11% 0.60% Large-Cap Value Z.............. -- 11.77% 11.86%
II.......................
Large-Cap Value A.......... 0.58% 0.67% 0.17%
</TABLE>
(5) The expense ratio reflects the effect of a gross up of custody expense
credits
See Notes to Financial Statements
31
<PAGE>
STYLE SELECT SERIES LOGO
FINANCIAL HIGHLIGHTS -- (CONTINUED)
<TABLE>
<CAPTION>
NET DIVIDENDS
NET GAIN (LOSS) TOTAL FROM
NET ASSET INVEST- ON INVEST- FROM NET
VALUE, MENT MENTS (BOTH INVEST- INVEST-
PERIOD BEGINNING INCOME REALIZED AND MENT MENT
ENDED OF PERIOD (LOSS)(1) UNREALIZED) OPERATIONS INCOME
- --------------------- --------- --------- ------------ ---------- ---------
<S> <C> <C> <C> <C> <C>
VALUE PORTFOLIO
CLASS A
11/19/96-10/31/97.... $ 12.50 $ -- $ 3.59 $ 3.59 $ --
10/31/98............. 16.09 -- (0.51) (0.51) --
10/31/99............. 14.99 0.07 1.76 1.83 --
CLASS B
11/19/96-10/31/97.... 12.50 (0.11) 3.61 3.50 --
10/31/98............. 16.00 (0.10) (0.50) (0.60) --
10/31/99............. 14.81 (0.03) 1.73 1.70 --
CLASS II
3/06/97-10/31/97..... 13.56 (0.08) 2.52 2.44 --
10/31/98............. 16.00 (0.11) (0.49) (0.60) --
10/31/99............. 14.81 (0.03) 1.73 1.70 --
CLASS Z
4/03/98-10/31/98..... 17.62 0.05 (2.63) (2.58) --
10/31/99............. 15.04 0.17 1.76 1.93 --
- -------------------------------------------------------------------------------------------------------------------
SMALL-CAP VALUE PORTFOLIO
CLASS A
10/15/97-10/31/97.... $ 12.50 $ 0.01 $(0.37) $(0.36) $ --
10/31/98............. 12.14 0.05 (1.36) (1.31) (0.01)
10/31/99............. 10.82 0.05 0.83 0.88 --
CLASS B
10/15/97-10/31/97.... 12.50 0.01 (0.38) (0.37) --
10/31/98............. 12.13 (0.05) (1.33) (1.38) (0.01)
10/31/99............. 10.74 (0.03) 0.83 0.80 --
CLASS II
10/15/97-10/31/97.... 12.50 0.01 (0.37) (0.36) --
10/31/98............. 12.14 (0.06) (1.33) (1.39) (0.01)
10/31/99............. 10.74 (0.03) 0.84 0.81 --
CLASS Z
4/03/98-10/31/98..... 13.63 0.04 (2.80) (2.76) (0.02)
10/31/99............. 10.85 0.11 0.83 0.94 --
<CAPTION>
DISTRI- NET
BUTIONS ASSET NET ASSETS RATIO OF
FROM TOTAL VALUE, END OF EXPENSES
PERIOD CAPITAL DISTRI- END OF TOTAL PERIOD TO AVERAGE
ENDED GAINS BUTIONS PERIOD RETURN(2) (000'S) NET ASSETS(4)
- --------------------- -------- -------- -------- --------- ---------- -------------
<S> <C> <C> <C> <C> <C> <C>
VALUE PORTFOLIO
CLASS A
11/19/96-10/31/97.... $ -- $ -- $16.09 28.72 % $ 48,377 1.84%(3)
10/31/98............. (0.59) (0.59) 14.99 (3.32) 71,116 1.78
10/31/99............. -- -- 16.82 12.21 58,581 1.77
CLASS B
11/19/96-10/31/97.... -- -- 16.00 28.00 77,534 2.46(3)
10/31/98............. (0.59) (0.59) 14.81 (3.92) 111,030 2.43
10/31/99............. -- -- 16.51 11.48 95,112 2.40
CLASS II
3/06/97-10/31/97..... -- -- 16.00 17.99 9,384 2.45(3)
10/31/98............. (0.59) (0.59) 14.81 (3.92) 15,260 2.43
10/31/99............. -- -- 16.51 11.48 12,976 2.42
CLASS Z
4/03/98-10/31/98..... -- -- 15.04 (14.64) 101 1.21(3)
10/31/99............. -- -- 16.97 12.83 74 1.21
- ---------------------
SMALL-CAP VALUE PORTF
CLASS A
10/15/97-10/31/97.... $ -- $ -- $12.14 (2.88)% $ 21,346 1.78%(3)
10/31/98............. -- (0.01) 10.82 (10.79) 15,051 1.78
10/31/99............. -- -- 11.70 8.13 15,473 1.78
CLASS B
10/15/97-10/31/97.... -- -- 12.13 (2.96) 3,112 2.43(3)
10/31/98............. -- (0.01) 10.74 (11.40) 25,954 2.43
10/31/99............. -- -- 11.54 7.45 22,601 2.43
CLASS II
10/15/97-10/31/97.... -- -- 12.14 (2.88) 525 2.43(3)
10/31/98............. -- (0.01) 10.74 (11.47) 5,968 2.43
10/31/99............. -- -- 11.55 7.54 7,230 2.43
CLASS Z
4/03/98-10/31/98..... -- (0.02) 10.85 (20.30) 142 1.21(3)
10/31/99............. -- -- 11.79 8.66 78 1.21
<CAPTION>
RATIO OF
INVESTMENT
INCOME (LOSS)
PERIOD TO AVERAGE NET PORTFOLIO
ENDED ASSETS(4) TURNOVER
- --------------------- -------------- ---------
<S> <C> <C>
VALUE PORTFOLIO
11/19/96-10/31/97.... -- %(3) 48%
10/31/98............. (0.01) 69
10/31/99............. 0.43 118
11/19/96-10/31/97.... (0.74)(3) 48
10/31/98............. (0.66) 69
10/31/99............. (0.19) 118
3/06/97-10/31/97..... (0.78)(3) 48
10/31/98............. (0.66) 69
10/31/99............. (0.21) 118
4/03/98-10/31/98..... 0.62(3) 69
10/31/99............. 0.98 118
- ---------------------
SMALL-CAP VALUE PORTF
10/15/97-10/31/97.... 2.57%(3) --%
10/31/98............. 0.42 50
10/31/99............. 0.39 102
10/15/97-10/31/97.... 1.75(3) --
10/31/98............. (0.44) 50
10/31/99............. (0.26) 102
10/15/97-10/31/97.... 1.75(3) --
10/31/98............. (0.48) 50
10/31/99............. (0.26) 102
4/03/98-10/31/98..... 0.70(3) 50
10/31/99............. 0.96 102
</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 10/31/99 10/31/97 10/31/98 10/31/99
-------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C>
Value A................. 0.28% 0.17% 0.04% Small-Cap Value A....... 0.57% 0.66% 0.29%
Value B................. 0.34% 0.19% 0.02% Small-Cap Value B....... 0.74% 0.62% 0.31%
Value II................ 0.63% 0.21% 0.13% Small-Cap Value II...... 1.42% 1.05% 0.36%
Value Z................. -- 28.83% 23.27% Small-Cap Value Z....... -- 20.37% 20.90%
</TABLE>
(5) The expense ratio reflects a gross up of custody expense credits
See Notes to Financial Statements
32
<PAGE>
STYLE SELECT SERIES LOGO
FINANCIAL HIGHLIGHTS -- (CONTINUED)
<TABLE>
<CAPTION>
NET DIVIDENDS
NET GAIN (LOSS) TOTAL FROM
NET ASSET INVEST- ON INVEST- FROM NET
VALUE, MENT MENTS (BOTH INVEST- INVEST-
PERIOD BEGINNING INCOME REALIZED AND MENT MENT
ENDED OF PERIOD (LOSS)(1) UNREALIZED) OPERATIONS INCOME
- --------------------- --------- --------- ------------ ---------- ---------
<S> <C> <C> <C> <C> <C>
INTERNATIONAL EQUITY PORTFOLIO
CLASS A
11/19/96-10/31/97.... $ 12.50 $ 0.01 $(0.05) $(0.04) $ --
10/31/98............. 12.46 (0.01) (0.01) (0.02) --
10/31/99............. 12.22 (0.03) 2.12 2.09 --
CLASS B
11/19/96-10/31/97.... 12.50 (0.09) (0.03) (0.12) --
10/31/98............. 12.38 (0.09) -- (0.09) --
10/31/99............. 12.07 (0.12) 2.08 1.96 --
CLASS II
3/06/97-10/31/97..... 12.60 (0.07) (0.15) (0.22) --
10/31/98............. 12.38 (0.09) -- (0.09) --
10/31/99............. 12.07 (0.13) 2.10 1.97 --
CLASS Z
4/06/98-10/31/98..... 13.87 0.03 (1.63) (1.60) --
10/31/99............. 12.27 0.03 2.16 2.19 --
- -------------------------------------------------------------------------------------------------------------------
FOCUS PORTFOLIO
CLASS A
6/08/98-10/31/98..... $ 12.50 $(0.01) $ 0.11 $ 0.10 $ --
10/31/99............. 12.60 (0.12) 6.75 6.63 --
CLASS B
6/08/98-10/31/98..... 12.50 (0.04) 0.10 0.06 --
10/31/99............. 12.56 (0.23) 6.72 6.49 --
CLASS II
6/08/98-10/31/98..... 12.50 (0.04) 0.10 0.06 --
10/31/99............. 12.56 (0.23) 6.72 6.49 --
CLASS Z
7/07/99-10/31/99..... 18.18 -- 1.09 1.09 --
<CAPTION>
DISTRI- NET
BUTIONS ASSET NET ASSETS RATIO OF
FROM TOTAL VALUE, END OF EXPENSES
PERIOD CAPITAL DISTRI- END OF TOTAL PERIOD TO AVERAGE
ENDED GAINS BUTIONS PERIOD RETURN(2) (000'S) NET ASSETS(4)
- --------------------- -------- -------- -------- --------- ---------- -------------
<S> <C> <C> <C> <C> <C> <C>
INTERNATIONAL EQUITY
CLASS A
11/19/96-10/31/97.... $ -- $ -- $12.46 (0.32)% $ 24,365 2.10%(3)
10/31/98............. (0.22) (0.22) 12.22 (0.09) 28,418 2.03
10/31/99............. (0.05) (0.05) 14.26 17.15 29,324 2.03
CLASS B
11/19/96-10/31/97.... -- -- 12.38 (0.96) 42,656 2.72(3)
10/31/98............. (0.22) (0.22) 12.07 (0.67) 47,817 2.68
10/31/99............. (0.05) (0.05) 13.98 16.29 47,342 2.68
CLASS II
3/06/97-10/31/97..... -- -- 12.38 (1.75) 4,459 2.70(3)
10/31/98............. (0.22) (0.22) 12.07 (0.67) 7,982 2.68
10/31/99............. (0.05) (0.05) 13.99 16.37 11,709 2.68
CLASS Z
4/06/98-10/31/98..... -- -- 12.27 (11.54) 145 1.46(3)
10/31/99............. (0.05) (0.05) 14.41 17.90 32 1.46
- --------------------- --------------------------------------------
FOCUS PORTFOLIO
CLASS A
6/08/98-10/31/98..... $ -- $ -- $12.60 0.80% $ 29,770 1.45%(3)
10/31/99............. -- -- 19.23 52.62 169,734 1.45
CLASS B
6/08/98-10/31/98..... -- -- 12.56 0.48 45,817 2.10(3)
10/31/99............. -- -- 19.05 51.67 271,531 2.10
CLASS II
6/08/98-10/31/98..... -- -- 12.56 0.48 35,387 2.10(3)
10/31/99............. -- -- 19.05 51.67 261,536 2.10
CLASS Z
7/07/99-10/31/99..... -- -- 19.27 6.00 2,522 0.93(3)
<CAPTION>
RATIO OF
INVESTMENT
INCOME (LOSS)
PERIOD TO AVERAGE NET PORTFOLIO
ENDED ASSETS(4) TURNOVER
- --------------------- -------------- ---------
<S> <C> <C>
INTERNATIONAL EQUITY
11/19/96-10/31/97.... 0.07 %(3) 70%
10/31/98............. (0.11) 114
10/31/99............. (0.23) 102
11/19/96-10/31/97.... (0.69)(3) 70
10/31/98............. (0.74) 114
10/31/99............. (0.92) 102
3/06/97-10/31/97..... (0.75)(3) 70
10/31/98............. (0.71) 114
10/31/99............. (0.95) 102
4/06/98-10/31/98..... 0.40(3) 114
10/31/99............. 0.19 102
- --------------------- --------------------------------
FOCUS PORTFOLIO
6/08/98-10/31/98..... (0.21)%(3) 106%
10/31/99............. (.70) 161
6/08/98-10/31/98..... (0.92)(3) 106
10/31/99............. (1.34) 161
6/08/98-10/31/98..... (0.93)(3) 106
10/31/99............. (1.34) 161
7/07/99-10/31/99..... (0.09)(3) 161
</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 10/31/99 10/31/97 10/31/98 10/31/99
-------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C>
International Equity A . 0.37% 0.45% 0.25% Focus A ................ -- 0.32% 0.18%
International Equity B . 0.45% 0.48% 0.24% Focus B ................ -- 0.32% 0.16%
International Equity 0.87% 0.55% 0.33% Focus II ............... -- 0.32% 0.17%
II .
International Equity Z . -- 16.25% 26.35% Focus Z ................ -- -- 2.23%
</TABLE>
(5) The expense ratio reflects a gross up of custody expense credits
See Notes to Financial Statements
33
<PAGE>
STYLE SELECT SERIES LOGO
Large-Cap Growth Portfolio
- -------------------------------------------
PORTFOLIO OF INVESTMENTS -- OCTOBER 31, 1999
<TABLE>
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
<S> <C> <C>
- -------------------------------------------------------------
<CAPTION>
<S> <C> <C>
COMMON STOCK--96.4%
AEROSPACE & MILITARY TECHNOLOGY--0.4%
Allied Signal, Inc............ 6,400 $ 364,400
-----------
BANKS--1.7%
Bank of New York Co., Inc..... 21,780 912,037
Chase Manhattan Corp.......... 8,300 725,213
-----------
1,637,250
-----------
BROADCASTING & MEDIA--9.4%
AT&T Corp.-Liberty Media
Group, Inc., Class A+....... 24,850 986,234
Cablevision Systems Corp.,
Class A+.................... 8,920 602,658
CBS Corp.+.................... 31,175 1,521,730
Clear Channel
Communications, Inc.+....... 7,900 634,962
Comcast Corp., Class A........ 37,815 1,590,593
Interpublic Group of
Cos., Inc................... 14,000 568,750
Omnicom Group, Inc............ 5,900 519,200
Time Warner, Inc.............. 24,635 1,716,752
Univision Communications, Inc.,
Class A+.................... 4,200 357,263
Viacom, Inc., Class B+........ 17,715 792,746
-----------
9,290,888
-----------
COMMUNICATION EQUIPMENT--2.5%
JDS Uniphase Corp.+........... 1,600 266,900
Lucent Technologies, Inc...... 16,250 1,044,063
Tellabs, Inc.+................ 18,000 1,137,375
-----------
2,448,338
-----------
COMPUTERS & BUSINESS EQUIPMENT--6.3%
Dell Computer Corp.+.......... 38,070 1,525,179
EMC Corp.+.................... 33,385 2,437,105
Equant N.V.+.................. 1,900 184,300
Hewlett-Packard Co............ 17,100 1,266,469
International Business
Machines Corp............... 5,500 541,062
Pitney Bowes, Inc............. 5,900 268,819
-----------
6,222,934
-----------
DRUGS--7.5%
American Home Products Corp... 13,900 726,275
Bristol-Myers Squibb Co.(1)... 24,200 1,858,862
Eli Lilly & Co.(1)............ 11,580 797,573
Glaxo Wellcome PLC ADR........ 8,100 484,988
Merck & Co., Inc.............. 7,600 604,675
Pfizer, Inc.(1)............... 49,975 1,974,012
Schering-Plough Corp.(1)...... 18,875 934,312
-----------
7,380,697
-----------
ELECTRONICS--8.3%
Applied Materials, Inc.+...... 13,775 1,237,167
</TABLE>
<TABLE>
- -------------------------------------------------------------
<S> <C> <C>
<CAPTION>
<S> <C> <C>
</TABLE>
ELECTRONICS (CONTINUED)
<TABLE>
<CAPTION>
<S> <C> <C>
ASM Lithography
Holdings NV+................ 13,250 $ 960,625
Intel Corp.................... 20,800 1,609,400
KLA-Tencor Corp.+(1).......... 4,300 340,506
Linear Technology Corp........ 15,445 1,079,219
Motorola, Inc................. 3,700 360,519
Solectron Corp.+.............. 8,500 639,625
STMicroelectronics NV NY
Registry Shares+............ 4,000 363,500
Texas Instruments, Inc........ 18,070 1,621,783
-----------
8,212,344
-----------
ENERGY SOURCES--0.5%
Enron Corp.................... 12,050 481,247
-----------
FINANCIAL SERVICES--7.9%
American Express Co........... 14,605 2,249,170
Charles Schwab Corp........... 23,550 916,978
Citigroup, Inc................ 26,487 1,433,609
Federal Home Loan Mortgage
Corp........................ 6,650 359,516
Federal National Mortgage
Association................. 9,225 652,669
Morgan Stanley, Dean Witter &
Co.......................... 13,445 1,483,151
Wells Fargo Co................ 14,100 675,037
-----------
7,770,130
-----------
FOOD, BEVERAGE & TOBACCO--3.9%
Anheuser-Busch
Cos., Inc.(1)............... 7,875 565,523
Bestfoods..................... 19,000 1,116,250
Coca-Cola Co.................. 27,000 1,593,000
Coca-Cola
Enterprises, Inc............ 21,050 538,091
-----------
3,812,864
-----------
HOUSEHOLD PRODUCTS--4.5%
Estee Lauder Cos., Class A.... 6,100 284,413
Gillette Co.(1)............... 34,000 1,230,375
Procter & Gamble Co........... 16,500 1,730,437
Warner-Lambert Co.(1)......... 14,600 1,165,263
-----------
4,410,488
-----------
HOUSING--3.2%
Home Depot, Inc............... 41,390 3,124,945
-----------
INSURANCE--1.8%
American International
Group, Inc.*................ 16,875 1,737,070
-----------
INTERNET CONTENT--0.5%
America Online, Inc.+......... 3,600 466,875
-----------
LEISURE & TOURISM--4.7%
Carnival Corp, Class A........ 21,900 974,550
</TABLE>
34
<PAGE>
STYLE SELECT SERIES LOGO
Large-Cap Growth Portfolio
- -------------------------------------------
PORTFOLIO OF INVESTMENTS -- OCTOBER 31, 1999 -- (CONTINUED)
<TABLE>
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
<S> <C> <C>
- -------------------------------------------------------------
<CAPTION>
<S> <C> <C>
</TABLE>
COMMON STOCK (CONTINUED)
LEISURE & TOURISM (CONTINUED)
<TABLE>
<CAPTION>
<S> <C> <C>
Marriott International, Inc.,
Class A..................... 16,000 $ 539,000
McDonald's Corp.(1)........... 39,400 1,625,250
MGM Grand, Inc.+.............. 17,425 888,675
Southwest Airlines Co.(1)..... 26,575 446,792
The Walt Disney Co............ 7,000 184,625
-----------
4,658,892
-----------
MEDICAL PRODUCTS--3.4%
Amgen, Inc.+(1)............... 3,700 294,844
Boston Scientific Corp.+...... 28,000 563,500
Genentech, Inc.+.............. 1,500 218,625
Johnson & Johnson Co.......... 12,500 1,309,375
Medtronic, Inc.(1)............ 26,800 927,950
-----------
3,314,294
-----------
MULTI-INDUSTRY--4.8%
General Electric Co........... 27,550 3,734,747
Tyco International Ltd........ 26,065 1,040,971
-----------
4,775,718
-----------
RETAIL--4.8%
Costco Wholesale Corp.+....... 14,175 1,137,544
Gap, Inc...................... 27,900 1,035,787
Kohl's Corp.+................. 6,000 448,875
Newell Rubbermaid, Inc........ 18,100 626,713
Tiffany & Co.................. 8,600 511,700
Wal-Mart Stores, Inc.......... 17,775 1,007,620
-----------
4,768,239
-----------
SOFTWARE--10.8%
Cisco Systems, Inc.+.......... 36,225 2,680,650
Electronic Arts, Inc.+........ 10,000 807,500
Electronic Data Systems
Corp........................ 18,000 1,053,000
Juniper Networks, Inc.+....... 700 192,894
Microsoft Corp.+.............. 35,100 3,248,944
Oracle Corp.+................. 24,800 1,179,550
Sun Microsystems, Inc.+....... 13,550 1,432,912
-----------
10,595,450
-----------
TELECOMMUNICATIONS--6.4%
Allegiance
Telecommunications, Inc.+.... 4,300 296,700
Level 3
Communications, Inc.+....... 3,100 211,769
Nextel Communications, Inc.,
Class A+.................... 7,150 616,240
Nokia Corp., Class A ADR...... 19,550 2,259,247
NTL, Inc.+.................... 4,200 316,575
Qwest Communications
International, Inc.+........ 14,500 521,094
Sprint Corp. (PCS Group)+..... 11,370 942,999
<CAPTION>
SHARES/
PRINCIPAL
AMOUNT VALUE
SECURITY DESCRIPTION (IN THOUSANDS) (NOTE 3)
- ---------------------------------------------------------------
<S> <C> <C>
</TABLE>
TELECOMMUNICATIONS (CONTINUED)
<TABLE>
<CAPTION>
SHARES/
PRINCIPAL
AMOUNT VALUE
SECURITY DESCRIPTION (IN THOUSANDS) (NOTE 3)
- ---------------------------------------------------------------
<S> <C> <C>
Vodafone AirTouch PLC ADR..... 24,175 $ 1,158,889
-----------
6,323,513
-----------
TELEPHONE--3.1%
MCI WorldCom, Inc.+........... 32,800 2,812,600
NEXTLINK Communications, Inc.,
Class A+.................... 3,800 227,288
-----------
3,039,888
-----------
TOTAL INVESTMENT SECURITIES--96.4%
(cost $73,929,579)............ 94,836,464
-----------
SHORT-TERM SECURITIES--0.8%
Federal Home Loan Mortgage
Discount Notes
5.16% due 11/01/99
(cost $800,000)............. $ 800 800,000
-----------
REPURCHASE AGREEMENTS--2.4%
Agreement with State Street
Bank and Trust Co., bearing
4.25%, dated 10/29/99 to be
repurchased 11/01/99 in the
amount of $1,201,425
collateralized by $1,250,000
U.S. Treasury Note 5.63%,
due 2/15/06 approximate
aggregate value $1,229,125
(cost $1,201,000)........... 1,201 1,201,000
Agreement with State Street
Bank and Trust Co., bearing
4.25%, dated 10/29/99 to be
repurchased 11/01/99 in the
amount of $1,170,414
collateralized by $860,000
U.S. Treasury Bond 12.00%,
due 8/15/13 approximate
aggregate value $1,193,981
(cost $1,170,000)........... 1,170 1,170,000
-----------
TOTAL REPURCHASE AGREEMENTS
(cost $2,371,000)............. 2,371,000
-----------
TOTAL INVESTMENTS --
(cost $77,100,579)............ 99.6% 98,007,464
Other assets less liabilities... 0.4 392,683
------ -----------
NET ASSETS-- 100.0% $98,400,147
====== ===========
</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
35
<PAGE>
STYLE SELECT SERIES LOGO
Mid-Cap Growth Portfolio
- -------------------------------------------
PORTFOLIO OF INVESTMENTS -- OCTOBER 31, 1999
<TABLE>
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
<S> <C> <C>
- ------------------------------------------------------------
<CAPTION>
<S> <C> <C>
COMMON STOCK--73.2%
AEROSPACE & MILITARY TECHNOLOGY--0.4%
BE Aerospace, Inc.+......... 9,700 $ 97,000
General Dynamics Corp....... 6,000 332,625
------------
429,625
------------
APPAREL & TEXTILES--0.5%
Jones Apparel
Group, Inc.+.............. 19,400 613,525
------------
AUTOMOTIVE--0.9%
AutoZone, Inc.+............. 2,700 71,719
Danaher Corp................ 13,900 671,544
O'Reilly
Automotive, Inc.+......... 7,100 309,737
------------
1,053,000
------------
BANKS--1.5%
Allied Capital Corp......... 16,300 326,000
First Tennessee National
Corp...................... 14,000 476,000
NorthFork
Bancorp., Inc.(1)......... 18,000 372,375
Warnaco Group, Inc.,
Class A................... 22,200 316,350
Zions Bancorp............... 5,700 335,587
------------
1,826,312
------------
BROADCASTING & MEDIA--9.5%
Adelphia Communications
Corp., Class A+........... 6,500 354,250
Apollo Group, Inc.,
Class A+.................. 5,200 136,500
AT&T Corp.-Liberty Media
Group, Inc., Class A+..... 23,038 914,321
Cablevision Systems Corp.,
Class A+.................. 5,300 358,081
Catalina Marketing Corp.+... 5,300 496,212
Cinar Films, Inc.,
Class B+.................. 1,200 20,400
Citadel Communications
Corp.+.................... 10,300 497,619
Crown Castle International
Corp.+.................... 13,600 260,950
Fox Entertainment
Group, Inc., Class A+..... 15,200 328,700
Harmonic, Inc.+............. 5,400 320,625
Hispanic Broadcasting
Corp.+.................... 7,100 571,550
Houghton Mifflin Co......... 9,000 381,375
Imax Corp.+................. 15,400 317,625
Insight
Communications, Inc.+..... 3,100 73,238
Jones Intercable, Inc.,
Class A+.................. 6,800 370,600
Lamar Advertising Co.+...... 1,800 97,200
</TABLE>
<TABLE>
- ------------------------------------------------------------
<S> <C> <C>
<CAPTION>
<S> <C> <C>
</TABLE>
BROADCASTING & MEDIA (CONTINUED)
<TABLE>
<CAPTION>
<S> <C> <C>
Liberty Digital, Inc.+...... 16,000 $ 500,000
Outdoor Systems, Inc.+...... 11,700 495,787
Pinnacle Holdings, Inc.+.... 8,700 208,800
RF Micro Devices, Inc.+..... 9,600 495,000
Rogers
Communications, Inc.,
Class B+.................. 9,400 189,175
TMP Worldwide, Inc.+........ 9,100 568,750
TV Guide, Inc., Class A+.... 12,600 659,925
Univision Communications, Inc.,
Class A+.................. 14,300 1,216,394
USA Networks, Inc.+......... 13,200 594,000
Valassis Communications, Inc.+.. 15,750 677,250
Young & Rubicam, Inc........ 13,600 622,200
------------
11,726,527
------------
BUSINESS SERVICES--7.2%
Acxiom Corp.+............... 6,600 108,488
Applied Micro Circuits
Corp...................... 7,100 552,469
Ceridian Corp.+............. 19,500 427,781
Cintas Corp................. 9,000 541,687
Concord EFS, Inc.+.......... 20,700 558,900
Dycom Industries, Inc.+..... 12,500 407,031
Fiserv, Inc.+............... 15,875 507,008
Gartner Group, Inc.,
Class A................... 10,700 104,325
Hertz Corp., Class A........ 9,300 403,388
Interim Services, Inc.+..... 8,900 146,294
Manpower, Inc............... 11,600 407,450
Medquist, Inc.+............. 13,400 427,963
National Data Corp.......... 12,400 297,600
NOVA Corp.+................. 27,000 702,000
Pentair, Inc................ 9,800 368,725
Republic Services, Inc.+.... 32,600 399,350
Robert Half
International, Inc.+(1).... 7,300 197,556
SPX Corp.+.................. 4,400 372,900
United Rentals, Inc.+....... 44,800 834,400
Usweb Corp.+................ 15,700 608,375
Viad Corp................... 17,800 437,212
------------
8,810,902
------------
CHEMICALS--0.2%
CK Witco Corp............... 3 28
Great Lakes Chemical
Corp.(1).................. 6,100 216,550
------------
216,578
------------
</TABLE>
36
<PAGE>
STYLE SELECT SERIES LOGO
Mid-Cap Growth Portfolio
- -------------------------------------------
PORTFOLIO OF INVESTMENTS -- OCTOBER 31, 1999 -- (CONTINUED)
<TABLE>
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
<S> <C> <C>
- ------------------------------------------------------------
<CAPTION>
<S> <C> <C>
</TABLE>
COMMON STOCK (CONTINUED)
<TABLE>
<CAPTION>
<S> <C> <C>
COMMUNICATION EQUIPMENT--3.3%
ADC
Telecommunications, Inc.+.. 4,689 $ 223,314
ANTEC Corp.+................ 10,000 483,125
Broadcom Corp., Class A+.... 5,000 637,813
Comverse
Technology, Inc.+......... 4,000 453,500
JDS Uniphase Corp.+......... 7,700 1,284,456
Loral Space &
Communications Corp.+..... 18,100 272,631
QUALCOMM, Inc.+............. 3,400 757,137
------------
4,111,976
------------
COMPUTERS & BUSINESS EQUIPMENT--0.7%
Network Solutions, Inc.,
Class A+.................. 5,300 628,050
Tech Data Corp.+............ 10,200 191,250
------------
819,300
------------
DRUGS--3.9%
Amerisource Health Corp.,
Class A+.................. 26,000 390,000
Biogen, Inc.+(1)............ 15,100 1,118,344
Biovail Corp
International+............ 7,200 397,350
Gilead Sciences, Inc.+...... 7,600 480,225
IDEC Pharmaceuticals
Corp.+.................... 900 104,513
MedImmune, Inc.+............ 7,900 883,319
Omnicare, Inc............... 39,400 364,450
Sepracor, Inc.+............. 2,900 241,062
Shire Pharmaceuticals Group
ADR+...................... 10,800 341,550
Teva Pharmaceutical
Industries Ltd. ADR....... 9,000 433,687
Watson
Pharmaceuticals, Inc.+.... 2,800 88,900
------------
4,843,400
------------
ELECTRIC UTILITIES--0.6%
Calpine Corp.+.............. 13,800 795,225
------------
ELECTRICAL EQUIPMENT--0.7%
Sanmina Corp.+.............. 2,900 261,000
SCI Systems, Inc.+.......... 12,700 627,063
------------
888,063
------------
ELECTRONICS--6.2%
Analog Devices, Inc.+(1).... 11,100 589,687
C-Cube
Microsystems, Inc.+....... 10,300 458,350
KLA-Tencor Corp.+(1)........ 11,100 878,981
Lattice Semiconductor
Corp.+.................... 3,500 123,594
Linear Technology Corp...... 7,600 531,050
</TABLE>
<TABLE>
- ------------------------------------------------------------
<S> <C> <C>
<CAPTION>
<S> <C> <C>
</TABLE>
ELECTRONICS (CONTINUED)
<TABLE>
<CAPTION>
<S> <C> <C>
Maxim Integrated
Products, Inc.+........... 13,400 $ 1,056,925
Molex, Inc.................. 10,200 336,600
PMC-Sierra, Inc.+........... 3,000 282,563
QLogic Corp.+............... 5,500 572,687
Teleflex, Inc............... 9,600 327,000
Vitesse Semiconductor
Corp.+.................... 12,000 549,750
Waters Corp.+............... 4,600 244,375
Xilinx, Inc.+(1)............ 21,900 1,720,519
------------
7,672,081
------------
ENERGY SERVICES--1.4%
BJ Services Co.+............ 29,500 1,012,219
Grey Wolf, Inc.+............ 105,400 276,675
Nabors Industries, Inc.+.... 18,500 419,719
------------
1,708,613
------------
ENERGY SOURCES--1.6%
Devon Energy Corp........... 13,200 513,150
EOG Resources, Inc.......... 18,100 376,706
Forest Oil Corp.+........... 22,500 300,938
Global Marine, Inc.+........ 25,400 385,762
Millipore Corp.............. 4,400 140,250
Ocean Energy, Inc.+......... 31,500 289,406
------------
2,006,212
------------
FINANCIAL SERVICES--2.7%
Capital One Financial
Corp...................... 9,000 477,000
CIT Group, Inc., Class A.... 13,800 329,475
E. W. Blanch
Holdings, Inc............. 3,100 200,725
Federated Investors, Inc.,
Class B................... 20,000 345,000
Heller Financial, Inc....... 35,100 833,625
National Commerce Bancorp... 19,700 491,269
Waddell & Reed
Financial, Inc.,
Class A................... 20,100 482,400
Waddell & Reed
Financial, Inc.,
Class B................... 8,700 201,187
------------
3,360,681
------------
FOOD, BEVERAGE & TOBACCO--1.0%
Beringer Wine Estates
Holdings, Inc.,
Class B+.................. 10,900 431,913
Suiza Foods Corp.+.......... 3,200 115,400
US Foodservice, Inc.+....... 32,300 619,756
------------
1,167,069
------------
</TABLE>
37
<PAGE>
STYLE SELECT SERIES LOGO
Mid-Cap Growth Portfolio
- -------------------------------------------
PORTFOLIO OF INVESTMENTS -- OCTOBER 31, 1999 -- (CONTINUED)
<TABLE>
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
<S> <C> <C>
- ------------------------------------------------------------
<CAPTION>
<S> <C> <C>
</TABLE>
COMMON STOCK (CONTINUED)
<TABLE>
<CAPTION>
<S> <C> <C>
HEALTH SERVICES--1.2%
Covance, Inc.+.............. 10,300 $ 99,781
Lincare Holdings, Inc.+..... 31,800 894,375
Total Renal Care
Holdings, Inc.+........... 10,600 77,513
Wellpoint Health
Networks, Inc.,
Class A+.................. 7,300 423,400
------------
1,495,069
------------
HOUSEHOLD PRODUCTS--0.7%
Dial Corp................... 14,200 331,925
Estee Lauder Cos.,
Class A................... 11,200 522,200
------------
854,125
------------
INSURANCE--1.3%
Ace Ltd..................... 15,800 307,113
MGIC Investment Corp........ 7,000 418,250
Protective Life Corp.(1).... 11,000 398,062
Radian Group, Inc........... 8,000 422,500
------------
1,545,925
------------
INTERNET CONTENT--1.6%
DoubleClick, Inc.+.......... 3,300 461,381
Inktomi Corp.+.............. 4,500 456,469
Yahoo Japan Corp.+.......... 1 527,477
Yahoo!, Inc.+............... 2,848 509,970
------------
1,955,297
------------
LEISURE & TOURISM--2.9%
Cheap Tickets, Inc.+........ 16,700 267,200
Galileo
International, Inc........ 14,400 432,900
Outback
Steakhouse, Inc.+......... 12,600 289,013
Premier Parks, Inc.+........ 34,400 995,450
Royal Caribbean Cruises
Ltd....................... 10,600 562,462
Speedway
Motorsports, Inc.+........ 21,900 955,387
------------
3,502,412
------------
MACHINERY--0.4%
MSC Industrial Direct
Co., Inc., Class A+....... 12,900 123,356
Smith
International, Inc.+(1).. 10,700 369,819
------------
493,175
------------
MEDICAL PRODUCTS--1.5%
Affymetrix, Inc.+........... 1,100 96,800
Genentech, Inc.+............ 3,200 466,400
Henry Schein, Inc.+......... 10,100 131,300
Johnson & Johnson Co........ 3,181 333,210
</TABLE>
<TABLE>
- ------------------------------------------------------------
<S> <C> <C>
<CAPTION>
<S> <C> <C>
</TABLE>
MEDICAL PRODUCTS (CONTINUED)
<TABLE>
<CAPTION>
<S> <C> <C>
MiniMed, Inc.+.............. 5,000 $ 379,062
QLT Phototherapeutics+...... 1,100 46,544
Sybron International
Corp.+.................... 16,200 385,762
------------
1,839,078
------------
RETAIL--4.5%
barnesandnoble.com, Inc.+.... 17,800 325,963
BJ's Wholesale
Club, Inc.+............... 18,200 560,787
Borders Group, Inc.+........ 11,500 149,500
Boyds Collection Ltd.+...... 15,100 119,856
Circuit City
Stores, Inc.(1)........... 21,600 922,050
Consolidated Stores
Corp.+.................... 12,900 236,231
Costco Wholesale Corp.+..... 3,900 312,975
Dollar General Corp......... 16,500 435,188
eBay, Inc.+................. 3,000 405,188
eToys, Inc.+................ 1,100 65,656
Family Dollar
Stores, Inc............... 22,000 453,750
ShopKo Stores, Inc.+........ 14,400 360,900
Tandy Corp.(1).............. 9,500 597,906
The Kroger Co.+(1).......... 5,500 114,469
Whole Foods
Market, Inc.+............. 12,400 421,600
------------
5,482,019
------------
SOFTWARE--8.6%
Adobe Systems, Inc.......... 10,400 727,350
Affiliated Computer
Services, Inc.,
Class A+.................. 15,800 600,400
At Home Corp., Series A+.... 11,950 445,884
BMC Software, Inc.+......... 4,500 288,563
CIBER, Inc.+................ 24,600 401,288
Citrix Systems, Inc.+....... 11,400 730,312
Exodus
Communications, Inc.+..... 4,800 412,200
Intuit, Inc.+............... 9,300 270,863
Keane, Inc.+................ 11,000 258,500
Parametric Technology
Corp.+.................... 19,000 362,188
PSINet, Inc.+............... 16,300 584,762
Rational Software Corp.+.... 16,600 707,575
Sapient Corp.+.............. 5,800 742,400
Siebel Systems, Inc.+....... 5,100 559,725
SunGard Data
Systems, Inc.+............ 16,600 405,662
Synopsys, Inc.+............. 25,000 1,556,250
Verio, Inc.+................ 12,100 447,700
VERITAS Software Corp.+..... 10,300 1,110,469
------------
10,612,091
------------
TELECOMMUNICATIONS--7.1%
Global Crossing Ltd.+....... 27,140 939,722
</TABLE>
38
<PAGE>
STYLE SELECT SERIES LOGO
Mid-Cap Growth Portfolio
- -------------------------------------------
PORTFOLIO OF INVESTMENTS -- OCTOBER 31, 1999 -- (CONTINUED)
<TABLE>
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
<S> <C> <C>
- ------------------------------------------------------------
<CAPTION>
<S> <C> <C>
</TABLE>
COMMON STOCK (CONTINUED)
TELECOMMUNICATIONS (CONTINUED)
<TABLE>
<CAPTION>
<S> <C> <C>
Globalstar
Telecommunications Ltd.+.. 11,816 $ 259,952
McLeodUSA, Inc.,
Class A+.................. 24,400 1,087,325
Nextel
Communications, Inc.,
Class A+.................. 4,200 361,988
Triton PCS Holdings, Inc.,
Class A+.................. 400 14,200
Voicestream Wireless
Corp.+.................... 34,700 3,426,625
Western Wireless Corp.,
Class A+.................. 43,000 2,270,937
Williams Communications
Group+.................... 11,200 357,000
------------
8,717,749
------------
TELEPHONE--0.7%
NEXTLINK Communications, Inc.,
Class A+.................. 13,300 795,506
------------
TRANSPORTATION--0.4%
C.H. Robinson
Worldwide, Inc............ 4,400 147,950
CNF Transportation, Inc..... 9,300 307,481
Expeditors International of
Washington, Inc........... 2,500 93,438
------------
548,869
------------
TOTAL INVESTMENT SECURITIES--73.2%
(cost $70,897,179).......... 89,890,404
------------
<CAPTION>
PRINCIPAL
AMOUNT VALUE
SECURITY DESCRIPTION (IN THOUSANDS) (NOTE 3)
- --------------------------------------------------------------
<S> <C> <C>
SHORT-TERM SECURITIES--3.4%
Cayman Island Time Deposit
with State Street Bank and
Trust Co.
4.00% due 11/01/99........ $ 2,463 $ 2,463,000
Federal Home Loan Mortgage
Discount Notes
5.09% due 12/08/99........ 159 159,163
Federal Home Loan Mortgage
Discount Notes
5.23% due 11/04/99........ 175 174,925
Federal Home Loan Mortgage
Discount Notes
5.16% due 11/01/99........ 1,202 1,202,000
Federal National Mortgage
Association Discount Note
5.24% due 11/03/99........ 230 229,933
------------
TOTAL SHORT-TERM SECURITIES
(cost $4,229,021)........... 4,229,021
------------
REPURCHASE AGREEMENT--23.6%
Joint Repurchase Agreement
(Note 3)
(cost $29,000,000)........ 29,000 29,000,000
------------
TOTAL INVESTMENTS--
(cost $104,126,200)......... 100.2% 123,119,425
Liabilities in excess of
other assets................ (0.2) (255,992)
------- ------------
NET ASSETS-- 100.0% $122,863,433
======= ============
</TABLE>
- ------------------
+ Non-income producing security
ADR ("American Depositary Receipt")
(1) Security is traded with rights attached
See Notes to Financial Statements
39
<PAGE>
STYLE SELECT SERIES LOGO
Aggressive Growth Portfolio
- -------------------------------------------
PORTFOLIO OF INVESTMENTS -- OCTOBER 31, 1999
<TABLE>
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
<S> <C> <C>
- ------------------------------------------------------------
<CAPTION>
<S> <C> <C>
COMMON STOCK--87.3%
AEROSPACE & MILITARY TECHNOLOGY--0.2%
HEICO Corp., New Class A.... 42,500 $ 645,469
------------
APPAREL & TEXTILES--0.5%
Oakley, Inc.+............... 40,700 264,550
Talbots, Inc................ 20,400 960,075
------------
1,224,625
------------
BANKS--0.6%
AmeriCredit Corp.+.......... 47,700 828,787
Banco Latinoamericano de
Exportaciones SA
Class E................... 26,900 643,919
Hamilton Bancorp, Inc.+..... 13,000 206,375
------------
1,679,081
------------
BROADCASTING & MEDIA--9.0%
AirGate PCS, Inc.+.......... 6,000 298,500
Cablevision Systems Corp.,
Class A+.................. 11,800 797,237
Carrier Access Corp.+....... 5,500 271,563
Cinar Films, Inc.,
Class B+.................. 20,700 351,900
Clear Channel
Communications, Inc.+..... 18,401 1,478,980
Comcast Corp., Class A...... 96,390 4,054,404
Documentum, Inc.+........... 29,000 826,500
EchoStar Communications
Corp., Class A+........... 37,120 2,306,080
Entercom Communications
Corp...................... 20,300 1,011,194
Hispanic Broadcasting
Corp.+.................... 9,013 725,547
InfoSpace.com, Inc.+........ 16,500 917,812
Liquid Audio, Inc.+......... 19,200 672,000
Macromedia, Inc.+........... 11,500 741,031
Paxson Communications
Corp.+.................... 44,800 526,400
Proxim, Inc.+............... 16,200 758,363
Radio Unica Communications
Corp.+.................... 12,800 364,800
Spanish Broadcasting Systems
Inc.+..................... 8,700 231,638
Sylvan Learning Systems, Inc.+.. 12,000 154,500
Time Warner, Inc............ 61,420 4,280,206
TMP Worldwide, Inc.+........ 13,500 843,750
USA Networks, Inc.+......... 10,000 450,000
ValueVision
International, Inc.,
Class A+.................. 20,400 666,825
Wiley (John) & Sons, Inc.,
Class A................... 32,200 543,375
Wink
Communications, Inc.+..... 2,000 70,250
Ziff-Davis, Inc.-ZD+........ 42,400 633,350
------------
23,976,205
------------
</TABLE>
<TABLE>
- ------------------------------------------------------------
<S> <C> <C>
<CAPTION>
<S> <C> <C>
BUSINESS SERVICES--4.2%
AnswerThink Consulting
Group, Inc.+.............. 17,000 $ 279,438
Concord EFS, Inc.+.......... 46,350 1,251,450
DeVry, Inc.+................ 38,400 808,800
Forrester
Research, Inc.+........... 18,100 856,356
ITT Educational
Services, Inc.+........... 38,300 756,425
Mobile Mini, Inc.+.......... 35,000 763,437
Novellus Systems, Inc.+..... 10,200 789,862
On Assignment, Inc.+........ 24,700 710,125
Paychex, Inc................ 10,500 413,438
QRS Corp.+.................. 24,400 1,357,250
Sothebys Holdings, Inc...... 18,500 530,719
Usweb Corp.+................ 17,900 693,625
Viad Corp................... 32,700 803,194
Vishay
Intertechnology, Inc.+.... 44,825 1,095,411
------------
11,109,530
------------
COMMUNICATION EQUIPMENT--3.6%
Advanced Fibre
Communications, Inc.+..... 58,400 1,273,850
ANTEC Corp.+................ 19,000 917,938
Aware, Inc.+................ 29,300 937,600
DSP
Communications, Inc.+..... 46,600 1,639,737
Entrust
Technologies, Inc.+....... 29,200 731,825
JDS Uniphase Corp.+......... 10,000 1,668,125
MMC Networks, Inc.+......... 24,500 779,406
Powerwave
Technologies, Inc.+....... 27,400 1,767,300
------------
9,715,781
------------
COMPUTERS & BUSINESS EQUIPMENT--4.3%
Apple Computer, Inc.+....... 71,325 5,714,916
Cabletron Systems, Inc.+.... 48,600 804,937
Electronics for
Imaging, Inc.+............ 23,100 929,775
EMC Corp.+.................. 39,135 2,856,855
Network Appliance, Inc.+.... 14,200 1,050,800
Redback Networks, Inc.+..... 1,200 138,600
------------
11,495,883
------------
DRUGS--3.7%
Caremark Rx, Inc.+.......... 150,600 734,175
Cephalon, Inc.+............. 47,000 763,750
Express Scripts, Inc.+...... 7,618 372,806
Genzyme Corp.+.............. 9,600 366,000
Genzyme Corp.-Surgical
Division+................. 1,324 7,034
IVAX Corp.+................. 41,600 730,600
MedImmune, Inc.+............ 40,850 4,567,541
Millenium
Pharmaceuticals, Inc.+.... 8,400 589,575
</TABLE>
40
<PAGE>
STYLE SELECT SERIES LOGO
Aggressive Growth Portfolio
- -------------------------------------------
PORTFOLIO OF INVESTMENTS -- OCTOBER 31, 1999 -- (CONTINUED)
<TABLE>
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
<S> <C> <C>
- ------------------------------------------------------------
<CAPTION>
<S> <C> <C>
</TABLE>
COMMON STOCK (CONTINUED)
DRUGS (CONTINUED)
<TABLE>
<CAPTION>
<S> <C> <C>
Nanogen, Inc.+.............. 20,000 $ 135,000
Pfizer, Inc.(1)............. 38,535 1,522,132
------------
9,788,613
------------
ELECTRONICS--4.6%
Alpha
Industries, Inc.+(1)...... 11,800 650,475
AstroPower, Inc.+........... 46,400 606,100
Burr-Brown Corp.+(1)........ 31,200 1,226,550
Commscope, Inc.+............ 17,800 709,775
JNI Corp.+.................. 5,000 267,188
Linear Technology Corp...... 13,000 908,375
Maxim Integrated
Products, Inc.+........... 31,700 2,500,337
Metromedia Fiber
Network, Inc.,
Class A+.................. 29,610 978,981
National Semiconductor
Corp.+.................... 35,200 1,053,800
Pittway Corp., Class A...... 23,400 772,200
Texas Instruments, Inc...... 16,365 1,468,759
Vitesse Semiconductor
Corp.+.................... 27,400 1,255,262
------------
12,397,802
------------
ENERGY SERVICES--3.3%
BJ Services Co.+............ 68,900 2,364,131
Cooper Cameron Corp.+....... 22,400 866,600
Diamond Offshore Drilling, Inc...... 22,900 727,075
Nabors Industries, Inc.+.... 45,600 1,034,550
Petroleum Geo-Services
ADR+...................... 57,600 842,400
Precision Drilling Corp.+... 45,200 1,048,075
Transocean
Offshore, Inc............. 27,000 734,063
Weatherford
International, Inc.+...... 31,600 1,070,450
------------
8,687,344
------------
ENERGY SOURCES--0.1%
Global Industries Ltd.+..... 6,500 51,187
Global Marine, Inc.+........ 16,100 244,519
------------
295,706
------------
FINANCIAL SERVICES--4.0%
Citigroup, Inc.............. 98,060 5,307,497
Federal Agricultural
Mortgage Corp.+........... 30,500 560,438
Legg Mason, Inc............. 17,600 640,200
Morgan Stanley, Dean
Witter & Co............... 36,875 4,067,773
Raymond James
Financial, Inc............ 10,000 202,500
------------
10,778,408
------------
</TABLE>
<TABLE>
- ------------------------------------------------------------
<S> <C> <C>
<CAPTION>
<S> <C> <C>
FOOD, BEVERAGE & TOBACCO--0.0%
Ben & Jerrys
Homemade, Inc.+........... 3,900 $ 65,813
------------
HEALTH SERVICES--1.1%
Bally Total Fitness Holding
Corp.+.................... 31,400 755,563
First Health Group Corp.+... 27,500 635,938
Foundation Health
Systems, Inc.+............ 17,600 116,600
Health Management
Associates, Inc.,
Class A+.................. 89,900 797,862
Oxford Health
Plans, Inc.+.............. 50,700 595,725
Sunrise Assisted
Living, Inc.+............. 12,000 131,250
------------
3,032,938
------------
HOUSING--2.7%
Home Depot, Inc............. 87,430 6,600,965
Yankee Candle, Inc.+........ 32,500 495,625
------------
7,096,590
------------
INSURANCE--0.7%
Enhance Financial Services
Group, Inc................ 38,300 698,975
Reinsurance Group of
America, Inc.............. 38,051 1,265,196
------------
1,964,171
------------
INTERNET CONTENT--8.6%
Allaire Corp.+.............. 4,800 350,100
America Online, Inc.+....... 12,700 1,647,031
Beyond Common Corp.+........ 18,900 174,825
CMGI, Inc.+................. 8,600 941,163
Covad Communications
Group, Inc.+.............. 3,800 182,400
Critical Path, Inc.+........ 12,600 575,663
Cysive, Inc.+............... 7,255 417,616
DoubleClick, Inc.+*......... 9,076 1,268,938
Inktomi Corp.+.............. 22,360 2,268,142
InterWorld Corp.+........... 17,800 729,800
Lycos, Inc.+................ 15,400 821,975
NaviSite Inc.+.............. 800 37,400
Netcentives, Inc.+.......... 1,000 16,625
Portal Software, Inc.+...... 3,200 208,000
Primus Knowledge
Solutions, Inc.+.......... 3,700 111,000
RealNetworks, Inc.+......... 17,200 1,886,625
Rhythms
NetConnections, Inc.+..... 13,500 392,344
VeriSign, Inc.+............. 55,840 6,896,240
Vignette Corp.+............. 11,000 1,738,000
</TABLE>
41
<PAGE>
STYLE SELECT SERIES LOGO
Aggressive Growth Portfolio
- -------------------------------------------
PORTFOLIO OF INVESTMENTS -- OCTOBER 31, 1999 -- (CONTINUED)
<TABLE>
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
<S> <C> <C>
- ------------------------------------------------------------
<CAPTION>
<S> <C> <C>
</TABLE>
COMMON STOCK (CONTINUED)
INTERNET CONTENT (CONTINUED)
<TABLE>
<CAPTION>
<S> <C> <C>
Yahoo!, Inc.+............... 12,600 $ 2,256,187
------------
22,920,074
------------
LEISURE & TOURISM--1.5%
Extended Stay
America, Inc.+............ 77,700 645,881
Mandalay Resort Group+...... 43,800 815,775
Outback
Steakhouse, Inc.+......... 30,900 708,769
Royal Caribbean Cruises
Ltd....................... 17,000 902,062
Speedway
Motorsports, Inc.+........ 4,000 174,500
Sunterra Corp.+............. 67,600 676,000
------------
3,922,987
------------
MACHINERY--1.7%
Cognex Corp.+............... 29,800 890,275
Kulicke & Soffa
Industries, Inc.+......... 24,600 721,088
Orbotech Ltd.+.............. 16,500 1,288,031
Oshkosh Truck Corp.,
Class B................... 24,600 738,000
Smith
International, Inc.+(1).. 23,400 808,762
------------
4,446,156
------------
MEDICAL PRODUCTS--1.5%
Affymetrix, Inc.+........... 8,400 739,200
Alkermes, Inc.+............. 17,300 610,906
IDEXX
Laboratories, Inc.+....... 7,500 112,500
Invitrogen Corp.+........... 28,800 720,000
Myriad Genetics, Inc.+...... 28,200 507,600
QLT Phototherapeutics+...... 17,700 748,931
VISX, Inc.+................. 7,500 468,750
------------
3,907,887
------------
METALS & MINERALS--0.2%
Maverick Tube Corp.+........ 23,200 426,300
------------
MULTI-INDUSTRY--2.2%
General Electric Co......... 26,615 3,607,996
Tyco International Ltd...... 59,070 2,359,108
------------
5,967,104
------------
REAL ESTATE INVESTMENT TRUSTS--0.6%
CB Richard Ellis Services, Inc.+.. 55,600 684,575
IndyMac Mortgage
Holdings, Inc............. 58,400 813,950
------------
1,498,525
------------
RETAIL--3.4%
Abercrombie & Fitch Co.,
Class A+.................. 19,600 534,100
Bed Bath & Beyond, Inc.+.... 24,300 807,975
BJ's Wholesale
Club, Inc.+............... 25,800 794,962
Costco Wholesale Corp.+..... 12,275 985,069
</TABLE>
<TABLE>
- ------------------------------------------------------------
<S> <C> <C>
<CAPTION>
<S> <C> <C>
</TABLE>
RETAIL (CONTINUED)
<TABLE>
<CAPTION>
<S> <C> <C>
Ethan Allen
Interiors, Inc............ 15,400 $ 547,663
Gap, Inc.................... 20,925 776,841
Movado Group, Inc........... 4,300 93,794
Payless
ShoeSource, Inc.+......... 900 41,231
Polycom, Inc.+.............. 17,500 872,812
Stamps.com, Inc.+........... 9,200 529,000
Sunglass Hut
International, Inc.+...... 77,000 928,812
The Kroll O'Gara Co.+....... 27,300 431,681
Ticketmaster Online-
CitySearch, Inc.,
Class B+.................. 37,700 845,894
Wal-Mart Stores, Inc........ 17,840 1,011,305
------------
9,201,139
------------
SOFTWARE--13.8%
At Home Corp., Series A+.... 20,500 764,906
BroadVision, Inc.+.......... 15,600 1,152,450
CheckFree Holdings Corp.+... 20,700 772,369
Cisco Systems, Inc.+........ 88,620 6,557,880
Citrix Systems, Inc.+....... 39,500 2,530,469
Clarent Corp.+.............. 9,800 929,775
Clarify, Inc.+.............. 20,600 1,588,775
CyberSource Corp.+.......... 14,400 914,400
Digital Islands, Inc.,
Delaware+................. 18,700 1,266,925
E.piphany, Inc.+............ 6,500 554,938
Engage
Technologies, Inc.+....... 23,400 821,925
Harbinger Corp.+............ 29,000 462,188
Internet Capital
Group, Inc.+.............. 8,900 1,033,512
IXnet, Inc.+................ 35,200 499,400
J.D. Edwards & Co.+......... 32,900 785,488
Kana
Communications, Inc.+..... 1,000 84,000
Legato Systems, Inc.+....... 23,000 1,233,375
Micromuse, Inc.+............ 13,900 1,485,562
Microsoft Corp.+............ 68,700 6,359,044
National Instruments
Corp.+.................... 27,175 816,948
Netopia, Inc.+.............. 13,300 709,056
Peregrine Systems, Inc.+.... 19,600 859,950
RADWARE Ltd.+............... 18,600 954,412
Safeguard
Scientifics, Inc.+........ 10,500 883,313
Siebel Systems, Inc.+....... 10,100 1,108,475
TSI International Software
Ltd.+..................... 30,000 720,000
Verity, Inc.+............... 12,200 840,275
Vitria Technology, Inc.+.... 1,600 104,800
Voyager.net, Inc.+.......... 2,500 18,203
------------
36,812,813
------------
TELECOMMUNICATIONS--10.1%
Amdocs, Ltd.+............... 42,300 1,176,469
AudioCodes, Ltd.+........... 31,000 1,883,250
</TABLE>
42
<PAGE>
STYLE SELECT SERIES LOGO
Aggressive Growth Portfolio
- -------------------------------------------
PORTFOLIO OF INVESTMENTS -- OCTOBER 31, 1999 -- (CONTINUED)
<TABLE>
<CAPTION>
SHARES/ VALUE
SECURITY DESCRIPTION CONTRACTS (NOTE 3)
- ------------------------------------------------------------
<S> <C> <C>
</TABLE>
COMMON STOCK (CONTINUED)
TELECOMMUNICATIONS (CONTINUED)
<TABLE>
<CAPTION>
SHARES/ VALUE
SECURITY DESCRIPTION CONTRACTS (NOTE 3)
- ------------------------------------------------------------
<S> <C> <C>
Copper Mountain
Networks, Inc.+........... 3,100 $ 228,044
CoreComm Ltd.+.............. 18,750 738,281
DSET Corp.+................. 45,600 798,000
ITC DeltaCom, Inc.+......... 29,113 698,712
Level 3 Communications, Inc.+.. 50,990 3,483,254
McLeodUSA, Inc.,
Class A+.................. 26,200 1,167,537
Nokia Corp., Class A ADR.... 59,450 6,870,191
Qwest Communications
International, Inc.+...... 22,900 822,969
Scientific-Atlanta, Inc.(1).... 19,900 1,139,275
Sprint Corp. (PCS Group)+... 25,380 2,104,954
Voicestream Wireless
Corp.+.................... 23,300 2,300,875
Western Wireless Corp.,
Class A+.................. 27,400 1,447,062
WinStar Communications, Inc.+.. 55,180 2,138,225
------------
26,997,098
------------
TELEPHONE--0.9%
Aspect Telecommunications
Corp.+.................... 59,400 1,496,138
Commonwealth Telephone
Enterprises+.............. 17,200 920,200
------------
2,416,338
------------
TRANSPORTATION--0.2%
Offshore
Logistics, Inc.+.......... 47,300 431,613
------------
TOTAL COMMON STOCK
(cost $161,188,149)......... 232,901,993
------------
PUT OPTIONS--0.0%+(2)
Doubleclick, Inc. exp. 11/99
@ $110.................... 29 906
S & P 500 Index exp. 11/99 @
$1,275.................... 72 30,600
S & P 500 Index exp. 12/99 @
$1,250.................... 72 66,600
------------
TOTAL PUT OPTIONS
(cost $682,316)............. 98,106
------------
TOTAL INVESTMENT SECURITIES--87.3%
(cost $161,870,465)......... 233,000,099
------------
<CAPTION>
PRINCIPAL
AMOUNT VALUE
SECURITY DESCRIPTION (IN THOUSANDS) (NOTE 3)
- --------------------------------------------------------------
<S> <C> <C>
SHORT-TERM SECURITIES--5.7%
Federal Home Loan Mortgage
Discount Notes
5.16% due 11/01/99
(cost $15,200,000)........ $15,200 $ 15,200,000
------------
REPURCHASE AGREEMENTS--6.9%
Joint Repurchase Agreement
(Note 3)
(cost $16,428,000)........ 16,428 16,428,000
Agreement with State Street
Bank and Trust Co.,
bearing 5.15%, dated
10/29/99 to be repurchased
11/01/99 in the amount of
$2,058,883 collateralized
by $2,000,000 U.S.
Treasury Note 7.88%, due
8/15/01 approximate
aggregate value $2,099,600
(cost $2,058,000)......... 2,058 2,058,000
------------
TOTAL REPURCHASE AGREEMENTS
(cost $18,486,000)........ 18,486,000
------------
TOTAL INVESTMENTS--
(cost $195,556,465)......... 99.9% 266,686,099
Other assets less
liabilities................. 0.1 245,634
------- ------------
NET ASSETS-- 100.0% $266,931,733
======= ============
</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
OPEN COVERED WRITTEN CALL OPTIONS+
<TABLE>
<CAPTION>
STRIKE
CALL OPTIONS CONTRACTS(2) EXPIRATION DATE PRICE VALUE
<S> <C> <C> <C> <C>
- --------------------------------------------------------------------------------------------------------------------
<CAPTION>
<S> <C> <C> <C> <C>
DoubleClick, Inc. (proceeds $37,703) 29 November 1999 $115.00 $ (75,763)
=========
</TABLE>
43
<PAGE>
STYLE SELECT SERIES LOGO
Focused Growth and Income Portfolio
- -------------------------------------------
PORTFOLIO OF INVESTMENTS -- OCTOBER 31, 1999
<TABLE>
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
<S> <C> <C>
- ----------------------------------------------------------
<CAPTION>
<S> <C> <C>
COMMON STOCK--92.3%
BANKS--1.6%
Chase Manhattan Corp........... 15,000 $ 1,310,625
-----------
BROADCASTING & MEDIA--4.0%
AT&T Corp.-Liberty Media
Group, Inc., Class A+........ 30,000 1,190,625
Time Warner, Inc............... 31,563 2,199,547
-----------
3,390,172
-----------
COMMUNICATION EQUIPMENT--7.2%
Lucent Technologies, Inc....... 38,762 2,490,458
QUALCOMM, Inc.+................ 16,097 3,584,601
-----------
6,075,059
-----------
COMPUTERS & BUSINESS EQUIPMENT--7.8%
Dell Computer Corp.+........... 30,000 1,201,875
EMC Corp.+..................... 47,361 4,917,353
International Business Machines
Corp......................... 5,000 491,875
-----------
6,611,103
-----------
DRUGS--1.0%
Pfizer, Inc.(1)................ 22,590 892,305
-----------
ELECTRONICS--9.1%
Conexant Systems, Inc.+........ 16,000 1,494,000
Flextronics International
Ltd.+........................ 20,000 1,418,750
Intel Corp..................... 22,000 1,702,250
Motorola, Inc.................. 10,000 974,375
Sony Corp. ADR................. 8,000 1,278,000
Texas Instruments, Inc......... 8,924 800,929
-----------
7,668,304
-----------
ENERGY SERVICES--1.1%
Schlumberger Ltd............... 15,000 908,438
-----------
ENERGY SOURCES--1.2%
Royal Dutch Petroleum Co. NY
Registry Shares GDR.......... 16,361 980,637
-----------
FINANCIAL SERVICES--9.4%
American Express Co............ 8,000 1,232,000
Capital One Financial Corp..... 20,000 1,060,000
Citigroup, Inc................. 61,506 3,329,012
Federal National Mortgage
Association.................. 17,150 1,213,363
Morgan Stanley, Dean
Witter & Co.................. 10,000 1,103,125
-----------
7,937,500
-----------
</TABLE>
<TABLE>
- ----------------------------------------------------------
<S> <C> <C>
<CAPTION>
<S> <C> <C>
FOOD, BEVERAGE & TOBACCO--1.2%
Anheuser-Busch
Cos., Inc.(1)................ 13,859 $ 995,249
-----------
HOUSING--2.7%
Home Depot, Inc................ 30,794 2,324,947
-----------
INTERNET CONTENT--8.7%
America Online, Inc.+.......... 21,410 2,776,609
CMGI, Inc.+.................... 8,000 875,500
Inktomi Corp.+................. 10,000 1,014,375
MediaOne Group, Inc.+.......... 20,204 1,435,747
Yahoo!, Inc.+.................. 7,000 1,253,438
-----------
7,355,669
-----------
LEISURE & TOURISM--3.0%
Four Seasons Hotels, Inc....... 19,226 801,484
McDonald's Corp.(1)............ 20,133 830,486
UAL Corp.+..................... 13,682 931,231
-----------
2,563,201
-----------
MEDICAL PRODUCTS--3.6%
Genentech, Inc.+............... 13,877 2,022,573
Johnson & Johnson Co........... 10,000 1,047,500
-----------
3,070,073
-----------
MULTI-INDUSTRY--5.5%
General Electric Co............ 27,077 3,670,626
Tyco International Ltd......... 24,000 958,500
-----------
4,629,126
-----------
RETAIL--3.6%
Tiffany & Co................... 23,611 1,404,854
Wal-Mart Stores, Inc........... 29,165 1,653,291
-----------
3,058,145
-----------
SOFTWARE--9.4%
Cisco Systems, Inc.+........... 34,947 2,586,078
Microsoft Corp.+............... 40,408 3,740,265
Sun Microsystems, Inc.+........ 15,142 1,601,267
-----------
7,927,610
-----------
TELECOMMUNICATIONS--5.7%
Level 3
Communications, Inc.+........ 15,000 1,024,687
Sprint Corp. (PCS Group)+...... 24,415 2,024,919
Vodafone AirTouch PLC ADR...... 37,110 1,778,961
-----------
4,828,567
-----------
TELEPHONE--6.5%
AT&T Corp...................... 20,000 935,000
MCI WorldCom, Inc.+............ 35,920 3,080,140
</TABLE>
44
<PAGE>
STYLE SELECT SERIES LOGO
Focused Growth and Income Portfolio
- -------------------------------------------
PORTFOLIO OF INVESTMENTS -- OCTOBER 31, 1999 -- (CONTINUED)
<TABLE>
<CAPTION>
SHARES/
PRINCIPAL
AMOUNT VALUE
SECURITY DESCRIPTION (IN THOUSANDS) (NOTE 3)
- ----------------------------------------------------------------
<S> <C> <C>
</TABLE>
COMMON STOCK (CONTINUED)
TELEPHONE (CONTINUED)
<TABLE>
<CAPTION>
SHARES/
PRINCIPAL
AMOUNT VALUE
SECURITY DESCRIPTION (IN THOUSANDS) (NOTE 3)
- ----------------------------------------------------------------
<S> <C> <C>
Time Warner Telecom, Inc.,
Class A...................... 60,000 $ 1,511,250
-----------
5,526,390
-----------
TOTAL INVESTMENT SECURITIES--92.3%
(cost $68,685,316)............. 78,053,120
-----------
SHORT-TERM SECURITIES--6.0%
Federal National Mortgage
Association Discount Notes
5.16% due 11/01/99
(cost $5,100,000)............ $5,100 5,100,000
-----------
REPURCHASE AGREEMENT--5.4%
Joint Repurchase Agreement
(Note 3)
(cost $4,527,000)............ 4,527 4,527,000
-----------
TOTAL INVESTMENTS--
(cost $78,312,316)............. 103.7% 87,680,120
Liabilities in excess of other
assets......................... (3.7) (3,144,042)
------ -----------
NET ASSETS-- 100.0% $84,536,078
====== ===========
</TABLE>
- ------------------
+ Non-income producing security
ADR ("American Depositary Receipt")
GDR ("Global Depositary Receipt")
(1) Security is traded with rights attached
See Notes to Financial Statements
45
<PAGE>
STYLE SELECT SERIES LOGO
Large-Cap Value Portfolio
- -------------------------------------------
PORTFOLIO OF INVESTMENTS -- OCTOBER 31, 1999
<TABLE>
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
<S> <C> <C>
- --------------------------------------------------------
<CAPTION>
<S> <C> <C>
COMMON STOCK--95.1%
AEROSPACE & MILITARY TECHNOLOGY--1.9%
Boeing Co. ................. 9,400 $ 432,988
Lockheed Martin Corp. ...... 14,900 298,000
Precision Castparts
Corp.(1) ................. 4,900 144,550
Raytheon Co., Class B ...... 8,400 244,650
-----------
1,120,188
-----------
APPAREL & TEXTILES--0.6%
Reebok International
Ltd.+ .................... 38,000 372,875
-----------
AUTOMOTIVE--1.3%
Dana Corp. ................. 12,600 372,488
Ford Motor Co. ............. 4,000 219,500
General Motors Corp. ....... 2,200 154,550
-----------
746,538
-----------
BANKS--6.2%
BankAmerica Corp. .......... 502 32,316
Chase Manhattan Corp. ...... 8,700 760,162
Golden West Financial
Corp. .................... 2,600 290,550
MBNA Corp. ................. 1,900 52,488
National City Corp. ........ 41,300 1,218,350
State Street Corp. ......... 1,200 91,350
U.S. Bancorp ............... 29,900 1,108,169
UBS AG ADR ................. 3,100 45,114
-----------
3,598,499
-----------
BROADCASTING & MEDIA--1.1%
Dow Jones & Co., Inc. ...... 900 55,350
Gannett Co., Inc. .......... 5,700 439,612
Tribune Co.(1) ............. 2,400 144,000
WPP Group PLC ADR .......... 100 10,963
-----------
649,925
-----------
BUSINESS SERVICES--0.4%
Waste Management, Inc. ..... 14,200 260,925
-----------
CHEMICALS--1.7%
Air Products & Chemicals,
Inc. ..................... 6,100 167,750
du Pont (E.I.) de Nemours &
Co. ...................... 7,300 470,394
Engelhard Corp. ............ 9,500 167,437
Millenium Chemicals,
Inc. ..................... 10,600 196,100
-----------
1,001,681
-----------
COMMUNICATION EQUIPMENT--0.2%
Loral Space & Communications
Corp.+ ................... 6,900 103,931
-----------
</TABLE>
<TABLE>
- --------------------------------------------------------
<S> <C> <C>
<CAPTION>
<S> <C> <C>
COMPUTERS & BUSINESS EQUIPMENT--7.1%
Apple Computer, Inc.+ ...... 5,800 $ 464,725
Hewlett-Packard Co. ........ 20,800 1,540,500
International Business
Machines Corp. ........... 11,900 1,170,662
Wallace Computer Services,
Inc. ..................... 22,000 486,750
Xerox Corp. ................ 16,900 473,200
-----------
4,135,837
-----------
DRUGS--3.4%
American Home Products
Corp. .................... 16,000 836,000
Bristol-Myers Squibb
Co.(1) ................... 3,300 253,481
Merck & Co., Inc. .......... 1,300 103,431
Pfizer, Inc.(1) ............ 1,200 47,400
Pharmacia & Upjohn, Inc. ... 8,400 453,075
SmithKline Beecham PLC
ADR ...................... 4,700 300,800
-----------
1,994,187
-----------
ELECTRIC UTILITIES--1.9%
American Electric Power Co.,
Inc. ..................... 500 17,250
Central & South West
Corp. .................... 3,600 79,875
Consolidated Edison,
Inc. ..................... 400 15,275
Pinnacle West Capital
Corp. .................... 6,300 232,312
SCANA Corp. ................ 5,800 144,275
Southern Co. ............... 6,300 167,344
Texas Utilities Co. ........ 11,000 426,250
-----------
1,082,581
-----------
ELECTRONICS--4.7%
Applied Materials, Inc.+ ... 5,200 467,025
Eaton Corp. ................ 300 22,575
Intel Corp. ................ 8,000 619,000
Koninklijke (Royal) Philips
Electronics NV ADR ....... 460 47,811
Molex, Inc. ................ 3,325 121,362
Motorola, Inc. ............. 3,300 321,544
Texas Instruments, Inc. .... 12,400 1,112,900
-----------
2,712,217
-----------
ENERGY SERVICES--0.6%
Ashland, Inc. .............. 8,000 264,000
Schlumberger Ltd. .......... 1,900 115,069
-----------
379,069
-----------
</TABLE>
46
<PAGE>
STYLE SELECT SERIES LOGO
Large-Cap Value Portfolio
- -------------------------------------------
PORTFOLIO OF INVESTMENTS -- OCTOBER 31, 1999 -- (CONTINUED)
<TABLE>
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
<S> <C> <C>
- --------------------------------------------------------
<CAPTION>
<S> <C> <C>
</TABLE>
COMMON STOCK (CONTINUED)
<TABLE>
<CAPTION>
<S> <C> <C>
ENERGY SOURCES--5.8%
Atlantic Richfield Co. ..... 6,400 $ 596,400
Burlington Resources,
Inc.(1) .................. 5,100 177,863
Devon Energy Corp. ......... 2,800 108,850
Exxon Corp. ................ 3,700 274,031
Noble Drilling Corp.+ ...... 3,300 73,219
Royal Dutch Petroleum Co. NY
Registry Shares GDR ...... 8,100 485,494
Shell Transport & Trading
Co. PLC NY Shares ADR .... 15,400 706,475
Union Pacific Resources
Group, Inc. .............. 36,400 527,800
Unocal Corp. ............... 6,400 220,800
USX-Marathon Group, Inc. ... 7,500 218,437
-----------
3,389,369
-----------
FINANCIAL SERVICES--15.9%
American Express Co. ....... 12,100 1,863,400
Associates First Capital
Corp., Class A ........... 11,500 419,750
Citigroup, Inc. ............ 38,412 2,079,049
Coast Federal Litigation
Contingent Payment Rights
Trust .................... 1,500 1,313
Donaldson, Lufkin &
Jenrette, Inc. ........... 4,400 227,700
Federal Home Loan Mortgage
Corp. .................... 3,700 200,031
Heller Financial, Inc. ..... 4,100 97,375
Household International,
Inc. ..................... 19,000 847,875
MBIA, Inc.(1) .............. 5,500 313,844
Morgan Stanley,
Dean Witter & Co. ........ 4,700 518,469
Providian Financial
Corp. .................... 4,200 457,800
SLM Holding Corp. .......... 10,200 499,163
Student Loan Corp. ......... 1,800 87,975
Wells Fargo Co. ............ 34,100 1,632,537
-----------
9,246,281
-----------
FOOD, BEVERAGE & TOBACCO--2.1%
Coca-Cola Co. .............. 100 5,900
Corn Products International,
Inc.+ .................... 4,900 159,556
Diageo PLC ADR ............. 11,100 450,938
Flowers Industries,
Inc.(1) .................. 6,400 108,000
Philip Morris Cos., Inc. ... 15,300 385,369
</TABLE>
<TABLE>
- --------------------------------------------------------
<S> <C> <C>
<CAPTION>
<S> <C> <C>
</TABLE>
FOOD, BEVERAGE & TOBACCO (CONTINUED)
<TABLE>
<CAPTION>
<S> <C> <C>
Universal Corp. ............ 6,100 $ 143,350
-----------
1,253,113
-----------
FOREST PRODUCTS--3.7%
Champion International
Corp. .................... 3,000 173,437
Georgia-Pacific Corp.
(Timber Group) ........... 6,000 143,250
Georgia-Pacific Group ...... 6,400 254,000
Potlatch Corp. ............. 10,800 455,625
Sealed Air Corp.+ .......... 4,800 265,800
Weyerhaeuser Co. ........... 7,300 435,719
Willamette Industries,
Inc.(1) .................. 9,700 403,156
-----------
2,130,987
-----------
GAS & PIPELINE UTILITIES--1.6%
Equitable Resources,
Inc. ..................... 13,000 474,500
National Fuel Gas Co. ...... 9,800 478,975
-----------
953,475
-----------
HEALTH SERVICES--4.4%
Columbia/HCA Healthcare
Corp. .................... 20,600 496,975
LifePoint Hospitals,
Inc.+ .................... 4,035 46,655
Tenet Healthcare Corp.+ .... 34,700 674,481
Triad Hospitals, Inc.+ ..... 4,035 39,341
United HealthCare Corp. .... 11,000 568,563
Wellpoint Health Networks,
Inc., Class A+ ........... 12,900 748,200
-----------
2,574,215
-----------
HOUSEHOLD PRODUCTS--0.9%
Colgate-Palmolive Co. ...... 1,200 72,600
Gillette Co.(1) ............ 2,300 83,231
Kimberly-Clark Corp. ....... 5,800 366,125
-----------
521,956
-----------
HOUSING--0.8%
Masco Corp. ................ 14,500 442,250
-----------
INSURANCE--6.8%
Ace Ltd. ................... 11,600 225,475
Aetna, Inc. ................ 8,600 432,150
Allstate Corp. ............. 16,800 483,000
American General Corp. ..... 3,500 259,656
American International
Group, Inc.* ............. 937 96,453
Chubb Corp. ................ 3,000 164,625
CIGNA Corp.(1) ............. 4,100 306,475
</TABLE>
47
<PAGE>
STYLE SELECT SERIES LOGO
Large-Cap Value Portfolio
- -------------------------------------------
PORTFOLIO OF INVESTMENTS -- OCTOBER 31, 1999 -- (CONTINUED)
<TABLE>
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
<S> <C> <C>
- --------------------------------------------------------
<CAPTION>
<S> <C> <C>
</TABLE>
COMMON STOCK (CONTINUED)
INSURANCE (CONTINUED)
<TABLE>
<CAPTION>
<S> <C> <C>
Marsh & McLennan Cos.,
Inc.(1) .................. 4,800 $ 379,500
Progressive Corp. .......... 4,100 379,506
StanCorp Financial Group,
Inc.+ .................... 6,100 154,788
Transatlantic Holdings,
Inc. ..................... 5,400 407,025
Travelers Property Casualty
Corp., Class A ........... 13,600 489,600
UnumProvident Corp. ........ 5,546 182,671
-----------
3,960,924
-----------
INTERNET CONTENT--0.7%
MediaOne Group, Inc.+ ...... 5,600 397,950
-----------
LEISURE & TOURISM--2.7%
Brunswick Corp.(1) ......... 6,600 149,325
KLM Royal Dutch Airlines
NV-NY Registry Shares .... 15,106 406,918
Marriott International,
Inc., Class A ............ 4,500 151,594
McDonald's Corp.(1) ........ 21,000 866,250
-----------
1,574,087
-----------
MACHINERY--0.4%
Dover Corp. ................ 5,300 225,581
-----------
MEDICAL PRODUCTS--1.0%
Baxter International,
Inc. ..................... 8,600 557,925
Johnson & Johnson Co. ...... 300 31,425
-----------
589,350
-----------
METALS & MINERALS--3.4%
Alcoa, Inc. ................ 12,000 729,000
Hanson PLC ADR ............. 6,100 235,994
Martin Marietta Materials,
Inc. ..................... 8,200 319,288
USX-US Steel Group, Inc. ... 18,200 465,237
Vulcan Materials Co. ....... 5,300 218,956
-----------
1,968,475
-----------
MULTI-INDUSTRY--3.0%
Berkshire Hathaway, Inc.,
Class A+ ................. 14 894,600
Berkshire Hathaway, Inc.,
Class B+ ................. 168 351,120
Cooper Industries, Inc. .... 2,900 124,881
General Electric Co. ....... 100 13,556
</TABLE>
<TABLE>
- --------------------------------------------------------
<S> <C> <C>
<CAPTION>
<S> <C> <C>
</TABLE>
MULTI-INDUSTRY (CONTINUED)
<TABLE>
<CAPTION>
<S> <C> <C>
Monsanto Co. ............... 900 $ 34,650
Tyco International Ltd. .... 8,600 343,463
-----------
1,762,270
-----------
REAL ESTATE COMPANIES--0.1%
Boardwalk Equities,
Inc.+ .................... 100 815
Rouse Co. .................. 2,200 48,675
-----------
49,490
-----------
REAL ESTATE INVESTMENT TRUSTS--0.6%
CenterPoint Properties
Corp. .................... 100 3,263
Crescent Real Estate
Equities Co. ............. 5,400 90,112
Equity Residential
Properties Trust ......... 800 33,450
General Growth Properties,
Inc. ..................... 3,300 95,494
Mack-Cali Realty Corp. ..... 800 20,600
Public Storage, Inc. ....... 1,100 26,537
Vornado Realty Trust ....... 1,700 53,869
-----------
323,325
-----------
RETAIL--4.2%
Harcourt General, Inc. ..... 14,600 562,100
Kmart Corp.+ ............... 44,200 444,762
Limited, Inc. .............. 12,200 501,725
May Department Stores Co. .. 7,850 272,297
Neiman Marcus Group, Inc.
Class B+ ................. 4,399 94,303
Penney (J.C.), Inc.(1) ..... 6,900 175,088
Sears, Roebuck & Co. ....... 14,300 403,081
Too, Inc.+ ................. 1,528 24,448
-----------
2,477,804
-----------
SOFTWARE--2.9%
Computer Sciences
Corp.+(1) ................ 3,200 219,800
First Data Corp. ........... 13,700 625,919
Novell, Inc.+ .............. 4,100 82,000
Oracle Corp.+ .............. 6,500 309,156
Quantum Corp.-DLT & Storage
Systems+ ................. 15,000 231,563
SAP AG ADR ................. 4,900 179,156
Unisys Corp. ............... 900 21,825
-----------
1,669,419
-----------
TELECOMMUNICATIONS--0.5%
Alcatel Alsthom ADR ........ 7,800 239,363
</TABLE>
48
<PAGE>
STYLE SELECT SERIES LOGO
Large-Cap Value Portfolio
- -------------------------------------------
PORTFOLIO OF INVESTMENTS -- OCTOBER 31, 1999 -- (CONTINUED)
<TABLE>
<CAPTION>
SHARES/
PRINCIPAL
AMOUNT VALUE
SECURITY DESCRIPTION (IN THOUSANDS) (NOTE 3)
- -------------------------------------------------------------
<S> <C> <C>
</TABLE>
COMMON STOCK (CONTINUED)
TELECOMMUNICATIONS (CONTINUED)
<TABLE>
<CAPTION>
SHARES/
PRINCIPAL
AMOUNT VALUE
SECURITY DESCRIPTION (IN THOUSANDS) (NOTE 3)
- -------------------------------------------------------------
<S> <C> <C>
Globalstar
Telecommunications
Ltd.+ .................... 3,500 $ 77,000
-----------
316,363
-----------
TELEPHONE--1.0%
AT&T Corp. ................. 7,600 355,300
MCI WorldCom, Inc.+ ........ 3,000 257,250
-----------
612,550
-----------
TRANSPORTATION--1.5%
Canadian National Railway
Co. ...................... 5,400 164,700
CSX Corp.(1) ............... 15,600 639,600
Norfolk Southern Corp. ..... 3,400 83,088
-----------
887,388
-----------
TOTAL COMMON STOCK
(cost $52,666,070).......... 55,485,075
-----------
PREFERRED STOCK--0.1%
FINANCIAL SERVICES--0.0%
Devon Financing Trust
convertible 6.50% ........ 200 12,725
-----------
REAL ESTATE INVESTMENT TRUSTS--0.1%
General Growth Properties,
Inc. convertible 7.25% ... 2,500 52,500
-----------
TOTAL PREFERRED STOCK
(cost $79,960).............. 65,225
-----------
TOTAL INVESTMENT SECURITIES--95.2%
(cost $52,746,030).......... 55,550,300
-----------
SHORT-TERM SECURITIES--1.0%
Cayman Island Time Deposit
with State Street Bank and
Trust Co.
3.00% due 11/01/99
(cost $575,000)........... $ 575 575,000
-----------
<CAPTION>
PRINCIPAL
AMOUNT VALUE
SECURITY DESCRIPTION (IN THOUSANDS) (NOTE 3)
- -------------------------------------------------------------
<S> <C> <C>
REPURCHASE AGREEMENTS--2.9%
Joint Repurchase Agreement
(Note 3)
(cost $165,000) .......... $ 165 $ 165,000
Agreement with State Street
Bank & Trust Co., bearing
5.27%, dated 10/29/99 to
be repurchased 11/01/99 in
the amount of $1,518,667,
collateralized by
$1,560,000 Federal
National Mortgage
Association 5.26% due
11/15/01 approximate
aggregate value $1,565,460
(cost 1,518,000) ......... 1,518 1,518,000
-----------
TOTAL REPURCHASE AGREEMENTS
(cost $1,683,000) .......... 1,683,000
-----------
TOTAL INVESTMENTS--
(cost $55,004,030) ......... 99.1% 57,808,300
Other assets less
liabilities................. 0.9 514,851
--------- -----------
NET ASSETS-- 100.0% $58,323,151
========= ===========
</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
49
<PAGE>
STYLE SELECT SERIES LOGO
Value Portfolio
- -------------------------------------------
PORTFOLIO OF INVESTMENTS -- OCTOBER 31, 1999
<TABLE>
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
<S> <C> <C>
- ------------------------------------------------------------
<CAPTION>
<S> <C> <C>
COMMON STOCK--90.0%
AEROSPACE & MILITARY TECHNOLOGY--0.8%
Allied Signal, Inc.......... 4,900 $ 278,994
General Dynamics Corp....... 19,500 1,081,031
------------
1,360,025
------------
APPAREL & TEXTILES--0.2%
V.F. Corp................... 9,000 270,563
------------
AUTOMOTIVE--2.3%
Delphi Automotive Systems
Corp...................... 5,000 82,188
General Motors Corp......... 18,400 1,292,600
General Motors Corp.,
Class H................... 19,400 1,412,562
Lear Corp.+................. 18,700 631,125
Superior Industries
International, Inc........ 15,800 421,662
------------
3,840,137
------------
BANKS--7.1%
Bank of New York
Co., Inc.................. 17,900 749,563
BankAmerica Corp............ 11,181 719,777
Century Bancorp, Inc........ 4,000 71,000
Chase Manhattan Corp........ 19,000 1,660,125
Commerce
Bancshares, Inc........... 1,600 61,800
First Union Corp.(1)........ 8,300 354,306
First Virginia
Banks, Inc.(1)............ 43,300 2,072,987
Golden West Financial
Corp...................... 8,600 961,050
KeyCorp..................... 53,800 1,503,037
Regions Financial Corp...... 8,000 240,000
State Street Corp........... 4,100 312,113
Summit Bancorp.............. 50,000 1,731,250
U.S. Bancorp................ 18,400 681,950
UBS AG ADR.................. 5,300 77,131
UMB Financial Corp.......... 14,000 574,000
------------
11,770,089
------------
BROADCASTING & MEDIA--2.3%
AT&T Corp.-Liberty Media
Group, Inc., Class A+..... 25,200 1,000,125
Banta Corp.................. 5,000 113,125
Dow Jones & Co., Inc........ 3,900 239,850
Gannett Co., Inc............ 7,500 578,437
News Corp., Ltd. ADR........ 50,700 1,397,419
Tribune Co.(1).............. 7,300 438,000
Washington Post Co.,
Class B................... 100 53,206
WPP Group PLC ADR........... 500 54,813
------------
3,874,975
------------
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- ------------------------------------------------------------
<S> <C> <C>
BUSINESS SERVICES--1.1%
Ceridian Corp............... 23,300 $ 511,144
HON INDUSTRIES, Inc......... 30,000 588,750
LabOne, Inc................. 22,200 191,475
Waste Management, Inc....... 29,072 534,198
------------
1,825,567
------------
CHEMICALS--2.4%
Bush Boake Allen, Inc.+..... 45,600 1,065,900
du Pont (E.I.) de Nemours &
Co........................ 11,900 766,806
Engelhard Corp.............. 23,700 417,713
Praxair, Inc................ 21,800 1,019,150
R.P.M., Inc................. 61,400 732,962
------------
4,002,531
------------
COMMUNICATION EQUIPMENT--0.9%
Loral Space &
Communications Corp.+..... 26,200 394,638
Nortel Networks Corp........ 18,300 1,133,456
SBC Communications, Inc..... 100 5,094
------------
1,533,188
------------
COMPUTERS & BUSINESS EQUIPMENT--5.0%
Compaq Computer Corp........ 13,500 256,500
Hewlett-Packard Co.......... 40,800 3,021,750
International Business
Machines Corp............. 37,400 3,679,225
Teradyne, Inc.+(1).......... 5,300 204,050
Xerox Corp.................. 43,400 1,215,200
------------
8,376,725
------------
DRUGS--3.7%
American Home Products
Corp...................... 55,900 2,920,775
Bristol-Myers Squibb
Co.(1).................... 10,500 806,531
Merck & Co., Inc............ 16,300 1,296,869
Pfizer, Inc.(1)............. 4,800 189,600
SmithKline Beecham PLC
ADR....................... 14,600 934,400
------------
6,148,175
------------
ELECTRIC UTILITIES--1.1%
Duke Energy Corp............ 100 5,650
Edison International........ 100 2,963
Florida Progress Corp.(1)... 7,500 343,594
FPL Group, Inc.(1).......... 9,000 452,812
IDACORP, Inc................ 7,700 232,444
Sierra Pacific Resources.... 7,947 178,808
</TABLE>
50
<PAGE>
STYLE SELECT SERIES LOGO
Value Portfolio
- -------------------------------------------
PORTFOLIO OF INVESTMENTS -- OCTOBER 31, 1999 -- (CONTINUED)
<TABLE>
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- ------------------------------------------------------------
<S> <C> <C>
</TABLE>
COMMON STOCK (CONTINUED)
ELECTRIC UTILITIES (CONTINUED)
<TABLE>
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- ------------------------------------------------------------
<S> <C> <C>
Southern Co................. 100 $ 2,656
Unicom Corp................. 15,700 601,506
------------
1,820,433
------------
ELECTRONICS--5.5%
Applied Materials, Inc.+.... 17,200 1,544,775
Intel Corp.................. 15,200 1,176,100
Koninklijke (Royal) Philips
Electronics NV ADR........ 2,760 286,867
Molex, Inc.................. 10,712 390,988
Motorola, Inc............... 15,200 1,481,050
Texas Instruments, Inc...... 47,700 4,281,075
------------
9,160,855
------------
ENERGY SERVICES--0.9%
McDermott
International, Inc........ 27,100 491,188
Schlumberger Ltd............ 6,400 387,600
Transocean
Offshore, Inc............. 23,200 630,750
------------
1,509,538
------------
ENERGY SOURCES--4.0%
Amerada Hess Corp........... 100 5,738
Atlantic Richfield Co....... 200 18,638
Burlington
Resources, Inc.(1)........ 6,900 240,638
Chevron Corp.(1)............ 8,500 776,156
Devon Energy Corp........... 9,500 369,313
Exxon Corp.................. 5,000 370,312
Mobil Corp.(1).............. 100 9,650
Murphy Oil Corp............. 5,700 319,556
Texaco, Inc.(1)............. 13,700 840,837
Tosco Corp.................. 23,700 599,906
Total Fina SA ADR........... 1,500 100,031
USX-Marathon Group, Inc..... 24,400 710,650
WD-40 Co.................... 47,000 1,060,437
Williams Cos., Inc.......... 31,400 1,177,500
------------
6,599,362
------------
ENTERTAINMENT PRODUCTS--0.8%
National Presto
Industries, Inc........... 35,500 1,313,500
------------
FINANCIAL SERVICES--14.4%
American Express Co......... 29,900 4,604,600
Citigroup, Inc.............. 58,284 3,154,621
Countrywide Credit
Industries, Inc.(1)....... 23,100 783,956
Donaldson, Lufkin &
Jenrette, Inc............. 14,200 734,850
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- ------------------------------------------------------------
<S> <C> <C>
</TABLE>
FINANCIAL SERVICES (CONTINUED)
<TABLE>
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- ------------------------------------------------------------
<S> <C> <C>
Dun & Bradstreet Corp....... 4,300 $ 126,313
Federal Home Loan Mortgage
Corp...................... 13,000 702,812
Fleet Boston Corp........... 17,700 772,162
Household
International, Inc........ 82,600 3,686,025
Morgan (J.P.) &
Co., Inc.................. 200 26,175
Morgan Stanley, Dean
Witter & Co............... 18,610 2,052,916
Providian Financial Corp.... 13,600 1,482,400
SLM Holding Corp............ 13,800 675,338
Student Loan Corp........... 20,600 1,006,825
United Asset Management
Corp...................... 20,700 429,525
Wells Fargo Co.............. 80,000 3,830,000
------------
24,068,518
------------
FOOD, BEVERAGE & TOBACCO--3.7%
Anheuser-Busch
Cos., Inc.(1)............. 16,100 1,156,181
Archer-Daniels-Midland
Co........................ 55,010 677,311
Coca-Cola Co................ 500 29,500
Diageo PLC ADR.............. 17,800 723,125
Gallaher Group PLC ADR...... 200 4,738
Interstate Bakeries Corp.... 11,300 228,825
Lance, Inc.................. 69,300 835,931
Nabisco Holdings Corp.,
Class A................... 18,500 691,438
Philip Morris Cos., Inc..... 29,000 730,437
Tyson Foods, Inc.,
Class A................... 27,000 411,750
UST, Inc.................... 24,000 664,500
------------
6,153,736
------------
FOREST PRODUCTS--2.9%
Bemis Co., Inc. (1)......... 22,000 768,625
Consolidated
Papers, Inc............... 22,600 707,663
Fort James Corp............. 10,600 278,913
International Paper Co...... 248 13,051
Minnesota Mining &
Manufacturing Co.......... 13,200 1,254,825
Sealed Air Corp.+........... 15,600 863,850
Sonoco Products Co.......... 700 16,800
Westvaco Corp.(1)........... 7,100 210,781
Weyerhaeuser Co............. 13,000 775,937
------------
4,890,445
------------
GAS & PIPELINE UTILITIES--3.1%
AGL Resources, Inc.......... 121,000 2,109,937
Cascade Natural Gas Corp.... 13,200 239,250
El Paso Energy Corp......... 100 4,100
</TABLE>
51
<PAGE>
STYLE SELECT SERIES LOGO
Value Portfolio
- -------------------------------------------
PORTFOLIO OF INVESTMENTS -- OCTOBER 31, 1999 -- (CONTINUED)
<TABLE>
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- ------------------------------------------------------------
<S> <C> <C>
</TABLE>
COMMON STOCK (CONTINUED)
GAS & PIPELINE UTILITIES (CONTINUED)
<TABLE>
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- ------------------------------------------------------------
<S> <C> <C>
Laclede Gas Co.(1).......... 28,000 $ 596,750
Washington Gas Light Co..... 30,900 840,094
WICOR, Inc.................. 46,800 1,392,300
------------
5,182,431
------------
HEALTH SERVICES--0.4%
Wellpoint Health
Networks, Inc.,
Class A+.................. 10,200 591,600
------------
HOUSEHOLD PRODUCTS--0.3%
Colgate-Palmolive Co........ 5,000 302,500
Gillette Co.(1)............. 7,600 275,025
------------
577,525
------------
HOUSING--1.1%
Masco Corp.................. 48,900 1,491,450
Maytag Corp.(1)............. 200 8,013
The Stanley Works(1)........ 4,300 119,325
York International Corp..... 8,000 188,500
------------
1,807,288
------------
INSURANCE--5.3%
Ace Ltd..................... 22,800 443,175
Aetna, Inc.................. 6,459 324,565
American International
Group, Inc.*.............. 4,156 427,808
Aon Corp.................... 5,900 209,450
Argonaut Group, Inc......... 25,400 606,425
Chubb Corp.................. 17,800 976,775
CIGNA Corp.(1).............. 21,000 1,569,750
Horace Mann Educators
Corp...................... 3,400 95,837
Ohio Casualty Corp.......... 14,100 235,294
Progressive Corp............ 13,500 1,249,594
Transatlantic
Holdings, Inc............. 18,100 1,364,287
Unitrin, Inc................ 2,800 104,650
UnumProvident Corp.......... 19,019 626,438
XL Capital Ltd., Class A.... 11,745 630,560
------------
8,864,608
------------
LEISURE & TOURISM--2.7%
AMR Corp.+.................. 7,600 482,600
Continental Airlines, Inc.,
Class B+.................. 17,700 716,850
Marriott
International, Inc.,
Class A................... 14,700 495,206
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- ------------------------------------------------------------
<S> <C> <C>
</TABLE>
LEISURE & TOURISM (CONTINUED)
<TABLE>
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- ------------------------------------------------------------
<S> <C> <C>
McDonald's Corp.(1)......... 66,500 $ 2,743,125
------------
4,437,781
------------
MACHINERY--1.5%
Dover Corp.................. 16,800 715,050
Flowserve Corp.............. 54,900 926,437
Nordson Corp................ 16,600 735,588
Tecumseh Products Co.,
Class A................... 2,500 119,844
------------
2,496,919
------------
MEDICAL PRODUCTS--1.8%
Baxter
International, Inc........ 13,500 875,813
Becton, Dickinson & Co...... 33,200 842,450
Johnson & Johnson Co........ 11,600 1,215,100
------------
2,933,363
------------
METALS & MINERALS--1.9%
AK Steel Holding Corp....... 22,800 394,725
Alcoa, Inc.................. 7,500 455,625
American National Can
Group, Inc.+.............. 23,800 297,500
Carpenter Technology Corp... 20,000 487,500
Martin Marietta
Materials, Inc............ 18,400 716,450
Vulcan Materials Co......... 18,500 764,281
------------
3,116,081
------------
MULTI-INDUSTRY--3.3%
Berkshire Hathaway, Inc.,
Class A+.................. 49 3,131,100
Fortune Brands, Inc......... 200 7,087
General Electric Co......... 400 54,225
Monsanto Co................. 32,100 1,235,850
Tyco International Ltd...... 27,700 1,106,269
------------
5,534,531
------------
REAL ESTATE COMPANIES--0.0%
Boardwalk
Equities, Inc.+........... 700 5,707
Rouse Co.................... 2,900 64,162
------------
69,869
------------
REAL ESTATE INVESTMENT TRUSTS--1.0%
CenterPoint Properties
Corp...................... 2,300 75,038
Crescent Real Estate
Equities Co............... 13,400 223,612
Equity Residential
Properties Trust.......... 2,700 112,894
</TABLE>
52
<PAGE>
STYLE SELECT SERIES LOGO
Value Portfolio
- -------------------------------------------
PORTFOLIO OF INVESTMENTS -- OCTOBER 31, 1999 -- (CONTINUED)
<TABLE>
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- ------------------------------------------------------------
<S> <C> <C>
</TABLE>
COMMON STOCK (CONTINUED)
REAL ESTATE INVESTMENT TRUSTS (CONTINUED)
<TABLE>
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- ------------------------------------------------------------
<S> <C> <C>
General Growth
Properties, Inc........... 10,500 $ 303,844
Mack-Cali Realty Corp....... 4,200 108,150
Manufactured Home
Communities, Inc.......... 25,000 582,812
Public Storage, Inc......... 2,700 65,138
Vornado Realty Trust........ 5,400 171,112
------------
1,642,600
------------
RETAIL--1.6%
Consolidated Stores
Corp.+.................... 25,200 461,475
Harcourt General, Inc....... 29,500 1,135,750
Neiman Marcus Group, Inc.
Class B+.................. 6,617 141,859
The Kroger Co.+ (1)......... 41,500 863,719
------------
2,602,803
------------
SOFTWARE--3.1%
Autodesk, Inc............... 17,700 329,662
Cadence Design
Systems, Inc.+(1)......... 37,900 575,606
Computer Associates
International, Inc........ 26,300 1,485,950
Novell, Inc.+............... 15,400 308,000
Oracle Corp.+............... 21,100 1,003,569
Parametric Technology
Corp.+.................... 44,700 852,094
SAP AG ADR.................. 15,900 581,344
Unisys Corp................. 3,400 82,450
------------
5,218,675
------------
TELECOMMUNICATIONS--1.1%
Ericsson L.M.
Telecommunications Co.,
ADR Class B............... 28,700 1,225,131
Globalstar
Telecommunications Ltd.+.. 14,644 322,168
Nextel
Communications, Inc.,
Class A+.................. 3,200 275,800
------------
1,823,099
------------
TELEPHONE--1.6%
AT&T Corp................... 1,900 88,825
Bell Atlantic Corp.(1)...... 7,000 454,563
GTE Corp.................... 9,400 705,000
MCI WorldCom, Inc.+......... 17,300 1,483,475
------------
2,731,863
------------
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- ------------------------------------------------------------
<S> <C> <C>
TRANSPORTATION--1.1%
Burlington Northern Santa Fe
Corp...................... 27,200 $ 867,000
XTRA Corp................... 25,000 1,039,063
------------
1,906,063
------------
TOTAL COMMON STOCK
(cost $136,254,686)......... 150,055,461
------------
PREFERRED STOCK--3.1%
CHEMICALS--0.1%
Hercules Trust II
convertible 6.50%......... 250 188,595
------------
ENERGY SOURCES--1.1%
Belco Oil & Gas Corp.
convertible 6.50%......... 14,000 232,750
Unocal Capital Trust
convertible 6.25%......... 30,200 1,585,500
------------
1,818,250
------------
FINANCIAL SERVICES--0.3%
Devon Financing Trust
convertible 6.50%......... 1,000 63,625
Merrill Lynch & Co., Inc.
Series IGL
convertible 6.25%......... 30,000 474,375
------------
538,000
------------
FOOD, BEVERAGE & TOBACCO--0.8%
Ralston Purina Co.
convertible 7.00%......... 29,600 1,230,250
------------
GAS & PIPELINE UTILITIES--0.6%
Avista Corp. Series L
convertible $1.24......... 60,000 1,046,250
------------
REAL ESTATE COMPANIES--0.0%
Rouse Co. Series B
convertible 3.00%......... 400 14,075
------------
REAL ESTATE INVESTMENT TRUSTS--0.2%
General Growth
Properties, Inc.
convertible 7.25%......... 10,700 224,700
Vornado Realty Trust
Series A convertible
6.50%..................... 300 13,631
------------
238,331
------------
TOTAL PREFERRED STOCK
(cost $5,667,882)........... 5,073,751
------------
</TABLE>
53
<PAGE>
STYLE SELECT SERIES LOGO
Value Portfolio
- -------------------------------------------
PORTFOLIO OF INVESTMENTS -- OCTOBER 31, 1999 -- (CONTINUED)
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
SECURITY DESCRIPTION (IN THOUSANDS) (NOTE 3)
- --------------------------------------------------------------
<S> <C> <C>
BONDS & NOTES--2.7%
BUSINESS SERVICES--0.5%
Waste Management, Inc.
convertible
4.00% due 2/01/02......... $ 550 $ 462,000
WMX Technologies, Inc.
convertible
2.00% due 1/24/05......... 550 449,625
------------
911,625
------------
ELECTRIC UTILITIES--0.3%
Niagara Mohawk Power Corp.
Series H
zero coupon
due 7/01/10............... 350 255,500
Niagara Mohawk Power Corp.
Series E
7.38% due 7/01/03......... 189 189,378
------------
444,878
------------
ENERGY SERVICES--0.3%
Diamond Offshore
Drilling, Inc. convertible
3.75% due 2/15/07......... 501 511,646
------------
HEALTH SERVICES--1.1%
Healthsouth Corp.
3.25% due 4/01/03......... 800 600,000
Medical Care
International, Inc.
convertible
6.75% due 10/01/06........ 1,475 1,224,250
------------
1,824,250
------------
MEDICAL PRODUCTS--0.3%
Beckman Instruments
7.45% due 3/04/08......... 550 507,732
------------
RETAIL--0.2%
Office Depot Inc.
convertible zero coupon
due 12/11/07.............. 450 303,188
------------
TOTAL BONDS & NOTES
(cost $4,799,698)........... 4,503,319
------------
TOTAL INVESTMENT SECURITIES--95.8%
(cost $146,722,266)......... 159,632,531
------------
<CAPTION>
PRINCIPAL
AMOUNT VALUE
SECURITY DESCRIPTION (IN THOUSANDS) (NOTE 3)
- --------------------------------------------------------------
<S> <C> <C>
SHORT-TERM SECURITIES--1.1%
Cayman Island Time Deposit
with State Street Bank and
Trust Co.
4.00% due 11/01/99
(cost $1,862,000)......... $ 1,862 $ 1,862,000
------------
REPURCHASE AGREEMENTS--2.2%
Agreement with State Street
Bank and Trust Co.,
bearing 4.25%, dated
10/29/99 to be repurchased
11/01/99 in the amount of
$134,047 collateralized by
$135,000 U.S. Treasury
Note 5.63% due 5/15/01
approximate aggregate
value $138,078
(cost $134,000)........... 134 134,000
Agreement with State Street
Bank and Trust Co.,
bearing 5.27%, dated
10/29/99 to be repurchased
11/01/99 in the amount of
$3,583,573 collateralized
by $3,695,000 Federal
National Mortgage
Association 5.65% due
4/28/00 approximate
aggregate value $3,692,783
(cost $3,582,000)......... 3,582 3,582,000
------------
TOTAL REPURCHASE AGREEMENTS
(cost $3,716,000)........... 3,716,000
------------
TOTAL INVESTMENTS--
(cost $152,300,266)......... 99.1% 165,210,531
Other assets less
liabilities................... 0.9 1,532,195
--------- ------------
NET ASSETS-- 100.0% $166,742,726
========= ============
</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
54
<PAGE>
STYLE SELECT SERIES LOGO
Small-Cap Value Portfolio
- -------------------------------------------
PORTFOLIO OF INVESTMENTS -- OCTOBER 31, 1999
<TABLE>
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
<S> <C> <C>
- -------------------------------------------------------------
<CAPTION>
<S> <C> <C>
COMMON STOCK--90.3%
AEROSPACE & MILITARY TECHNOLOGY--0.7%
AAR Corp.(1).................. 5,600 $ 93,450
Aviation Sales Co.+........... 2,600 45,175
REMEC, Inc.+.................. 17,000 176,375
-----------
315,000
-----------
APPAREL & TEXTILES--2.0%
Nautica Enterprises, Inc.+.... 4,800 72,000
Spiegel, Inc., Class A +...... 10,000 143,750
Stride Rite Corp.(1).......... 4,900 32,156
Talbots, Inc.................. 2,300 108,244
Venator Group, Inc.+.......... 14,500 101,500
Wolverine World
Wide, Inc.(1)............... 42,000 430,500
-----------
888,150
-----------
AUTOMOTIVE--1.3%
Apogee Enterprises, Inc....... 14,400 89,550
Borg-Warner
Automotive, Inc............. 3,700 146,150
Dura Automotive
Systems, Inc.+.............. 3,200 59,200
Polaris Industries, Inc....... 3,700 129,269
Tower Automotive, Inc.+....... 11,000 179,437
-----------
603,606
-----------
BANKS--7.2%
Astoria Financial Corp........ 3,560 127,938
CCB Financial Corp.(1)........ 11,000 506,000
Chittenden Corp............... 1,300 40,138
Community Bank
Systems, Inc................ 7,000 187,250
F.N.B. Corp................... 12,050 308,781
Hudson United Bancorp......... 5,587 175,641
InterWest Bancorp, Inc........ 12,000 222,000
Keystone Financial, Inc....... 12,000 300,000
Peoples Heritage Financial
Group, Inc.................. 30,000 568,125
Republic Security Financial
Corp........................ 22,900 191,787
Riverview Bancorp, Inc........ 14,000 158,375
Seacoast Financial Services
Corp........................ 20,000 218,750
Southwest Bancorp. of
Texas, Inc.+................ 7,700 132,344
Staten Islands
Bancorp, Inc................ 6,600 127,875
-----------
3,265,004
-----------
BROADCASTING & MEDIA--1.5%
Banta Corp.................... 8,600 194,575
Imax Corp.+................... 3,200 66,000
Jones Intercable, Inc.,
Class A+.................... 3,500 190,750
Pulitzer, Inc................. 2,700 115,763
Quebecor Printing, Inc........ 647 14,921
</TABLE>
<TABLE>
- -------------------------------------------------------------
<S> <C> <C>
<CAPTION>
<S> <C> <C>
</TABLE>
BROADCASTING & MEDIA (CONTINUED)
<TABLE>
<CAPTION>
<S> <C> <C>
R.H. Donnelley Corp........... 4,600 $ 86,825
-----------
668,834
-----------
BUSINESS SERVICES--4.8%
Bowne & Co., Inc.............. 14,700 163,537
CDI Corp.+.................... 4,200 111,300
CIRCOR International, Inc..... 11,750 111,625
FSI International, Inc.+...... 45,800 366,400
Granite Construction, Inc..... 3,200 66,200
HON INDUSTRIES, Inc........... 12,000 235,500
Interim Services, Inc.+....... 27,000 443,812
Mail-Well, Inc.+.............. 6,500 86,938
Pittston Brink's Group........ 4,800 92,100
Romac International, Inc.+.... 30,500 203,969
STERIS Corp.+................. 14,500 193,031
United Stationers, Inc.+...... 4,100 103,525
-----------
2,177,937
-----------
CHEMICALS--1.8%
A. Schulman, Inc.............. 33,700 522,350
Ferro Corp.................... 5,600 114,100
Fuller (H.B.) Co.............. 2,900 159,319
-----------
795,769
-----------
COMMUNICATION EQUIPMENT--2.6%
Anixter
International, Inc.+........ 8,500 177,437
Belden, Inc................... 5,500 101,063
Network Equipment
Technologies, Inc.+(1)...... 26,000 264,875
Vertex Communications Corp.+.. 40,000 622,500
-----------
1,165,875
-----------
COMPUTERS & BUSINESS EQUIPMENT--3.4%
Bell & Howell Co.+............ 6,000 168,750
CompUSA, Inc.+................ 10,500 59,719
Electronics for
Imaging, Inc.+.............. 1,900 76,475
Evans & Sutherland Computer
Corp.+...................... 42,200 498,487
Hypercom Corp.+............... 34,000 272,000
InaCom Corp.+................. 11,000 52,938
Kemet Corp.+.................. 7,900 252,306
Splash Technology
Holdings, Inc.+............. 27,000 148,500
-----------
1,529,175
-----------
DRUGS--1.5%
Omnicare, Inc................. 32,000 296,000
Perrigo Co.+.................. 42,300 319,894
West Pharmaceutical
Services, Inc............... 2,382 82,328
-----------
698,222
-----------
</TABLE>
55
<PAGE>
STYLE SELECT SERIES LOGO
Small-Cap Value Portfolio
- -------------------------------------------
PORTFOLIO OF INVESTMENTS -- OCTOBER 31, 1999 -- (CONTINUED)
<TABLE>
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
<S> <C> <C>
- -------------------------------------------------------------
<CAPTION>
<S> <C> <C>
</TABLE>
COMMON STOCK (CONTINUED)
<TABLE>
<CAPTION>
<S> <C> <C>
ELECTRIC UTILITIES--0.4%
Sierra Pacific Resources...... 7,920 $ 178,200
-----------
ELECTRICAL EQUIPMENT--2.6%
Crane Co.(1).................. 5,600 114,450
Credence Systems Corp.+....... 5,300 241,150
Hussmann
International, Inc.......... 8,400 134,400
MagneTek, Inc.+............... 10,000 68,750
Mark IV Industries, Inc....... 5,300 102,025
Roper Industries, Inc......... 7,000 216,125
Watts Industries, Inc.,
Class A..................... 23,500 321,656
-----------
1,198,556
-----------
ELECTRONICS--3.2%
Allen Telecom, Inc.+.......... 13,500 122,344
Analogic Corp................. 17,600 462,000
Lam Research Corp.+........... 1,400 117,687
Oak Industries, Inc.+......... 4,700 192,700
Pittway Corp., Class A........ 9,000 297,000
Sensormatic Electronics
Corp........................ 3,100 46,888
Tektronix, Inc................ 7,000 236,250
-----------
1,474,869
-----------
ENERGY SERVICES--1.5%
Key Energy Group, Inc......... 80,000 360,000
Marine Drilling Co., Inc.+.... 19,000 307,563
-----------
667,563
-----------
ENERGY SOURCES--2.6%
Barrett Resources Corp.+...... 5,100 171,169
Chieftain
International, Inc.+........ 12,000 229,500
CONSOL Energy, Inc.+.......... 4,700 54,638
Devon Energy Corp............. 5,000 194,375
Evergreen Resources, Inc.+.... 11,000 233,062
Helmerich & Payne, Inc........ 7,400 176,212
Pennzoil-Quaker State Co...... 11,700 138,206
-----------
1,197,162
-----------
ENTERTAINMENT PRODUCTS--0.7%
Harman International
Industries, Inc............. 4,000 163,500
Polaroid Corp.(1)............. 6,200 138,338
-----------
301,838
-----------
FINANCIAL SERVICES--2.0%
E. W. Blanch
Holdings, Inc............... 2,700 174,825
MBIA, Inc.(1)................. 5,500 313,844
Webster Financial Corp.,
Waterbury................... 15,000 427,500
-----------
916,169
-----------
</TABLE>
<TABLE>
- -------------------------------------------------------------
<S> <C> <C>
<CAPTION>
<S> <C> <C>
FOOD, BEVERAGE & TOBACCO--2.2%
American Italian Pasta Co.,
Class A+.................... 7,200 $ 180,900
Aurora Foods, Inc.+........... 6,400 82,400
Flowers
Industries, Inc.(1)......... 5,100 86,062
International Multifoods
Corp........................ 6,400 135,200
Lance, Inc.................... 5,800 69,963
Ralcorp Holdings, Inc.+....... 8,800 171,600
Vlasic Foods
International, Inc.+........ 23,000 176,812
Whitman Corp. New............. 7,800 101,400
-----------
1,004,337
-----------
FOREST PRODUCTS--1.7%
Chesapeake Corp.(1)........... 4,800 144,000
Deltic Timber Corp............ 19,000 426,312
Rayonier, Inc................. 1,680 68,880
Wausau-Mosinee Paper Corp..... 10,500 132,563
-----------
771,755
-----------
GAS & PIPELINE UTILITIES--1.2%
Avista Corp................... 5,600 100,800
Mitchell Energy & Development
Corp., Class B.............. 10,500 250,031
Newfield Exploration Co.+..... 6,000 176,625
-----------
527,456
-----------
HEALTH SERVICES--0.4%
Apria Healthcare
Group, Inc.+................ 7,900 124,919
Sierra Health
Services, Inc.+............. 10,900 79,706
-----------
204,625
-----------
HOUSEHOLD PRODUCTS--0.4%
Ocular Sciences, Inc.+........ 11,000 201,438
-----------
HOUSING--2.2%
Bassett Furniture
Industries, Inc............. 6,000 108,750
Champion
Enterprises, Inc.+.......... 3,380 30,843
Dorel Industries, Inc.,
Class B+.................... 6,400 112,800
Furniture Brands
International, Inc.+........ 8,000 155,000
Hughes Supply, Inc............ 3,700 80,244
Interface, Inc................ 11,000 44,000
Kaufman & Broad Home Corp..... 3,800 76,237
Kimball International, Inc.,
Class B..................... 300 4,800
Pulte Corp.................... 10,290 207,086
Toll Brothers, Inc.+.......... 9,600 168,000
-----------
987,760
-----------
INSURANCE--11.6%
Chiyoda Fire & Marine
Insurance Co., Ltd.......... 50,000 189,412
</TABLE>
56
<PAGE>
STYLE SELECT SERIES LOGO
Small-Cap Value Portfolio
- -------------------------------------------
PORTFOLIO OF INVESTMENTS -- OCTOBER 31, 1999 -- (CONTINUED)
<TABLE>
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
<S> <C> <C>
- -------------------------------------------------------------
<CAPTION>
<S> <C> <C>
</TABLE>
COMMON STOCK (CONTINUED)
INSURANCE (CONTINUED)
<TABLE>
<CAPTION>
<S> <C> <C>
Enhance Financial Services
Group, Inc.................. 42,200 $ 770,150
Everest Reinsurance
Holdings, Inc............... 5,000 128,750
Financial Security Assured
Holdings Ltd................ 12,500 704,687
First American Financial
Corp........................ 45,000 666,562
Frontier Insurance
Group, Inc.................. 7,040 62,480
Gallagher (Arthur J.) & Co.... 3,100 160,425
Harleysville Group, Inc....... 4,300 72,294
HCC Insurance
Holdings, Inc............... 7,600 85,500
IPC Holdings Ltd.............. 20,000 332,500
LaSalle Re Holdings Ltd....... 36,100 467,044
Leucadia National Corp........ 20,400 478,125
Ohio Casualty Corp............ 2,360 39,383
Old Republic International
Corp........................ 25,000 342,187
Presidential Life Corp........ 4,500 82,688
Radian Group, Inc............. 3,199 168,947
Stewart Information Services
Corp........................ 35,000 520,625
-----------
5,271,759
-----------
INVESTMENT COMPANIES--1.4%
Capital Southwest Corp........ 5,500 363,000
Morgan Stanley Asia-Pacific
Fund+....................... 29,000 280,938
-----------
643,938
-----------
LEISURE & TOURISM--0.9%
CKE Restaurants, Inc.......... 5,600 37,800
Landry's Seafood
Restaurants, Inc.+.......... 28,000 210,000
Lone Star Steakhouse &
Saloon, Inc.+............... 6,900 54,984
Prime Hospitality Corp.+...... 9,600 75,000
Ryan's Family Steak
Houses, Inc.+............... 4,800 50,100
-----------
427,884
-----------
MACHINERY--5.7%
Alamo Group, Inc.............. 40,400 333,300
Applied Power, Inc.,
Class A..................... 3,300 95,906
Federal Signal Corp........... 24,200 455,262
Flowserve Corp................ 17,000 286,875
Gleason Corp.................. 17,700 307,537
JLG Industries, Inc........... 16,600 212,688
Regal-Beloit Corp............. 7,200 156,600
Standard Register............. 3,900 85,313
Stewart & Stevenson
Services, Inc............... 14,000 184,625
</TABLE>
<TABLE>
- -------------------------------------------------------------
<S> <C> <C>
<CAPTION>
<S> <C> <C>
</TABLE>
MACHINERY (CONTINUED)
<TABLE>
<CAPTION>
<S> <C> <C>
Toyoda Auto Loom+............. 25,000 $ 486,717
-----------
2,604,823
-----------
MEDICAL PRODUCTS--1.6%
DENTSPLY
International, Inc.......... 3,400 78,838
Invacare Corp................. 6,400 133,600
Sola International, Inc.+..... 25,000 350,000
Sunrise Medical, Inc.+........ 8,800 49,500
Varian Medical
Systems, Inc................ 6,000 126,375
-----------
738,313
-----------
METALS & MINERALS--1.8%
American National Can
Group, Inc.................. 5,900 73,750
Martin Marietta
Materials, Inc.............. 2,400 93,450
NS Group, Inc.+............... 19,000 192,375
Reynolds Metals Co.(1)........ 7,500 453,281
-----------
812,856
-----------
MULTI-INDUSTRY--0.1%
Renaissance Holdings Co.+..... 1,300 47,369
-----------
REAL ESTATE COMPANIES--4.9%
Avatar Holdings, Inc.+........ 12,500 228,125
Catellus Development Corp.+... 49,600 582,800
Forest City
Enterprises, Inc.,
Class A..................... 23,500 587,500
LNR Property Corp............. 25,000 484,375
Wellsford Real
Properties, Inc.+........... 42,400 349,800
-----------
2,232,600
-----------
REAL ESTATE INVESTMENT TRUSTS--6.1%
Chateau Communities, Inc...... 4,800 122,400
Chelsea GCA Realty, Inc....... 700 21,700
FelCor Suite Hotels, Inc...... 8,000 136,000
Gables Residential Trust...... 12,000 290,250
Glenborough Realty
Trust, Inc.................. 7,900 103,194
Home Properties of New
York, Inc................... 12,500 333,594
IRT Property Co............... 24,000 202,500
JDN Realty Corp............... 6,100 116,281
Kilroy Realty Corp............ 2,900 55,644
Koger Equity, Inc............. 31,300 485,150
Mack-Cali Realty Corp......... 3,000 77,250
MGI Properties, Inc........... 1,100 10,656
Parkway Properties, Inc....... 5,000 153,125
Prentiss Properties Trust..... 15,000 321,562
Summit Properties, Inc........ 17,000 325,125
-----------
2,754,431
-----------
RETAIL--4.3%
Borders Group, Inc.+.......... 11,100 144,300
</TABLE>
57
<PAGE>
STYLE SELECT SERIES LOGO
Small-Cap Value Portfolio
- -------------------------------------------
PORTFOLIO OF INVESTMENTS -- OCTOBER 31, 1999 -- (CONTINUED)
<TABLE>
<CAPTION>
SHARES/
PRINCIPAL
AMOUNT VALUE
SECURITY DESCRIPTION (IN THOUSANDS) (NOTE 3)
- ---------------------------------------------------------------
<S> <C> <C>
</TABLE>
COMMON STOCK (CONTINUED)
RETAIL (CONTINUED)
<TABLE>
<CAPTION>
SHARES/
PRINCIPAL
AMOUNT VALUE
SECURITY DESCRIPTION (IN THOUSANDS) (NOTE 3)
- ---------------------------------------------------------------
<S> <C> <C>
Casey's General
Stores, Inc................. 5,400 $ 69,188
Ethan Allen
Interiors, Inc.............. 4,000 142,250
Great Atlantic & Pacific Tea
Co., Inc.................... 5,600 159,950
Jostens, Inc.(1).............. 22,000 464,750
Men's Wearhouse, Inc.+........ 3,600 78,750
Movado Group, Inc............. 4,600 100,337
Payless ShoeSource, Inc.+..... 7,000 320,687
Pier 1 Imports, Inc........... 64,600 383,562
Ruddick Corp.................. 3,000 51,188
Wet Seal, Inc.+............... 3,100 43,400
-----------
1,958,362
-----------
SOFTWARE--1.7%
Complete Business
Solutions, Inc.............. 5,000 72,500
Computer Horizons Corp.+(1)... 30,000 331,875
JDA Software Group, Inc.+..... 21,000 186,375
Mentor Graphics Corp.+........ 9,500 76,000
Quantum Corp.+................ 10,900 66,762
Storage Technology Corp.+..... 2,800 44,100
-----------
777,612
-----------
TELECOMMUNICATIONS--0.4%
General Communication, Inc.,
Class A+.................... 33,970 163,481
-----------
TELEPHONE--0.6%
Aspect Telecommunications
Corp.+...................... 10,000 251,875
-----------
TRANSPORTATION--1.3%
Budget Group, Inc.,
Class A+.................... 2,000 14,000
CNF Transportation, Inc....... 4,600 152,088
Knight Transportation,
Inc.+....................... 12,000 162,000
Knightsbridge Tankers Ltd..... 12,000 181,500
Pittston Burlington Co........ 8,800 64,900
-----------
574,488
-----------
TOTAL COMMON STOCK
(cost $43,864,791)............ 40,999,091
-----------
BONDS & NOTES--1.1%
HEALTH SERVICES--1.1%
Phymatrix Corp., convertible
6.75% due 6/15/03
(cost $461,895)............. $ 1,000 495,000
-----------
TOTAL INVESTMENT SECURITIES--91.4%
(cost $44,326,686)............ 41,494,091
-----------
<CAPTION>
PRINCIPAL
AMOUNT VALUE
SECURITY DESCRIPTION (IN THOUSANDS) (NOTE 3)
- ---------------------------------------------------------------
<S> <C> <C>
REPURCHASE AGREEMENTS--7.7%
Agreement with State Street Bank
and Trust Co., bearing 4.25%,
dated 10/29/99 to be
repurchased 11/01/99 in the
amount of $265,094
collateralized by $275,000
U.S. Treasury Note 5.00%, due
2/28/01 approximate aggregate
value $274,560
(cost $265,000)............... $ 265 $ 265,000
Agreement with State Street Bank
and Trust Co., bearing 4.25%,
dated 10/29/99 to be
repurchased 11/01/99 in the
amount of $2,262,801
collateralized by $1,665,000
U.S. Treasury Bond 12.00%, due
8/15/13 approximate aggregate
value $2,311,603
(cost $2,262,000)............. 2,262 2,262,000
Agreement with State Street Bank
and Trust Co., bearing 5.15%,
dated 10/29/99 to be
repurchased 11/01/99 in the
amount of $970,416
collateralized by $950,000
U.S. Treasury Bond 7.63%, due
2/15/07 approximate aggregate
value $992,513
(cost $970,000)............... 970 970,000
-----------
TOTAL REPURCHASE AGREEMENTS
(cost $3,497,000)............. 3,497,000
-----------
TOTAL INVESTMENTS--
(cost $47,823,686)............ 99.1% 44,991,091
Other assets less
liabilities................. 0.9 391,684
------- -----------
NET ASSETS-- 100.0% $45,382,775
======= ===========
</TABLE>
- ------------------
+ Non-income producing security
(1) Security is traded with rights attached
See Notes to Financial Statements
58
<PAGE>
STYLE SELECT SERIES LOGO
International Equity Portfolio
- -------------------------------------------
PORTFOLIO OF INVESTMENTS -- OCTOBER 31, 1999
<TABLE>
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
<S> <C> <C>
- ------------------------------------------------------------
<CAPTION>
<S> <C> <C>
COMMON STOCK--93.3%
ARGENTINA--0.2%
Banco Frances del Rio de la
Plata SA ADR (Finance)..... 1,460 $ 31,938
Banco de Galicia y Buenos
Aires SA de CV ADR
(Finance).................. 909 19,203
Telefonica de Argentina SA
ADR (Utilities)............ 2,690 68,931
TV Azteca SA de CV ADR+
(Information &
Entertainment)............. 2,100 8,531
-----------
128,603
-----------
AUSTRALIA -- 1.9%
Brambles Industries Ltd.
(Industrial &
Commercial)................ 10,850 305,130
Broken Hill Proprietary Co.,
Ltd. (Materials)........... 6,094 62,983
Colonial Ltd. (Finance)...... 31,599 116,269
Commonwealth Bank of
Australia (Finance)........ 8,319 136,339
Lend Lease Corp., Ltd.
(Finance).................. 4,062 46,737
News Corp., Ltd.
(Information &
Entertainment)............. 11,701 84,616
Publishing & Broadcasting
Ltd.
(Information &
Entertainment)............. 16,000 94,890
TABCORP Holdings Ltd.
(Information &
Entertainment)............. 34,100 216,151
Telstra Corp.-Installment
Receipt
(Information Technology)... 26,519 134,900
Telstra Corp.
(Information Technology)... 43,820 140,559
Western Mining Corp., Ltd.
(Materials)................ 47,400 203,427
Westpac Banking Corp., Ltd.
(Finance).................. 19,390 124,417
-----------
1,666,418
-----------
AUSTRIA--0.3%
Erste Bank Der
Oesterreichischen
Sparkassen AG (Finance).... 5,300 279,186
-----------
BELGIUM--0.6%
Dexia Belgium (Credit
Communal) (Finance)........ 284 41,612
Fortis (B) (Finance)......... 5,690 192,119
KBC Bancassurance Holding+
(Finance).................. 4,810 247,911
</TABLE>
<TABLE>
- ------------------------------------------------------------
<S> <C> <C>
<CAPTION>
<S> <C> <C>
</TABLE>
BELGIUM (CONTINUED)
<TABLE>
<CAPTION>
<S> <C> <C>
UCB SA (Healthcare).......... 670 $ 24,983
-----------
506,625
-----------
BOTSWANA--0.1%
Sechaba Brewery Ltd.
(Consumer Staples)......... 79,800 79,656
-----------
BRAZIL--0.2%
Compania Brasileira de
Distribuidora GDR
(Industrial &
Commercial)................ 2,696 58,975
Compania Energetica de Minas
Gerais ADR (Utilities)..... 1,888 26,984
Telecomunicacoes de
Brasileiras SA ADR
(Information Technology)... 5,795 272
Uniao De Banco Brasilieros SA
GDR+ (Finance)............. 2,000 46,250
-----------
132,481
-----------
CANADA--1.7%
Alcan Aluminium Ltd.
(Materials) ............... 1,740 57,039
Inco Ltd. (Materials)........ 14,200 285,563
Nortel Networks Corp.
(Information Technology)... 12,670 779,447
Rogers Communications, Inc.,
Class B+
(Information &
Entertainment)............. 18,420 372,930
Royal Bank of Canada
(Finance).................. 640 27,589
-----------
1,522,568
-----------
CHILE--0.0%
Chilectra SA ADR*
(Utilities)................ 422 7,504
-----------
CHINA--0.1%
Huaneng Power
International, Inc., ADR+
(Industrial &
Commercial)................ 4,000 48,500
-----------
DENMARK--0.2%
Den Danske Bank Group
(Finance).................. 480 54,682
Tele Danmark A/S
(Utilities)................ 1,240 75,282
Unidanmark A/S, Class A
(Finance).................. 540 42,031
-----------
171,995
-----------
</TABLE>
59
<PAGE>
STYLE SELECT SERIES LOGO
International Equity Portfolio
- -------------------------------------------
PORTFOLIO OF INVESTMENTS -- OCTOBER 31, 1999 -- (CONTINUED)
<TABLE>
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
<S> <C> <C>
- ------------------------------------------------------------
<CAPTION>
<S> <C> <C>
</TABLE>
COMMON STOCK (CONTINUED)
<TABLE>
<CAPTION>
<S> <C> <C>
FINLAND--2.9%
Nokia Corp., Class A ADR
(Information Technology)... 6,000 $ 693,375
Nokia Oyj
(Information Technology)... 6,540 748,515
Sonera Oyj
(Information Technology)... 15,540 466,671
Stora Enso Oyj (Materials)... 25,720 338,170
UPM-Kymmene Oyj
(Materials)................ 8,750 276,110
-----------
2,522,841
-----------
FRANCE--11.8%
Alcatel SA
(Information Technology)... 1,370 213,994
Axa (Finance)................ 5,864 827,135
Banque Nationale de Paris
(Finance).................. 6,730 591,092
Canal Plus
(Information &
Entertainment)............. 8,584 595,919
Cap Gemini SA
(Information Technology)... 920 139,349
Carrefour SA
(Consumer Discretionary)... 5,878 1,088,168
Compagnie de Saint Gobain
(Materials)................ 2,710 470,335
Credit Commercial de France
(Finance).................. 450 51,830
Elf Aquitaine SA (Energy).... 4 589
Groupe Danone
(Consumer Staples)......... 170 43,362
Hermes International
(Consumer Discretionary)... 890 97,359
L' Oreal SA
(Consumer Staples)......... 160 106,784
Lafarge SA (Materials)....... 532 51,202
Legrand SA
(Information Technology)... 970 232,117
Pinault-Printemps-Redoute SA
(Consumer Discretionary)... 920 175,444
Sanofi-Synthelabo SA+
(Healthcare)............... 7,174 316,553
Schneider Electric SA
(Information Technology)... 3,548 244,444
Societe Generale (Finance)... 2,786 606,604
Societe Generale
d'Enterprises SA
(Industrial &
Commercial)................ 8,850 411,452
</TABLE>
<TABLE>
- ------------------------------------------------------------
<S> <C> <C>
<CAPTION>
<S> <C> <C>
</TABLE>
FRANCE (CONTINUED)
<TABLE>
<CAPTION>
<S> <C> <C>
Societe Television Francaise
1
(Information &
Entertainment)............. 1,045 $ 327,557
Sodexho Alliance SA
(Multi-industry)........... 1,578 258,932
Suez Lyonnaise des Eaux SA
(Utilities)................ 3,730 602,242
Total Fina SA, Class B
(Energy)................... 13,608 1,839,294
Unibail (Union du Credit-Bail
Immobilier) (Real
Estate).................... 2,000 292,414
Usinor SA (Materials)........ 21,420 297,630
Vivendi (Multi-industry)..... 7,032 532,926
-----------
10,414,727
-----------
GERMANY--5.9%
Allianz AG (Finance)......... 720 219,248
Bayer AG (Materials)......... 16,773 686,300
Celanese AG (Materials)...... 1,086 17,135
Deutsche Bank AG (Finance)... 3,581 256,887
Deutsche Telekom AG
(Information Technology)... 4,537 208,547
Dresdner Bank AG (Finance)... 4,527 190,469
Epcos AG+
(Information Technology)... 9,000 369,010
Gehe AG (Healthcare)......... 5,290 184,734
Hoechst AG (Materials)....... 11,370 500,506
HypoVereinsbank (Finance).... 5,090 334,084
Intershop Communications AG+
(Information Technology)... 1,600 200,273
Mannesmann AG
(Industrial &
Commercial)................ 7,420 1,166,807
Rhoen-Klinikum AG
(Healthcare)............... 2,040 82,612
SAP AG
(Information Technology)... 520 193,187
Siemens AG
(Multi-industry)........... 1,189 106,743
Veba AG (Utilities).......... 9,850 532,541
-----------
5,249,083
-----------
GREECE--0.3%
Hellenic Telecommunications
Organization SA+
(Information Technology)... 9,100 192,821
Panafon Hellenic Telecom SA+
(Information Technology)... 7,600 100,497
-----------
293,318
-----------
</TABLE>
60
<PAGE>
STYLE SELECT SERIES LOGO
International Equity Portfolio
- -------------------------------------------
PORTFOLIO OF INVESTMENTS -- OCTOBER 31, 1999 -- (CONTINUED)
<TABLE>
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
<S> <C> <C>
- ------------------------------------------------------------
<CAPTION>
<S> <C> <C>
</TABLE>
COMMON STOCK (CONTINUED)
<TABLE>
<CAPTION>
<S> <C> <C>
HONG KONG--2.3%
Cable & Wireless HKT Ltd.
(Information Technology)... 40,800 $ 93,222
Cheung Kong (Holdings) Ltd.
(Real Estate).............. 14,000 127,502
China Telecom
(Hong Kong) Ltd.+
(Information Technology)... 183,800 628,164
CLP Holdings Ltd.
(Utilities)................ 23,000 105,696
Cosco Pacific Ltd.
(Industrial &
Commercial)................ 174,700 130,432
Dao Heng Bank Group Ltd.
(Finance).................. 10,000 45,440
First Pacific Co., Ltd.
(Multi-industry)........... 80,000 46,341
Henderson Land Development
Co., Ltd. (Real Estate).... 20,000 90,880
Hutchison Whampoa Ltd.
(Multi-industry)........... 45,500 456,845
New World Development Co.,
Ltd. (Real Estate)......... 18,000 34,061
Pacific Century
Cyberworks Ltd.+
(Information Technology)... 53,000 40,252
Peregrine Investments
Holdings
Ltd.(1) (Finance).......... 91,000 0
Sun Hung Kai Properties Ltd.
(Real Estate).............. 11,000 89,206
Wharf Holdings Ltd.
(Multi-industry)........... 57,000 164,723
-----------
2,052,764
-----------
INDIA--0.1%
ICICI Ltd. ADR (Finance)..... 6,008 66,088
Mahanagar Telephone Nigam
Ltd. GDR
(Information Technology)... 2,000 15,801
-----------
81,889
-----------
INDONESIA--0.1%
PT Hanjaya Mandala Sampoerna
Tbk
(Consumer Staples)......... 29,700 68,889
-----------
IRELAND--1.1%
Bank of Ireland (Finance).... 49,800 388,675
CBT Group PLC ADR+
(Information Technology)... 2,527 52,119
</TABLE>
<TABLE>
- ------------------------------------------------------------
<S> <C> <C>
<CAPTION>
<S> <C> <C>
</TABLE>
IRELAND (CONTINUED)
<TABLE>
<CAPTION>
<S> <C> <C>
CRH PLC (Materials).......... 26,090 $ 492,598
-----------
933,392
-----------
ITALY--4.3%
Assicurazione Generali SpA
(Finance).................. 15,530 498,224
Banca di Roma SpA (Finance).. 26,000 35,006
Bipop-Carire SpA (Finance)... 5,000 211,685
ENI SpA (Energy)............. 42,771 250,137
Istituto Mobiliare Italiano
SpA
(Industrial &
Commercial)................ 42,762 554,144
Istituto Nazionale delle
Assicurazioni SpA
(Finance).................. 41,000 124,418
Italgas SpA (Utilities)...... 8,000 33,070
Mediolanum SpA (Finance)..... 14,780 120,173
Seat Pagine Gialle SpA
(Information &
Entertainment)............. 217,510 310,008
Tecnost SpA
(Information Technology)... 27,000 51,972
Telecom Italia Mobile SpA
(Information Technology)... 74,000 462,351
Telecom Italia SpA
(Information Technology)... 69,447 599,723
Unicredito Italiano SpA
(Finance).................. 120,048 561,912
-----------
3,812,823
-----------
JAPAN--17.8%
Aiful Corp. (Finance)........ 650 100,988
Bridgestone Corp.
(Consumer Discretionary)... 3,000 82,574
Canon, Inc.
(Information Technology)... 15,000 424,379
Citizen Watch Co.
(Consumer Discretionary)... 6,000 42,409
Daiichi Pharmaceutical Co.,
Ltd. (Healthcare).......... 3,000 43,013
Daiwa House Industry Co.,
Ltd. (Consumer Staples).... 9,000 82,344
DDI Corp. (Utilities)........ 19 207,730
Denso Corp.
(Consumer Discretionary)... 12,000 256,641
East Japan Railway Co.
(Industrial &
Commercial)................ 23 140,951
Fanuc Ltd.
(Information Technology)... 1,900 147,598
Fuji Heavy Industries Ltd.
(Consumer Discretionary)... 59,000 501,333
</TABLE>
61
<PAGE>
STYLE SELECT SERIES LOGO
International Equity Portfolio
- -------------------------------------------
PORTFOLIO OF INVESTMENTS -- OCTOBER 31, 1999 -- (CONTINUED)
<TABLE>
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
<S> <C> <C>
- ------------------------------------------------------------
<CAPTION>
<S> <C> <C>
</TABLE>
COMMON STOCK (CONTINUED)
JAPAN (CONTINUED)
<TABLE>
<CAPTION>
<S> <C> <C>
Fujitsu Ltd.
(Information Technology)... 32,000 $ 963,652
Hitachi Ltd.
(Information Technology)... 14,000 151,319
Honda Motor Co., Ltd.
(Consumer Discretionary)... 1,000 42,198
Ito-Yokado Co., Ltd.
(Consumer Discretionary)... 2,000 159,969
KAO Corp.
(Consumer Staples)......... 8,000 243,982
Kokuyo Co., Ltd.
(Information Technology)... 5,000 90,774
Komori Corp.
(Industrial &
Commercial)................ 4,000 86,890
Kuraray Co., Ltd.
(Healthcare)............... 11,000 147,694
Kyocera Corp.
(Information Technology)... 4,600 441,162
Makita Corp.
(Consumer Discretionary)... 6,000 57,601
Marui Co., Ltd.
(Consumer Discretionary)... 11,000 207,826
Matsushita Electric
Industrial Co., Ltd.
(Information Technology)... 18,000 378,920
Mitsubishi Corp.
(Industrial &
Commercial)................ 11,000 79,122
Mitsubishi Heavy Industries
Ltd.
(Industrial &
Commercial)................ 49,000 192,203
Mitsui Fudosan Co., Ltd.
(Real Estate).............. 22,000 164,362
Murata Manufacturing Co.,
Ltd.
(Information Technology)... 12,000 1,542,150
NEC Corp.
(Information Technology)... 26,300 532,205
Nippon Telegraph & Telephone
Corp. (Utilities).......... 72 1,104,824
Nissan Motor Co., Ltd.
(Consumer Discretionary)... 16,000 95,905
Nomura Securities Co., Ltd.
(Finance).................. 19,000 313,599
NTT Mobile Communications
Network, Inc.
(Information Technology)... 47 1,248,585
Rohm Co., Ltd.
(Information Technology)... 1,500 336,626
Sankyo Co., Ltd.
(Healthcare)............... 12,000 341,805
</TABLE>
<TABLE>
- ------------------------------------------------------------
<S> <C> <C>
<CAPTION>
<S> <C> <C>
</TABLE>
JAPAN (CONTINUED)
<TABLE>
<CAPTION>
<S> <C> <C>
Sanrio Co., Ltd.
(Information &
Entertainment)............. 5,000 $ 263,738
Sekisui Chemical Co., Ltd.
(Materials)................ 15,000 73,799
Sekisui House Ltd.
(Consumer Discretionary)... 9,000 97,449
Seven-Eleven Japan Co., Ltd.
(Consumer Discretionary)... 2,000 183,178
Shin-Etsu Chemical Co., Ltd.
(Materials)................ 5,000 206,195
Shiseido Co., Ltd.
(Consumer Staples)......... 5,000 76,244
Softbank Corp.
(Information Technology)... 1,100 456,795
Sony Corp.
(Information Technology)... 4,000 623,765
Sumitomo Bank Ltd.
(Finance).................. 13,000 209,207
Sumitomo Corp.
(Industrial &
Commercial)................ 18,000 131,543
Sumitomo Electric Industries
(Information Technology)... 19,000 255,289
Takeda Chemical Industries
Ltd. (Healthcare).......... 10,700 614,683
TDK Corp.
(Information &
Entertainment)............. 4,000 391,675
Tokio Marine & Fire Insurance
Co., Ltd. (Finance)........ 6,000 78,546
Tokyo Electron Ltd.
(Information Technology)... 1,000 83,054
Toppan Printing Co., Ltd.
(Information &
Entertainment)............. 8,000 98,130
Toshiba Corp.
(Information Technology)... 30,000 188,741
UNY Co., Ltd.
(Consumer Discretionary)... 6,000 77,683
Yamanouchi Pharmaceutical
Co., Ltd. (Healthcare)..... 15,000 680,445
-----------
15,743,492
-----------
KAZAKHSTAN--0.1%
Firebird Republica Fund
Ltd. (1)
(Investment Companies)..... 960 52,936
-----------
KOREA--0.9%
Korea Telecom Corp. ADR
(Information Technology)... 7,390 260,497
Pohang Iron & Steel Co., Ltd.
ADR (Materials)............ 6,500 216,938
</TABLE>
62
<PAGE>
STYLE SELECT SERIES LOGO
International Equity Portfolio
- -------------------------------------------
PORTFOLIO OF INVESTMENTS -- OCTOBER 31, 1999 -- (CONTINUED)
<TABLE>
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
<S> <C> <C>
- ------------------------------------------------------------
<CAPTION>
<S> <C> <C>
</TABLE>
COMMON STOCK (CONTINUED)
KOREA (CONTINUED)
<TABLE>
<CAPTION>
<S> <C> <C>
Samsung Electronics
(Information Technology)... 2,100 $ 350,146
-----------
827,581
-----------
LUXEMBOURG--0.0%
Societe Europeenne des
Satellites SA
(Information &
Entertainment)............. 260 32,476
-----------
MEXICO--1.0%
Cemex SA (Materials)......... 1,200 27,000
Cemex SA de CV (Materials)... 6,834 30,928
Fomento Economico Mexicano SA
de CV
(Multi-industry)........... 15,000 48,689
Gruma SA, Class B+
(Consumer Staples)......... 5,209 6,807
Grupo Industrial Maseca SA de
CV, Class B+
(Consumer Staples)......... 9,000 4,494
Grupo Modelo SA de CV,
Class C
(Consumer Staples)......... 20,000 48,897
Grupo Televisa SA de CV GDR
(Information &
Entertainment)............. 6,100 259,250
Kimberly-Clark de Mexico SA
de CV, Class A
(Consumer Staples)......... 12,526 40,138
Telefonos de Mexico SA ADR
(Utilities)................ 5,150 440,325
-----------
906,528
-----------
NETHERLANDS--7.7%
ABN Amro Holdings NV
(Finance).................. 8,478 205,015
Akzo Nobel NV (Materials).... 720 31,005
ASM Lithography
Holdings NV+
(Information Technology)... 12,090 853,302
Benckiser NV Class B
(Consumer Staples)......... 3,830 226,407
CSM NV
(Consumer Staples)......... 3,230 148,979
DSM NV (Materials)........... 7,500 283,999
Elsevier NV
(Information &
Entertainment)............. 9,070 86,149
</TABLE>
<TABLE>
- ------------------------------------------------------------
<S> <C> <C>
<CAPTION>
<S> <C> <C>
</TABLE>
NETHERLANDS (CONTINUED)
<TABLE>
<CAPTION>
<S> <C> <C>
Equant NV
(Information Technology)... 1,050 $ 102,161
Fortis NV (Finance).......... 8,170 281,269
Gucci Group NV-NY Registry
Shares
(Consumer Discretionary)... 1,523 122,982
ING Groep NV (Finance)....... 22,100 1,303,629
Koninklijke (Royal) Philips
Electronics NV
(Information Technology)... 8,953 918,178
Nutreco Holding NV
(Consumer Staples)......... 5,918 202,308
Royal Dutch Petroleum Co.
(Energy)................... 5,330 318,609
Royal Koninklijke KPN NV
(Utilities)................ 1,020 52,346
STMicroelectronics NV
(Information Technology)... 3,552 311,970
STMicroelectronics NV NY
Registry Shares
(Information Technology)... 5,330 484,364
TNT Post Group NV
(Industrial &
Commercial)................ 1,070 27,237
Unilever NV
(Consumer Staples)......... 2,097 138,961
United Pan-Europe
Communications NV+
(Information &
Entertainment)............. 660 50,748
VNU NV
(Information &
Entertainment)............. 3,360 113,625
Wolters Kluwer NV
(Information &
Entertainment)............. 17,044 569,564
-----------
6,832,807
-----------
NEW ZEALAND--0.1%
Telecommunications Corp. of
New Zealand Ltd.
(Information Technology)... 23,000 92,570
-----------
NORWAY--0.7%
Norsk Hydro ASA (Materials).. 10,590 422,332
Orkla ASA, Class A
(Multi-industry)........... 13,370 186,534
-----------
608,866
-----------
PORTUGAL--0.2%
Jeronimo Martins SGPS SA
(Consumer Staples)......... 6,918 193,124
-----------
</TABLE>
63
<PAGE>
STYLE SELECT SERIES LOGO
International Equity Portfolio
- -------------------------------------------
PORTFOLIO OF INVESTMENTS -- OCTOBER 31, 1999 -- (CONTINUED)
<TABLE>
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
<S> <C> <C>
- ------------------------------------------------------------
<CAPTION>
<S> <C> <C>
</TABLE>
COMMON STOCK (CONTINUED)
<TABLE>
<CAPTION>
<S> <C> <C>
SINGAPORE--1.2%
Allgreen Properties, Ltd.+
(Real Estate).............. 100 $ 85
Natsteel Electronics Ltd.
(Information Technology)... 47,000 183,671
Neptune Orient Lines Ltd.
(Industrial &
Commercial)................ 88,600 128,375
OverSeas Chinese Banking
Corp., Ltd. (Finance)...... 35,070 263,557
Singapore Press Holdings Ltd.
(Information &
Entertainment)............. 15,077 258,339
Singapore Telecommunications
Ltd.
(Information Technology)... 18,000 34,197
United Overseas Bank Ltd.
(Finance).................. 27,000 204,533
-----------
1,072,757
-----------
SPAIN--3.5%
Amadeus Global Travel
Distribution SA+
(Information &
Entertainment)............. 26,378 157,873
Argentaria Caja Postal y
Banco Hipotecario de
Espanol SA (Finance)....... 22,240 493,595
Banco Bilbao Vizcaya SA
(Finance).................. 5,440 73,128
Banco Popular Espanol SA
(Finance).................. 780 52,508
Banco Santander Central
Hispano SA (Finance)....... 19,652 204,022
Endesa SA (Utilities)........ 7,170 143,520
Fomento de Construcciones y
Contratas SA
(Industrial &
Commercial)................ 15,002 376,350
Gas Natural SDG SA
(Utilities)................ 4,020 88,797
Iberdrola SA (Utilities)..... 11,120 162,115
Repsol SA (Energy)........... 25,141 518,313
Telefonica SA (Utilities).... 49,614 816,197
-----------
3,086,418
-----------
SWEDEN--4.3%
ABB AG+ (Utilities).......... 1,354 134,840
AstraZeneca Group PLC
(Healthcare)............... 9,398 424,533
Atlas Copco AB, Class A
(Industrial &
Commercial)................ 11,748 309,985
Atlas Copco AB, Class B
(Industrial &
Commercial)................ 2,660 69,217
</TABLE>
<TABLE>
- ------------------------------------------------------------
<S> <C> <C>
<CAPTION>
<S> <C> <C>
</TABLE>
SWEDEN (CONTINUED)
<TABLE>
<CAPTION>
<S> <C> <C>
Electrolux AB
(Consumer Discretionary)... 41,200 $ 821,595
Ericsson L.M.
Telecommunications Co.,
Class B
(Information Technology)... 10,970 456,194
Esselte AB
(Information Technology)... 1,340 8,962
Hennes & Mauritz AB, Class B
(Consumer Discretionary)... 16,660 442,632
Nordbanken Holding AB
(Finance).................. 35,533 207,391
Sandvik AB, Class B
(Consumer Discretionary)... 24,280 628,847
Securitas AB, Series B
(Consumer Discretionary)... 3,262 48,391
SKF AB, Series B
(Industrial &
Commercial)................ 12,310 249,972
-----------
3,802,559
-----------
SWITZERLAND--5.0%
ABB Ltd.
(Industrial &
Commercial)................ 5,952 599,378
Adecco SA
(Industrial &
Commercial)................ 780 472,820
Clariant AG (Materials)...... 420 183,783
Credit Suisse Group
(Finance).................. 1,064 204,521
Nestle SA
(Consumer Staples)......... 360 694,352
Novartis AG (Healthcare)..... 350 523,519
Roche Holdings AG
(Healthcare)............... 37 444,204
Swisscom AG (Utilities)...... 177 53,937
UBS AG (Finance)............. 2,886 839,691
Zurich Allied AG (Finance)... 690 390,652
-----------
4,406,857
-----------
TAIWAN--0.2%
Hon Hai Precision Industry
Co., Ltd. GDR*+
(Information Technology)... 5,076 83,145
Ritek Corp
(Information Technology)... 7,590 101,326
-----------
184,471
-----------
TURKEY--0.1%
Akbank TAS (Finance)......... 6,080,400 94,854
-----------
</TABLE>
64
<PAGE>
STYLE SELECT SERIES LOGO
International Equity Portfolio
- -------------------------------------------
PORTFOLIO OF INVESTMENTS -- OCTOBER 31, 1999 -- (CONTINUED)
<TABLE>
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
<S> <C> <C>
- ------------------------------------------------------------
<CAPTION>
<S> <C> <C>
</TABLE>
COMMON STOCK (CONTINUED)
<TABLE>
<CAPTION>
<S> <C> <C>
UKRAINE--0.1%
Haci Omer Sabanci Holding AS
(Finance).................. 3,592,900 $ 106,493
-----------
UNITED KINGDOM--15.1%
Abbey National PLC
(Finance).................. 12,000 234,254
Barclays PLC (Finance)....... 16,690 512,025
BG PLC (Utilities)........... 16,294 90,497
BP Amoco PLC (Energy)........ 22,000 213,649
BP Amoco PLC ADR (Energy).... 7,040 406,560
Cable & Wireless PLC
(Information Technology)... 27,334 318,898
Cadbury Schweppes PLC
(Consumer Staples)......... 49,000 318,846
Caradon PLC
(Consumer Discretionary)... 14,800 34,499
Centrica PLC (Utilities)..... 13,500 39,209
Colt Telecom Group PLC+
(Information Technology)... 24,080 718,955
Compass Group PLC
(Information &
Entertainment)............. 36,000 384,509
Diageo PLC
(Consumer Staples)......... 49,696 505,478
Electrocomponents PLC
(Information Technology)... 9,000 80,599
GKN PLC
(Consumer Discretionary)... 3,000 48,261
Glaxo Wellcome PLC
(Healthcare)............... 21,633 638,430
Granada Group PLC
(Information &
Entertainment)............. 42,000 333,339
Hays PLC
(Industrial &
Commercial)................ 4,000 45,484
Hilton Group PLC
(Information &
Entertainment)............. 22,000 67,240
HSBC Holdings PLC (Finance).. 14,400 173,315
Invensys PLC
(Industrial &
Commercial)................ 99,041 486,605
Kingfisher PLC
(Consumer Discretionary)... 40,000 437,748
National Westminster Bank PLC
(Finance).................. 45,000 1,015,990
Next PLC
(Consumer Discretionary)... 21,870 235,925
Old Mutual PLC+ (Finance).... 87,700 185,900
Orange PLC
(Information Technology)... 21,100 524,233
Peninsular & Oriental Steam
Navigation Co.
(Information &
Entertainment)............. 31,900 458,658
</TABLE>
<TABLE>
- ------------------------------------------------------------
<S> <C> <C>
<CAPTION>
<S> <C> <C>
</TABLE>
UNITED KINGDOM (CONTINUED)
<TABLE>
<CAPTION>
<S> <C> <C>
Rank Group PLC
(Information &
Entertainment)............. 8,000 $ 24,911
Reckitt & Colman PLC
(Consumer Staples)......... 12,700 154,010
Reed International PLC
(Information &
Entertainment)............. 67,000 393,037
Rio Tinto PLC (Materials).... 14,000 239,020
Safeway PLC
(Consumer Discretionary)... 15,000 47,324
SEMA Group PLC
(Information Technology)... 21,430 279,949
Shell Transport & Trading Co.
PLC (Energy)............... 167,930 1,285,892
Smith (David S.) Holdings PLC
(Materials)................ 18,000 56,493
SmithKline Beecham PLC+
(Healthcare)............... 52,800 681,073
Tesco PLC
(Consumer Discretionary)... 74,000 219,786
Tomkins PLC
(Multi-industry)........... 58,744 198,790
Unilever PLC
(Consumer Staples)......... 28,214 261,941
United News & Media PLC
(Information &
Entertainment)............. 20,000 191,761
Vodafone AirTouch PLC
(Information Technology)... 180,110 839,037
-----------
13,382,130
-----------
UNITED STATES--1.2%
Larsen & Toubro Ltd. GDR*
(Multi-industry)........... 7,600 164,920
MIH Ltd.+
(Information &
Entertainment)............. 5,900 265,500
Partner Communication Co.,
Ltd. ADR+
(Information Technology)... 9,680 152,460
SK Telecom Co., Ltd. ADR
(Information Technology)... 9,900 129,319
Tlekomunikacja Polska SA
(Information Technology)... 19,787 100,342
Tyco International Ltd.
(Multi-industry)........... 6,840 273,172
-----------
1,085,713
-----------
TOTAL COMMON STOCK
(cost $70,634,466)........... 82,485,894
-----------
</TABLE>
65
<PAGE>
STYLE SELECT SERIES LOGO
International Equity Portfolio
- -------------------------------------------
PORTFOLIO OF INVESTMENTS -- OCTOBER 31, 1999 -- (CONTINUED)
<TABLE>
<CAPTION>
SHARES/
PRINCIPAL
AMOUNT VALUE
SECURITY DESCRIPTION (IN THOUSANDS) (NOTE 3)
- ---------------------------------------------------------------
<S> <C> <C>
PREFERRED STOCK--1.3%
AUSTRALIA--0.1%
News Corp., Ltd.
(Information &
Entertainment)............. 11,188 $ 75,748
-----------
BRAZIL--0.7%
Banco Bradesco SA (Finance).. 4,258,000 20,832
Banco Itau SA+ (Finance) .... 510,000 29,262
Companhia Energetica de Minas
Gerais (Utilities)......... 1,443,000 20,551
Petroleo Brasileiros SA
(Energy)................... 737,000 117,233
Telecomunicacoes de
Brasileiras SA ADR
(Information Technology)... 5,109 397,863
Telecomunicacoes de
Sao Paulo SA
(Information Technology)... 287,924 27,067
Telesp Celular SA+
(Information Technology)... 275,000 14,370
-----------
627,178
-----------
GERMANY--0.5%
Fresenius AG (Healthcare).... 250 40,891
SAP AG
(Information Technology)... 998 439,843
-----------
480,734
-----------
TOTAL PREFERRED STOCK
(cost $1,224,958)............ 1,183,660
-----------
BONDS & NOTES--0.3%
JAPAN--0.1%
Acom Co., Ltd. convertible
zero coupon due 3/31/02*... (JPY) $8,000 90,281
-----------
TAIWAN--0.2%
Taiwan Semiconductor
Manufacturing Co.
convertible
zero coupon due 7/03/02.... 109 162,274
-----------
TOTAL BONDS & NOTES
(cost $230,610).............. 252,555
-----------
<CAPTION>
SHARES/
CONTRACTS/
PRINCIPAL
AMOUNT VALUE
SECURITY DESCRIPTION (IN THOUSANDS) (NOTE 3)
- ---------------------------------------------------------------
<S> <C> <C>
RIGHTS--0.0%+
NORWAY--0.0%
Orkla ASA
(cost $28,107)............. 13,370 $ 25,127
-----------
PUT OPTIONS--0.1%(1)(2)
UNITED STATES--0.1%
Nikkei 225 Index exp 2/00
@$18,993................... 43 18,359
Nikkei 225 Index exp 2/00
@$19,028................... 45 18,577
Nikkei 225 Index exp 3/00
@$18,613................... 30 20,416
-----------
TOTAL PUT OPTIONS
(cost $106,892).............. 57,352
-----------
TOTAL INVESTMENT SECURITIES
(cost $72,225,033)........... 84,004,588
-----------
SHORT-TERM SECURITIES--1.1%
Cayman Island Time Deposit
with State Street Bank and
Trust Co.
3.00% due 11/01/99
(cost $923,000)............ $ 923 923,000
-----------
REPURCHASE AGREEMENT--1.2%
Agreement with State Street
Bank and Trust Co., bearing
4.25%, dated 10/29/99 to be
repurchased 11/01/99 in the
amount of $1,068,378,
collateralized by
$1,040,000 U.S. Treasury
Note 7.88% due 8/15/01
approximate aggregate value
$1,091,792
(cost $1,068,000).......... 1,068 1,068,000
-----------
TOTAL INVESTMENTS --
(cost $74,216,033)........... 97.3% 85,995,588
Other assets less
liabilities.................... 2.7 2,409,936
---------- -----------
NET ASSETS-- 100.00% $88,405,524
========== ===========
</TABLE>
- ------------------
+ Non-income producing security
* Resale restricted to qualified institutional buyers
ADR ("American Depositary Receipt")
GDR ("Global Depositary Receipt")
(1) Fair valued security, see Note 3
(2) 1 option contract equals 100 shares
JPY Japanese yen
See Notes to Financial Statements.
66
<PAGE>
STYLE SELECT SERIES LOGO
Focus Portfolio
- -------------------------------------------
PORTFOLIO OF INVESTMENTS -- OCTOBER 31, 1999
<TABLE>
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
<S> <C> <C>
- -------------------------------------------------------------
<CAPTION>
<S> <C> <C>
COMMON STOCK--88.5%
BROADCASTING & MEDIA--6.0%
CBS Corp.+................... 493,400 $ 24,084,087
Univision Communications,
Inc., Class A+............. 211,900 18,024,744
------------
42,108,831
------------
COMMUNICATION EQUIPMENT--6.4%
Nortel Networks Corp......... 365,000 22,607,188
QUALCOMM, Inc.+.............. 100,281 22,331,325
------------
44,938,513
------------
COMPUTERS & BUSINESS EQUIPMENT--9.9%
EMC Corp.+................... 870,067 63,514,891
Lexmark International Group,
Inc., Class A+............. 85,000 6,635,312
------------
70,150,203
------------
DRUGS--5.7%
Bristol-Myers Squibb
Co.(1)..................... 302,200 23,212,738
Cardinal Health, Inc......... 400,000 17,250,000
------------
40,462,738
------------
ELECTRONICS--9.9%
Flextronics International
Ltd.+...................... 350,847 24,888,209
Sony Corp. ADR............... 142,500 22,764,375
Texas Instruments, Inc....... 250,400 22,473,400
------------
70,125,984
------------
FINANCIAL SERVICES--7.2%
Citigroup, Inc............... 938,805 50,812,821
------------
HOUSING--2.0%
Home Depot, Inc.............. 190,700 14,397,850
------------
INTERNET CONTENT--1.0%
America Online, Inc.+........ 55,851 7,243,177
------------
LEISURE & TOURISM--3.1%
UAL Corp.+................... 317,487 21,608,959
------------
MEDICAL PRODUCTS--3.3%
Genentech, Inc.+............. 158,507 23,102,395
------------
MULTI-INDUSTRY--3.0%
General Electric Co.......... 155,000 21,012,188
------------
RETAIL--5.1%
CVS Corp..................... 370,000 16,071,875
Tiffany & Co................. 329,600 19,611,200
------------
35,683,075
------------
SOFTWARE--10.1%
Automatic Data
Processing, Inc............ 400,000 19,275,000
Cisco Systems, Inc.+......... 310,300 22,962,200
Computer Sciences Corp.+(1).. 425,000 29,192,187
------------
71,429,387
------------
<CAPTION>
SHARES/
PRINCIPAL
AMOUNT VALUE
SECURITY DESCRIPTION (IN THOUSANDS) (NOTE 3)
- ---------------------------------------------------------------
<S> <C> <C>
TELECOMMUNICATIONS--7.8%
NTL, Inc.+................... 103,900 $ 7,831,463
Sprint Corp. (PCS Group)+.... 280,137 23,233,862
Vodafone AirTouch PLC ADR.... 502,440 24,085,717
------------
55,151,042
------------
TELEPHONE--8.0%
GTE Corp..................... 265,000 19,875,000
MCI WorldCom, Inc.+.......... 421,940 36,181,355
------------
56,056,355
------------
TOTAL INVESTMENT SECURITIES--88.5%
(cost $506,542,954).......... 624,283,518
------------
SHORT-TERM SECURITIES--3.5%
Federal National Mortgage
Association Discount Note
5.16% due 11/01/99
(cost $24,700,000)........... $24,700 24,700,000
------------
REPURCHASE AGREEMENTS--6.5%
Agreement with State Street
Bank and Trust Co., bearing
4.25%, dated 10/29/99 to be
repurchased 11/01/99 in the
amount of $15,383,446
collateralized by $14,905,000
U.S. Treasury Note 6.63% due
5/15/07 approximate aggregate
value $15,687,513
(cost $15,378,000)........... 15,378 15,378,000
Agreement with State Street
Bank and Trust Co., bearing
4.25%, dated 10/29/99 to be
repurchased 11/01/99 in the
amount of $30,370,753
collateralized by $22,310,000
U.S. Treasury Bond 12.00% due
8/15/13 approximate aggregate
value $30,974,089
(cost $30,360,000)........... 30,360 30,360,000
------------
TOTAL REPURCHASE AGREEMENTS
(cost $45,738,000)........... 45,738,000
------------
TOTAL INVESTMENTS --
(cost $576,980,954).......... 98.5% 694,721,518
Other assets less
liabilities................ 1.5 10,601,657
------- ------------
NET ASSETS-- 100.0% $705,323,175
======= ============
</TABLE>
- ------------------
+ Non-income producing security
ADR ("American Depositary Receipt")
(1) Security is traded with rights attached
See Notes to Financial Statements
67
<PAGE>
STYLE SELECT SERIES LOGO
NOTES TO FINANCIAL STATEMENTS -- OCTOBER 31, 1999
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 American International Group, 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 is 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>
68
<PAGE>
STYLE SELECT SERIES LOGO
NOTES TO FINANCIAL STATEMENTS -- OCTOBER 31, 1999 -- (CONTINUED)
<TABLE>
<S> <C>
Class II shares-- Offered at net asset value per share plus an initial sales
charge. Certain 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
69
<PAGE>
STYLE SELECT SERIES LOGO
NOTES TO FINANCIAL STATEMENTS -- OCTOBER 31, 1999 -- (CONTINUED)
mature in less than 60 days are valued at amortized cost, if their original
maturity was 60 days or less, or by amortizing their value on the 61st day prior
to maturity, if their original term to maturity exceeded 60 days.
REPURCHASE AGREEMENTS: The Portfolios, along with other affiliated registered
investment companies, may transfer uninvested cash balances into a single joint
account, the daily aggregate balance of which is invested in one or more
repurchase agreements collateralized by U.S. Treasury or federal agency
obligations. The Portfolios' custodian takes possession of the collateral
pledged for investments in such repurchase agreements. The underlying collateral
is valued daily on a mark to market basis to ensure that the value, at the time
the agreement is entered into, is equal to at least 102% of the repurchase
price, including accrued interest. In the event of default of the obligation to
repurchase, a Portfolio has the right to liquidate the collateral and apply the
proceeds in satisfaction of the obligation. If the seller defaults and the value
of the collateral declines or if bankruptcy proceedings are commenced with
respect to the seller of the security, realization of the collateral by the
Portfolio may be delayed or limited.
Pursuant to exemptive relief granted by the Securities and Exchange Commission,
the Portfolios are permitted to participate in joint repurchase agreement
transactions with other affiliated mutual funds.
As of October 31, 1999, the Aggressive Growth Portfolio and the Focused Growth
and Income Portfolio had an 11.0% and 2.6% undivided interest, respectively,
which represented $16,428,000 and $4,527,000, 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, 5.10% dated 10/31/99, in
the principal amount of $172,090,000 repurchase price $172,163,138 due 11/01/99,
collateralized by $4,360,000 U.S. Treasury Bond 6.38% due 8/15/27, $49,700,000
U.S. Treasury Note 8.50% due 2/15/00, $18,950,000 U.S. Treasury Note 5.63% due
9/30/01, $49,940,000 U.S. Treasury Note 6.63% due 3/31/02, and $49,265,000 U.S.
Treasury Note 6.25% due 2/15/03 approximate aggregate value $175,546,847.
As of October 31, 1999, the Mid-Cap Growth Portfolio and the Large-Cap Value
Portfolio had an 11.40% and 0.06% undivided interest, respectively which
represented $29,000,000 and $165,000, respectively, in principal amount in a
joint repurchase agreement with Wellington Management Company. As of such date,
the repurchase agreement in the joint account and the collateral therefore were
as follows:
Wellington Management Company Repurchase Agreement, 5.22% dated 10/31/99, in the
principal amount of $254,375,000 repurchase price $254,485,653 due 11/01/99,
collateralized by $50,000,000 U.S. Treasury Notes 6.50% due 8/15/05, $50,000,000
U.S. Treasury Notes 5.75% due 4/30/03, $45,845,000 U.S. Treasury Notes 5.63% due
5/15/08, $57,890,000 U.S. Treasury Bonds 8.75% due 5/15/17, and $50,063,000 U.S.
Treasury Notes 5.75% due 5/15/17, approximate aggregate value $267,684,868.
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 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.
70
<PAGE>
STYLE SELECT SERIES LOGO
NOTES TO FINANCIAL STATEMENTS -- OCTOBER 31, 1999 -- (CONTINUED)
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, 1999, 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) 1,135,950 (1,135,948)
Mid-Cap Growth Portfolio.................................... (1,939,165) 1,948,144 (8,979)
Aggressive Growth Portfolio................................. (2,967,241) 2,979,077 (11,836)
Focused Growth and Income Portfolio......................... (298,011) 305,248 (7,237)
Large-Cap Value Portfolio................................... (76,240) 77,315 (1,075)
Value Portfolio............................................. 9,580 (11,259) 1,679
Small-Cap Value Portfolio................................... 31,713 18,405 (50,118)
International Equity Portfolio.............................. 961,759 267,962 (1,229,721)
Focus Portfolio............................................. (3,218,478) 4,225,626 (1,007,148)
</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.
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
71
<PAGE>
STYLE SELECT SERIES LOGO
NOTES TO FINANCIAL STATEMENTS -- OCTOBER 31, 1999 -- (CONTINUED)
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.
72
<PAGE>
STYLE SELECT SERIES LOGO
NOTES TO FINANCIAL STATEMENTS -- OCTOBER 31, 1999 -- (CONTINUED)
During the year-end October 31, 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) -- $ --
Options written during the period........................... (2,044) (3,887,442) (3,955) (21,126)
Written options assigned during the period.................. 79 39,262 -- --
Written options closed during the period.................... 2,015 3,466,800 -- --
Written options expired during the period................... -- -- 3,955 21,126
Net realized gain on written options closed................. -- 382,939 -- --
------ ----------- ------- --------
Written option contracts as of 10/31/99..................... (29) $ (37,703) -- $ --
====== =========== ======= ========
</TABLE>
<TABLE>
<CAPTION>
FOCUSED
GROWTH AND INCOME
PORTFOLIO FOCUS PORTFOLIO
-------------------- ---------------------
CONTRACTS AMOUNT CONTRACTS AMOUNT
--------- -------- --------- ---------
<S> <C> <C> <C> <C>
Written options contracts as of 10/31/98.................... -- $ -- -- $ --
Options written during the period........................... (1,600) (15,151) (95) (88,650)
Written options assigned during the period.................. -- -- -- --
Written options closed during the period.................... 1,600 35,174 95 206,046
Net realized loss on written options closed................. -- (20,023) -- (117,396)
------ -------- ---- ---------
Written options contracts as of 10/31/99.................... -- $ -- -- $ --
====== ======== ==== =========
</TABLE>
ORGANIZATIONAL EXPENSES: Expenses incurred by SunAmerica 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
73
<PAGE>
STYLE SELECT SERIES LOGO
NOTES TO FINANCIAL STATEMENTS -- OCTOBER 31, 1999 -- (CONTINUED)
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")
Jennison Associates LLC ("Jennison")
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")
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")
Third Avenue Advisers ("Third Avenue")
International Equity Portfolio Rowe-Price Fleming International, Inc.
("Rowe-Fleming")
Bankers Trust Company ("BT")
Focus Portfolio Bramwell Capital Management, Inc. ("Bramwell")
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.
Effective August 1, 1999 Jennison assumed the role of subadviser of the
Large-Cap Growth Portfolio from L. Roy Papp & Associates. Effective August 1,
1999, Third Avenue assumed the role of sub-advisor of the Small-Cap Value
Portfolio from Glenmede.
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
year-ended October 31, 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-
74
<PAGE>
STYLE SELECT SERIES LOGO
NOTES TO FINANCIAL STATEMENTS -- OCTOBER 31, 1999 -- (CONTINUED)
Cap Growth Portfolio, .47%; Mid-Cap Growth Portfolio, .47%; Aggressive Growth
Portfolio, .36%; Focused Growth and Income Portfolio, .28%; Large-Cap Value
Portfolio, .43%; Value Portfolio, .49%; Small-Cap Value Portfolio, .55%;
International Equity Portfolio, .70%; 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. Focus Porfolio .93% for Class Z 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 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 year ended October 31, 1999, expenses previously waived or reimbursed by
SunAmerica that are subject to recoupment are as follows:
<TABLE>
<CAPTION>
MANAGEMENT OTHER
FEES EXPENSES
REIMBURSED REIMBURSED
---------- ----------
<S> <C> <C>
Large-Cap Growth A......... $168,613 $15,113
Large-Cap Growth B......... $216,336 $21,556
Large-Cap Growth II........ $ 60,471 $45,644
Mid-Cap Growth A........... $118,724 $ 7,094
Mid-Cap Growth B........... $228,050 $17,431
Mid-Cap Growth II.......... $ 35,608 $20,949
Aggressive Growth A........ $184,068 $16,937
Aggressive Growth B........ $244,371 $ 6,626
Aggressive Growth II....... $ 34,688 $21,442
Aggressive Growth Z........ $ -- $34,817
Focused Growth and
Income A.................. $155,827 $ 2,805
Focused Growth and
Income B.................. $150,883 $26,205
Focused Growth and
Income II................. $ 31,487 $36,314
Large-Cap Value A.......... $108,001 $ 8,184
Large-Cap Value B.......... $159,961 $ 3,731
<CAPTION>
MANAGEMENT OTHER
FEES EXPENSES
REIMBURSED REIMBURSED
---------- ----------
Large-Cap Value II. $ 32,280 $ 25,512
<S> <C> <C>
Large-Cap Value Z.......... $ -- $36,014
Value A.................... $126,306 $21,095
Value B.................... $200,195 $18,146
Value II................... $ 23,469 $24,688
Value Z.................... $ -- $35,145
Small-Cap Value A.......... $135,396 $ 8,365
Small-Cap Value B.......... $194,514 $ 7,153
Small-Cap Value II......... $ 43,891 $25,103
Small-Cap Value Z.......... $ -- $36,574
International Equity A..... $179,502 $ 8,481
International Equity B..... $312,473 $32,247
International Equity II.... $ 48,759 $17,479
International Equity Z..... $ -- $33,945
Focus A.................... $184,211 $18,166
Focus B.................... $260,167 $11,092
Focus II................... $213,953 $23,071
Focus Z.................... $ -- $ 6,642
</TABLE>
75
<PAGE>
STYLE SELECT SERIES LOGO
NOTES TO FINANCIAL STATEMENTS -- OCTOBER 31, 1999 -- (CONTINUED)
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 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 year ended October 31, 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 year ended October 31, 1999 the proceeds received from sales (and paid
out to affiliated and non-affiliated broker-dealers) and redemptions are as
follows:
<TABLE>
<CAPTION>
CLASS A CLASS B
----------------------------------------------- -------------
CONTINGENT
AFFILIATED NON-AFFILIATED DEFERRED
SALES CHARGES BROKER-DEALERS BROKER-DEALERS SALES CHARGES
------------- -------------- -------------- -------------
<S> <C> <C> <C> <C>
Large-Cap Growth Portfolio.......................... $ 352,678 $ 185,923 $ 114,752 $100,616
Mid-Cap Growth Portfolio............................ 235,325 121,020 78,503 184,653
Aggressive Growth Portfolio......................... 790,791 414,832 265,913 251,688
Focused Growth & Income Portfolio................... 854,672 350,064 392,985 57,901
Large-Cap Value Portfolio........................... 167,072 64,666 76,475 111,113
Value Portfolio..................................... 336,497 197,732 89,839 436,047
Small-Cap Value Portfolio........................... 153,347 61,804 69,318 117,463
International Equity Portfolio...................... 189,597 99,868 60,337 200,374
Focus Portfolio..................................... 4,320,016 1,424,165 2,317,951 257,008
</TABLE>
76
<PAGE>
STYLE SELECT SERIES LOGO
NOTES TO FINANCIAL STATEMENTS -- OCTOBER 31, 1999 -- (CONTINUED)
<TABLE>
<CAPTION>
CLASS II
---------------------------------------------------------------
CONTINGENT
AFFILIATED NON-AFFILIATED DEFERRED
SALES CHARGES BROKER-DEALERS BROKER-DEALERS SALES CHARGES
------------- -------------- -------------- -------------
<S> <C> <C> <C> <C>
Large-Cap Growth Portfolio.......................... $ 125,657 $ 59,637 $ 66,020 $ 5,744
Mid-Cap Growth Portfolio............................ 51,885 23,130 28,755 5,412
Aggressive Growth Portfolio......................... 121,470 60,242 61,228 7,355
Focused Growth & Income Portfolio................... 133,119 104,107 29,012 2,060
Large-Cap Value Portfolio........................... 73,656 29,484 44,172 7,864
Value Portfolio..................................... 46,521 20,504 26,017 8,419
Small-Cap Value Portfolio........................... 37,989 17,089 20,900 4,415
International Equity Portfolio...................... 49,633 22,939 26,694 3,583
Focus Portfolio..................................... 2,363,391 413,746 1,949,645 83,161
</TABLE>
The Fund, on behalf of each Portfolio, has entered into a Service Agreement with
SunAmerica Fund Services, Inc. ("SAFS"), an indirect wholly-owned subsidiary of
SunAmerica Inc. Under the Service Agreement, SAFS performs certain shareholder
account functions by assisting the Portfolios' transfer agent in connection with
the services that it offers to the shareholders of the Portfolios. The Service
Agreement, which permits the Portfolios to compensate SAFS for services rendered
based upon an annual rate of 0.22% of average daily net assets, is approved
annually by the Directors. For the year ended October 31, 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 OCTOBER 31, 1999
--------------------------------- ------------------------------
CLASS A CLASS B CLASS II CLASS A CLASS B CLASS II
--------- --------- --------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
Large-Cap Growth Portfolio.................. $ 48,673 $ 92,633 $ 31,443 $ 4,835 $ 9,021 $ 3,253
Mid-Cap Growth Portfolio.................... 83,060 149,783 25,044 7,010 12,690 2,394
Aggressive Growth Portfolio................. 181,783 251,405 39,004 17,577 24,656 4,378
Focused Growth and Income Portfolio......... 32,949 52,230 14,033 4,828 6,569 2,514
Large-Cap Value Portfolio................... 32,521 70,304 18,777 2,849 5,695 1,899
Value Portfolio............................. 144,032 224,588 31,330 10,642 17,326 2,367
Small-Cap Value Portfolio................... 34,168 54,284 14,942 2,805 4,222 1,361
International Equity Portfolio.............. 63,387 104,391 21,061 5,345 8,546 2,017
Focus Portfolio............................. 210,235 317,554 267,092 28,989 46,409 44,168
</TABLE>
77
<PAGE>
STYLE SELECT SERIES LOGO
NOTES TO FINANCIAL STATEMENTS -- OCTOBER 31, 1999 -- (CONTINUED)
NOTE 5. PURCHASES AND SALES OF INVESTMENT SECURITIES
The cost of purchases and proceeds from sales and maturities of long-term
investments during the year ended October 31, 1999 were as follows:
<TABLE>
<CAPTION>
FOCUSED GROWTH
LARGE-CAP MID-CAP GROWTH AGGRESSIVE GROWTH AND INCOME LARGE-CAP VALUE
GROWTH PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
---------------- -------------- ----------------- -------------- ---------------
<S> <C> <C> <C> <C> <C>
Purchases (excluding U.S. government
securities)........................ $76,435,512 $123,152,418 $253,033,146 $102,698,331 $28,489,585
Sales (excluding U.S. government
securities)........................ 48,811,854 155,320,275 243,755,126 66,344,332 22,101,549
</TABLE>
<TABLE>
<CAPTION>
SMALL-CAP VALUE INTERNATIONAL
VALUE PORTFOLIO PORTFOLIO EQUITY PORTFOLIO FOCUS PORTFOLIO
--------------- --------------- ---------------- ---------------
<S> <C> <C> <C> <C>
Purchases (excluding U.S. government
securities)................................. $209,203,289 $45,507,531 $83,344,066 $930,873,335
Sales (excluding U.S. government
securities)................................. 258,700,095 51,093,698 91,730,952 533,480,152
</TABLE>
NOTE 6. TRANSACTIONS WITH AFFILIATES
The following Portfolios incurred brokerage commissions with affiliated brokers:
<TABLE>
<CAPTION>
INTERNATIONAL
LARGE-CAP VALUE VALUE EQUITY FOCUS
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
--------------- --------- ------------- ---------
<S> <C> <C> <C> <C>
Shelby Cullom Davis & Co.................................... $ 36 $1,722 $-- $--
J.P. Morgan Securities, Inc................................. -- 3,378 -- --
Bankers Trust Co............................................ -- -- 35 --
Deutsche Bank Group......................................... -- -- 10,696 --
Jardine Fleming Securities Ltd.............................. -- -- 1,249 --
Prudential Securities, Inc.................................. -- -- -- 2,019
</TABLE>
As disclosed in the investment portfolios, certain Portfolios own common stock
issued by American International Group, Inc. ("AIG"). Effective January 1, 1999,
SunAmerica, the investment adviser, became a wholly owned subsidiary of AIG. For
the year ended October 31, 1999 the Large-Cap Value Portfolio and the Value
Portfolio received dividend income of $2,949 and $766, respectively from 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.
78
<PAGE>
STYLE SELECT SERIES LOGO
NOTES TO FINANCIAL STATEMENTS -- OCTOBER 31, 1999 -- (CONTINUED)
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>
FOCUSED GROWTH
LARGE-CAP GROWTH MID-CAP GROWTH AGGRESSIVE GROWTH AND INCOME
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
---------------- -------------- ----------------- --------------
<S> <C> <C> <C> <C>
Cost........................................ $77,276,208 $104,729,943 $196,763,971 $78,670,352
=========== ============ ============ ===========
Appreciation................................ $21,988,534 $ 24,497,864 $ 78,423,603 $10,060,368
Depreciation................................ (1,257,278) (6,108,382) (8,501,475) (1,050,600)
----------- ------------ ------------ -----------
Net unrealized appreciation................. $20,731,256 $ 18,389,482 $ 69,922,128 $ 9,009,768
=========== ============ ============ ===========
</TABLE>
<TABLE>
<CAPTION>
LARGE-CAP VALUE SMALL-CAP VALUE INTERNATIONAL
PORTFOLIO VALUE PORTFOLIO PORTFOLIO EQUITY PORTFOLIO FOCUS PORTFOLIO
--------------- --------------- --------------- ---------------- ---------------
<S> <C> <C> <C> <C> <C>
Cost........................... $55,292,285 $153,056,905 $48,159,204 $74,660,230 $578,227,900
=========== ============ =========== =========== ============
Appreciation................... $ 7,943,355 $ 23,537,311 $ 2,827,984 $14,553,410 $125,192,727
Depreciation................... (5,427,340) (11,383,685) (5,996,097) (3,218,052) (8,699,109)
----------- ------------ ----------- ----------- ------------
Net unrealized appreciation/
depreciation.................. $ 2,516,015 $ 12,153,626 $(3,168,113) $11,335,358 $116,493,618
=========== ============ =========== =========== ============
</TABLE>
At October 31, 1999 Small-Cap Value Portfolio had a capital loss carryforward of
$2,386,594 which will expire 2006-2007 and, International Equity Portfolio had a
capital loss carryforward of $1,540,956 which will expire 2006, which are
available to the extent provided in regulations.
Large-Cap Growth Portfolio, Aggressive Growth Portfolio, Value Portfolio,
International Equity Portfolio, and Focus Portfolio utilized capital loss
carryforwards of $1,082,976, $4,430,983, $6,407,836, $4,309,219, and $4,898,476,
respectively, to offset the Portfolios' net taxable gains realized and
recognized in the year ended October 31, 1999.
79
<PAGE>
STYLE SELECT SERIES LOGO
NOTES TO FINANCIAL STATEMENTS -- OCTOBER 31, 1999 -- (CONTINUED)
NOTE 8. OPEN FORWARD CURRENCY CONTRACTS
At October 31, 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 October 31, 1999.
<TABLE>
<CAPTION>
GROSS
CONTRACT IN DELIVERY UNREALIZED
TO DELIVER EXCHANGE FOR DATE APPRECIATION
- --------------- --------------- -------- ------------
<S> <C> <C> <C> <C> <C>
AUD 1,021,862 CAD 980,405 11/12/99 $14,510
GBP 398,207 JPY 70,200,708 11/12/99 20,259
-------
34,769
-------
</TABLE>
<TABLE>
<CAPTION>
GROSS
CONTRACT IN DELIVERY UNREALIZED
TO DELIVER EXCHANGE FOR DATE DEPRECIATION
- ---------------- -------------- -------- ------------
<S> <C> <C> <C> <C> <C>
*GBP 302,792 EUR 466,178 11/12/99 (6,742)
*GBP 304,423 EUR 469,043 11/12/99 (6,405)
--------
(13,147)
--------
Net Unrealized Appreciation $ 21,622
========
</TABLE>
- ----------------
<TABLE>
<S> <C> <C>
* 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.
AUD -- Australian Dollar
CAD -- Canadian Dollar
EUR -- Euro Currency
GBP -- Pound Sterling
JPY -- Japanese Yen
</TABLE>
80
<PAGE>
STYLE SELECT SERIES LOGO
NOTES TO FINANCIAL STATEMENTS -- OCTOBER 31, 1999 -- (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
-----------------------------------------------------
FOR THE YEAR ENDED FOR THE YEAR ENDED
OCTOBER 31, 1999 OCTOBER 31, 1998
------------------------- -------------------------
SHARES AMOUNT SHARES AMOUNT
---------- ------------ ---------- ------------
<S> <C> <C> <C> <C>
Shares sold............. 955,893 $15,603,668 1,126,670 $ 15,068,918
Reinvested dividends.... -- -- 317 4,694
Shares redeemed......... (465,782) (7,597,190) (2,081,206) (27,467,943)
--------- ----------- ---------- ------------
Net increase
(decrease)............. 490,111 $ 8,006,478 (954,219) $(12,394,331)
========= =========== ========== ============
<CAPTION>
LARGE-CAP GROWTH PORTFOLIO
-----------------------------------------------------
CLASS B
-----------------------------------------------------
FOR THE YEAR ENDED FOR THE YEAR ENDED
OCTOBER 31, 1999 OCTOBER 31, 1998
------------------------- -------------------------
SHARES AMOUNT SHARES AMOUNT
---------- ------------ ---------- ------------
<S> <C> <C> <C> <C>
Shares sold............. 1,567,411 $25,184,736 2,091,339 $27,630,099
Reinvested dividends.... -- -- 252 3,708
Shares redeemed......... (609,744) (9,947,519) (239,375) (3,214,482)
--------- ----------- --------- -----------
Net increase
(decrease)............. 957,667 $15,237,217 1,852,216 $24,419,325
========= =========== ========= ===========
</TABLE>
<TABLE>
<CAPTION>
-----------------------------------------------------
CLASS II
-----------------------------------------------------
FOR THE YEAR ENDED FOR THE YEAR ENDED
OCTOBER 31, 1999 OCTOBER 31, 1998
------------------------- -------------------------
SHARES AMOUNT SHARES AMOUNT
---------- ------------ ---------- ------------
<S> <C> <C> <C> <C> <C> <C> <C>
Shares sold............. 777,065 $12,563,735 565,584 $ 7,501,837
Reinvested dividends.... -- -- 54 792
Shares redeemed......... (275,945) (4,558,883) (42,395) (571,201)
-------- ----------- ---------- ------------
Net increase............ 501,120 $ 8,004,852 523,243 $ 6,931,428
======== =========== ========== ============
<CAPTION>
<S> <C>
Shares sold.............
Reinvested dividends....
Shares redeemed.........
Net increase............
</TABLE>
<TABLE>
<CAPTION>
MID-CAP GROWTH PORTFOLIO
---------------------------------------------------------------------------------
CLASS A CLASS B
----------------------------------------------------- -------------------------
FOR THE YEAR ENDED FOR THE YEAR ENDED FOR THE YEAR ENDED
OCTOBER 31, 1999 OCTOBER 31, 1998 OCTOBER 31, 1999
------------------------- ------------------------- -------------------------
SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
---------- ------------ ---------- ------------ ---------- ------------
<S> <C> <C> <C> <C> <C> <C>
Shares sold............. 2,253,520 $ 37,907,454 2,003,438 $ 30,029,197 1,525,775 $ 25,350,060
Reinvested dividends.... 87,640 1,288,306 -- -- 152,206 2,206,988
Shares redeemed......... (2,394,645) (40,438,565) (1,146,590) (16,877,753) (1,782,873) (29,720,800)
---------- ------------ ---------- ------------ ---------- ------------
Net increase
(decrease)............. (53,485) $ (1,242,805) 856,848 $ 13,151,444 (104,892) $ (2,163,752)
========== ============ ========== ============ ========== ============
<CAPTION>
MID-CAP GROWTH PORTFOLIO
-------------------------
CLASS B
-------------------------
FOR THE YEAR ENDED
OCTOBER 31, 1998
-------------------------
SHARES AMOUNT
---------- ------------
<S> <C> <C>
Shares sold............. 2,411,557 $ 35,655,215
Reinvested dividends.... -- --
Shares redeemed......... (972,294) (14,050,897)
--------- ------------
Net increase
(decrease)............. 1,439,263 $ 21,604,318
========= ============
</TABLE>
<TABLE>
<CAPTION>
-----------------------------------------------------
CLASS II
-----------------------------------------------------
FOR THE YEAR ENDED FOR THE YEAR ENDED
OCTOBER 31, 1999 OCTOBER 31, 1998
------------------------- -------------------------
SHARES AMOUNT SHARES AMOUNT
---------- ------------ ---------- ------------
<S> <C> <C> <C> <C> <C> <C> <C>
Shares sold............. 1,398,691 $ 23,421,973 1,037,718 $ 15,100,986
Reinvested dividends.... 17,899 259,890 -- --
Shares redeemed......... (1,322,303) (22,084,456) (724,281) (10,531,818)
---------- ------------ ---------- ------------
Net increase............ 94,287 $ 1,597,407 313,437 $ 4,569,168
========== ============ ========== ============
<CAPTION>
<S> <C>
Shares sold.............
Reinvested dividends....
Shares redeemed.........
Net increase............
</TABLE>
81
<PAGE>
STYLE SELECT SERIES LOGO
NOTES TO FINANCIAL STATEMENTS -- OCTOBER 31, 1999 -- (CONTINUED)
<TABLE>
<CAPTION>
AGGRESSIVE GROWTH PORTFOLIO
-----------------------------------------------------
CLASS A
-----------------------------------------------------
FOR THE YEAR ENDED FOR THE YEAR ENDED
OCTOBER 31, 1999 OCTOBER 31, 1998
------------------------- -------------------------
SHARES AMOUNT SHARES AMOUNT
---------- ------------ ---------- ------------
<S> <C> <C> <C> <C>
Shares sold............. 1,873,821 $ 43,092,613 1,887,998 $ 31,932,623
Reinvested dividends.... -- -- 15,149 232,082
Shares redeemed......... (1,416,599) (32,954,142) (939,066) (15,813,931)
---------- ------------ ---------- ------------
Net increase............ 457,222 $ 10,138,471 964,081 $ 16,350,774
========== ============ ========== ============
<CAPTION>
AGGRESSIVE GROWTH PORTFOLIO
-----------------------------------------------------
CLASS B
-----------------------------------------------------
FOR THE YEAR ENDED FOR THE YEAR ENDED
OCTOBER 31, 1999 OCTOBER 31, 1998
------------------------- -------------------------
SHARES AMOUNT SHARES AMOUNT
---------- ------------ ---------- ------------
<S> <C> <C> <C> <C>
Shares sold............. 1,874,991 $ 42,043,794 2,426,954 $ 40,971,389
Reinvested dividends.... -- -- 21,234 323,184
Shares redeemed......... (991,014) (21,938,947) (921,116) (14,741,870)
---------- ------------ --------- ------------
Net increase............ 883,977 $ 20,104,847 1,527,072 $ 26,552,703
========== ============ ========= ============
</TABLE>
<TABLE>
<CAPTION>
---------------------------------------------------------------------------------
CLASS II CLASS Z
----------------------------------------------------- -------------------------
FOR THE YEAR ENDED FOR THE YEAR ENDED FOR THE YEAR ENDED
OCTOBER 31, 1999 OCTOBER 31, 1998 OCTOBER 31, 1999
------------------------- ------------------------- -------------------------
SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
---------- ------------ ---------- ------------ ---------- ------------
<S> <C> <C> <C> <C> <C> <C>
Shares sold............. 501,298 $ 11,537,832 395,453 $ 6,677,908 8,549 $ 197,777
Reinvested dividends.... -- -- 1,904 28,983 -- --
Shares redeemed......... (160,336) (3,624,140) (124,617) (2,098,913) (5,745) (135,199)
---------- ------------ ---------- ------------ ---------- ------------
Net increase............ 340,962 $ 7,913,692 272,740 $ 4,607,978 2,804 $ 62,578
========== ============ ========== ============ ========== ============
<CAPTION>
-------------------------
CLASS Z
-------------------------
FOR THE PERIOD
APRIL 3, 1998*
THROUGH
OCTOBER 31, 1998
-------------------------
SHARES AMOUNT
---------- ------------
<S> <C> <C>
Shares sold............. 21,269 $ 378,269
Reinvested dividends.... -- --
Shares redeemed......... (403) (7,760)
--------- ------------
Net increase............ 20,866 $ 370,509
========= ============
</TABLE>
<TABLE>
<CAPTION>
FOCUSED GROWTH AND INCOME PORTFOLIO
-----------------------------------------------------
CLASS A
-----------------------------------------------------
FOR THE YEAR ENDED FOR THE YEAR ENDED
OCTOBER 31, 1999 OCTOBER 31, 1998
------------------------- -------------------------
SHARES AMOUNT SHARES AMOUNT
---------- ------------ ---------- ------------
<S> <C> <C> <C> <C>
Shares sold.............. 1,462,757 $22,261,103 710,580 $ 9,385,878
Reinvested dividends..... 9,306 124,043 845 12,086
Shares redeemed.......... (512,978) (7,527,895) (1,930,218) (25,563,679)
--------- ----------- ---------- ------------
Net increase
(decrease).............. 959,085 $14,857,251 (1,218,793) $(16,165,715)
========= =========== ========== ============
<CAPTION>
FOCUSED GROWTH AND INCOME PORTFOLIO
----------------------------------------------------
CLASS B
----------------------------------------------------
FOR THE YEAR ENDED FOR THE YEAR ENDED
OCTOBER 31, 1999 OCTOBER 31, 1998
------------------------- ------------------------
SHARES AMOUNT SHARES AMOUNT
---------- ------------ ---------- -----------
<S> <C> <C> <C> <C>
Shares sold.............. 1,480,395 $22,219,188 1,318,539 $17,361,591
Reinvested dividends..... 15,408 203,845 685 9,757
Shares redeemed.......... (397,068) (5,800,382) (151,506) (1,955,466)
--------- ----------- --------- -----------
Net increase
(decrease).............. 1,098,735 $16,622,651 1,167,718 $15,415,882
========= =========== ========= ===========
</TABLE>
<TABLE>
<CAPTION>
-----------------------------------------------------
CLASS II
-----------------------------------------------------
FOR THE YEAR ENDED FOR THE YEAR ENDED
OCTOBER 31, 1999 OCTOBER 31, 1998
------------------------- -------------------------
SHARES AMOUNT SHARES AMOUNT
---------- ------------ ---------- ------------
<S> <C> <C> <C> <C> <C> <C> <C>
Shares sold.............. 897,015 $13,510,938 210,319 $ 2,771,825
Reinvested dividends..... 2,151 28,463 79 1,120
Shares redeemed.......... (166,400) (2,504,119) (30,059) (392,116)
-------- ----------- ---------- ------------
Net increase............. 732,766 $11,035,282 180,339 $ 2,380,829
======== =========== ========== ============
<CAPTION>
<S> <C>
Shares sold..............
Reinvested dividends.....
Shares redeemed..........
Net increase.............
</TABLE>
* Inception of the class
82
<PAGE>
STYLE SELECT SERIES LOGO
NOTES TO FINANCIAL STATEMENTS -- OCTOBER 31, 1999 -- (CONTINUED)
<TABLE>
<CAPTION>
LARGE-CAP VALUE PORTFOLIO
-----------------------------------------------------
CLASS A
-----------------------------------------------------
FOR THE YEAR ENDED FOR THE YEAR ENDED
OCTOBER 31, 1999 OCTOBER 31, 1998
------------------------- -------------------------
SHARES AMOUNT SHARES AMOUNT
---------- ------------ ---------- ------------
<S> <C> <C> <C> <C>
Shares sold............. 536,741 $ 7,416,875 1,166,196 $ 14,892,230
Reinvested dividends.... 5,994 75,283 556 7,625
Shares redeemed......... (430,408) (5,856,941) (2,099,990) (26,169,149)
---------- ----------- ---------- ------------
Net increase
(decrease)............. 112,327 $ 1,635,217 (933,238) $(11,269,294)
========== =========== ========== ============
<CAPTION>
LARGE-CAP VALUE PORTFOLIO
-----------------------------------------------------
CLASS B
-----------------------------------------------------
FOR THE YEAR ENDED FOR THE YEAR ENDED
OCTOBER 31, 1999 OCTOBER 31, 1998
------------------------- -------------------------
SHARES AMOUNT SHARES AMOUNT
---------- ------------ ---------- ------------
<S> <C> <C> <C> <C>
Shares sold............. 1,078,720 $ 14,841,980 2,558,635 $ 32,748,118
Reinvested dividends.... 13,092 163,267 657 8,980
Shares redeemed......... (1,076,085) (14,521,640) (420,860) (5,315,302)
---------- ------------ ---------- ------------
Net increase
(decrease)............. 15,727 $ 483,607 2,138,432 $ 27,441,796
========== ============ ========== ============
</TABLE>
<TABLE>
<CAPTION>
----------------------------------------------------- -------------------------
CLASS II CLASS Z
----------------------------------------------------- -------------------------
FOR THE YEAR ENDED FOR THE YEAR ENDED FOR THE YEAR ENDED
OCTOBER 31, 1999 OCTOBER 31, 1998 OCTOBER 31, 1999
------------------------- ------------------------- -------------------------
SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
---------- ------------ ---------- ------------ ---------- ------------
<S> <C> <C> <C> <C> <C> <C>
Shares sold............. 545,700 $ 7,541,736 509,447 $ 6,443,368 4,036 $ 55,588
Reinvested dividends.... 2,238 27,906 98 1,336 95 1,202
Shares redeemed......... (244,591) (3,332,709) (58,595) (702,209) (3,535) (48,567)
-------- ----------- ---------- ------------ -------- -----------
Net increase............ 303,347 $ 4,236,933 450,950 $ 5,742,495 596 $ 8,223
======== =========== ========== ============ ======== ===========
<CAPTION>
-------------------------
CLASS Z
-------------------------
FOR THE PERIOD
APRIL 16, 1998*
THROUGH
OCTOBER 31, 1998
-------------------------
SHARES AMOUNT
---------- ------------
<S> <C> <C>
Shares sold............. 19,034 $ 247,966
Reinvested dividends.... 14 197
Shares redeemed......... (2,671) (34,016)
--------- -----------
Net increase............ 16,377 $ 214,147
========= ===========
</TABLE>
<TABLE>
<CAPTION>
VALUE PORTFOLIO
---------------------------------------------------------------------------------
CLASS A CLASS B
----------------------------------------------------- -------------------------
FOR THE YEAR ENDED FOR THE YEAR ENDED FOR THE YEAR ENDED
OCTOBER 31, 1999 OCTOBER 31, 1998 OCTOBER 31, 1999
------------------------- ------------------------- -------------------------
SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
---------- ------------ ---------- ------------ ---------- ------------
<S> <C> <C> <C> <C> <C> <C>
Shares sold............. 776,261 $ 12,767,145 3,024,790 $ 49,667,494 796,331 $ 12,955,414
Reinvested dividends.... -- -- 113,683 1,775,725 -- --
Shares redeemed......... (2,036,821) (33,086,307) (1,402,287) (22,115,075) (2,534,120) (40,681,427)
---------- ------------ ---------- ------------ ---------- ------------
Net increase
(decrease)............. (1,260,560) $(20,319,162) 1,736,186 $ 29,328,144 (1,737,789) $(27,726,013)
========== ============ ========== ============ ========== ============
<CAPTION>
VALUE PORTFOLIO
-------------------------
CLASS B
-------------------------
FOR THE YEAR ENDED
OCTOBER 31, 1998
-------------------------
SHARES AMOUNT
---------- ------------
<S> <C> <C>
Shares sold............. 3,700,591 $ 60,058,522
Reinvested dividends.... 181,420 2,813,830
Shares redeemed......... (1,230,770) (18,910,699)
---------- ------------
Net increase
(decrease)............. 2,651,241 $ 43,961,653
========== ============
</TABLE>
<TABLE>
<CAPTION>
---------------------------------------------------------------------------------
CLASS II CLASS Z
----------------------------------------------------- -------------------------
FOR THE YEAR ENDED FOR THE YEAR ENDED FOR THE YEAR ENDED
OCTOBER 31, 1999 OCTOBER 31, 1998 OCTOBER 31, 1999
------------------------- ------------------------- -------------------------
SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
---------- ------------ ---------- ------------ ---------- ------------
<S> <C> <C> <C> <C> <C> <C>
Shares sold............. 279,729 $ 4,561,264 649,398 $ 10,523,159 8,388 $ 140,517
Reinvested dividends.... -- -- 16,911 262,283 -- --
Shares redeemed......... (524,232) (8,403,002) (222,292) (3,432,853) (10,723) (178,870)
---------- ------------ ---------- ------------ ---------- ------------
Net increase
(decrease)............. (244,503) $ (3,841,738) 444,017 $ 7,352,589 (2,335) $ (38,353)
========== ============ ========== ============ ========== ============
<CAPTION>
-------------------------
CLASS Z
-------------------------
FOR THE PERIOD
APRIL 16, 1998*
THROUGH
OCTOBER 31, 1998
-------------------------
SHARES AMOUNT
---------- ------------
<S> <C> <C>
Shares sold............. 8,051 $ 130,827
Reinvested dividends.... -- --
Shares redeemed......... (1,371) (23,115)
---------- ------------
Net increase
(decrease)............. 6,680 $ 107,712
========== ============
</TABLE>
* Inception of the class
83
<PAGE>
STYLE SELECT SERIES LOGO
NOTES TO FINANCIAL STATEMENTS -- OCTOBER 31, 1999 -- (CONTINUED)
<TABLE>
<CAPTION>
SMALL-CAP VALUE PORTFOLIO
-----------------------------------------------------
CLASS A
-----------------------------------------------------
FOR THE YEAR ENDED FOR THE YEAR ENDED
OCTOBER 31, 1999 OCTOBER 31, 1998
------------------------- -------------------------
SHARES AMOUNT SHARES AMOUNT
---------- ------------ ---------- ------------
<S> <C> <C> <C> <C>
Shares sold............. 705,389 $ 8,247,647 1,603,110 $ 20,093,169
Reinvested dividends.... -- -- 1,239 15,852
Shares redeemed......... (774,635) (8,912,260) (1,970,872) (23,878,009)
---------- ------------ ---------- ------------
Net increase
(decrease)............. (69,246) $ (664,613) (366,523) $ (3,768,988)
========== ============ ========== ============
<CAPTION>
SMALL-CAP VALUE PORTFOLIO
-----------------------------------------------------
CLASS B
-----------------------------------------------------
FOR THE YEAR ENDED FOR THE YEAR ENDED
OCTOBER 31, 1999 OCTOBER 31, 1998
------------------------- -------------------------
SHARES AMOUNT SHARES AMOUNT
---------- ------------ ---------- ------------
<S> <C> <C> <C> <C>
Shares sold............. 632,998 $ 7,307,720 2,609,019 $ 32,523,069
Reinvested dividends.... -- -- 1,337 17,010
Shares redeemed......... (1,092,801) (12,274,195) (449,305) (5,182,382)
---------- ------------ ---------- ------------
Net increase
(decrease)............. (459,803) $ (4,966,475) 2,161,051 $ 27,357,697
========== ============ ========== ============
</TABLE>
<TABLE>
<CAPTION>
---------------------------------------------------------------------------------
CLASS II CLASS Z
----------------------------------------------------- -------------------------
FOR THE YEAR ENDED FOR THE YEAR ENDED FOR THE YEAR ENDED
OCTOBER 31, 1999 OCTOBER 31, 1998 OCTOBER 31, 1999
------------------------- ------------------------- -------------------------
SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
---------- ------------ ---------- ------------ ---------- ------------
<S> <C> <C> <C> <C> <C> <C>
Shares sold............. 315,861 $ 3,656,054 610,407 $ 7,609,109 8,751 $ 103,187
Reinvested dividends.... -- -- 244 3,104 -- --
Shares redeemed......... (245,438) (2,763,551) (98,273) (1,113,740) (15,186) (176,844)
---------- ------------ ---------- ------------ ---------- ------------
Net increase
(decrease)............. 70,423 $ 892,503 512,378 $ 6,498,473 (6,435) $ (73,657)
========== ============ ========== ============ ========== ============
<CAPTION>
-------------------------
CLASS Z
-------------------------
FOR THE PERIOD
APRIL 16, 1998*
THROUGH
OCTOBER 31, 1998
-------------------------
SHARES AMOUNT
---------- ------------
<S> <C> <C>
Shares sold............. 13,605 $ 169,205
Reinvested dividends.... 14 183
Shares redeemed......... (535) (6,219)
---------- ------------
Net increase
(decrease)............. 13,084 $ 163,169
========== ============
</TABLE>
<TABLE>
<CAPTION>
INTERNATIONAL EQUITY PORTFOLIO
-----------------------------------------------------
CLASS A
-----------------------------------------------------
FOR THE YEAR ENDED FOR THE YEAR ENDED
OCTOBER 31, 1999 OCTOBER 31, 1998
------------------------- -------------------------
SHARES AMOUNT SHARES AMOUNT
---------- ------------ ---------- ------------
<S> <C> <C> <C> <C>
Shares sold............ 4,614,050 $ 60,501,869 3,643,759 $ 46,757,853
Reinvested dividends... 7,841 98,642 34,215 406,818
Shares redeemed........ (4,890,684) (64,497,428) (3,309,178) (42,505,076)
---------- ------------ ---------- ------------
Net increase
(decrease)............ (268,793) $ (3,896,917) 368,796 $ 4,659,595
========== ============ ========== ============
<CAPTION>
INTERNATIONAL EQUITY PORTFOLIO
-------------------------------------------------------
CLASS B
-------------------------------------------------------
FOR THE YEAR ENDED FOR THE YEAR ENDED
OCTOBER 31, 1999 OCTOBER 31, 1998
--------------------------- -------------------------
SHARES AMOUNT SHARES AMOUNT
------------ ------------ ---------- ------------
<S> <C> <C> <C> <C>
Shares sold............ 718,626 $ 9,458,419 1,477,710 $ 19,056,486
Reinvested dividends... 14,042 174,265 58,619 691,698
Shares redeemed........ (1,310,103) (17,143,968) (1,020,515) (12,793,168)
---------- ----------- ---------- ------------
Net increase
(decrease)............ (577,435) $(7,511,284) 515,814 $ 6,955,016
========== =========== ========== ============
</TABLE>
<TABLE>
<CAPTION>
---------------------------------------------------------------------------------
CLASS II CLASS Z
----------------------------------------------------- -------------------------
FOR THE YEAR ENDED FOR THE YEAR ENDED FOR THE YEAR ENDED
OCTOBER 31, 1999 OCTOBER 31, 1998 OCTOBER 31, 1999
------------------------- ------------------------- -------------------------
SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
---------- ------------ ---------- ------------ ---------- ------------
<S> <C> <C> <C> <C> <C> <C>
Shares sold............. 795,257 $ 10,419,003 446,371 $ 5,752,349 2,994 $ 39,173
Reinvested dividends.... 2,040 25,318 3,864 45,601 46 586
Shares redeemed......... (621,680) (8,112,814) (148,954) (1,852,682) (12,643) (167,116)
---------- ------------ ---------- ------------ -------- -----------
Net increase
(decrease)............. 175,617 $ 2,331,507 301,281 $ 3,945,268 (9,603) $ (127,357)
========== ============ ========== ============ ======== ===========
<CAPTION>
-------------------------
CLASS Z
-------------------------
FOR THE PERIOD
APRIL 16, 1998*
THROUGH
OCTOBER 31, 1998
-------------------------
SHARES AMOUNT
---------- ------------
<S> <C> <C>
Shares sold............. 11,801 $ 159,226
Reinvested dividends.... -- --
Shares redeemed......... -- --
---------- ------------
Net increase
(decrease)............. 11,801 $ 159,226
========== ============
</TABLE>
* Inception of the class
84
<PAGE>
STYLE SELECT SERIES LOGO
NOTES TO FINANCIAL STATEMENTS -- OCTOBER 31, 1999 -- (CONTINUED)
<TABLE>
<CAPTION>
FOCUS PORTFOLIO
-----------------------------------------------------------------------------------
CLASS A CLASS B
------------------------------------------------------ --------------------------
FOR THE PERIOD
JUNE 8, 1998+
FOR THE YEAR ENDED THROUGH FOR THE YEAR ENDED
OCTOBER 31, 1999 OCTOBER 31, 1998 OCTOBER 31, 1999
-------------------------- ------------------------- --------------------------
SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
---------- ------------- ---------- ------------ ---------- -------------
<S> <C> <C> <C> <C> <C> <C>
Shares sold............ 8,710,962 $145,884,519 4,937,120 $ 62,391,549 12,231,833 $205,304,812
Reinvested dividends... -- -- -- -- -- --
Shares redeemed........ (2,248,697) (38,707,010) (2,574,338) (32,571,137) (1,628,171) (27,561,380)
---------- ------------ ---------- ------------ ---------- ------------
Net increase........... 6,462,265 $107,177,509 2,362,782 $ 29,820,412 10,603,662 $177,743,432
========== ============ ========== ============ ========== ============
<CAPTION>
FOCUS PORTFOLIO
-------------------------
CLASS B
-------------------------
FOR THE PERIOD
JUNE 8, 1998+
THROUGH
OCTOBER 31, 1998
-------------------------
SHARES AMOUNT
---------- ------------
<S> <C> <C>
Shares sold............ 4,130,135 $ 52,830,672
Reinvested dividends... -- --
Shares redeemed........ (482,431) (5,983,085)
---------- ------------
Net increase........... 3,647,704 $ 46,847,587
========== ============
</TABLE>
<TABLE>
<CAPTION>
----------------------------------------------------------------------------------
CLASS II CLASS Z
------------------------------------------------------ -------------------------
------------------------------------------------------ -------------------------
FOR THE PERIOD FOR THE PERIOD
JUNE 8, 1998+ JULY 7, 1999*
FOR THE YEAR ENDED THROUGH THROUGH
OCTOBER 31, 1999 OCTOBER 31, 1998 OCTOBER 31, 1999
-------------------------- ------------------------- -------------------------
SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
---------- ------------- ---------- ------------ ---------- ------------
<S> <C> <C> <C> <C> <C> <C> <C>
Shares sold............ 12,102,392 $206,502,140 2,883,328 $ 36,845,163 148,210 $ 2,689,926
Reinvested dividends... -- -- -- -- -- --
Shares redeemed........ (1,192,191) (20,360,820) (65,791) (780,345) (17,328) (313,076)
---------- ------------ ---------- ------------ ---------- ------------
Net increase........... 10,910,201 $186,141,320 2,817,537 $ 36,064,818 130,882 $ 2,376,850
========== ============ ========== ============ ========== ============
<CAPTION>
<S> <C>
Shares sold............
Reinvested dividends...
Shares redeemed........
Net increase...........
</TABLE>
* Inception of the class
+ Commencement of Operations
85
<PAGE>
STYLE SELECT SERIES LOGO
NOTES TO FINANCIAL STATEMENTS -- OCTOBER 31, 1999 -- (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 any undistributed amounts shall continue to accrue
interest at 8.5%. As of October 31, 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
$2,363, $5,903, $8,639, $1,762, $2,234, $11,599, $2,195, $7,887, and $3,794,
respectively, for the Retirement Plan, which is included in accrued expenses on
the Statement of Assets and Liabilities, and as of October 31, 1999 expensed
$1,556, $3,155, $4,725, $925, $1,436, $6,038, $1,394, $2,640, and $3,794,
respectively, for the Retirement Plan, which is included in Directors' fees and
expenses on the Statement of Operations.
NOTE 11. SUBSEQUENT EVENTS
Effective November 1, 1999, SunAmerica Asset Management Co. assumed the role as
subadvisor of the Mid-Cap Growth Portfolio from Wellington Management Co., LLP.
86
<PAGE>
STYLE SELECT SERIES LOGO
REPORT OF INDEPENDENT ACCOUNTANTS
TO THE BOARD OF DIRECTORS AND SHAREHOLDERS OF STYLE SELECT SERIES, INC.
In our opinion, the accompanying statement of assets and liabilities, including
the portfolios of investments, and the related statements of operations and of
changes in net assets and the financial highlights present fairly, in all
material respects, the financial position of Large-Cap Growth Portfolio, Mid-Cap
Growth Portfolio, Aggressive Growth Portfolio, Focused Growth and Income
Portfolio (formerly Large-Cap Blend Portfolio), Large-Cap Value Portfolio, Value
Portfolio, Small-Cap Value Portfolio, International Equity Portfolio, and Focus
Portfolio (constituting the nine portfolios of Style Select Series, Inc.,
hereafter referred to as the "Fund") at October 31, 1999, and the results of
each of their operations, the changes in each of their net assets and the
financial highlights for each of the periods indicated, in conformity with
generally accepted accounting principles. These financial statements and
financial highlights (hereafter referred to as "financial statements") are the
responsibility of the Fund's management; our responsibility is to express an
opinion on these financial statements based on our audits. We conducted our
audits of these financial statements in accordance with generally accepted
auditing standards which require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free of material
misstatement. An audit includes examining, on a test basis, evidence supporting
the amounts and disclosures in the financial statements, assessing the
accounting principles used and significant estimates made by management, and
evaluating the overall financial statement presentation. We believe that our
audits, which included confirmation of securities at October 31, 1999 by
correspondence with the custodian and brokers, provide a reasonable basis for
the opinion expressed above.
PricewaterhouseCoopers LLP
New York, New York
December 15, 1999
87
<PAGE>
STYLE SELECT SERIES LOGO
SHAREHOLDER TAX INFORMATION -- (UNAUDITED)
Certain tax information regarding the Style Select Series, Inc. is required to
be provided to shareholders based upon each Portfolio's income and distributions
for the taxable year ended October 31, 1999. The information and distributions
reported herein may differ from the information and distributions taxable to the
shareholders for the calendar year ending December 31, 1999. The information
necessary to complete your income tax returns will be included with your Form
1099-DIV which will be sent to you under a separate cover in January 2000.
During the year ended October 31, 1999 the Portfolio's paid the following
dividends per share:
<TABLE>
<CAPTION>
NET SHORT- NET LONG-
NET TERM TERM
TOTAL INVESTMENT CAPITAL CAPITAL
DIVIDENDS INCOME GAINS GAINS
--------- ---------- ---------- ---------
<S> <C> <C> <C> <C>
Large-Cap Growth Class A.................................... $ -- $ -- $ -- $ --
Large-Cap Growth Class B.................................... -- -- -- --
Large-Cap Growth Class C.................................... -- -- -- --
Mid-Cap Growth Class A...................................... .64 -- .03 .61
Mid-Cap Growth Class B...................................... .64 -- .03 .61
Mid-Cap Growth Class C...................................... .64 -- .03 .61
Aggressive Growth Class A................................... -- -- -- --
Aggressive Growth Class B................................... -- -- -- --
Aggressive Growth Class C................................... -- -- -- --
Aggressive Growth Class Z................................... -- -- -- --
Focused Growth and Income Class A........................... .18 -- .18 --
Focused Growth and Income Class B........................... .18 -- .18 --
Focused Growth and Income Class C........................... .18 -- .18 --
Large-Cap Value Class A..................................... .08 -- .08 --
Large-Cap Value Class B..................................... .08 -- .08 --
Large-Cap Value Class C..................................... .08 -- .08 --
Large-Cap Value Class Z..................................... .08 -- .08 --
Value Class A............................................... -- -- -- --
Value Class B............................................... -- -- -- --
Value Class C............................................... -- -- -- --
Value Class Z............................................... -- -- -- --
Small-Cap Value Class A..................................... -- -- -- --
Small-Cap Value Class B..................................... -- -- -- --
Small-Cap Value Class C..................................... -- -- -- --
Small-Cap Value Class Z..................................... -- -- -- --
International Equity Class A................................ .05 -- .05 --
International Equity Class B................................ .05 -- .05 --
International Equity Class C................................ .05 -- .05 --
International Equity Class Z................................ .05 -- .05 --
Focus Class A............................................... -- -- -- --
Focus Class B............................................... -- -- -- --
Focus Class II.............................................. -- -- -- --
</TABLE>
For the year ended October 31, 1999, 83.98%, 94.66%, and 100.00% of the
dividends paid from ordinary income by Mid-Cap Growth Portfolio, Focused Growth
and Income Portfolio, and Large-Cap Value Portfolio, respectively, qualified for
the 70% dividends received deductions for corporations.
88
<PAGE>
STYLE SELECT SERIES LOGO
COMPARISONS: PORTFOLIOS VS. THE INDEXES
As required by the Securities and Exchange Commission, the following graphs
compare the performance of a $10,000 investment in each Style Select Series,
Inc. portfolio to the growth of a similar investment in an appropriate benchmark
index. Please note, the graphs represent the performance of the largest class of
shares. It is important to also note that the portfolios are professionally
managed mutual funds, while the indices are unmanaged and, in any case, are not
available for investment. The maximum sales charge for Class A is 5.75% of the
public offering price. The maximum contingent deferred sales charges ("CDSC")
for Class B and Class C is 4% and 1%, respectively. Class B's CDSC is reduced to
0% after six years; Class C's CDSC is reduced to 0% after one year. All classes
bear ongoing 12b-1 distribution and service fees.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
RUSSELL 1000 MORNINGSTAR LARGE-CAP LARGE-CAP GROWTH
INDEX GROWTH INDEX CLASS B
<S> <C> <C> <C>
DOLLARS (THOUSANDS) $10,000.00 $10,000.00 $10,000.00
10/97 $9,630.40 $9,628.59 $9,432.00
1/98 $10,455.38 $10,074.87 $9,928.00
4/98 $11,851.73 $11,556.66 $11,184.00
7/98 $12,139.79 $11,843.79 $11,216.00
10/98 $12,003.42 $11,308.41 $10,498.00
1/99 $14,583.90 $14,238.59 $12,730.00
4/99 $15,275.34 $14,534.97 $12,818.00
7/99 $15,228.52 $14,666.86 $12,954.00
10/99 $15,656.38 $15,525.33 $13,987.00
</TABLE>
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C> <C>
CLASS A CLASS B CLASS II
<CAPTION>
SEC SEC SEC
CUMULATIVE AVERAGE CUMULATIVE AVERAGE CUMULATIVE AVERAGE
TRADITIONAL ANNUAL TRADITIONAL ANNUAL TRADITIONAL ANNUAL
LARGE-CAP GROWTH PORTFOLIO RETURN+ RETURN RETURN+ RETURN RETURN+ RETURN
<S> <C> <C> <C> <C> <C> <C>
1 Year Return 32.87% 25.23% 32.01% 28.01% 31.94% 29.62%
Since Inception* 45.90% 16.91% 43.87% 18.25% 43.79% 18.86%
</TABLE>
+ Traditional returns do not reflect sales load.
* Inception date for Class A, Class B and Class II: 10/15/97
LARGE-CAP GROWTH PORTFOLIO
The Large-Cap Growth Portfolio seeks long-term growth of capital through equity
investments in large-sized companies that have an above average growth
potential. The Portfolio produced double-digit returns for the fiscal year -- a
fact worth noting in a highly volatile period in the equity markets. Strong
stockpicking was the primary factor that contributed to this Portfolio
performance. Our managers continued to focus on companies with management teams
believed capable of building their business in any market or economic cycle.
Looking ahead, they will continue to try to identify those large companies
showing the greatest promise for above-average growth.
89
<PAGE>
STYLE SELECT SERIES LOGO
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
RUSSELL MID-CAP MORNINGSTAR MID-CAP MID-CAP GROWTH
GROWTH INDEX GROWTH INDEX CLASS B
<S> <C> <C> <C>
DOLLARS (THOUSANDS) $10,000.00 $10,000.00 $10,000.00
10/97 $11,966.27 $11,647.61 $10,904.00
1/98 $12,030.16 $11,587.62 $11,080.00
4/98 $13,899.18 $13,385.65 $13,000.00
7/98 $13,117.44 $12,737.43 $12,296.00
10/98 $12,257.29 $11,611.66 $11,136.00
1/99 $14,872.20 $14,446.07 $13,521.00
4/99 $15,613.76 $14,982.59 $14,005.00
7/99 $15,963.80 $15,875.34 $14,698.00
10/99 $16,874.28 $17,139.52 $14,473.00
</TABLE>
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C> <C>
CLASS A CLASS B CLASS II
<CAPTION>
SEC SEC SEC
CUMULATIVE AVERAGE CUMULATIVE AVERAGE CUMULATIVE AVERAGE
TRADITIONAL ANNUAL TRADITIONAL ANNUAL TRADITIONAL ANNUAL
MID-CAP GROWTH PORTFOLIO RETURN+ RETURN RETURN+ RETURN RETURN+ RETURN
<S> <C> <C> <C> <C> <C> <C>
1 Year Return 29.83% 22.37% 28.92% 24.92% 28.97% 26.68%
Since Inception* 51.65% 12.61% 48.73% 13.65% 56.00% 17.79%
</TABLE>
+ Traditional returns do not reflect sales load.
* Inception date for Class A and Class B: 11/19/96; Class II: 3/06/97
MID-CAP GROWTH PORTFOLIO
The Mid-Cap Growth Portfolio seeks long-term growth of capital by investing
primarily in the equity securities of medium-sized companies with above average
growth potential. The fiscal year ending October 31, 1999 will no doubt go down
as a tumultuous period for U.S. equities in general and for mid-cap companies in
particular. A focus on investing in high quality companies with strong,
predictable earnings growth and maintaining a diversified portfolio, both by
stock and sector, served our managers well. Using careful stock selection and
prudent sector diversification, we intend to continue to seek strong performance
in the upcoming challenging environment.
90
<PAGE>
STYLE SELECT SERIES LOGO
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
RUSSELL 2500 MORNINGSTAR AGGRESSIVE AGGRESSIVE GROWTH
GROWTH INDEX GROWTH INDEX CLASS B
<S> <C> <C> <C>
DOLLARS (THOUSANDS) $10,000.00 $10,000.00 $10,000.00
10/97 $11,969.44 $11,722.83 $12,640.00
1/98 $11,590.50 $11,531.55 $12,493.00
4/98 $13,171.37 $13,179.34 $14,564.00
7/98 $12,243.06 $12,345.22 $14,581.00
10/98 $10,985.44 $11,040.56 $12,730.00
1/99 $13,272.54 $13,815.66 $17,993.00
4/99 $13,783.08 $14,318.73 $18,815.00
7/99 $14,605.40 $15,257.91 $18,493.00
10/99 $15,093.74 $16,447.22 $20,242.00
</TABLE>
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C> <C> <C> <C>
CLASS A CLASS B CLASS II CLASS Z
<CAPTION>
SEC SEC SEC SEC
CUMULATIVE AVERAGE CUMULATIVE AVERAGE CUMULATIVE AVERAGE CUMULATIVE AVERAGE
TRADITIONAL ANNUAL TRADITIONAL ANNUAL TRADITIONAL ANNUAL TRADITIONAL ANNUAL
AGGRESSIVE GROWTH PORTFOLIO RETURN+ RETURN RETURN+ RETURN RETURN+ RETURN RETURN+ RETURN
<S> <C> <C> <C> <C> <C> <C> <C> <C>
1 Year Return 58.36% 49.26% 57.21% 53.21% 57.06% 54.48% 59.20% 59.20%
Since Inception* 110.60% 26.18% 106.42% 27.02% 92.77% 27.56% 44.15% 26.08%
</TABLE>
+ Traditional returns do not reflect sales load.
* Inception date for Class A and Class B: 11/19/96; Class II: 3/06/97;
Class Z: 4/03/98
AGGRESSIVE GROWTH PORTFOLIO
The Aggressive Growth Portfolio seeks long-term growth of capital by investing
generally in equity securities of small- and mid- capitalization growth
companies, although its managers can seek out growth companies of any size. For
the twelve months ending October 31, 1999, the Portfolio outperformed both its
benchmark index and its Morningstar objective average and Lipper category
average. Allocating a portion of assets to large cap names helped relative
performance as did management of risk through in-depth fundamental analysis,
extensive meetings with company managements, and close monitoring of industry
trends.
91
<PAGE>
STYLE SELECT SERIES LOGO
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
S&P 500 MORNINGSTAR FOCUSED GROWTH AND
INDUSTRIAL INDEX LARGE-CAP INCOME CLASS B
BLEND INDEX
<S> <C> <C> <C>
DOLLARS (THOUSANDS) $10,000.00 $10,000.00 $10,000.00
10/97 $9,666.00 $9,656.56 $9,568.00
1/98 $10,400.86 $10,190.24 $10,104.00
4/98 $11,839.94 $11,478.43 $11,160.00
7/98 $11,980.12 $11,405.91 $10,800.00
10/98 $11,791.49 $11,011.35 $9,975.00
1/99 $13,779.27 $12,826.18 $11,199.00
4/99 $14,422.11 $13,424.55 $11,921.00
7/99 $14,399.43 $13,403.44 $11,897.00
10/99 $14,818.42 $13,793.45 $13,317.00
</TABLE>
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C> <C>
CLASS A CLASS B CLASS II
<CAPTION>
SEC SEC SEC
CUMULATIVE AVERAGE CUMULATIVE AVERAGE CUMULATIVE AVERAGE
FOCUSED GROWTH AND INCOME TRADITIONAL ANNUAL TRADITIONAL ANNUAL TRADITIONAL ANNUAL
PORTFOLIO RETURN+ RETURN RETURN+ RETURN RETURN+ RETURN
<S> <C> <C> <C> <C> <C> <C>
1 Year Return 33.10% 25.44% 32.21% 28.21% 32.24% 29.91%
Since Inception* 38.98% 14.12% 37.17% 15.47% 37.09% 16.12%
</TABLE>
+ Traditional returns do not reflect sales load.
* Inception date for Class A, Class B and Class II: 10/15/97
FOCUSED GROWTH AND INCOME PORTFOLIO
The Focused Growth and Income Portfolio seeks long-term growth of capital and a
reasonable level of current income through equity investments in large-sized
companies. Due primarily to the Portfolio's new management structure as a
focused mutual fund (effective 4/01/99), the Portfolio greatly outperformed the
S&P 500 Index and its Morningstar and Lipper peers for the annual period.
Currently, the Portfolio invests in a maximum of 60 large company stocks.
92
<PAGE>
STYLE SELECT SERIES LOGO
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
RUSSELL 1000 MORNINGSTAR LARGE-CAP LARGE-CAP VALUE
INDEX VALUE INDEX CLASS B
<S> <C> <C> <C>
DOLLARS (THOUSANDS) $10,000.00 $10,000.00 $10,000.00
10/97 $9,720.60 $9,634.77 $9,488.00
1/98 $10,298.82 $10,055.17 $9,696.00
4/98 $11,742.45 $11,241.24 $10,968.00
7/98 $11,509.81 $10,779.78 $10,296.00
10/98 $11,161.70 $10,480.56 $9,611.00
1/99 $12,155.26 $11,423.21 $10,084.00
4/99 $13,374.41 $12,291.76 $13,040.00
7/99 $13,212.08 $12,160.25 $11,195.00
10/99 $12,985.12 $11,819.90 $10,768.00
</TABLE>
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C> <C> <C> <C>
CLASS A CLASS B CLASS II CLASS Z
<CAPTION>
SEC SEC SEC SEC
CUMULATIVE AVERAGE CUMULATIVE AVERAGE CUMULATIVE AVERAGE CUMULATIVE AVERAGE
TRADITIONAL ANNUAL TRADITIONAL ANNUAL TRADITIONAL ANNUAL TRADITIONAL ANNUAL
LARGE-CAP VALUE PORTFOLIO RETURN+ RETURN RETURN+ RETURN RETURN+ RETURN RETURN+ RETURN
<S> <C> <C> <C> <C> <C> <C> <C> <C>
1 Year Return 12.28% 5.82% 11.55% 7.55% 11.55% 9.44% 12.87% 12.87%
Since Inception* 13.16% 3.20% 11.68% 4.16% 11.68% 5.04% 3.03% 2.03%
</TABLE>
+ Traditional returns do not reflect sales load.
* Inception date for Class A, Class B and Class II: 10/15/97; Class Z:
4/16/98
LARGE-CAP VALUE PORTFOLIO
The Large-Cap Value Portfolio seeks long-term growth of capital through equity
investments in large-sized companies with strong growth potential, using a value
style of investing. During the twelve months ended October 31, 1999, value
stocks were clearly out of favor, yet this Portfolio did outperform its
Morningstar and Lipper peers. Given that prior to this extraordinary six year
run favoring large cap growth, the longest period in which one style of
investing remained in favor without a significant reversal was three years, a
change may be near. It should also be noted that returns from value stocks
generally have been historically less volatile than those of growth stocks.
Thus, our managers' strategy going forward is to stay true to their
value-oriented disciplines, regardless of fluctuating market conditions.
93
<PAGE>
STYLE SELECT SERIES LOGO
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
DOLLARS (THOUSANDS) RUSSELL MID-CAP MORNINGSTAR MID-CAP VALUE CLASS B
VALUE INDEX VALUE INDEX $10,000.00
$10,000.00 $10,000.00
<S> <C> <C> <C>
10/97 $12,649.24 $12,656.12 $12,800.00
1/98 $12,929.86 $12,936.89 $12,863.00
4/98 $14,486.24 $14,494.12 $14,474.00
7/98 $13,257.23 $13,264.44 $13,261.00
10/98 $12,399.33 $12,406.07 $11,898.00
1/99 $12,916.95 $13,109.58 $11,626.00
4/99 $14,026.86 $14,173.69 $13,692.00
7/99 $13,890.19 $14,350.98 $13,783.00
10/99 $13,106.63 $13,492.17 $13,310.00
</TABLE>
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C> <C> <C> <C>
CLASS A CLASS B CLASS II CLASS Z
<CAPTION>
SEC SEC SEC
CUMULATIVE AVERAGE CUMULATIVE AVERAGE CUMULATIVE AVERAGE CUMULATIVE
TRADITIONAL ANNUAL TRADITIONAL ANNUAL TRADITIONAL ANNUAL TRADITIONAL
VALUE PORTFOLIO RETURN+ RETURN RETURN+ RETURN RETURN+ RETURN RETURN+
<S> <C> <C> <C> <C> <C> <C> <C>
1 Year Return 12.21% 5.76% 11.48% 7.48% 11.48% 9.36% 12.83%
Since Inception* 39.63% 9.76% 37.10% 10.46% 26.38% 8.81% -3.69%
<CAPTION>
SEC
AVERAGE
ANNUAL
VALUE PORTFOLIO RETURN
<S> <C>
1 Year Return 12.83%
Since Inception* -2.35%
</TABLE>
+ Traditional returns do not reflect sales load.
* Inception date for Class A and Class B: 11/19/96; Class II: 3/06/97;
Class Z: 4/03/98
VALUE PORTFOLIO
The Value Portfolio seeks long-term growth of capital through equity investments
in undervalued, technology-oriented companies with strong growth potential,
without regard to the size of the issuer. The market in general was led by high
multiple issues this past fiscal year, and value stocks trailed their growth
counterparts. Still, the Portfolio out performed its Lipper category average and
its benchmark index for the twelve months ended October 31, 1999, given the
managers' strong sector and stock positioning, as you can see in the chart
above, experience has shown that our managers' processes are historically
successful in outperforming the benchmark over longer time horizons as well, and
so they remain steadfast to their investment philosophies and disciplines. The
financial services and technology sectors may be particularly attractive in the
months ahead, benefiting from recent monetary policy and anticipated regulatory
trends.
94
<PAGE>
STYLE SELECT SERIES LOGO
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
DOLLARS (THOUSANDS) RUSSELL 2000 MORNINGSTAR SMALL-CAP SMALL-CAP
VALUE VALUE INDEX VALUE CLASS B
INDEX 10,000.00 10,000.00
10,000.00
<S> <C> <C> <C>
10/97 9,728.10 9,697.59 9,712.00
1/98 9,984.18 9,588.90 9,736.00
4/98 11,071.58 10,810.19 10,784.00
7/98 9,787.50 9,500.10 9,448.00
10/98 8,979.74 8,448.55 8,598.00
1/99 9,296.13 8,959.57 9,086.00
4/99 9,444.22 8,963.73 9,286.00
7/99 9,847.48 9,587.38 9,886.00
10/99 9,111.38 8,853.37 9,238.00
</TABLE>
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C> <C>
CLASS A CLASS B CLASS II
<CAPTION>
SSEC SEC SEC
<S> <C> <C> <C> <C> <C> <C>
CUMULATIVE CUMULATIVE CUMULATIVE
SMALL-CAP VALUE TRADITIONAL AVERAGE ANNUAL TRADITIONAL AVERAGE ANNUAL TRADITIONAL AVERAGE ANNUAL
PORTFOLIO RETURN+ RETURN RETURN+ RETURN RETURN+ RETURN
<CAPTION>
<S> <C> <C> <C> <C> <C> <C>
1 Year Return 8.13% 1.92% 7.45% 3.45% 7.54% 5.47%
Since Inception* -6.31% -5.91% -7.62% -5.22% -7.54% -4.70%
<CAPTION>
<S> <C> <C>
CLASS Z
CUMULATIVE
SMALL-CAP VALUE TRADITIONAL AVERAGE ANNUAL
PORTFOLIO RETURN+ RETURN
1 Year Return 8.66% 8.66%
Since Inception* -13.40% -9.10%
</TABLE>
+ Traditional returns do not reflect sales load.
* Inception date for Class A, Class B and Class II: 10/15/97; Class Z:
4/03/98
SMALL-CAP VALUE PORTFOLIO
The Small-Cap Value Portfolio seeks long-term growth of capital through equity
investments in small-sized, undervalued companies with strong growth potential.
The Portfolio out performed its Morningstar category average for the twelve
months ending October 31, 1999. This is particularly notable in what was clearly
a difficult fiscal period for small cap value investors. Our managers'
individual stock selection in companies with strong earnings growth and
attractive relative valuations helped bolster fund performance.
Although future periods of volatility are anticipated, we believe there
continues to be opportunities to find small-cap stocks that will enable us to
provide value-added performance.
95
<PAGE>
STYLE SELECT SERIES LOGO
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
DOLLARS (THOUSANDS) MSCI EAFE USD INDEX MORNINGSTAR FOREIGN INTERNATIONAL EQUITY CLASS B
$10,000.00 STOCK INDEX $10,000.00
$10,000.00
<S> <C> <C> <C>
10/97 $10,249.27 $10,784.52 $9,904.00
1/98 $10,708.65 $10,967.09 $9,911.00
4/98 $11,847.52 $12,521.96 $11,150.00
7/98 $12,007.65 $12,552.30 $11,183.00
10/98 $11,269.13 $11,113.17 $9,838.00
1/99 $12,282.65 $12,142.93 $10,246.00
4/99 $12,996.17 $12,888.44 $10,467.00
7/99 $13,188.01 $13,430.03 $10,623.00
10/99 $13,871.89 $14,153.33 $11,040.00
</TABLE>
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C> <C> <C> <C>
CLASS A CLASS B CLASS II CLASS Z
<CAPTION>
SEC SEC SEC SEC
CUMULATIVE AVERAGE CUMULATIVE AVERAGE CUMULATIVE AVERAGE CUMULATIVE AVERAGE
TRADITIONAL ANNUAL TRADITIONAL ANNUAL TRADITIONAL ANNUAL TRADITIONAL ANNUAL
INTERNATIONAL EQUITY PORTFOLIO RETURN+ RETURN RETURN+ RETURN RETURN+ RETURN RETURN+ RETURN
<S> <C> <C> <C> <C> <C> <C> <C> <C>
1 Year Return 17.15% 10.42% 16.29% 12.29% 16.37% 14.20% 17.90% 17.90%
Since Inception* 16.67% 3.27% 14.40% 3.73% 13.58% 4.52% 4.30% 2.72%
</TABLE>
+ Traditional returns do not reflect sales load.
* Inception date for Class A and Class B: 11/19/96; Class II: 3/06/97;
Class Z: 4/06/98
INTERNATIONAL EQUITY PORTFOLIO
The International Equity Portfolio seeks long-term growth of capital by
investing in equity securities of issuers in countries other than the United
States. The fiscal year ended October 31, 1999 was a challenging one for
International equity managers, as fighting in Kosovo and outflows from European
stocks in favor of Japan and the emerging markets led to weakness in the
previously preferred continental European region. Still, with a long-term
perspective, our managers believe that Europe continues to offer an edge in
anticipated ongoing global economic growth, given favorable monetary conditions,
attractive relative valuations and EMU progress.
96
<PAGE>
STYLE SELECT SERIES LOGO
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
DOLLARS (THOUSANDS) S&P 500 INDEX MORNINGSTAR LARGE-CAP FOCUS CLASS B
$10,000.00 GROWTH INDEX $10,000.00
$10,000.00
<S> <C> <C> <C>
6/98 $10,406.00 $10,589.00 $10,056.00
7/98 $10,294.66 $10,483.11 $10,216.00
10/98 $10,132.79 $10,011.18 $9,648.00
1/99 $11,842.06 $12,602.14 $12,752.00
4/99 $12,394.52 $12,864.46 $13,000.00
7/99 $12,375.03 $12,981.19 $13,672.00
10/99 $12,735.12 $13,740.99 $14,840.00
</TABLE>
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C> <C> <C> <C>
CLASS A CLASS B CLASS II CLASS Z
<CAPTION>
SEC SEC SEC SEC
CUMULATIVE AVERAGE CUMULATIVE AVERAGE CUMULATIVE AVERAGE CUMULATIVE AVERAGE
TRADITIONAL ANNUAL TRADITIONAL ANNUAL TRADITIONAL ANNUAL TRADITIONAL ANNUAL
FOCUS PORTFOLIO RETURN+ RETURN RETURN+ RETURN RETURN+ RETURN RETURN+ RETURN
<S> <C> <C> <C> <C> <C> <C> <C> <C>
1 Year Return 52.62% 43.84% 51.67% 47.67% 51.67% 49.16% N/A N/A
Since Inception* 53.84% 30.46% 52.40% 32.65% 52.40% 33.59% 6.00% N/A
</TABLE>
+ Traditional returns do not reflect sales load.
* Inception date for Class A, Class B and Class II: 6/08/98; Class Z:
7/07/99
FOCUS PORTFOLIO
The first multi-managed focused fund on Wall Street, Focus Portfolio continued
to generate superior results during the annual period. It outperformed its
benchmark, the S&P 500 Index, and its Lipper and Morningstar averages. We
believe that its focused approach -- investing in no more than 30 stocks -- and
its respected investment advisers are two key catalysts of this performance. The
Portfolio's advisers continue to select portfolios of securities that beat the
averages, even in difficult investment environments such as the past fiscal
year.
97
<PAGE>
SUNAMERICA CAPITAL SERVICES, INC. -------------------
THE SUNAMERICA CENTER BULK RATE
733 THIRD AVENUE U.S. POSTAGE
NEW YORK, NY 10017-3204 PAID
800-858-8850, X5660 KANSAS CITY, MO
PERMIT NO. 2891
-------------------
- ---
AIG MEMBER OF AMERICAN INTERNATIONAL GROUP, INC.
- ---
WWW.SUNAMERICAFUNDS.COM -------------------
MULTI-MANAGED, STYLE-SPECIFIC MUTUAL FUNDS
FOCUS PORTFOLIO [LOGO] [LOGO] [LOGO]
FOCUSED GROWTH AND INCOME PORTFOLIO [LOGO] [LOGO]
LARGE-CAP GROWTH PORTFOLIO [LOGO] [LOGO] [LOGO]
MID-CAP GROWTH PORTFOLIO [LOGO] [LOGO] [LOGO]
AGGRESSIVE GROWTH PORTFOLIO [LOGO] [LOGO] [LOGO]
LARGE-CAP VALUE PORTFOLIO [LOGO] [LOGO] [LOGO]
VALUE PORTFOLIO [LOGO] [LOGO] [LOGO]
SMALL-CAP VALUE PORTFOLIO [LOGO] [LOGO] [LOGO]
INTERNATIONAL EQUITY PORTFOLIO [LOGO] [LOGO]
This report is submitted solely for the 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.
[LOGO]SUNAMERICA
MUTUAL FUNDS
SSANN-12/99
