<PAGE> 1
The Dow(SM) Target
Variable Fund LLC
SEMI-ANNUAL REPORT
JUNE 30, 2000
[OHIO NATIONAL FINANCIAL SERVICES LOGO]
<PAGE> 2
PRESIDENT'S
MESSAGE
[John J. Palmer Photo]
Dear Investor:
First, I want to thank you for choosing the Dow(SM) Target Variable Fund for
your variable contract investment. All of us appreciate your support. We
introduced the Dow(SM) Target Variable Funds in 1999, with Ohio National's
Dow(SM) Target 10 in January, and the Dow(SM) Target 5 in September.
The Past Six Months
The past six months continued to show unfulfilled expectations for the Dow(SM)
Target strategies. The market continues to be a challenging environment for
value stocks, which make up the Dow(SM) Target portfolios. Since the beginning
of the year, the market was more volatile than it has been in nearly 70 years.
This volatility can be attributed to a number of factors -- the ability of the
individual investor to move money between investments much more easily, which
has increased the volume of trading on the New York Stock Exchange and other
exchanges, and the rise in quantity and quality of financial news. A recent
article by business author Roger Lowenstein said it very well -- "More people
are trading, talking, reading and hearing about stocks than ever before."
By almost any measure, volatility is at a high not seen in many years.
Previously, it was a rare occurrence for the market to move 1 percent in a day.
This year, we have seen many more substantial increases and decreases on many
indices, including the NASDAQ, the S&P 500 and the DJIA. What does this mean for
value stocks such as the ones in the Dow(SM) Target strategy? No one can predict
exactly, but generally speaking, periods of rising interest rates coupled with
low volatility produce the ideal environment for value stocks to flourish.
Keep in mind that these portfolios are not diversified. Because the
appreciation or depreciation of one or two stocks will have a significant impact
on the net asset value of a nondiversified fund, the value of your investment in
the Dow(SM) Target Variable Fund can be expected to fluctuate more than a
diversified fund. That is why investments in the fund should only represent a
small part of your total investments.
In Closing
Information on your investments is contained in the following pages. Please
contact your registered representative for additional information on the
investment opportunities available with Dow(SM) Target Variable Fund. As your
needs change over time, he or she stands ready to serve you.
Thank you again for the confidence you have placed in Dow(SM) Target Variable
Fund as you pursue your wealth-building efforts. Be assured that we will make
every effort to continue to merit that confidence.
Best regards,
/s/ JOHN J. PALMER
-------------------
John J. Palmer
--------------------------------------------------------------------------------
Managers and Officers of Dow(SM) Target Variable Fund, LLC
John J. Palmer, President and Manager
Ronald L. Benedict, Secretary and Manager
James E. Bushman, Manager
Ross Love, Manager
George M. Vredeveld, Manager
Thomas A. Barefield, Vice President
Michael A. Boedeker, Vice President
Christopher A. Carlson, Vice President
Dennis R. Taney, Treasurer
Yvonne Gross, Compliance Director and Assistant Treasurer
1
<PAGE> 3
THE DOW(SM) TARGET VARIABLE FUND LLC
DOW(SM) TARGET 10 -- JANUARY PORTFOLIO
OBJECTIVE
The Dow(SM) Target 10 Portfolios seek long-term capital growth and dividend
income by investing in 10 common stocks in the Dow Industrial Average(SM) that
have the highest dividend yield as of the close of business on or about the
second last business day of the month.
PERFORMANCE AS OF JUNE 30, 2000
TOTAL RETURN:
<TABLE>
<S> <C>
January
One year -24.72%
Since inception (1/4/99) -10.22%
</TABLE>
Returns represent past performance, which is no guarantee of future results.
Investment return and principal value will vary so that shares, when redeemed,
may be worth more or less than their original cost. Actual results for variable
annuity and variable universal life contracts will be lower due to contract
charges. Consult your contract for applicable charges for mortality and
expenses.
BAR CHART
<TABLE>
<CAPTION>
JANUARY 10 (ONE YEAR) DJIA (12 MONTHS)
--------------------- ----------------
<S> <C>
-24.72 -5.59
</TABLE>
COMMENTS
The Dow Target 10 January portfolio lost 17.37% versus a loss of 8.01% for the
Dow Jones Industrial Average for the first half of the year. Phillip Morris was
the best performing stock for the 6-month period while International Paper lost
the most ground. The January portfolio contains 11 common stocks due to the
spin-off of General Motors' parts division Delphi Automotive Systems on 5/28/99.
SCHEDULE OF INVESTMENTS JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
MARKET
SHARES COMMON STOCK VALUE %
---------------------------------------------------------------
<C> <S> <C> <C>
1,451 Caterpillar Inc. (4)................ $ 49,153 8.6
1,025 E.I. Du Pont de Nemours and Co.
(2)................................ 44,844 7.8
1,015 Eastman Kodak Company (8)........... 60,393 10.5
832 Exxon Mobil Corp. (6)............... 65,312 11.4
931 General Motors Corp. (1)............ 54,056 9.4
1,196 International Paper Company (7)..... 35,656 6.2
531 J.P. Morgan & Co. Inc. (5).......... 58,476 10.2
693 Minnesota Mining and Manufacturing
Co. (3)............................ 57,173 9.9
2,897 Phillip Morris Companies Inc.
(10)............................... 76,952 13.4
1,421 SBC Communications Inc. (9)......... 61,457 10.6
-------- -----
TOTAL COMMON STOCK
(COST $662,360).................... $563,471 98.0
-------- -----
TOTAL HOLDINGS (COST $662,360)...... $563,471 98.0
-------- -----
CASH & RECEIVABLES, NET OF
LIABILITIES........................ 11,702 2.0
-------- -----
TOTAL NET ASSETS.................... $575,173 100.0
======== =====
</TABLE>
INDUSTRIES
<TABLE>
<C> <S>
1. Automobiles
2. Chemicals
3. Manufacturing
4. Machinery
5. Banks
6. Oil, Energy, and Natural Gas
7. Paper & Related
8. Photo Equipment
9. Telephone Integrated
10. Tobacco
</TABLE>
2
<PAGE> 4
THE DOW(SM) TARGET VARIABLE FUND LLC
DOW(SM) TARGET 10 -- FEBRUARY PORTFOLIO
OBJECTIVE
The Dow(SM) Target 10 Portfolios seek long-term capital growth and dividend
income by investing in 10 common stocks in the Dow Industrial Average(SM) that
have the highest dividend yield as of the close of business on or about the
second last business day of the month.
PERFORMANCE AS OF JUNE 30, 2000
TOTAL RETURN:
<TABLE>
<S> <C>
February
One year -24.36%
Since inception (2/1/99) -7.65%
</TABLE>
Returns represent past performance, which is no guarantee of future results.
Investment return and principal value will vary so that shares, when redeemed,
may be worth more or less than their original cost. Actual results for variable
annuity and variable universal life contracts will be lower due to contract
charges. Consult your contract for applicable charges for mortality and
expenses.
BAR CHART
<TABLE>
<CAPTION>
FEBRUARY 10 (ONE YEAR) DJIA (12 MONTHS)
---------------------- ----------------
<S> <C>
-24.36 -5.59
</TABLE>
COMMENTS
The Dow Target 10 February portfolio lost 16.31% versus a loss of 8.01% for the
Dow Jones Industrial Average, for the first half of the year. Phillip Morris was
the best performing stock for the 6-month period while International Paper lost
the most ground.
SCHEDULE OF INVESTMENTS JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
MARKET
SHARES COMMON STOCK VALUE %
---------------------------------------------------------------
<C> <S> <C> <C>
3,578 Caterpillar Inc. (4)............. $ 121,205 8.6
2,624 E.I. Du Pont de Nemours and Co.
(2)............................. 114,800 8.1
2,520 Eastman Kodak Company (8)........ 149,940 10.6
1,973 Exxon Mobil Corp. (6)............ 154,881 10.9
1,969 General Motors Corp. (1)......... 114,325 8.1
3,250 International Paper Company
(7)............................. 96,891 6.8
1,317 J.P. Morgan & Co. Inc. (5)....... 145,035 10.2
1,687 Minnesota Mining and
Manufacturing Co. (3)........... 139,178 9.8
7,498 Phillip Morris Companies Inc.
(10)............................ 199,166 14.1
3,964 SBC Communications Inc. (9)...... 171,443 12.1
---------- -----
TOTAL COMMON STOCK
(COST $1,484,299)............... $1,406,862 99.3
---------- -----
TOTAL HOLDINGS (COST
$1,484,299)..................... $1,406,862 99.3
---------- -----
CASH & RECEIVABLES, NET OF
LIABILITIES..................... 10,078 0.7
---------- -----
TOTAL NET ASSETS................. $1,416,940 100.0
========== =====
</TABLE>
INDUSTRIES
<TABLE>
<C> <S>
1. Automobiles
2. Chemicals
3. Manufacturing
4. Machinery
5. Banks
6. Oil, Energy, and Natural Gas
7. Paper & Related
8. Photo Equipment
9. Telephone Integrated
10. Tobacco
</TABLE>
3
<PAGE> 5
THE DOW(SM) TARGET VARIABLE FUND LLC
DOW(SM) TARGET 10 -- MARCH PORTFOLIO
OBJECTIVE
The Dow(SM) Target 10 Portfolios seek long-term capital growth and dividend
income by investing in 10 common stocks in the Dow Industrial Average(SM) that
have the highest dividend yield as of the close of business on or about the
second last business day of the month.
PERFORMANCE AS OF JUNE 30, 2000
TOTAL RETURN:
<TABLE>
<S> <C>
March
One year -26.72%
Since inception (3/1/99) -11.63%
</TABLE>
Returns represent past performance, which is no guarantee of future results.
Investment return and principal value will vary so that shares, when redeemed,
may be worth more or less than their original cost. Actual results for variable
annuity and variable universal life contracts will be lower due to contract
charges. Consult your contract for applicable charges for mortality and
expenses.
BAR CHART
<TABLE>
<CAPTION>
MARCH 10 (ONE YEAR) DJIA (12 MONTHS)
------------------- ----------------
<S> <C>
-26.72 -5.59
</TABLE>
COMMENTS
The Dow Target 10 March portfolio lost 17.04% versus a loss of 8.01% for the Dow
Jones Industrial Average, for the first half of the year. Exxon Mobil Corp was
the best performing stock for the 6-month period while Caterpillar Inc. lost the
most ground. The March portfolio contains 11 common stocks due to the spin-off
of General Motors' parts division Delphi Automotive Systems on 5/28/99.
SCHEDULE OF INVESTMENTS JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
MARKET
SHARES COMMON STOCK VALUE %
------ --------------------------------- ---------- -----
<C> <S> <C> <C>
3,420 Caterpillar Inc. (4)............. $ 115,853 9.7
1 Delphi Automotive Systems Corp.
(a)............................. 15 0.0
2,345 E.I. Du Pont de Nemours and Co.
(2)............................. 102,594 8.6
2,139 Eastman Kodak Company (8)........ 127,271 10.6
1,656 Exxon Mobil Corp. (6)............ 129,996 10.9
1,566 General Motors Corp. (1)......... 90,926 7.6
3,390 International Paper Company
(7)............................. 101,064 8.4
1,120 J.P. Morgan & Co. Inc. (5)....... 123,340 10.3
1,407 Minnesota Mining and
Manufacturing Co. (3)........... 116,078 9.7
6,064 Phillip Morris Companies Inc.
(10)............................ 161,075 13.4
3,289 SBC Communications Inc. (9)...... 142,249 11.8
---------- -----
TOTAL COMMON STOCK
(COST $1,339,388)................ $1,210,459 101.0
========== =====
</TABLE>
<TABLE>
<CAPTION>
FACE MARKET
AMOUNT REPURCHASE AGREEMENTS VALUE %
---------------------------------------------------------------
<C> <S> <C> <C>
$16,000 Firstar Bank 4.25% due 07/03/00
repurchase price $20,000
collateralized by GNMA
certificates pool# 8375 due
02/20/24........................ $ 16,000 1.3
---------- -----
TOTAL REPURCHASE AGREEMENTS (COST
$16,000)........................ $ 16,000 1.3
========== =====
TOTAL HOLDINGS (COST
$1,355,388)..................... $1,226,459 102.3
---------- -----
LIABILITIES, NET OF CASH &
RECEIVABLES..................... (27,793) (2.3)
---------- -----
TOTAL NET ASSETS................. $1,198,666 100.0
========== =====
</TABLE>
INDUSTRIES
<TABLE>
<C> <S>
1. Automobiles
2. Chemicals
3. Manufacturing
4. Machinery
5. Banks
6. Oil, Energy, and Natural Gas
7. Paper & Related
8. Photo Equipment
9. Rubber and Tires
10. Tobacco
</TABLE>
---------------
(a) .6987:1 Spin-off of General Motors on 4/12/99
4
<PAGE> 6
THE DOW(SM) TARGET VARIABLE FUND LLC
DOW(SM) TARGET 10 -- APRIL PORTFOLIO
OBJECTIVE
The Dow(SM) Target 10 Portfolios seek long-term capital growth and dividend
income by investing in 10 common stocks in the Dow Industrial Average(SM) that
have the highest dividend yield as of the close of business on or about the
second last business day of the month.
PERFORMANCE AS OF JUNE 30, 2000
TOTAL RETURN:
<TABLE>
<S> <C>
April
One year -27.75%
Since inception (4/1/99) -14.04%
</TABLE>
Returns represent past performance, which is no guarantee of future results.
Investment return and principal value will vary so that shares, when redeemed,
may be worth more or less than their original cost. Actual results for variable
annuity and variable universal life contracts will be lower due to contract
charges. Consult your contract for applicable charges for mortality and
expenses.
BAR CHART
<TABLE>
<CAPTION>
APRIL 10 (ONE YEAR) DJIA (12 MONTHS)
------------------- ----------------
<S> <C>
-27.75 -5.59
</TABLE>
COMMENTS
The Dow Target 10 April portfolio lost 19.40% versus a loss of 8.01% for the Dow
Jones Industrial Average, for the first half of the year. Phillip Morris was the
best performing stock for the 6-month period International Paper lost the most
ground.
SCHEDULE OF INVESTMENTS JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
MARKET
SHARES COMMON STOCK VALUE %
---------------------------------------------------------------
<C> <S> <C> <C>
3,373 Caterpillar Inc. (4)............. $ 114,260 9.3
2,535 E.I. Du Pont de Nemours and Co.
(2)............................. 110,906 9.0
2,449 Eastman Kodak Company (8)........ 145,716 11.8
1,732 Exxon Mobil Corporation (6)...... 135,962 11.0
1,666 General Motors Corp. (1)......... 96,732 7.8
3,406 International Paper Company
(7)............................. 101,541 8.2
1,031 J.P. Morgan & Co. Inc. (5)....... 113,539 9.2
1,526 Minnesota Mining and
Manufacturing Co. (3)........... 125,895 10.2
6,409 Phillip Morris Companies Inc.
(10)............................ 170,239 13.8
3,278 SBC Communications Inc. (9)...... 141,774 11.4
---------- -----
TOTAL COMMON STOCK (COST
$1,530,912)..................... $1,256,564 101.7
========== =====
</TABLE>
<TABLE>
<CAPTION>
FACE MARKET
AMOUNT REPURCHASE AGREEMENTS VALUE %
---------------------------------------------------------------
<C> <S> <C> <C>
$ 8,000 Firstar Bank 4.25% due 07/03/00
repurchase price $8,000
collateralized by GNMA
certificates pool# 8375 due
02/20/24........................ $ 8,000 0.7
---------- -----
TOTAL REPURCHASE AGREEMENTS (COST
$36,000)........................ $ 8,000 0.7
========== =====
TOTAL HOLDINGS (COST
$1,538,912)..................... $1,264,564 102.4
---------- -----
LIABILITIES, NET OF CASH &
RECEIVABLES..................... (28,973) (2.4)
---------- -----
TOTAL NET ASSETS................. $1,235,591 100.0
========== =====
</TABLE>
INDUSTRIES
<TABLE>
<C> <S>
1. Automobiles
2. Chemicals
3. Manufacturing
4. Machinery
5. Banks
6. Oil, Energy, and Natural Gas
7. Paper & Related
8. Photo Equipment
9. Rubber and Tires
10. Tobacco
</TABLE>
5
<PAGE> 7
THE DOW(SM) TARGET VARIABLE FUND LLC
DOW(SM) TARGET 10 -- MAY PORTFOLIO
OBJECTIVE
The Dow(SM) Target 10 Portfolios seek long-term capital growth and dividend
income by investing in 10 common stocks in the Dow Industrial Average(SM) that
have the highest dividend yield as of the close of business on or about the
second last business day of the month.
PERFORMANCE AS OF JUNE 30, 2000
TOTAL RETURN:
<TABLE>
<S> <C>
May
One year -20.93%
Since inception (5/3/99) -20.73%
</TABLE>
Returns represent past performance, which is no guarantee of future results.
Investment return and principal value will vary so that shares, when redeemed,
may be worth more or less than their original cost. Actual results for variable
annuity and variable universal life contracts will be lower due to contract
charges. Consult your contract for applicable charges for mortality and
expenses.
BAR CHART
<TABLE>
<CAPTION>
MAY 10 (ONE YEAR) DJIA (12 MONTHS)
----------------- ----------------
<S> <C>
-20.73 -5.59
</TABLE>
COMMENTS
The Dow Target 10 May portfolio lost 9.04% versus a loss of 8.01% for the Dow
Jones Industrial Average, during the first half of the year. Exxon Mobil Corp.
was the best performing stock for the 6-month period while E.I. Du Pont de
Nemours & Co. lost the most ground.
SCHEDULE OF INVESTMENTS JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
MARKET
SHARES COMMON STOCK VALUE %
---------------------------------------------------------------
<C> <S> <C> <C>
2,345 Caterpillar Inc. (4)................. $ 79,437 9.1
1,934 E.I. Du Pont de Nemours and Co.
(2)................................. 84,613 9.7
1,640 Eastman Kodak Company (8)............ 97,580 11.2
1,165 Exxon Mobil Corporation (6).......... 91,453 10.5
1,014 General Motors Corp. (1)............. 58,875 6.8
2,514 International Paper Company (7)...... 74,949 8.6
716 J.P. Morgan & Co. Inc. (5)........... 78,850 9.1
1,076 Minnesota Mining and Manufacturing
Co. (3)............................. 88,770 10.2
4,276 Phillip Morris Companies Inc. (10)... 113,581 13.0
2,174 SBC Communications Inc. (9).......... 94,026 10.7
-------- ----
TOTAL COMMON STOCK (COST $977,997)... $862,132 98.9
======== ====
</TABLE>
<TABLE>
<CAPTION>
FACE MARKET
AMOUNT REPURCHASE AGREEMENTS VALUE %
---------------------------------------------------------------
<C> <S> <C> <C>
$19,000 Firstar Bank 4.25% due 07/03/00
repurchase price $19,000
collateralized by GNMA
certificates pool# 8375 due
02/20/24.......................... $ 19,000 2.2
-------- -----
TOTAL REPURCHASE AGREEMENTS (COST
$19,000).......................... $ 19,000 2.2
======== =====
TOTAL HOLDINGS (COST $996,997)..... $881,132 101.1
-------- -----
LIABILITIES, NET OF CASH &
RECEIVABLES....................... (9,785) (1.1)
-------- -----
TOTAL NET ASSETS................... $871,347 100.0
======== =====
</TABLE>
INDUSTRIES
<TABLE>
<C> <S>
1. Automobiles
2. Chemicals
3. Manufacturing
4. Machinery
5. Banks
6. Oil, Energy, and Natural Gas
7. Paper & Related
8. Photo Equipment
9. Telephone Integrated
10. Tobacco
</TABLE>
6
<PAGE> 8
THE DOW(SM) TARGET VARIABLE FUND LLC
DOW(SM) TARGET 10 -- JUNE PORTFOLIO
OBJECTIVE
The Dow(SM) Target 10 Portfolios seek long-term capital growth and dividend
income by investing in 10 common stocks in the Dow Industrial Average(SM) that
have the highest dividend yield as of the close of business on or about the
second last business day of the month.
PERFORMANCE AS OF JUNE 30, 2000
TOTAL RETURN:
<TABLE>
<S> <C>
June
One Year -23.24%
Since inception (6/1/99) -20.58%
</TABLE>
Returns represent past performance, which is no guarantee of future results.
Investment return and principal value will vary so that shares, when redeemed,
may be worth more or less than their original cost. Actual results for variable
annuity and variable universal life contracts will be lower due to contract
charges. Consult your contract for applicable charges for mortality and
expenses.
BAR CHART
<TABLE>
<CAPTION>
JUNE 10 (ONE YEAR) DJIA (12 MONTHS)
------------------ ----------------
<S> <C>
-23.24 -5.59
</TABLE>
COMMENTS
The Dow Target 10 June portfolio lost 13.77% versus a loss of 8.01% for the Dow
Jones Industrial Average, during the first half of the year. SBC Communications
was the best performing stock for the 6-month period while Caterpillar Inc. lost
the most ground.
SCHEDULE OF INVESTMENTS JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
MARKET
SHARES COMMON STOCK VALUE %
---------------------------------------------------------------
<C> <S> <C> <C>
3,146 AT&T Corp. (8)...................... $ 99,492 9.7
2,873 Caterpillar Inc. (4)................ 97,323 9.5
2,227 E.I. Du Pont de Nemours and Co.
(2)................................ 97,431 9.5
1,803 Eastman Kodak Company (7)........... 107,279 10.5
1,533 General Motors Corp. (1)............ 89,010 8.7
3,163 International Paper Company (6)..... 94,297 9.2
858 J.P. Morgan & Co. Inc. (5).......... 94,487 9.2
1,294 Minnesota Mining and Manufacturing
Co. (3)............................ 106,755 10.4
4,167 Phillip Morris Companies Inc. (9)... 110,686 10.8
2,490 SBC Communications Inc. (8)......... 107,693 10.4
---------- ----
TOTAL COMMON STOCK (COST
$1,186,335)........................ $1,004,452 97.9
========== ====
</TABLE>
<TABLE>
<CAPTION>
FACE MARKET
AMOUNT REPURCHASE AGREEMENTS VALUE %
---------------------------------------------------------------
<C> <S> <C> <C>
$54,000 Firstar Bank 4.25% due 07/03/00
repurchase price $54,000
collateralized by GNMA
certificates pool# 8375 due
02/20/24........................ $ 54,000 5.3
---------- -----
TOTAL REPURCHASE AGREEMENTS (COST
$5,000)......................... $ 54,000 5.3
========== =====
TOTAL HOLDINGS (COST
$1,240,335)..................... $1,058,452 103.2
---------- -----
LIABILITIES, NET OF CASH &
RECEIVABLES..................... (32,463) (3.2)
---------- -----
TOTAL NET ASSETS................. $1,025,989 100.0
========== =====
</TABLE>
INDUSTRIES
<TABLE>
<C> <S>
1. Automobiles
2. Chemicals
3. Manufacturing
4. Machinery
5. Banks
6. Paper & Related
7. Photo Equipment
8. Telephone Integrated
9. Tobacco
</TABLE>
7
<PAGE> 9
THE DOW(SM) TARGET VARIABLE FUND LLC
DOW(SM) TARGET 10 -- JULY PORTFOLIO
OBJECTIVE
The Dow(SM) Target 10 Portfolios seek long-term capital growth and dividend
income by investing in 10 common stocks in the Dow Industrial Average(SM) that
have the highest dividend yield as of the close of business on or about the
second last business day of the month.
PERFORMANCE AS OF JUNE 30, 2000
TOTAL RETURN:
<TABLE>
<S> <C>
July
Since inception (7/1/99) -22.49%
</TABLE>
Returns represent past performance, which is no guarantee of future results.
Investment return and principal value will vary so that shares, when redeemed,
may be worth more or less than their original cost. Actual results for variable
annuity and variable universal life contracts will be lower due to contract
charges. Consult your contract for applicable charges for mortality and
expenses.
BAR CHART
<TABLE>
<CAPTION>
JULY 10 (7/1/99) DJIA (12 MONTHS)
---------------- ----------------
<S> <C>
-22.49 -5.59
</TABLE>
COMMENTS
The Dow Target 10 July portfolio lost 12.99% versus a loss of 8.01% for the Dow
Jones Industrial Average, for the first half of the year. Exxon Mobil Corp. was
the best performing stock for the 6-month period while The Goodyear Tire &
Rubber Co. lost the most ground.
SCHEDULE OF INVESTMENTS JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
MARKET
SHARES COMMON STOCK VALUE %
---------------------------------------------------------------
<C> <S> <C> <C>
1,470 Caterpillar Inc. (4)................. $ 49,796 7.0
956 Chevron Corp (6)..................... 81,081 11.5
1,320 E.I. Du Pont de Nemours and Co.
(2)................................. 57,750 8.2
1,293 Eastman Kodak Company (7)............ 76,934 10.9
1,168 Exxon Mobil Corp (6)................. 91,688 12.9
1,401 General Motors Corp. (1)............. 81,346 11.5
1,562 Goodyear Tire & Rubber (8)........... 31,240 4.4
662 J.P. Morgan & Co. Inc. (5)........... 72,903 10.3
1,032 Minnesota Mining and Manufacturing
Co. (3)............................. 85,140 12.0
2,236 Phillip Morris Companies Inc. (9).... 59,394 8.3
-------- ----
TOTAL COMMON STOCK (COST $892,581)... $687,271 97.0
======== ====
</TABLE>
<TABLE>
<CAPTION>
FACE MARKET
AMOUNT REPURCHASE AGREEMENTS VALUE %
---------------------------------------------------------------
<C> <S> <C> <C>
$22,000 Firstar Bank 4.25% due 07/03/00
repurchase price $22,000
collateralized by GNMA
certificates pool# 8375 due
02/20/24.......................... $ 22,000 3.1
-------- -----
TOTAL REPURCHASE AGREEMENTS (COST
$5,000)........................... $ 22,000 3.1
======== =====
TOTAL HOLDINGS (COST $914,581)..... $709,271 100.1
-------- -----
LIABILITIES, NET OF CASH &
RECEIVABLES....................... (935) (0.1)
-------- -----
TOTAL NET ASSETS................... $708,336 100.0
======== =====
</TABLE>
INDUSTRIES
<TABLE>
<C> <S>
1. Automobiles
2. Chemicals
3. Manufacturing
4. Machinery
5. Banks
6. Oil, Energy, and Natural Gas
7. Photo Equipment
8. Rubber and Tires
9. Tobacco
</TABLE>
8
<PAGE> 10
THE DOW(SM) TARGET VARIABLE FUND LLC
DOW(SM) TARGET 10 -- AUGUST PORTFOLIO
OBJECTIVE
The Dow(SM) Target 10 Portfolios seek long-term capital growth and dividend
income by investing in 10 common stocks in the Dow Industrial Average(SM) that
have the highest dividend yield as of the close of business on or about the
second last business day of the month.
PERFORMANCE AS OF JUNE 30, 2000
TOTAL RETURN:
<TABLE>
<S> <C>
August
Since inception (8/2/99) -18.68%
</TABLE>
Returns represent past performance, which is no guarantee of future results.
Investment return and principal value will vary so that shares, when redeemed,
may be worth more or less than their original cost. Actual results for variable
annuity and variable universal life contracts will be lower due to contract
charges. Consult your contract for applicable charges for mortality and
expenses.
BAR CHART
<TABLE>
<CAPTION>
AUGUST 10 (8/2/99) DJIA (11 MONTHS)
------------------ ----------------
<S> <C>
-18.68 -1.86
</TABLE>
COMMENTS
The Dow Target 10 August portfolio lost 9.28% versus a loss of 8.01% or the Dow
Jones Industrial Average, for the first half of the year. Exxon Mobil Corp. was
the best performing stock for the 6-month period while The Goodyear Tire &
Rubber Co. lost the most ground.
SCHEDULE OF INVESTMENTS JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
MARKET
SHARES COMMON STOCK VALUE %
---------------------------------------------------------------
<C> <S> <C> <C>
1,480 Caterpillar Inc. (3)................. $ 50,135 7.3
954 Chevron Corp (5)..................... 80,911 11.7
1,253 Eastman Kodak Company (6)............ 74,554 10.8
1,119 Exxon Mobil Corp (5)................. 87,842 12.7
1,363 General Motors Corp. (1)............. 79,139 11.5
1,636 Goodyear Tire & Rubber (7)........... 32,720 4.7
667 J.P. Morgan & Co. Inc. (4)........... 73,453 10.6
960 Minnesota Mining and Manufacturing
Co. (2)............................. 79,200 11.5
2,347 Phillip Morris Companies Inc. (9).... 62,342 9.0
2,118 Sears, Roebuck & Co (8).............. 69,100 10.1
-------- ----
TOTAL COMMON STOCK (COST $878,738)... $689,396 99.9
======== ====
</TABLE>
<TABLE>
<CAPTION>
FACE MARKET
AMOUNT REPURCHASE AGREEMENTS VALUE %
---------------------------------------------------------------
<C> <S> <C> <C>
$1,000 Firstar Bank 4.25% due 07/03/00
repurchase price $1,000
collateralized by GNMA certificates
pool# 8375 due 02/20/24............ $ 1,000 0.1
-------- -----
TOTAL REPURCHASE AGREEMENTS (COST
$5,000)............................ $ 1,000 0.1
======== =====
TOTAL HOLDINGS (COST $879,738)...... $690,396 100.0
-------- -----
CASH & RECEIVABLES, NET OF
LIABILITIES........................ 151 0.0
-------- -----
TOTAL NET ASSETS.................... $690,547 100.0
======== =====
</TABLE>
INDUSTRIES
<TABLE>
<C> <S>
1. Automobiles
2. Manufacturing
3. Machinery
4. Banks
5. Oil, Energy, and Natural Gas
6. Photo Equipment
7. Rubber and Tires
8. Retail
9. Tobacco
</TABLE>
9
<PAGE> 11
THE DOW(SM) TARGET VARIABLE FUND LLC
DOW(SM) TARGET 10 -- SEPTEMBER PORTFOLIO
OBJECTIVE
The Dow(SM) Target 10 Portfolios seek long-term capital growth and dividend
income by investing in 10 common stocks in the Dow Industrial Average(SM) that
have the highest dividend yield as of the close of business on or about the
second last business day of the month.
PERFORMANCE AS OF JUNE 30, 2000
TOTAL RETURN:
<TABLE>
<S> <C>
September
Since inception (9/1/99) -23.13%
</TABLE>
Returns represent past performance, which is no guarantee of future results.
Investment return and principal value will vary so that shares, when redeemed,
may be worth more or less than their original cost. Actual results for variable
annuity and variable universal life contracts will be lower due to contract
charges. Consult your contract for applicable charges for mortality and
expenses.
BAR CHART
<TABLE>
<CAPTION>
SEPTEMBER 10 (9/1/99) DJIA (10 MONTHS)
--------------------- ----------------
<S> <C>
-23.13 -3.65
</TABLE>
COMMENTS
The Dow Target 10 September portfolio lost 12.98% versus a loss of 8.01% for the
Dow Jones Industrial Average, for the first half of the year. Sears, Roebuck &
Co. was the best performing stock for the 6-month period while The Goodyear Tire
& Rubber Co. lost the most ground.
SCHEDULE OF INVESTMENTS JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
MARKET
SHARES COMMON STOCK VALUE %
---------------------------------------------------------------
<C> <S> <C> <C>
1,707 Caterpillar Inc. (4).............. $ 57,825 7.6
1,113 Chevron Corp (6).................. 94,396 12.3
1,539 E.I. Du Pont de Nemours and Co.
(2).............................. 67,331 8.8
1,349 Eastman Kodak Company (7)......... 80,266 10.5
1,565 General Motors Corp. (1).......... 90,868 11.9
777 J.P. Morgan & Co. Inc. (5)........ 85,567 11.2
1,067 Minnesota Mining and Manufacturing
Co. (3).......................... 88,028 11.5
2,691 Phillip Morris Companies Inc.
(10)............................. 71,480 9.3
2,576 Sears, Roebuck & Co (9)........... 84,042 11.0
1,898 Goodyear Tire & Rubber (8)........ 37,960 5.0
---------- -----
TOTAL COMMON STOCK
(COST $934,272).................. $ 757,762 99.0
---------- -----
TOTAL HOLDINGS (COST $934,272).... $ 757,762 99.0
---------- -----
CASH & RECEIVABLES, NET OF
LIABILITIES...................... 7,396 1.0
---------- -----
TOTAL NET ASSETS.................. $ 765,188 100.0
========== =====
</TABLE>
INDUSTRIES
<TABLE>
<C> <S>
1. Automobiles
2. Chemicals
3. Manufacturing
4. Machinery
5. Banks
6. Oil, Energy, and Natural Gas
7. Photo Equipment
8. Rubber and Tires
9. Retail
10. Tobacco
</TABLE>
10
<PAGE> 12
THE DOW(SM) TARGET VARIABLE FUND LLC
DOW(SM) TARGET 10 -- OCTOBER PORTFOLIO
OBJECTIVE
The Dow(SM) Target 10 Portfolios seek long-term capital growth and dividend
income by investing in 10 common stocks in the Dow Industrial Average(SM) that
have the highest dividend yield as of the close of business on or about the
second last business day of the month.
PERFORMANCE AS OF JUNE 30, 2000
TOTAL RETURN:
<TABLE>
<S> <C>
October
Since inception (10/1/99) -19.05%
</TABLE>
Returns represent past performance, which is no guarantee of future results.
Investment return and principal value will vary so that shares, when redeemed,
may be worth more or less than their original cost. Actual results for variable
annuity and variable universal life contracts will be lower due to contract
charges. Consult your contract for applicable charges for mortality and
expenses.
<TABLE>
<CAPTION>
OCTOBER 10 (10/1/99) DJIA (9 MONTHS)
-------------------- ---------------
<S> <C>
-19.05 0.45
</TABLE>
COMMENTS
The Dow Target 10 October portfolio lost 12.65% versus a loss of 8.01% for the
Dow Jones Industrial Average, for the first half of the year. Sears, Roebuck &
Co. was the best performing stock for the 6-month period while The Goodyear Tire
& Rubber Co. lost the most ground.
SCHEDULE OF INVESTMENTS JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
MARKET
SHARES COMMON STOCK VALUE %
---------------------------------------------------------------
<C> <S> <C> <C>
1,423 Caterpillar Inc. (4).............. $ 48,204 7.5
881 Chevron Corp (6).................. 74,720 11.6
1,282 E.I. Du Pont de Nemours and Co.
(2).............................. 56,088 8.7
1,053 Eastman Kodak Company (7)......... 62,654 9.8
1,242 General Motors Corp. (1).......... 72,114 11.2
1,668 Goodyear Tire & Rubber (8)........ 33,360 5.2
686 J.P. Morgan & Co. Inc. (5)........ 75,546 11.8
826 Minnesota Mining and Manufacturing
Co. (3).......................... 68,145 10.6
2,257 Phillip Morris Companies Inc.
(10)............................. 59,952 9.3
2,596 Sears, Roebuck & Co (9)........... 84,696 13.2
---------- -----
TOTAL COMMON STOCK
(COST $766,991).................. $ 635,476 98.9
---------- -----
TOTAL HOLDINGS (COST $766,991).... $ 635,476 98.9
---------- -----
CASH & RECEIVABLES, NET OF
LIABILITIES...................... 7,071 1.1
---------- -----
TOTAL NET ASSETS.................. $ 642,547 100.0
========== =====
</TABLE>
INDUSTRIES
<TABLE>
<C> <S>
1. Automobiles
2. Chemicals
3. Manufacturing
4. Machinery
5. Banks
6. Oil, Energy, and Natural Gas
7. Photo Equipment
8. Rubber and Tires
9. Retail
10. Tobacco
</TABLE>
11
<PAGE> 13
THE DOW(SM) TARGET VARIABLE FUND LLC
DOW(SM) TARGET 10 -- NOVEMBER PORTFOLIO
OBJECTIVE
The Dow(SM) Target 10 Portfolios seek long-term capital growth and dividend
income by investing in 10 common stocks in the Dow Industrial Average(SM) that
have the highest dividend yield as of the close of business on or about the
second last business day of the month.
PERFORMANCE AS OF JUNE 30, 2000
TOTAL RETURN:
<TABLE>
<S> <C>
November
Since inception (11/1/99) -18.43%
</TABLE>
Returns represent past performance, which is no guarantee of future results.
Investment return and principal value will vary so that shares, when redeemed,
may be worth more or less than their original cost. Actual results for variable
annuity and variable universal life contracts will be lower due to contract
charges. Consult your contract for applicable charges for mortality and
expenses.
<TABLE>
<CAPTION>
NOVEMBER 10 (11/1/99) DJIA (8 MONTHS)
--------------------- ---------------
<S> <C>
-18.43 -1.8
</TABLE>
COMMENTS
The Dow Target 10 November portfolio lost 19.33% versus a loss of 8.01% for the
Dow Jones Industrial Average, for the first half of the year. Phillip Morris was
the best performing stock for the 6-month period while International Paper lost
the most ground.
SCHEDULE OF INVESTMENTS JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
MARKET
SHARES COMMON STOCK VALUE %
---------------------------------------------------------------
<C> <S> <C> <C>
1,591 AT&T Corp. (9).................... $ 50,315 8.4
1,341 Caterpillar Inc. (4).............. 45,426 7.6
1,148 E.I. Du Pont de Nemours and Co.
(2) 50,225 8.4
1,065 Eastman Kodak Company (8)......... 63,368 10.6
1,006 Exxon Corporation (6)............. 78,971 13.2
1,082 General Motors Corp. (1).......... 62,824 10.5
1,514 International Paper Co. (7)....... 45,136 7.5
553 J.P. Morgan & Co. Inc. (5)........ 60,899 10.2
758 Minnesota Mining and Manufacturing
Co. (3).......................... 62,535 10.3
2,802 Phillip Morris Companies Inc.
(10)............................. 74,428 12.3
-------- ------
TOTAL COMMON STOCK (COST
$750,806)........................ $594,127 99.0
-------- ------
TOTAL HOLDINGS (COST $750,806).... $594,127 99.0
-------- ------
CASH & RECEIVABLES, NET OF
LIABILITIES...................... 6,071 1.0
-------- ------
TOTAL NET ASSETS.................. $600,198 100.00
======== ======
</TABLE>
INDUSTRIES
<TABLE>
<C> <S>
1. Automobiles
2. Chemicals
3. Manufacturing
4. Retail
5. Banks
6. Oil, Energy, and Natural Gas
7. Paper & Related
8. Photo Equipment
9. Communications
10. Tobacco
</TABLE>
12
<PAGE> 14
THE DOW(SM) TARGET VARIABLE FUND LLC
DOW(SM) TARGET 10 -- DECEMBER PORTFOLIO
OBJECTIVE
The Dow(SM) Target 10 Portfolios seek long-term capital growth and dividend
income by investing in 10 common stocks in the Dow Industrial Average(SM) that
have the highest dividend yield as of the close of business on or about the
second last business day of the month.
PERFORMANCE AS OF JUNE 30, 2000
TOTAL RETURN:
<TABLE>
<S> <C>
December
Since inception (12/1/99) -16.49%
</TABLE>
Returns represent past performance, which is no guarantee of future results.
Investment return and principal value will vary so that shares, when redeemed,
may be worth more or less than their original cost. Actual results for variable
annuity and variable universal life contracts will be lower due to contract
charges. Consult your contract for applicable charges for mortality and
expenses.
BAR CHART
<TABLE>
<CAPTION>
DECEMBER 10 (12/1/99) DJIA (7 MONTHS)
--------------------- ---------------
<S> <C>
-16.49 -5.01
</TABLE>
COMMENTS
The Dow Target 10 December portfolio lost 16.63% versus a loss of 8.01% for the
Dow Jones Industrial Average, for the first half of the year. Phillip Morris was
the best performing stock for the 6-month period while International Paper lost
the most ground.
SCHEDULE OF INVESTMENTS JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
MARKET
SHARES COMMON STOCK VALUE %
----------------------------------------------------------------
<C> <S> <C> <C>
1,244 Caterpillar Inc. (4)............. $ 42,141 8.7
972 E.I. Du Pont de Nemours and Co.
(2)............................. 42,525 8.8
914 Eastman Kodak Company (8)........ 54,383 11.2
722 Exxon Corporation (6)............ 56,677 11.7
773 General Motors Corp. (1)......... 44,882 9.2
1,127 International Paper Co. (7)...... 33,599 6.9
437 J.P. Morgan & Co. Inc. (5)....... 48,125 9.9
605 Minnesota Mining and
Manufacturing Co. (3)........... 49,913 10.3
2,209 Phillip Morris Companies Inc.
(10)............................ 58,677 12.1
1,102 SBC Communications, Inc. (9)..... 47,662 9.7
---------- -----
TOTAL COMMON STOCK (COST
$567,663)....................... $ 478,582 98.5
---------- -----
TOTAL HOLDINGS (COST $567,663)... $ 478,582 98.5
---------- -----
CASH & RECEIVABLES, NET OF
LIABILITIES..................... 7,340 1.5
---------- -----
TOTAL NET ASSETS................. $ 485,922 100.0
========== =====
</TABLE>
INDUSTRIES
<TABLE>
<C> <S>
1. Automobiles
2. Chemicals
3. Manufacturing
4. Retail
5. Banks
6. Oil, Energy, and Natural Gas
7. Paper & Related
8. Photo Equipment
9. Communications
10. Tobacco
</TABLE>
13
<PAGE> 15
THE DOW(SM) TARGET VARIABLE FUND LLC
DOW(SM) TARGET 5 -- JANUARY PORTFOLIO
OBJECTIVE
The Dow(SM) Target 5 Portfolios seek long-term capital growth and dividend
income by investing in common stocks in the Dow Industrial Average(SM). The
portfolios invest in the five stocks with the lowest price per share of the Dow
10 as of the close of business on or about the second last business day of the
month.
PERFORMANCE AS OF JUNE 30, 2000
TOTAL RETURN:
<TABLE>
<S> <C>
January
Since inception (1/3/00) -16.93%
</TABLE>
Returns represent past performance, which is no guarantee of future results.
Investment return and principal value will vary so that shares, when redeemed,
may be worth more or less than their original cost. Actual results for variable
annuity and variable universal life contracts will be lower due to contract
charges. Consult your contract for applicable charges for mortality and
expenses.
BAR CHART
<TABLE>
<CAPTION>
JANUARY 5 (01/03/00) DJIA (6 MONTHS)
-------------------- ---------------
<S> <C>
-16.93 -8.01
</TABLE>
COMMENTS
Since its inception on 1/1/00, the Dow Target 5 January portfolio lost 16.93%
versus a loss of 8.01% for the Dow Jones Industrial Average. Phillip Morris was
the best performing stock for the 6-month period while International Paper lost
the most ground.
SCHEDULE OF INVESTMENTS JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
MARKET
SHARES COMMON STOCK VALUE %
---------------------------------------------------------------
<C> <S> <C> <C>
1,115 Caterpillar Inc. (1)................. $ 37,771 18.0
783 E.I. Du Pont de Nemours and Co.
(2)................................. 34,256 16.3
918 International Paper Co. (3).......... 27,368 13.0
2,224 Phillip Morris Companies Inc. (4).... 59,075 28.1
1,091 SBC Communications Inc. (5).......... 47,186 22.4
-------- ----
TOTAL COMMON STOCK (COST $244,015)... $205,656 97.8
======== ====
</TABLE>
<TABLE>
<CAPTION>
FACE MARKET
AMOUNT REPURCHASE AGREEMENTS VALUE %
---------------------------------------------------------------
<C> <S> <C> <C>
$5,000 Firstar Bank 4.25% due 07/03/00
repurchase price $5,000
collateralized by GNMA certificates
pool# 8375 due 02/20/24............ $ 5,000 2.4
-------- -----
TOTAL REPURCHASE AGREEMENTS
(COST $5,000)...................... $ 5,000 2.4
======== =====
TOTAL HOLDINGS (COST $249,015)...... $210,656 100.2
-------- -----
LIABILITIES, NET OF CASH &
RECEIVABLES........................ (418) (0.2)
-------- -----
TOTAL NET ASSETS.................... $210,238 100.0
======== =====
</TABLE>
INDUSTRIES
<TABLE>
<C> <S>
1. Machinery
2. Chemicals
3. Paper Products
4. Tobacco
5. Communications
</TABLE>
14
<PAGE> 16
THE DOW(SM) TARGET VARIABLE FUND LLC
DOW(SM) TARGET 5 -- FEBRUARY PORTFOLIO
OBJECTIVE
The Dow(SM) Target 5 Portfolios seek long-term capital growth and dividend
income by investing in common stocks in the Dow Industrial Average(SM). The
portfolios invest in the five stocks with the lowest price per share of the Dow
10 as of the close of business on or about the second last business day of the
month.
PERFORMANCE AS OF JUNE 30, 2000
TOTAL RETURN:
<TABLE>
<S> <C>
February
Since inception (2/1/00) -9.66%
</TABLE>
Returns represent past performance, which is no guarantee of future results.
Investment return and principal value will vary so that shares, when redeemed,
may be worth more or less than their original cost. Actual results for variable
annuity and variable universal life contracts will be lower due to contract
charges. Consult your contract for applicable charges for mortality and
expenses.
BAR CHART
<TABLE>
<CAPTION>
FEBRUARY 5 (02/01/00) DJIA (5 MONTHS)
--------------------- ---------------
<S> <C>
-9.66 -5.37
</TABLE>
COMMENTS
Since its inception on 2/1/00, the Dow Target 5 February portfolio lost 9.66%
versus a loss of 5.37% for the Dow Jones Industrial Average. Phillip Morris was
the best performing stock for the 5-month period while International Paper lost
the most ground.
SCHEDULE OF INVESTMENTS JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
MARKET
SHARES COMMON STOCK VALUE %
---------------------------------------------------------------
<C> <S> <C> <C>
889 Caterpillar Inc. (1)................ $ 30,115 16.6
628 E.I. Du Pont de Nemours and Co.
(2)................................ 27,475 15.1
733 International Paper Co. (3)......... 21,853 12.0
1,774 Phillip Morris Companies Inc. (4)... 47,122 25.9
870 SBC Communications Inc. (5)......... 37,628 20.7
-------- ----
TOTAL COMMON STOCK (COST
$171,033).......................... $164,192 90.3
======== ====
</TABLE>
<TABLE>
<CAPTION>
FACE MARKET
AMOUNT REPURCHASE AGREEMENTS VALUE %
---------------------------------------------------------------
<C> <S> <C> <C>
$15,000 Firstar Bank 4.25% due 07/03/00
repurchase price $15,000
collateralized by GNMA
certificates pool# 8375 due
02/20/24 $ 15,000 8.3
-------- -----
TOTAL REPURCHASE AGREEMENTS (COST
$15,000) $ 15,000 8.3
======== =====
TOTAL HOLDINGS (COST $186,033)..... $179,192 98.6
-------- -----
CASH & RECEIVABLES, NET OF
LIABILITIES....................... 2,564 1.4
-------- -----
TOTAL NET ASSETS................... $181,756 100.0
======== =====
</TABLE>
INDUSTRIES
<TABLE>
<C> <S>
1. Machinery
2. Chemicals
3. Paper Products
4. Tobacco
5. Communications
</TABLE>
15
<PAGE> 17
THE DOW(SM) TARGET VARIABLE FUND LLC
DOW(SM) TARGET 5 -- MARCH PORTFOLIO
OBJECTIVE
The Dow(SM) Target 5 Portfolios seek long-term capital growth and dividend
income by investing in common stocks in the Dow Industrial Average(SM). The
portfolios invest in the five stocks with the lowest price per share of the Dow
10 as of the close of business on or about the second last business day of the
month.
PERFORMANCE AS OF JUNE 30, 2000
TOTAL RETURN:
<TABLE>
<S> <C>
March
Since inception (3/1/00) 1.82%
</TABLE>
Returns represent past performance, which is no guarantee of future results.
Investment return and principal value will vary so that shares, when redeemed,
may be worth more or less than their original cost. Actual results for variable
annuity and variable universal life contracts will be lower due to contract
charges. Consult your contract for applicable charges for mortality and
expenses.
BAR CHART
<TABLE>
<CAPTION>
MARCH 5 (03/01/00) DJIA (4 MONTHS)
------------------ ---------------
<S> <C>
1.82 3.06
</TABLE>
COMMENTS
Since its inception on 3/1/00, the Dow Target 5 March portfolio gained 1.82%
versus a gain of 3.06% for the Dow Jones Industrial Average. Phillip Morris was
the best performing stock for the 4-month period while International Paper lost
the most ground.
SCHEDULE OF INVESTMENTS JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
MARKET
SHARES COMMON STOCK VALUE %
---------------------------------------------------------------
<C> <S> <C> <C>
1,049 Caterpillar Inc. (1)................. $ 35,535 16.9
719 E.I. Du Pont de Nemours and Co.
(2)................................. 31,456 15.0
1,040 International Paper Co. (3).......... 31,005 14.8
1,859 Phillip Morris Companies Inc. (4).... 49,380 23.5
1,008 SBC Communications Inc. (5).......... 43,596 20.8
-------- ----
TOTAL COMMON STOCK (COST $193,441)... $190,972 91.0
======== ====
</TABLE>
<TABLE>
<CAPTION>
FACE MARKET
AMOUNT REPURCHASE AGREEMENTS VALUE %
---------------------------------------------------------------
<C> <S> <C> <C>
$18,000 Firstar Bank 4.25% due 07/03/00
repurchase price $18,000
collateralized by GNMA
certificates pool# 8375 due
02/20/24.......................... $ 18,000 8.6
-------- -----
TOTAL REPURCHASE AGREEMENTS (COST
$18,000).......................... $ 18,000 8.6
======== =====
TOTAL HOLDINGS (COST $211,441)..... $208,972 99.6
-------- -----
CASH & RECEIVABLES, NET OF
LIABILITIES....................... 769 0.4
-------- -----
TOTAL NET ASSETS................... $209,741 100.0
======== =====
</TABLE>
INDUSTRIES
<TABLE>
<C> <S>
1. Machinery
2. Chemicals
3. Paper Products
4. Tobacco
5. Communications
</TABLE>
16
<PAGE> 18
THE DOW(SM) TARGET VARIABLE FUND LLC
DOW(SM) TARGET 5 -- APRIL PORTFOLIO
OBJECTIVE
The Dow(SM) Target 5 Portfolios seek long-term capital growth and dividend
income by investing in common stocks in the Dow Industrial Average(SM). The
portfolios invest in the five stocks with the lowest price per share of the Dow
10 as of the close of business on or about the second last business day of the
month.
PERFORMANCE AS OF JUNE 30, 2000
TOTAL RETURN:
<TABLE>
<S> <C>
April
Since inception (4/1/00) -7.96%
</TABLE>
Returns represent past performance, which is no guarantee of future results.
Investment return and principal value will vary so that shares, when redeemed,
may be worth more or less than their original cost. Actual results for variable
annuity and variable universal life contracts will be lower due to contract
charges. Consult your contract for applicable charges for mortality and
expenses.
BAR CHART
<TABLE>
<CAPTION>
APRIL 5 (04/01/00) DJIA (3 MONTHS)
------------------ ---------------
<S> <C>
-7.96 -6.90
</TABLE>
COMMENTS
Since its inception on 4/1/00, the Dow Target 5 April portfolio lost 7.96%
versus a loss of 6.90% for the Dow Jones Industrial Average. Phillip Morris was
the best performing stock for the 3-month period while International Paper lost
the most ground.
SCHEDULE OF INVESTMENTS JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
MARKET
SHARES COMMON STOCK VALUE %
---------------------------------------------------------------
<C> <S> <C> <C>
1,112 Caterpillar Inc. (1)................. $ 37,669 18.0
762 E.I. Du Pont de Nemours and Co.
(2)................................. 33,338 15.9
1,102 International Paper Co. (3).......... 32,853 15.7
1,970 Phillip Morris Companies Inc. (4).... 52,328 25.0
1,069 SBC Communications Inc. (5).......... 46,234 22.0
-------- ----
TOTAL COMMON STOCK (COST $219,873)... $202,422 96.6
======== ====
</TABLE>
<TABLE>
<CAPTION>
FACE MARKET
AMOUNT REPURCHASE AGREEMENTS VALUE %
---------------------------------------------------------------
<C> <S> <C> <C>
$6,000 Firstar Bank 4.25% due 07/03/00
repurchase price $6,000
collateralized by GNMA certificates
pool# 8375 due 02/20/24............ $ 6,000 2.8
-------- -----
TOTAL REPURCHASE AGREEMENTS (COST
$6,000)............................ $ 6,000 2.8
======== =====
TOTAL HOLDINGS (COST $225,872)...... $208,422 99.4
-------- -----
CASH & RECEIVABLES, NET OF
LIABILITIES........................ 1,304 0.6
-------- -----
TOTAL NET ASSETS.................... $209,726 100.0
======== =====
</TABLE>
INDUSTRIES
<TABLE>
<C> <S>
1. Machinery
2. Chemicals
3. Paper Products
4. Tobacco
5. Communications
</TABLE>
17
<PAGE> 19
THE DOW(SM) TARGET VARIABLE FUND LLC
DOW(SM) TARGET 5 -- MAY PORTFOLIO
OBJECTIVE
The Dow(SM) Target 5 Portfolios seek long-term capital growth and dividend
income by investing in common stocks in the Dow Industrial Average(SM). The
portfolios invest in the five stocks with the lowest price per share of the Dow
10 as of the close of business on or about the second last business day of the
month.
PERFORMANCE AS OF JUNE 30, 2000
TOTAL RETURN:
<TABLE>
<S> <C>
May
Since inception (5/1/00) -4.56%
</TABLE>
Returns represent past performance, which is no guarantee of future results.
Investment return and principal value will vary so that shares, when redeemed,
may be worth more or less than their original cost. Actual results for variable
annuity and variable universal life contracts will be lower due to contract
charges. Consult your contract for applicable charges for mortality and
expenses.
BAR CHART
<TABLE>
<CAPTION>
MAY 5 (05/01/00) DJIA (2 MONTHS)
---------------- ---------------
<S> <C>
-4.56 -3.37
</TABLE>
COMMENTS
Since its inception on 5/1/00, the Dow Target 5 May portfolio lost 4.56% versus
a loss of 3.37% for the Dow Jones Industrial Average. Phillip Morris was the
best performing stock for the 2-month period while International Paper lost the
most ground.
SCHEDULE OF INVESTMENTS JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
MARKET
SHARES COMMON STOCK VALUE %
---------------------------------------------------------------
<C> <S> <C> <C>
993 Caterpillar Inc. (1)................. $ 33,638 18.3
681 E.I. Du Pont de Nemours and Co.
(2)................................. 29,794 16.2
985 International Paper Co. (3).......... 29,365 16.0
1,761 Phillip Morris Companies Inc. (4).... 46,777 25.5
955 SBC Communications Inc. (5).......... 41,305 22.5
-------- ----
TOTAL COMMON STOCK (COST $193,499)... $180,878 98.5
======== ====
</TABLE>
<TABLE>
<CAPTION>
FACE MARKET
AMOUNT REPURCHASE AGREEMENTS VALUE %
---------------------------------------------------------------
<C> <S> <C> <C>
$1,000 Firstar Bank 4.25% due 07/03/00
repurchase price $1,000
collateralized by GNMA certificates
pool# 8375 due 02/20/24............ $ 1,000 0.5
-------- -----
TOTAL REPURCHASE AGREEMENTS (COST
$1,000)............................ $ 1,000 0.5
======== =====
TOTAL HOLDINGS (COST $194,499)...... $181,878 99.0
-------- -----
CASH & RECEIVABLES, NET OF
LIABILITIES........................ 1,826 1.0
-------- -----
TOTAL NET ASSETS.................... $183,704 100.0
======== =====
</TABLE>
INDUSTRIES
<TABLE>
<C> <S>
1. Machinery
2. Chemicals
3. Paper Products
4. Tobacco
5. Communications
</TABLE>
18
<PAGE> 20
THE DOW(SM) TARGET VARIABLE FUND LLC
DOW(SM) TARGET 5 -- JUNE PORTFOLIO
OBJECTIVE
The Dow(SM) Target 5 Portfolios seek long-term capital growth and dividend
income by investing in common stocks in the Dow Industrial Average(SM). The
portfolios invest in the five stocks with the lowest price per share of the Dow
10 as of the close of business on or about the second last business day of the
month.
PERFORMANCE AS OF JUNE 30, 2000
TOTAL RETURN:
<TABLE>
<S> <C>
June
Since inception (6/1/00) -6.53%
</TABLE>
Returns represent past performance, which is no guarantee of future results.
Investment return and principal value will vary so that shares, when redeemed,
may be worth more or less than their original cost. Actual results for variable
annuity and variable universal life contracts will be lower due to contract
charges. Consult your contract for applicable charges for mortality and
expenses.
BAR CHART
<TABLE>
<CAPTION>
JUNE 5 (6/1/00) DJIA (1 MONTHS)
--------------- ---------------
<S> <C>
-6.53 -1.92
</TABLE>
COMMENTS
Since its inception on 6/1/00, the Dow Target 5 June portfolio lost 6.53% versus
a loss of 1.92% for the Dow Jones Industrial Average. Phillip Morris was the
best performing stock for the 1-month period while Caterpillar Inc. lost the
most ground.
SCHEDULE OF INVESTMENTS JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
MARKET
SHARES COMMON STOCK VALUE %
---------------------------------------------------------------
<C> <S> <C> <C>
815 Caterpillar Inc. (1)................. $ 25,774 16.4
859 E.I. Du Pont de Nemours and Co.
(2)................................. 29,099 18.5
851 International Paper Co. (3).......... 25,370 16.1
1,522 Phillip Morris Companies Inc. (4).... 40,428 25.7
826 SBC Communications Inc. (5).......... 35,725 22.7
-------- ----
TOTAL COMMON STOCK (COST $193,441)... $156,396 99.4
======== ====
</TABLE>
<TABLE>
<CAPTION>
FACE MARKET
AMOUNT REPURCHASE AGREEMENTS VALUE %
---------------------------------------------------------------
<C> <S> <C> <C>
$41,000 Firstar Bank 4.25% due 07/03/00
repurchase price $41,000
collateralized by GNMA
certificates pool# 8375 due
02/20/24.......................... $ 41,000 26.1
-------- -----
TOTAL REPURCHASE AGREEMENTS (COST
$18,000).......................... $ 41,000 26.1
======== =====
TOTAL HOLDINGS (COST $207,535)..... $197,396 125.5
-------- -----
LIABILITIES, NET OF CASH &
RECEIVABLES....................... (40,001) (25.5)
-------- -----
TOTAL NET ASSETS................... $157,395 100.0
======== =====
</TABLE>
INDUSTRIES
<TABLE>
<C> <S>
1. Machinery
2. Chemicals
3. Paper Products
4. Tobacco
5. Communications
</TABLE>
19
<PAGE> 21
THE DOW(SM) TARGET VARIABLE FUND LLC
DOW(SM) TARGET 5 -- SEPTEMBER PORTFOLIO
OBJECTIVE
The Dow(SM) Target 5 Portfolios seek long-term capital growth and dividend
income by investing in common stocks in the Dow Industrial Average(SM). The
portfolios invest in the five stocks with the lowest price per share of the Dow
10 as of the close of business on or about the second last business day of the
month.
PERFORMANCE AS OF JUNE 30, 2000
TOTAL RETURN:
<TABLE>
<S> <C>
September
Since inception (9/1/99) -32.40%
</TABLE>
Returns represent past performance, which is no guarantee of future results.
Investment return and principal value will vary so that shares, when redeemed,
may be worth more or less than their original cost. Actual results for variable
annuity and variable universal life contracts will be lower due to contract
charges. Consult your contract for applicable charges for mortality and
expenses.
BAR CHART
<TABLE>
<CAPTION>
SEPTEMBER 5 (09/01/99) DJIA (10 MONTHS)
---------------------- ----------------
<S> <C>
-32.4 -4.48
</TABLE>
COMMENTS
The Dow Target 5 September portfolio lost 10.11% versus a loss of 8.01% for the
Dow Jones Industrial Average, for the first half of the year. Sears, Roebuck &
Co. was the best performing stock for the 6-month period while The Goodyear Tire
& Rubber Co. lost the most ground.
SCHEDULE OF INVESTMENTS JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
MARKET
SHARES COMMON STOCK VALUE %
---------------------------------------------------------------
<C> <S> <C> <C>
661 Caterpillar Inc. (3)................. $ 22,391 15.9
605 General Motors Corp. (1)............. 35,128 24.9
1,041 Phillip Morris Companies Inc. (5).... 27,652 19.6
994 Sears, Roebuck & Co. (2)............. 32,429 23.0
734 Goodyear Tire & Rubber Company (4)... 14,680 10.2
-------- ----
TOTAL COMMON STOCK (COST $190,689)... $132,280 93.6
======== ====
</TABLE>
<TABLE>
<CAPTION>
FACE MARKET
AMOUNT REPURCHASE AGREEMENTS VALUE %
---------------------------------------------------------------
<C> <S> <C> <C>
$6,000 Firstar Bank 4.25% due 07/03/00
repurchase price $6,000
collateralized by GNMA certificates
pool# 8375 due 02/20/24............ $ 6,000 4.3
-------- -----
TOTAL REPURCHASE AGREEMENTS (COST
$192,000).......................... $ 6,000 4.3
======== =====
TOTAL HOLDINGS (COST $196,689)...... $138,280 97.9
-------- -----
CASH & RECEIVABLES, NET OF
LIABILITIES........................ 2,957 2.1
-------- -----
TOTAL NET ASSETS.................... $141,237 100.0
======== =====
</TABLE>
INDUSTRIES
<TABLE>
<C> <S>
1. Automobiles
2. Retail
3. Machinery
4. Rubber and Tires
5. Tobacco
</TABLE>
20
<PAGE> 22
THE DOW(SM) TARGET VARIABLE FUND LLC
DOW(SM) TARGET 5 -- OCTOBER PORTFOLIO
OBJECTIVE
The Dow(SM) Target 5 Portfolios seek long-term capital growth and dividend
income by investing in common stocks in the Dow Industrial Average(SM). The
portfolios invest in the five stocks with the lowest price per share of the Dow
10 as of the close of business on or about the second last business day of the
month.
PERFORMANCE AS OF JUNE 30, 2000
TOTAL RETURN:
<TABLE>
<S> <C>
October
Since inception (10/1/99) -26.11%
</TABLE>
Returns represent past performance, which is no guarantee of future results.
Investment return and principal value will vary so that shares, when redeemed,
may be worth more or less than their original cost. Actual results for variable
annuity and variable universal life contracts will be lower due to contract
charges. Consult your contract for applicable charges for mortality and
expenses.
<TABLE>
<CAPTION>
OCTOBER 5 (10/1/99) DJIA (9 MONTHS)
------------------- ---------------
<S> <C>
-26.11 1.7
</TABLE>
COMMENTS
The Dow Target 5 October portfolio lost 13.37% versus a loss of 8.01% for the
Dow Jones Industrial Average, for the first half of the year. Sears, Roebuck &
Co. was the best performing stock for the 6-month period while The Goodyear Tire
& Rubber Co. lost the most ground.
SCHEDULE OF INVESTMENTS JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
MARKET
SHARES COMMON STOCK VALUE %
---------------------------------------------------------------
<C> <S> <C> <C>
1,276 Caterpillar Inc. (3)................. $ 43,225 16.6
1,150 E.I. Du Pont de Nemours and Co.
(1).................................. 50,313 19.4
1,496 Goodyear Tire & Rubber (4)........... 29,920 11.5
2,024 Phillip Morris Companies Inc. (5).... 53,763 20.7
2,328 Sears, Roebuck & Co. (2)............. 75,951 29.3
-------- ----
TOTAL COMMON STOCK (COST $332,290)... $253,171 97.5
======== ====
</TABLE>
<TABLE>
<CAPTION>
FACE MARKET
AMOUNT REPURCHASE AGREEMENTS VALUE %
---------------------------------------------------------------
<C> <S> <C> <C>
$4,000 Firstar Bank 4.25% due 07/03/00
repurchase price $4,000
collateralized by GNMA certificates
pool# 8375 due 02/20/24............ $ 4,000 1.5
-------- -----
TOTAL REPURCHASE AGREEMENTS (COST
$4,000)............................ $ 4,000 1.5
======== =====
TOTAL HOLDINGS (COST $336,290)...... $257,171 99.0
-------- -----
CASH & RECEIVABLES, NET OF
LIABILITIES........................ 2,563 1.0
-------- -----
TOTAL NET ASSETS.................... $259,734 100.0
======== =====
</TABLE>
INDUSTRIES
<TABLE>
<C> <S>
1. Chemicals
2. Retail
3. Machinery
4. Rubber and Tires
5. Tobacco
</TABLE>
21
<PAGE> 23
THE DOW(SM) TARGET VARIABLE FUND LLC
DOW(SM) TARGET 5 -- NOVEMBER PORTFOLIO
OBJECTIVE
The Dow(SM) Target 5 Portfolios seek long-term capital growth and dividend
income by investing in common stocks in the Dow Industrial Average(SM). The
portfolios invest in the five stocks with the lowest price per share of the Dow
10 as of the close of business on or about the second last business day of the
month.
PERFORMANCE AS OF JUNE 30, 2000
TOTAL RETURN:
<TABLE>
<S> <C>
November
Since inception (11/1/99) -26.04%
</TABLE>
Returns represent past performance, which is no guarantee of future results.
Investment return and principal value will vary so that shares, when redeemed,
may be worth more or less than their original cost. Actual results for variable
annuity and variable universal life contracts will be lower due to contract
charges. Consult your contract for applicable charges for mortality and
expenses.
<TABLE>
<CAPTION>
NOVEMBER 5 (11/1/99) DJIA (8 MONTHS)
-------------------- ---------------
<S> <C>
-26.04 -1.88
</TABLE>
COMMENTS
The Dow Target 5 November portfolio lost 25.88% versus a loss of 8.01% for the
Dow Jones Industrial Average, for the first half of the year. Phillip Morris was
the best performing stock for the 6-month period while International Paper lost
the most ground.
SCHEDULE OF INVESTMENTS JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
MARKET
SHARES COMMON STOCK VALUE %
---------------------------------------------------------------
<C> <S> <C> <C>
899 AT&T Corp. (2)....................... $ 28,431 17.9
758 Caterpillar Inc. (3)................. 25,677 16.2
646 E.I. Du Pont de Nemours and Co.
(1)................................. 28,263 17.8
856 International Paper Company (4)...... 25,520 16.0
1,584 Phillip Morris Companies Inc. (5).... 42,075 26.5
-------- ----
TOTAL COMMON STOCK (COST $199,742)... $149,965 94.4
======== ====
</TABLE>
<TABLE>
<CAPTION>
FACE MARKET
AMOUNT REPURCHASE AGREEMENTS VALUE %
---------------------------------------------------------------
<C> <S> <C> <C>
$6,000 Firstar Bank 4.25% due 07/03/00
repurchase price $6,000
collateralized by GNMA certificates
pool# 8375 due 02/20/24............ $ 6,000 3.8
-------- -----
TOTAL REPURCHASE AGREEMENTS (COST
$13,000)........................... $ 6,000 3.8
======== =====
TOTAL HOLDINGS (COST $215,758)...... $155,965 98.2
-------- -----
CASH & RECEIVABLES, NET OF
LIABILITIES........................ 2,786 1.8
-------- -----
TOTAL NET ASSETS.................... $158,751 100.0
======== =====
</TABLE>
INDUSTRIES
<TABLE>
<C> <S>
1. Chemicals
2. Communications
3. Machinery
4. Paper & Related
5. Tobacco
</TABLE>
22
<PAGE> 24
THE DOW(SM) TARGET VARIABLE FUND LLC
DOW(SM) TARGET 5 -- DECEMBER PORTFOLIO
OBJECTIVE
The Dow(SM) Target 5 Portfolios seek long-term capital growth and dividend
income by investing in common stocks in the Dow Industrial Average(SM). The
portfolios invest in the five stocks with the lowest price per share of the Dow
10 as of the close of business on or about the second last business day of the
month.
PERFORMANCE AS OF JUNE 30, 2000
TOTAL RETURN:
<TABLE>
<S> <C>
December
Since inception (12/1/99) -20.19%
</TABLE>
Returns represent past performance, which is no guarantee of future results.
Investment return and principal value will vary so that shares, when redeemed,
may be worth more or less than their original cost. Actual results for variable
annuity and variable universal life contracts will be lower due to contract
charges. Consult your contract for applicable charges for mortality and
expenses.
BAR CHART
<TABLE>
<CAPTION>
DECEMBER 5 (12/1/99) DJIA (7 MONTHS)
-------------------- ---------------
<S> <C>
-20.19 -5.01
</TABLE>
COMMENTS
The Dow Target 5 December portfolio lost 20.31% versus a loss of 8.01% for the
Dow Jones Industrial Average, for the first half of the year. Phillip Morris was
the best performing stock for the month of December while International Paper
lost the most ground.
SCHEDULE OF INVESTMENTS JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
MARKET
SHARES COMMON STOCK VALUE %
---------------------------------------------------------------
<C> <S> <C> <C>
711 Caterpillar Inc. (3)................. $ 24,085 15.2
608 E.I. Du Pont de Nemours and Co.
(1)................................. 26,600 16.8
804 International Paper Company (4)...... 23,969 15.1
1,487 Phillip Morris Companies Inc. (5).... 39,498 24.9
869 SBC Communications (2)............... 37,584 23.7
-------- ----
TOTAL COMMON STOCK (COST $195,555)... $151,737 95.7
======== ====
</TABLE>
<TABLE>
<CAPTION>
FACE MARKET
AMOUNT REPURCHASE AGREEMENTS VALUE %
---------------------------------------------------------------
<C> <S> <C> <C>
$ 5,000 Firstar Bank 4.25% due 07/03/00
repurchase price $5,000
collateralized by GNMA
certificates pool# 8375 due
02/20/24.......................... $ 5,000 3.2
-------- -----
TOTAL REPURCHASE AGREEMENTS (COST
$5,000)........................... $ 5,000 3.2
======== =====
TOTAL HOLDINGS (COST $200,555)..... $156,737 98.9
-------- -----
CASH & RECEIVABLES, NET OF
LIABILITIES....................... 1,766 1.1
-------- -----
TOTAL NET ASSETS................... $158,503 100.0
======== =====
</TABLE>
INDUSTRIES
<TABLE>
<C> <S>
1. Chemicals
2. Communications
3. Machinery
4. Paper & Related
5. Tobacco
</TABLE>
23
<PAGE> 25
THE DOW(SM) TARGET VARIABLE FUND LLC
STATEMENT OF ASSETS AND LIABILITIES JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
PORTFOLIOS
-----------------------------------------------------------------------------------------------
JANUARY (10)(a) FEBRUARY (10)(b) MARCH (10)(c) APRIL (10)(d) MAY (10)(e) JUNE (10)(f)
--------------- ---------------- ------------- ------------- ----------- ------------
<S> <C> <C> <C> <C> <C> <C>
Assets:
Investment in securities, at
cost........................ $ 662,360 $1,484,299 $1,355,388 $1,538,912 $ 996,997 $1,240,335
========== ========== ========== ========== ========== ==========
Investments in securities at
market value (note 1)....... $ 563,471 $1,406,862 $1,226,459 $1,264,564 $ 881,132 $1,058,452
Cash in bank.................. 0 0 614 654 344 679
Receivable for securities
sold........................ 458,558 505,787 0 0 0 0
Receivable for fund interests
sold........................ 0 0 303 0 0 29,580
Dividends & accrued interest
receivable.................. 4,269 8,137 4,994 5,200 3,449 3,689
Due from advisor.............. 11,116 21,504 0 0 0 0
Other......................... 0 0 0 0 0 0
---------- ---------- ---------- ---------- ---------- ----------
Total assets................ 1,037,414 1,942,290 1,232,370 1,270,418 884,925 1,092,400
---------- ---------- ---------- ---------- ---------- ----------
Liabilities:
Cash overdraft................ 451,508 499,005 0 0 0 0
Payable for securities
purchased................... 0 0 0 0 0 54,448
Payable for fund interests
redeemed.................... 20 0 0 0 0 0
Payable for investment
management services (note
3).......................... 3,586 6,222 2,917 2,839 1,638 2,066
Other accrued expenses........ 7,127 20,123 30,787 31,988 11,940 9,897
---------- ---------- ---------- ---------- ---------- ----------
Total liabilities........... 462,241 525,350 33,704 34,827 13,578 66,411
---------- ---------- ---------- ---------- ---------- ----------
Net assets at market value...... $ 575,173 $1,416,940 $1,198,666 $1,235,591 $ 871,347 $1,025,989
========== ========== ========== ========== ========== ==========
Net assets consist of:
Par value, $1 per membership
interest.................... $ 69,796 $ 165,892 $ 148,287 $ 152,901 $ 115,270 $ 132,986
Paid-in capital in excess of
par value................... 699,378 1,420,019 1,270,279 1,512,643 1,026,007 1,240,684
Accumulated net realized loss
on investments (note 1)..... (101,641) (103,901) (90,971) (155,605) (154,065) (166,562)
Net unrealized depreciation on
investments (note 1)........ (98,889) (77,437) (128,929) (274,348) (115,865) (181,883)
Undistributed net investment
income...................... 6,529 12,367 0 0 0 764
---------- ---------- ---------- ---------- ---------- ----------
Net assets at market value...... $ 575,173 $1,416,940 $1,198,666 $1,235,591 $ 871,347 $1,025,989
========== ========== ========== ========== ========== ==========
Membership interest outstanding
(note 4)...................... 69,796 165,892 148,287 152,901 115,270 132,986
Net asset value per membership
interest...................... $ 8.24 $ 8.54 $ 8.08 $ 8.08 $ 7.56 $ 7.71
========== ========== ========== ========== ========== ==========
</TABLE>
---------------
(a) The inception date for this portfolio was January 4, 1999.
(b) The inception date for this portfolio was February 1, 1999.
(c) The inception date for this portfolio was March 1, 1999.
(d) The inception date for this portfolio was April 1, 1999.
(e) The inception date for this portfolio was May 3, 1999.
(f) The inception date for this portfolio was June 1, 1999.
The accompanying notes are an integral part of these financial statements.
24
<PAGE> 26
THE DOW(SM) TARGET VARIABLE FUND LLC
STATEMENT OF ASSETS AND LIABILITIES JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
PORTFOLIOS
--------------------------------------------------------------------------------------
JULY (10)(g) AUGUST (10)(h) SEPTEMBER (10)(i) OCTOBER (10)(j) NOVEMBER (10)(k)
------------ -------------- ----------------- --------------- ----------------
<S> <C> <C> <C> <C> <C>
Assets:
Investment in securities, at cost..... $914,581 $ 879,738 $ 934,272 $ 766,991 $ 750,806
======== ========= ========= ========= =========
Investments in securities at market
value (note 1)...................... $709,271 $ 690,396 $ 757,762 $ 635,476 $ 594,127
Cash in bank.......................... 953 77 0 0 0
Receivable for securities sold........ 0 0 384,949 447,327 408,890
Receivable for fund interests sold.... 0 0 0 0 0
Due from advisor...................... 0 4,996 3,001 974 3,659
Dividends & accrued interest
receivable.......................... 2,318 2,832 4,898 4,760 4,537
Other................................. 0 0 0 0 0
-------- --------- --------- --------- ---------
Total assets........................ 712,542 698,301 1,150,610 1,088,537 1,011,213
-------- --------- --------- --------- ---------
Liabilities:
Cash overdraft........................ 0 0 378,863 442,341 404,373
Payable for securities purchased...... 0 0 0 0 0
Payable for fund interests redeemed... 25 27 29 26 23
Payable for investment management
services (note 3)................... 2,029 3,843 4,191 3,471 3,887
Other accrued expenses................ 2,152 3,884 2,369 152 2,732
-------- --------- --------- --------- ---------
Total liabilities................... 4,206 7,754 385,452 445,990 411,015
-------- --------- --------- --------- ---------
Net assets at market value.............. $708,336 $ 690,547 $ 765,158 $ 642,547 $ 600,198
======== ========= ========= ========= =========
Net assets consist of:
Par value, $1 per membership
interest............................ $ 92,731 $ 86,210 $ 100,741 $ 80,403 $ 74,223
Paid-in capital in excess of par
value............................... 882,923 821,093 989,255 802,146 770,285
Accumulated net realized loss on
investments (note 1)................ (65,592) (31,728) (155,884) (115,488) (93,839)
Net unrealized depreciation on
investments (note 1)................ (205,310) (189,342) (176,510) (131,515) (156,679)
Undistributed net investment income... 3,584 4,314 7,556 7,001 6,208
-------- --------- --------- --------- ---------
Net assets at market value.............. $708,336 $ 690,547 $ 765,158 $ 642,547 $ 600,198
======== ========= ========= ========= =========
Membership interest outstanding (note
4).................................... 92,731 86,210 100,741 80,403 74,223
Net asset value per membership
interest.............................. $ 7.64 $ 8.01 $ 7.60 $ 7.99 $ 8.09
======== ========= ========= ========= =========
<CAPTION>
PORTFOLIOS
----------------
DECEMBER (10)(l)
----------------
<S> <C>
Assets:
Investment in securities, at cost..... $ 567,663
=========
Investments in securities at market
value (note 1)...................... $ 478,582
Cash in bank.......................... 0
Receivable for securities sold........ 422,249
Receivable for fund interests sold.... 0
Due from advisor...................... 4,181
Dividends & accrued interest
receivable.......................... 3,541
Other................................. 0
---------
Total assets........................ 908,553
---------
Liabilities:
Cash overdraft........................ 415,990
Payable for securities purchased...... 0
Payable for fund interests redeemed... 18
Payable for investment management
services (note 3)................... 3,595
Other accrued expenses................ 3,028
---------
Total liabilities................... 422,631
---------
Net assets at market value.............. $ 485,922
=========
Net assets consist of:
Par value, $1 per membership
interest............................ $ 58,561
Paid-in capital in excess of par
value............................... 628,854
Accumulated net realized loss on
investments (note 1)................ (118,069)
Net unrealized depreciation on
investments (note 1)................ (89,081)
Undistributed net investment income... 5,657
---------
Net assets at market value.............. $ 485,922
=========
Membership interest outstanding (note
4).................................... 58,561
Net asset value per membership
interest.............................. $ 8.30
=========
</TABLE>
---------------
(g) The inception date for this portfolio was July 1, 1999.
(h) The inception date for this portfolio was August 2, 1999.
(i) The inception date for this portfolio was September 1, 1999.
(j) The inception date for this portfolio was October 1, 1999.
(k) The inception date for this portfolio was November 3, 1999.
(l) The inception date for this portfolio was December 1, 1999.
The accompanying notes are an integral part of these financial statements.
25
<PAGE> 27
THE DOW(SM) TARGET VARIABLE FUND LLC
STATEMENT OF ASSETS AND LIABILITIES JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
PORTFOLIOS
-----------------------------------------------------------------------------------------
JANUARY (5)(a) FEBRUARY (5)(b) MARCH (5)(c) APRIL (5)(d) MAY (5)(e) JUNE (5)(f)
-------------- --------------- ------------ ------------ ---------- -----------
<S> <C> <C> <C> <C> <C> <C>
Assets:
Investment in securities, at cost... $249,015 $186,033 $211,441 $225,872 $194,499 $207,535
======== ======== ======== ======== ======== ========
Investments in securities at market
value (note 1).................... 210,656 179,192 208,972 208,422 181,878 197,396
Cash in bank........................ 696 786 182 367 272 442
Receivable for fund interests sold 0 961 0 250 977 67
Due from advisor.................... 3,209 2,715 2,156 1,558 1,106 558
Dividends & accrued interest
receivable........................ 1,068 852 892 946 845 680
-------- -------- -------- -------- -------- --------
Total assets...................... 215,629 184,506 212,202 211,543 185,078 199,143
-------- -------- -------- -------- -------- --------
Liabilities:
Payable for securities purchased.... 0 0 0 0 0 41,089
Payable for fund interests
redeemed.......................... 2,103 3 97 4 3 2
Payable for investment management
services (note 3)................. 622 436 409 291 163 59
Other accrued expenses.............. 2,666 2,311 1,955 1,522 1,208 598
-------- -------- -------- -------- -------- --------
Total liabilities................. 5,391 2,750 2,461 1,817 1,374 41,748
-------- -------- -------- -------- -------- --------
Net assets at market value............ $210,238 $181,756 $209,741 $209,726 $183,704 $157,395
======== ======== ======== ======== ======== ========
Net assets consist of:
Par value, $1 per membership
interest.......................... 25,475 20,222 20,652 22,783 19,246 16,838
Paid-in capital in excess of par
value............................. 221,431 173,253 188,736 202,811 176,090 149,999
Accumulated net realized gain (loss)
on investments (note 1)........... 0 (6,288) 1,218 0 0 0
Net unrealized depreciation on
investments (note 1).............. (38,359) (6,841) (2,469) (17,450) (12,621) (10,139)
Undistributed (overdistributed) net
investment income................. 1,691 1,410 1,604 1,582 989 697
-------- -------- -------- -------- -------- --------
Net assets at market value............ $210,238 $181,756 $209,741 $209,726 $183,704 $157,395
======== ======== ======== ======== ======== ========
Membership interest outstanding (note
4).................................. 25,475 20,222 20,652 22,783 19,246 16,838
Net asset value per membership
interest............................ $ 8.25 $ 8.99 $ 10.16 $ 9.21 $ 9.54 $ 9.35
======== ======== ======== ======== ======== ========
</TABLE>
---------------
(a) The inception date for this portfolio was January 4, 2000.
(b) The inception date for this portfolio was February 1, 2000.
(c) The inception date for this portfolio was March 1, 2000.
(d) The inception date for this portfolio was April 3, 2000.
(e) The inception date for this portfolio was May 1, 2000.
(f) The inception date for this portfolio was June 1, 2000.
The accompanying notes are an integral part of these financial statements.
26
<PAGE> 28
THE DOW(SM) TARGET VARIABLE FUND LLC
STATEMENT OF ASSETS AND LIABILITIES JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
PORTFOLIOS
---------------------------------------------------------------------
SEPTEMBER (5)(g) OCTOBER (5)(h) NOVEMBER (5)(i) DECEMBER (5)(j)
---------------- -------------- --------------- ---------------
<S> <C> <C> <C> <C>
Assets:
Investment in securities, at cost....................... $196,689 $336,290 $215,758 $200,555
======== ======== ======== ========
Investments in securities at market value (note 1)...... 138,280 257,171 155,965 156,737
Cash in bank............................................ 946 511 901 131
Receivable for fund interests sold...................... 728 1,507 958 714
Due from advisor........................................ 2,715 1,365 763 1,627
Other................................................... 0 1,004 1,201 446
-------- -------- -------- --------
Total assets.......................................... 142,669 261,558 159,788 159,655
-------- -------- -------- --------
Liabilities:
Payable for fund interests redeemed..................... 3 7 3 3
Payable for investment management services (note 3)..... 737 1,177 733 587
Other accrued expenses.................................. 692 640 295 562
-------- -------- -------- --------
Total liabilities..................................... 1,432 1,824 1,031 1,152
-------- -------- -------- --------
Net assets at market value................................ $141,237 $259,734 $158,757 $158,503
======== ======== ======== ========
Net assets consist of:
Par value, $1 per membership interest................... $ 21,222 $ 35,678 $ 21,711 $ 20,030
Paid-in capital in excess of par value.................. 177,746 311,439 195,582 181,090
Accumulated net realized loss on investments (note 1)... (445) (10,384) 0 0
Net unrealized appreciation (depreciation) on
investments (note 1).................................. (58,409) (79,119) (59,793) (43,818)
Undistributed (overdistributed) net investment income... 1,123 2,120 1,257 1,201
-------- -------- -------- --------
Net assets at market value................................ $141,237 $259,734 $158,757 $158,503
======== ======== ======== ========
Membership interest outstanding (note 4).................. 21,222 35,678 21,711 20,030
Net asset value per membership interest................... $ 6.66 $ 7.28 $ 7.31 $ 7.91
======== ======== ======== ========
</TABLE>
---------------
(g) The inception date for this portfolio was September 1, 1999.
(h) The inception date for this portfolio was September 1, 1999.
(i) The inception date for this portfolio was September 1, 1999.
(j) The inception date for this portfolio was September 1, 1999.
The accompanying notes are an integral part of these financial statements.
27
<PAGE> 29
THE DOW(SM) TARGET VARIABLE FUND LLC
STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
PORTFOLIOS
-----------------------------------------------------------------------------------------------
JANUARY (10) FEBRUARY (10) MARCH (10) APRIL (10) MAY (10) JUNE (10)
--------------- ---------------- ------------- ------------- ----------- ------------
<S> <C> <C> <C> <C> <C> <C>
Investment income:
Interest...................... $ 1,067 $ 831 $ 519 $ 554 $ 523 $ 443
Dividends..................... 18,437 31,751 19,286 19,216 10,527 15,120
--------- --------- --------- --------- --------- ---------
Total investment income..... 19,504 32,582 19,805 19,770 11,050 15,563
--------- --------- --------- --------- --------- ---------
Expenses:
Management fees (note 3)...... 3,364 5,634 3,413 3,451 2,001 2,651
Custodian fees (note 3)....... 3,180 9,207 12,647 13,315 5,003 4,499
Directors' fees (note 3)...... 636 1,841 2,529 2,663 1,001 900
Professional fees............. 875 2,532 3,478 3,662 1,376 1,237
Accounting fees............... 1,193 3,453 4,743 4,993 1,876 1,687
Printing, proxy, and postage
fees........................ 1,908 5,524 7,588 7,989 3,002 2,700
Other......................... 159 460 632 666 250 225
--------- --------- --------- --------- --------- ---------
Total expenses.............. 11,315 28,651 35,030 36,739 14,509 13,899
--------- --------- --------- --------- --------- ---------
Less expenses voluntarily
reduced or reimbursed..... (5,709) (19,262) 0 0 0 0
--------- --------- --------- --------- --------- ---------
Net expenses................ 5,606 9,389 35,030 36,739 14,509 13,899
--------- --------- --------- --------- --------- ---------
Net investment income
(loss).................... $ 13,898 $ 23,193 $ (15,225) $ (16,969) $ (3,459) $ 1,664
--------- --------- --------- --------- --------- ---------
Realized & unrealized gain
(loss) on investments:
Net realized loss from
investments................. $(101,641) $(103,901) $ (90,971) $(155,605) $(114,084) $(153,163)
Net increase in unrealized
appreciation (depreciation)
on investments.............. (96,457) (119,728) (77,491) (111,228) 13,891 (24,038)
--------- --------- --------- --------- --------- ---------
Net loss on investments....... (198,098) (223,629) (168,462) (266,833) (100,193) (177,201)
--------- --------- --------- --------- --------- ---------
Net decrease in net assets
from operations............. $(184,200) $(200,436) $(183,687) $(283,802) $(103,652) $(175,537)
========= ========= ========= ========= ========= =========
</TABLE>
The accompanying notes are an integral part of these financial statements.
28
<PAGE> 30
THE DOW(SM) TARGET VARIABLE FUND LLC
STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
PORTFOLIOS
--------------------------------------------------------------------------------------
JULY (10) AUGUST (10) SEPTEMBER (10) OCTOBER (10) NOVEMBER (10)
------------ -------------- ----------------- --------------- ----------------
<S> <C> <C> <C> <C> <C>
Investment income:
Interest............................. $ 270 $ 200 $ 250 $ 299 $ 226
Dividends............................ 13,531 12,227 21,857 20,509 18,210
--------- --------- --------- --------- ---------
Total investment income............ 13,801 12,427 22,107 20,808 18,436
--------- --------- --------- --------- ---------
Expenses:
Management fees (note 3)............. 2,530 2,320 3,916 3,700 3,497
Custodian fees (note 3).............. 1,378 2,008 1,978 1,201 2,157
Directors' fees (note 3)............. 276 402 396 240 431
Professional fees.................... 379 552 544 330 593
Accounting fees...................... 517 753 742 450 809
Printing, proxy, and postage fees.... 827 1,205 1,187 720 1,294
Other................................ 67 101 97 61 109
--------- --------- --------- --------- ---------
Total expenses..................... 5,974 7,341 8,860 6,702 8,890
--------- --------- --------- --------- ---------
Less expenses voluntarily reduced
or reimbursed.................... 0 (3,474) (2,333) (535) (3,061)
--------- --------- --------- --------- ---------
Net expenses....................... 5,974 3,867 6,527 6,167 5,829
--------- --------- --------- --------- ---------
Net investment income.............. $ 7,827 $ 8,560 $ 15,580 $ 14,641 $ 12,607
--------- --------- --------- --------- ---------
Realized & unrealized gain (loss) on
investments:
Net realized loss from investments... $ (44,639) $ (15,646) $(135,393) $(107,660) $ (93,839)
Net increase in unrealized
depreciation on investments........ (77,924) (64,787) (43,812) (51,626) (151,968)
--------- --------- --------- --------- ---------
Net loss on investments.............. (122,563) (80,433) (179,205) (159,286) (245,807)
--------- --------- --------- --------- ---------
Net decrease in net assets from
operations......................... $(114,736) $ (71,873) $(163,625) $(144,645) $(233,200)
========= ========= ========= ========= =========
<CAPTION>
PORTFOLIOS
----------------
DECEMBER (10)
----------------
<S> <C>
Investment income:
Interest............................. $ 400
Dividends............................ 17,017
---------
Total investment income............ 17,417
---------
Expenses:
Management fees (note 3)............. 3,372
Custodian fees (note 3).............. 2,374
Directors' fees (note 3)............. 475
Professional fees.................... 653
Accounting fees...................... 890
Printing, proxy, and postage fees.... 1,424
Other................................ 119
---------
Total expenses..................... 9,307
---------
Less expenses voluntarily reduced
or reimbursed.................... (3,687)
---------
Net expenses....................... 5,620
---------
Net investment income.............. $ 11,797
---------
Realized & unrealized gain (loss) on
investments:
Net realized loss from investments... $(118,069)
Net increase in unrealized
depreciation on investments........ (98,706)
---------
Net loss on investments.............. (216,775)
---------
Net decrease in net assets from
operations......................... $(204,978)
=========
</TABLE>
The accompanying notes are an integral part of these financial statements.
29
<PAGE> 31
THE DOW(SM) TARGET VARIABLE FUND LLC
STATEMENT OF OPERATIONS FOR THE PERIODS INDICATED (UNAUDITED)
<TABLE>
<CAPTION>
PORTFOLIOS
----------------------------------------------------------------------------------
JANUARY (5) FEBRUARY (5) MARCH (5) APRIL (5) MAY (5) JUNE (5)
----------- ------------ ----------- ----------- ----------- -----------
FROM 1/3/00 FROM 2/1/00 FROM 3/1/00 FROM 4/3/00 FROM 5/1/00 FROM 6/1/00
TO 6/30/00 TO 6/30/00 TO 6/30/00 TO 6/30/00 TO 6/30/00 TO 6/30/00
----------- ------------ ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
Investment income:
Interest................................... $ 254 $ 194 $ 265 $ 198 $ 122 $ 121
Dividends.................................. 4,078 2,979 2,638 1,869 1,138 675
-------- -------- ------- -------- -------- --------
Total investment income.................. 4,332 3,173 2,903 2,067 1,260 796
-------- -------- ------- -------- -------- --------
Expenses:
Management fees (note 3)................... 622 436 409 291 163 59
Custodian fees (note 3).................... 2,393 1,986 1,604 1,157 802 395
Directors' fees (note 3)................... 64 53 43 31 21 11
Professional fees.......................... 382 317 256 185 128 63
Accounting fees............................ 329 273 221 159 110 54
Printing, proxy, and postage fees.......... 337 279 226 163 113 56
Other...................................... 120 99 79 57 40 19
-------- -------- ------- -------- -------- --------
Total expenses........................... 4,247 3,443 2,838 2,043 1,377 657
-------- -------- ------- -------- -------- --------
Less expenses voluntarily reduced or
reimbursed............................. (3,209) (2,715) (2,156) (1,558) (1,106) (558)
-------- -------- ------- -------- -------- --------
Net expenses............................. 1,038 728 682 485 271 99
-------- -------- ------- -------- -------- --------
Net investment income.................... $ 3,294 $ 2,445 $ 2,221 $ 1,582 $ 989 $ 697
-------- -------- ------- -------- -------- --------
Realized & unrealized gain (loss) on
investments:
Net realized gain (loss) from
investments.............................. $ 0 $ (6,288) $ 1,218 $ 0 $ 0 $ 0
Net increase in unrealized depreciation on
investments.............................. (38,359) (6,841) (2,469) (17,450) (12,621) (10,139)
-------- -------- ------- -------- -------- --------
Net loss on investments.................... (38,359) (13,129) (1,251) (17,450) (12,621) (10,139)
-------- -------- ------- -------- -------- --------
Net increase (decrease) in net assets from
operations............................... $(35,065) $(10,684) $ 970 $(15,868) $(11,632) $ (9,442)
======== ======== ======= ======== ======== ========
</TABLE>
The accompanying notes are an integral part of these financial statements.
30
<PAGE> 32
THE DOW(SM) TARGET VARIABLE FUND LLC
STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
PORTFOLIOS
---------------------------------------------------------------------
SEPTEMBER (5)(m) OCTOBER (5)(n) NOVEMBER (5)(o) DECEMBER (5)(p)
---------------- -------------- --------------- ---------------
<S> <C> <C> <C> <C>
Investment income:
Interest................................................ $ 111 $ 78 $ 129 $ 112
Dividends............................................... 2,932 5,268 3,275 3,150
-------- -------- -------- --------
Total investment income............................... 3,043 5,346 3,404 3,262
-------- -------- -------- --------
Expenses:
Management fees (note 3)................................ 467 789 548 515
Custodian fees (note 3)................................. 263 148 142 680
Directors' fees (note 3)................................ 68 67 65 235
Professional fees....................................... 178 109 62 284
Accounting fees......................................... 260 144 81 106
Printing, proxy, and postage fees....................... 379 245 134 320
Other................................................... 2 4 3 44
-------- -------- -------- --------
Total expenses........................................ 1,617 1,506 1,035 2,184
-------- -------- -------- --------
Less expenses voluntarily reduced or reimbursed....... (839) (191) (122) (1,325)
-------- -------- -------- --------
Net expenses.......................................... 778 1,315 913 859
-------- -------- -------- --------
Net investment income................................. $ 2,265 $ 4,031 $ 2,491 $ 2,403
-------- -------- -------- --------
Realized & unrealized loss on investments:
Net realized loss from investments...................... $ 0 $(10,384) $ 0 $ 0
Net increase in unrealized depreciation on
investments........................................... (17,887) (33,605) (57,563) (43,995)
-------- -------- -------- --------
Net loss on investments................................. (17,887) (43,989) (57,563) (43,995)
-------- -------- -------- --------
Net decrease in net assets from operations.............. $(15,622) $(39,958) $(55,072) $(41,592)
======== ======== ======== ========
</TABLE>
The accompanying notes are an integral part of these financial statements.
31
<PAGE> 33
THE DOW(SM) TARGET VARIABLE FUND LLC
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
PORTFOLIOS JANUARY (10) FEBRUARY (10) MARCH (10) APRIL (10)
--------------------------- --------------------------- --------------------------- -------------
SIX MONTHS SIX MONTHS SIX MONTHS SIX MONTHS
ENDED 6/30/00 FROM 1/4/99 ENDED 6/30/00 FROM 2/1/99 ENDED 6/30/00 FROM 3/1/99 ENDED 6/30/00
(UNAUDITED) TO 12/31/99 (UNAUDITED) TO 12/31/99 (UNAUDITED) TO 12/31/99 (UNAUDITED)
------------- ----------- ------------- ----------- ------------- ----------- -------------
<S> <C> <C> <C> <C> <C> <C> <C>
From operations:
Net investment income
(loss)................ $ 13,898 $ 9,611 $ 23,193 $ 21,158 $ (15,225) $ 14,381 $ (16,969)
Realized gain (loss) on
investments........... (101,641) 3,212 (103,901) 28,842 (90,971) 36,163 (155,605)
Unrealized appreciation
(depreciation) on
investments........... (96,457) (2,432) (119,728) 42,291 (77,491) (51,438) (111,228)
----------- --------- ---------- ---------- ---------- ---------- ----------
Net increase
(decrease) in net
assets from
operations.......... (184,200) 10,391 (200,436) 92,291 (183,687) (894) (283,802)
----------- --------- ---------- ---------- ---------- ---------- ----------
Dividends and
distributions to
shareholders:
Dividends paid from
net investment
income.............. (7,400) (9,581) (10,866) (21,118) 0 (14,383) 0
Capital gains
distributions....... 0 (3,212) 0 (28,842) 0 (36,163) 0
----------- --------- ---------- ---------- ---------- ---------- ----------
Total dividends and
distributions...... (7,400) (12,793) (10,866) (49,960) 0 (50,546) 0
----------- --------- ---------- ---------- ---------- ---------- ----------
From capital share
transactions (note 4):
Received from shares
sold.................. 2,381,619 565,912 1,277,473 1,550,427 563,925 1,583,033 663,732
Received from
dividends
reinvested........... 7,400 12,793 10,866 49,960 0 50,545 0
Paid for shares
redeemed............. (2,082,179) (116,370) (821,829) (480,986) (198,510) (565,200) (401,002)
----------- --------- ---------- ---------- ---------- ---------- ----------
Increase in net
assets derived from
capital share
transactions........ 306,840 462,335 466,510 1,119,401 365,415 1,068,378 262,730
----------- --------- ---------- ---------- ---------- ---------- ----------
Increase (decrease)
in net assets....... 115,240 459,933 255,208 1,161,732 181,728 1,016,938 (21,072)
Net Assets:
Beginning of period.... 459,933 0 1,161,732 0 1,016,938 0 1,256,663
----------- --------- ---------- ---------- ---------- ---------- ----------
End of period (a)...... $ 575,173 $ 459,933 $1,416,940 $1,161,732 $1,198,666 $1,016,938 $1,235,591
=========== ========= ========== ========== ========== ========== ==========
(a) Includes
undistributed net
investment income of.. $ 6,529 $ 30 $ 12,367 $ 40 $ 0 $ 0 $ 0
=========== ========= ========== ========== ========== ========== ==========
<CAPTION>
PORTFOLIOS APRIL (10) MAY (10) JUNE (10)
----------- --------------------------- ---------------------------
SIX MONTHS SIX MONTHS
FROM 4/1/99 ENDED 6/30/00 FROM 5/3/99 ENDED 6/30/00 FROM 6/1/99
TO 12/31/99 (UNAUDITED) TO 12/31/99 (UNAUDITED) TO 12/31/99
----------- ------------- ----------- ------------- -----------
<S> <C> <C> <C> <C> <C>
From operations:
Net investment income
(loss)................ $ 20,880 $ (3,459) $ 9,335 $ 1,664 $ 12,449
Realized gain (loss) on
investments........... 17,873 (114,084) (39,982) (153,163) (13,399)
Unrealized appreciation
(depreciation) on
investments........... (163,120) 13,891 (129,757) (24,038) (157,845)
---------- --------- ---------- ---------- ----------
Net increase
(decrease) in net
assets from
operations.......... (124,367) (103,652) (160,404) (175,537) (158,795)
---------- --------- ---------- ---------- ----------
Dividends and
distributions to
shareholders:
Dividends paid from
net investment
income.............. (20,884) 0 (9,340) (900) (12,453)
Capital gains
distributions....... (17,873) 0 0 0 0
---------- --------- ---------- ---------- ----------
Total dividends and
distributions...... (38,757) 0 (9,340) (900) (12,453)
---------- --------- ---------- ---------- ----------
From capital share
transactions (note 4):
Received from shares
sold.................. 2,101,632 463,043 1,180,871 433,434 1,569,222
Received from
dividends
reinvested........... 38,758 0 9,341 900 12,453
Paid for shares
redeemed............. (720,603) (205,326) (303,186) (389,836) (252,499)
---------- --------- ---------- ---------- ----------
Increase in net
assets derived from
capital share
transactions........ 1,419,787 257,717 887,026 44,498 1,329,176
---------- --------- ---------- ---------- ----------
Increase (decrease)
in net assets....... 1,256,663 154,065 717,282 (131,939) 1,157,928
Net Assets:
Beginning of period.... 0 717,282 0 1,157,928 0
---------- --------- ---------- ---------- ----------
End of period (a)...... $1,256,663 $ 871,347 $ 717,282 $1,025,989 $1,157,928
========== ========= ========== ========== ==========
(a) Includes
undistributed net
investment income of.. $ 0 $ 0 $ 0 $ 764 $ 0
========== ========= ========== ========== ==========
</TABLE>
The accompanying notes are an integral part of these financial statements.
32
<PAGE> 34
THE DOW(SM) TARGET VARIABLE FUND LLC
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
PORTFOLIOS JULY (10) AUGUST (10) SEPTEMBER (10)
--------------------------- --------------------------- ---------------------------
SIX MONTHS SIX MONTHS SIX MONTHS
ENDED 6/30/00 FROM 7/1/99 ENDED 6/30/00 FROM 8/2/99 ENDED 6/30/00 FROM 9/1/99
(UNAUDITED) TO 12/31/99 (UNAUDITED) TO 12/31/99 (UNAUDITED) TO 12/31/99
------------- ----------- ------------- ----------- ------------- -----------
<S> <C> <C> <C> <C> <C> <C>
From operations:
Net investment
income............... $ 7,827 $ 11,262 $ 8,560 $ 8,921 $ 15,580 $ 9,190
Realized gain (loss) on
investments.......... (44,639) (20,953) (15,646) (16,082) (135,393) (20,491)
Unrealized appreciation
(depreciation) on
investments.......... (77,924) (127,386) (64,787) (124,555) (43,812) (132,698)
--------- ---------- --------- ---------- ---------- ----------
Net increase
(decrease) in
net assets from
operations..... (114,736) (137,077) (71,873) (131,716) (163,625) (143,999)
--------- ---------- --------- ---------- ---------- ----------
Dividends and
distributions to
shareholders:
Dividends paid from
net investment
income............. (4,243) (11,270) (4,246) (8,928) (8,064) (9,150)
Capital gains
distributions...... 0 0 0 0 0 0
--------- ---------- --------- ---------- ---------- ----------
Total dividends
and
distributions... (4,243) (11,270) (4,246) (8,928) (8,064) (9,150)
--------- ---------- --------- ---------- ---------- ----------
From capital share
transactions (note 4):
Received from shares
sold................. 21,367 1,454,117 75,767 1,253,944 18,744 1,866,547
Received from dividends
reinvested........... 4,243 11,270 4,246 8,928 8,064 9,150
Paid for shares
redeemed............. (188,270) (327,065) (118,569) (317,006) (557,603) (254,906)
--------- ---------- --------- ---------- ---------- ----------
Increase in net
assets derived
from capital
share
transactions... (162,660) 1,138,322 (38,556) 945,866 (530,795) 1,620,791
--------- ---------- --------- ---------- ---------- ----------
Increase
(decrease) in
net assets..... (281,639) 989,975 (114,675) 805,222 (702,484) 1,467,642
Net Assets:
Beginning of period.... 989,975 0 805,222 0 1,467,642 0
--------- ---------- --------- ---------- ---------- ----------
End of period (a)...... $ 708,336 $ 989,975 $ 690,547 $ 805,222 $ 765,158 $1,467,642
========= ========== ========= ========== ========== ==========
(a) Includes
undistributed net
investment income of... $ 3,584 $ 0 $ 4,314 $ 0 $ 7,556 $ 40
========= ========== ========= ========== ========== ==========
<CAPTION>
PORTFOLIOS OCTOBER (10) NOVEMBER (10) DECEMBER (10)
---------------------------- ---------------------------- ----------------------------
SIX MONTHS SIX MONTHS SIX MONTHS
ENDED 6/30/00 FROM 10/1/99 ENDED 6/30/00 FROM 11/1/99 ENDED 6/30/00 FROM 12/1/99
(UNAUDITED) TO 12/31/99 (UNAUDITED) TO 12/31/99 (UNAUDITED) TO 12/31/99
------------- ------------ ------------- ------------ ------------- ------------
<S> <C> <C> <C> <C> <C> <C>
From operations:
Net investment
income............... $ 14,641 $ 9,204 $ 12,607 $ 4,804 $ 11,797 $ 994
Realized gain (loss) on
investments.......... (107,660) (7,828) (93,839) 0 (118,069) 0
Unrealized appreciation
(depreciation) on
investments.......... (51,626) (79,889) (151,968) (4,711) (98,706) 9,625
---------- ---------- ---------- ---------- ---------- ----------
Net increase
(decrease) in
net assets from
operations..... (144,645) (78,513) (233,200) 93 (204,978) 10,619
---------- ---------- ---------- ---------- ---------- ----------
Dividends and
distributions to
shareholders:
Dividends paid from
net investment
income............. (7,640) (9,200) (7,003) (4,200) (6,155) (980)
Capital gains
distributions...... 0 0 0 0 0 0
---------- ---------- ---------- ---------- ---------- ----------
Total dividends
and
distributions... (7,640) (9,200) (7,003) (4,200) (6,155) (980)
---------- ---------- ---------- ---------- ---------- ----------
From capital share
transactions (note 4):
Received from shares
sold................. 6,527 1,743,037 20,780 1,560,226 51,869 1,501,592
Received from dividends
reinvested........... 7,640 9,200 7,003 4,200 6,155 980
Paid for shares
redeemed............. (615,489) (268,370) (522,144) (225,557) (834,950) (38,230)
---------- ---------- ---------- ---------- ---------- ----------
Increase in net
assets derived
from capital
share
transactions... (601,322) 1,483,867 (494,361) 1,338,869 (776,926) 1,464,342
---------- ---------- ---------- ---------- ---------- ----------
Increase
(decrease) in
net assets..... (753,607) 1,396,154 (734,564) 1,334,762 (988,059) 1,473,981
Net Assets:
Beginning of period.... 1,396,154 0 1,334,762 0 1,473,981 0
---------- ---------- ---------- ---------- ---------- ----------
End of period (a)...... $ 642,547 $1,396,154 $ 600,198 $1,334,762 $ 485,922 $1,473,981
========== ========== ========== ========== ========== ==========
(a) Includes
undistributed net
investment income of... $ 7,001 $ 4 $ 6,208 $ 604 $ 5,657 $ 14
========== ========== ========== ========== ========== ==========
</TABLE>
The accompanying notes are an integral part of these financial statements.
33
<PAGE> 35
THE DOW(SM) TARGET VARIABLE FUND LLC
STATEMENTS OF CHANGES IN NET ASSETS (UNAUDITED)
<TABLE>
<CAPTION>
PORTFOLIOS
----------------------------------------------------------------------------------
JANUARY (5) FEBRUARY (5) MARCH (5) APRIL (5) MAY (5) JUNE (5)
----------- ------------ ----------- ----------- ----------- -----------
FROM 1/3/00 FROM 2/1/00 FROM 3/1/00 FROM 4/3/00 FROM 5/1/00 FROM 6/1/00
TO 6/30/00 TO 6/30/00 TO 6/30/00 TO 6/30/00 TO 6/30/00 TO 6/30/00
----------- ------------ ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
From operations:
Net investment income...................... $ 3,294 $ 2,445 $ 2,221 $ 1,582 $ 989 $ 697
Realized gain (loss) on investments........ 0 (6,288) 1,218 0 0 0
Unrealized depreciation on investments..... (38,359) (6,841) (2,469) (17,450) (12,621) (10,139)
-------- -------- -------- -------- -------- --------
Net increase (decrease) in net
assets from operations............ (35,065) (10,684) 970 (15,868) (11,632) (9,442)
-------- -------- -------- -------- -------- --------
Dividends and distributions to
shareholders:
Dividends paid from net investment
income................................. (1,604) (1,036) (617) 0 0 0
-------- -------- -------- -------- -------- --------
From capital share transactions (note 4):
Received from shares sold.................. 270,624 221,192 209,331 232,513 197,463 166,851
Received from dividends reinvested......... 1,604 1,036 617 0 0 0
Paid for shares redeemed................... (25,321) (28,752) (560) (6,919) (2,127) (14)
-------- -------- -------- -------- -------- --------
Increase in net assets derived from
capital share transactions........ 246,907 193,476 209,388 225,594 195,336 166,837
-------- -------- -------- -------- -------- --------
Increase in net assets.............. 210,238 181,756 209,741 209,726 183,704 157,395
Net Assets:
Beginning of period........................ 0 0 0 0 0 0
-------- -------- -------- -------- -------- --------
End of period (a).......................... $210,238 $181,756 $209,741 $209,726 $183,704 $157,395
======== ======== ======== ======== ======== ========
(a) Includes undistributed net investment
income of.................................. $ 1,691 $ 1,410 $ 1,604 $ 1,582 $ 989 $ 697
======== ======== ======== ======== ======== ========
</TABLE>
The accompanying notes are an integral part of these financial statements.
34
<PAGE> 36
THE DOW(SM) TARGET VARIABLE FUND LLC
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
PORTFOLIOS
------------------------------------------------------------------------------------
SEPTEMBER (5) OCTOBER (5) NOVEMBER (5)
-------------------------- -------------------------- --------------------------
FROM FROM FROM
SIX MONTHS SEPTEMBER 1, SIX MONTHS OCTOBER 1, SIX MONTHS NOVEMBER 1,
ENDED 1999 ENDED 1999 ENDED 1999
JUNE 30, TO JUNE 30, TO JUNE 30, TO
2000 DECEMBER 31, 2000 DECEMBER 31, 2000 DECEMBER 31,
(UNAUDITED) 1999 (UNAUDITED) 1999 (UNAUDITED) 1999
----------- ------------ ----------- ------------ ----------- ------------
<S> <C> <C> <C> <C> <C> <C>
From operations:
Net investment income....... $ 2,265 $ 1,339 $ 4,031 $ 1,904 $ 2,491 $ 1,088
Realized loss on
investments............... 0 (445) (10,384) 0 0 0
Unrealized appreciation
(depreciation) on
investments............... (17,887) (40,522) (33,605) (45,514) (57,563) (2,230)
-------- -------- -------- -------- -------- --------
Net increase
(decrease) in net
assets from
operations......... (15,622) (39,628) (39,958) (43,610) (55,072) (1,142)
-------- -------- -------- -------- -------- --------
Dividends and distributions
to shareholders:
Dividends paid from net
investment income....... (1,181) (1,300) (1,917) (1,900) (1,422) (900)
-------- -------- -------- -------- -------- --------
From capital share
transactions (note 4):
Received from shares sold... 2,043 197,139 37,396 315,470 4,698 216,296
Received from dividends
reinvested................ 1,181 1,300 1,917 1,900 1,422 900
Paid for shares redeemed.... (1,973) (722) (9,021) (543) (3,173) (2,850)
-------- -------- -------- -------- -------- --------
Increase (decrease)
in net assets
derived from
capital share
transactions....... 1,251 197,717 30,292 316,827 2,947 214,346
-------- -------- -------- -------- -------- --------
Increase (decrease)
in net assets...... (15,552) 156,789 (11,583) 271,317 (53,547) 212,304
Net Assets:
Beginning of period......... 156,789 0 271,317 0 212,304 0
-------- -------- -------- -------- -------- --------
End of period (a)........... $141,237 $156,789 $259,734 $271,317 $158,757 $212,304
======== ======== ======== ======== ======== ========
(a) Includes undistributed net
investment income of........ $ 1,123 $ 39 $ 2,120 $ 4 $ 1,257 $ 188
======== ======== ======== ======== ======== ========
<CAPTION>
PORTFOLIOS
--------------------------
DECEMBER (5)
--------------------------
FROM
SIX MONTHS DECEMBER 1,
ENDED 1999
JUNE 30, TO
2000 DECEMBER 31,
(UNAUDITED) 1999
----------- ------------
<S> <C> <C>
From operations:
Net investment income....... $ 2,403 $ 391
Realized loss on
investments............... 0 0
Unrealized appreciation
(depreciation) on
investments............... (43,995) 177
-------- --------
Net increase
(decrease) in net
assets from
operations......... (41,592) 568
-------- --------
Dividends and distributions
to shareholders:
Dividends paid from net
investment income....... (1,202) (400)
-------- --------
From capital share
transactions (note 4):
Received from shares sold... 176 206,807
Received from dividends
reinvested................ 1,202 400
Paid for shares redeemed.... (7,433) (24)
-------- --------
Increase (decrease)
in net assets
derived from
capital share
transactions....... (6,055) 207,183
-------- --------
Increase (decrease)
in net assets...... (48,848) 207,351
Net Assets:
Beginning of period......... 207,351 0
-------- --------
End of period (a)........... $158,503 $207,351
======== ========
(a) Includes undistributed net
investment income of........ $ 1,201 $ 0
======== ========
</TABLE>
The accompanying notes are an integral part of these financial statements.
35
<PAGE> 37
THE DOW(SM) TARGET VARIABLE FUND LLC
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
PORTFOLIOS JANUARY (10) FEBRUARY (10) MARCH (10)
--------------------------- --------------------------- ---------------------------
SIX MONTHS SIX MONTHS SIX MONTHS
ENDED 6/30/00 FROM 1/4/99 ENDED 6/30/00 FROM 2/1/99 ENDED 6/30/00 FROM 3/1/99
(UNAUDITED) TO 12/31/99 (UNAUDITED) TO 12/31/99 (UNAUDITED) TO 12/31/99
------------- ----------- ------------- ----------- ------------- -----------
<S> <C> <C> <C> <C> <C> <C>
Per membership interest data:
Net asset value, beginning of
period............................. $10.03 $10.00 $10.25 $10.00 $ 9.74 $10.00
Income (loss) from investment
operations:
Net investment income (loss)....... 0.11 0.19 0.11 0.17 (0.12) 0.12
Net realized & unrealized gain
(loss) on investments............ (1.84) 0.09 (1.77) 0.47 (1.54) 0.04
------ ------ ------ ------ ------ ------
Total income (loss) from
investment operations...... (1.73) 0.28 (1.66) 0.64 (1.66) 0.16
------ ------ ------ ------ ------ ------
Less distributions:
Dividends from net investment
income........................... (0.06) (0.19) (0.05) (0.16) 0.00 (0.12)
Distributions from net realized
capital gains.................... 0.00 (0.06) 0.00 (0.23) 0.00 (0.30)
------ ------ ------ ------ ------ ------
Total distributions.......... (0.06) (0.25) (0.05) (0.39) 0.00 (0.42)
------ ------ ------ ------ ------ ------
Net asset value, end of period....... $ 8.24 $10.03 $ 8.54 $10.25 $ 8.08 $ 9.74
====== ====== ====== ====== ====== ======
Total return (b)..................... (17.37)% 2.88% (16.31)% 6.37% (17.04)% 1.96%
Ratios net of fees reimbursed by
advisor (c):
Ratio of expenses to average net
assets (a)....................... 1.00% 0.99% 0.99% 1.07% 6.12% 1.38%
Ratio of net investment income to
average net assets (a)........... 2.47% 1.79% 2.45% 1.63% (2.66)% 1.31%
Ratio assuming no fees reimbursed by
advisor:
Ratio of expenses to average net
assets (a)....................... 2.01% 1.99% 3.03% 1.24% 6.12% 1.38%
Portfolio turnover rate.............. 218% 20% 57% 25% 35% 39%
Net assets at end of period
(millions)......................... $ 0.5 $ 0.5 $ 1.4 $ 1.2 $ 1.2 $ 1.0
<CAPTION>
PORTFOLIOS APRIL (10) MAY (10) JUNE (10)
---------------------------- ---------------------------- ----------------------------
SIX MONTHS SIX MONTHS SIX MONTHS
ENDED 6/30/00 FROM 4/1/99 ENDED 6/30/00 FROM 5/3/99 ENDED 6/30/00 FROM 6/1/99
(UNAUDITED) TO 12/31/99 (UNAUDITED) TO 12/31/99 (UNAUDITED) TO 12/31/99
------------- ------------ ------------- ------------ ------------- ------------
<S> <C> <C> <C> <C> <C> <C>
Per membership interest data:
Net asset value, beginning of
period............................. $10.03 $10.00 $ 8.31 $ 10.00 $ 8.96 $10.00
Income (loss) from investment
operations:
Net investment income (loss)....... (0.13) 0.13 (0.04) 0.09 0.02 0.09
Net realized & unrealized gain
(loss) on investments............ (1.82) 0.14 (0.71) (1.69) (1.26) (1.04)
------ ------ ------ ------- ------ ------
Total income (loss) from
investment operations...... (1.95) 0.27 (0.75) (1.60) (1.24) (0.95)
------ ------ ------ ------- ------ ------
Less distributions:
Dividends from net investment
income........................... 0.00 (0.13) 0.00 (0.09) (0.01) (0.09)
Distributions from net realized
capital gains.................... 0.00 (0.11) 0.00 0.00 0.00 0.00
------ ------ ------ ------- ------ ------
Total distributions.......... 0.00 (0.24) 0.00 (0.09) (0.01) (0.09)
------ ------ ------ ------- ------ ------
Net asset value, end of period....... $ 8.08 $10.03 $ 7.56 $ 8.31 $ 7.71 $ 8.96
====== ====== ====== ======= ====== ======
Total return (b)..................... (19.40)% 2.50% (9.04)% (16.14)% (13.77)% (9.57)%
Ratios net of fees reimbursed by
advisor (c):
Ratio of expenses to average net
assets (a)....................... 6.35% 1.17% 4.32% 1.50% 3.13% 1.18%
Ratio of net investment income to
average net assets (a)........... (2.93)% 1.55% (1.03)% 1.54% 0.37% 1.57%
Ratio assuming no fees reimbursed by
advisor:
Ratio of expenses to average net
assets (a)....................... 6.35% 1.18% 4.32% 1.52% 3.13% 1.19%
Portfolio turnover rate.............. 58% 25% 64% 29% 71% 14%
Net assets at end of period
(millions)......................... $ 1.2 $ 1.3 $ 0.9 $ 0.7 $ 1.0 $ 1.2
</TABLE>
---------------
(a) Annualized.
(b) Calculated on an aggregate basis (not annualized).
(c) The advisor has reimbursed certain operating expenses.
The accompanying notes are an integral part of these financial statements.
36
<PAGE> 38
THE DOW(SM) TARGET VARIABLE FUND LLC
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
PORTFOLIOS JULY (10) AUGUST (10) SEPTEMBER (10)
--------------------------- --------------------------- ---------------------------
SIX MONTHS SIX MONTHS SIX MONTHS
ENDED 6/30/00 FROM 7/1/99 ENDED 6/30/00 FROM 8/2/99 ENDED 6/30/00 FROM 9/1/99
(UNAUDITED) TO 12/31/99 (UNAUDITED) TO 12/31/99 (UNAUDITED) TO 12/31/99
------------- ----------- ------------- ----------- ------------- -----------
<S> <C> <C> <C> <C> <C> <C>
Per membership interest
data:
Net asset value,
beginning of period.... $ 8.82 $10.00 $ 8.88 $ 10.00 $ 8.78 $ 10.00
Income (loss) from
investment operations:
Net investment
income............... 0.08 0.09 0.10 0.09 0.10 0.05
Net realized &
unrealized gain
(loss) on
investments.......... (1.22) (1.18) (0.92) (1.12) (1.23) (1.22)
------ ------ ------ ------- ------ -------
Total Income
(loss) from
Investment
operations..... (1.14) (1.09) (0.82) (1.03) (1.13) (1.17)
------ ------ ------ ------- ------ -------
Less distributions:
Dividends from net
investment income.... (0.04) (0.09) (0.05) (0.09) (0.05) (0.05)
Distributions from net
realized capital
gains................ 0.00 0.00 0.00 0.00 0.00 0.00
------ ------ ------ ------- ------ -------
Total
distributions.. (0.00) (0.09) (0.05) (0.09) (0.05) (0.05)
------ ------ ------ ------- ------ -------
Net asset value, end of
period................. $ 7.64 $ 8.82 $ 8.01 $ 8.88 $ 7.60 $ 8.78
====== ====== ====== ======= ====== =======
Total return (b)........ (12.99)% (10.90)% (9.28)% (10.37)% (12.98)% (11.65)%
Ratios net of fees
reimbursed by
advisor (c):
Ratio of expenses to
average net assets
(a).................. 1.41% 1.14% 1.02% 0.94% 1.00% 0.88%
Ratio of net investment
income to average net
assets (a) 1.85% 1.88% 2.26% 2.21% 2.38% 1.80%
Ratio assuming no fees
reimbursed by advisor:
Ratio of expenses to
average net assets
(a).................. 1.41% 1.16% 1.94% 1.32% 1.35% 1.02%
Portfolio turnover
rate................... 38% 20% 12% 21% 43% 12%
Net assets at end of
period (millions)...... $ 0.7 $ 1.0 $ 0.7 $ 0.8 $ 0.8 $ 1.5
<CAPTION>
PORTFOLIOS OCTOBER (10) NOVEMBER (10) DECEMBER (10)
---------------------------- ---------------------------- ----------------------------
SIX MONTHS SIX MONTHS SIX MONTHS
ENDED 6/30/00 FROM 10/1/99 ENDED 6/30/00 FROM 11/1/99 ENDED 6/30/00 FROM 12/1/99
(UNAUDITED) TO 12/31/99 (UNAUDITED) TO 12/31/99 (UNAUDITED) TO 12/31/99
------------- ------------ ------------- ------------ ------------- ------------
<S> <C> <C> <C> <C> <C> <C>
Per membership interest
data:
Net asset value,
beginning of period.... $ 9.20 $10.00 $10.08 $10.00 $10.01 $10.00
Income (loss) from
investment operations:
Net investment
income............... 0.10 0.06 0.10 0.03 0.10 0.01
Net realized &
unrealized gain
(loss) on
investments.......... (1.26) (0.80) (2.04) 0.08 (1.76) 0.01
------ ------ ------ ------ ------ ------
Total Income
(loss) from
Investment
operations..... (1.16) (0.74) (1.94) 0.11 (1.66) 0.02
------ ------ ------ ------ ------ ------
Less distributions:
Dividends from net
investment income.... (0.05) (0.06) (0.05) (0.03) (0.05) (0.01)
Distributions from net
realized capital
gains................ 0.00 0.00 0.00 0.00 0.00 0.00
------ ------ ------ ------ ------ ------
Total
distributions.. (0.05) (0.06) (0.05) (0.03) (0.05) (0.01)
------ ------ ------ ------ ------ ------
Net asset value, end of
period................. $ 7.99 $ 9.20 $ 8.09 $10.08 $ 8.30 $10.01
====== ====== ====== ====== ====== ======
Total return (b)........ (12.65)% (7.33)% (19.33)% 1.13% (16.63)% 0.17%
Ratios net of fees
reimbursed by
advisor (c):
Ratio of expenses to
average net assets
(a).................. 1.00% 0.85% 1.00% 0.73% 1.03% 0.50%
Ratio of net investment
income to average net
assets (a) 2.37% 2.50% 2.16% 2.05% 2.16% 0.81%
Ratio assuming no fees
reimbursed by advisor:
Ratio of expenses to
average net assets
(a).................. 1.08% 0.97% 1.52% 0.99% 1.70% 0.90%
Portfolio turnover
rate................... 49% 14% 43% 0% 84% 0%
Net assets at end of
period (millions)...... $ 0.6 $ 1.4 $ 0.6 $ 1.3 $ 0.5 $ 1.5
</TABLE>
---------------
(a) Annualized.
(b) Calculated on an aggregate basis (not annualized).
(c) The advisor has reimbursed certain operating expenses.
The accompanying notes are an integral part of these financial statements.
37
<PAGE> 39
THE DOW(SM) TARGET VARIABLE FUND LLC
FINANCIAL HIGHLIGHTS FOR THE PERIODS INDICATED (UNAUDITED)
<TABLE>
<CAPTION>
PORTFOLIOS
----------------------------------------------------------------------------------
JANUARY (5) FEBRUARY (5) MARCH (5) APRIL (5) MAY (5) JUNE (5)
----------- ------------ ----------- ----------- ----------- -----------
FROM 1/3/00 FROM 2/1/00 FROM 3/1/00 FROM 4/3/00 FROM 5/1/00 FROM 6/1/00
TO 6/30/00 TO 6/30/00 TO 6/30/00 TO 6/30/00 TO 6/30/00 TO 6/30/00
----------- ------------ ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
Per membership interest data:
Net asset value, beginning of period......... $ 10.00 $10.00 $10.00 $10.00 $10.00 $10.00
Income (loss) from investment operations:
Net investment income...................... 0.14 0.13 0.25 0.07 0.06 0.05
Net realized & unrealized loss on
investments.............................. (1.83) (1.09) (0.06) (0.86) (0.52) (0.70)
------- ------ ------ ------ ------ ------
Total income (loss) from investment
operations........................ (1.69) (0.96) 0.19 (0.79) (0.46) (0.65)
------- ------ ------ ------ ------ ------
Less distributions:
Dividends from net investment income....... (0.06) (0.05) (0.03) 0.00 0.00 0.00
------- ------ ------ ------ ------ ------
Net asset value, end of period............... $ 8.25 $ 8.99 $10.16 $ 9.21 $ 9.54 $ 9.35
======= ====== ====== ====== ====== ======
</TABLE>
<TABLE>
<CAPTION>
6 MONTHS 5 MONTHS 4 MONTHS 3 MONTHS 2 MONTHS 1 MONTH
-------- -------- -------- -------- -------- -------
<S> <C> <C> <C> <C> <C> <C>
Total return (b)............................. (16.93)% (9.66)% 1.82% (7.96)% (4.56)% (6.53)%
Ratios net of fees reimbursed by advisor (c):
Ratio of expenses to average net assets
(a)...................................... 0.99% 0.99% 0.99% 0.96% 0.99% 0.97%
Ratio of net investment income to average
net assets (a)........................... 3.13% 3.32% 3.24% 3.14% 3.62% 6.86%
Ratio assuming no fees reimbursed by advisor:
Ratio of expenses to average net assets
(a)...................................... 4.04% 4.67% 4.14% 4.06% 5.03% 6.47%
Portfolio turnover rate...................... 0% 24% 7% 0% 0% 0%
Net assets at end of period (millions)....... $ 0.2 $ 0.2 $ 0.2 $ 0.2 $ 0.2 $ 0.2
</TABLE>
---------------
(a) Annualized.
(b) Calculated on an aggregate basis (not annualized).
(c) The advisor has reimbursed certain operating expenses for all portfolios
except for the March portfolio.
The accompanying notes are an integral part of these financial statements.
38
<PAGE> 40
THE DOW(SM) TARGET VARIABLE FUND LLC
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
PORTFOLIOS
------------------------------------------------------------------------------------
SEPTEMBER (5) OCTOBER (5) NOVEMBER (5)
-------------------------- -------------------------- --------------------------
FROM FROM FROM
SIX MONTHS SEPTEMBER 1, SIX MONTHS OCTOBER 1, SIX MONTHS NOVEMBER 1,
ENDED 1999 ENDED 1999 ENDED 1999
JUNE 30, TO JUNE 30, TO JUNE 30, TO
2000 DECEMBER 31, 2000 DECEMBER 31, 2000 DECEMBER 31,
(UNAUDITED) 1999 (UNAUDITED) 1999 (UNAUDITED) 1999
----------- ------------ ----------- ------------ ----------- ------------
<S> <C> <C> <C> <C> <C> <C>
Per membership interest data:
Net asset value, beginning of
period...................... $ 7.46 $ 10.00 $ 8.47 $ 10.00 $ 9.94 $10.00
Income (loss) from investment
operations:
Net investment income....... 0.10 0.07 0.12 0.06 0.12 0.05
Net realized & unrealized
loss on investments....... (0.85) (2.54) (1.25) (1.53) (2.69) (0.07)
------- ------- ------- ------- ------- ------
Total income (loss)
from investment
operations......... (0.75) (2.47) (1.13) (1.47) (2.57) (0.02)
------- ------- ------- ------- ------- ------
Less distributions:
Dividends from net
investment income......... (0.05) (0.07) (0.06) (0.06) (0.06) (0.04)
------- ------- ------- ------- ------- ------
Net asset value, end of
period...................... $ 6.66 $ 7.46 $ 7.28 $ 8.47 $ 7.31 $ 9.94
======= ======= ======= ======= ======= ======
Total return (b).............. (10.11)% (24.78)% (13.37)% (14.70)% (25.88)% (0.20)%
Ratios net of fees reimbursed
by advisor (c):
Ratio of expenses to average
net assets (a)............ 1.00% 0.98% 0.99% 0.92% 1.00% 0.90%
Ratio of net investment
income to average net
assets (a)................ 2.90% 2.72% 3.05% 2.72% 2.72% 3.16%
Ratio assuming no fees
reimbursed by advisor:
Ratio of expenses to average
net assets (a)............ 2.07% 4.79% 1.14% 2.60% 1.13% 2.75%
Portfolio turnover rate....... 0% 1% 10% 0% 0% 0%
Net assets at end of period
(millions).................. $ 0.1 $ 0.2 $ 0.3 $ 0.3 $ 0.2 $ 0.2
<CAPTION>
PORTFOLIOS
--------------------------
DECEMBER (5)
--------------------------
FROM
SIX MONTHS DECEMBER 1,
ENDED 1999
JUNE 30, TO
2000 DECEMBER 31,
(UNAUDITED) 1999
----------- ------------
<S> <C> <C>
Per membership interest data:
Net asset value, beginning of
period...................... $ 10.00 $10.00
Income (loss) from investment
operations:
Net investment income....... 0.12 0.02
Net realized & unrealized
loss on investments....... (2.15) 0.00
------- ------
Total income (loss)
from investment
operations......... (2.03) 0.02
------- ------
Less distributions:
Dividends from net
investment income......... (0.06) (0.02)
------- ------
Net asset value, end of
period...................... $ 7.91 $10.00
======= ======
Total return (b).............. (20.31)% 0.17%
Ratios net of fees reimbursed
by advisor (c):
Ratio of expenses to average
net assets (a)............ 1.00% 0.69%
Ratio of net investment
income to average net
assets (a)................ 2.79% 2.27%
Ratio assuming no fees
reimbursed by advisor:
Ratio of expenses to average
net assets (a)............ 2.53% 2.43%
Portfolio turnover rate....... 0% 0%
Net assets at end of period
(millions).................. $ 0.2 $ 0.2
</TABLE>
---------------
(a) Annualized.
(b) Calculated on an aggregate basis (not annualized).
(c) The advisor has reimbursed certain operating expenses.
The accompanying notes are an integral part of these financial statements.
39
<PAGE> 41
THE DOW(SM) TARGET VARIABLE FUND LLC June 30, 2000 (Unaudited)
NOTES TO FINANCIAL STATEMENTS
(1) BASIS OF PRESENTATION AND SIGNIFICANT ACCOUNTING POLICIES
The Dow(SM) Target Variable Fund LLC is registered under the Investment
Company Act of 1940 as amended (the "1940 Act"), as a non-diversified,
open-end management investment company. It's "Dow 10" portfolios are twelve
non-diversified portfolios of the common stock of the ten companies in the
Dow Jones Industrial Average (SM) (the "Dow") having the highest dividend
yield as of the close of business on or about the last business day prior to
the beginning of each portfolio's annual term. Its "Dow 5" portfolios are
twelve non-diversified portfolios of commons stocks of the five Dow 10
companies having the lowest per-share stock prices as of the close of
business on or about the second last business day prior to the beginning of
each of those portfolios' annual term. The Fund's objective is to provide
above average total return through both capital appreciation and dividend
income.
The Fund is a limited liability company created under Ohio law. Its interest
are owned entirely by variable annuity separate accounts of The Ohio National
Life Insurance Company ("ONLI"). Fund interests are not offered directly to
the public. Fund interests are purchased by ONLI's separate accounts as an
investment option for their variable annuity contracts.
The following is a summary of significant accounting policies:
Dividends representing new investment income are normally distributed
quarterly. Any net realized capital gains are normally distributed annually.
However, the Board may declare dividends more often. Dividends and
distributions are automatically reinvested in additional interests in the
respective portfolios at net asset value without a sales charge.
Fund interests are sold to ONLI's variable annuity separate accounts without
a sales charge. They may be redeemed at their net asset value next computed
after the Fund receives a purchase or redemption order. The value of Fund
interests is based on the market value of the stocks and any other cash or
securities owned by each portfolio. This determination is made as of 4:00
p.m. Eastern time on each business day on which an order for purchase or
redemption is received and there is enough trading in portfolio securities to
materially affect the current net asset value of Fund interests. That is
normally each weekday (Monday through Friday) except for New Years Day,
Presidents Day, Good Friday, Memorial Day, Independence Day, Labor Day,
Thanksgiving Day and Christmas. The net asset value of each portfolio is
computed by dividing the value of that portfolio's securities plus any cash
or other assets, less the portfolio's liabilities, by the number of portfolio
interests outstanding.
Each portfolio may acquire repurchase agreements from member banks of the
Federal Reserve System which the Fund deems creditworthy under guidelines
approved by the Board of Managers, subject to the seller's agreement to
repurchase such securities at a mutually agreed upon date and price. The
repurchase price generally equals the price paid by the portfolio plus
interest negotiated on the basis of current short-term rates, which may be
more or less than the rate on the underlying portfolio securities. The
seller, under a repurchase agreement, is required to maintain as collateral
for the repurchase transaction securities in which the portfolio has a
perfected security interest with a value not less than 100% of the repurchase
price (including accrued interest). Securities subject to repurchase
agreements are held by the Fund's custodian or another qualified custodian or
in the Federal Reserve/Treasury book-entry system. Repurchase agreements are
considered to be loans by the portfolio under the 1940 Act.
The fund is a single member limited liability company taxed as a division of
the separate accounts of ONLI. Income and losses of the fund are included in
the taxable income or loss of the separate accounts of ONLI. Accordingly, no
provision for Federal income taxes has been made by the fund.
Expenses directly attributable to a portfolio are charged to that portfolio.
Expenses not directly attributed to a portfolio are allocated on the basis of
relative net assets.
The preparation of financial statements in conformity with generally accepted
accounting principles requires management to make estimates and assumptions
that affect the reported amounts of assets and liabilities and disclosure of
contingent assets and liabilities at the date of the financial statements and
the reported amounts of increases and decreases in net assets from operations
during the reporting period. Actual results could differ from those
estimates.
(continued)
40
<PAGE> 42
THE DOW(SM) TARGET VARIABLE FUND LLC June 30, 2000 (Unaudited)
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
The gross unrealized appreciation and depreciation on investments in each
portfolio as of June 30, 2000 were as follows:
<TABLE>
<CAPTION>
JAN. (10) FEB. (10) MARCH (10) APRIL (10) MAY (10) JUNE (10)
---------- ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C>
Gross unrealized:
Appreciation........................ $ 15,397 $ 68,910 $ 14,577 $ 0 $ 0 $ 0
Depreciation........................ (114,286) (146,348) (143,506) (274,348) (115,865) (181,883)
Net Unrealized:
Appreciation (Depreciation)......... (98,889) (77,437) (128,929) (274,348) (115,865) (181,883)
</TABLE>
<TABLE>
<CAPTION>
JULY (10) AUG. (10) SEPT. (10) OCT. (10) NOV. (10) DEC. (10)
---------- ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C>
Gross unrealized:
Appreciation........................ $ 0 $ 0 $ 2,420 $ 10,150 $ 2,220 $ 8,095
Depreciation........................ (205,310) (189,342) (178,930) (141666) (158,899) (97,176)
Net Unrealized:
Appreciation (Depreciation)......... (205,310) (189,342) (176,510) (131,515) (156,679) (89,081)
</TABLE>
<TABLE>
<CAPTION>
JAN. (5) FEB. (5) MARCH (5) APRIL (5) MAY (5) JUNE (5)
---------- ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C>
Gross unrealized:
Appreciation........................ $ 9,294 $ 12,816 $ 12,447 $ 9,155 $ 3,029 $ 0
Depreciation........................ (47,653) (19,657) (14,916) (26,605) (15,650) (10,139)
Net Unrealized:
Appreciation (Depreciation)......... (38,359) (6,841) (2,469) (17,450) (12,621) (10,139)
</TABLE>
<TABLE>
<CAPTION>
SEPT. (5) OCT. (5) NOV. (5) DEC. (5)
---------- ---------- ---------- ----------
<S> <C> <C> <C> <C>
Gross unrealized:
Appreciation........................ $ 0 $ 2,419 $ 2,698 $ 2,925
Depreciation........................ (58,409) (81,538) (62,491) (46,743)
Net Unrealized:
Appreciation (Depreciation)......... (58,409) (79,119) (59,793) (43,818)
</TABLE>
(2) INVESTMENT TRANSACTIONS
Purchases and sales of investment securities (excluding short-term
securities) for the 6 months ended June 30, 2000 were as follows:
<TABLE>
<CAPTION>
JAN. (10) FEB. (10) MARCH (10) APRIL (10) MAY (10) JUNE (10)
---------- ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C>
Stocks Purchases...................... $2,419,986 $1,478,260 $ 768,575 $ 777,554 $ 662,433 $ 645,272
Sales............................... 0 996,874 386,826 683,499 426,607 646,842
</TABLE>
<TABLE>
<CAPTION>
JULY (10) AUG. (10) SEPT. (10) OCT. (10) NOV. (10) DEC. (10)
---------- ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C>
Stocks
Purchases........................... $ 36,215 $ 25,206 $ 0 $ 0 $ 0 $ 112,852
Sales............................... 315,704 35,119 535,202 564,496 470,072 847,581
</TABLE>
<TABLE>
<CAPTION>
JAN. (5) FEB. (5) MARCH (5) APRIL (5) MAY (5) JUNE (5)
---------- ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C>
Stocks
Purchases........................... $ 244,015 $ 220,148 $ 207,086 $ 219,872 $ 193,499 $ 166,535
Sales............................... 0 42,978 14,939 0 0 0
</TABLE>
(continued)
41
<PAGE> 43
THE DOW(SM) TARGET VARIABLE FUND LLC June 30, 2000 (Unaudited)
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
<TABLE>
<CAPTION>
SEPT. (5) OCT. (5) NOV. (5) DEC. (5)
---------- ---------- ---------- ----------
<S> <C> <C> <C> <C>
Stocks
Purchases........................... $ 0 $ 52,618 $ 10,016 $ 0
Sales............................... 0 24,893 0 0
</TABLE>
(3) INVESTMENT ADVISORY AGREEMENT, SUB-ADVISORY AGREEMENTS AND TRANSACTIONS WITH
AFFILIATED PERSONS
The Fund's day-to-day investment management is the responsibility of its
investment adviser, Ohio National Investments, Inc. (the "Adviser"). The
Adviser is an Ohio corporation. It is a wholly owned subsidiary of ONLI and
its address is the same as those of the Fund and ONI. The Adviser and its
predecessors have been managing investment companies since 1970. All of the
Adviser's investment advisory personnel are also responsible for the
management of ONLI's assets.
For managing the Fund's assets, the Adviser receives a monthly management fee
based on the Fund's total net assets. This fee is calculated daily and is at
the annual rate of 0.60% of total net assets.
In addition to the fee paid to the Adviser, the Fund incurs other
miscellaneous expenses for legal and accounting services, registration and
filing fees, custodial services and shareholder services.
The Adviser contracts with First Trust Advisors LP ("First Trust") to serve
as sub-adviser to the Fund. First Trust manages the Fund's assets under the
Adviser's supervision. First Trust, an investment adviser to financial
institutions, is located at 1001 Warrenville Road in Lisle, Illinois. First
Trust has been managing Dow 10 strategies in unit investment trusts and other
investment companies since 1991.
First Trust has been granted a license by Dow Jones & Company, Inc. to use
certain copyright, trademark and proprietary rights and trade secrets of Dow
Jones. The Fund and ONLI have entered into agreements with First Trust giving
the Fund and ONLI permission to use and refer to the Dow Jones marks and
rights in connection with the Fund and ONLI's separate accounts.
For the service and rights provided by First Trust, the Adviser pays First
Trust a monthly sub-advisory fee based on the Fund's total net assets. This
fee is calculated daily and is at the annual rate of 0.35% of the Fund's
average daily assets.
The Fund's transfer agent and accounting agent is American Data Services,
Inc., 150 Motor Parkway, Hauppauge, New York. The Fund's custodian is Firstar
Bank, 425 Walnut Street, Cincinnati, Ohio.
(4) FUND INTERESTS
Fund interests transactions for the six months ended June 30, 2000 are as
follows:
<TABLE>
<CAPTION>
JAN. (10) FEB. (10) MARCH (10) APRIL (10) MAY (10) JUNE (10)
---------- ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C>
Capital shares issued on sales........ 240,738 143,367 65,534 73,935 56,235 52,698
Capital shares issued on Reinvested
dividends........................ 791 1,124 0 0 0 102
Capital shares redeemed............. 217,579 91,903 21,624 46,372 27,283 49,083
</TABLE>
<TABLE>
<CAPTION>
JULY (10) AUG. (10) SEPT. (10) OCT. (10) NOV. (10) DEC. (10)
---------- ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C>
Capital shares issued on sales........ 2,531 8,995 2,314 733 2,269 5,503
Capital shares issued on Reinvested
dividends........................ 486 475 924 832 713 650
Capital shares redeemed............. 22,516 13,981 69,679 72,846 61,177 94,849
</TABLE>
(continued)
42
<PAGE> 44
THE DOW(SM) TARGET VARIABLE FUND LLC June 30, 2000 (Unaudited)
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
<TABLE>
<CAPTION>
JAN. (5) FEB. (5) MARCH (5) APRIL (5) MAY (5) JUNE (5) SEPT. (5) OCT. (5)
--------- --------- ---------- ---------- -------- --------- ---------- ---------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Capital shares issued on
sales..................... 28,124 23,338 20,649 23,483 19,462 16,839 303 4,682
Capital shares issued on
Reinvested dividends... 175 104 54 0 0 0 156 240
Capital shares redeemed... 2,824 3,220 52 700 216 1 259 1,281
<CAPTION>
NOV. (5) DEC. (5)
--------- ---------
<S> <C> <C>
Capital shares issued on
sales..................... 558 22
Capital shares issued on
Reinvested dividends... 153 136
Capital shares redeemed... 367 869
</TABLE>
43
<PAGE> 45
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44
<PAGE> 46
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45
<PAGE> 47
THE DOW(SM) TARGET VARIABLE FUND LLC
P.O. Box 371
Cincinnati, Ohio 45201
Form 8561 REV. 8/00
