<PAGE> 1
THE DOW(SM) TARGET
VARIABLE FUND LLC
ANNUAL REPORT
DECEMBER 31, 1999
[LOGO-OHIO NATIONAL FINANCIAL SERVICES]
<PAGE> 2
PRESIDENT'S
MESSAGE
[John J. Palmer Photo]
Dear Investor:
First, I want to thank you for being an investor in the Dow(SM) Target
Variable Fund. All of us appreciate your support.
We introduced the Dow(SM) Target Variable Fund in January, 1999 and have been
pleased to welcome you into this strategy of investment. Ohio National's Dow(SM)
Target 10 was introduced in January, and the Dow(SM) Target 5 was introduced in
September.
The "Dogs" Strategy
The strategy of the Dow(SM) Target 10 is to invest in the 10 highest
dividend-yielding stocks of the Dow Jones Industrial Average (DJIA) and seek to
outperform the DJIA over time. These 10 stocks are commonly called the "dogs" of
The Dow(SM) because their share values are lower compared to the dividends these
blue chip companies are paying. In other words, even their attractive dividend
payments are not attracting enough stock purchases to elevate the stock price.
Investing in the 10 "dogs" of The Dow(SM) amounts to a moderately contrarian
strategy.
While Ohio National's Dow(SM) Target 10 includes the 10 highest
dividend-yielding stocks, the Dow(SM) Target 5 consists of the five least
expensive of those stocks in the Target 10.
Ohio National's Dow(SM) Target Variable Fund includes 12 Target 10 portfolios
invested in the "dogs" of The Dow(SM), and 12 Target 5 portfolios. Each
portfolio is named for a month. On or about the first business day of the month,
the portfolio named for that month invests substantially all of its assets in
either the 10 "dogs" or the five lowest priced of those 10 stocks as determined
at the close of the second-to-last business day of the preceding month. Fund
management then sets the proportionate relationships among the stocks in that
portfolio for the next 12 months. For example, the stocks held in the January
portfolio are maintained in the same relative proportions until the end of
December. Those in the February portfolio are held until the end of the next
January, etc.
The Year in General
The past year was one of unfulfilled expectation for the Dow(SM) Target
strategies. In general, a broader stock market rally held hopes of solid
returns, especially during late March and April when value stocks such as Alcoa
and Cummins Engine briefly pulled headlines from the technology sector.
Unfortunately, value stocks did not continue to rally and had a disappointing
third and fourth quarter.
This was surprising in light of three interest rate hikes by the Fed.
Generally speaking, a rising interest rate environment is good for value
investing and poor for growth investing as the cost of capital increases.
Additionally, the increasing volatility in the growth sectors of the market
(technology, biotechnology, etc.) was a concern for some, but did not lead to a
general abandonment of these areas and a flight to more conservative stocks.
The year 2000 should prove to be interesting for the stock market. The Fed
continues to point towards potential interest rate increases and the volatility
of the market in January was significant. While 1999 has proven that these
events do not guarantee a movement toward value investing, it is true that
historically these have been signs of weakness for growth stocks. We believe
that the Dow(SM) Target strategy has been tested over time and is still a viable
part of an investment portfolio.
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.
1
<PAGE> 3
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 endeavors. 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
George E. Castrucci, Manager
Ross Love, Manager
George M. Vredeveld, Manager
Thomas A. Barefield, Vice President
Michael A. Boedeker, Vice President
Dennis R. Taney, Treasurer
William J. Hilbert, Jr., Compliance Director and
Assistant Treasurer
2
<PAGE> 4
THE DOW(SM) TARGET VARIABLE FUND LLC
DOW(SM) TARGET 10 -- JANUARY PORTFOLIO
OBJECTIVE
The Dow(SM) Target 10 Portfolios seeks 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 DECEMBER 31, 1999
TOTAL RETURN:
<TABLE>
<S> <C>
January
Since inception (1/4/99) 2.88%
</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 (SINCE INCEPTION 1/4/99) DJIA (12 MONTHS)
- ----------------------------------- ----------------
<S> <C>
2.88% 27.50%
</TABLE>
COMMENTS
Since its inception on 1/4/99, the Dow(SM) Target 10 January portfolio returned
2.88% versus 27.50% for the Dow Jones Industrial Average. J.P. Morgan & Co. Inc.
was the best performing stock for the 12-month period while Phillip Morris 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 DECEMBER 31, 1999
<TABLE>
<CAPTION>
MARKET
SHARES COMMON STOCK VALUE %
- ---------------------------------------------------------------
<C> <S> <C> <C>
975 Caterpillar Inc. (4)................ $ 45,886 10.0
527 Chevron Corp. (6)................... 45,651 9.9
777 Delphi Automotive Systems (1) (a)... 12,238 2.7
799 E.I. Du Pont de Nemours and Co.
(2)................................ 52,634 11.4
613 Eastman Kodak Company (8)........... 40,611 8.8
436 General Motors Corp. (1)............ 31,692 6.9
1,013 International Paper Company (7)..... 57,171 12.4
484 J.P. Morgan & Co. Inc. (5).......... 61,287 13.3
603 Minnesota Mining and Manufacturing
Co. (3)............................ 59,019 12.8
816 Phillip Morris Companies Inc.
(10)............................... 18,921 4.1
887 The Goodyear Tire & Rubber Company
(9)................................ 25,002 5.4
-------- -----
TOTAL COMMON STOCK (COST
$452,544).......................... $450,112 97.9
======== =====
</TABLE>
<TABLE>
<CAPTION>
FACE MARKET
AMOUNT REPURCHASE AGREEMENTS VALUE %
- ---------------------------------------------------------------
<C> <S> <C> <C>
$6,000 Firstar Bank 1.00% due 01/03/00
repurchase price $6,000
collateralized by GNMA certificates
pool# 8375 due 02/20/24 (cost
$6,000)............................ $ 6,000 1.3
-------- -----
TOTAL REPURCHASE AGREEMENTS (COST
$6,000)............................ $ 6,000 1.3
-------- -----
TOTAL HOLDINGS (COST $458,544)...... $456,112 99.2
-------- -----
--------
CASH & RECEIVABLES, NET OF
LIABILITIES........................ 3,821 0.8
-------- -----
TOTAL NET ASSETS.................... $459,933 100.0
======== =====
</TABLE>
INDUSTRIES
<TABLE>
<C> <S> <C>
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
3
<PAGE> 5
THE DOW(SM) TARGET VARIABLE FUND LLC
DOW(SM) TARGET 10 -- FEBRUARY PORTFOLIO
OBJECTIVE
The Dow(SM) Target 10 Portfolios seeks 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 DECEMBER 31, 1999
TOTAL RETURN:
<TABLE>
<S> <C>
February
Since inception (2/1/99) 6.37%
</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 (SINCE INCEPTION 2/1/99) DJIA (11 MONTHS)
- ------------------------------------ ----------------
<S> <C>
6.37% 24.92%
</TABLE>
COMMENTS
Since its inception on 2/1/99, the Dow(SM) Target 10 February portfolio returned
6.37% versus 24.92% for the Dow Jones Industrial Average. International Paper
Co. was the best performing stock for the 11-month period while Phillip Morris
lost the most ground.
SCHEDULE OF INVESTMENTS DECEMBER 31, 1999
<TABLE>
<CAPTION>
MARKET
SHARES COMMON STOCK VALUE %
- ---------------------------------------------------------------
<C> <S> <C> <C>
2,441 Caterpillar Inc. (3)............. $ 114,880 9.9
1,433 Chevron Corp. (6)................ 124,134 10.7
2,061 E.I. Du Pont de Nemours and Co.
(1)............................. 135,768 11.7
1,708 Eastman Kodak Company (9)........ 113,155 9.7
1,529 Exxon Corporation (7)............ 123,180 10.6
2,704 International Paper Company
(8)............................. 152,607 13.1
1,037 J.P. Morgan & Co. Inc. (4)....... 131,310 11.3
1,432 Minnesota Mining and
Manufacturing Co. (2)........... 140,157 12.0
2,231 Phillip Morris Companies Inc.
(9)............................. 51,731 4.5
2,206 The Goodyear Tire & Rubber
Company (9)..................... 62,182 5.4
---------- -----
TOTAL COMMON STOCK (COST
$1,106,814)..................... $1,149,104 98.9
========== =====
</TABLE>
<TABLE>
<CAPTION>
FACE MARKET
AMOUNT REPURCHASE AGREEMENTS VALUE %
- ---------------------------------------------------------------
<C> <S> <C> <C>
$9,000 Firstar Bank 1.00% due 01/03/00
repurchase price $9,000
collateralized by GNMA
certificates pool# 8375 due
02/20/24 (cost $9,000)........... $ 9,000 0.8
---------- -----
TOTAL REPURCHASE AGREEMENTS (COST
$9,000).......................... $ 9,000 0.8
---------- -----
TOTAL HOLDINGS (COST
$1,115,814)...................... $1,158,104 99.7
---------- -----
CASH & RECEIVABLES, NET OF
LIABILITIES...................... 3,628 0.3
---------- -----
TOTAL NET ASSETS.................. $1,161,732 100.0
========== =====
</TABLE>
INDUSTRIES
<TABLE>
<C> <S> <C>
1. Chemicals
2. Manufacturing
3. Machinery
4. Banks
5. Oil, Energy, and Natural Gas
6. Paper & Related
7. Photo Equipment
8. Rubber and Tires
9. Tobacco
</TABLE>
4
<PAGE> 6
THE DOW(SM) TARGET VARIABLE FUND LLC
DOW(SM) TARGET 10 -- MARCH PORTFOLIO
OBJECTIVE
The Dow(SM) Target 10 Portfolios seeks 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 DECEMBER 31, 1999
TOTAL RETURN:
<TABLE>
<S> <C>
March
Since inception (3/1/99) 1.96%
</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>
MARCH 10 (SINCE INCEPTION 3/1/99) DJIA (10 MONTHS)
- --------------------------------- ----------------
<S> <C>
1.96% 24.89%
</TABLE>
COMMENTS
Since its inception on 3/1/99, the Dow(SM) Target 10 March portfolio returned
1.96% versus 24.89% for the Dow Jones Industrial Average. Minnesota Mining and
Manufacturing Co. was the best performing stock for the 10-month period while
Phillip Morris 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 DECEMBER 31, 1999
<TABLE>
<CAPTION>
MARKET
SHARES COMMON STOCK VALUE %
- ------ ---------------------------------- ---------- -----
<C> <S> <C> <C>
2,135 Caterpillar Inc. (4).............. $ 100,478 9.9
1,238 Chevron Corp. (6)................. 107,242 10.5
1,164 Delphi Automotive Systems (1)
(a).............................. 18,333 1.8
1,833 E.I. Du Pont de Nemours and Co.
(2).............................. 120,749 11.9
1,459 Eastman Kodak Company (8)......... 96,659 9.5
1,449 Exxon Corporation (6)............. 116,735 11.5
1,166 General Motors Corp. (1).......... 84,753 8.3
867 J.P. Morgan & Co. Inc. (5)........ 109,784 10.8
1,295 Minnesota Mining and Manufacturing
Co. (3).......................... 126,748 12.5
2,431 Phillip Morris Companies Inc.
(10)............................. 56,369 5.5
2,103 The Goodyear Tire & Rubber Company
(9).............................. 59,278 5.8
---------- -----
TOTAL COMMON STOCK (COST
$1,048,567)...................... $ 997,128 98.0
========== =====
</TABLE>
<TABLE>
<CAPTION>
FACE MARKET
AMOUNT REPURCHASE AGREEMENTS VALUE %
- ---------------------------------------------------------------
<C> <S> <C> <C>
$20,000 Firstar Bank 1.00% due 01/03/00
repurchase price $20,000
collateralized by GNMA
certificates pool# 8375 due
02/20/24 (cost $20,000)......... $ 20,000 2.0
---------- -----
TOTAL REPURCHASE AGREEMENTS (COST
$20,000)........................ $ 20,000 2.0
---------- -----
TOTAL HOLDINGS (COST
$1,068,567)..................... $1,017,128 100.0
---------- -----
LIABILITIES, NET OF CASH &
RECEIVABLES..................... (190) (0.0)
---------- -----
TOTAL NET ASSETS................. $1,016,938 100.0
========== =====
</TABLE>
INDUSTRIES
<TABLE>
<C> <S> <C>
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
5
<PAGE> 7
THE DOW(SM) TARGET VARIABLE FUND LLC
DOW(SM) TARGET 10 -- APRIL PORTFOLIO
OBJECTIVE
The Dow(SM) Target 10 Portfolios seeks 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 DECEMBER 31, 1999
TOTAL RETURN:
<TABLE>
<S> <C>
April
Since inception (4/1/99) 2.50%
</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 (SINCE INCEPTION 4/1/99) DJIA (9 MONTHS)
- --------------------------------- ---------------
<S> <C>
2.5% 18.29%
</TABLE>
COMMENTS
Since its inception on 4/1/99, the Dow(SM) Target 10 April portfolio returned
2.50% versus 18.29% for the Dow Jones Industrial Average. Minnesota Mining and
Manufacturing Co. was the best performing stock for the 9-month period while The
Goodyear Tire & Rubber Co. lost the most ground.
SCHEDULE OF INVESTMENTS DECEMBER 31, 1999
<TABLE>
<CAPTION>
MARKET
SHARES COMMON STOCK VALUE %
- ----------------------------------------------------------------
<C> <S> <C> <C>
2,987 Caterpillar Inc. (3)............. $ 140,576 11.2
1,575 Chevron Corp. (6)................ 136,434 10.9
2,417 E.I. Du Pont de Nemours and Co.
(1)............................. 159,220 12.7
2,161 Eastman Kodak Company (7)........ 143,166 11.4
1,966 Exxon Corporation (5)............ 158,386 12.6
3,317 International Paper Company
(6)............................. 187,203 14.9
1,118 J.P. Morgan & Co. Inc. (4)....... 141,567 11.3
1,996 Minnesota Mining and
Manufacturing Co. (2)........... 195,359 15.4
3,714 Phillip Morris Companies Inc.
(9)............................. 86,118 6.8
2,857 The Goodyear Tire & Rubber
Company (8)..................... 80,532 6.4
---------- ------
TOTAL COMMON STOCK (COST
$1,591,680)..................... $1,428,561 113.6
========== ======
</TABLE>
<TABLE>
<CAPTION>
FACE MARKET
AMOUNT REPURCHASE AGREEMENTS VALUE %
- ---------------------------------------------------------------
<C> <S> <C> <C>
$36,000 Firstar Bank 1.00% due 01/03/00
repurchase price $36,000
collateralized by GNMA
certificates pool# 8375 due
02/20/24 (cost $36,000)......... $ 36,000 2.9
---------- -----
TOTAL REPURCHASE AGREEMENTS (COST
$36,000)........................ $ 36,000 2.9
---------- -----
TOTAL HOLDINGS (COST
$1,627,680)..................... $1,464,561 116.5
---------- -----
LIABILITIES, NET OF CASH &
RECEIVABLES..................... (207,898) (16.5)
---------- -----
TOTAL NET ASSETS................. $1,256,663 100.0
========== =====
</TABLE>
INDUSTRIES
<TABLE>
<C> <S> <C>
1. Chemicals
2. Manufacturing
3. Machinery
4. Banks
5. Oil, Energy, and Natural Gas
6. Paper & Related
7. Photo Equipment
8. Rubber and Tires
9. Tobacco
</TABLE>
6
<PAGE> 8
THE DOW(SM) TARGET VARIABLE FUND LLC
DOW(SM) TARGET 10 -- MAY PORTFOLIO
OBJECTIVE
The Dow(SM) Target 10 Portfolios seeks 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 DECEMBER 31, 1999
TOTAL RETURN:
<TABLE>
<S> <C>
May
Since inception (5/3/99) -16.14%
</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 (SINCE INCEPTION 5/3/99) DJIA (8 MONTHS)
- ------------------------------- ---------------
<S> <C>
- -15.14% 5.55%
</TABLE>
COMMENTS
Since its inception on 5/3/99, the Dow(SM) Target 10 May portfolio lost 16.14%
versus a 5.55% gain for the Dow Jones Industrial Average. Minnesota Mining and
Manufacturing Co. was the best performing stock for the 8-month period while The
Goodyear Tire & Rubber Co. lost the most ground. The May 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 DECEMBER 31, 1999
<TABLE>
<CAPTION>
MARKET
SHARES COMMON STOCK VALUE %
- ---------------------------------------------------------------
<C> <S> <C> <C>
827 Chevron Corp. (6)................... $ 71,639 10.0
952 Delphi Automotive Systems (1) (a)... 14,994 2.1
1,177 E.I. Du Pont de Nemours and Co.
(2)................................ 77,535 10.8
1,108 Eastman Kodak Company (7)........... 73,405 10.2
1,011 Exxon Corporation (6)............... 81,449 11.4
951 General Motors Corp. (1)............ 69,126 9.6
620 J.P. Morgan & Co. Inc. (5).......... 78,508 10.9
1,000 Minnesota Mining and Manufacturing
Co. (3)............................ 97,875 13.6
2,432 Phillip Morris Companies Inc. (9)... 56,392 7.9
2,025 Sears, Roebuck & Company (4)........ 61,636 8.6
1,522 The Goodyear Tire & Rubber Company
(8)................................ 42,901 6.0
-------- -----
TOTAL COMMON STOCK (COST
$855,216).......................... $725,460 101.1
-------- -----
TOTAL HOLDINGS (COST $855,216)...... $725,460 101.1
-------- -----
LIABILITIES, NET OF CASH &
RECEIVABLES........................ (8,178) (1.1)
-------- -----
TOTAL NET ASSETS.................... $717,282 100.0
======== =====
</TABLE>
INDUSTRIES
<TABLE>
<C> <S> <C>
1. Automobiles
2. Chemicals
3. Manufacturing
4. Retail
5. Banks
6. Oil, Energy, and Natural Gas
7. Photo Equipment
8. Rubber and Tires
9. Tobacco
</TABLE>
- ---------------
(a) .6987:1 Spin-off of General Motors on 4/12/99
7
<PAGE> 9
THE DOW(SM) TARGET VARIABLE FUND LLC
DOW(SM) TARGET 10 -- JUNE PORTFOLIO
OBJECTIVE
The Dow(SM) Target 10 Portfolios seeks 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 DECEMBER 31, 1999
TOTAL RETURN:
<TABLE>
<S> <C>
June
Since inception (6/1/99) -9.57%
</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 (6/1/99) DJIA (7 MONTH)
- ---------------- --------------
<S> <C>
- -9.57% 9.47%
</TABLE>
COMMENTS
Since its inception on 6/1/99, the Dow(SM) Target 10 June portfolio lost 9.57%
versus a gain of 9.47% for the Dow Jones Industrial Average. Minnesota Mining
and Manufacturing Co. was the best performing stock for the 7-month period while
The Goodyear Tire & Rubber Co. lost the most ground.
SCHEDULE OF INVESTMENTS DECEMBER 31, 1999
<TABLE>
<CAPTION>
MARKET
SHARES COMMON STOCK VALUE %
- ----------------------------------------------------------------
<C> <S> <C> <C>
2,381 Caterpillar Inc. (4)............. $ 112,056 9.7
1,420 Chevron Corp. (6)................ 123,008 10.6
2,011 E.I. Du Pont de Nemours and Co.
(2)............................. 132,475 11.4
1,924 Eastman Kodak Company (7)........ 127,465 11.0
1,668 Exxon Corporation (6)............ 134,378 11.6
1,854 General Motors Corp. (1)......... 134,763 11.7
971 J.P. Morgan & Co. Inc. (5)....... 122,953 10.6
1,544 Minnesota Mining and
Manufacturing Co. (3)........... 151,119 13.1
3,414 Phillip Morris Companies Inc.
(9)............................. 79,162 6.8
2,296 The Goodyear Tire & Rubber
Company (8)..................... 64,718 5.6
---------- -----
TOTAL COMMON STOCK (COST
$1,339,941)..................... $1,182,097 102.1
========== =====
</TABLE>
<TABLE>
<CAPTION>
FACE MARKET
AMOUNT REPURCHASE AGREEMENTS VALUE %
- ----------------------------------------------------------------
<C> <S> <C> <C>
$280,000 Firstar Bank 1.00% due 01/03/00
repurchase price $5,000
collateralized by GNMA
certificates pool# 8375 due
02/20/24 (cost $5,000).......... $ 5,000 0.4
---------- -----
TOTAL REPURCHASE AGREEMENTS (COST
$5,000)......................... $ 5,000 0.4
---------- -----
TOTAL HOLDINGS (COST
$1,344,941)..................... $1,187,097 102.5
---------- -----
LIABILITIES, NET OF CASH &
RECEIVABLES..................... (29,169) (2.5)
---------- -----
TOTAL NET ASSETS................. $1,157,928 100.0
========== =====
</TABLE>
INDUSTRIES
<TABLE>
<C> <S> <C>
1. Automobiles
2. Chemicals
3. Manufacturing
4. Retail
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 -- JULY PORTFOLIO
OBJECTIVE
The Dow(SM) Target 10 Portfolios seeks 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 DECEMBER 31, 1999
TOTAL RETURN:
<TABLE>
<S> <C>
July
Since inception (1/4/99) -10.90%
</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 (6 MONTH)
- ---------------- --------------
<S> <C>
- -10.9% 4.69%
</TABLE>
COMMENTS
Since its inception on 7/1/99, the Dow(SM) Target 10 July portfolio lost 10.90%
versus a gain of 4.69% for the Dow Jones Industrial Average. General Motors
Corp. was the best performing stock for the 6-month period while The Goodyear
Tire & Rubber Co. lost the most ground.
SCHEDULE OF INVESTMENTS DECEMBER 31, 1999
<TABLE>
<CAPTION>
MARKET
SHARES COMMON STOCK VALUE %
- ---------------------------------------------------------------
<C> <S> <C> <C>
1,833 Caterpillar Inc. (4).............. $ 86,266 8.7
1,197 Chevron Corp (6).................. 103,690 10.5
1,654 E.I. Du Pont de Nemours and Co.
(2).............................. 108,957 11.0
1,621 Eastman Kodak Company (7)......... 107,391 10.8
1,463 Exxon Mobil Corp (6).............. 117,863 11.9
1,756 General Motors Corp. (1).......... 127,639 12.9
1,955 Goodyear Tire & Rubber (8)........ 55,107 5.6
829 J.P. Morgan & Co. Inc. (5)........ 104,972 10.6
1,293 Minnesota Mining and Manufacturing
Co. (3).......................... 126,553 12.8
2,800 Phillip Morris Companies
Inc.(9).......................... 64,925 6.6
---------- -----
TOTAL COMMON STOCK (COST
$1,130,749)...................... $1,003,363 101.4
---------- -----
TOTAL HOLDINGS (COST
$1,130,749)...................... $1,003,363 101.4
---------- -----
LIABILITIES, NET OF CASH &
RECEIVABLES...................... (13,388) (1.4)
---------- -----
TOTAL NET ASSETS.................. $ 989,975 100.0
========== =====
</TABLE>
INDUSTRIES
<TABLE>
<C> <S> <C>
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>
9
<PAGE> 11
THE DOW(SM) TARGET VARIABLE FUND LLC
DOW(SM) TARGET 10 -- AUGUST PORTFOLIO
OBJECTIVE
The Dow(SM) Target 10 Portfolios seeks 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 DECEMBER 31, 1999
TOTAL RETURN:
<TABLE>
<S> <C>
August
Since inception (1/4/99) -10.37%
</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 (5 MONTH)
- ------------------ --------------
<S> <C>
- -10.37% 6.77%
</TABLE>
COMMENTS
Since its inception on 8/2/99, the Dow(SM) Target 10 August portfolio lost
10.37% versus a gain of 8.77% for the Dow Jones Industrial Average. General
Motors Corp. was the best performing stock for the 5-month period while The
Goodyear Tire & Rubber Co. lost the most ground.
SCHEDULE OF INVESTMENTS DECEMBER 31, 1999
<TABLE>
<CAPTION>
MARKET
SHARES COMMON STOCK VALUE %
- ---------------------------------------------------------------
<C> <S> <C> <C>
1,568 Caterpillar Inc. (3)................ $ 73,794 9.2
1,010 Chevron Corp (5).................... 87,492 10.9
1,328 Eastman Kodak Company (6)........... 87,980 10.9
1,185 Exxon Mobil Corp (5)................ 95,467 11.9
1,444 General Motors Corp. (1)............ 104,961 13.0
1,733 Goodyear Tire & Rubber (7).......... 48,849 6.1
706 J.P. Morgan & Co. Inc. (4).......... 89,397 11.1
1,015 Minnesota Mining and Manufacturing
Co. (2) 99,343 12.3
2,487 Phillip Morris Companies Inc. (9)... 57,667 7.1
2,243 Sears, Roebuck & Co (8)............. 68,271 8.5
-------- -----
TOTAL COMMON STOCK (COST
$937,776).......................... $813,221 101.0
-------- -----
TOTAL HOLDINGS (COST $937,776)...... $813,221 101.0
-------- -----
LIABILITIES, NET OF CASH &
RECEIVABLES........................ (7,999) (1.0)
-------- -----
TOTAL NET ASSETS.................... $805,222 100.0
======== =====
</TABLE>
INDUSTRIES
<TABLE>
<C> <S> <C>
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>
10
<PAGE> 12
THE DOW(SM) TARGET VARIABLE FUND LLC
DOW(SM) TARGET 10 -- SEPTEMBER PORTFOLIO
OBJECTIVE
The Dow(SM) Target 10 Portfolios seeks 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 DECEMBER 31, 1999
TOTAL RETURN:
<TABLE>
<S> <C>
September
Since inception (1/4/99) -11.65%
</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>
SEPTEMBER 10 (9/1/99) DJIA (4 MONTH)
- --------------------- --------------
<S> <C>
- -11.65% 5.66%
</TABLE>
COMMENTS
Since its inception on 9/1/99, the Dow(SM) Target 10 September portfolio lost
11.65% versus a gain of 5.66% for the Dow Jones Industrial Average. General
Motors Corp. was the best performing stock for the 4-month period while The
Goodyear Tire & Rubber Co. lost the most ground.
SCHEDULE OF INVESTMENTS DECEMBER 31, 1999
<TABLE>
<CAPTION>
MARKET
SHARES COMMON STOCK VALUE %
- ---------------------------------------------------------------
<C> <S> <C> <C>
2,863 Caterpillar Inc. (4).............. $ 134,740 9.2
1,865 Chevron Corp (6).................. 161,556 11.0
2,575 E.I. Du Pont de Nemours and Co.
(2).............................. 169,628 11.6
2,263 Eastman Kodak Company (7)......... 149,924 10.2
2,622 General Motors Corp. (1).......... 190,587 13.0
3,178 Goodyear Tire & Rubber (8)........ 89,580 6.1
1,302 J.P. Morgan & Co. Inc. (5)........ 164,866 11.2
1,787 Minnesota Mining and Manufacturing
Co. (3).......................... 174,903 11.9
4,510 Phillip Morris Companies Inc. (10) 104,574 7.1
4,311 Sears, Roebuck & Co (9)........... 131,216 8.9
---------- -----
TOTAL COMMON STOCK (COST
$1,604,271)...................... $1,471,574 100.2
---------- -----
TOTAL HOLDINGS (COST
$1,604,271)...................... $1,471,574.. 100.2
---------- -----
LIABILITIES, NET OF CASH &
RECEIVABLES...................... (3,932) (0.2)
---------- -----
TOTAL NET ASSETS.................. $1,467,642 100.0
========== =====
</TABLE>
INDUSTRIES
<TABLE>
<C> <S> <C>
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 -- OCTOBER PORTFOLIO
OBJECTIVE
The Dow(SM) Target 10 Portfolios seeks 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 DECEMBER 31, 1999
TOTAL RETURN:
<TABLE>
<S> <C>
October
Since inception (1/4/99) -7.33%
</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 (3 MONTH)
- -------------------- --------------
<S> <C>
- -7.33% 12.31%
</TABLE>
COMMENTS
Since its inception on 10/1/99, the Dow(SM) Target 10 October portfolio lost
7.33% versus a gain of 12.31% for the Dow Jones Industrial Average. General
Motors Corp. was the best performing stock for the 3-month period while The
Goodyear Tire & Rubber Co. lost the most ground.
SCHEDULE OF INVESTMENTS DECEMBER 31, 1999
<TABLE>
<CAPTION>
MARKET
SHARES COMMON STOCK VALUE %
- ---------------------------------------------------------------
<C> <S> <C> <C>
2,634 Caterpillar Inc. (4).............. $ 123,962 8.9
1,632 Chevron Corp (6).................. 141,372 10.1
2,373 E.I. Du Pont de Nemours and Co.
(2).............................. 156,321 11.2
1,949 Eastman Kodak Company (7)......... 129,121 9.3
2,299 General Motors Corp. (1).......... 167,109 12.0
3,086 Goodyear Tire & Rubber (8)........ 86,987 6.2
1,270 J.P. Morgan & Co. Inc. (5)........ 160,814 11.5
1,530 Minnesota Mining and Manufacturing
Co. (3).......................... 149,749 10.7
4,178 Phillip Morris Companies Inc.
(10)............................. 96,877 6.9
4,807 Sears, Roebuck & Co (9)........... 146,313 10.5
---------- -----
TOTAL COMMON STOCK (COST
$1,438,514)...................... $1,358,625 97.3
========== =====
</TABLE>
<TABLE>
<CAPTION>
FACE MARKET
AMOUNT REPURCHASE AGREEMENTS VALUE %
- ---------------------------------------------------------------
<C> <S> <C> <C>
$34,000 Firstar Bank 1.00% due 01/03/00
repurchase price $34,000
collateralized by GNMA
certificates pool# 8375 due
02/20/24 (cost $34,000)......... $ 34,000 2.4
---------- -----
TOTAL REPURCHASE AGREEMENTS (COST
$34,000)........................ $ 34,000 2.4
---------- -----
TOTAL HOLDINGS (COST
$1,472,514)..................... $1,392,625 99.7
---------- -----
CASH & RECEIVABLES, NET OF
LIABILITIES..................... 3,529 0.3
---------- -----
TOTAL NET ASSETS................. $1,396,154 100.0
========== =====
</TABLE>
INDUSTRIES
<TABLE>
<C> <S> <C>
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>
12
<PAGE> 14
THE DOW(SM) TARGET VARIABLE FUND LLC
DOW(SM) TARGET 10 -- NOVEMBER PORTFOLIO
OBJECTIVE
The Dow(SM) Target 10 Portfolios seeks 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 DECEMBER 31, 1999
TOTAL RETURN:
<TABLE>
<S> <C>
November
Since inception (1/4/99) 1.13%
</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.
<TABLE>
<CAPTION>
NOVEMBER 10 (11/1/99) DJIA (2 MONTH)
- --------------------- --------------
<S> <C>
1.13% 8.30%
</TABLE>
COMMENTS
Since its inception on 11/1/99, the Dow(SM) Target 10 November portfolio gained
1.13% versus a gain of 8.30% for the Dow Jones Industrial Average. International
Paper Co. was the best performing stock for the 2-month period while Caterpillar
Inc. lost the most ground.
SCHEDULE OF INVESTMENTS DECEMBER 31, 1999
<TABLE>
<CAPTION>
MARKET
SHARES COMMON STOCK VALUE %
- ----------------------------------------------------------------
<C> <S> <C> <C>
2,799 AT&T Corp. (9)................... $ 142,049 10.6
2,359 Caterpillar Inc. (4)............. 111,020 8.3
2,019 E.I. Du Pont de Nemours and Co.
(2)............................. 133,002 10.0
1,873 Eastman Kodak Company (8)........ 124,086 9.3
1,766 Exxon Corporation (6)............ 142,273 10.7
1,903 General Motors Corp. (1)......... 138,324 10.3
2,667 International Paper Co. (7)...... 150,519 11.3
974 J.P. Morgan & Co. Inc. (5)....... 123,333 9.2
1,333 Minnesota Mining and
Manufacturing Co. (3)........... 130,467 9.8
4,931 Phillip Morris Companies Inc.
(10) 114,338 8.6
---------- -----
TOTAL COMMON STOCK (COST
$1,314,123)..................... $1,309,411 98.1
========== =====
</TABLE>
<TABLE>
<CAPTION>
FACE MARKET
AMOUNT REPURCHASE AGREEMENTS VALUE %
- ----------------------------------------------------------------
<C> <S> <C> <C>
$192,000 Firstar Bank 1.00% due 01/03/00
repurchase price $72,000
collateralized by GNMA
certificates pool# 8375 due
02/20/24 (cost $72,000)......... $ 72,000 5.4
---------- -----
TOTAL REPURCHASE AGREEMENTS (COST
$72,000)........................ $ 72,000 5.4
---------- -----
TOTAL HOLDINGS (COST
$1,386,123)..................... $1,381,411 103.5
---------- -----
LIABILITIES, NET OF CASH &
RECEIVABLES .................... (46,649) (3.5)
---------- -----
TOTAL NET ASSETS................. $1,334,762 100.0
========== =====
</TABLE>
INDUSTRIES
<TABLE>
<C> <S> <C>
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 10 -- DECEMBER PORTFOLIO
OBJECTIVE
The Dow(SM) Target 10 Portfolios seeks 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 DECEMBER 31, 1999
TOTAL RETURN:
<TABLE>
<S> <C>
December
Since inception (1/4/99) 0.17%
</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 (1 MONTH)
- --------------------- --------------
<S> <C>
0.17% 4.64%
</TABLE>
COMMENTS
Since its inception on 12/1/99, the Dow(SM) Target 10 December portfolio
returned 0.17% versus 4.64% for the Dow Jones Industrial Average. International
Paper Co. was the best performing stock for the month of December while
Caterpillar Inc. lost the most ground.
SCHEDULE OF INVESTMENTS DECEMBER 31, 1999
<TABLE>
<CAPTION>
MARKET
SHARES COMMON STOCK VALUE %
- ----------------------------------------------------------------
<C> <S> <C> <C>
2,567 Caterpillar Inc. (4)............. $ 120,809 8.2
2,199 E.I. Du Pont de Nemours and Co.
(2)............................. 144,859 9.8
2,039 Eastman Kodak Company (8)........ 135,084 9.2
1,925 Exxon Corporation (6)............ 155,083 10.5
2,071 General Motors Corp. (1)......... 150,536 10.2
2,902 International Paper Co. (7)...... 163,782 11.1
1,059 J.P. Morgan & Co. Inc. (5)....... 134,096 9.1
1,450 Minnesota Mining and
Manufacturing Co. (3) 141,919 9.6
5,369 Phillip Morris Companies Inc.
(10)............................ 124,494 8.5
3,246 SBC Communications, Inc. (9)..... 158,242 10.7
---------- -----
TOTAL COMMON STOCK (COST
$1,419,279)..................... $1,428,904 96.9
========== =====
</TABLE>
<TABLE>
<CAPTION>
FACE MARKET
AMOUNT REPURCHASE AGREEMENTS VALUE %
- ----------------------------------------------------------------
<C> <S> <C> <C>
$192,000 Firstar Bank 1.00% due 01/03/00
repurchase price $192,000
collateralized by GNMA
certificates pool# 8375 due
02/20/24 (cost $192,000)........ $ 192,000 13.0
---------- -----
TOTAL REPURCHASE AGREEMENTS (COST
$192,000)....................... $ 192,000 13.0
---------- -----
TOTAL HOLDINGS (COST
$1,611,279)..................... $1,620,904 109.9
---------- -----
LIABILITIES, NET OF CASH &
RECEIVABLES..................... (146,923) (9.9)
---------- -----
TOTAL NET ASSETS................. $1,473,981 100.0
========== =====
</TABLE>
INDUSTRIES
<TABLE>
<C> <S> <C>
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>
14
<PAGE> 16
THE DOW(SM) TARGET VARIABLE FUND LLC
DOW(SM) TARGET 5 -- SEPTEMBER PORTFOLIO
OBJECTIVE
The Dow(SM) Target 5 Portfolios seeks 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 DECEMBER 31, 1999
TOTAL RETURN:
<TABLE>
<S> <C>
September
Since inception (9/1/99) -24.78%
</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 (9/1/99) DJIA (4 MONTH)
- -------------------- --------------
<S> <C>
- -24.78% 5.66%
</TABLE>
COMMENTS
Since its inception on 9/1/99, the Dow(SM) Target 5 September portfolio lost
24.78% versus a gain of 5.66% for the Dow Jones Industrial Average. General
Motors Corp. was the best performing stock for the 4-month period while The
Goodyear Tire & Rubber Co. lost the most ground.
SCHEDULE OF INVESTMENTS DECEMBER 31, 1999
<TABLE>
<CAPTION>
MARKET
SHARES COMMON STOCK VALUE %
- ---------------------------------------------------------------
<C> <S> <C> <C>
661 Caterpillar Inc. (3)............... $ 31,109 19.84
605 General Motors Corp. (1)........... 43,976 28.05
734 Goodyear Tire & Rubber (4)......... 20,690 13.20
1,041 Phillip Morris Companies Inc.
(5)............................... 24,138 15.40
994 Sears, Roebuck & Co. (2)........... 30,255 19.30
-------- ------
TOTAL COMMON STOCK (COST $190,689) $150,168 95.8
======== ======
</TABLE>
<TABLE>
<CAPTION>
FACE MARKET
AMOUNT REPURCHASE AGREEMENTS VALUE %
- ---------------------------------------------------------------
<C> <S> <C> <C>
$6,000 Firstar Bank 1.00% due 01/03/00
repurchase price $6,000
collateralized by GNMA
certificates pool# 8375 due
02/20/24 (cost $6,000)........... $ 6,000 3.8
---------- -----
TOTAL REPURCHASE AGREEMENTS (COST
$192,000)........................ $ 6,000 3.8
---------- -----
TOTAL HOLDINGS (COST $196,689).... $ 156,168 99.6
---------- -----
CASH & RECEIVABLES, NET OF
LIABILITIES...................... 621 0.4
---------- -----
TOTAL NET ASSETS.................. $ 156,789 100.0
========== =====
</TABLE>
INDUSTRIES
<TABLE>
<C> <S> <C>
1. Automobiles
2. Retail
3. Machinery
4. Rubber and Tires
5. Tobacco
</TABLE>
15
<PAGE> 17
THE DOW(SM) TARGET VARIABLE FUND LLC
DOW(SM) TARGET 5 -- OCTOBER PORTFOLIO
OBJECTIVE
The Dow(SM) Target 5 Portfolios seeks 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 DECEMBER 31, 1999
TOTAL RETURN:
<TABLE>
<S> <C>
October
Since inception (10/1/99) -14.70%
</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 (3 MONTH)
- ------------------- --------------
<S> <C>
- -14.7% 12.31%
</TABLE>
COMMENTS
Since its inception on 10/1/99, the Dow(SM) Target 5 October portfolio lost
14.70% versus a gain of 12.31% for the Dow Jones Industrial Average. E. I. Du
Pont de Nemours and Co. was the best performing stock for the 3-month period
while The Goodyear Tire & Rubber Co. lost the most ground.
SCHEDULE OF INVESTMENTS DECEMBER 31, 1999
<TABLE>
<CAPTION>
MARKET
SHARES COMMON STOCK VALUE %
- ---------------------------------------------------------------
<C> <S> <C> <C>
1,162 Caterpillar Inc. (3)................ $ 54,687 20.2
1,047 E.I. Du Pont de Nemours and Co.
(1)................................ 68,971 25.4
1,361 Goodyear Tire & Rubber (4).......... 38,363 14.1
1,843 Phillip Morris Companies Inc. (5)... 42,735 15.7
2,120 Sears, Roebuck & Co. (2)............ 64,528 23.8
-------- -----
TOTAL COMMON STOCK (COST
$314,798).......................... $269,284 99.2
======== =====
</TABLE>
<TABLE>
<CAPTION>
FACE MARKET
AMOUNT REPURCHASE AGREEMENTS VALUE %
- ---------------------------------------------------------------
<C> <S> <C> <C>
$1,000 Firstar Bank 3.30% due 01/03/00
repurchase price $1,000
collateralized by GNMA certificates
pool# 8375 due 02/20/24 (cost
$1,000)............................ $ 1,000 0.4
-------- -----
TOTAL REPURCHASE AGREEMENTS (COST
$1,000)............................ $ 1,000 0.4
-------- -----
TOTAL HOLDINGS (COST $315,798)...... $270,284 99.6
-------- -----
CASH & RECEIVABLES, NET OF
LIABILITIES........................ 1,033 0.4
-------- -----
TOTAL NET ASSETS.................... $271,317 100.0
======== =====
</TABLE>
INDUSTRIES
<TABLE>
<C> <S> <C>
1. Chemicals
2. Retail
3. Machinery
4. Rubber and Tires
5. Tobacco
</TABLE>
16
<PAGE> 18
THE DOW(SM) TARGET VARIABLE FUND LLC
DOW(SM) TARGET 5 -- NOVEMBER PORTFOLIO
OBJECTIVE
The Dow(SM) Target 5 Portfolios seeks 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 DECEMBER 31, 1999
TOTAL RETURN:
<TABLE>
<S> <C>
November
Since inception (11/1/99) -0.20%
</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 (2 MONTH)
- -------------------- --------------
<S> <C>
- -0.2% 8.3%
</TABLE>
COMMENTS
Since its inception on 11/1/99, the Dow(SM) Target 5 November portfolio lost
0.20% versus a gain of 8.30% for the Dow Jones Industrial Average. International
Paper Co. was the best performing stock for the 2-month period while Caterpillar
Inc. lost the most ground.
SCHEDULE OF INVESTMENTS DECEMBER 31, 1999
<TABLE>
<CAPTION>
MARKET
SHARES COMMON STOCK VALUE %
- ---------------------------------------------------------------
<C> <S> <C> <C>
849 AT&T Corp. (2)...................... $ 43,087 20.3
716 Caterpillar Inc. (3)................ 33,697 15.9
613 E.I. Du Pont de Nemours and Co.
(1)................................ 40,381 19.0
809 International Paper Company (4)..... 45,658 21.5
1,496 Phillip Morris Companies Inc. (5)... 34,689 16.4
-------- -----
TOTAL COMMON STOCK (COST
$199,742).......................... $197,512 93.1
======== =====
</TABLE>
<TABLE>
<CAPTION>
FACE MARKET
AMOUNT REPURCHASE AGREEMENTS VALUE %
- ---------------------------------------------------------------
<C> <S> <C> <C>
$13,000 Firstar Bank 1.00% due 01/03/00
repurchase price $13,000
collateralized by GNMA
certificates pool# 8375 due
02/20/24 (cost $13,000)........... $ 13,000 6.1
-------- -----
TOTAL REPURCHASE AGREEMENTS (COST
$13,000).......................... $ 13,000 6.1
-------- -----
TOTAL HOLDINGS (COST $212,742)..... $210,512 99.2
-------- -----
CASH & RECEIVABLES, NET OF
LIABILITIES....................... 1,792 0.8
-------- -----
TOTAL NET ASSETS................... $212,304 100.0
======== =====
</TABLE>
INDUSTRIES
<TABLE>
<C> <S> <C>
1. Chemicals
2. Communications
3. Machinery
4. Paper & Related
5. Tobacco
</TABLE>
17
<PAGE> 19
THE DOW(SM) TARGET VARIABLE FUND LLC
DOW(SM) TARGET 5 -- DECEMBER PORTFOLIO
OBJECTIVE
The Dow(SM) Target 5 Portfolios seeks 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 DECEMBER 31, 1999
TOTAL RETURN:
<TABLE>
<S> <C>
December
Since inception (12/1/99) 0.17%
</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 (1 MONTH)
- -------------------- --------------
<S> <C>
0.17% 4.64%
</TABLE>
COMMENTS
Since its inception on 12/1/99, the Dow(SM) Target 5 December portfolio gained
0.17% versus a gain of 4.64% for the Dow Jones Industrial Average. International
Paper Co. was the best performing stock for the month of December while
Caterpillar Inc. lost the most ground.
SCHEDULE OF INVESTMENTS DECEMBER 31, 1999
<TABLE>
<CAPTION>
MARKET
SHARES COMMON STOCK VALUE %
- ---------------------------------------------------------------
<C> <S> <C> <C>
711 Caterpillar Inc. (3)................ $ 33,461 16.2
608 E.I. Du Pont de Nemours and Co.
(1)................................ 40,052 19.3
804 International Paper Company (4)..... 45,376 21.9
1,487 Phillip Morris Companies Inc. (5)... 34,480 16.6
869 SBC Communications (2).............. 42,364 20.4
-------- -----
TOTAL COMMON STOCK (COST
$195,555).......................... $195,733 94.4
======== =====
</TABLE>
<TABLE>
<CAPTION>
FACE MARKET
AMOUNT REPURCHASE AGREEMENTS VALUE %
- ---------------------------------------------------------------
<C> <S> <C> <C>
$11,000 Firstar Bank 1.00% due 01/03/00
repurchase price $11,000
collateralized by GNMA
certificates pool# 8375 due
02/20/24 (cost $11,000)......... $ 11,000 5.3
---------- -----
TOTAL REPURCHASE AGREEMENTS (COST
$11,000)........................ $ 11,000 5.3
---------- -----
TOTAL HOLDINGS (COST $206,555)... $ 206,733 99.7
---------- -----
CASH & RECEIVABLES, NET OF
LIABILITIES..................... 618 0.3
---------- -----
TOTAL NET ASSETS................. $ 207,351 100.0
========== =====
</TABLE>
INDUSTRIES
<TABLE>
<C> <S> <C>
1. Chemicals
2. Communications
3. Machinery
4. Paper & Related
5. Tobacco
</TABLE>
18
<PAGE> 20
THE DOW(SM) TARGET VARIABLE FUND LLC
STATEMENT OF ASSETS AND LIABILITIES DECEMBER 31, 1999
<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... $458,544 $1,115,814 $1,068,567 $1,627,680 $ 855,216 $1,344,941
======== ========== ========== ========== ========== ==========
Investments in securities at market
value (note 1).................... $456,112 $1,158,104 $1,017,128 $1,464,561 $ 725,460 $1,187,097
Cash in bank........................ 319 728 498 13 0 740
Receivable for fund interests
sold.............................. 0 0 0 0 0 0
Dividends & accrued interest
receivable........................ 1,201 2,882 2,877 3,985 2,741 3,370
Other............................... 5,396 2,233 0 122 118 92
-------- ---------- ---------- ---------- ---------- ----------
Total assets...................... 463,028 1,163,947 1,020,503 1,468,681 728,319 1,191,299
-------- ---------- ---------- ---------- ---------- ----------
Liabilities:
Cash overdraft...................... 0 0 0 0 7,759 0
Payable for securities purchased.... 0 0 0 0 0 30,058
Payable for fund interests
redeemed.......................... 10 143 54 208,290 91 57
Payable for investment management
services (note 3)................. 222 588 527 882 510 696
Other accrued expenses.............. 2,863 1,484 2,984 2,846 2,677 2,560
-------- ---------- ---------- ---------- ---------- ----------
Total liabilities................. 3,095 2,215 3,565 212,018 11,037 33,371
-------- ---------- ---------- ---------- ---------- ----------
Net assets at market value............ $459,933 $1,161,732 $1,016,938 $1,256,663 $ 717,282 $1,157,928
======== ========== ========== ========== ========== ==========
Net assets consist of:
Par value, $1 per membership
interest.......................... $ 45,846 $ 113,304 $ 104,377 $ 125,338 $ 86,318 $ 129,269
Paid-in capital in excess of par
value............................. 416,489 1,006,097 964,001 1,294,449 800,707 1,199,907
Accumulated net realized loss on
investments (note 1).............. 0 0 0 0 (39,982) (13,399)
Net unrealized appreciation
(depreciation) on investments
(note 1).......................... (2,432) 42,291 (51,438) (163,120) (129,756) (157,845)
Undistributed (overdistributed) net
investment income................. 30 40 (2) (4) (5) (4)
-------- ---------- ---------- ---------- ---------- ----------
Net assets at market value............ $459,933 $1,161,732 $1,016,938 $1,256,663 $ 717,282 $1,157,928
======== ========== ========== ========== ========== ==========
Membership interest outstanding (note
4).................................. 45,846 113,304 104,377 125,338 86,318 129,269
Net asset value per membership
interest............................ $ 10.03 $ 10.25 $ 9.74 $ 10.03 $ 8.31 $ 8.96
======== ========== ========== ========== ========== ==========
</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.
19
<PAGE> 21
THE DOW(SM) TARGET VARIABLE FUND LLC
STATEMENT OF ASSETS AND LIABILITIES DECEMBER 31, 1999
<TABLE>
<CAPTION>
PORTFOLIOS
---------------------------------------------------------------------------------------------------
JULY(10)(g) AUGUST(10)(h) SEPTEMBER(10)(i) OCTOBER(10)(j) NOVEMBER(10)(k) DECEMBER(10)(i)
----------- ------------- ---------------- -------------- --------------- ---------------
<S> <C> <C> <C> <C> <C> <C>
Assets:
Investment in securities,
at cost................. $1,130,749 $ 937,776 $1,604,271 $1,472,514 $1,386,123 $1,611,279
========== ========== ========== ========== ========== ==========
Investments in securities
at market value (note
1)...................... $1,003,363 $ 813,221 $1,471,574 $1,392,625 $1,381,411 $1,620,904
Cash in bank.............. 0 0 0 468 433 654
Receivable for fund
interests sold.......... 363 0 0 0 118 2,358
Dividends & accrued
interest receivable..... 2,894 3,156 5,167 5,396 4,524 1,129
Other..................... 152 1,517 664 436 596 491
---------- ---------- ---------- ---------- ---------- ----------
Total assets............ 1,006,772 817,894 1,477,405 1,398,925 1,387,082 1,625,536
---------- ---------- ---------- ---------- ---------- ----------
Liabilities:
Cash overdraft............ 13,703 8,696 6,337 0 0 0
Payable for securities
purchased............... 0 0 0 0 50,027 150,446
Payable for fund interests
redeemed................ 0 96 324 138 0 0
Payable for investment
management services
(note 3)................ 679 1,585 1,210 1,114 1,014 370
Other accrued expenses.... 2,415 2,295 1,892 1,519 1,279 739
---------- ---------- ---------- ---------- ---------- ----------
Total liabilities....... 16,797 12,672 9,763 2,771 52,320 151,555
---------- ---------- ---------- ---------- ---------- ----------
Net assets at market
value..................... $ 989,975 $ 805,222 $1,467,642 $1,396,154 $1,334,762 $1,473,981
========== ========== ========== ========== ========== ==========
Net assets consist of:
Par value, $1 per
membership interest..... $ 112,230 $ 90,721 $ 167,182 $ 151,684 $ 132,418 $ 147,257
Paid-in capital in excess
of par value............ 1,026,092 855,145 1,453,609 1,332,183 1,206,451 1,317,085
Accumulated net realized
loss on investments
(note 1)................ (20,953) (16,082) (20,491) (7,828) 0 0
Net unrealized
appreciation
(depreciation) on
investments (note 1).... (127,386) (124,555) (132,698) (79,889) (4,711) 9,625
Undistributed
(overdistributed) net
investment income....... (8) (7) 40 4 604 14
---------- ---------- ---------- ---------- ---------- ----------
Net assets at market
value..................... $ 989,975 $ 805,222 $1,467,642 $1,396,154 $1,334,762 $1,473,981
========== ========== ========== ========== ========== ==========
Membership interest
outstanding (note 4)...... 112,230 90,721 167,182 151,684 132,418 147,257
Net asset value per
membership interest....... $ 8.82 $ 8.88 $ 8.78 $ 9.20 $ 10.08 $ 10.01
========== ========== ========== ========== ========== ==========
</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.
20
<PAGE> 22
THE DOW(SM) TARGET VARIABLE FUND LLC
STATEMENT OF ASSETS AND LIABILITIES DECEMBER 31, 1999
<TABLE>
<CAPTION>
PORTFOLIOS
-----------------------------------------------------------------
SEPTEMBER(5)(m) OCTOBER(5)(n) NOVEMBER(5)(o) DECEMBER(5)(p)
--------------- ------------- -------------- --------------
<S> <C> <C> <C> <C>
Assets:
Investment in securities, at cost......................... $196,689 $315,798 $212,742 $206,555
======== ======== ======== ========
Investments in securities at market value (note 1)........ $156,168 $270,284 $210,512 $206,733
Cash in bank.............................................. 125 272 411 385
Receivable for fund interests sold........................ 0 0 785 0
Dividends & accrued interest receivable................... 728 1,372 905 363
Other..................................................... 1,873 1,171 638 300
-------- -------- -------- --------
Total assets............................................ 158,894 273,099 213,251 207,781
-------- -------- -------- --------
Liabilities:
Payable for fund interests redeemed....................... 6 14 0 11
Payable for investment management services (note 3)....... 290 388 185 71
Other accrued expenses.................................... 1,809 1,380 762 348
-------- -------- -------- --------
Total liabilities....................................... 2,105 1,782 947 430
-------- -------- -------- --------
Net assets at market value.................................. $156,789 $271,317 $212,304 $207,351
======== ======== ======== ========
Net assets consist of:
Par value, $1 per membership interest..................... $ 21,022 $ 32,037 $ 21,367 $ 20,741
Paid-in capital in excess of par value.................... 176,695 284,790 192,979 186,442
Accumulated net realized loss on investments (note 1)..... (445) 0 0 0
Net unrealized appreciation (depreciation) on investments
(note 1)................................................ (40,522) (45,514) (2,230) 177
Undistributed (overdistributed) net investment income..... 39 4 188 (9)
-------- -------- -------- --------
Net assets at market value.................................. $156,789 $271,317 $212,304 $207,351
======== ======== ======== ========
Membership interest outstanding (note 4).................... 21,022 32,037 21,367 20,741
Net asset value per membership interest..................... $ 7.46 $ 8.47 $ 9.94 $ 10.00
======== ======== ======== ========
</TABLE>
- ---------------
(m) The inception date for this portfolio was September 4, 1999.
(m) The inception date for this portfolio was October 1, 1999.
(o) The inception date for this portfolio was November 1, 1999.
(p) The inception date for this portfolio was December 1, 1999.
The accompanying notes are an integral part of these financial statements.
21
<PAGE> 23
THE DOW(SM) TARGET VARIABLE FUND LLC
STATEMENT OF OPERATIONS FOR THE YEAR ENDED DECEMBER 31, 1999
<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>
Investment income:
Interest...................... $ 493 $ 1,191 $ 1,070 $ 1,352 $ 932 $ 958
Dividends..................... 14,441 33,872 28,524 35,240 17,535 20,885
------- ------- -------- --------- --------- ---------
Total investment income..... 14,934 35,063 29,594 36,592 18,467 21,843
------- ------- -------- --------- --------- ---------
Expenses:
Management fees (note 3)...... 3,173 7,711 6,569 7,658 3,639 4,625
Custodian fees (note 3)....... 3,142 2,725 2,326 1,925 1,729 1,493
Directors' fees (note 3)...... 557 1,575 1,474 1,356 547 530
Professional fees............. 1,057 849 779 706 633 520
Accounting fees............... 609 1,091 947 1,041 891 682
Printing, proxy, and postage
fees........................ 2,007 2,025 2,964 3,017 1,698 1,536
Other......................... 185 171 154 139 122 106
------- ------- -------- --------- --------- ---------
Total expenses.............. 10,730 16,147 15,213 15,842 9,259 9,492
------- ------- -------- --------- --------- ---------
Less expenses voluntarily
reduced or reimbursed..... (5,407) (2,242) 0 (130) (127) (98)
------- ------- -------- --------- --------- ---------
Net expenses................ 5,323 13,905 15,213 15,712 9,132 9,394
------- ------- -------- --------- --------- ---------
Net investment income....... $ 9,611 $21,158 $ 14,381 $ 20,880 $ 9,335 $ 12,449
------- ------- -------- --------- --------- ---------
Realized & unrealized gain
(loss) on investments:
Net realized gain (loss) from
investments................. $ 3,212 $28,842 $ 36,163 $ 17,873 $ (39,982) $ (13,399)
Net increase in unrealized
appreciation (depreciation)
on investments.............. (2,432) 42,291 (51,438) (163,120) (129,757) (157,845)
------- ------- -------- --------- --------- ---------
Net gain (loss) on
investments................. 780 71,133 (15,275) (145,247) (169,739) (171,244)
------- ------- -------- --------- --------- ---------
Net increase (decrease) in net
assets from operations...... $10,391 $92,291 $ (894) $(124,367) $(160,404) $(158,795)
======= ======= ======== ========= ========= =========
</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.
22
<PAGE> 24
THE DOW(SM) TARGET VARIABLE FUND LLC
STATEMENT OF OPERATIONS FOR THE YEAR ENDED DECEMBER 31, 1999
<TABLE>
<CAPTION>
PORTFOLIOS
--------------------------------------------------------------------------------------
JULY (10)(g) AUGUST (10)(h) SEPTEMBER (10)(i) OCTOBER (10)(j) NOVEMBER (10)(k)
------------ -------------- ----------------- --------------- ----------------
<S> <C> <C> <C> <C> <C>
Investment income:
Interest............................. $ 893 $ 786 $ 894 $ 730 $ 904
Dividends............................ 17,179 11,932 12,825 11,621 5,606
--------- --------- --------- -------- -------
Total investment income............ 18,072 12,718 13,719 12,351 6,510
--------- --------- --------- -------- -------
Expenses:
Management fees (note 3)............. 3,407 2,278 2,717 1,888 1,024
Custodian fees (note 3).............. 1,271 1,068 856 480 475
Directors' fees (note 3)............. 141 118 180 134 72
Professional fees.................... 451 377 306 235 122
Accounting fees...................... 562 375 403 278 186
Printing, proxy, and postage fees.... 1,049 1,033 678 530 403
Other................................ 88 70 57 42 22
--------- --------- --------- -------- -------
Total expenses..................... 6,969 5,319 5,197 3,587 2,304
--------- --------- --------- -------- -------
Less expenses voluntarily reduced
or reimbursed.................... (159) (1,522) (668) (440) (598)
--------- --------- --------- -------- -------
Net expenses....................... 6,810 3,797 4,529 3,147 1,706
--------- --------- --------- -------- -------
Net investment income.............. $ 11,262 $ 8,921 $ 9,190 $ 9,204 $ 4,804
--------- --------- --------- -------- -------
Realized & unrealized gain (loss) on
investments:
Net realized gain (loss) from
investments........................ $ (20,953) $ (16,082) $ (20,491) $ (7,828) $ 0
Net increase in unrealized
appreciation (depreciation) on
investments........................ (127,386) (124,555) (132,698) (79,889) (4,711)
--------- --------- --------- -------- -------
Net gain (loss) on investments....... (148,339) (140,637) (153,189) (87,717) (4,711)
--------- --------- --------- -------- -------
Net increase (decrease) in net assets
from operations.................... $(137,077) $(131,716) $(143,999) $(78,513) $ 93
========= ========= ========= ======== =======
<CAPTION>
PORTFOLIOS
----------------
DECEMBER (10)(l)
----------------
<S> <C>
Investment income:
Interest............................. $ 487
Dividends............................ 1,123
-------
Total investment income............ 1,610
-------
Expenses:
Management fees (note 3)............. 370
Custodian fees (note 3).............. 228
Directors' fees (note 3)............. 51
Professional fees.................... 51
Accounting fees...................... 84
Printing, proxy, and postage fees.... 317
Other................................ 8
-------
Total expenses..................... 1,109
-------
Less expenses voluntarily reduced
or reimbursed.................... (493)
-------
Net expenses....................... 616
-------
Net investment income.............. $ 994
-------
Realized & unrealized gain (loss) on
investments:
Net realized gain (loss) from
investments........................ $ 0
Net increase in unrealized
appreciation (depreciation) on
investments........................ 9,625
-------
Net gain (loss) on investments....... 9,625
-------
Net increase (decrease) in net assets
from operations.................... $10,619
=======
</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 1, 1999.
(l) The inception date for this portfolio was December 1, 1999.
The accompanying notes are an integral part of these financial statements.
23
<PAGE> 25
THE DOW(SM) TARGET VARIABLE FUND LLC
STATEMENT OF OPERATIONS FOR THE YEAR ENDED DECEMBER 31, 1999
<TABLE>
<CAPTION>
PORTFOLIOS
---------------------------------------------------------------------
SEPTEMBER (5)(m) OCTOBER (5)(n) NOVEMBER (5)(o) DECEMBER (5)(p)
---------------- -------------- --------------- ---------------
<S> <C> <C> <C> <C>
Investment income:
Interest................................................ $ 99 $ 178 $ 173 $ 148
Dividends............................................... 1,723 2,374 1,224 362
-------- -------- ------- -----
Total investment income............................... 1,822 2,552 1,397 510
-------- -------- ------- -----
Expenses:
Management fees (note 3)................................ 290 388 185 71
Custodian fees (note 3)................................. 1,262 881 470 172
Directors' fees (note 3)................................ 115 73 40 34
Professional fees....................................... 226 156 82 52
Accounting fees......................................... 174 121 66 25
Printing, proxy, and postage fees....................... 238 164 86 56
Other................................................... 54 39 20 10
-------- -------- ------- -----
Total expenses........................................ 2,359 1,822 949 420
-------- -------- ------- -----
Less expenses voluntarily reduced or reimbursed....... (1,876) (1,174) (640) (301)
-------- -------- ------- -----
Net expenses.......................................... 483 648 309 119
-------- -------- ------- -----
Net investment income................................. $ 1,339 $ 1,904 $ 1,088 $ 391
-------- -------- ------- -----
Realized & unrealized gain (loss) on investments:
Net realized gain (loss) from investments............... $ (445) $ 0 $ 0 $ 0
Net increase in unrealized appreciation (depreciation)
on investments........................................ (40,522) (45,514) (2,230) 177
-------- -------- ------- -----
Net gain (loss) on investments.......................... (40,967) (45,514) (2,230) 177
-------- -------- ------- -----
Net increase (decrease) in net assets from operations... $(39,628) $(43,610) $(1,142) $ 568
======== ======== ======= =====
</TABLE>
- ---------------
(m) The inception date for this portfolio was September 1, 1999.
(n) The inception date for this portfolio was October 1, 1999.
(o) The inception date for this portfolio was November 1, 1999
(p) The inception date for this portfolio was December 1, 1999.
The accompanying notes are an integral part of these financial statements.
24
<PAGE> 26
THE DOW(SM) TARGET VARIABLE FUND LLC
STATEMENTS OF CHANGES IN NET ASSETS FOR THE YEAR ENDED DECEMBER 31, 1999
<TABLE>
<CAPTION>
PORTFOLIOS
----------------------------------------------------------------------------------------------------
JANUARY (10)(b) FEBRUARY (10)(c) MARCH (10)(d) APRIL (10)(e) MAY (10)(f) JUNE (10)(g)
--------------- ---------------- ------------- ------------- ----------- ------------
<S> <C> <C> <C> <C> <C> <C>
From operations:
Net investment income.... $ 9,611 $ 21,158 $ 14,381 $ 20,880 $ 9,335 $ 12,449
Realized gain (loss) on
investments............ 3,212 28,842 36,163 17,873 (39,982) (13,399)
Unrealized appreciation
(depreciation) on
investments............ (2,432) 42,291 (51,438) (163,120) (129,757) (157,845)
---------- ---------- ---------- ---------- ---------- ----------
Net increase
(decrease) in
net assets from
operations...... 10,391 92,291 (894) (124,367) (160,404) (158,795)
---------- ---------- ---------- ---------- ---------- ----------
Dividends and
distributions to
shareholders:
Dividends paid from net
investment income.... (9,581) (21,118) (14,383) (20,884) (9,340) (12,453)
Capital gains
distributions........ (3,212) (28,842) (36,163) (17,873) 0 0
---------- ---------- ---------- ---------- ---------- ----------
Total dividends
and
distributions... (12,793) (49,960) (50,546) (38,757) (9,340) (12,453)
---------- ---------- ---------- ---------- ---------- ----------
From capital share
transactions (note 4):
Received from shares
sold................... 565,912 1,550,427 1,583,033 2,101,632 1,180,871 1,569,222
Received from dividends
reinvested............. 12,793 49,960 50,545 38,758 9,341 12,453
Paid for shares
redeemed............... (116,370) (480,986) (565,200) (720,603) (303,186) (252,499)
---------- ---------- ---------- ---------- ---------- ----------
Increase in net
assets derived
from capital
share
transactions.... 462,335 1,119,401 1,068,378 1,419,787 887,026 1,329,176
---------- ---------- ---------- ---------- ---------- ----------
Increase in net
assets.......... 459,933 1,161,732 1,016,938 1,256,663 717,282 1,157,928
Net Assets:
Beginning of period...... 0 0 0 0 0 0
---------- ---------- ---------- ---------- ---------- ----------
End of period (a)........ $ 459,933 $1,161,732 $1,016,938 $1,256,663 $ 717,282 $1,157,928
========== ========== ========== ========== ========== ==========
(a) Includes undistributed
net investment income
of....................... $ 30 $ 40 $ 0 $ 0 $ 0 $ 0
========== ========== ========== ========== ========== ==========
</TABLE>
- ---------------
(b) The inception date for this portfolio was January 4, 1999.
(c) The inception date for this portfolio was February 1, 1999.
(d) The inception date for this portfolio was March 1, 1999.
(e) The inception date for this portfolio was April 1, 1999.
(f) The inception date for this portfolio was May 3, 1999.
(g) The inception date for this portfolio was June 1, 1999.
The accompanying notes are an integral part of these financial statements.
25
<PAGE> 27
THE DOW(SM) TARGET VARIABLE FUND LLC
STATEMENTS OF CHANGES IN NET ASSETS FOR THE YEAR ENDED DECEMBER 31, 1999
<TABLE>
<CAPTION>
PORTFOLIOS
--------------------------------------------------------------------------------------
JULY (10)(h) AUGUST (10)(i) SEPTEMBER (10)(j) OCTOBER (10)(k) NOVEMBER (10)(l)
------------ -------------- ----------------- --------------- ----------------
<S> <C> <C> <C> <C> <C>
From operations:
Net investment income.................. $ 11,262 $ 8,921 $ 9,190 $ 9,204 $ 4,804
Realized gain (loss) on investments.... (20,953) (16,082) (20,491) (7,828) 0
Unrealized appreciation (depreciation)
on investments....................... (127,386) (124,555) (132,698) (79,889) (4,711)
---------- ---------- ---------- ---------- ----------
Net increase (decrease) in net
assets from operations........ (137,077) (131,716) (143,999) (78,513) 93
---------- ---------- ---------- ---------- ----------
Dividends and distributions to
shareholders:
Dividends paid from net investment
income............................. (11,270) (8,928) (9,150) (9,200) (4,200)
Capital gains distributions.......... 0 0 0 0 0
---------- ---------- ---------- ---------- ----------
Total dividends and
distributions................. (11,270) (8,928) (9,150) (9,200) (4,200)
---------- ---------- ---------- ---------- ----------
From capital share transactions (note 4):
Received from shares sold.............. 1,454,117 1,253,944 1,866,547 1,743,037 1,560,226
Received from dividends reinvested..... 11,270 8,928 9,150 9,200 4,200
Paid for shares redeemed............... (327,065) (317,006) (254,906) (268,370) (225,557)
---------- ---------- ---------- ---------- ----------
Increase in net assets derived
from capital share
transactions.................. 1,138,322 945,866 1,620,791 1,483,867 1,338,869
---------- ---------- ---------- ---------- ----------
Increase in net assets.......... 989,975 805,222 1,467,642 1,396,154 1,334,762
Net Assets:
Beginning of period.................... 0 0 0 0 0
---------- ---------- ---------- ---------- ----------
End of period (a)...................... $ 989,975 $ 805,222 $1,467,642 $1,396,154 $1,334,762
========== ========== ========== ========== ==========
(a) Includes undistributed net investment
income of.............................. $ 0 $ 0 $ 40 $ 4 $ 604
========== ========== ========== ========== ==========
<CAPTION>
PORTFOLIOS
----------------
DECEMBER (10)(m)
----------------
<S> <C>
From operations:
Net investment income.................. $ 994
Realized gain (loss) on investments.... 0
Unrealized appreciation (depreciation)
on investments....................... 9,625
----------
Net increase (decrease) in net
assets from operations........ 10,619
----------
Dividends and distributions to
shareholders:
Dividends paid from net investment
income............................. (980)
Capital gains distributions.......... 0
----------
Total dividends and
distributions................. (980)
----------
From capital share transactions (note 4):
Received from shares sold.............. 1,501,592
Received from dividends reinvested..... 980
Paid for shares redeemed............... (38,230)
----------
Increase in net assets derived
from capital share
transactions.................. 1,464,342
----------
Increase in net assets.......... 1,473,981
Net Assets:
Beginning of period.................... 0
----------
End of period (a)...................... $1,473,981
==========
(a) Includes undistributed net investment
income of.............................. $ 14
==========
</TABLE>
- ---------------
(h) The inception date for this portfolio was July 1, 1999.
(i) The inception date for this portfolio was August 2, 1999.
(j) The inception date for this portfolio was September 1 , 1999 .
(k) The inception date for this portfolio was October 1, 1999.
(l) The inception date for this portfolio was November 1, 1999.
(m) The inception date for this portfolio was December 1, 1999.
The accompanying notes are an integral part of these financial statements.
26
<PAGE> 28
THE DOW(SM) TARGET VARIABLE FUND LLC
STATEMENTS OF CHANGES IN NET ASSETS FOR THE YEAR ENDED DECEMBER 31, 1999
<TABLE>
<CAPTION>
PORTFOLIOS
---------------------------------------------------------------------
SEPTEMBER (5)(n) OCTOBER (5)(o) NOVEMBER (5)(p) DECEMBER (5)(q)
---------------- -------------- --------------- ---------------
<S> <C> <C> <C> <C>
From operations:
Net investment income.................. $ 1,339 $ 1,904 $ 1,088 $ 391
Realized gain (loss) on investments.... (445) 0 0 0
Unrealized appreciation (depreciation)
on investments....................... (40,522) (45,514) (2,230) 177
---------- ---------- ---------- ----------
Net increase (decrease) in net
assets from operations........ (39,628) (43,610) (1,142) 568
---------- ---------- ---------- ----------
Dividends and distributions to
shareholders:
Dividends paid from net investment
income............................. (1,300) (1,900) (900) (400)
---------- ---------- ---------- ----------
Total dividends and
distributions................. (1,300) (1,900) (900) (400)
---------- ---------- ---------- ----------
From capital share transactions (note 4):
Received from shares sold.............. 197,139 315,470 216,296 206,807
Received from dividends reinvested..... 1,300 1,900 900 400
Paid for shares redeemed............... (722) (543) (2,850) (24)
---------- ---------- ---------- ----------
Increase in net assets derived
from capital share
transactions.................. 197,717 316,827 214,346 207,183
---------- ---------- ---------- ----------
Increase in net assets.......... 156,789 271,317 212,304 207,351
Net Assets:
Beginning of period.................... 0 0 0 0
---------- ---------- ---------- ----------
End of period (a)...................... $ 156,789 $ 271,317 $ 212,304 $ 207,351
========== ========== ========== ==========
(a) Includes undistributed net investment
income of.............................. $ 39 $ 4 $ 188 $ 0
========== ========== ========== ==========
</TABLE>
- ---------------
(n) The inception date for this portfolio was September 1 , 1999.
(o) The inception date for this portfolio was October 1, 1999.
(p) The inception date for this portfolio was November 1, 1999.
(q) The inception date for this portfolio was December 1, 1999.
The accompanying notes are an integral part of these financial statements.
27
<PAGE> 29
THE DOW(SM) TARGET VARIABLE FUND LLC
FINANCIAL HIGHLIGHTS FOR THE YEAR ENDED DECEMBER 31, 1999
<TABLE>
<CAPTION>
PORTFOLIOS
------------------------------------------------------------------------------------------------
JANUARY (10)(d) FEBRUARY (10)(e) MARCH (10)(f) APRIL (10)(g) MAY (10)(h) JUNE (10)(i)
--------------- ---------------- ------------- ------------- ------------ ------------
<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........ 0.19 0.17 0.12 0.13 0.09 0.09
Net realized & unrealized
gain (loss) on
investments................ 0.09 0.47 0.04 0.14 (1.69) (1.04)
------ ------ ------ ------ ------ ------
Total income (loss)
from investment
operations.......... 0.28 0.64 0.16 0.27 (1.60) (0.95)
------ ------ ------ ------ ------ ------
Less distributions:
Dividends from net investment
income..................... (0.19) (0.16) (0.12) (0.13) (0.09) (0.09)
Distributions from net
realized capital gains..... (0.06) (0.23) (0.30) (0.11) 0.00 0.00
------ ------ ------ ------ ------ ------
Total distributions... (0.25) (0.39) (0.42) (0.24) (0.09) (0.09)
------ ------ ------ ------ ------ ------
Net asset value, end of
period....................... $10.03 $10.25 $ 9.74 $10.03 $ 8.31 $ 8.96
====== ====== ====== ====== ====== ======
</TABLE>
<TABLE>
<CAPTION>
12 MONTHS 11 MONTHS 10 MONTHS 9 MONTHS 8 MONTHS 7 MONTHS
--------------- ---------------- ------------- ------------- ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
Total return (b)............... 2.88% 6.37% 1.96% 2.50% (16.14%) (9.57%)
Ratios net of fees reimbursed
by advisor (c):
Ratio of expenses to average
net assets (a)............. 0.99% 1.07% 1.38% 1.17% 1.50% 1.18%
Ratio of net investment
income to average net
assets(a).................. 1.79% 1.63% 1.31% 1.55% 1.54% 1.57%
Ratio assuming no fees
reimbursed by advisor:
Ratio of expenses to average
net assets (a)............. 1.99% 1.24% 1.38% 1.18% 1.52% 1.19%
Portfolio turnover rate........ 20% 25% 39% 25% 29% 14%
Net assets at end of period
(millions)................... $ 0.5 $ 1.2 $ 1.0 $ 1.3 $ 0.7 $ 1.2
</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.
(d) The inception date for this portfolio was January 4, 1999.
(e) The inception date for this portfolio was February 1, 1999.
(f) The inception date for this portfolio was March 1, 1999.
(g) The inception date for this portfolio was April 1, 1999.
(h) The inception date for this portfolio was May 3, 1999.
(i) The inception date for this portfolio was June 1, 1999
The accompanying notes are an integral part of these financial statements.
28
<PAGE> 30
THE DOW(SM) TARGET VARIABLE FUND LLC
FINANCIAL HIGHLIGHTS FOR THE YEAR ENDED DECEMBER 31, 1999
<TABLE>
<CAPTION>
PORTFOLIOS
--------------------------------------------------------------------------------------
JULY (10)(j) AUGUST (10)(k) SEPTEMBER (10)(l) OCTOBER (10)(m) NOVEMBER (10)(n)
------------ -------------- ----------------- --------------- ----------------
<S> <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
Income (loss) from investment
operations:
Net investment income................ 0.09 0.09 0.05 0.06 0.03
Net realized & unrealized gain (loss)
on investments..................... (1.18) (1.12) (1.22) (0.80) 0.08
------ ------ ------ ------ ------
Total Income (loss) from
Investment operations....... (1.09) (1.03) (1.17) (0.74) 0.11
------ ------ ------ ------ ------
Less distributions:
Dividends from net investment
income............................. (0.09) (0.09) (0.05) (0.06) (0.03)
Distributions from net realized
capital gains...................... 0.00 0.00 0.00 0.00 0.00
------ ------ ------ ------ ------
Total distributions........... (0.09) (0.09) (0.05) (0.06) (0.03)
------ ------ ------ ------ ------
Net asset value, end of period......... $ 8.82 $ 8.88 $ 8.78 $ 9.20 $10.08
====== ====== ====== ====== ======
<CAPTION>
PORTFOLIOS
----------------
DECEMBER (10)(o)
----------------
<S> <C>
Per membership interest data:
Net asset value, beginning of period... $10.00
Income (loss) from investment
operations:
Net investment income................ 0.01
Net realized & unrealized gain (loss)
on investments..................... 0.01
------
Total Income (loss) from
Investment operations....... 0.02
------
Less distributions:
Dividends from net investment
income............................. (0.01)
Distributions from net realized
capital gains...................... 0.00
------
Total distributions........... (0.01)
------
Net asset value, end of period......... $10.01
======
</TABLE>
<TABLE>
<CAPTION>
6 MONTH 5 MONTH 4 MONTH 3 MONTH 2 MONTH
------- ------- ------- ------- -------
<S> <C> <C> <C> <C> <C>
Total return (b)....................... (10.90%) (10.37%) (11.65%) (7.33%) 1.13%
Ratios net of fees reimbursed by
advisor (c):
Ratio of expenses to average net
assets (a)......................... 1.14% 0.94% 0.88% 0.85% 0.73%
Ratio of net investment income to
average net assets(a).............. 1.88% 2.21% 1.80% 2.50% 2.05%
Ratio assuming no fees reimbursed by
advisor:
Ratio of expenses to average net
assets (a)......................... 1.16% 1.32% 1.02% 0.97% 0.99%
Portfolio turnover rate................ 20% 21% 12% 14% 0%
Net assets at end of period
(millions)........................... $ 1.0 $ 0.8 $ 1.5 $ 1.4 $ 1.3
<CAPTION>
1 MONTH
-------
<S> <C>
Total return (b)....................... 0.17%
Ratios net of fees reimbursed by
advisor (c):
Ratio of expenses to average net
assets (a)......................... 0.50%
Ratio of net investment income to
average net assets(a).............. 0.81%
Ratio assuming no fees reimbursed by
advisor:
Ratio of expenses to average net
assets (a)......................... 0.90%
Portfolio turnover rate................ 0%
Net assets at end of period
(millions)........................... $ 1.5
</TABLE>
- ---------------
(a) Annualized.
(b) Calculated on an aggregate basis (not annualized).
(j) The inception date for this portfolio was July 1, 1999.
(k) The inception date for this portfolio was August 2, 1999.
(l) The inception date for this portfolio was September 1 , 1999.
(m) The inception date for this portfolio was October 1, 1999.
(n) The inception date for this portfolio was November 1, 1999.
(o) The inception date for this portfolio was December 1, 1999.
The accompanying notes are an integral part of these financial statements.
29
<PAGE> 31
THE DOW(SM) TARGET VARIABLE FUND LLC
FINANCIAL HIGHLIGHTS FOR THE YEAR ENDED DECEMBER 31, 1999
<TABLE>
<CAPTION>
SEPTEMBER (5)(p) OCTOBER (5)(q) NOVEMBER (5)(r) DECEMBER (5)(s)
---------------- -------------- --------------- ---------------
<S> <C> <C> <C> <C>
Per membership interest data:
Net asset value, beginning of period...................... $10.00 $10.00 $10.00 $10.00
Income (loss) from investment operations:
Net investment income................................... 0.07 0.06 0.05 0.02
Net realized & unrealized loss on investments........... (2.54) (1.53) (0.07) 0.00
------ ------ ------ ------
Total income (loss) from investment operations... (2.47) (1.47) (0.02) 0.02
------ ------ ------ ------
Less distributions:
Dividends from net investment income.................... (0.07) (0.06) (0.04) (0.02)
------ ------ ------ ------
Total distributions.............................. (0.07) (0.06) (0.04) (0.02)
------ ------ ------ ------
Net asset value, end of period............................ $ 7.46 $ 8.47 $ 9.94 $10.00
====== ====== ====== ======
</TABLE>
<TABLE>
<CAPTION>
4 MONTH 3 MONTH 2 MONTH 1 MONTH
------- ------- ------- -------
<S> <C> <C> <C> <C>
Total return (b).......................................... (24.78%) (14.70%) (0.20%) 0.17%
Ratios net of fees reimbursed by advisor (c):
Ratio of expenses to average net assets (a)............. 0.98% 0.92% 0.90% 0.69%
Ratio of net investment income to average net assets
(a)................................................... 2.72% 2.72% 3.16% 2.27%
Ratio assuming no fees reimbursed by advisor:
Ratio of expenses to average net assets (a)............. 4.79% 2.60% 2.75% 2.43%
Portfolio turnover rate................................... 1% 0% 0% 0%
Net assets at end of period (millions).................... $ 0.2 $ 0.3 $ 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.
(p) The inception date for this portfolio was September 1 , 1999.
(q) The inception date for this portfolio was October 1, 1999.
(r) The inception date for this portfolio was November 1, 1999.
(s) The inception date for this portfolio was December 1, 1999.
The accompanying notes are an integral part of these financial statements.
30
<PAGE> 32
THE DOW(SM) TARGET VARIABLE FUND LLC December 31, 1999
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)
31
<PAGE> 33
THE DOW(SM) TARGET VARIABLE FUND LLC December 31, 1999
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
The gross unrealized appreciation and depreciation on investments in each
portfolio as of December 31, 1999 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........................ .$ 44,643 $ 133,277 $ 48,873 $ 41,224 $ 13,542 $ 28,931
Depreciation........................ (47,076) (90,986) (100,312) (204,344) (143,298) (186,775)
Net Unrealized:
Appreciation (Depreciation)......... (2,432) 42,291 (51,438) (163,120) (129,756) (157,845)
</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........................ $ 24,589 $ 14,099 $ 43,025 $ 39,978 $ 30,214 $ 30,145
Depreciation........................ (151,975) (138,655) (175,723) (119,867) (34,925) (20,521)
Net Unrealized:
Appreciation (Depreciation)......... (127,386) (124,555) (132,698) (79,889) (4,711) 9,625
</TABLE>
<TABLE>
<CAPTION>
SEPT.(5) OCT.(5) NOV.(5) DEC.(5)
---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C>
Gross unrealized:
Appreciation........................ $ 4,319 $ 2,741 $ 5,165 $ 4,208
Depreciation........................ (44,841) (48,256) (7,395) (4,031)
Net Unrealized:
Appreciation (Depreciation)......... (40,522) (45,514) (2,230) 177
</TABLE>
(2) INVESTMENT TRANSACTIONS
Purchases and sales of investment securities (excluding short-term
securities) for the year ended December 31, 1999 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........................... $ 554,871 $1,421,147 $1,521,310 $2,006,645 $1,153,737 $1,536,868
Sales............................... 105,538 343,175 508,905 432,838 258,540 183,528
</TABLE>
<TABLE>
<CAPTION>
JULY(10) AUG.(10) SEPT.(10) OCT.(10) NOV.(10) DEC.(10)
---------- ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C>
Stocks
Purchases........................... $1,393,086 $1,137,494 $1,810,469 $1,646,362 $1,314,123 $1,419,279
Sales............................... 241,384 183,635 185,706 200,020 0 0
</TABLE>
<TABLE>
<CAPTION>
SEPT.(5) OCT.(5) NOV.(5) DEC.(5)
---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C>
Stocks
Purchases........................... $ 193,126 $ 314,798 $ 199,742 $ 195,555
Sales............................... 1,992 0 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.
(continued)
32
<PAGE> 34
THE DOW(SM) TARGET VARIABLE FUND LLC December 31, 1999
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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 year ended December 31, 1999 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........ 55,645 153,255 151,374 191,129 120,137 155,026
Capital shares issued on Reinvested
dividends........................ 1,271 4,788 5,111 3,779 1,066 1,356
Capital shares redeemed............. 11,069 44,739 52,108 69,571 34,885 27,113
</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........ 146,290 123,810 194,228 178,588 154,314 151,006
Capital shares issued on Reinvested
dividends........................ 1,252 987 1,062 1,019 422 99
Capital shares redeemed............. 35,311 34,076 28,109 27,923 22,318 3,848
</TABLE>
<TABLE>
<CAPTION>
SEPT.(5) OCT.(5) NOV.(5) DEC.(5)
---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C>
Capital shares issued on sales........ 20,926 31,866 21,561 20,703
Capital shares issued on Reinvested
dividends........................ 179 232 92 40
Capital shares redeemed............. 83 61 287 2
</TABLE>
33
<PAGE> 35
THE DOW(SM) TARGET VARIABLE FUND LLC
INDEPENDENT AUDITORS' REPORT
The Board of Directors and Shareholders of
Dow(SM) Target Variable Fund LLC:
We have audited the accompanying statements of assets and liabilities of Dow(SM)
Target Variable Fund LLC. -- Dow 10 January, Dow 10 February, Dow 10 March, Dow
10 April, Dow 10 May, Dow 10 June, Dow 10 July, Dow 10 August, Dow 10 September,
Dow 10 October, Dow 10 November, Dow 10 December, Dow 5 September, Dow 5
October, Dow 5 November, Dow 5 December (collectively, the Funds), including the
schedules of investments, as of December 31, 1999 and the related statements of
operations, statements of changes in net assets and the financial highlights for
the periods indicated herein. These financial statements and financial
highlights are the responsibility of the Funds' management. Our responsibility
is to express an opinion on these financial statements and financial highlights
based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free of material
misstatement. An audit includes examining, on a test basis, evidence supporting
the amounts and disclosures in the financial statements. Our procedures included
verification of securities owned as of December 31, 1999, by confirmation with
the custodians and brokers and other appropriate audit procedures. An audit also
includes assessing the accounting principles used and significant estimates made
by management, as well as evaluating the overall financial statement
presentation. We believe that our audits provide a reasonable basis for our
opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of the
Funds at December 31, 1999, the results of their operations, the changes in
their net assets and the financial highlights for the periods indicated herein,
in conformity with generally accepted accounting principles.
KPMG LLP
Cincinnati, Ohio
February 11, 2000
34
<PAGE> 36
THIS PAGE INTENTIONALLY LEFT BLANK
35
<PAGE> 37
THIS PAGE INTENTIONALLY LEFT BLANK
36
<PAGE> 38
THE DOW(SM) TARGET VARIABLE FUND LLC
P.O. Box 371
Cincinnati, Ohio 45201
Form 8599
