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[WELLS FARGO FUNDS LOGO]
Annual Report
VARIABLE TRUST
December 31, 1999
[LOGO]
VARIABLE TRUST ASSET ALLOCATION FUND
VARIABLE TRUST CORPORATE BOND FUND
VARIABLE TRUST EQUITY INCOME FUND
VARIABLE TRUST EQUITY VALUE FUND
VARIABLE TRUST GROWTH FUND
VARIABLE TRUST LARGE COMPANY GROWTH FUND
VARIABLE TRUST MONEY MARKET FUND
VARIABLE TRUST SMALL CAP GROWTH FUND
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VARIABLE TRUST
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TABLE OF CONTENTS
LETTER TO CONTRACTHOLDERS......................................................1
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PERFORMANCE HIGHLIGHTS
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VARIABLE TRUST ASSET ALLOCATION FUND.........................................2
VARIABLE TRUST CORPORATE BOND FUND...........................................4
VARIABLE TRUST EQUITY INCOME FUND............................................6
VARIABLE TRUST EQUITY VALUE FUND.............................................8
VARIABLE TRUST GROWTH FUND..................................................10
VARIABLE TRUST LARGE COMPANY GROWTH FUND....................................12
VARIABLE TRUST MONEY MARKET FUND............................................14
VARIABLE TRUST SMALL CAP GROWTH FUND........................................16
PORTFOLIO OF INVESTMENTS
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VARIABLE TRUST ASSET ALLOCATION FUND........................................18
VARIABLE TRUST CORPORATE BOND FUND..........................................33
VARIABLE TRUST EQUITY INCOME FUND...........................................37
VARIABLE TRUST EQUITY VALUE FUND............................................40
VARIABLE TRUST GROWTH FUND..................................................44
VARIABLE TRUST LARGE COMPANY GROWTH FUND....................................48
VARIABLE TRUST MONEY MARKET FUND............................................50
VARIABLE TRUST SMALL CAP GROWTH FUND........................................52
FINANCIAL STATEMENTS
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STATEMENTS OF ASSETS AND LIABILITIES........................................58
STATEMENTS OF OPERATIONS....................................................60
STATEMENTS OF CHANGES IN NET ASSETS.........................................62
FINANCIAL HIGHLIGHTS........................................................66
NOTES TO FINANCIAL HIGHLIGHTS.................................................68
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NOTES TO FINANCIAL STATEMENTS.................................................69
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INDEPENDENT AUDITORS' REPORT..................................................75
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LIST OF ABBREVIATIONS.........................................................76
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NOT FDIC INSURED--NO BANK GUARANTEE--MAY LOSE VALUE
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VARIABLE TRUST
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DEAR VALUED CONTRACTHOLDERS,
It's a pleasure to provide you with this Wells Fargo Variable Trust Funds
annual report for the period ended December 31, 1999. The report includes the
eight Wells Fargo Variable Trust Funds. As always, thank you for your
continued investment with Wells Fargo Variable Trust Funds (formerly Wells
Fargo Life and Annuity Funds and Norwest Select Funds).
The economy finished 1999 on a positive note, despite the Federal Reserve
Board's (the "Fed") three interest rate increases, leaving it well-positioned
for a record 10th straight year of economic growth. With Y2K a nonevent, the
latest growth cycle is poised to become the longest expansion on record, if
growth continues through early 2000.
Beginning in June 1999, the economic expansion entered a "peaking phase," and
the financial markets started looking quite different from late 1998 and early
1999. During a peaking phase, real economic growth remains solid but stops
accelerating. Once the pace of real economic growth peaked early in the
reporting period, stock markets around the globe stopped outpacing bonds.
After a volatile year, the stock markets ended higher and the bond markets
lower, with the S&P 500 Stock Index(1) returning 21.04% for the year compared
to (0.82%) for the Lehman Brothers Aggregate Bond Index(2). Stock prices and
long-term bond yields stopped rising consistently and prices of both stocks
and bonds settled into a trading range that has been in force since June.
Corporate bond yield spreads stopped narrowing. With the three interest rate
increases, leadership within the stock market reverted back toward large cap
growth stocks and away from cyclical, value and small cap stocks during the
12-month period.
Even though economic growth appears to be on the verge of slowing in early
2000, the Fed may raise interest rates again during the spring and summer of
2000 to help curb inflation. However, such interest rate increases are
expected to be modest and could sufficiently slow the economy, thus reducing
the likelihood of further interest rate increases by the Fed.
Choosing to invest in a variable annuity can be a prudent investment strategy
for tax-deferred retirement planning and protection of wealth. Whatever the
market conditions, we recommend that you continually review your variable
annuity portfolio to determine an appropriate mix of investments. We
appreciate your business and strive to offer a variety of investment options
to help you potentially achieve your financial goals. If you have any
questions about your investment or need more information, please contact us at
1-800-222-8222.
Thank you again for choosing Wells Fargo Variable Trust Funds.
Sincerely,
<TABLE>
<S> <C>
[SIGNATURE] [SIGNATURE]
MICHAEL J. HOGAN W. RODNEY HUGHES
EXECUTIVE VICE PRESIDENT, PRESIDENT,
WELLS FARGO BANK, N.A. WELLS FARGO FUNDS
</TABLE>
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(1) The S&P 500 Index is an unmanaged index of 500 widely held common stocks
representing, among others, industrial, financial, utility and transportation
companies listed or traded on national exchanges or over-the-counter markets.
The Fund is a professionally managed mutual fund. You cannot invest directly in
an index.
(2) The Lehman Brothers Aggregate Bond Index is composed of the Lehman
Government/Corporate Index and the Mortgage- Backed Securities Index and
includes treasury issues, agency issues, corporate bond issues and
mortgage-backed securities. You cannot invest directly in an index.
1
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VARIABLE TRUST PERFORMANCE HIGHLIGHTS
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VARIABLE TRUST ASSET ALLOCATION FUND
INVESTMENT OBJECTIVE
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The Wells Fargo Variable Trust Asset Allocation Fund (the "Fund") seeks
long-term total return, consistent with reasonable risk. The Fund invests in
common stocks, U.S. Treasury bonds and money market instruments.
ADVISOR
Wells Fargo Bank, N.A.
FUND MANAGERS
Team managed
INCEPTION DATE
4/15/94
PERFORMANCE HIGHLIGHTS
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The Fund returned 9.33%(1) for the 12-month period ended December 31, 1999.
The Fund's benchmark is allocated 60% S&P 500 Index(2), which returned 21.04%
during the period, and 40% Lehman Brothers 20+ Bond Index(3), which returned
(2.56)%. The Fund distributed $0.26 per share in dividend income and minimal
capital gains during the period. Please keep in mind past performance is no
guarantee of future results.
The Fund's portfolio comprises three classes of investments: stocks, bonds
and cash. It normally allocates its assets 60% stocks, 40% bonds and 0% cash.
In early 1999, the Fund had been significantly overweighted in stocks to take
advantage of the rising stock market, but during the first half of the year it
returned to its normal allocation. This shift enabled the Fund to capture
significant gains and take advantage of the stronger performance of the
30-year bond relative to the S&P 500 Index in the final month of the third
quarter. The Fund ended 1999 with its asset allocation model at 62% stocks,
38% bonds and 0% cash.
The Federal Reserve Board (the "Fed") raised interest rates to 5.00% from
4.75% during the second quarter of 1999, citing improved global financial
conditions, recovering foreign economies and continued robustness in the
domestic economy. The S&P 500 Index enjoyed a healthy gain of 7.05% during the
second quarter to end on a new high. June, in particular, was a strong month,
returning 5.55% on the back of May's 2.36% loss. Underpinning the market's
ascent was a consumer confidence level that had not been seen in decades, as
the U.S. economy continued to grow.
Bond markets, early in the year, experienced disappointing returns as
interest rates remained at their highest levels in over a year and bond prices
fell. Evidence of a troubled second quarter for bonds came in the form of a
continued decline in 30-year U.S. Treasury bond prices, while yields were
pushed up from 4.70% to 6.10% during the eight-month period ended June 30,
1999. Additionally, yield spreads of corporate bonds widened relative to
comparable maturity U.S. Treasury bonds in June and, as a result, the higher
returns of corporate bonds were negated by the lower performance of
equivalent-duration U.S. Treasury securities.
In the third and fourth quarters of 1999, the Fed raised interest rates
again, demonstrating that it did not think U.S. inflation had been tamed. In a
reprise of what became one of the recent years' rites of summer, the stock
market sagged in the third quarter as investors grew cautious about the
prospects of extending the nation's economic expansion into its tenth year.
Technology stocks continued to outperform and were largely responsible for the
positive performance of the S&P 500 Index during the fourth quarter. The bond
market staged a rally late in the fourth quarter as nervous investors fled the
lower-performing third quarter stock market.
2
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PERFORMANCE HIGHLIGHTS VARIABLE TRUST
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AVERAGE ANNUAL TOTAL RETURN(1) (%) (AS OF DECEMBER 31, 1999)
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<TABLE>
<CAPTION>
Since
6-Month 1-Year 5-Year Inception
<S> <C> <C> <C> <C>
VARIABLE TRUST ASSET ALLOCATION FUND 3.04 9.33 18.93 16.61
S&P 500 INDEX 7.69 21.04 28.56
LEHMAN BROTHERS 20+ BOND INDEX (2.82) (10.06) 9.30
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FUND CHARACTERISTICS
(AS OF DECEMBER 31, 1999)
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<TABLE>
<S> <C>
PORTFOLIO TURNOVER RATIO 30%
NUMBER OF HOLDINGS 528
WEIGHTED AVERAGE MATURITY OF BOND
PORTFOLIO 22.2 YEARS
ESTIMATED DURATION OF BOND PORTFOLIO 10.5 YEARS
NAV $14.42
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TEN LARGEST HOLDINGS(4)
(AS OF DECEMBER 31, 1999)
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<TABLE>
<S> <C>
US T-BOND 8.00% 11/15/21 3.30%
MICROSOFT CORPORATION 2.90%
US T-BOND 6.25% 8/15/23 2.70%
US T-BILL 1/27/00 2.70%
US T-BOND 8.75% 8/15/20 2.60%
GENERAL ELECTRIC CORPORATION 2.50%
US T-BOND 7.13% 2/15/23 2.00%
US T-BOND 8.50% 2/15/20 1.80%
CISCO SYSTEMS, INCORPORATED 1.70%
US T-BOND 6.88% 8/15/25 1.70%
</TABLE>
PORTFOLIO ALLOCATION(5) (AS OF DECEMBER 31, 1999)
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EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<S> <C>
Stocks 62%
Bonds 38%
</TABLE>
GROWTH OF $10,000 INVESTMENT(6)
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EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
APR-94 WELLS FARGO VARIABLE LEHMAN BROTHERS 20+ S&P 500
TRUST ASSET ALLOCATION INDEX BOND INDEX INDEX
$10,000 $10,000 $10,000
<S> <C> <C> <C>
May-94 $9,940 $10,118 $10,164
Jun-94 $9,796 $10,017 $9,915
Jul-94 $10,107 $10,246 $10,241
Aug-94 $10,248 $10,275 $10,660
Sep-94 $9,964 $10,069 $10,400
Oct-94 $10,055 $9,804 $10,633
Nov-94 $9,954 $9,574 $10,246
Dec-94 $10,113 $9,875 $10,398
Jan-95 $10,384 $10,261 $10,668
Feb-95 $10,707 $10,633 $11,083
Mar-95 $10,894 $10,755 $11,409
Apr-95 $11,137 $10,752 $11,745
May-95 $11,686 $11,158 $12,214
Jun-95 $11,870 $10,986 $12,497
Jul-95 $12,031 $11,043 $12,911
Aug-95 $12,127 $11,194 $12,944
Sep-95 $12,438 $11,283 $13,490
Oct-95 $12,514 $11,523 $13,442
Nov-95 $12,860 $11,778 $14,031
Dec-95 $13,041 $11,943 $14,301
Jan-96 $13,284 $12,004 $14,788
Feb-96 $13,180 $11,867 $14,925
Mar-96 $13,256 $11,677 $15,068
Apr-96 $13,233 $11,630 $15,290
May-96 $13,350 $11,644 $15,683
Jun-96 $13,531 $11,808 $15,742
Jul-96 $13,223 $11,924 $15,047
Aug-96 $13,199 $11,905 $15,364
Sep-96 $13,705 $12,145 $16,227
Oct-96 $14,185 $12,291 $16,675
Nov-96 $14,917 $12,548 $17,934
Dec-96 $14,535 $12,474 $17,579
Jan-97 $14,815 $12,462 $18,678
Feb-97 $14,853 $12,595 $18,824
Mar-97 $14,323 $12,397 $18,050
Apr-97 $14,904 $12,535 $19,126
May-97 $15,406 $12,760 $20,294
Jun-97 $15,820 $12,921 $21,197
Jul-97 $16,903 $13,355 $22,883
Aug-97 $16,211 $13,191 $21,601
Sep-97 $16,822 $13,373 $22,783
Oct-97 $16,849 $13,471 $22,022
Nov-97 $17,232 $13,580 $23,041
Dec-97 $17,569 $13,827 $23,438
Jan-98 $17,833 $13,982 $23,696
Feb-98 $18,624 $13,972 $25,404
Mar-98 $19,295 $13,992 $26,705
Apr-98 $19,458 $13,920 $26,977
May-98 $19,354 $14,172 $26,513
Jun-98 $20,075 $14,236 $27,590
Jul-98 $19,881 $14,266 $27,297
8/31/98 $17,985 $14,513 $23,353
9/30/98 $18,996 $14,717 $24,850
10/31/98 $20,090 $14,670 $26,867
11/30/98 $21,065 $14,738 $28,496
12/31/98 $22,008 $14,770 $30,137
1/31/99 $22,760 $14,928 $31,406
02/28/99 $21,942 $14,865 $30,426
03/31/99 $22,567 $14,918 $31,643
4/30/99 $23,208 $14,958 $32,867
5/31/99 $22,715 $14,846 $32,092
6/30/99 $23,349 $14,605 $33,838
7/31/99 $22,838 $14,623 $32,781
8/31/99 $22,723 $14,387 $32,619
9/30/99 $22,394 $14,341 $31,725
10/31/99 $23,190 $14,044 $33,733
11/30/99 $23,389 $14,254 $34,418
12/31/99 $24,060 $14,080 $36,445
</TABLE>
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(1) FIGURES QUOTED REPRESENT PAST PERFORMANCE, WHICH IS NO GUARANTEE OF FUTURE
RESULTS. Investment return and principal value of an investment will fluctuate
so that an investor's shares, when redeemed, may be worth more or less than
their original cost. The Fund's managers have voluntarily waived all or a
portion of their management fees or assumed responsibility for other expenses,
which reduces operating expenses and increases total return to shareholders.
Without these reductions the Fund's returns would have been lower. These
reductions may be discontinued at any time. Performance figures of the Fund do
not reflect charges pursuant to the terms of the variable life insurance
policies and variable annuity contracts funded by separate accounts that invest
in the Fund's shares.
Performance shown for the Wells Fargo Variable Trust Asset Allocation Fund for
periods prior to September 20, 1999, reflects performance of the Life and
Annuity Trust Asset Allocation Fund, its predecessor fund. Effective at the
close of business September 17, 1999, the Life and Annuity Trust and Norwest
Select Funds were reorganized into the Wells Fargo Variable Trust Funds.
(2) The S&P 500 Index is an unmanaged index of 500 widely held common stocks
representing, among others, industrial, financial, utility, and transportation
companies listed or traded on national exchanges or over-the-counter markets.
The Fund is a professionally managed mutual fund. You cannot invest directly in
an index.
(3) The Lehman Brothers 20+ Bond Index is an unmanaged index composed of
securities in the U.S. Treasury Index with maturities of 20 years or greater.
The U.S. Treasury Index represents public obligations of the U.S. Treasury with
a remaining maturity of one year or more. You cannot invest directly in an
index.
(4) The Ten Largest Holdings is calculated based on the market value of the
securities divided by total market value of the portfolio.
(5) Represents recommended asset mix. There is no guarantee that the Fund will
continue to hold any one particular security or stay invested in any one sector.
The composition of the Fund's portfolio is subject to change depending on
current market activity.
(6) The chart compares the performance of the Wells Fargo Variable Trust Asset
Allocation Fund since inception with the S&P 500 Index and the Lehman Brothers
20+ Bond Index. The chart assumes a hypothetical $10,000 investment and reflects
all operating expenses. The Fund is a professionally managed mutual fund.
3
<PAGE>
VARIABLE TRUST PERFORMANCE HIGHLIGHTS
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VARIABLE TRUST CORPORATE BOND FUND
INVESTMENT OBJECTIVE
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The Wells Fargo Variable Trust Corporate Bond Fund (the "Fund") seeks a high
level of current income, consistent with reasonable risk. The Fund invests
primarily in corporate debt securities and U.S. Government obligations.
ADVISOR
Wells Fargo Bank, N.A.
FUND MANAGERS
N. Graham Allen, FCMA
John W. (Jack) Burgess
Jacqueline A. Flippin
Daniel J. Kokoszka, CFA
Scott Smith, CFA
INCEPTION DATE
9/20/99
PERFORMANCE HIGHLIGHTS
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The Fund returned (0.16%)(1) for the period from September 20, 1999
(commencement of operations) to December 31, 1999. The Fund distributed $0.16
per share in dividend income and no capital gains during the period. Please
keep in mind past performance is no guarantee of future results.
The Fund had a negative return as long-term interest rates rose. The
duration/average maturity was positioned approximately 10% longer than the
benchmark as the benign inflation environment continued. The Fund's negative
return was due to its long duration in a rising interest rate environment, and
concerns over Y2K which drove high-yield and investment-grade corporate
spreads wider. This rise in rates was driven by strong domestic economic
growth with low inflation.
In addition, corporate spreads widened on a record level of new-issue
corporate bonds and fears over Y2K disruptions. Portfolio duration hindered
performance, but holdings in energy bonds and real estate investment trusts
(REIT) debentures had a positive impact. The Fund added to its high-yield
exposure as spreads widened in the fourth quarter, and the fundamental
earnings outlook remained very positive for corporations. Consumer spending
remained robust in the fourth quarter and will likely follow through into the
first quarter of the new year.
STRATEGIC OUTLOOK
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While the Fund expects inflation to remain under control, the Federal Reserve
Board may raise interest rates again during the spring and summer of 2000. In
such an environment, the Fund's duration will be reduced to neutral and
fundamentals for the corporate sector should remain intact. The Fund will
maintain a full weighting in both high-yield and investment-grade corporate
securities.
4
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PERFORMANCE HIGHLIGHTS VARIABLE TRUST
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TOTAL RETURN(1) (%) (AS OF DECEMBER 31, 1999)
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<TABLE>
<CAPTION>
Since
1-Month 3-Month Inception
<S> <C> <C> <C>
VARIABLE TRUST CORPORATE BOND FUND (0.46) (0.21) (0.16)
LEHMAN BROTHERS CORPORATE LONG BOND INDEX(2) (0.91) (0.47) (5.78)
</TABLE>
FUND CHARACTERISTICS (AS OF DECEMBER 31, 1999)
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<TABLE>
<S> <C>
PORTFOLIO TURNOVER 59%
NUMBER OF HOLDINGS 79
AVERAGE CREDIT QUALITY(3) Baa1
NAV $9.82
DISTRIBUTION RATE(4) 6.53%
SEC YIELD(5) 6.71%
</TABLE>
PORTFOLIO ALLOCATION(6) (AS OF DECEMBER 31, 1999)
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EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<S> <C>
T-notes (5.79%)
T-bonds (16.07%)
Mortgage-Backed Securities (3.31%)
Fixed-Rate Notes (41.74%)
Fixed-Rate Bonds (32.42%)
Muni Notes (0.29%)
Repurchase Agreements (0.38%)
</TABLE>
GROWTH OF $10,000 INVESTMENT(7)
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EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
WELLS FARGO VARIABLE LEHMAN CORP LONG
TRUST CORPORATE BOND FUND BOND INDEX
<S> <C> <C>
9/20/99 $10,000 $10,000
9/30/99 $10,005 $10,106
10/31/99 $10,060 $10,169
11/30/99 $10,030 $10,151
12/31/99 $9,984 $10,059
</TABLE>
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(1) FIGURES QUOTED REPRESENT PAST PERFORMANCE, WHICH IS NO GUARANTEE OF FUTURE
RESULTS. Investment return and principal value of an investment will fluctuate
so that an investor's shares, when redeemed, may be worth more or less than
their original cost. The Fund managers have voluntarily waived all or a portion
of their management fees or assumed responsibility for other expenses, which
reduces operating expenses and increases total return to shareholders. Without
these reductions the Fund's returns would have been lower. These reductions may
be discontinued at any time. Performance figures of the Fund do not reflect
charges pursuant to the terms of the variable life insurance policies and
variable annuity contracts funded by separate accounts that invest in the Fund's
shares.
(2) The Lehman Brothers Corporate Long Bond Index is a total return index of
all publicly-issued, fixed-rate, non-convertible investment grade domestic
corporate bonds and Yankee Bonds. All bonds have maturities of at least 10 years
or more. The returns are weighted by market value including accrued interest.
The bonds represented in this index are subject to investment risk, including
loss of principal, if sold prior to maturity, and also to default. You cannot
invest directly in an index.
(3) The average credit rating is compiled from the ratings of Standard & Poor's
and/or Moody's Investors Service (together "rating agencies"). Standard & Poor's
is a trademark of McGraw-Hill, Inc., and has been licensed. The Fund is not
sponsored, sold or promoted by these rating agencies and these rating agencies
make no representation regarding the advisability of investing in the Fund.
(4) The distribution rate is based on the actual distributions made by the
Fund. The distribution rate is calculated by annualizing the Fund's most recent
income dividend and dividing that figure by the applicable current public
offering price.
(5) The formula used to calculate the SEC yield is described in detail in the
Fund's Statement of Additional Information and is designed to standardize the
yield calculations so that all mutual fund companies with the same or similar
portfolios quote a uniform yield figure for their non-money market
advertisements. SEC yields include the actual amount of interest earned adjusted
by any gain or loss realized due to the return of principal, less expenses and
the maximum offering price calculated on a 30-day month-end basis.
(6) Portfolio holdings are subject to change.
(7) The chart compares the performance of the Wells Fargo Variable Trust
Corporate Bond Fund since inception with the Lehman Brothers Corporate Long Bond
Index. The chart assumes a hypothetical $10,000 investment and reflects all
operating expenses. The Fund is a professionally managed mutual fund.
5
<PAGE>
VARIABLE TRUST PERFORMANCE HIGHLIGHTS
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VARIABLE TRUST EQUITY INCOME FUND
INVESTMENT OBJECTIVE
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The Wells Fargo Variable Trust Equity Income Fund (the "Fund") seeks long-term
capital appreciation and above-average dividend income.
ADVISOR
Wells Fargo Bank, N.A.
FUND MANAGERS
David L. Roberts, CFA
Gary J. Dunn, CFA
INCEPTION DATE
5/6/96
PERFORMANCE HIGHLIGHTS
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The Fund returned 7.90%(1) for the 12-month period ended December 31, 1999,
underperforming the S&P 500 Index(2), which returned 21.04% for the period,
but outperforming the Russell 1000 Value Index(3), which returned 7.35%. The
Fund underperformed the S&P 500 Index as it chose to underweight in the
technology sector. Valuations for technology stocks were at historically high
levels, especially for large cap technology stocks. Excluding the technology
and telecommunications companies in the S&P 500 Index, the remaining 434
companies actually declined by 4.2% for 1999. The Fund distributed $0.17 per
share in dividend income and no capital gains during the period. Please keep
in mind past performance is no guarantee of future results.
The Fund benefited from its overweighted position in capital goods stocks,
such as General Electric and Honeywell; energy stocks including Atlantic
Richfield, Royal Dutch and Schlumberger; and financial holdings, including
American Express and J. P. Morgan. In the financial sector, the Fund built a
position in St. Paul Companies, the fourth largest property/casualty company
in the country. St. Paul Companies, which trades at about book value, grew its
dividend 7% annually over the past five years and sells at less than 12 times
earnings. The Fund rebounded 65% from the depressed levels of 1998.
U.S. Bancorp, which was down 35% in 1999, announced it would not meet fourth
quarter earnings estimates. Tyco International was down based on questions
concerning liberal accounting practices that may have resulted in higher
earnings being reported than if more conservative accounting methods had been
utilized. The stock price was even for the year after dropping 30% in value in
the fourth quarter.
The Fund added IBM and Disney during the fourth quarter. IBM's earnings were
expected to grow about 18% and double-digit revenue and earnings per share
growth were expected over the next three years. The Fund believes that Disney
is a tremendous franchise and provides significant growth opportunities in its
film and broadcasting divisions, theme parks and resorts.
Over the past year, the Fund has seen very good value in the consumer goods
sector and has been building its positions in Fortune Brands, Pepsico and May
Department Stores. These all have had double digit annual earnings growth over
the past five years that has not been recognized in their stock prices.
STRATEGIC OUTLOOK
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The Fund expects slower economic growth in the U.S. in 2000, but increased
growth in Europe and Asia. As foreign economies improve, the Fund should
benefit from its exposure to many U.S. companies that derive 35% to 50% of
their revenue from non-U.S. sources. If, however, growth in technology
continues to accelerate, Fund performance could lag as a result of its lower
weighting in the technology sector.
6
<PAGE>
PERFORMANCE HIGHLIGHTS VARIABLE TRUST
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AVERAGE ANNUAL TOTAL RETURN(1) (%) (AS OF DECEMBER 31, 1999)
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<TABLE>
<CAPTION>
Since
6-Month 1-Year Inception
<S> <C> <C> <C>
VARIABLE TRUST EQUITY INCOME FUND (4.30) 7.90 17.14
RUSSELL 1000 VALUE INDEX (4.90) 7.35
S&P 500 INDEX 7.69 21.04
</TABLE>
FUND CHARACTERISTICS
(AS OF DECEMBER 31, 1999)
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<TABLE>
<S> <C>
PORTFOLIO TURNOVER 5%
NUMBER OF HOLDINGS 51
NAV $17.09
SEC YIELD(4) 0.89%
</TABLE>
TEN LARGEST EQUITY HOLDINGS(5)
(AS OF DECEMBER 31, 1999)
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<TABLE>
<S> <C>
HEWLETT-PACKARD COMPANY 5.54%
LUCENT TECHNOLOGIES, INCORPORATED 4.34%
AT&T CORPORATION 3.62%
PEPSICO 3.35%
PROCTER & GAMBLE COMPANY 3.30%
EXXON MOBIL CORPORATION 3.19%
GENERAL ELECTRIC COMPANY 3.16%
TYCO INTERNATIONAL LIMITED 2.96%
DAYTON HUDSON CORPORATION 2.84%
AMERICAN EXPRESS 2.76%
</TABLE>
PORTFOLIO ALLOCATION(6) (AS OF DECEMBER 31, 1999)
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EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<S> <C>
Stocks 97.84%
Cash 2.16%
</TABLE>
GROWTH OF $10,000 INVESTMENT(7)
- ----------------------------------------------
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
WELLS FARGO VARIABLE RUSSELL 1000 S&P 500
TRUST EQUITY INCOME FUND VALUE INDEX INDEX
<S> <C> <C> <C>
5/6/96 $10,000 $10,000 $10,000
5/31/96 $10,000 $10,125 $10,257
6/30/96 $10,110 $10,133 $10,296
7/31/96 $9,710 $9,750 $9,841
8/31/96 $9,830 $10,029 $10,049
9/30/96 $10,250 $10,427 $10,613
10/31/96 $10,490 $10,831 $10,906
11/30/96 $11,170 $11,616 $11,730
12/31/96 $10,995 $11,467 $11,497
1/31/97 $11,540 $12,023 $12,216
2/28/97 $11,691 $12,200 $12,311
3/31/97 $11,348 $11,761 $11,805
4/30/97 $11,681 $12,255 $12,509
5/31/97 $12,215 $12,940 $13,273
6/30/97 $12,719 $13,495 $13,864
7/31/97 $13,535 $14,511 $14,966
8/31/97 $12,910 $13,995 $14,128
9/30/97 $13,525 $14,840 $14,901
10/31/97 $13,132 $14,426 $14,403
11/30/97 $13,716 $15,063 $15,070
12/31/97 $13,953 $15,503 $15,329
1/31/98 $13,994 $15,285 $15,498
2/28/98 $14,902 $16,313 $16,615
3/31/98 $15,647 $17,312 $17,466
4/30/98 $15,800 $17,428 $17,644
5/31/98 $15,585 $17,170 $17,340
6/30/98 $15,830 $17,389 $18,044
7/31/98 $15,381 $17,082 $17,853
8/31/98 $13,545 $14,540 $15,273
9/30/98 $14,290 $15,375 $16,252
10/31/98 $15,290 $16,566 $17,572
11/30/98 $15,993 $17,338 $18,637
12/31/98 $16,523 $17,929 $19,710
1/31/99 $16,472 $18,073 $20,540
2/28/99 $16,482 $17,818 $19,899
3/31/99 $17,091 $18,187 $20,695
4/30/99 $17,959 $19,885 $21,496
5/31/99 $17,917 $19,667 $20,989
6/30/99 $18,630 $20,237 $22,131
7/31/99 $18,145 $19,664 $21,440
8/31/99 $17,856 $18,915 $21,334
9/30/99 $17,195 $18,255 $20,749
10/31/99 $17,659 $19,307 $22,062
11/30/99 $17,814 $19,156 $22,510
12/31/99 $17,829 $19,248 $23,836
</TABLE>
- --------------------------------------------------------------------------------
(1) FIGURES QUOTED REPRESENT PAST PERFORMANCE, WHICH IS NO GUARANTEE OF FUTURE
RESULTS. Investment return and principal value of an investment will fluctuate
so that an investor's shares, when redeemed, may be worth more or less than
their original cost. The Fund managers have voluntarily waived all or a portion
of their management fees or assumed responsibility for other expenses, which
reduces operating expenses and increases total return to shareholders. Without
these reductions the Fund's returns would have been lower. These reductions may
be discontinued at any time. Performance figures of the Fund do not reflect
charges pursuant to the terms of the variable life insurance policies and
variable annuity contracts funded by separate accounts that invest in the Fund's
shares.
Performance shown for the Wells Fargo Variable Trust Equity Income Fund for
periods prior to September 20, 1999, reflects performance of the Norwest Select
Income Equity Fund, its predecessor fund. Effective at the close of business
September 17, 1999, the Life and Annuity Trust and Norwest Select Funds were
reorganized into the Wells Fargo Variable Trust Funds.
(2) The S&P 500 Index is an unmanaged index of 500 widely held common stocks
representing, among others, industrial, financial, utility and transportation
companies listed or traded on national exchanges or over-the-counter markets.
The Fund is a professionally managed mutual fund. You cannot invest directly in
an index.
(3) The Russell 1000 Value Index measures the performance of those Russell 1000
companies with lower price-to-book ratios and lower forecasted growth values.
You cannot invest directly in an index.
(4) The formula used to calculate the SEC yield is described in detail in the
Fund's Statement of Additional Information and is designed to standardize the
yield calculations so that all mutual fund companies with the same or similar
portfolios quote a uniform yield figure for their non-money market
advertisements. SEC yields include the actual amount of interest earned adjusted
by any gain or loss realized due to the return of principal, less expenses and
the maximum offering price calculated on a 30-day month-end basis.
(5) The Ten Largest Equity Holdings is calculated based on the market value of
the securities divided by total market value of the portfolio.
(6) Portfolio holdings are subject to change.
(7) The chart compares the performance of the Wells Fargo Variable Trust Equity
Income Fund since inception with the S&P 500 Index and the Russell 1000 Value
Index. The chart assumes a hypothetical $10,000 investment and reflects all
operating expenses. The Fund is a professionally managed mutual fund.
7
<PAGE>
VARIABLE TRUST PERFORMANCE HIGHLIGHTS
- --------------------------------------------------------------------------------
VARIABLE TRUST EQUITY VALUE FUND
INVESTMENT OBJECTIVE
- --------------------------------------------------------------------------------
The Wells Fargo Variable Trust Equity Value Fund (the "Fund") seeks long-term
capital appreciation. The Fund invests in common stocks and foreign and
domestic convertible debt securities.
ADVISOR
Wells Fargo Bank, N.A.
FUND MANAGERS
Allen Wisniewski, CFA
Gregg Giboney, CFA
INCEPTION DATE
5/1/98
PERFORMANCE HIGHLIGHTS
- --------------------------------------------------------------------------------
The Fund returned (2.48)%(1) for the 12-month period ended December 31, 1999.
The Fund underperformed the S&P 500 Index(2), which returned 21.04%, and the
Russell 1000 Value Index(3), which returned 7.35%. The Fund underperformed due
to overall weakness in the returns provided by traditional value strategies,
market capitalization less than that of the benchmark in the first half of the
year and an emphasis on deeply discounted stocks. Another way to view the
Fund's performance is that it was contained within a rather narrow group of
stocks that failed to meet the disciplined value parameters of the Fund. The
Fund distributed $0.08 per share in dividend income and no capital gains
during the period. Please keep in mind past performance is no guarantee of
future results.
Economic factors changed significantly over the 12-month period. In the first
quarter, investors were still cautious following the Asian economic crisis.
This emphasis on safety allowed only large and liquid stocks to outperform. In
the second quarter, Asian worries abated and the Fund benefited from broad
market improvement and the effect of higher oil prices on energy stocks. The
third quarter was the Fund's worst period as Y2K worries peaked and interest
rates moved higher. During the fourth quarter, improving global and domestic
economic conditions began to positively influence certain cyclical and
industrial stocks.
Stocks that provided the best performance during the year included Alcoa
(basic goods), Exxon Mobil (energy), Honeywell (producer durables), Apple
Computer, IBM and Motorola (technology), and Morgan Stanley Dean Witter and
Citigroup (brokerage/financial).
STRATEGIC OUTLOOK
- --------------------------------------------------------------------------------
The Fund expects continued improvement in global economic conditions, healthy
domestic economic conditions and higher interest rates in the coming year. A
higher interest rate scenario implies a higher level of economic growth, which
would be helpful for basic goods and industrial companies. Technology may
continue to present excellent growth opportunities, and the Fund is expected
to participate to the extent that it can under its value discipline.
Value versus growth was the subject of considerable debate at the end of the
period. Growth stocks have dominated over the past few years due to factors
such as technological innovation and other disinflationary factors. Growth
stocks were trading at extremely high levels of valuation and inflation is
currently creeping higher. Under these conditions, traditional value
investment strategies may start to provide better relative and nominal
returns.
8
<PAGE>
PERFORMANCE HIGHLIGHTS VARIABLE TRUST
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN(1) (%) (AS OF DECEMBER 31, 1999)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Since
6-Month 1-Year Inception
<S> <C> <C> <C>
VARIABLE TRUST EQUITY VALUE FUND (9.74) (2.48) (3.73)
RUSSELL 1000 VALUE INDEX (4.90) 7.35
S&P 500 INDEX 7.69 21.04
</TABLE>
FUND CHARACTERISTICS
(AS OF DECEMBER 31, 1999)
- -----------------------------------------------------------
<TABLE>
<S> <C>
PORTFOLIO TURNOVER 139%
NUMBER OF HOLDINGS 88
NAV $9.23
</TABLE>
TEN LARGEST EQUITY HOLDINGS(4)
(AS OF DECEMBER 31, 1999)
- -----------------------------------------------------------
<TABLE>
<S> <C>
CITIGROUP, INCORPORATED 4.50%
EXXON MOBIL CORPORATION 4.30%
MORGAN STANLEY DEAN WITTER & COMPANY 3.20%
SBC COMMUNICATIONS 2.70%
AMERICAN INTERNATIONAL GROUP,
INCORPORATED 2.40%
MEDIA ONE GROUP, INCORPORATED 2.10%
GTE CORPORATION 1.90%
PHILIPS ELECTRONICS NV ADR 1.90%
BELLSOUTH CORPORATION 1.80%
TRW INCORPORATED 1.80%
</TABLE>
PORTFOLIO ALLOCATION(5) (AS OF DECEMBER 31, 1999)
- -----------------------------------------------------------
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<S> <C>
Stocks 94.00%
Cash 6.00%
</TABLE>
GROWTH OF $10,000 INVESTMENT(6)
- ----------------------------------------------
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
WELLS FARGO VARIABLE RUSSELL 1000 S&P 500
TRUST EQUITY VALUE FUND VALUE INDEX INDEX
<S> <C> <C> <C>
4/30/1998 $10,000 $10,000 $17,644
5/31/1998 $9,680 $9,852 $17,340
6/30/1998 $9,739 $9,978 $18,044
7/31/1998 $9,268 $9,802 $17,853
8/31/98 $8,156 $8,344 $15,273
9/30/98 $8,626 $8,823 $16,252
10/31/98 $9,199 $9,507 $17,572
11/30/98 $9,460 $9,950 $18,637
12/31/98 $9,624 $10,288 $19,710
1/31/99 $9,403 $10,370 $20,540
02/28/99 $9,161 $10,224 $19,899
03/31/99 $9,380 $10,436 $20,695
4/30/99 $10,188 $11,410 $21,496
5/31/99 $10,087 $11,285 $20,989
6/30/99 $10,399 $11,612 $22,131
7/31/99 $10,024 $11,272 $21,440
8/31/99 $9,477 $10,854 $21,334
9/30/99 $8,981 $10,475 $20,749
10/31/99 $9,285 $11,078 $22,062
11/30/99 $9,255 $10,992 $22,510
12/31/99 $9,386 $11,045 $23,836
</TABLE>
- --------------------------------------------------------------------------------
(1) FIGURES QUOTED REPRESENT PAST PERFORMANCE, WHICH IS NO GUARANTEE OF FUTURE
RESULTS. Investment return and principal value of an investment will fluctuate
so that an investor's shares, when redeemed, may be worth more or less than
their original cost. The Fund managers have voluntarily waived all or a portion
of their management fees or assumed responsibility for other expenses, which
reduces operating expenses and increases total return to shareholders. Without
these reductions the Fund's returns would have been lower. These reductions may
be discontinued at any time. Performance figures of the Fund do not reflect
charges pursuant to the terms of the variable life insurance policies and
variable annuity contracts funded by separate accounts that invest in the Fund's
shares.
Performance shown for the Wells Fargo Variable Trust Equity Value Fund for
periods prior to September 20, 1999, reflects performance of the Life and
Annuity Trust Equity Value Fund, its predecessor fund. Effective at the close of
business September 17, 1999, the Life and Annuity Trust and Norwest Select Funds
were reorganized into the Wells Fargo Variable Trust Funds.
(2) The S&P 500 Index is an unmanaged index of 500 widely held common stocks
representing, among others, industrial, financial, utility and transportation
companies listed or traded on national exchanges or over-the-counter markets.
The Fund is a professionally managed mutual fund. You cannot invest directly in
an index.
(3) The Russell 1000 Value Index measures the performance of those Russell 1000
companies with lower price-to-book ratios and lower forecasted growth values.
You cannot invest directly in an index.
(4) The Ten Largest Equity Holdings is calculated based on the securities
market value divided by total market value of the portfolio.
(5) Portfolio holdings are subject to change.
(6) The chart compares the performance of the Wells Fargo Variable Trust Equity
Value Fund since inception with the S&P 500 Index and the Russell 1000 Value
Index. The chart assumes a hypothetical $10,000 investment and reflects all
operating expenses. The Fund is a professionally managed mutual fund.
9
<PAGE>
VARIABLE TRUST PERFORMANCE HIGHLIGHTS
- --------------------------------------------------------------------------------
VARIABLE TRUST GROWTH FUND
INVESTMENT OBJECTIVE
- --------------------------------------------------------------------------------
The Wells Fargo Variable Trust Growth Fund (the "Fund") seeks long-term
capital appreciation by investing primarily in common stocks, preferred stocks
and convertible debt securities.
ADVISOR
Wells Fargo Bank, N.A.
FUND MANAGER
Kelli Hill
INCEPTION DATE
4/12/94
PERFORMANCE HIGHLIGHTS
- --------------------------------------------------------------------------------
The Fund returned 20.41%(1) for the 12-month period ended December 31, 1999.
The Fund slightly underperformed its benchmark, the S&P 500 Index(2) which
returned 21.04%. The Fund distributed $0.03 per share in dividend income and
no capital gains during the period. Please keep in mind past performance is no
guarantee of future results.
The Fund finished 1999 slightly below the benchmark in what could have been
considered an extremely volatile environment. While rotation from growth
stocks to value stocks helped fuel much of this volatility, the technology
sector was clearly a contributor to performance throughout much of the year.
Earnings were strong for the first three quarters across the board, however
the disparity across sector performance remained great over the course of the
year. Even technology managed to stage a comeback at the end of the third
quarter with a positive return. The financial sector had a mixed personality
in 1999, with very strong performance in the first half and then giving most
of the gain back in the third quarter with no recovery in the fourth quarter.
In both sectors, stock selection was a key element to outperformance.
The year began with the fear of rising interest rates, but by March that fear
had subsided. As the second quarter unfolded, the world economy showed signs
of recovery with money flowing from large, consistent growth stocks into
cyclical and value stocks as the S&P 500 earnings growth began to accelerate.
However, the third quarter was an example of a reversal of fortune for value
stocks as the market narrowed and momentum prevailed.
The biggest contributors to performance were in the technology sector. JDS
Uniphase was up 287.83%, while Veritas Software was up 270.75%. The Fund added
to these positions as well as to Nortel, Cisco Systems and Microsoft in an
effort to overweight the technology sector in the fourth quarter.
STRATEGIC OUTLOOK
- --------------------------------------------------------------------------------
The outlook for financial markets for the first half of 2000 could be more
subdued than the last half of 1999, with the uncertainty of higher interest
rates becoming a reality. The Fund believes visibility will be key to its
strategy in 2000, and it anticipates that companies able to demonstrate solid,
visible earnings growth going forward will command a premium in the overall
market. The Fund will continue to look for earnings growth and relative
price/earnings growth, which will be even more important this year.
10
<PAGE>
PERFORMANCE HIGHLIGHTS VARIABLE TRUST
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN(1) (%) (AS OF DECEMBER 31, 1999)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Since
6-Month 1-Year 5-Year Inception
<S> <C> <C> <C> <C>
VARIABLE TRUST GROWTH FUND 8.63 20.41 23.55 21.22
S&P 500 INDEX 7.69 21.04 28.56
</TABLE>
FUND CHARACTERISTICS
(AS OF DECEMBER 31, 1999)
- -----------------------------------------------------------
<TABLE>
<S> <C>
PORTFOLIO TURNOVER 54%
NUMBER OF HOLDINGS 91
NAV $24.10
</TABLE>
TEN LARGEST EQUITY HOLDINGS(3)
(AS OF DECEMBER 31, 1999)
- -----------------------------------------------------------
<TABLE>
<S> <C>
MICROSOFT CORPORATION 4.90%
GENERAL ELECTRIC COMPANY 4.20%
CISCO SYSTEMS, INCORPORATED 4.10%
AMERICAN INTERNATIONAL GROUP,
INCORPORATED 3.50%
EXXON MOBIL CORPORATION 3.10%
INTEL CORPORATION 2.80%
WAL-MART STORES, INCORPORATED 2.70%
CITIGROUP, INCORPORATED 2.20%
LUCENT TECHNOLOGIES, INCORPORATED 2.10%
AMERICA ONLINE, INCORPORATED 2.10%
</TABLE>
PORTFOLIO ALLOCATION(4) (AS OF DECEMBER 31, 1999)
- -----------------------------------------------------------
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<S> <C>
Stocks 97.00%
Cash 3.00%
</TABLE>
GROWTH OF $10,000 INVESTMENT(5)
- ----------------------------------------------
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
WELLS FARGO VARIABLE S&P 500
TRUST GROWTH FUND INDEX
<S> <C> <C>
Apr-94 $10,000 $10,000
May-94 $10,110 $10,164
Jun-94 $9,888 $9,915
Jul-94 $10,189 $10,241
Aug-94 $10,511 $10,660
Sep-94 $10,422 $10,400
Oct-94 $10,502 $10,633
Nov-94 $10,260 $10,246
Dec-94 $10,447 $10,398
Jan-95 $10,508 $10,668
Feb-95 $10,994 $11,083
Mar-95 $11,237 $11,409
Apr-95 $11,390 $11,745
May-95 $11,930 $12,214
Jun-95 $12,209 $12,497
Jul-95 $12,589 $12,911
Aug-95 $12,794 $12,944
Sep-95 $13,223 $13,490
Oct-95 $12,801 $13,442
Nov-95 $13,325 $14,031
Dec-95 $13,497 $14,301
Jan-96 $13,748 $14,788
Feb-96 $14,260 $14,925
Mar-96 $14,297 $15,068
Apr-96 $14,769 $15,290
May-96 $15,136 $15,683
Jun-96 $14,876 $15,742
Jul-96 $14,108 $15,047
Aug-96 $14,518 $15,364
Sep-96 $15,247 $16,227
Oct-96 $15,659 $16,675
Nov-96 $16,662 $17,934
Dec-96 $16,525 $17,579
Jan-97 $17,473 $18,678
Feb-97 $16,966 $18,824
Mar-97 $16,376 $18,050
Apr-97 $17,036 $19,126
May-97 $18,117 $20,294
Jun-97 $18,506 $21,197
Jul-97 $20,013 $22,883
Aug-97 $18,853 $21,601
Sep-97 $19,906 $22,783
Oct-97 $18,986 $22,022
Nov-97 $19,280 $23,041
Dec-97 $19,389 $23,438
Jan-98 $19,747 $23,696
Feb-98 $20,810 $25,404
Mar-98 $21,809 $26,705
Apr-98 $21,959 $26,977
May-98 $21,624 $26,513
Jun-98 $22,674 $27,590
Jul-98 $22,558 $27,297
8/31/98 $19,418 $23,353
9/30/98 $20,316 $24,850
10/31/98 $21,964 $26,867
11/30/98 $23,437 $28,496
12/31/98 $24,975 $30,137
1/31/99 $25,935 $31,406
02/28/99 $25,063 $30,426
03/31/99 $26,256 $31,643
4/30/99 $27,054 $32,867
5/31/99 $26,218 $32,092
6/30/99 $27,684 $33,838
7/31/99 $26,886 $32,781
8/31/99 $26,924 $32,619
9/30/99 $26,202 $31,725
10/31/99 $27,737 $33,733
11/30/99 $28,348 $34,418
12/31/99 $30,074 $36,445
</TABLE>
- --------------------------------------------------------------------------------
(1) FIGURES QUOTED REPRESENT PAST PERFORMANCE, WHICH IS NO GUARANTEE OF FUTURE
RESULTS. Investment return and principal value of an investment will fluctuate
so that an investor's shares, when redeemed, may be worth more or less than
their original cost. The Fund's manager has voluntarily waived all or a portion
of its management fees or assumed responsibility for other expenses, which
reduces operating expenses and increases total return to shareholders. Without
these reductions the Fund's returns would have been lower. These reductions may
be discontinued at any time. Performance figures of the Fund do not reflect
charges pursuant to the terms of the variable life insurance policies and
variable annuity contracts funded by separate accounts that invest in the Fund's
shares.
Performance shown for the Wells Fargo Variable Trust Growth Fund for periods
prior to September 20, 1999, reflects performance of the Life and Annuity Trust
Growth Fund, its predecessor fund. Effective at the close of business September
17, 1999, the Life and Annuity Trust and Norwest Select Funds were reorganized
into the Wells Fargo Variable Trust Funds.
(2) The S&P 500 Index is an unmanaged index of 500 widely held common stocks
representing, among others, industrial, financial, utility and transportation
companies listed or traded on national exchanges or over-the-counter markets.
The Fund is a professionally managed mutual fund. You cannot invest directly in
an index.
(3) The Ten Largest Equity Holdings is calculated based on the securities
market value divided by total market value of the portfolio.
(4) Portfolio holdings are subject to change.
(5) The chart compares the performance of the Wells Fargo Variable Trust Growth
Fund since inception with the S&P 500 Index. The chart assumes a hypothetical
$10,000 investment and reflects all operating expenses. The Fund is a
professionally managed mutual fund.
11
<PAGE>
VARIABLE TRUST PERFORMANCE HIGHLIGHTS
- --------------------------------------------------------------------------------
VARIABLE TRUST LARGE COMPANY GROWTH FUND
INVESTMENT OBJECTIVE
- --------------------------------------------------------------------------------
The Wells Fargo Variable Trust Large Company Growth Fund (the "Fund") seeks
long-term capital appreciation by investing primarily in large, high-quality
domestic companies.
ADVISOR
Wells Fargo Bank, N.A.
FUND MANAGERS
John S. Dale, CFA
Gary E. Nussbaum, CFA
INCEPTION DATE
9/20/99
PERFORMANCE HIGHLIGHTS
- --------------------------------------------------------------------------------
The Fund returned 20.30%(1) for the period from September 20, 1999
(commencement of operations) to December 31, 1999, slightly outperforming its
benchmark, the S&P 500 Index(2) which returned 14.88% for the three-month
period ended December 31, 1999. The Fund distributed no dividend income or
capital gains during the period. Please keep in mind past performance is no
guarantee of future results.
A disproportionate level of the Fund's return came from the largest holdings
in the Fund, such as Cisco Systems, Microsoft, Home Depot and American
International. Other strong performers included First Data Corporation,
Ericsson and Charles Schwab. The Fund had no portfolio turnover during the
period because all holdings met or exceeded the Fund's long-term fundamental
expectations.
STRATEGIC OUTLOOK
- --------------------------------------------------------------------------------
Although corrections are inevitable and necessary, the stock market is
standing on generally solid ground. Strong corporate profit growth is
providing a firm underpinning to the stock market. Improving global economies
are reducing the world's dependence on the U.S. economy. And, very
importantly, outstanding U.S. productivity gains are offsetting higher wages
and commodity prices, resulting in continued low inflation. As in the past,
future stock market drivers will be corporate earnings growth and
price/earnings ratios. The Fund's strong positioning in current market
conditions gives it confidence and optimism for the future.
12
<PAGE>
PERFORMANCE HIGHLIGHTS VARIABLE TRUST
- --------------------------------------------------------------------------------
TOTAL RETURN(1) (%) (AS OF DECEMBER 31, 1999)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Since
1-Month 3-Month Inception
<S> <C> <C> <C>
VARIABLE TRUST LARGE COMPANY GROWTH FUND 11.08 25.44 20.30
S&P 500 INDEX 5.89 14.88
</TABLE>
FUND CHARACTERISTICS
(AS OF DECEMBER 31, 1999)
- -----------------------------------------------------------
<TABLE>
<S> <C>
PORTFOLIO TURNOVER 0%
NUMBER OF HOLDINGS 35
NAV $12.03
</TABLE>
TEN LARGEST EQUITY HOLDINGS(3)
(AS OF DECEMBER 31, 1999)
- -----------------------------------------------------------
<TABLE>
<S> <C>
CISCO SYSTEMS, INCORPORATED 9.42%
MICROSOFT CORPORATION 8.39%
INTEL CORPORATION 5.82%
HOME DEPOT, INCORPORATED 5.26%
GOLDMAN SACHS GROUP, INCORPORATED 4.77%
NOKIA CORPORATION ADR 4.70%
SOLECTRON CORPORATION 4.59%
AMERICAN INTERNATIONAL GROUP,
INCORPORATED 4.19%
LUCENT TECHNOLOGIES, INCORPORATED 4.07%
SCHWAB (CHARLES) & COMPANY, INCORPORATED 3.87%
</TABLE>
PORTFOLIO ALLOCATION(4) (AS OF DECEMBER 31, 1999)
- -----------------------------------------------------------
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<S> <C>
Stocks 95.15%
Cash 4.85%
</TABLE>
GROWTH OF $10,000 INVESTMENT(5)
- ----------------------------------------------
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
WELLS FARGO VARIABLE TRUST S&P 500
LARGE COMPANY GROWTH FUND INDEX
<S> <C> <C>
9/20/1999 $10,000 $10,000
9/30/1999 $9,590 $9,726
10/31/1999 $10,420 $10,342
11/30/1999 $10,830 $10,551
12/31/1999 $12,030 $11,173
</TABLE>
- --------------------------------------------------------------------------------
(1) FIGURES QUOTED REPRESENT PAST PERFORMANCE, WHICH IS NO GUARANTEE OF FUTURE
RESULTS. Investment return and principal value of an investment will fluctuate
so that an investor's shares, when redeemed, may be worth more or less than
their original cost. The Fund managers have voluntarily waived all or a portion
of their management fees or assumed responsibility for other expenses, which
reduces operating expenses and increases total return to shareholders. Without
these reductions the Fund's returns would have been lower. These reductions may
be discontinued at any time. Performance figures of the Fund do not reflect
charges pursuant to the terms of the variable life insurance policies and
variable annuity contracts funded by separate accounts that invest in the Fund's
shares.
(2) The S&P 500 Index is an unmanaged index of 500 widely held common stocks
representing, among others, industrial, financial, utility and transportation
companies listed or traded on national exchanges or over-the-counter markets.
The Fund is a professionally managed mutual fund. You cannot invest directly in
an index.
(3) The Ten Largest Equity Holdings is calculated based on the market value of
the securities divided by total market value of the portfolio.
(4) Portfolio holdings are subject to change.
(5) The chart compares the performance of the Wells Fargo Variable Trust Large
Company Growth Fund since inception with the S&P 500 Index. The chart assumes a
hypothetical $10,000 investment and reflects all operating expenses. The Fund is
a professionally managed mutual fund.
13
<PAGE>
VARIABLE TRUST PERFORMANCE HIGHLIGHTS
- --------------------------------------------------------------------------------
VARIABLE TRUST MONEY MARKET FUND
INVESTMENT OBJECTIVE
- --------------------------------------------------------------------------------
The Wells Fargo Variable Trust Money Market Fund (the "Fund") seeks high
current income, while preserving capital and liquidity, by investing in
high-quality, short-term instruments.
ADVISOR
Wells Fargo Bank, N.A.
FUND MANAGERS
Dave Sylvester
Laurie White
Mike Neitzke
INCEPTION DATE
5/19/94
PERFORMANCE HIGHLIGHTS
- --------------------------------------------------------------------------------
The Fund returned 4.46%(1) for the 12-month period ended December 31, 1999,
and the 30-day simple yield was 5.04%. The Fund distributed $0.04 per share in
dividend income and no capital gains during the period. Please keep in mind
past performance is no guarantee of future results.
During most of the period, the Fund maintained a longer than average weighted
maturity to take advantage of a steepening yield curve. The Federal Reserve
Board raised interest rates three times in 1999, most recently on November 16,
1999, to 5.50%. Toward the end of the year, the Fund added securities maturing
in January and February, taking advantage of attractive yields caused by
issuers' needs for funding over year-end. It also targeted maturity dates for
fixed-rate securities to ensure adequate liquidity in the one-month period
surrounding year-end.
The average maturity of the Fund at each quarter-end was 60 days for the
first quarter, 65 days for the second quarter, 75 days for the third quarter
and 57 days at year-end. The Fund increased liquidity at the end of the year
to accommodate the need for funding at year-end. Cash flows did not affect
management of the portfolio throughout the year.
STRATEGIC OUTLOOK
- --------------------------------------------------------------------------------
Economic growth may be on the verge of slowing but possibly not fast enough
to forestall further interest rate increases during 2000. However, there are
several reasons why future interest rate increases are likely to be modest.
First, inflation is expected to be little changed from the 2%-2.5% rate in
1999. Second, real or inflation-adjusted interest rates already are at
historic highs, suggesting that only modest, additional increases in those
rates may be necessary to sufficiently slow the economy.
14
<PAGE>
PERFORMANCE HIGHLIGHTS VARIABLE TRUST
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN(1) (%) (AS OF DECEMBER 31, 1999)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Since
6-Month 1-Year 5-Year Inception
<S> <C> <C> <C> <C>
VARIABLE TRUST MONEY MARKET FUND 2.33 4.46 4.88 4.83
</TABLE>
FUND YIELD SUMMARY
- ----------------------------------------------
<TABLE>
<S> <C>
7-DAY SIMPLE YIELD 5.06%
30-DAY SIMPLE YIELD 5.04%
</TABLE>
FUND CHARACTERISTICS
- ----------------------------------------------
<TABLE>
<S> <C>
WEIGHTED AVERAGE MATURITY 55 DAYS
</TABLE>
PORTFOLIO ALLOCATION(2) (AS OF DECEMBER 31, 1999)
- -----------------------------------------------------------
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<S> <C>
Commercial Paper 63.00%
CDs 18.00%
Short-Term Federal Agency Securities 4.00%
Short-Term Corporate Bonds 12.00%
Master Notes 3.00%
</TABLE>
MATURITY DISTRIBUTION(2) (AS OF DECEMBER 31, 1999)
- -----------------------------------------------------------
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<S> <C>
2-14 days 30.70%
30-59 days 29.90%
60-89 days 28.60%
90-179 days 5.80%
180-269 days 5.00%
</TABLE>
- --------------------------------------------------------------------------------
(1) FIGURES QUOTED REPRESENT PAST PERFORMANCE, WHICH IS NO GUARANTEE OF FUTURE
RESULTS. Investment return will fluctuate. The Fund's yield figures more closely
reflect the current earnings of the Fund than the total return figures. The Fund
managers have voluntarily waived all or a portion of their management fees or
assumed responsibility for other expenses, which reduces operating expenses and
increases total return to shareholders. Without these reductions the Fund's
returns would have been lower. These reductions may be discontinued at any time.
Performance figures of the Fund do not reflect charges pursuant to the terms of
the variable life insurance policies and variable annuity contracts funded by
separate accounts that invest in the Fund's shares.
Performance shown for the Wells Fargo Variable Trust Money Market Fund for
periods prior to September 20, 1999, reflects performance of the Life and
Annuity Trust Money Market Fund, its predecessor fund. Effective at the close of
business September 17, 1999, the Life and Annuity Trust and Norwest Select Funds
were reorganized into the Wells Fargo Variable Trust Funds.
(2) Portfolio holdings are subject to change.
15
<PAGE>
VARIABLE TRUST PERFORMANCE HIGHLIGHTS
- --------------------------------------------------------------------------------
VARIABLE TRUST SMALL CAP GROWTH FUND
INVESTMENT OBJECTIVE
- --------------------------------------------------------------------------------
The Wells Fargo Variable Trust Small Cap Growth Fund (the "Fund") seeks
long-term capital appreciation. The Fund invests in growth-oriented common
stocks whose market capitalization falls within the range of the Russell 2000
Index(1).
ADVISOR
Wells Fargo Bank, N.A.
FUND MANAGERS
Tom Zeifang, CFA
Chris Greene
INCEPTION DATE
05/01/95
PERFORMANCE HIGHLIGHTS
- --------------------------------------------------------------------------------
The Fund returned 66.27%(2) for the 12-month period ended December 31, 1999,
outperforming the Russell 2000 Index, which returned 21.26%. The Fund
distributed no dividends or capital gains during the period. Please keep in
mind past performance is no guarantee of future results.
Small cap stocks began to rebound in the second half of 1999 following a long
bear market relative to large cap stocks. During the second half of 1999, the
Fund experienced accelerating outperformance attributed to stock selection
concentrated in the technology sector and continuous analysis of portfolio
exposure. The Fund's portfolio analysis led it to participate in the hot
subsectors within the small cap universe, including semiconductor,
telecommunications services and e-commerce infrastructure, while limiting
exposure to poor performing groups, such as client-server software, health
care services and consumer staples.
Individual holdings that outperformed in 1999 included Broadvision and
Vignette (internet infrastructure), True North and Cumulus
(advertising/radio), Pharmacyclics and IDEC Pharma (biotechnology) and Optical
Coating Labs (fiber optics).
STRATEGIC OUTLOOK
- --------------------------------------------------------------------------------
The Fund will continue to search for companies that can grow earnings
independent of the economic cycle. The Fund expects small cap stocks to grow
in 2000, and it believes that a new, longer-term small cap growth cycle has
begun.
16
<PAGE>
PERFORMANCE HIGHLIGHTS VARIABLE TRUST
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN(2) (%) (AS OF DECEMBER 31, 1999)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Since
6-Month 1-Year Inception
<S> <C> <C> <C>
VARIABLE TRUST SMALL CAP GROWTH FUND 74.61 66.27 20.41
RUSSELL 2000 INDEX 23.19 21.26
</TABLE>
FUND CHARACTERISTICS
(AS OF DECEMBER 31, 1999)
- -----------------------------------------------------------
<TABLE>
<S> <C>
PORTFOLIO TURNOVER 314%
NUMBER OF HOLDINGS 280
NAV $18.09
</TABLE>
TEN LARGEST EQUITY HOLDINGS(3)
(AS OF DECEMBER 31, 1999)
- -----------------------------------------------------------
<TABLE>
<S> <C>
CUMULUS MEDIA, INCORPORATED 2.64%
BROADVISION, INCORPORATED 2.63%
MERCURY INTERACTIVE CORPORATION 2.36%
VISUAL NETWORKS, INCORPORATED 2.18%
LAM RESEARCH CORPORATION 1.87%
OPTICAL COATING LAB, INCORPORATED 1.86%
MICROMUSE, INCORPORATED 1.86%
MAKER COMMUNICATIONS, INCORPORATED 1.77%
POWER INTEGRATIONS, INCORPORATED 1.69%
VERTICALNET, INCORPORATED 1.67%
</TABLE>
PORTFOLIO ALLOCATION(4) (AS OF DECEMBER 31, 1999)
- -----------------------------------------------------------
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<S> <C>
Stocks 99.02%
Cash 0.98%
</TABLE>
GROWTH OF $10,000 INVESTMENT(5)
- ----------------------------------------------
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
WELLS FARGO VARIABLE RUSSELL 2000 INDEX
TRUST SMALL CAP GROWTH FUND
<S> <C> <C>
4/28/1995 $10,000 $10,000
5/31/1995 $10,040 $10,172
6/30/1995 $10,670 $10,700
7/31/1995 $11,740 $11,316
8/31/1995 $11,970 $11,549
9/29/1995 $11,920 $11,756
10/31/1995 $11,280 $11,231
11/30/1995 $11,590 $11,702
12/29/1995 $11,595 $12,011
1/31/1996 $11,636 $11,999
2/29/1996 $11,957 $12,374
3/31/1996 $12,484 $12,626
4/30/1996 $13,891 $13,301
5/31/1996 $14,419 $13,827
6/30/1996 $13,405 $13,259
7/31/1996 $12,112 $12,100
8/31/1996 $13,177 $12,803
9/30/1996 $13,819 $13,303
10/31/1996 $14,088 $13,099
11/30/1996 $14,750 $13,638
12/29/1996 $15,243 $13,997
1/31/1997 $15,571 $14,277
2/28/1997 $14,690 $13,931
3/31/1997 $13,482 $13,274
4/30/1997 $13,087 $13,311
5/31/1997 $15,729 $14,792
6/30/1997 $16,011 $15,426
7/31/1997 $17,039 $16,143
8/31/1997 $17,468 $16,513
9/30/1997 $18,778 $17,721
10/31/1997 $17,569 $16,941
11/30/1997 $16,824 $16,833
12/31/1997 $16,735 $17,129
1/30/1998 $16,341 $16,860
2/28/1998 $17,889 $18,108
3/31/1998 $18,387 $18,856
4/30/1998 $18,427 $18,962
5/31/1998 $17,089 $17,941
6/30/1998 $17,233 $17,979
7/31/1998 $15,397 $16,525
8/31/1998 $11,817 $13,315
9/30/1998 $12,420 $14,357
10/31/1998 $12,944 $14,943
11/30/1998 $13,705 $15,726
12/31/1998 $14,312 $16,699
1/31/1999 $13,865 $16,921
2/28/1999 $12,563 $15,550
3/31/1999 $12,287 $15,793
4/30/1999 $12,984 $17,208
5/31/1999 $12,958 $17,459
6/30/1999 $13,628 $18,248
7/31/1999 $13,615 $17,747
8/31/1999 $13,707 $17,090
9/30/1999 $14,234 $17,093
10/31/1999 $16,325 $17,163
11/30/1999 $19,061 $18,188
12/31/1999 $23,797 $20,247
</TABLE>
- --------------------------------------------------------------------------------
(1) The Russell 2000 Index is an index subset of the Russell 3000 Index and
includes the 2,000 smallest stocks representing approximately 11% of the U.S.
equity market. You cannot invest directly in an index.
(2) FIGURES QUOTED REPRESENT PAST PERFORMANCE, WHICH IS NO GUARANTEE OF FUTURE
RESULTS. Investment return and principal value of an investment will fluctuate
so that an investor's shares, when redeemed, may be worth more or less than
their original cost. The Fund managers have voluntarily waived all or a portion
of their management fees or assumed responsibility for other expenses, which
reduces operating expenses and increases total return to shareholders. Without
these reductions the Fund's returns would have been lower. These reductions may
be discontinued at any time. Performance figures of the Fund do not reflect
charges pursuant to the terms of the variable life insurance policies and
variable annuity contracts funded by separate accounts that invest in the Fund's
shares.
Performance shown for the Wells Fargo Variable Trust Small Cap Growth Fund for
periods prior to September 20, 1999, reflects performance of the Norwest Select
Small Company Stock Fund (the accounting survivor of a merger of the Life and
Annuity Trust Strategic Growth Fund and the Norwest Select Small Company Stock
Fund), its predecessor fund. Effective at the close of business September 17,
1999, the Life and Annuity Trust and Norwest Select Funds were reorganized into
the Wells Fargo Variable Trust Funds.
(3) The Ten Largest Equity Holdings is calculated based on the market value of
the securities divided by total market value of the portfolio.
(4) Portfolio holdings are subject to change.
(5) The chart compares the performance of the Wells Fargo Variable Trust Small
Cap Growth Fund since inception with the Russell 2000 Index. The chart assumes a
hypothetical $10,000 investment and reflects all operating expenses. The Fund is
a professionally managed mutual fund.
17
<PAGE>
VARIABLE TRUST PORTFOLIO OF INVESTMENTS -- DECEMBER 31, 1999
- --------------------------------------------------------------------------------
VARIABLE TRUST ASSET ALLOCATION FUND
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY DESCRIPTION VALUE
<C> <S> <C> <C> <C>
COMMON STOCKS - 60.77%
AEROSPACE - 0.01%
1,312 B.F. GOODRICH COMPANY $ 36,080
------------
AGRICULTURAL PRODUCTION-CROPS - 0.02%
3,921 NABISCO GROUP HOLDINGS 41,661
------------
AMUSEMENT & RECREATION SERVICES - 0.02%
1,525 HARRAH'S ENTERTAINMENT INCORPORATED+ 40,317
------------
APPAREL & ACCESSORY STORES - 0.32%
10,224 GAP INCORPORATED 470,304
1,941 KOHLS CORPORATION+ 140,116
2,553 LIMITED INCORPORATED 110,577
1,672 NORDSTROM INCORPORATED 43,786
764,783
------------
APPAREL & OTHER FINISHED PRODUCTS MADE FROM FABRICS & SIMILAR MATERIALS - 0.03%
750 LIZ CLAIBORNE INCORPORATED 28,219
1,421 V.F. CORPORATION 42,630
70,849
------------
AUTOMOTIVE DEALERS & GASOLINE SERVICE STATIONS - 0.03%
1,773 AUTOZONE INCORPORATED+ 57,290
600 PEP BOYS-MANNY MOE & JACK 5,475
62,765
------------
AUTOMOTIVE REPAIR, SERVICES & PARKING - 0.01%
719 RYDER SYSTEMS INCORPORATED 17,571
------------
BUILDING CONSTRUCTION-GENERAL CONTRACTORS & OPERATIVE BUILDERS - 0.07%
689 CENTEX CORPORATION 17,010
578 KAUFMAN & BROAD HOME CORPORATION 13,980
5,277 MASCO CORPORATION 133,904
472 PULTE CORPORATION 10,620
175,514
------------
BUILDING MATERIALS, HARDWARE, GARDEN SUPPLY & MOBILE HOME DEALERS - 0.89%
27,132 HOME DEPOT INCORPORATED 1,860,238
4,542 LOWE'S COMPANY INCORPORATED 271,385
2,131,623
------------
BUSINESS SERVICES - 4.34%
4,171 3COM CORPORATION+ 196,037
1,457 ADOBE SYSTEMS INCORPORATED 97,983
26,391 AMERICA ONLINE INCORPORATED+ 1,990,871
724 AUTODESK INCORPORATED 24,435
7,357 AUTOMATIC DATA PROCESSING 396,358
2,850 BMC SOFTWARE INCORPORATED+ 227,822
2,090 CABLETRON SYSTEMS INCORPORATED+ 54,340
8,602 CENDANT CORPORATION+ 228,491
</TABLE>
18
<PAGE>
PORTFOLIO OF INVESTMENTS -- DECEMBER 31, 1999 VARIABLE TRUST
- --------------------------------------------------------------------------------
VARIABLE TRUST ASSET ALLOCATION FUND
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY DESCRIPTION VALUE
<C> <S> <C> <C> <C>
BUSINESS SERVICES (continued)
1,740 CERIDIAN CORPORATION $ 37,519
976 CITRIX SYSTEMS 120,048
6,404 COMPUTER ASSOCIATES INTERNATIONAL INCORPORATED 447,880
1,909 COMPUTER SCIENCES CORPORATION+ 180,639
1,547 ECOLAB INCORPORATED 60,526
5,647 ELECTRONIC DATA SYSTEMS CORPORATION 377,996
1,720 EQUIFAX INCORPORATED 40,528
5,059 FIRST DATA CORPORATION 249,472
3,741 IMS HEALTH INCORPORATED 101,708
3,359 INTERPUBLIC GROUP COMPANIES INCORPORATED 193,772
3,395 MCKESSON HBOC INCORPORATED 76,600
4,018 NOVELL INCORPORATED+ 160,469
2,121 OMNICOM GROUP 212,100
16,952 ORACLE SYSTEMS CORPORATION+ 1,899,684
3,228 PARAMETRIC TECHNOLOGY CORPORATION+ 87,358
2,930 PEOPLESOFT INCORPORATED+ 62,446
302 SHARED MEDICAL SYSTEM CORPORATION 15,383
18,429 SUN MICROSYSTEMS INCORPORATED+ 1,427,096
3,647 UNISYS CORPORATION+ 116,476
3,126 YAHOO INCORPORATED+ 1,352,581
10,436,618
------------
CHEMICALS & ALLIED PRODUCTS - 6.16%
18,094 ABBOTT LABORATORIES 657,038
2,733 AIR PRODUCTS & CHEMICALS INCORPORATED 91,726
675 ALBERTO CULVER COMPANY CLASS B 17,423
1,226 ALZA CORPORATION+ 42,450
15,568 AMERICAN HOME PRODUCTS CORPORATION 613,963
12,156 AMGEN INCORPORATED+ 730,120
2,994 AVON PRODUCTS INCORPORATED 98,802
23,617 BRISTOL-MYERS SQUIBB COMPANY 1,515,916
2,798 CLOROX COMPANY 140,949
6,943 COLGATE-PALMOLIVE COMPANY 451,295
2,621 DOW CHEMICAL COMPANY 350,231
12,413 DUPONT (E.I.) DE NEMOURS AND COMPANY 817,706
936 EASTMAN CHEMICAL COMPANY 44,636
346 FMC CORPORATION+ 19,830
12,828 GILLETTE COMPANY 528,353
694 GREAT LAKES CHEMICAL CORPORATION 26,502
1,293 HERCULES INCORPORATED 36,042
1,238 INTERNATIONAL FLAVORS & FRAGRANCES INCORPORATED 46,735
13,016 LILLY (ELI) & COMPANY 865,564
798 MALLINCKRODT INCORPORATED 25,386
27,820 MERCK & COMPANY INCORPORATED 1,865,679
7,549 MONSANTO COMPANY 268,933
46,084 PFIZER INCORPORATED 1,494,850
6,040 PHARMACIA AND UPJOHN INCORPORATED 271,800
2,073 PPG INDUSTRIES INCORPORATED 129,692
</TABLE>
19
<PAGE>
VARIABLE TRUST PORTFOLIO OF INVESTMENTS -- DECEMBER 31, 1999
- --------------------------------------------------------------------------------
VARIABLE TRUST ASSET ALLOCATION FUND
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY DESCRIPTION VALUE
<C> <S> <C> <C> <C>
CHEMICALS & ALLIED PRODUCTS (continued)
1,903 PRAXAIR INCORPORATED $ 95,745
15,641 PROCTER & GAMBLE COMPANY 1,713,667
2,580 ROHM & HAAS COMPANY 104,974
17,500 SCHERING-PLOUGH CORPORATION 738,281
2,017 SHERWIN WILLIAMS COMPANY 42,357
1,561 UNION CARBIDE CORPORATION 104,197
893 W.R. GRACE & COMPANY+ 12,390
10,167 WARNER LAMBERT COMPANY 833,059
1,135 WATSON PHARMACEUTICALS INCORPORATED+ 40,647
14,836,938
------------
COMMERCIAL SERVICES - 0.01%
1,383 QUINTILES TRANSNATIONAL CORPORATION+ 25,845
------------
COMMUNICATIONS - 5.22%
3,634 ALLTEL CORPORATION 300,486
38,012 AMERICAN TELEPHONE & TELEGRAPH CORPORATION 1,929,109
18,481 BELL ATLANTIC CORPORATION 1,137,737
22,433 BELLSOUTH CORPORATION 1,050,145
1,662 CENTURYTEL INCORPORATED 78,737
4,018 CLEAR CHANNEL COMMUNICATIONS INCORPORATED+ 358,607
8,934 COMCAST CORPORATION CLASS A 451,725
9,080 GLOBAL CROSSING LIMITED 454,000
11,590 GTE CORPORATION 817,819
33,428 MCI WORLDCOM INCORPORATED+ 1,773,747
7,224 MEDIA ONE GROUP INCORPORATED+ 554,894
4,299 NEXTEL COMMUNICATIONS CLASS A+ 443,334
40,593 SBC COMMUNICATIONS INCORPORATED 1,978,889
10,336 SPRINT CORPORATION (FON GROUP) 695,742
5,159 SPRINT CORPORATION (PCS GROUP)+ 528,798
12,553,769
------------
COMPUTERS - 2.97%
61,165 MICROSOFT CORPORATION+ 7,141,014
------------
CONSUMER PRODUCTS - 0.03%
2,000 FORTUNE BRANDS INCORPORATED 66,125
------------
DOMESTIC DEPOSITORY INSTITUTIONS - 4.06%
4,673 AMSOUTH BANCORP 90,247
13,744 BANC ONE CORPORATION 440,667
20,346 BANK OF AMERICA CORPORATION 1,021,115
8,762 BANK OF NEW YORK INCORPORATED 350,480
3,807 BB&T CORPORATION 104,217
9,846 CHASE MANHATTAN CORPORATION 764,911
40,119 CITIGROUP INCORPORATED 2,229,112
1,865 COMERICA INCORPORATED 87,072
3,597 FIFTH THIRD BANCORP 263,930
11,395 FIRST UNION CORPORATION 373,898
</TABLE>
20
<PAGE>
PORTFOLIO OF INVESTMENTS -- DECEMBER 31, 1999 VARIABLE TRUST
- --------------------------------------------------------------------------------
VARIABLE TRUST ASSET ALLOCATION FUND
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY DESCRIPTION VALUE
<C> <S> <C> <C> <C>
DOMESTIC DEPOSITORY INSTITUTIONS (continued)
11,745 FIRSTAR CORPORATION $ 248,113
10,864 FLEET BOSTON FINANCIAL CORPORATION 378,203
1,965 GOLDEN WEST FINANCIAL 65,828
2,730 HUNTINGTON BANCSHARES INCORPORATED 65,179
2,082 JP MORGAN & COMPANY INCORPORATED 263,633
5,367 KEYCORP 118,745
6,132 MELLON FINANCIAL CORPORATION 208,871
7,367 NATIONAL CITY CORPORATION 174,506
2,639 NORTHERN TRUST CORPORATION 139,867
1,082 OLD KENT FINANCIAL CORPORATION 38,276
3,581 PNC BANK CORPORATION 159,355
2,675 REGIONS FINANCIAL CORPORATION 67,209
1,234 REPUBLIC NEW YORK CORPORATION 88,848
1,974 SOUTHTRUST CORPORATION 74,642
1,921 STATE STREET CORPORATION 140,353
2,094 SUMMIT BANCORP 64,129
3,833 SUNTRUST BANKS INCORPORATED 263,758
3,213 SYNOVUS FINANCIAL CORPORATION 63,858
8,724 U.S. BANCORP 207,740
1,720 UNION PLANTERS CORPORATION 67,833
2,417 WACHOVIA CORPORATION 164,356
6,906 WASHINGTON MUTUAL INCORPORATED 179,556
19,596 WELLS FARGO & COMPANY** 792,413
9,760,920
------------
EATING & DRINKING PLACES - 0.32%
1,557 DARDEN RESTAURANTS INCORPORATED 28,221
16,139 MCDONALD'S CORPORATION 650,603
1,830 TRICON GLOBAL RESTAURANTS INCORPORATED+ 70,684
1,455 WENDY'S INTERNATIONAL INCORPORATED 30,009
779,517
------------
ELECTRIC, GAS & SANITARY SERVICES - 1.41%
2,445 AES CORPORATION+ 182,764
2,275 ALLIED WASTE INDUSTRIES INCORPORATED+ 20,048
1,657 AMEREN CORPORATION 54,267
2,291 AMERICAN ELECTRIC POWER INCORPORATED 73,598
1,920 CAROLINA POWER & LIGHT COMPANY 58,440
2,562 CENTRAL & SOUTH WEST CORPORATION 51,240
1,892 CINERGY CORPORATION 45,645
1,383 CMS ENERGY CORPORATION 43,132
2,559 COASTAL CORPORATION 90,685
994 COLUMBIA ENERGY GROUP 62,871
2,640 CONSOLIDATED EDISON INCORPORATED 91,080
1,137 CONSOLIDATED NATURAL GAS COMPANY 73,834
1,770 CONSTELLATION ENERGY GROUP 51,330
1,732 DETROIT ENERGY COMPANY 54,342
2,288 DOMINION RESOURCES INCORPORATED 89,804
</TABLE>
21
<PAGE>
VARIABLE TRUST PORTFOLIO OF INVESTMENTS -- DECEMBER 31, 1999
- --------------------------------------------------------------------------------
VARIABLE TRUST ASSET ALLOCATION FUND
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY DESCRIPTION VALUE
<C> <S> <C> <C> <C>
ELECTRIC, GAS & SANITARY SERVICES (continued)
4,353 DUKE ENERGY CORPORATION $ 218,194
270 EASTERN ENTERPRISES 15,508
4,132 EDISON INTERNATIONAL 108,207
2,719 EL PASO ENERGY CORPORATION 105,531
8,505 ENRON CORPORATION 377,409
2,956 ENTERGY CORPORATION 76,117
2,826 FIRST ENERGY CORPORATION 64,115
1,187 FLORIDA PROGRESS CORP 50,225
2,134 FPL GROUP INCORPORATED 91,362
1,518 GPU INCORPORATED 45,445
1,395 NEW CENTURY ENERGIES INCORPORATED 42,373
2,220 NIAGARA MOHAWK HOLDINGS INCORPORATED 30,941
524 NICOR INCORPORATED 17,030
1,834 NORTHERN STATES POWER COMPANY 35,763
368 ONEOK INCORPORATED 9,246
2,225 PECO ENERGY COMPANY 77,319
424 PEOPLES ENERGY CORPORATION 14,204
4,593 PG&E CORPORATION 94,157
1,040 PINNACLE WEST CAPITAL CORP 31,785
1,878 PP & L RESOURCES INCORPORATED 42,959
2,616 PUBLIC SERVICES ENTERPRISE GROUP 91,070
3,533 RELIANT ENERGY INCORPORATED 80,817
2,874 SEMPRA ENERGY 49,936
8,146 SOUTHERN COMPANY 191,431
3,316 TEXAS UTILITIES COMPANY 117,925
7,356 WASTE MANAGEMENT INCORPORATED 126,431
5,178 WILLIAMS COMPANIES INCORPORATED 158,253
3,406,833
------------
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT & COMPONENTS, EXCEPT COMPUTER EQUIPMENT - 7.96%
1,236 ADAPTEC INCORPORATED+ 61,646
1,766 ADVANCED MICRO DEVICES+ 51,104
937 ANDREW CORPORATION+ 17,744
1,139 COOPER INDUSTRIES INCORPORATED 46,058
5,177 EMERSON ELECTRIC COMPANY 297,030
38,998 GENERAL ELECTRIC COMPANY 6,034,941
2,064 GENERAL INSTRUMENT CORPORATION+ 175,440
39,512 INTEL CORPORATION 3,252,332
1,736 LSI LOGIC CORPORATION+ 117,180
37,033 LUCENT TECHNOLOGIES INCORPORATED 2,770,531
1,051 MAYTAG CORPORATION 50,448
3,006 MICRON TECHNOLOGY INCORPORATED+ 233,717
1,673 MOLEX INCORPORATED 94,838
7,220 MOTOROLA INCORPORATED 1,063,145
1,983 NATIONAL SEMICONDUCTOR CORPORATION+ 84,897
465 NATIONAL SERVICE INDUSTRIES INCORPORATED 13,718
1,744 NETWORK APPLIANCE INCORPORATED+ 144,861
15,795 NORTEL NETWORKS CORPORATION 1,595,295
</TABLE>
22
<PAGE>
PORTFOLIO OF INVESTMENTS -- DECEMBER 31, 1999 VARIABLE TRUST
- --------------------------------------------------------------------------------
VARIABLE TRUST ASSET ALLOCATION FUND
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY DESCRIPTION VALUE
<C> <S> <C> <C> <C>
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT & COMPONENTS, EXCEPT COMPUTER EQUIPMENT (continued)
7,724 QUALCOMM INCORPORATED+ $ 1,361,355
910 SCIENTIFIC-ATLANTA INCORPORATED 50,619
4,661 TELLABS INCORPORATED+ 299,178
2,039 TERADYNE INCORPORATED+ 134,574
9,387 TEXAS INSTRUMENTS INCORPORATED 909,366
655 THOMAS & BETTS CORPORATION 20,878
1,103 W W GRAINGER INCORPORATED 52,737
902 WHIRLPOOL CORPORATION 58,686
3,764 XILINX INCORPORATED+ 171,144
19,163,462
------------
ENGINEERING, ACCOUNTING, RESEARCH, MANAGEMENT & RELATED SERVICES - 0.16%
1,922 DUN & BRADSTREET CORPORATION 56,699
5,277 HALLIBURTON COMPANY 212,399
2,912 PAYCHEX INCORPORATED 116,480
385,578
------------
FABRICATED METAL PRODUCTS, EXCEPT MACHINERY & TRANSPORTATION EQUIPMENT - 0.08%
368 BALL CORPORATION 14,490
803 CRANE COMPANY 15,960
1,470 CROWN CORK & SEAL COMPANY 32,891
1,301 PARKER HANNIFIN CORPORATION 66,758
798 SNAP-ON INCORPORATED 21,197
1,059 STANLEY WORKS 31,902
183,198
------------
FOOD & KINDRED PRODUCTS - 2.00%
417 ADOLPH COORS COMPANY CLASS B 21,893
5,567 ANHEUSER-BUSCH INCORPORATED 394,561
7,420 ARCHER-DANIELS-MIDLAND COMPANY 90,431
3,331 BESTFOODS 175,086
765 BROWN-FORMAN CORPORATION CLASS B 43,796
5,173 CAMPBELL SOUP COMPANY 200,130
29,384 COCA-COLA COMPANY 1,711,618
5,087 COCA-COLA ENTERPRISES INCORPORATED 102,376
5,857 CONAGRA INCORPORATED 132,149
3,663 GENERAL MILLS INCORPORATED 130,952
4,258 H J HEINZ COMPANY 169,522
1,667 HERSHEY FOODS CORPORATION 79,183
4,827 KELLOGG COMPANY 148,732
17,399 PEPSICO INCORPORATED 613,315
1,588 QUAKER OATS COMPANY 104,213
3,885 RALSTON-PURINA GROUP 108,294
10,776 SARA LEE CORPORATION 237,746
5,140 SEAGRAM COMPANY LIMITED 230,979
1,378 WM. WRIGLEY JR COMPANY 114,288
4,809,264
------------
</TABLE>
23
<PAGE>
VARIABLE TRUST PORTFOLIO OF INVESTMENTS -- DECEMBER 31, 1999
- --------------------------------------------------------------------------------
VARIABLE TRUST ASSET ALLOCATION FUND
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY DESCRIPTION VALUE
<C> <S> <C> <C> <C>
FOOD STORES - 0.17%
5,039 ALBERTSON'S INCORPORATED $ 162,508
464 GREAT ATLANTIC & PACIFIC TEA COMPANY 12,934
9,883 KROGER COMPANY+ 186,542
1,784 WINN-DIXIE STORES INCORPORATED 42,705
404,689
------------
GENERAL MERCHANDISEH STORES - 1.98%
1,368 CONSOLIDATED STORES CORPORATION+ 22,230
5,269 DAYTON-HUDSON CORPORATION 386,942
1,260 DILLARDS INCORPORATED CLASS A 25,436
2,664 DOLLAR GENERAL CORPORATION 60,606
2,487 FEDERATED DEPARTMENT STORES INCORPORATED+ 125,749
798 HARCOURT GENERAL INCORPORATED 32,120
3,161 J C PENNEY COMPANY INCORPORATED 63,022
5,854 K-MART CORPORATION+ 58,906
3,967 MAY DEPARTMENT STORES COMPANY+ 127,936
4,534 SEARS ROEBUCK & COMPANY 138,004
3,809 TJX COMPANIES INCORPORATED 77,846
52,905 WAL-MART STORES INCORPORATED 3,657,058
4,775,855
------------
HEALTH SERVICES - 0.14%
6,730 COLUMBIA HCA HEALTHCARE CORPORATION 197,273
4,988 HEALTHSOUTH CORPORATION+ 26,811
1,253 MANOR CARE INCORPORATED 20,048
3,743 TENET HEALTHCARE CORPORATION+ 87,961
332,093
------------
HEAVY CONSTRUCTION OTHER THAN BUILDING CONSTRUCTION-CONTRACTORS - 0.02%
910 FLUOR CORPORATION 41,746
452 FOSTER WHEELER CORPORATION 4,012
45,758
------------
HOME FURNITURE, FURNISHINGS & EQUIPMENT STORES - 0.12%
2,431 BEST BUY COMPANY INCORPORATED+ 122,006
2,371 CIRCUIT CITY STORES INCORPORATED 106,843
2,373 LEGGETT & PLATT INCORPORATED 50,871
279,720
------------
HOTELS, ROOMING HOUSES, CAMPS & OTHER LODGING PLACES - 0.07%
3,055 HILTON HOTELS CORPORATION 29,404
2,963 MARRIOTT INTERNATIONAL 93,520
2,363 MIRAGE RESORTS INCORPORATED+ 36,183
159,107
------------
INDUSTRIAL & COMMERCIAL MACHINERY & COMPUTER EQUIPMENT - 5.86%
1,917 APPLE COMPUTER INCORPORATED+ 197,092
4,468 APPLIED MATERIALS INCORPORATED+ 566,040
</TABLE>
24
<PAGE>
PORTFOLIO OF INVESTMENTS -- DECEMBER 31, 1999 VARIABLE TRUST
- --------------------------------------------------------------------------------
VARIABLE TRUST ASSET ALLOCATION FUND
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY DESCRIPTION VALUE
<C> <S> <C> <C> <C>
INDUSTRIAL & COMMERCIAL MACHINERY & COMPUTER EQUIPMENT (continued)
3,899 BAKER HUGHES INCORPORATED $ 82,123
1,040 BLACK & DECKER CORPORATION 54,340
283 BRIGGS & STRATTON CORPORATION 15,176
1,143 BRUNSWICK CORPORATION 25,432
4,240 CATERPILLAR INCORPORATED 199,545
38,703 CISCO SYSTEMS INCORPORATED+ 4,146,059
20,222 COMPAQ COMPUTER CORPORATION 547,258
4,254 COMPUWARE CORPORATION+ 158,462
443 CUMMINS ENGINE COMPANY INCORPORATED 21,402
2,772 DEERE & COMPANY 120,236
30,240 DELL COMPUTER CORPORATION+ 1,542,240
2,470 DOVER CORPORATION 112,076
12,069 EMC CORPORATION+ 1,318,538
3,736 GATEWAY INCORPORATED 269,226
12,051 HEWLETT PACKARD COMPANY 1,373,061
1,967 INGERSOLL-RAND COMPANY 108,308
21,443 INTERNATIONAL BUSINESS MACHINES CORPORATION 2,315,844
1,530 LEXMARK INTERNATIONAL GROUP INCORPORATED CLASS A+ 138,465
700 MCDERMOTT INTERNATIONAL INCORPORATED 6,344
410 MILACRON INCORPORATED 6,304
1,489 PALL CORPORATION 32,107
3,191 PITNEY BOWES INCORPORATED 154,165
2,458 SEAGATE TECHNOLOGY INCORPORATED+ 114,451
2,258 SILICON GRAPHICS INCORPORATED+ 22,157
3,407 SOLECTRON CORPORATION+ 324,091
2,304 TANDY CORPORATION 113,328
718 TIMKEN COMPANY 14,674
14,098,544
------------
INSURANCE AGENTS, BROKERS & SERVICE - 0.24%
3,077 AON CORPORATION 123,080
2,082 HUMANA INCORPORATED+ 17,046
3,149 MARSH & MCLENNAN COMPANIES INCORPORATED 301,320
1,307 MGIC INVESTMENT CORPORATION 78,665
1,451 T. ROWE PRICE & ASSOCIATES 53,596
573,707
------------
INSURANCE CARRIERS - 1.72%
1,791 AETNA INCORPORATED 99,960
3,179 AFLAC INCORPORATED 150,009
9,520 ALLSTATE CORPORATION 228,480
2,965 AMERICAN GENERAL CORPORATION 224,969
18,426 AMERICAN INTERNATIONAL GROUP INCORPORATED 1,992,311
2,100 CHUBB CORPORATION 118,256
2,215 CIGNA CORPORATION 178,446
1,983 CINCINNATI FINANCIAL CORPORATION 61,845
2,699 HARTFORD FINANCIAL SERVICES GROUP 127,865
1,261 JEFFERSON PILOT CORPORATION 86,063
</TABLE>
25
<PAGE>
VARIABLE TRUST PORTFOLIO OF INVESTMENTS -- DECEMBER 31, 1999
- --------------------------------------------------------------------------------
VARIABLE TRUST ASSET ALLOCATION FUND
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY DESCRIPTION VALUE
<C> <S> <C> <C> <C>
INSURANCE CARRIERS (continued)
2,377 LINCOLN NATIONAL CORPORATION $ 95,080
1,278 LOEWS CORPORATION 77,559
1,196 MBIA INCORPORATED 63,164
872 PROGRESSIVE CORPORATION 63,765
1,681 PROVIDIAN FINANCIAL CORPORATION 153,076
1,591 SAFECO CORPORATION 39,576
2,702 ST. PAUL COMPANIES INCORPORATED 91,024
1,582 TORCHMARK CORPORATION 45,977
2,065 UNITED HEALTHCARE CORPORATION 109,703
2,861 UNUMPROVIDENT CORPORATION 91,731
787 WELLPOINT HEALTH NETWORKS 51,893
4,150,752
------------
LUMBER & WOOD PRODUCTS, EXCEPT FURNITURE - 0.01%
1,261 LOUISIANA-PACIFIC CORPORATION 17,969
------------
MEASURING, ANALYZING, & CONTROLLING INSTRUMENTS; PHOTOGRAPHIC, MEDICAL & OPTICAL GOODS - 1.31%
1,569 ALLERGAN INCORPORATED 78,058
2,058 ANALOG DEVICES INCORPORATED+ 191,394
679 BAUSCH & LOMB INCORPORATED 46,469
3,459 BAXTER INTERNATIONAL INCORPORATED 217,268
3,003 BECTON DICKINSON & COMPANY 80,330
1,338 BIOMET INCORPORATED+ 53,520
4,930 BOSTON SCIENTIFIC CORPORATION+ 107,844
567 C R BARD INCORPORATED 30,051
1,686 DANAHER CORPORATION 81,350
3,776 EASTMAN KODAK COMPANY 250,160
852 EATON CORPORATION 61,877
3,605 GUIDANT CORPORATION+ 169,435
9,404 HONEYWELL INTERNATIONAL INCORPORATED 542,493
1,006 JOHNSON CONTROLS INCORPORATED 57,216
1,053 KLA-TENCOR CORPORATION+ 117,278
13,977 MEDTRONIC INCORPORATED 509,287
540 MILLIPORE CORPORATION 20,858
1,215 PE BIOSYSTEMS GROUP 146,180
505 PERKINELMER INCORPORATED 21,052
492 POLAROID CORPORATION 9,256
4,033 RAYTHEON COMPANY CLASS B 107,127
1,024 ST. JUDE MEDICAL INCORPORATED+ 31,424
565 TEKTRONIX INCORPORATED 21,964
1,905 THERMO ELECTRON CORPORATION+ 28,575
7,913 XEROX CORPORATION 179,526
3,159,992
------------
MEDIA - 0.24%
9,084 CBS CORPORATION+ 580,808
------------
METAL MINING - 0.12%
4,657 BARRICK GOLD CORPORATION 82,371
</TABLE>
26
<PAGE>
PORTFOLIO OF INVESTMENTS -- DECEMBER 31, 1999 VARIABLE TRUST
- --------------------------------------------------------------------------------
VARIABLE TRUST ASSET ALLOCATION FUND
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY DESCRIPTION VALUE
<C> <S> <C> <C> <C>
METAL MINING (continued)
1,971 FREEPORT MCMORAN COPPER & GOLD INCORPORATED CLASS B $ 41,637
3,064 HOMESTAKE MINING COMPANY 23,938
1,996 NEWMONT MINING CORPORATION 48,902
923 PHELPS DODGE CORPORATION 61,956
3,878 PLACER DOME INCORPORATED 41,689
300,493
------------
MINING & QUARRYING OF NONMETALLIC MINERALS, EXCEPT FUELS - 0.02%
1,186 VULCAN MATERIALS COMPANY 47,366
------------
MISCELLANEOUS MANUFACTURING INDUSTRIES - 0.37%
2,326 HASBRO INCORPORATED 44,339
415 JOSTENS INCORPORATED 10,090
5,067 MATTEL INCORPORATED 66,504
51 NACCO INDUSTRIES INCORPORATED CLASS A 2,834
19,941 TYCO INTERNATIONAL LIMITED 775,206
898,973
------------
MISCELLANEOUS RETAIL - 0.62%
1,677 BED BATH & BEYOND INCORPORATED+ 58,276
2,629 COSTCO WHOLESALE CORPORATION 239,896
4,670 CVS CORPORATION 186,508
6,345 KIMBERLY-CLARK CORPORATION 414,011
423 LONGS DRUG STORES CORPORATION 10,919
4,271 OFFICE DEPOT INCORPORATED+ 46,714
3,052 RITE AID CORPORATION 34,144
5,577 STAPLES INCORPORATED+ 115,723
2,925 TOYS "R" US INCORPORATED+ 41,864
11,960 WALGREEN'S COMPANY 349,830
1,497,885
------------
MOTION PICTURES - 0.80%
15,332 TIME WARNER INCORPORATED 1,110,612
2,587 UNICOM CORPORATION 86,665
24,579 WALT DISNEY COMPANY 718,936
1,916,213
------------
MOTOR FREIGHT TRANSPORTATION & WAREHOUSING - 0.06%
3,544 FDX CORPORATION+ 145,083
------------
NONDEPOSITORY CREDIT INSTITUTIONS - 1.27%
5,341 AMERICAN EXPRESS CORPORATION 887,941
8,680 ASSOCIATES FIRST CAPITAL CORPORATION 238,158
2,369 CAPITAL ONE FINANCIAL CORPORATION 114,156
3,919 CONSECO INCORPORATED 70,052
1,352 COUNTRYWIDE CREDIT INDUSTRIES INCORPORATED 34,138
8,289 FEDERAL HOME LOAN MORTGAGE CORPORATION 390,101
12,195 FEDERAL NATIONAL MORTGAGE ASSOCIATION 761,425
</TABLE>
27
<PAGE>
VARIABLE TRUST PORTFOLIO OF INVESTMENTS -- DECEMBER 31, 1999
- --------------------------------------------------------------------------------
VARIABLE TRUST ASSET ALLOCATION FUND
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY DESCRIPTION VALUE
<C> <S> <C> <C> <C>
NONDEPOSITORY CREDIT INSTITUTIONS (continued)
5,682 HOUSEHOLD INTERNATIONAL INCORPORATED $ 211,655
9,567 MBNA CORPORATION 260,700
1,901 SLM HOLDING CORPORATION 80,317
3,048,643
------------
OIL & GAS EXTRACTION - 0.48%
1,508 ANADARKO PETROLEUM CORPORATION 51,461
1,345 APACHE CORPORATION 49,681
3,843 ATLANTIC RICHFIELD CORPORATION 332,420
2,591 BURLINGTON RESOURCES INCORPORATED 85,665
314 HELMERICH & PAYNE INCORPORATED 6,849
1,027 KERR MCGEE CORPORATION 63,674
4,173 OCCIDENTAL PETROLEUM CORPORATION 90,241
990 ROWAN COMPANIES INCORPORATED+ 21,470
6,525 SCHLUMBERGER LIMITED 367,031
1,263 TRANSOCEAN SEDCO FOREX INCORPORATED 42,555
2,992 UNION PACIFIC RESOURCES GROUP INCORPORATED 38,148
1,149,195
------------
PAPER & ALLIED PRODUCTS - 0.67%
1,320 AVERY DENNISON CORPORATION 96,195
612 BEMIS COMPANY INCORPORATED 21,344
689 BOISE CASCADE CORPORATION 27,905
1,138 CHAMPION INTERNATIONAL CORPORATION 70,485
2,633 FORT JAMES CORPORATION 72,078
2,040 GEORGIA-PACIFIC CORPORATION 103,530
1,838 IKON OFFICE SOLUTIONS 12,521
4,933 INTERNATIONAL PAPER COMPANY 278,405
1,211 MEAD CORPORATION 52,603
4,802 MINNESOTA MINING & MANUFACTURING COMPANY 469,996
2,089 PACTIV CORPORATION 22,195
994 SEALED AIR CORPORATION+ 51,502
675 TEMPLE-INLAND INCORPORATED 44,508
1,187 WESTVACO CORPORATION 38,726
2,793 WEYERHAEUSER COMPANY 200,572
1,326 WILLAMETTE INDUSTRIES INCORPORATED 61,576
1,624,141
------------
PERSONAL SERVICES - 0.03%
1,176 H&R BLOCK INCORPORATED 51,450
3,323 SERVICE CORPORATION INTERNATIONAL 23,053
74,503
------------
PETROLEUM REFINING & RELATED INDUSTRIES - 2.73%
1,057 AMERADA HESS CORPORATION 59,985
851 ASHLAND INCORPORATED 28,030
7,813 CHEVRON CORPORATION 676,801
7,482 CONOCO INCORPORATED CLASS B 186,115
</TABLE>
28
<PAGE>
PORTFOLIO OF INVESTMENTS -- DECEMBER 31, 1999 VARIABLE TRUST
- --------------------------------------------------------------------------------
VARIABLE TRUST ASSET ALLOCATION FUND
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY DESCRIPTION VALUE
<C> <S> <C> <C> <C>
PETROLEUM REFINING & RELATED INDUSTRIES (continued)
41,063 EXXON MOBIL CORPORATION $ 3,308,138
3,022 PHILLIPS PETROLEUM COMPANY 142,034
25,522 ROYAL DUTCH PETROLEUM COMPANY ADR 1,542,470
1,062 SUNOCO INCORPORATED 24,957
6,589 TEXACO INCORPORATED 357,865
1,826 TOSCO CORPORATION 49,644
2,912 UNOCAL CORPORATION 97,734
3,693 USX - MARATHON GROUP 91,171
6,564,944
------------
PRIMARY METAL INDUSTRIES - 0.32%
2,718 ALCAN ALUMINUM LIMITED 111,948
4,369 ALCOA INCORPORATED 362,627
1,155 ALLEGHENY TECHNOLOGIES INCORPORATED 25,915
1,698 BETHLEHEM STEEL CORPORATION+ 14,220
1,481 ENGELHARD CORPORATION 27,954
2,290 INCO LIMITED 53,815
1,044 NUCOR CORPORATION 57,224
753 REYNOLDS METALS COMPANY 57,699
1,068 USX - US STEEL GROUP 35,244
1,077 WORTHINGTON INDUSTRIES INCORPORATED 17,838
764,484
------------
PRINTING, PUBLISHING & ALLIED INDUSTRIES - 0.60%
850 AMERICAN GREETINGS CORPORATION CLASS A 20,080
893 DELUXE CORPORATION 24,502
1,083 DOW JONES & COMPANY INCORPORATED 73,644
3,331 GANNETT COMPANY INCORPORATED 271,685
970 KNIGHT-RIDDER INCORPORATED 57,715
2,330 MCGRAW-HILL INCORPORATED 143,585
551 MEREDITH CORPORATION 22,970
2,074 NEW YORK TIMES COMPANY CLASS A+ 101,885
1,506 RR DONNELLEY & SONS COMPANY 37,368
695 TIMES MIRROR COMPANY CLASS A+ 46,565
2,817 TRIBUNE COMPANY 155,111
8,286 VIACOM INCORPORATED CLASS B+ 500,785
1,455,895
------------
RAILROAD TRANSPORTATION - 0.22%
5,548 BURLINGTON NORTHERN SANTA FE 134,539
2,605 CSX CORPORATION 81,732
1,293 KANSAS CITY SOUTHERN INDUSTRIES INCORPORATED 96,490
4,514 NORFOLK SOUTHERN CORPORATION 92,537
2,963 UNION PACIFIC CORPORATION 129,260
534,558
------------
RUBBER & MISCELLANEOUS PLASTICS PRODUCTS - 0.25%
455 ARMSTRONG WORLD INDUSTRIES INCORPORATED 15,185
</TABLE>
29
<PAGE>
VARIABLE TRUST PORTFOLIO OF INVESTMENTS -- DECEMBER 31, 1999
- --------------------------------------------------------------------------------
VARIABLE TRUST ASSET ALLOCATION FUND
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY DESCRIPTION VALUE
<C> <S> <C> <C> <C>
RUBBER & MISCELLANEOUS PLASTICS PRODUCTS (continued)
871 COOPER TIRE & RUBBER COMPANY $ 13,555
1,858 GOODYEAR TIRE & RUBBER COMPANY 52,372
3,575 ILLINOIS TOOL WORKS INCORPORATED 241,536
3,360 NEWELL RUBBERMAID INCORPORATED 97,440
3,358 NIKE INCORPORATED CLASS B 166,431
639 REEBOK INTERNATIONAL LIMITED+ 5,232
715 TUPPERWARE CORPORATION 12,110
603,861
------------
SECURITY & COMMODITY BROKERS, DEALERS, EXCHANGES & SERVICES - 0.84%
1,427 BEAR STEARNS & COMPANY INCORPORATED 61,004
9,744 CHARLES SCHWAB CORPORATION 373,925
2,986 FRANKLIN RESOURCES INCORPORATED 95,739
1,425 LEHMAN BROTHERS HOLDINGS 120,680
4,407 MERRILL LYNCH & COMPANY INCORPORATED 367,985
6,648 MORGAN STANLEY DEAN WITTER & COMPANY 949,002
1,723 PAINEWEBBER GROUP INCORPORATED 66,874
2,035,209
------------
STONE, CLAY, GLASS & CONCRETE PRODUCTS - 0.18%
2,896 CORNING INCORPORATED 373,403
621 OWENS CORNING FIBERGLASS CORPORATION 11,993
1,858 OWENS-ILLINOIS INCORPORATED+ 46,566
431,962
------------
TELECOMMUNICATIONS - 0.28%
1,774 ADC TELECOMMUNICATION+ 128,725
833 COMVERSE TECHNOLOGY INCORPORATED+ 120,577
6,008 U.S. WEST INCORPORATED 432,576
681,878
------------
TEXTILE MILL PRODUCTS - 0.01%
388 RUSSELL CORPORATION 6,499
204 SPRINGS INDUSTRIES INCORPORATED CLASS A 8,147
14,646
------------
TOBACCO PRODUCTS - 0.29%
28,255 PHILIP MORRIS COMPANIES INCORPORATED 655,163
2,083 UST INCORPORATED 52,465
707,628
------------
TRANSPORTATION BY AIR - 0.14%
1,795 AMR CORPORATION+ 120,265
1,649 DELTA AIR LINES INCORPORATED 82,140
6,066 SOUTHWEST AIRLINES COMPANY 98,193
870 US AIR GROUP INCORPORATED+ 27,894
328,492
------------
</TABLE>
30
<PAGE>
PORTFOLIO OF INVESTMENTS -- DECEMBER 31, 1999 VARIABLE TRUST
- --------------------------------------------------------------------------------
VARIABLE TRUST ASSET ALLOCATION FUND
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY DESCRIPTION VALUE
<C> <S> <C> <C> <C>
TRANSPORTATION EQUIPMENT - 1.27%
11,191 BOEING COMPANY $ 465,125
1,998 DANA CORPORATION 59,815
6,739 DELPHI AUTOMOTIVE SYSTEMS CORPORATION+ 106,139
405 FLEETWOOD ENTERPRISES INCORPORATED 8,353
14,399 FORD MOTOR COMPANY 769,447
2,379 GENERAL DYNAMICS CORPORATION 125,492
7,653 GENERAL MOTORS CORPORATION 556,277
1,054 ITT INDUSTRIES INCORPORATED 35,243
4,729 LOCKHEED MARTIN CORPORATION 103,447
793 NAVISTAR INTERNATIONAL+ 37,568
824 NORTHROP GRUMMAN CORPORATION+ 44,548
959 PACCAR INCORPORATED 42,495
2,282 ROCKWELL INTERNATIONAL CORPORATION 109,250
1,796 TEXTRON INCORPORATED 137,730
1,432 TRW INCORPORATED 74,375
5,745 UNITED TECHNOLOGIES CORPORATION 373,425
3,048,729
------------
WATER TRANSPORTATION - 0.14%
7,305 CARNIVAL CORPORATION CLASS A 349,270
------------
WHOLESALE TRADE-DURABLE GOODS - 0.66%
2,158 GENUINE PARTS COMPANY 53,545
16,371 JOHNSON & JOHNSON 1,524,549
356 POTLATCH CORPORATION 15,887
1,593,981
------------
WHOLESALE TRADE-NONDURABLE GOODS - 0.40%
3,244 CARDINAL HEALTH INCORPORATED 155,307
6,107 SAFEWAY INCORPORATED+ 217,180
1,223 SIGMA ALDRICH CORPORATION 36,765
1,659 SUPERVALU INCORPORATED 33,180
3,941 SYSCO CORPORATION 155,915
6,816 UNILEVER NV 371,045
969,392
------------
146,256,662
TOTAL COMMON STOCKS (COST $116,968,728)
------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL SECURITY DESCRIPTION INTEREST RATE MATURITY DATE VALUE
<C> <S> <C> <C> <C>
U.S. TREASURY SECURITIES - 35.64%
U.S. TREASURY BONDS - 35.64%
$3,750,000 U.S. TREASURY BONDS 5.25% 11/15/28 3,089,063
2,250,000 U.S. TREASURY BONDS 5.25 02/15/29 1,860,458
2,050,000 U.S. TREASURY BONDS 5.50 08/15/28 1,748,260
4,200,000 U.S. TREASURY BONDS 6.00 02/15/26 3,842,328
3,750,000 U.S. TREASURY BONDS 6.13 11/15/27 3,489,825
2,350,000 U.S. TREASURY BONDS 6.13 08/15/29 2,240,208
6,950,000 U.S. TREASURY BONDS 6.25 08/15/23 6,552,530
</TABLE>
31
<PAGE>
VARIABLE TRUST PORTFOLIO OF INVESTMENTS -- DECEMBER 31, 1999
- --------------------------------------------------------------------------------
VARIABLE TRUST ASSET ALLOCATION FUND
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL SECURITY DESCRIPTION INTEREST RATE MATURITY DATE VALUE
<C> <S> <C> <C> <C>
U.S. TREASURY BONDS (continued)
$3,700,000 U.S. TREASURY BONDS 6.38% 08/15/27 $ 3,553,739
2,600,000 U.S. TREASURY BONDS 6.50 11/15/26 2,535,000
2,150,000 U.S. TREASURY BONDS 6.63 02/15/27 2,130,844
3,050,000 U.S. TREASURY BONDS 6.75 08/15/26 3,064,305
4,150,000 U.S. TREASURY BONDS 6.88 08/15/25 4,227,149
4,600,000 U.S. TREASURY BONDS 7.13 02/15/23 4,789,014
2,150,000 U.S. TREASURY BONDS 7.25 08/15/22 2,266,573
3,200,000 U.S. TREASURY BONDS 7.50 11/15/24 3,493,504
2,250,000 U.S. TREASURY BONDS 7.63 11/15/22 2,468,678
3,650,000 U.S. TREASURY BONDS 7.63 02/15/25 4,045,222
2,350,000 U.S. TREASURY BONDS 7.88 02/15/21 2,626,854
7,100,000 U.S. TREASURY BONDS 8.00 11/15/21 8,057,364
2,200,000 U.S. TREASURY BONDS 8.13 05/15/21 2,521,750
3,400,000 U.S. TREASURY BONDS 8.13 08/15/21 3,899,358
3,700,000 U.S. TREASURY BONDS 8.50 02/15/20 4,372,919
2,100,000 U.S. TREASURY BONDS 8.75 05/15/20 2,541,650
5,250,000 U.S. TREASURY BONDS 8.75 08/15/20 6,360,690
85,777,285
TOTAL U.S. TREASURY SECURITIES (COST $92,984,785)
------------
SHORT-TERM INVESTMENTS - 2.84%
U.S. TREASURY BILLS - 2.84%
250,000 U.S. TREASURY BILLS{*} 5.12{::} 03/23/00 247,133
6,618,000 U.S. TREASURY BILLS 5.36{::} 01/27/00 6,595,058
6,842,191
TOTAL SHORT-TERM INSTRUMENTS (COST $6,842,959)
------------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS IN SECURITIES
(COST $216,796,472)* (NOTES 1 AND 3) 99.25% $238,876,138
OTHER ASSETS AND LIABILITIES, NET 0.75 1,794,852
------ ------------
TOTAL NET ASSETS 100.00% $240,670,990
------ ------------
</TABLE>
<TABLE>
<C> <S>
** SECURITY OF AN AFFILIATE OF THE FUND WITH A COST OF
$725,572.
+ NON-INCOME EARNING SECURITIES.
{::} YIELD TO MATURITY.
{*} SECURITIES PLEDGED AS COLLATERAL FOR FUTURES TRANSACTIONS.
* COST FOR FEDERAL INCOME TAX PURPOSES IS $217,891,405 AND NET
UNREALIZED APPRECIATION CONSISTS OF:
</TABLE>
<TABLE>
<CAPTION>
<S> <C>
GROSS UNREALIZED APPRECIATION $ 38,352,059
GROSS UNREALIZED DEPRECIATION (17,367,326)
------------
NET UNREALIZED APPRECIATION $ 20,984,733
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
32
<PAGE>
PORTFOLIO OF INVESTMENTS -- DECEMBER 31, 1999 VARIABLE TRUST
- --------------------------------------------------------------------------------
VARIABLE TRUST CORPORATE BOND FUND
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL SECURITY DESCRIPTION INTEREST RATE MATURITY DATE VALUE
<C> <S> <C> <C> <C>
CORPORATE BONDS & NOTES - 72.58%
AMUSEMENT & RECREATION SERVICES - 0.36%
$ 250,000 HOLLYWOOD PARK INCORPORATED 9.25% 02/15/07 $ 247,500
-----------
BUSINESS SERVICES - 4.46%
2,270,000 CENDANT CORPORATION 7.75 12/01/03 2,244,462
500,000 FIRST DATA CORPORATION 6.38 12/15/07 468,125
350,000 ORACLE CORPORATION 6.72 02/15/04 340,375
3,052,962
-----------
CHEMICALS & ALLIED PRODUCTS - 1.41%
235,000 AMERICAN HOME PRODUCTS CORPORATION 7.25 03/01/23 221,488
250,000 HUNTSMAN ICI CHEMICALS 9.56 07/01/09 263,731
250,000 LYONDELL CHEMICAL COMPANY 9.63 05/01/07 256,875
250,000 MERCK & COMPANY INCORPORATED 6.40 03/01/28 220,000
962,094
-----------
COMMUNICATIONS - 6.45%
250,000 ADELPHIA COMMUNICATIONS 9.38 11/15/09 246,250
250,000 ADELPHIA COMMUNICATIONS 9.88 03/01/07 255,938
250,000 CHARTER COMM HOLDINGS LIMITED LIABILITY CORPORATION 8.63 04/01/09 231,250
450,000 CLEAR CHANNEL COMMUNICATIONS INCORPORATED 7.25 10/15/27 386,438
500,000 CSC HOLDINGS INCORPORATED 9.25 11/01/05 515,000
500,000 LCI INTERNATIONAL INCORPORATED (QWEST) 7.25 06/15/07 480,625
500,000 SPRINT CAPITAL CORPORATION 6.13 11/15/08 451,875
2,000,000 TELEGLOBE INCORPORATED 7.20 07/20/09 1,842,500
4,409,876
-----------
DEPOSITORY INSTITUTIONS - 10.46%
500,000 BANK UNITED 8.00 03/15/09 463,125
500,000 FLEETBOSTON FINANCIAL CORPORATION 6.88 07/15/03 493,750
500,000 BANKERS TRUST NEW YORK COMPANY 7.38 05/01/08 489,375
2,500,000 CHASE MANHATTAN CORPORATION 7.00 11/15/09 2,409,375
2,000,000 HSBC USA 6.63 03/01/09 1,852,500
500,000 PNC BANK CORPORATION 6.50 05/01/08 461,250
500,000 PROVIDIAN NATIONAL BANK 6.65 02/01/04 475,000
500,000 SOCIETY CORPORATION 8.13 06/15/02 510,625
7,155,000
-----------
ELECTRIC, GAS & SANITARY SERVICES - 6.43%
500,000 COASTAL CORPORATION 6.95 06/01/28 432,500
2,000,000 PP&L CAPITAL FUNDING 7.70 11/15/02 1,995,000
2,000,000 NRG ENERGY INCORPORATED 8.00 11/01/03 1,967,500
4,395,000
-----------
FABRICATED METAL PRODUCTS, EXCEPT MACHINERY & TRANSPORTATION EQUIPMENT - 2.92%
2,000,000 LOCKHEED MARTIN CORPORATION 8.50 12/01/29 1,997,500
-----------
FINANCIAL SERVICES - 2.88%
2,000,000 WASHINGTON MUTUAL INCORPORATED 7.50 08/15/06 1,972,500
-----------
</TABLE>
33
<PAGE>
VARIABLE TRUST PORTFOLIO OF INVESTMENTS -- DECEMBER 31, 1999
- --------------------------------------------------------------------------------
VARIABLE TRUST CORPORATE BOND FUND
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL SECURITY DESCRIPTION INTEREST RATE MATURITY DATE VALUE
<C> <S> <C> <C> <C>
FOOD & KINDRED PRODUCTS - 1.19%
$ 500,000 ANHEUSER BUSCH COMPANIES 9.00% 12/01/09 $ 555,000
250,000 INTERNATIONAL HOME FOODS 10.38 11/01/06 258,125
813,125
-----------
GENERAL MERCHANDISE STORES - 0.61%
500,000 SAKS INCORPORATED 7.38 02/15/19 418,125
-----------
HOLDING & OTHER INVESTMENT OFFICES - 7.90%
2,000,000 EOP OPERATING LIMITED PARTNERSHIP 6.80 01/15/09 1,792,500
1,750,000 ERP OPERATING LIMITED PARTNERSHIP 7.95 04/15/02 1,754,375
2,000,000 SPIEKER PROPERTIES LIMITED PARTNERSHIP 7.25 05/01/09 1,857,500
5,404,375
-----------
INDUSTRIAL & COMMERCIAL MACHINERY & COMPUTER EQUIPMENT - 0.40%
300,000 DELL COMPUTER CORPORATION 7.10 04/15/28 273,750
-----------
INDUSTRIAL SERVICES - 0.25%
200,000 GRUMA SA DE CV 7.63 10/15/07 174,000
-----------
INSURANCE CARRIERS - 4.39%
200,000 AMBAC INCORPORATED 9.38 08/01/11 228,500
2,500,000 CONSECO INCORPORATED 9.00 10/15/06 2,565,625
250,000 WILLIS CORROON CORPORATION 9.00 02/01/09 208,125
3,002,250
-----------
NONDEPOSITORY CREDIT INSTITUTIONS - 8.74%
2,000,000 COUNTRYWIDE HOME LOAN 6.25 04/15/09 1,792,500
500,000 FORD MOTOR CREDIT COMPANY 5.13 10/15/01 485,000
3,000,000 FORD MOTOR CREDIT COMPANY 7.38 10/28/09 2,970,000
185,000 GENERAL ELECTRIC CAPITAL CORPORATION 7.88 12/01/06 191,013
500,000 GENERAL ELECTRIC CAPITAL CORPORATION 8.63 06/15/08 538,750
5,977,263
-----------
OIL & GAS EXTRACTION - 3.58%
2,500,000 PETROLEUM GEO-SERVICES 7.50 03/31/07 2,446,875
-----------
PAPER & ALLIED PRODUCTS - 1.11%
500,000 PLAYTEX FAMILY PRODUCTS CORPORATION 9.00 12/15/03 493,750
250,000 KAPPA BEHEER BV 9.73 07/15/09 264,358
758,108
-----------
PETROLEUM REFINING & RELATED INDUSTRIES - 0.60%
200,000 ATLANTIC RICHFIELD COMPANY 9.00 04/01/21 224,750
200,000 TOSCO CORPORATION 7.80 01/01/27 186,750
411,500
-----------
PRINTING & PUBLICATIONS - 0.36%
250,000 HOLLINGER INTERNATIONAL PUBLISHING 9.25 03/15/07 247,500
-----------
</TABLE>
34
<PAGE>
PORTFOLIO OF INVESTMENTS -- DECEMBER 31, 1999 VARIABLE TRUST
- --------------------------------------------------------------------------------
VARIABLE TRUST CORPORATE BOND FUND
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL SECURITY DESCRIPTION INTEREST RATE MATURITY DATE VALUE
<C> <S> <C> <C> <C>
PRINTING, PUBLISHING & ALLIED INDUSTRIES - 0.39%
$ 255,000 NEWS AMERICA HOLDINGS 8.88% 04/26/23 $ 269,025
-----------
REAL ESTATE - 0.73%
500,000 ROUSE COMPANY 8.50 01/15/03 500,625
-----------
SECURITY & COMMODITY BROKERS, DEALERS, EXCHANGES & SERVICES - 5.60%
2,000,000 GOLDMAN SACHS GROUP INCORPORATED 6.65 05/15/09 1,860,000
2,000,000 LEHMAN BROTHERS HOLDINGS 7.00 05/15/03 1,970,000
3,830,000
-----------
TOBACCO PRODUCTS - 0.66%
500,000 IMPERIAL TOBACCO 7.13 04/01/09 448,750
-----------
WHOLESALE TRADE-NONDURABLE GOODS - 0.70%
500,000 STAPLES INCORPORATED 7.13 08/15/07 478,750
-----------
49,646,453
TOTAL CORPORATE BONDS & NOTES (COST $50,404,419)
-----------
MUNICIPAL SECURITIES - 0.29%
MUNICIPAL NOTES - 0.29%
200,000 DENVER COLORADO CITY AND COUNTY SCHOOL DISTRICT #1
EDUCATIONAL FACILITIES REVENUE BONDS TAXABLE PENSION SCHOOL
FACILITIES LEASE AMBAC INSURED 6.49 12/15/02 197,000
-----------
197,000
TOTAL MUNICIPAL SECURITIES (COST $199,783)
-----------
U.S. GOVERNMENT AGENCY SECURITIES - 3.26%
FEDERAL HOME LOAN MORTGAGE CORPORATION - 0.44%
300,000 FHLMC 7.10 04/10/07 301,131
-----------
FEDERAL NATIONAL MORTGAGE ASSOCIATION - 2.58%
478,271 FNMA, #449466 6.50 11/01/28 450,617
470,503 FNMA, #454390 6.00 12/01/28 430,510
963,964 FNMA, #455607 6.00 12/01/28 882,027
1,763,154
-----------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION - 0.24%
164,942 GNMA, #445071 7.50 01/15/27 163,086
-----------
2,227,371
TOTAL U.S. GOVERNMENT AGENCY SECURITIES (COST $2,274,797)
-----------
U.S. TREASURY SECURITIES - 21.43%
U.S. TREASURY BONDS - 15.75%
750,000 U.S. TREASURY BONDS 5.25 11/15/28 617,933
7,000,000 U.S. TREASURY BONDS 5.25 02/15/29 5,794,950
300,000 U.S. TREASURY BONDS 8.88 02/15/19 365,082
300,000 U.S. TREASURY BONDS 8.88 08/15/17 362,427
700,000 U.S. TREASURY BONDS 10.75 08/15/05 835,051
200,000 U.S. TREASURY BONDS 11.25 02/15/15 282,614
1,300,000 U.S. TREASURY BONDS 7.88 11/15/04 1,374,217
500,000 U.S. TREASURY BONDS 8.13 08/15/21 573,470
500,000 U.S. TREASURY BONDS 8.13 08/15/19 569,625
10,775,369
-----------
</TABLE>
35
<PAGE>
VARIABLE TRUST PORTFOLIO OF INVESTMENTS -- DECEMBER 31, 1999
- --------------------------------------------------------------------------------
VARIABLE TRUST CORPORATE BOND FUND
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL SECURITY DESCRIPTION INTEREST RATE MATURITY DATE VALUE
<C> <S> <C> <C> <C>
U.S. TREASURY NOTES - 5.68%
$1,450,000 U.S. TREASURY NOTES 4.75% 11/15/08 $ 1,279,103
625,000 U.S. TREASURY NOTES 5.63 12/31/02 613,650
500,000 U.S. TREASURY NOTES 6.13 08/15/07 487,635
800,000 U.S. TREASURY NOTES 6.50 08/15/05 799,792
700,000 U.S. TREASURY NOTES 6.63 05/15/07 702,513
3,882,693
-----------
14,658,062
TOTAL U.S. TREASURY SECURITIES (COST $15,029,051)
-----------
SHORT-TERM INSTRUMENTS - 0.38%
REPURCHASE AGREEMENTS - 0.38%
202,000 GOLDMAN SACHS REPURCHASE AGREEMENT - 102% COLLATERALIZED BY
U.S. GOVERNMENT SECURITIES 2.03 01/03/00 202,000
61,000 JP MORGAN SECURITIES INCORPORATED REPURCHASE AGREEMENT -
102% COLLATERALIZED BY U.S. GOVERNMENT SECURITIES 2.48 01/03/00 61,000
263,000
TOTAL SHORT-TERM INSTRUMENTS (COST $263,000)
-----------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS IN SECURITIES
(COST $68,171,050)* 97.94% $66,991,886
OTHER ASSETS AND LIABILITIES, NET 2.06 1,431,132
------ -----------
TOTAL NET ASSETS 100.00% $68,423,018
------ -----------
</TABLE>
<TABLE>
<C> <S>
{::} YIELD TO MATURITY.
* COST FOR FEDERAL INCOME TAX PURPOSES IS THE SAME AS FOR
FINANCIAL STATEMENT PURPOSES AND NET UNREALIZED DEPRECIATION
CONSISTS OF:
</TABLE>
<TABLE>
<CAPTION>
<S> <C>
GROSS UNREALIZED APPRECIATION $ 49,826
GROSS UNREALIZED DEPRECIATION (1,228,990)
-----------
NET UNREALIZED DEPRECIATION $(1,179,164)
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
36
<PAGE>
PORTFOLIO OF INVESTMENTS -- DECEMBER 31, 1999 VARIABLE TRUST
- --------------------------------------------------------------------------------
VARIABLE TRUST EQUITY INCOME FUND
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY DESCRIPTION VALUE
<C> <S> <C> <C> <C>
COMMON STOCK - 97.33%
BUSINESS SERVICES - 1.92%
9,561 GARTNER GROUP INCORPORATED - CLASS B+ $ 132,061
85,470 IMS HEALTH INCORPORATED 2,323,716
2,455,777
-----------
CHEMICALS & ALLIED PRODUCTS - 13.22%
59,730 AMERICAN HOME PRODUCTS CORPORATION 2,355,602
48,430 E.I. DU PONT DE NEMOURS & COMPANY 3,190,326
41,200 MERCK & COMPANY INCORPORATED 2,762,975
83,180 PFIZER INCORPORATED 2,698,151
38,300 PROCTER & GAMBLE COMPANY 4,196,245
41,394 ROHM & HAAS COMPANY 1,684,218
16,887,517
-----------
COMMUNICATIONS - 5.72%
90,577 AT&T CORPORATION 4,596,782
38,520 GTE CORPORATION 2,718,068
7,314,850
-----------
DEPOSITORY INSTITUTIONS - 3.40%
20,465 J.P. MORGAN & COMPANY INCORPORATED 2,591,381
73,340 U.S. BANCORP 1,746,408
4,337,789
-----------
EATING & DRINKING PLACES - 1.81%
57,410 MCDONALD'S CORPORATION 2,314,341
-----------
ELECTRIC, GAS & SANITARY SERVICES - 4.64%
25,310 CONSOLIDATED NATURAL GAS COMPANY 1,643,569
25,670 PACIFIC GAS & ELECTRIC COMPANY 526,236
34,190 PUBLIC SERVICE ENTERPRISE GROUP INCORPORATED 1,190,239
57,603 TEXAS UTILITIES COMPANY 2,048,507
30,219 WASTE MANAGEMENT INCORPORATED 519,388
5,927,939
-----------
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT & COMPONENTS, EXCEPT COMPUTER EQUIPMENT - 9.69%
49,590 EMERSON ELECTRIC COMPANY 2,845,226
25,950 GENERAL ELECTRIC COMPANY 4,015,763
73,740 LUCENT TECHNOLOGIES INCORPORATED 5,516,674
12,377,663
-----------
ENGINEERING, ACCOUNTING, RESEARCH, MANAGEMENT & RELATED SERVICES - 1.83%
79,350 DUN & BRADSTREET CORPORATION 2,340,825
-----------
FABRICATED METAL PRODUCTS, EXCEPT MACHINERY & TRANSPORTATION EQUIPMENT - 2.49%
96,320 FORTUNE BRANDS INCORPORATED 3,184,580
-----------
FOOD & KINDRED PRODUCTS - 4.86%
120,780 PEPSICO INCORPORATED 4,257,495
</TABLE>
37
<PAGE>
VARIABLE TRUST PORTFOLIO OF INVESTMENTS -- DECEMBER 31, 1999
- --------------------------------------------------------------------------------
VARIABLE TRUST EQUITY INCOME FUND
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY DESCRIPTION VALUE
<C> <S> <C> <C> <C>
FOOD & KINDRED PRODUCTS (continued)
88,200 SARA LEE CORPORATION $ 1,945,913
6,203,408
-----------
GENERAL MERCHANDISE STORES - 6.48%
49,110 DAYTON HUDSON CORPORATION 3,606,516
53,545 J.C. PENNEY COMPANY INCORPORATED 1,067,554
78,367 MAY DEPARTMENT STORES COMPANY 2,527,335
35,530 SEARS, ROEBUCK AND COMPANY 1,081,444
8,282,849
-----------
INDUSTRIAL & COMMERCIAL MACHINERY & COMPUTER EQUIPMENT - 7.37%
61,840 HEWLETT-PACKARD COMPANY 7,045,895
22,000 IBM CORPORATION 2,376,000
9,421,895
-----------
INSURANCE CARRIERS - 6.86%
33,604 AEGON NV, ADR 3,209,182
34,180 AMERICAN GENERAL CORPORATION 2,593,408
87,910 ST. PAUL COS. INCORPORATED 2,961,468
8,764,058
-----------
MEASURING, ANALYZING, & CONTROLLING INSTRUMENTS; PHOTOGRAPHIC, MEDICAL & OPTICAL GOODS - 4.40%
28,825 EASTMAN KODAK COMPANY 1,909,656
54,543 HONEYWELL INTERNATIONAL INCORPORATED 3,146,448
25,000 XEROX CORPORATION 567,188
5,623,292
-----------
MISCELLANEOUS MANUFACTURING INDUSTRIES - 2.94%
96,748 TYCO INTERNATIONAL LIMITED 3,761,077
-----------
MOTION PICTURES - 0.80%
35,000 WALT DISNEY COMPANY 1,023,750
-----------
NONDEPOSITORY CREDIT INSTITUTIONS - 2.74%
21,100 AMERICAN EXPRESS COMPANY 3,507,875
-----------
OIL & GAS EXTRACTION - 1.49%
30,410 SCHLUMBERGER LIMITED 1,710,563
5,887 TRANSOCEAN SEDCO FOREX INCORPORATED 198,330
1,908,893
-----------
PAPER & ALLIED PRODUCTS - 2.17%
28,292 MINNESOTA MINING AND MANUFACTURING COMPANY 2,769,080
-----------
PETROLEUM REFINING & RELATED INDUSTRIES - 7.61%
27,810 ATLANTIC RICHFIELD COMPANY 2,405,565
23,225 CHEVRON CORPORATION 2,011,865
50,357 EXXON MOBIL CORPORATION 4,056,887
</TABLE>
38
<PAGE>
PORTFOLIO OF INVESTMENTS -- DECEMBER 31, 1999 VARIABLE TRUST
- --------------------------------------------------------------------------------
VARIABLE TRUST EQUITY INCOME FUND
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY DESCRIPTION VALUE
<C> <S> <C> <C> <C>
PETROLEUM REFINING & RELATED INDUSTRIES (continued)
20,800 ROYAL DUTCH PETROLEUM COMPANY NEW YORK
REGISTERED SHARES $ 1,257,100
9,731,417
-----------
TOBACCO PRODUCTS - 1.15%
63,610 PHILIP MORRIS COS. INCORPORATED 1,474,957
-----------
TRANSPORTATION EQUIPMENT - 1.82%
35,750 UNITED TECHNOLOGIES CORPORATION 2,323,750
-----------
WHOLESALE TRADE-DURABLE GOODS - 1.92%
26,310 JOHNSON & JOHNSON 2,450,119
-----------
124,387,701
TOTAL COMMON STOCK (COST $106,514,010)
-----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL SECURITY DESCRIPTION INTEREST RATE MATURITY DATE VALUE
<C> <S> <C> <C> <C>
REPURCHASE AGREEMENTS - 2.15%
$2,748,720 LEHMAN BROTHERS INCORPORATED REPURCHASE AGREEMENT
-102% COLLATERALIZED BY U.S. GOVERNMENT SECURITIES 4.55% 01/03/00 2,748,720
------------
2,748,720
TOTAL REPURCHASE AGREEMENTS (COST $2,748,720)
------------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS IN SECURITIES
(COST $109,262,730)* 99.48% $127,136,421
OTHER ASSETS AND LIABILITIES, NET 0.52 657,058
------ ------------
TOTAL NET ASSETS 100.00% $127,793,479
------ ------------
</TABLE>
<TABLE>
<C> <S>
+ NON-INCOME EARNING SECURITIES.
* COST FOR FEDERAL INCOME TAX PURPOSES IS $109,262,792 AND NET
UNREALIZED APPRECIATION CONSISTS OF:
</TABLE>
<TABLE>
<CAPTION>
<S> <C>
GROSS UNREALIZED APPRECIATION $26,397,465
GROSS UNREALIZED DEPRECIATION (8,523,836)
-----------
NET UNREALIZED APPRECIATION $17,873,629
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
39
<PAGE>
VARIABLE TRUST PORTFOLIO OF INVESTMENTS -- DECEMBER 31, 1999
- --------------------------------------------------------------------------------
VARIABLE TRUST EQUITY VALUE FUND
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY DESCRIPTION VALUE
<C> <S> <C> <C> <C>
COMMON STOCKS - 94.93%
BUILDING CONSTRUCTION-GENERAL CONTRACTORS & OPERATIVE BUILDERS - 0.48%
5,000 MASCO CORPORATION $ 126,875
-----------
BUSINESS SERVICES - 2.08%
4,100 COMPUTER ASSOCIATES INTERNATIONAL INCORPORATED 286,744
8,350 UNISYS CORPORATION+ 266,678
553,422
-----------
CHEMICALS & ALLIED PRODUCTS - 4.46%
3,150 ABBOTT LABORATORIES 114,384
2,550 AMERICAN HOME PRODUCTS CORPORATION 100,566
1,550 DOW CHEMICAL COMPANY 207,119
5,000 DUPONT (E.I.) DE NEMOURS AND COMPANY 329,375
6,600 HERCULES INCORPORATED 183,975
6,950 WATSON PHARMACEUTICALS INCORPORATED+ 248,897
1,184,316
-----------
COMMUNICATIONS - 12.69%
8,387 AMERICAN TELEPHONE & TELEGRAPH CORPORATION 425,640
7,175 BELL ATLANTIC CORPORATION 441,711
10,275 BELLSOUTH CORPORATION 480,998
7,075 GTE CORPORATION 499,230
1,313 MCI WORLDCOM INCORPORATED+ 69,645
7,400 MEDIA ONE GROUP INCORPORATED+ 568,413
15,012 SBC COMMUNICATIONS INCORPORATED 731,835
2,300 SPRINT CORPORATION (FON GROUP) 154,819
3,372,291
-----------
CONSUMER DURABLES - 1.91%
3,761 PHILIPS ELECTRONICS NV ADR 507,735
-----------
DOMESTIC DEPOSITORY INSTITUTIONS - 10.79%
3,525 BANK OF AMERICA CORPORATION 176,911
5,200 CHASE MANHATTAN CORPORATION 403,975
21,988 CITIGROUP INCORPORATED 1,221,708
1,550 COMERICA INCORPORATED 72,366
3,300 FIRST SECURITY CORPORATION 84,253
11,450 MELLON FINANCIAL CORPORATION 390,016
1,200 SUNTRUST BANKS INCORPORATED 82,575
4,825 UNION BANCAL CORPORATION 190,286
3,425 U.S. BANCORP 81,558
6,300 WASHINGTON MUTUAL INCORPORATED 163,800
2,867,448
-----------
ELECTRIC, GAS & SANITARY SERVICES - 7.33%
7,300 COASTAL CORPORATION 258,694
7,150 COLUMBIA ENERGY GROUP 452,238
3,350 ENRON CORPORATION 148,656
4,375 MONTANA POWER COMPANY 157,773
</TABLE>
40
<PAGE>
PORTFOLIO OF INVESTMENTS -- DECEMBER 31, 1999 VARIABLE TRUST
- --------------------------------------------------------------------------------
VARIABLE TRUST EQUITY VALUE FUND
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY DESCRIPTION VALUE
<C> <S> <C> <C> <C>
ELECTRIC, GAS & SANITARY SERVICES (continued)
12,450 POTOMAC ELECTRIC POWER COMPANY $ 285,572
6,900 TEXAS UTILITIES COMPANY 245,381
13,050 WILLIAMS COMPANIES INCORPORATED 398,841
1,947,155
-----------
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT & COMPONENTS, EXCEPT COMPUTER EQUIPMENT - 3.33%
10,600 AMERICAN POWER CONVERSION+ 279,575
4,175 EMERSON ELECTRIC COMPANY 239,541
2,475 MOTOROLA INCORPORATED 364,444
883,560
-----------
FOOD & KINDRED PRODUCTS - 1.61%
3,500 ANHEUSER-BUSCH INCORPORATED 248,063
6,450 RALSTON-PURINA GROUP 179,794
427,857
-----------
FOOD STORES - 0.42%
5,391 DELHAIZE AMERICA INCORPORATED 112,537
-----------
GENERAL MERCHANDISE STORES - 1.00%
5,250 FEDERATED DEPARTMENT STORES INCORPORATED+ 265,453
-----------
HOLDING & OTHER INVESTMENT OFFICES - 1.11%
6,925 EQUITY RESIDENTIAL PROPERTIES TRUST 295,611
-----------
HOTELS, ROOMING HOUSES, CAMPS & OTHER LODGING PLACES - 0.57%
12,200 PARK PLACE ENTERTAINMENT CORPORATION+ 152,500
-----------
INDUSTRIAL & COMMERCIAL MACHINERY & COMPUTER EQUIPMENT - 3.78%
2,250 APPLE COMPUTER INCORPORATED+ 231,328
1,700 HEWLETT PACKARD COMPANY 193,694
2,250 INTERNATIONAL BUSINESS MACHINES CORPORATION 243,000
7,200 SEAGATE TECHNOLOGY INCORPORATED+ 335,250
1,003,272
-----------
INSURANCE AGENTS, BROKERS & SERVICE - 1.67%
4,625 MARSH & MCLENNAN COMPANIES INCORPORATED 442,555
-----------
INSURANCE CARRIERS - 5.45%
2,850 AMERICAN GENERAL CORPORATION 216,244
6,062 AMERICAN INTERNATIONAL GROUP INCORPORATED 655,454
3,400 HARTFORD FINANCIAL SERVICES GROUP 161,075
1,650 HARTFORD LIFE CLASS A+ 72,600
5,350 MBIA INCORPORATED 282,547
2,100 TORCHMARK CORPORATION 61,030
1,448,950
-----------
LOCAL & SUBURBAN TRANSIT & INTERURBAN HIGHWAY PASSENGER TRANSPORTATION - 1.28%
12,900 CANADIAN NATIONAL RAILWAY COMPANY 339,431
-----------
</TABLE>
41
<PAGE>
VARIABLE TRUST PORTFOLIO OF INVESTMENTS -- DECEMBER 31, 1999
- --------------------------------------------------------------------------------
VARIABLE TRUST EQUITY VALUE FUND
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY DESCRIPTION VALUE
<C> <S> <C> <C> <C>
MANUFACTURING PROCESSING - 2.02%
8,175 BOWATER INCORPORATED $ 444,005
1,300 TEVA PHARMACEUTICAL ADR 93,194
537,199
-----------
MEASURING, ANALYZING, & CONTROLLING INSTRUMENTS; PHOTOGRAPHIC, MEDICAL & OPTICAL GOODS - 2.84%
4,225 EATON CORPORATION 306,840
7,775 HONEYWELL INTERNATIONAL INCORPORATED 448,520
755,360
-----------
MISCELLANEOUS MANUFACTURING INDUSTRIES - 0.53%
3,600 TYCO INTERNATIONAL LIMITED 139,950
-----------
MISCELLANEOUS RETAIL - 2.61%
10,575 AVALONBAY COMMUNITIES INCORPORATED 362,855
5,050 KIMBERLY-CLARK CORPORATION 329,513
692,368
-----------
MOTION PICTURES - 0.37%
3,400 WALT DISNEY COMPANY 99,450
-----------
NONDEPOSITORY CREDIT INSTITUTIONS - 5.09%
7,150 FEDERAL HOME LOAN MORTGAGE CORPORATION 336,497
5,550 FEDERAL NATIONAL MORTGAGE ASSOCIATION 346,528
9,350 HOUSEHOLD INTERNATIONAL INCORPORATED 348,288
7,575 SLM HOLDING CORPORATION 320,044
1,351,357
-----------
OIL & GAS EXTRACTION - 1.25%
3,350 BURLINGTON RESOURCES INCORPORATED 110,759
6,550 TRANSOCEAN SEDCO FOREX INCORPORATED 220,653
331,412
-----------
PAPER & ALLIED PRODUCTS - 1.53%
4,000 MEAD CORPORATION 173,750
2,375 MINNESOTA MINING & MANUFACTURING COMPANY 232,453
406,203
-----------
PETROLEUM REFINING & RELATED INDUSTRIES - 8.36%
1,950 CHEVRON CORPORATION 168,919
12,350 CONOCO INCORPORATED CLASS B 307,205
14,327 EXXON MOBIL CORPORATION 1,154,219
4,275 PHILLIPS PETROLEUM COMPANY 200,925
15,800 USX - MARATHON GROUP 390,063
2,221,331
-----------
PRIMARY METAL INDUSTRIES - 1.47%
4,700 ALCOA INCORPORATED 390,100
-----------
SECURITY & COMMODITY BROKERS, DEALERS, EXCHANGES & SERVICES - 3.24%
6,025 MORGAN STANLEY DEAN WITTER & COMPANY 860,069
-----------
</TABLE>
42
<PAGE>
PORTFOLIO OF INVESTMENTS -- DECEMBER 31, 1999 VARIABLE TRUST
- --------------------------------------------------------------------------------
VARIABLE TRUST EQUITY VALUE FUND
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY DESCRIPTION VALUE
<C> <S> <C> <C> <C>
STONE, CLAY, GLASS & CONCRETE PRODUCTS - 0.51%
5,350 OWENS-ILLINOIS INCORPORATED+ $ 134,084
-----------
TOBACCO PRODUCTS - 0.58%
6,650 PHILIP MORRIS COMPANIES INCORPORATED 154,197
-----------
TRANSPORTATION EQUIPMENT - 4.57%
3,100 FORD MOTOR COMPANY 165,655
3,600 GENERAL DYNAMICS CORPORATION 189,900
5,325 GENERAL MOTORS CORPORATION 387,060
9,100 TRW INCORPORATED 472,630
1,215,245
-----------
25,219,293
TOTAL COMMON STOCKS (COST $24,207,611)
-----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL SECURITY DESCRIPTION INTEREST RATE MATURITY DATE VALUE
<C> <S> <C> <C> <C>
SHORT-TERM INSTRUMENTS - 6.48%
REPURCHASE AGREEMENTS - 6.48%
$1,293,000 GOLDMAN SACHS POOLED REPURCHASE AGREEMENT
-102% COLLATERALIZED BY U.S. GOVERNMENT SECURITIES 2.00% 01/03/00 1,293,000
430,000 JP MORGAN SECURITIES INCORPORATED REPURCHASE AGREEMENT
-102% COLLATERALIZED BY U.S. GOVERNMENT SECURITIES 2.45 01/03/00 430,000
1,723,000
TOTAL SHORT-TERM INSTRUMENTS (COST $1,723,000)
-----------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS IN SECURITIES
(COST $25,930,611)* (NOTES 1 AND 3) 101.41% $26,942,293
OTHER ASSETS AND LIABILITIES, NET (1.41) (375,240)
------ -----------
TOTAL NET ASSETS 100.00% $26,567,053
------ -----------
</TABLE>
<TABLE>
<C> <S>
+ NON-INCOME EARNING SECURITIES.
* COST FOR FEDERAL INCOME TAX PURPOSES IS $26,229,871 AND NET
UNREALIZED APPRECIATION CONSISTS OF:
</TABLE>
<TABLE>
<CAPTION>
<S> <C>
GROSS UNREALIZED APPRECIATION $ 2,177,452
GROSS UNREALIZED DEPRECIATION (1,465,030)
-----------
NET UNREALIZED APPRECIATION $ 712,422
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
43
<PAGE>
VARIABLE TRUST PORTFOLIO OF INVESTMENTS -- DECEMBER 31, 1999
- --------------------------------------------------------------------------------
VARIABLE TRUST GROWTH FUND
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY DESCRIPTION VALUE
<C> <S> <C> <C> <C>
COMMON STOCKS - 96.56%
APPAREL & ACCESSORY STORES - 0.39%
7,000 KOHLS CORPORATION+ $ 505,313
------------
BUILDING MATERIALS, HARDWARE, GARDEN SUPPLY & MOBILE HOME DEALERS - 1.92%
27,450 HOME DEPOT INCORPORATED 1,882,040
9,750 LOWE'S COMPANY INCORPORATED 582,563
2,464,603
------------
BUSINESS SERVICES - 5.93%
35,722 AMERICA ONLINE INCORPORATED+ 2,694,778
6,500 COMPUTER ASSOCIATES INTERNATIONAL INCORPORATED 454,594
16,400 INTERPUBLIC GROUP COMPANIES INCORPORATED 946,075
7,000 ORACLE SYSTEMS CORPORATION+ 784,438
18,664 SUN MICROSYSTEMS INCORPORATED+ 1,445,294
9,000 VERITAS SOFTWARE CORPORATION+ 1,288,125
7,613,304
------------
CHEMICALS & ALLIED PRODUCTS - 10.34%
20,751 ABBOTT LABORATORIES 753,520
9,264 AMGEN INCORPORATED+ 556,419
26,823 BRISTOL-MYERS SQUIBB COMPANY 1,721,700
15,000 CLOROX COMPANY 755,625
24,100 COLGATE-PALMOLIVE COMPANY 1,566,500
10,765 DUPONT (E.I.) DE NEMOURS AND COMPANY 709,144
22,288 GILLETTE COMPANY 917,987
16,888 LILLY (ELI) & COMPANY 1,123,052
19,067 MERCK & COMPANY INCORPORATED 1,278,680
50,812 PFIZER INCORPORATED 1,648,214
13,972 PROCTER & GAMBLE COMPANY 1,530,807
17,290 SCHERING-PLOUGH CORPORATION 729,422
13,291,070
------------
COMMUNICATIONS - 9.02%
25,223 AMERICAN TELEPHONE & TELEGRAPH CORPORATION 1,280,067
28,276 BELL ATLANTIC CORPORATION 1,740,740
15,000 CHARTER COMMUNICATIONS INCORPORATED+ 328,125
12,000 CLEAR CHANNEL COMMUNICATIONS INCORPORATED+ 1,071,000
47,300 FOX ENTERTAINMENT GROUP INCORPORATED+ 1,179,544
24,398 GTE CORPORATION 1,721,584
15,362 MCI WORLDCOM INCORPORATED+ 815,120
4,200 NEXTEL COMMUNICATIONS CLASS A+ 433,125
45,652 SBC COMMUNICATIONS INCORPORATED 2,225,535
11,678 SPRINT CORPORATION (FON GROUP) 786,075
11,580,915
------------
COMPUTERS - 4.89%
53,823 MICROSOFT CORPORATION+ 6,283,835
------------
</TABLE>
44
<PAGE>
PORTFOLIO OF INVESTMENTS -- DECEMBER 31, 1999 VARIABLE TRUST
- --------------------------------------------------------------------------------
VARIABLE TRUST GROWTH FUND
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY DESCRIPTION VALUE
<C> <S> <C> <C> <C>
DOMESTIC DEPOSITORY INSTITUTIONS - 4.30%
31,414 CHASE MANHATTAN CORPORATION $ 2,440,475
51,507 CITIGROUP INCORPORATED 2,861,858
6,594 MELLON FINANCIAL CORPORATION 224,608
5,526,941
------------
EATING & DRINKING PLACES - 0.58%
18,500 MCDONALD'S CORPORATION 745,781
------------
ELECTRIC, GAS & SANITARY SERVICES - 2.56%
23,400 AES CORPORATION+ 1,749,150
9,700 COASTAL CORPORATION 343,744
29,018 EDISON INTERNATIONAL 759,909
14,190 WILLIAMS COMPANIES INCORPORATED 433,682
3,286,485
------------
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT & COMPONENTS, EXCEPT COMPUTER EQUIPMENT - 12.33%
35,247 GENERAL ELECTRIC COMPANY 5,454,473
44,076 INTEL CORPORATION 3,628,006
36,443 LUCENT TECHNOLOGIES INCORPORATED 2,726,392
25,848 NORTEL NETWORKS CORPORATION 2,610,648
14,702 TEXAS INSTRUMENTS INCORPORATED 1,424,256
15,843,775
------------
ENGINEERING, ACCOUNTING, RESEARCH, MANAGEMENT & RELATED SERVICES - 0.13%
4,000 HALLIBURTON COMPANY 161,000
------------
FOOD & KINDRED PRODUCTS - 2.50%
13,500 ANHEUSER-BUSCH INCORPORATED 956,813
28,260 COCA-COLA COMPANY 1,646,145
17,400 PEPSICO INCORPORATED 613,350
3,216,308
------------
GENERAL MERCHANDISE STORES - 4.45%
30,460 DAYTON-HUDSON CORPORATION 2,236,905
50,352 WAL-MART STORES INCORPORATED 3,480,582
5,717,487
------------
INDUSTRIAL & COMMERCIAL MACHINERY & COMPUTER EQUIPMENT - 8.65%
6,500 APPLIED MATERIALS INCORPORATED+ 823,469
49,380 CISCO SYSTEMS INCORPORATED+ 5,289,833
14,668 DELL COMPUTER CORPORATION+ 748,068
10,398 EMC CORPORATION+ 1,135,982
11,093 HEWLETT PACKARD COMPANY 1,263,909
17,212 INTERNATIONAL BUSINESS MACHINES CORPORATION 1,858,896
11,120,157
------------
INSURANCE CARRIERS - 3.94%
6,448 AFLAC INCORPORATED 304,265
41,564 AMERICAN INTERNATIONAL GROUP INCORPORATED 4,494,108
</TABLE>
45
<PAGE>
VARIABLE TRUST PORTFOLIO OF INVESTMENTS -- DECEMBER 31, 1999
- --------------------------------------------------------------------------------
VARIABLE TRUST GROWTH FUND
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY DESCRIPTION VALUE
<C> <S> <C> <C> <C>
INSURANCE CARRIERS (continued)
5,580 HARTFORD FINANCIAL SERVICES GROUP $ 264,353
5,062,726
------------
MEASURING, ANALYZING, & CONTROLLING INSTRUMENTS; PHOTOGRAPHIC, MEDICAL & OPTICAL GOODS - 4.55%
22,417 BAXTER INTERNATIONAL INCORPORATED 1,408,068
11,744 DANAHER CORPORATION 566,648
7,671 GUIDANT CORPORATION+ 360,537
44,078 HONEYWELL INTERNATIONAL INCORPORATED 2,542,750
4,200 JDS UNIPHASE CORPORATION+ 677,513
7,862 MEDTRONIC INCORPORATED 286,472
5,841,988
------------
MEDIA - 0.37%
7,500 CBS CORPORATION+ 479,530
------------
MISCELLANEOUS MANUFACTURING INDUSTRIES - 0.78%
25,800 TYCO INTERNATIONAL LIMITED 1,002,975
------------
MISCELLANEOUS RETAIL - 0.22%
8,000 BED BATH & BEYOND INCORPORATED+ 278,000
------------
MOTION PICTURES - 1.30%
11,400 TIME WARNER INCORPORATED 825,788
28,900 WALT DISNEY COMPANY 845,325
1,671,113
------------
NONDEPOSITORY CREDIT INSTITUTIONS - 3.43%
40,733 FEDERAL HOME LOAN MORTGAGE CORPORATION 1,916,997
20,669 FEDERAL NATIONAL MORTGAGE ASSOCIATION 1,290,521
32,281 HOUSEHOLD INTERNATIONAL INCORPORATED 1,202,467
4,409,985
------------
OIL & GAS EXTRACTION - 0.44%
9,100 SCHLUMBERGER LIMITED 511,875
1,762 TRANSOCEAN SEDCO FOREX INCORPORATED 59,349
571,224
------------
PAPER & ALLIED PRODUCTS - 0.70%
16,000 INTERNATIONAL PAPER COMPANY 903,000
------------
PETROLEUM REFINING & RELATED INDUSTRIES - 6.22%
17,745 CHEVRON CORPORATION 1,537,161
23,602 CONOCO INCORPORATED CLASS B 587,100
50,009 EXXON MOBIL CORPORATION 4,028,850
28,908 ROYAL DUTCH PETROLEUM COMPANY ADR 1,747,127
1,802 TEXACO INCORPORATED 97,871
7,998,109
------------
PRIMARY METAL INDUSTRIES - 1.23%
19,000 ALCOA INCORPORATED 1,577,000
------------
</TABLE>
46
<PAGE>
PORTFOLIO OF INVESTMENTS -- DECEMBER 31, 1999 VARIABLE TRUST
- --------------------------------------------------------------------------------
VARIABLE TRUST GROWTH FUND
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY DESCRIPTION VALUE
<C> <S> <C> <C> <C>
PRINTING, PUBLISHING & ALLIED INDUSTRIES - 1.33%
20,940 GANNETT COMPANY INCORPORATED $ 1,707,919
------------
SECURITY & COMMODITY BROKERS, DEALERS, EXCHANGES & SERVICES - 1.62%
27,978 CHARLES SCHWAB CORPORATION 1,073,656
7,102 MORGAN STANLEY DEAN WITTER & COMPANY 1,013,810
2,087,466
------------
TRANSPORTATION EQUIPMENT - 0.60%
11,800 UNITED TECHNOLOGIES CORPORATION 767,000
------------
TRANSPORTATION SERVICES - 0.51%
9,450 UNITED PARCEL SERVICE INCORPORATED CLASS B 652,050
------------
WHOLESALE TRADE-DURABLE GOODS - 1.33%
18,373 JOHNSON & JOHNSON 1,710,986
------------
124,078,045
TOTAL COMMON STOCKS (COST $90,797,420)
------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL SECURITY DESCRIPTION INTEREST RATE MATURITY DATE VALUE
<C> <S> <C> <C> <C>
SHORT-TERM INSTRUMENTS - 3.48%
REPURCHASE AGREEMENTS - 3.48%
$4,263,000 GOLDMAN SACHS POOLED REPURCHASE AGREEMENT - 102%
COLLATERALIZED BY U.S. GOVERNMENT SECURITIES 2.00% 01/03/00 4,263,000
203,000 JP MORGAN SECURITIES INCORPORATED REPURCHASE AGREEMENT -
102% COLLATERALIZED BY U.S. GOVERNMENT SECURITIES 2.45 01/03/00 203,000
4,466,000
TOTAL SHORT-TERM INSTRUMENTS (COST $4,466,000)
------------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS IN SECURITIES
(COST $95,263,420)* (NOTES 1 AND 3) 100.04% $128,544,045
OTHER ASSETS AND LIABILITIES, NET (0.04) (48,614)
------ ------------
TOTAL NET ASSETS 100.00% $128,495,431
------ ------------
</TABLE>
<TABLE>
<C> <S>
+ NON-INCOME EARNING SECURITIES.
* COST FOR FEDERAL INCOME TAX PURPOSES IS $95,284,677 AND NET
UNREALIZED APPRECIATION CONSISTS OF:
</TABLE>
<TABLE>
<CAPTION>
<S> <C>
GROSS UNREALIZED APPRECIATION $ 35,607,284
GROSS UNREALIZED DEPRECIATION (2,347,916)
------------
NET UNREALIZED APPRECIATION $ 33,259,368
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
47
<PAGE>
VARIABLE TRUST PORTFOLIO OF INVESTMENTS -- DECEMBER 31, 1999
- --------------------------------------------------------------------------------
VARIABLE TRUST LARGE COMPANY GROWTH FUND
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY DESCRIPTION VALUE
<C> <S> <C> <C> <C>
COMMON STOCK - 95.52%
BUILDING MATERIALS, HARDWARE, GARDEN SUPPLY & MOBILE HOME DEALERS - 5.69%
4,600 FASTENAL COMPANY $ 206,713
39,300 HOME DEPOT INCORPORATED 2,694,506
2,901,219
-----------
BUSINESS SERVICES - 9.85%
15,300 AUTOMATIC DATA PROCESSING INCORPORATED 824,287
8,700 DST SYSTEMS INCORPORATED+ 663,918
17,800 FIRST DATA CORPORATION 877,762
21,000 FISERV INCORPORATED+ 804,563
57,700 IMS HEALTH INCORPORATED 1,568,719
11,900 SUNGARD DATA SYSTEMS INCORPORATED+ 282,625
5,021,874
-----------
CHEMICALS & ALLIED PRODUCTS - 4.67%
47,200 PFIZER INCORPORATED 1,531,050
10,400 WARNER-LAMBERT COMPANY 852,150
2,383,200
-----------
COMPUTERS - 8.43%
36,800 MICROSOFT CORPORATION+ 4,296,400
-----------
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT & COMPONENTS, EXCEPT COMPUTER EQUIPMENT - 17.62%
36,200 INTEL CORPORATION 2,979,713
27,850 LUCENT TECHNOLOGIES INCORPORATED 2,083,528
12,650 NOKIA CORPORATION ADR 2,403,500
23,100 TELFONAKTIEBOLAGET LM ERICSSON SERIES B ADR 1,517,381
8,984,122
-----------
ENGINEERING, ACCOUNTING, RESEARCH, MANAGEMENT & RELATED SERVICES - 2.05%
26,100 PAYCHEX INCORPORATED 1,044,000
-----------
FINANCIAL - 0.93%
6,500 STATE STREET CORPORATION 474,906
-----------
FOOD & KINDRED PRODUCTS - 1.64%
14,400 COCA-COLA COMPANY 838,800
-----------
INDUSTRIAL & COMMERCIAL MACHINERY & COMPUTER EQUIPMENT - 17.43%
45,000 CISCO SYSTEMS INCORPORATED+ 4,820,625
15,700 EMC CORPORATION+ 1,715,225
24,700 SOLECTRON CORPORATION+ 2,349,588
8,885,438
-----------
INSURANCE CARRIERS - 4.21%
19,850 AMERICAN INTERNATIONAL GROUP INCORPORATED 2,146,281
-----------
MEASURING, ANALYZING, & CONTROLLING INSTRUMENTS; PHOTOGRAPHIC, MEDICAL & OPTICAL GOODS - 3.52%
49,200 MEDTRONIC INCORPORATED 1,792,725
-----------
</TABLE>
48
<PAGE>
PORTFOLIO OF INVESTMENTS -- DECEMBER 31, 1999 VARIABLE TRUST
- --------------------------------------------------------------------------------
VARIABLE TRUST LARGE COMPANY GROWTH FUND
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY DESCRIPTION VALUE
<C> <S> <C> <C> <C>
MISCELLANEOUS RETAIL - 1.92%
47,300 STAPLES INCORPORATED + $ 981,475
-----------
MOTION PICTURES - 0.66%
11,500 WALT DISNEY COMPANY 336,375
-----------
OIL & GAS EXTRACTION - 0.71%
5,800 SCHLUMBERGER LIMITED 326,250
1,123 TRANSOCEAN SEDCO FOREX INCORPORATED 37,827
364,077
-----------
PERSONAL SERVICES - 1.34%
12,900 CINTAS CORPORATION 685,313
-----------
PHARMACEUTICALS - 1.88%
14,300 MERCK & COMPANY INCORPORATED 958,994
-----------
SECURITY & COMMODITY BROKERS, DEALERS, EXCHANGES & SERVICES - 12.02%
51,600 CHARLES SCHWAB CORPORATION 1,980,150
22,400 FRANKLIN RESOURCES INCORPORATED 718,200
25,900 GOLDMAN SACHS GROUP INCORPORATED 2,439,456
26,800 T ROWE PRICE 989,925
6,127,731
-----------
WHOLESALE TRADE-NONDURABLE GOODS - 0.95%
10,100 CARDINAL HEALTH INCORPORATED 483,538
-----------
48,706,468
TOTAL COMMON STOCK (COST $40,500,208)
-----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL SECURITY DESCRIPTION INTEREST RATE MATURITY DATE VALUE
<C> <S> <C> <C> <C>
SHORT-TERM INSTRUMENTS - 4.86%
REPURCHASE AGREEMENTS - 4.86%
$2,477,847 LEHMAN BROTHERS INCORPORATED REPURCHASE AGREEMENT
-102% COLLATERALIZED BY U.S. GOVERNMENT SECURITIES 4.55% 01/03/00 2,477,847
-----------
2,477,847
TOTAL SHORT-TERM INSTRUMENTS (COST $2,477,847)
-----------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS IN SECURITIES
(COST $42,978,055)* 100.38% $51,184,315
OTHER ASSETS AND LIABILITIES, NET (0.38) (196,298)
------ -----------
TOTAL NET ASSETS 100.00% $50,988,017
------ -----------
</TABLE>
<TABLE>
<C> <S>
+ NON-INCOME EARNING SECURITIES.
* COST FOR FEDERAL INCOME TAX PURPOSES IS THE SAME AS FOR
FINANCIAL STATEMENT PURPOSES AND NET UNREALIZED APPRECIATION
CONSISTS OF:
</TABLE>
<TABLE>
<CAPTION>
<S> <C>
GROSS UNREALIZED APPRECIATION $8,817,032
GROSS UNREALIZED DEPRECIATION (610,772)
----------
NET UNREALIZED APPRECIATION $8,206,260
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
49
<PAGE>
VARIABLE TRUST PORTFOLIO OF INVESTMENTS -- DECEMBER 31, 1999
- --------------------------------------------------------------------------------
VARIABLE TRUST MONEY MARKET FUND
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL SECURITY DESCRIPTION INTEREST RATE MATURITY DATE VALUE
<C> <S> <C> <C> <C>
U.S. GOVERNMENT AGENCY SECURITIES - 4.29%
$1,309,000 FEDERAL HOME LOAN BANK 4.51%{::} 01/07/00 $ 1,308,235
500,000 FEDERAL HOME LOAN BANK 4.79 02/04/00 499,867
1,808,102
TOTAL U.S. GOVERNMENT AGENCY SECURITIES (COST $1,808,102)
-----------
COMMERCIAL PAPER - 63.08%
1,500,000 ALPINE SECURITIZATION 5.56{::} 01/14/00 1,497,259
1,400,000 ATLANTIS ONE FUNDING CORPORATION 5.68{::} 02/10/00 1,391,458
1,500,000 BANK OF AMERICA CORPORATION 6.03{::} 03/07/00 1,483,867
700,000 CC USA INCORPORATED 5.83{::} 03/30/00 690,171
2,000,000 CONCORD MINUTEMAN 6.24{::} 02/11/00 1,986,242
1,500,000 CORPORATION ASSET SECURITIZATION 5.91{::} 02/18/00 1,488,538
1,000,000 CPI FUNDING CORPORATION 6.05{::} 02/25/00 991,019
1,000,000 CREDIT SUISSE FIRST BOSTON 5.78{::} 03/06/00 989,833
400,000 GOLDMAN SACHS GROUP 5.16{::} 01/14/00 399,322
1,500,000 GOLDMAN SACHS GROUP 5.94{::} 03/13/00 1,482,646
1,500,000 GRAND FUNDING 5.90{::} 02/03/00 1,492,185
1,700,000 IRISH PERM PLC 5.93{::} 03/09/00 1,681,456
1,700,000 JP MORGAN & COMPANY 5.91{::} 03/08/00 1,681,798
1,500,000 MONT BLANC CAPITAL CORPORATION 5.97{::} 02/24/00 1,486,935
1,000,000 OLD LINE FUNDING 5.76{::} 01/12/00 998,433
600,000 PERRY IV FUNDING 5.85{::} 03/16/00 592,870
1,500,000 SALOMON SMITH BARNEY 6.10{::} 02/03/00 1,491,927
800,000 SPECIAL PURPOSE A/R CORPORATION 5.88{::} 02/18/00 793,918
1,000,000 SPECIAL PURPOSE A/R CORPORATION 6.04{::} 02/23/00 991,358
2,000,000 SURREY FUNDING CORPORATION 5.81{::} 01/11/00 1,997,164
1,000,000 SYDNEY CAPITAL 5.77{::} 03/03/00 990,333
26,598,732
TOTAL COMMERCIAL PAPER (COST $26,598,732)
-----------
CORPORATE BONDS & NOTES - 12.10%
500,000 ABBEY NATIONAL TREASURY SERVICES 5.13 05/04/00 499,887
1,000,000 BETA FINANCE INCORPORATED 6.15 10/06/00 1,000,000
700,000 CC USA INCORPORATED 5.61 06/07/00 700,000
400,000 FIRST USA BANK 5.99 09/21/00 399,918
500,000 IBM CREDIT CORPORATION 5.27 04/07/00 499,909
500,000 SALOMON INCORPORATED 6.70 07/05/00 501,563
1,500,000 SOUTHTRUST BANK CORPORATION 6.03 03/29/00 1,500,000
5,101,277
TOTAL CORPORATE BONDS & NOTES (COST $5,101,277)
-----------
CERTIFICATES OF DEPOSIT - 18.32%
500,000 BAYERISCHE HYPOVERINS BANK 5.27 03/03/00 499,937
2,000,000 CHASE MANHATTAN BANK 5.50 01/03/00 2,000,000
450,000 COMMERZBANK NY 5.16 05/05/00 449,854
300,000 COMMERZBANK NY 5.22 05/12/00 299,955
2,000,000 LEHMAN BROTHERS INCORPORATED 4.75 01/03/00 2,000,000
1,775,151 MERCANTILE BANK ST. LOUIS GRAND CAYMAN 4.50 01/03/00 1,775,151
500,000 RABOBANK NEDERLAND NY 5.13 03/24/00 499,947
200,000 UNION BANK OF SWITZERLAND 6.22 12/11/00 199,866
7,724,710
TOTAL CERTIFICATES OF DEPOSIT ($7,724,710)
-----------
</TABLE>
50
<PAGE>
PORTFOLIO OF INVESTMENTS -- DECEMBER 31, 1999 VARIABLE TRUST
- --------------------------------------------------------------------------------
VARIABLE TRUST MONEY MARKET FUND
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL SECURITY DESCRIPTION INTEREST RATE MATURITY DATE VALUE
<C> <S> <C> <C> <C>
REPURCHASE AGREEMENTS - 2.37%
$1,000,000 DEUTSCHE BANC ALEX BROWN - 102% COLLATERALIZED BY U.S.
GOVERNMENT SECURITIES
(COST $1,000,000) 6.00% 01/03/00 $ 1,000,000
-----------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS IN SECURITIES
(COST $42,232,821)* (NOTE 1) 100.16% $42,232,821
OTHER ASSETS AND LIABILITIES, NET (0.16) (69,252)
------ -----------
TOTAL NET ASSETS 100.00% $42,163,569
------ -----------
</TABLE>
<TABLE>
<C> <S>
{::} YIELD TO MATURITY.
* COST FOR FEDERAL INCOME TAX PURPOSES IS THE SAME AS FOR
FINANCIAL STATEMENT PURPOSES.
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
51
<PAGE>
VARIABLE TRUST PORTFOLIO OF INVESTMENTS -- DECEMBER 31, 1999
- --------------------------------------------------------------------------------
VARIABLE TRUST SMALL CAP GROWTH FUND
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY DESCRIPTION VALUE
<C> <S> <C> <C> <C>
COMMON STOCK - 100.09%
AMUSEMENT & RECREATION SERVICES - 0.86%
2,712 SFX ENTERTAINMENT INCORPORATED+ $ 98,141
7,438 TICKETS.COM INCORPORATED+ 106,456
204,597
-----------
APPAREL & ACCESSORY STORES - 0.42%
6,050 THE CHILDREN'S PLACE RETAIL STORE INCORPORATED+ 99,447
-----------
AUTOMOTIVE DEALERS & GASOLINE SERVICE STATIONS - 0.56%
7,673 CSK AUTO CORPORATION+ 134,278
-----------
AUTOMOTIVE REPAIR, SERVICES & PARKING - 0.49%
4,627 AVIS RENT A CAR INCORPORATED+ 118,278
-----------
BUSINESS SERVICES - 24.78%
3,585 24/7 MEDIA INCORPORATED+ 201,655
5,243 ACTUATE CORPORATION+ 224,794
1,152 ADMINISTAFF INCORPORATED+ 34,848
2,085 AGENCY.COM INCORPORATED+ 106,335
5,261 BINDVIEW DEVELOPMENT CORPORATION+ 261,406
883 BREAKAWAY SOLUTIONS INCORPORATED+ 64,459
3,760 BROADVISION INCORPORATED+ 639,435
3,182 DIGITAL INSIGHT CORPORATION+ 115,745
1 DOUBLECLICK INCORPORATED+ 253
377 EBENX INCORPORATED+ 17,059
4,545 GETTY IMAGES INCORPORATED+ 222,137
4,638 GLOBIX CORPORATION+ 278,280
1,343 GO2NET INCORPORATED+ 116,841
1,689 LIQUID AUDIO INCORPORATED+ 44,336
2,169 MCAFEE.COM CORPORATION+ 97,605
5,305 MERCURY INTERACTIVE CORPORATION+ 572,608
2,655 MICROMUSE INCORPORATED+ 451,350
1,839 NAVISITE INCORPORATED+ 183,900
4,612 NETRATINGS INCORPORATED+ 221,953
4,668 NOVA CORPORATION+ 147,334
2,234 PCORDER.COM INCORPORATED+ 113,934
3,130 S1 CORPORATION+ 244,531
1,828 SALESLOGIX CORPORATION+ 75,062
3,538 SCIQUEST.COM INCORPORATED+ 281,271
1,582 TENFOLD CORPORATION+ 63,181
5,744 TSI INTERNATIONAL SOFTWARE LIMITED+ 325,254
2,479 VERTICALNET INCORPORATED+ 406,556
1,905 VIGNETTE CORPORATION+ 310,515
5,516 WOMEN.COM NETWORKS INCORPORATED+ 78,603
5,901,240
-----------
CHEMICALS & ALLIED PRODUCTS - 6.84%
6,335 CAMBREX CORPORATION 218,162
2,810 GILEAD SCIENCES INCORPORATED+ 152,091
</TABLE>
52
<PAGE>
PORTFOLIO OF INVESTMENTS -- DECEMBER 31, 1999 VARIABLE TRUST
- --------------------------------------------------------------------------------
VARIABLE TRUST SMALL CAP GROWTH FUND
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY DESCRIPTION VALUE
<C> <S> <C> <C> <C>
CHEMICALS & ALLIED PRODUCTS (continued)
3,714 ICN PHARMACEUTICALS INCORPORATED $ 94,011
2,643 IDEC PHARMACEUTICALS CORPORATION+ 259,675
2,948 KING PHARMACEUTICALS INCORPORATED+ 165,244
5,465 MEDICIS PHARMACEUTICAL CORPORATION+ 232,604
5,744 PHARMACYCLICS INCORPORATED+ 236,940
2,520 SHIRE PHARMACEUTICALS GROUP PLC+ 73,401
5,304 VIROPHARMA INCORPORATED+ 196,248
1,628,376
-----------
COMMUNICATIONS - 14.95%
1,472 AIRGATE PCS INCORPORATED + 77,648
5,274 ALLIED RISER COMMUNICATIONS CORPORATION+ 109,105
3,326 CLASSIC COMMUNICATIONS INCORPORATED+ 121,606
4,690 COMMONWEALTH TELEPHONE ENTERPRISES INCORPORATED+ 247,984
4,659 CROWN CASTLE INTERNATIONAL CORPORATION+ 149,670
12,633 CUMULUS MEDIA INCORPORATED+ 641,125
3,199 DSET CORPORATION+ 119,563
2,804 EMMIS COMMUNICATIONS CORPORATION+ 349,492
1,482 ILLUMINET HOLDINGS INCORPORATED+ 81,510
4,783 INSIGHT COMMUNICATIONS COMPANY INCORPORATED+ 141,696
2,525 INTERMEDIA COMMUNICATIONS INCORPORATED+ 98,002
3,099 MEDIAPLEX INCORPORATED+ 194,462
1,675 MGC COMMUNICATIONS INCORPORATED+ 85,006
5,165 NDS GROUP PLC ADR+ 157,533
1,775 NORTHPOINT COMMUNICATIONS GROUP INCORPORATED+ 42,600
3,158 RAZORFISH INCORPORATED+ 300,405
4,194 SPANISH BROADCASTING SYSTEM INCORPORATED+ 168,809
1,431 TRITON PCS INCORPORATED+ 65,111
5,769 TRUE NORTH COMMUNICATIONS INCORPORATED 257,802
2,841 VIATEL INCORPORATED+ 152,349
3,561,478
-----------
DEPOSITORY INSTITUTIONS - 2.36%
10,637 COMMUNITY FIRST BANKSHARES INCORPORATED 167,533
11,302 FIRSTFED FINANCIAL CORPORATION+ 158,934
4,752 SILICON VALLEY BANCSHARES+ 235,224
561,691
-----------
EDUCATIONAL SERVICES - 0.27%
3,481 DEVRY INCORPORATED+ 64,834
-----------
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT & COMPONENTS, EXCEPT COMPUTER EQUIPMENT - 11.81%
6,637 AMKOR TECHNOLOGY INCORPORATED+ 187,495
1,900 ASPECT COMMUNICATIONS CORPORATION+ 74,338
3,219 BURR-BROWN CORPORATION+ 116,286
5,986 CTC COMMUNICATIONS GROUP INCORPORATED+ 233,547
7,035 CYPRESS SEMICONDUCTOR CORPORATION+ 227,758
3,700 DIGITAL MICROWAVE CORPORATION+ 86,718
</TABLE>
53
<PAGE>
VARIABLE TRUST PORTFOLIO OF INVESTMENTS -- DECEMBER 31, 1999
- --------------------------------------------------------------------------------
VARIABLE TRUST SMALL CAP GROWTH FUND
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY DESCRIPTION VALUE
<C> <S> <C> <C> <C>
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT & COMPONENTS, EXCEPT COMPUTER EQUIPMENT (continued)
1,839 DII GROUP INCORPORATED+ $ 130,512
1,730 HARMONIC INCORPORATED+ 164,242
1,007 HI/FN INCORPORATED+ 39,021
1,265 JNI CORPORATION+ 83,490
3,228 LATTICE SEMICONDUCTOR CORPORATION+ 152,120
10,040 MAKER COMMUNICATIONS INCORPORATED+ 429,210
2,629 MICREL INCORPORATED+ 149,689
2,902 PLX TECHNOLOGY INCORPORATED+ 54,957
8,585 POWER INTEGRATIONS INCORPORATED+ 411,543
2,526 TERAYON COMMUNICATION SYSTEMS INCORPORATED+ 158,664
1,570 TRANSWITCH CORPORATION+ 113,923
2,813,513
-----------
ENGINEERING, ACCOUNTING, RESEARCH, MANAGEMENT & RELATED SERVICES - 4.88%
1,085 AFFYMETRIX INCORPORATED+ 184,111
9,230 CEPHALON INCORPORATED+ 319,012
1,505 DIAMOND TECHNOLOGY PARTNERS INCORPORATED+ 129,336
961 FLYCAST COMMUNICATIONS CORPORATION+ 124,870
2,660 HARRIS INTERACTIVE INCORPORATED+ 34,746
3,306 MANAGEMENT NETWORK GROUP INCORPORATED+ 107,858
1,229 MAXYGEN+ 87,259
1,085 MILLENNIUM PHARMACEUTICALS INCORPORATED+ 132,370
1,570 PROFIT RECOVERY GROUP INTERNATIONAL INCORPORATED+ 41,703
1,161,265
-----------
FOOD & KINDRED PRODUCTS - 0.58%
4,456 AMERICAN ITALIAN PASTA COMPANY+ 137,022
-----------
GENERAL MERCHANDISE STORES - 1.50%
5,136 AMES DEPARTMENT STORES INCORPORATED+ 147,981
5,744 BJ'S WHOLESALE CLUB INCORPORATED+ 209,656
357,637
-----------
HEALTH SERVICES - 1.69%
12,938 CAREMARK RX INCORPORATED+ 65,498
4,390 ENZON INCORPORATED+ 190,416
956 HUMAN GENOME SCIENCE INCORPORATED+ 145,910
401,824
-----------
HOME FURNITURE, FURNISHINGS & EQUIPMENT STORES - 1.28%
6,461 REX STORES CORPORATION+ 226,135
4,287 TUESDAY MORNING CORPORATION+ 79,042
305,177
-----------
INDUSTRIAL & COMMERCIAL MACHINERY & COMPUTER EQUIPMENT - 6.94%
1,981 ASYST TECHNOLOGIES INCORPORATED+ 129,879
1,911 EMULEX CORPORATION+ 214,988
4,070 LAM RESEARCH CORPORATION+ 454,059
2,975 PARADYNE NETWORKS INCORPORATED+ 81,069
</TABLE>
54
<PAGE>
PORTFOLIO OF INVESTMENTS -- DECEMBER 31, 1999 VARIABLE TRUST
- --------------------------------------------------------------------------------
VARIABLE TRUST SMALL CAP GROWTH FUND
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY DESCRIPTION VALUE
<C> <S> <C> <C> <C>
INDUSTRIAL & COMMERCIAL MACHINERY & COMPUTER EQUIPMENT (continued)
1,378 PRI AUTOMATION INCORPORATED+ $ 92,498
1,575 SANDISK CORPORATION+ 151,594
6,684 VISUAL NETWORKS INCORPORATED+ 529,707
1,653,794
-----------
INSURANCE CARRIERS - 0.71%
5,888 FPIC INSURANCE GROUP INCORPORATED+ 98,256
4,912 MIIX GROUP INCORPORATED 71,838
170,094
-----------
MEASURING, ANALYZING, & CONTROLLING INSTRUMENTS; PHOTOGRAPHIC, MEDICAL & OPTICAL GOODS - 4.03%
5,026 CERUS CORPORATION+ 133,189
4,786 CYMER INCORPORATED+ 220,156
6,833 LTX CORPORATION+ 152,888
1,530 OPTICAL COATING LABORATORIES INCORPORATED 452,880
959,113
-----------
MISCELLANEOUS MANUFACTURING INDUSTRIES - 0.54%
7,908 YANKEE CANDLE COMPANY INCORPORATED+ 128,999
-----------
MISCELLANEOUS RETAIL - 1.59%
2,799 MICHAELS STORES INCORPORATED+ 79,772
8,548 PETCO ANIMAL SUPPLIES INCORPORATED+ 127,151
3,540 ZALE CORPORATION+ 171,248
378,171
-----------
NONDEPOSITORY CREDIT INSTITUTIONS - 2.59%
13,432 AMERICREDIT CORPORATION+ 248,492
6,739 METRIS COMPANIES INCORPORATED 240,498
4,447 NEXTCARD INCORPORATED+ 128,407
617,397
-----------
OIL & GAS EXTRACTION - 5.14%
3,766 B.J. SERVICES COMPANY+ 157,465
11,998 HELMERICH & PAYNE INCORPORATED 261,706
12,829 MARINE DRILLING COMPANY INCORPORATED+ 287,851
3,750 NEWFIELD EXPLORATION COMPANY+ 100,313
7,375 OCEAN ENERGY INCORPORATED+ 57,156
7,283 PRECISION DRILLING CORPORATION+ 187,082
2,030 STONE ENERGY CORPORATION+ 72,319
4,313 UTI ENERGY CORPORATION+ 99,469
1,223,361
-----------
PRIMARY METAL INDUSTRIES - 0.59%
3,481 COMMSCOPE INCORPORATED+ 140,328
-----------
SECURITY & COMMODITY BROKERS, DEALERS, EXCHANGES & SERVICES - 1.44%
1,596 SEI INVESTMENTS COMPANY 189,949
</TABLE>
55
<PAGE>
VARIABLE TRUST PORTFOLIO OF INVESTMENTS -- DECEMBER 31, 1999
- --------------------------------------------------------------------------------
VARIABLE TRUST SMALL CAP GROWTH FUND
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY DESCRIPTION VALUE
<C> <S> <C> <C> <C>
SECURITY & COMMODITY BROKERS, DEALERS, EXCHANGES & SERVICES (continued)
5,684 WADDELL & REED FINANCIAL INCORPORATED - CLASS A $ 154,179
344,128
-----------
TRANSPORTATION SERVICES - 0.72%
2,993 C.H. ROBINSON WORLDWIDE INCORPORATED 118,973
1,524 EXPEDIA INCORPORATED+ 53,340
172,313
-----------
WHOLESALE TRADE-DURABLE GOODS - 2.25%
2,000 ACT MANUFACTURING INCORPORATED+ 75,000
3,156 CYTYC CORPORATION+ 192,713
4,509 INSIGHT ENTERPRISES INCORPORATED+ 183,178
3,770 KENT ELECTRONICS CORPORATION+ 85,768
536,659
-----------
WHOLESALE TRADE-NONDURABLE GOODS - 0.28%
2,279 BARRETT RESOURCES CORPORATION+ 67,088
-----------
23,842,102
TOTAL COMMON STOCK (COST $16,947,136)
-----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL SECURITY DESCRIPTION INTEREST RATE MATURITY DATE VALUE
<C> <S> <C> <C> <C>
REPURCHASE AGREEMENTS - 1.97%
$ 469,947 LEHMAN BROTHERS INCORPORATED REPURCHASE AGREEMENT
-102% COLLATERALIZED BY U.S. GOVERNMENT SECURITIES 4.55% 01/03/00 469,947
-----------
469,947
TOTAL REPURCHASE AGREEMENTS (COST $469,947)
-----------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS IN SECURITIES
(COST $17,417,083)* 102.06% $24,312,049
OTHER ASSETS AND LIABILITIES, NET (2.06) (493,058)
------ -----------
TOTAL NET ASSETS 100.00% $23,818,991
------ -----------
</TABLE>
<TABLE>
<C> <S>
+ NON-INCOME EARNING SECURITIES.
* COST FOR FEDERAL INCOME TAX PURPOSES IS $17,499,580 AND NET
UNREALIZED APPRECIATION CONSISTS OF:
</TABLE>
<TABLE>
<CAPTION>
<S> <C>
GROSS UNREALIZED APPRECIATION $7,387,548
GROSS UNREALIZED DEPRECIATION (575,079)
----------
NET UNREALIZED APPRECIATION $6,812,469
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
56
<PAGE>
THIS PAGE IS INTENTIONALLY LEFT BLANK --
57
<PAGE>
VARIABLE TRUST STATEMENTS OF ASSETS AND LIABILITIES - DECEMBER 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
ASSET ALLOCATION CORPORATE BOND
FUND FUND
<S> <C> <C>
- -----------------------------------------------------------
ASSETS
INVESTMENTS:
IN SECURITIES, AT
MARKET VALUE (SEE
COST BELOW).......... $238,876,138 $66,991,886
CASH................... 2,271 5,593
RECEIVABLE FOR
DIVIDENDS AND
INTEREST AND OTHER
RECEIVABLES.......... 1,877,720 1,192,218
RECEIVABLE FOR
INVESTMENTS SOLD..... 4,718 0
RECEIVABLE FOR FUND
SHARES ISSUED........ 228,946 386,422
RECEIVABLE FROM
INVESTMENT ADVISER
AND AFFILIATES....... 0 0
VARIATION MARGIN ON
FUTURES CONTRACTS.... 9,350 0
UNREALIZED APPRECIATION
ON FORWARD FOREIGN
CURRENCY CONTRACTS... 0 4,573
----------- ----------
TOTAL ASSETS............. 240,999,143 68,580,692
----------- ----------
LIABILITIES
PAYABLE FOR INVESTMENTS
PURCHASED............ 0 0
DIVIDENDS PAYABLE...... 0 24,368
PAYABLE FOR FUND SHARES
REDEEMED............. 0 0
PAYABLE TO INVESTMENT
ADVISER AND
AFFILIATES........... 122,553 16,713
PAYABLE TO OTHER
RELATED PARTIES...... 157,578 53,739
ACCRUED EXPENSES AND
OTHER LIABILITIES.... 48,022 62,854
----------- ----------
TOTAL LIABILITIES........ 328,153 157,674
----------- ----------
TOTAL NET ASSETS......... $240,670,990 $68,423,018
----------- ----------
NET ASSETS CONSIST OF:
PAID-IN CAPITAL........ $211,171,901 $69,649,218
UNDISTRIBUTED
(OVERDISTRIBUTED) NET
INVESTMENT INCOME.... 137,010 18,058
UNDISTRIBUTED NET
REALIZED GAIN (LOSS)
ON INVESTMENTS....... 7,210,288 (69,552)
NET UNREALIZED
APPRECIATION
(DEPRECIATION) OF
INVESTMENTS.......... 22,079,666 (1,179,164)
NET UNREALIZED
APPRECIATION
(DEPRECIATION) OF
FOREIGN CURRENCY
TRANSACTIONS......... 0 4,458
NET UNREALIZED
APPRECIATION
(DEPRECIATION) OF
FUTURES CONTRACTS.... 72,125 0
----------- ----------
TOTAL NET ASSETS......... $240,670,990 $68,423,018
----------- ----------
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE
NET ASSETS............... $240,670,990 $68,423,018
SHARES OUTSTANDING....... 16,688,676 6,966,686
NET ASSET VALUE AND
OFFERING PRICE......... $ 14.42 $ 9.82
----------- ----------
INVESTMENT AT COST
(NOTE 10).............. $216,796,472 $68,171,050
----------- ----------
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
58
<PAGE>
STATEMENTS OF ASSETS AND LIABILITIES - DECEMBER 31, 1999 VARIABLE TRUST
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LARGE
EQUITY INCOME EQUITY VALUE COMPANY MONEY
FUND FUND GROWTH FUND GROWTH FUND MARKET FUND SMALL CAP GROWTH FUND
<S> <C> <C> <C> <C> <C> <C>
- ----------------------------------------------------------------------------------------------------------------------
ASSETS
INVESTMENTS:
IN SECURITIES, AT
MARKET VALUE (SEE
COST BELOW).......... $127,136,421 $26,942,293 $128,544,045 $51,184,315 $42,232,821 $24,312,049
CASH................... 0 9,237 19,160 0 0 0
RECEIVABLE FOR
DIVIDENDS AND
INTEREST AND OTHER
RECEIVABLES.......... 248,970 24,879 55,471 13,397 187,046 1,224
RECEIVABLE FOR
INVESTMENTS SOLD..... 0 0 0 0 0 110,799
RECEIVABLE FOR FUND
SHARES ISSUED........ 583,824 206,429 60,725 63,629 0 1,058
RECEIVABLE FROM
INVESTMENT ADVISER
AND AFFILIATES....... 0 0 0 0 0 5,838
VARIATION MARGIN ON
FUTURES CONTRACTS.... 0 0 0 0 0 0
UNREALIZED APPRECIATION
ON FORWARD FOREIGN
CURRENCY CONTRACTS... 0 0 0 0 0 0
----------- ----------- ----------- ---------- ----------- ----------------------
TOTAL ASSETS............. 127,969,215 27,182,838 128,679,401 51,261,341 42,419,867 24,430,968
----------- ----------- ----------- ---------- ----------- ----------------------
LIABILITIES
PAYABLE FOR INVESTMENTS
PURCHASED............ 0 549,202 0 195,653 0 120,761
DIVIDENDS PAYABLE...... 0 0 0 0 185,411 0
PAYABLE FOR FUND SHARES
REDEEMED............. 0 0 0 0 0 400,459
PAYABLE TO INVESTMENT
ADVISER AND
AFFILIATES........... 62,560 3,524 55,599 12,159 19,212 0
PAYABLE TO OTHER
RELATED PARTIES...... 84,765 25,656 91,305 35,535 12,046 25,812
ACCRUED EXPENSES AND
OTHER LIABILITIES.... 28,411 37,403 37,066 29,977 39,629 64,945
----------- ----------- ----------- ---------- ----------- ----------------------
TOTAL LIABILITIES........ 175,736 615,785 183,970 273,324 256,298 611,977
----------- ----------- ----------- ---------- ----------- ----------------------
TOTAL NET ASSETS......... $127,793,479 $26,567,053 $128,495,431 $50,988,017 $42,163,569 $23,818,991
----------- ----------- ----------- ---------- ----------- ----------------------
NET ASSETS CONSIST OF:
PAID-IN CAPITAL........ $108,048,369 $27,184,181 $84,650,095 $42,865,180 $42,163,569 $15,947,851
UNDISTRIBUTED
(OVERDISTRIBUTED) NET
INVESTMENT INCOME.... 0 4,768 0 0 0 0
UNDISTRIBUTED NET
REALIZED GAIN (LOSS)
ON INVESTMENTS....... 1,871,419 (1,633,578) 10,564,711 (83,423) 0 976,174
NET UNREALIZED
APPRECIATION
(DEPRECIATION) OF
INVESTMENTS.......... 17,873,691 1,011,682 33,280,625 8,206,260 0 6,894,966
NET UNREALIZED
APPRECIATION
(DEPRECIATION) OF
FOREIGN CURRENCY
TRANSACTIONS......... 0 0 0 0 0 0
NET UNREALIZED
APPRECIATION
(DEPRECIATION) OF
FUTURES CONTRACTS.... 0 0 0 0 0 0
----------- ----------- ----------- ---------- ----------- ----------------------
TOTAL NET ASSETS......... $127,793,479 $26,567,053 $128,495,431 $50,988,017 $42,163,569 $23,818,991
----------- ----------- ----------- ---------- ----------- ----------------------
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE
NET ASSETS............... $127,793,479 $26,567,053 $128,495,431 $50,988,017 $42,163,569 $23,818,991
SHARES OUTSTANDING....... 7,478,001 2,877,459 5,330,893 4,239,563 42,163,603 1,316,622
NET ASSET VALUE AND
OFFERING PRICE......... $ 17.09 $ 9.23 $ 24.10 $ 12.03 $ 1.00 $18.09
----------- ----------- ----------- ---------- ----------- ----------------------
INVESTMENT AT COST
(NOTE 10).............. $109,262,730 $25,930,611 $95,263,420 $42,978,055 $42,232,821 $17,417,083
----------- ----------- ----------- ---------- ----------- ----------------------
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
59
<PAGE>
VARIABLE TRUST STATEMENTS OF OPERATIONS - FOR THE YEAR ENDED DECEMBER 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
ASSET ALLOCATION CORPORATE BOND
FUND FUND(1)
<S> <C> <C>
- -----------------------------------------------------------
INVESTMENT INCOME
DIVIDENDS.............. $ 1,672,266 $ 0
INTEREST............... 4,295,018 1,321,953
---------------- --------------
TOTAL INVESTMENT
INCOME................. 5,967,274 1,321,953
---------------- --------------
EXPENSES
ADVISORY FEES.......... 1,152,381 87,894
ADMINISTRATION FEES.... 247,853 29,297
SHAREHOLDER SERVICING
FEES................. 332,258 0
PORTFOLIO ACCOUNTING
FEES................. 92,667 19,141
CUSTODY................ 0 3,907
TRANSFER AGENT......... 224,633 35,342
DISTRIBUTION FEES...... 161,346 48,830
LEGAL AND AUDIT FEES... 76,885 12,738
REGISTRATION FEES...... 2,141 0
DIRECTORS' FEES........ 4,018 1,620
SHAREHOLDER REPORTS.... 16,488 816
OTHER.................. 8,083 4,387
---------------- --------------
TOTAL EXPENSES........... 2,318,753 243,972
---------------- --------------
LESS:
WAIVED FEES AND
REIMBURSED
EXPENSES............. (398,328) (68,198)
NET EXPENSES........... 1,920,425 175,774
---------------- --------------
NET INVESTMENT INCOME
(LOSS)................. 4,046,849 1,146,179
---------------- --------------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
- -----------------------------------------------------------
NET REALIZED GAIN (LOSS)
FROM:
SECURITIES............. 7,407,467 (69,552)
FOREIGN CURRENCY
TRANSACTIONS......... 0 18,068
---------------- --------------
NET REALIZED GAIN (LOSS)
FROM INVESTMENTS....... 7,407,467 (51,484)
---------------- --------------
NET CHANGE IN UNREALIZED
APPRECIATION
(DEPRECIATION) OF:
SECURITIES............. 6,204,795 (1,179,164)
FOREIGN CURRENCY
TRANSACTIONS......... 0 4,458
FINANCIAL FUTURES
TRANSACTIONS......... 72,125 0
NET CHANGE IN UNREALIZED
APPRECIATION
(DEPRECIATION) OF
INVESTMENTS............ 6,276,920 (1,174,706)
---------------- --------------
NET REALIZED AND
UNREALIZED GAIN (LOSS)
ON INVESTMENTS......... 13,684,387 (1,226,190)
---------------- --------------
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM OPERATIONS........ $ 17,731,236 $ (80,011)
---------------- --------------
</TABLE>
(1) THE FUND COMMENCED OPERATIONS ON SEPTEMBER 20, 1999.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
60
<PAGE>
STATEMENTS OF OPERATIONS - FOR THE YEAR ENDED DECEMBER 31, 1999 VARIABLE TRUST
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
EQUITY INCOME EQUITY VALUE GROWTH LARGE COMPANY MONEY MARKET SMALL CAP
FUND FUND FUND GROWTH FUND(1) FUND GROWTH FUND
<S> <C> <C> <C> <C> <C> <C>
- ---------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME
DIVIDENDS.............. $ 2,034,373 $ 351,905 $ 1,068,202 $ 39,083 $ 0 $ 28,768
INTEREST............... 187,062 51,665 259,955 24,272 1,768,904 51,565
------------- ------------ ------------ -------------- ------------ -----------
TOTAL INVESTMENT
INCOME................. 2,221,435 403,570 1,328,157 63,355 1,768,904 80,333
------------- ------------ ------------ -------------- ------------ -----------
EXPENSES
ADVISORY FEES.......... 791,587 116,209 658,836 65,721 144,255 107,145
ADMINISTRATION FEES.... 127,550 25,910 139,129 17,924 42,312 16,352
SHAREHOLDER SERVICING
FEES................. 0 32,442 195,932 0 53,893 0
PORTFOLIO ACCOUNTING
FEES................. 47,929 45,477 78,666 18,880 54,522 57,951
CUSTODY................ 21,989 3,561 26,407 2,390 8,475 2,745
TRANSFER AGENT......... 94,295 30,832 159,484 21,867 27,765 22,871
DISTRIBUTION FEES...... 88,004 17,424 85,727 29,874 0 13,157
LEGAL AND AUDIT FEES... 27,833 21,741 63,991 6,812 15,371 20,643
REGISTRATION FEES...... 0 1,945 1,657 0 1,370 0
DIRECTORS' FEES........ 2,503 4,028 1,293 1,620 4,031 1,724
SHAREHOLDER REPORTS.... 10,957 2,751 11,450 2,103 3,945 4,260
OTHER.................. 15,367 2,314 3,196 3,469 885 18,464
------------- ------------ ------------ -------------- ------------ -----------
TOTAL EXPENSES........... 1,228,014 304,634 1,425,768 170,660 356,824 265,312
------------- ------------ ------------ -------------- ------------ -----------
LESS:
WAIVED FEES AND
REIMBURSED
EXPENSES............. (278,662) (92,366) (221,406) (51,615) (71,025) (135,102)
NET EXPENSES........... 949,352 212,268 1,204,362 119,045 285,799 130,210
------------- ------------ ------------ -------------- ------------ -----------
NET INVESTMENT INCOME
(LOSS)................. 1,272,083 191,302 123,795 (55,690) 1,483,105 (49,877)
------------- ------------ ------------ -------------- ------------ -----------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
- ---------------------------------------------------------------------------------------------------------------
NET REALIZED GAIN (LOSS)
FROM:
SECURITIES............. 1,883,661 (1,551,864) 10,638,775 (83,423) 11 4,402,871
FOREIGN CURRENCY
TRANSACTIONS......... 0 0 0 0 0 0
------------- ------------ ------------ -------------- ------------ -----------
NET REALIZED GAIN (LOSS)
FROM INVESTMENTS....... 1,883,661 (1,551,864) 10,638,775 (83,423) 11 4,402,871
------------- ------------ ------------ -------------- ------------ -----------
NET CHANGE IN UNREALIZED
APPRECIATION
(DEPRECIATION) OF:
SECURITIES............. 3,863,205 569,740 10,407,812 8,206,260 0 5,150,330
FOREIGN CURRENCY
TRANSACTIONS......... 0 0 0 0 0 0
FINANCIAL FUTURES
TRANSACTIONS......... 0 0 0 0 0 0
NET CHANGE IN UNREALIZED
APPRECIATION
(DEPRECIATION) OF
INVESTMENTS............ 3,863,205 569,740 10,407,812 8,206,260 0 5,150,330
------------- ------------ ------------ -------------- ------------ -----------
NET REALIZED AND
UNREALIZED GAIN (LOSS)
ON INVESTMENTS......... 5,746,866 (982,124) 21,046,587 8,122,837 11 9,553,201
------------- ------------ ------------ -------------- ------------ -----------
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM OPERATIONS........ $ 7,018,949 $ (790,822) $ 21,170,382 $ 8,067,147 $ 1,483,116 $ 9,503,324
------------- ------------ ------------ -------------- ------------ -----------
</TABLE>
(1) THE FUND COMMENCED OPERATIONS ON SEPTEMBER 20, 1999.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
61
<PAGE>
VARIABLE TRUST STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
ASSET ALLOCATION CORPORATE BOND
FUND FUND
------------------------------------ -----------------------
FROM SEPTEMBER 20, 1999
FOR THE FOR THE (COMMENCEMENT
YEAR ENDED YEAR ENDED OF OPERATIONS) TO
DECEMBER 31, 1999 DECEMBER 31, 1998 DECEMBER 31, 1999
<S> <C> <C> <C>
- ----------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS
BEGINNING NET ASSETS..... $ 156,240,933 $ 86,505,856 $ 0
----------------- ----------------- -----------------------
OPERATIONS:
NET INVESTMENT INCOME
(LOSS)............... 4,046,849 3,009,495 1,146,179
NET REALIZED GAIN
(LOSS) ON SALE OF
INVESTMENTS AND
FOREIGN CURRENCY
TRANSACTIONS......... 7,407,467 9,956,845 (51,484)
NET CHANGE IN
UNREALIZED
APPRECIATION
(DEPRECIATION) OF
INVESTMENTS AND
TRANSLATION OF ASSETS
IN FOREIGN
CURRENCY............. 6,204,795 14,560,276 (1,179,164)
NET CHANGE IN
UNREALIZED
APPRECIATION
(DEPRECIATION) OF
FORWARD FOREIGN
CURRENCY CONTRACTS... 0 0 4,458
NET CHANGE IN
UNREALIZED
APPRECIATION
(DEPRECIATION) OF
FUTURES.............. 72,125 (718,350) 0
----------------- ----------------- -----------------------
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM OPERATIONS........ 17,731,236 26,808,266 (80,011)
----------------- ----------------- -----------------------
DISTRIBUTIONS TO
SHAREHOLDERS FROM:
NET INVESTMENT
INCOME............... (3,909,839) (3,009,495) (1,146,189)
NET REALIZED GAIN ON
SALE OF
INVESTMENTS.......... (200,663) (11,816,851) 0
CAPITAL SHARE TRANSACTIONS:
PROCEEDS FROM SHARES
SOLD................. 71,043,067 44,467,683 70,873,232
REINVESTMENT OF
DIVIDENDS............ 4,579,771 14,826,346 1,121,820
COST OF SHARES
REDEEMED............. (4,813,515) (1,540,872) (2,345,834)
----------------- ----------------- -----------------------
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM CAPITAL SHARE
TRANSACTIONS........... 70,809,323 57,753,157 69,649,218
----------------- ----------------- -----------------------
NET INCREASE (DECREASE)
IN NET ASSETS.......... 84,430,057 69,735,077 68,423,018
----------------- ----------------- -----------------------
NET ASSETS:
ENDING NET ASSETS........ $ 240,670,990 $ 156,240,933 $ 68,423,018
----------------- ----------------- -----------------------
SHARE ISSUED AND REDEEMED:
SHARES SOLD............ 5,092,781 3,380,397 7,089,778
SHARES ISSUED IN
REINVESTMENT OF
DIVIDENDS............ 329,334 1,141,331 113,155
SHARES REDEEMED........ (351,542) (120,729) (236,247)
----------------- ----------------- -----------------------
NET INCREASE (DECREASE)
IN SHARES
OUTSTANDING............ 5,070,573 4,400,999 6,966,686
----------------- ----------------- -----------------------
ENDING BALANCE OF
UNDISTRIBUTED NET
INVESTMENT INCOME...... $ 137,010 $ 0 $ 18,058
----------------- ----------------- -----------------------
</TABLE>
(1) "PROCEEDS FROM SHARES SOLD" INCLUDES $2,616,673 AND "SHARES SOLD" INCLUDES
239,403 AS A RESULT OF THE CONSOLIDATION OF THE LIFE & ANNUITY TRUST
STRATEGIC GROWTH FUND.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
62
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS VARIABLE TRUST
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
EQUITY INCOME EQUITY VALUE GROWTH
FUND FUND FUND
------------------------------------ ------------------------------------ -----------------
FROM MAY 1, 1998
FOR THE FOR THE FOR THE (COMMENCEMENT FOR THE
YEAR ENDED YEAR ENDED YEAR ENDED OF OPERATIONS) TO YEAR ENDED
DECEMBER 31, 1999 DECEMBER 31, 1998 DECEMBER 31, 1999 DECEMBER 31, 1998 DECEMBER 31, 1999
<S> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS
BEGINNING NET ASSETS..... $ 86,068,731 $ 39,888,248 $ 11,071,528 $ 0 $ 100,926,722
----------------- ----------------- ----------------- ----------------- -----------------
OPERATIONS:
NET INVESTMENT INCOME
(LOSS)............... 1,272,083 930,041 191,302 53,366 123,795
NET REALIZED GAIN
(LOSS) ON SALE OF
INVESTMENTS AND
FOREIGN CURRENCY
TRANSACTIONS......... 1,883,661 124,787 (1,551,864) (81,714) 10,638,775
NET CHANGE IN
UNREALIZED
APPRECIATION
(DEPRECIATION) OF
INVESTMENTS AND
TRANSLATION OF ASSETS
IN FOREIGN
CURRENCY............. 3,863,205 9,270,806 569,740 441,942 10,407,812
NET CHANGE IN
UNREALIZED
APPRECIATION
(DEPRECIATION) OF
FORWARD FOREIGN
CURRENCY CONTRACTS... 0 0 0 0 0
NET CHANGE IN
UNREALIZED
APPRECIATION
(DEPRECIATION) OF
FUTURES.............. 0 0 0 0 0
----------------- ----------------- ----------------- ----------------- -----------------
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM OPERATIONS........ 7,018,949 10,325,634 (790,822) 413,594 21,170,382
----------------- ----------------- ----------------- ----------------- -----------------
DISTRIBUTIONS TO
SHAREHOLDERS FROM:
NET INVESTMENT
INCOME............... (1,284,267) (932,147) (186,534) (53,366) (143,726)
NET REALIZED GAIN ON
SALE OF
INVESTMENTS.......... 0 (124,789) 0 0 0
CAPITAL SHARE TRANSACTIONS:
PROCEEDS FROM SHARES
SOLD................. 38,101,683 37,717,863 19,315,350 11,413,266 13,327,810
REINVESTMENT OF
DIVIDENDS............ 1,284,267 1,056,936 213,190 53,366 178,395
COST OF SHARES
REDEEMED............. (3,395,884) (1,863,014) (3,055,659) (755,332) (6,964,151)
----------------- ----------------- ----------------- ----------------- -----------------
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM CAPITAL SHARE
TRANSACTIONS........... 35,990,066 36,911,785 16,472,881 10,711,300 6,542,054
----------------- ----------------- ----------------- ----------------- -----------------
NET INCREASE (DECREASE)
IN NET ASSETS.......... 41,724,748 46,180,483 15,495,525 11,071,528 27,568,710
----------------- ----------------- ----------------- ----------------- -----------------
NET ASSETS:
ENDING NET ASSETS........ $ 127,793,479 $ 86,068,731 $ 26,567,053 $ 11,071,528 $ 128,495,431
----------------- ----------------- ----------------- ----------------- -----------------
SHARE ISSUED AND REDEEMED:
SHARES SOLD............ 2,229,286 2,522,285 2,010,909 1,234,474 612,846
SHARES ISSUED IN
REINVESTMENT OF
DIVIDENDS............ 75,691 66,058 22,806 5,850 8,405
SHARES REDEEMED........ (205,745) (124,465) (315,799) (80,781) (325,078)
----------------- ----------------- ----------------- ----------------- -----------------
NET INCREASE (DECREASE)
IN SHARES
OUTSTANDING............ 2,099,232 2,463,878 1,717,916 1,159,543 296,173
----------------- ----------------- ----------------- ----------------- -----------------
ENDING BALANCE OF
UNDISTRIBUTED NET
INVESTMENT INCOME...... $ 0 $ 0 $ 4,768 $ 0 $ 0
----------------- ----------------- ----------------- ----------------- -----------------
<CAPTION>
GROWTH LARGE COMPANY
FUND GROWTH FUND
----------------- -----------------------
FROM SEPTEMBER 20, 1999
FOR THE (COMMENCEMENT
YEAR ENDED OF OPERATIONS) TO
DECEMBER 31, 1998 DECEMBER 31, 1999
<S> <C> <C>
- -------------------------
INCREASE (DECREASE) IN NE
BEGINNING NET ASSETS..... $ 71,943,868 $ 0
----------------- -----------------------
OPERATIONS:
NET INVESTMENT INCOME
(LOSS)............... 437,253 (55,690)
NET REALIZED GAIN
(LOSS) ON SALE OF
INVESTMENTS AND
FOREIGN CURRENCY
TRANSACTIONS......... 3,245,542 (83,423)
NET CHANGE IN
UNREALIZED
APPRECIATION
(DEPRECIATION) OF
INVESTMENTS AND
TRANSLATION OF ASSETS
IN FOREIGN
CURRENCY............. 18,355,014 8,206,260
NET CHANGE IN
UNREALIZED
APPRECIATION
(DEPRECIATION) OF
FORWARD FOREIGN
CURRENCY CONTRACTS... 0 0
NET CHANGE IN
UNREALIZED
APPRECIATION
(DEPRECIATION) OF
FUTURES.............. 0 0
----------------- -----------------------
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM OPERATIONS........ 22,037,809 8,067,147
----------------- -----------------------
DISTRIBUTIONS TO
SHAREHOLDERS FROM:
NET INVESTMENT
INCOME............... (437,253) 0
NET REALIZED GAIN ON
SALE OF
INVESTMENTS.......... (6,510,869) 0
CAPITAL SHARE TRANSACTION
PROCEEDS FROM SHARES
SOLD................. 13,257,592 44,008,193
REINVESTMENT OF
DIVIDENDS............ 6,948,122 0
COST OF SHARES
REDEEMED............. (6,312,547) (1,087,323)
----------------- -----------------------
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM CAPITAL SHARE
TRANSACTIONS........... 13,893,167 42,920,870
----------------- -----------------------
NET INCREASE (DECREASE)
IN NET ASSETS.......... 28,982,854 50,988,017
----------------- -----------------------
NET ASSETS:
ENDING NET ASSETS........ $ 100,926,722 $ 50,988,017
----------------- -----------------------
SHARE ISSUED AND REDEEMED
SHARES SOLD............ 729,308 4,344,118
SHARES ISSUED IN
REINVESTMENT OF
DIVIDENDS............ 368,338 0
SHARES REDEEMED........ (348,326) (104,555)
----------------- -----------------------
NET INCREASE (DECREASE)
IN SHARES
OUTSTANDING............ 749,320 4,239,563
----------------- -----------------------
ENDING BALANCE OF
UNDISTRIBUTED NET
INVESTMENT INCOME...... $ 0 $ 0
----------------- -----------------------
</TABLE>
(1) "PROCEEDS FROM SHARES SOLD" INCLUDES $2,616,673 AND "SHARES SOLD" INCLUDES
239,403 AS A RESULT OF THE CONSOLIDATION OF THE LIFE & ANNUITY TRUST
STRATEGIC GROWTH FUND.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
63
<PAGE>
VARIABLE TRUST STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MONEY MARKET SMALL CAP
FUND GROWTH FUND
------------------------------------ -----------------------------------------
FOR THE FOR THE FOR THE FOR THE
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
DECEMBER 31, 1999 DECEMBER 31, 1998 DECEMBER 31, 1999(1) DECEMBER 31, 1998
<S> <C> <C> <C> <C>
- ----------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS
BEGINNING NET ASSETS..... $ 26,318,825 $ 14,787,628 $ 13,294,779 $ 11,481,832
----------------- ----------------- ---------------------- -----------------
OPERATIONS:
NET INVESTMENT INCOME
(LOSS)............... 1,483,105 807,850 (49,877) 39,314
NET REALIZED GAIN
(LOSS) ON SALE OF
INVESTMENTS AND
FOREIGN CURRENCY
TRANSACTIONS......... 11 551 4,402,871 (3,079,073)
NET CHANGE IN
UNREALIZED
APPRECIATION
(DEPRECIATION) OF
INVESTMENTS AND
TRANSLATION OF ASSETS
IN FOREIGN
CURRENCY............. 0 0 5,150,330 1,006,437
NET CHANGE IN
UNREALIZED
APPRECIATION
(DEPRECIATION) OF
FORWARD FOREIGN
CURRENCY CONTRACTS... 0 0 0 0
NET CHANGE IN
UNREALIZED
APPRECIATION
(DEPRECIATION) OF
FUTURES.............. 0 0 0 0
----------------- ----------------- ---------------------- -----------------
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM OPERATIONS........ 1,483,116 808,401 9,503,324 (2,033,322)
----------------- ----------------- ---------------------- -----------------
DISTRIBUTIONS TO
SHAREHOLDERS FROM:
NET INVESTMENT
INCOME............... (1,483,116) (807,850) 0 (39,617)
NET REALIZED GAIN ON
SALE OF
INVESTMENTS.......... 0 (551) 0 0
CAPITAL SHARE TRANSACTIONS:
PROCEEDS FROM SHARES
SOLD................. 49,943,149 29,184,120 4,726,759 6,332,722
REINVESTMENT OF
DIVIDENDS............ 1,389,785 808,401 0 39,617
COST OF SHARES
REDEEMED............. (35,488,190) (18,461,324) (3,705,871) (2,486,453)
----------------- ----------------- ---------------------- -----------------
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM CAPITAL SHARE
TRANSACTIONS........... 15,844,744 11,531,197 1,020,888 3,885,886
----------------- ----------------- ---------------------- -----------------
NET INCREASE (DECREASE)
IN NET ASSETS.......... 15,844,744 11,531,197 10,524,212 1,812,947
----------------- ----------------- ---------------------- -----------------
NET ASSETS:
ENDING NET ASSETS........ $ 42,163,569 $ 26,318,825 $ 23,818,991 $ 13,294,779
----------------- ----------------- ---------------------- -----------------
SHARE ISSUED AND REDEEMED:
SHARES SOLD............ 49,943,177 29,184,121 413,588 515,865
SHARES ISSUED IN
REINVESTMENT OF
DIVIDENDS............ 1,389,786 808,531 0 3,641
SHARES REDEEMED........ (35,488,190) (18,461,454) (318,587) (197,147)
----------------- ----------------- ---------------------- -----------------
NET INCREASE (DECREASE)
IN SHARES
OUTSTANDING............ 15,844,773 11,531,198 95,001 322,359
----------------- ----------------- ---------------------- -----------------
ENDING BALANCE OF
UNDISTRIBUTED NET
INVESTMENT INCOME...... $ 0 $ 0 $ 0 $ 0
----------------- ----------------- ---------------------- -----------------
</TABLE>
(1) "PROCEEDS FROM SHARES SOLD" INCLUDES $2,616,673 AND "SHARES SOLD" INCLUDES
239,403 AS A RESULT OF THE CONSOLIDATION OF THE LIFE & ANNUITY TRUST
STRATEGIC GROWTH FUND.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
64
<PAGE>
THIS PAGE IS INTENTIONALLY LEFT BLANK --
65
<PAGE>
VARIABLE TRUST FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
BEGINNING NET REALIZED
NET ASSET NET AND
VALUE INVESTMENT UNREALIZED DIVIDENDS
PER INCOME GAIN (LOSS) ON FROM NET INVESTMENT
SHARE (LOSS) INVESTMENTS INCOME
<S> <C> <C> <C> <C>
- -------------------------------------------------------------------------------------
ASSET ALLOCATION FUND
JANUARY 1, 1999 TO
DECEMBER 31, 1999...... $ 13.45 0.27 0.97 (0.26)
JANUARY 1, 1998 TO
DECEMBER 31, 1998...... $ 11.99 0.34 2.60 (0.34)
JANUARY 1, 1997 TO
DECEMBER 31, 1997...... $ 11.42 0.60 1.73 (0.60)
JANUARY 1, 1996 TO
DECEMBER 31, 1996...... $ 11.27 0.56 0.69 (0.56)
JANUARY 1, 1995 TO
DECEMBER 31, 1995...... $ 9.71 0.55 2.21 (0.55)
CORPORATE BOND FUND
- -------------------------------------------------------------------------------------
SEPTEMBER 20, 1999 (3) TO
DECEMBER 31, 1999...... $ 10.00 0.16 (0.18) (0.16)
EQUITY INCOME FUND
- -------------------------------------------------------------------------------------
JANUARY 1, 1999 TO
DECEMBER 31, 1999...... $ 16.00 0.17 1.09 (0.17)
JANUARY 1, 1998 TO
DECEMBER 31, 1998...... $ 13.68 0.18 2.34 (0.18)
JANUARY 1, 1997 TO
DECEMBER 31, 1997...... $ 10.91 0.14 2.79 (0.14)
MAY 6, 1996 (3) TO
DECEMBER 31, 1996...... $ 10.00 0.08 0.92 (0.08)
EQUITY VALUE FUND
- -------------------------------------------------------------------------------------
JANUARY 1, 1999 TO
DECEMBER 31, 1999...... $ 9.55 0.08 (0.32) (0.08)
MAY 1, 1998 (3) TO
DECEMBER 31, 1998...... $ 10.00 0.07 (0.45) (0.07)
GROWTH FUND
- -------------------------------------------------------------------------------------
JANUARY 1, 1999 TO
DECEMBER 31, 1999...... $ 20.05 0.02 4.06 (0.03)
JANUARY 1, 1998 TO
DECEMBER 31, 1998...... $ 16.79 0.09 4.65 (0.09)
JANUARY 1, 1997 TO
DECEMBER 31, 1997...... $ 15.34 0.19 2.48 (0.19)
JANUARY 1, 1996 TO
DECEMBER 31, 1996...... $ 12.91 0.20 2.68 (0.20)
JANUARY 1, 1995 TO
DECEMBER 31, 1995...... $ 10.30 0.22 2.77 (0.22)
LARGE COMPANY GROWTH FUND
- -------------------------------------------------------------------------------------
SEPTEMBER 20, 1999 (3) TO
DECEMBER 31, 1999...... $ 10.00 (0.01) 2.04 0.00
MONEY MARKET FUND
- -------------------------------------------------------------------------------------
JANUARY 1, 1999 TO
DECEMBER 31, 1999...... $ 1.00 0.04 0.00 (0.04)
JANUARY 1, 1998 TO
DECEMBER 31, 1998...... $ 1.00 0.05 0.00 (0.05)
JANUARY 1, 1997 TO
DECEMBER 31, 1997...... $ 1.00 0.05 0.00 (0.05)
JANUARY 1, 1996 TO
DECEMBER 31, 1996...... $ 1.00 0.05 0.00 (0.05)
JANUARY 1, 1995 TO
DECEMBER 31, 1995...... $ 1.00 0.05 0.00 (0.05)
SMALL CAP GROWTH FUND
- -------------------------------------------------------------------------------------
JANUARY 1, 1999 TO
DECEMBER 31, 1999...... $ 10.88 (0.04) 7.25 0.00
JANUARY 1, 1998 TO
DECEMBER 31, 1998...... $ 12.77 0.03 (1.89) (0.03)
JANUARY 1, 1997 TO
DECEMBER 31, 1997...... $ 13.50 0.01 1.24 (0.01)
JANUARY 1, 1996 TO
DECEMBER 31, 1996...... $ 11.21 0.02 3.51 (0.02)
MAY 1, 1995 (3) TO
DECEMBER 31, 1995...... $ 10.00 0.06 1.54 (0.06)
</TABLE>
66
<PAGE>
FINANCIAL HIGHLIGHTS VARIABLE TRUST
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DISTRIBUTIONS ENDING RATIO TO AVERAGE NET ASSETS (ANNUALIZED)
FROM NET NET ASSET ---------------------------------------- PORTFOLIO
REALIZED RETURN OF VALUE PER NET INVESTMENT NET GROSS TOTAL TURNOVER
GAINS CAPITAL SHARE INCOME (LOSS) EXPENSES EXPENSES (1) RETURN (2) RATE
<S> <C> <C> <C> <C> <C> <C> <C> <C>
- -------------------------------------------------------------------------------------------------------------------------------
ASSET ALLOCATION FUND
JANUARY 1, 1999 TO
DECEMBER 31, 1999...... (0.01) 0.00 $ 14.42 2.05% 0.97% 1.17% 9.33% 30%
JANUARY 1, 1998 TO
DECEMBER 31, 1998...... (1.14) 0.00 $ 13.45 2.62% 0.92% 1.11% 25.26% 29%
JANUARY 1, 1997 TO
DECEMBER 31, 1997...... (1.16) 0.00 $ 11.99 5.20% 0.80% 0.85% 20.88% 156%
JANUARY 1, 1996 TO
DECEMBER 31, 1996...... (0.54) 0.00 $ 11.42 5.34% 0.69% 0.80% 11.46% 4%
JANUARY 1, 1995 TO
DECEMBER 31, 1995...... (0.65) 0.00 $ 11.27 5.58% 0.41% 1.22% 28.95% 97%
CORPORATE BOND FUND
- -------------------------------------------------------------------------------------------------------------------------------
SEPTEMBER 20, 1999 (3) TO
DECEMBER 31, 1999...... 0.00 0.00 $ 9.82 5.87% 0.90% 1.25% (0.16%) 59%
EQUITY INCOME FUND
- -------------------------------------------------------------------------------------------------------------------------------
JANUARY 1, 1999 TO
DECEMBER 31, 1999...... 0.00 0.00 $ 17.09 1.16% 0.86% 1.12% 7.90% 5%
JANUARY 1, 1998 TO
DECEMBER 31, 1998...... (0.02) 0.00 $ 16.00 1.47% 0.80% 1.10% 18.42% 1%
JANUARY 1, 1997 TO
DECEMBER 31, 1997...... (0.02) 0.00 $ 13.68 1.85% 0.80% 1.34% 26.90% 3%
MAY 6, 1996 (3) TO
DECEMBER 31, 1996...... (0.01) 0.00 $ 10.91 2.31% 0.80% 2.51% 9.95% 4%
EQUITY VALUE FUND
- -------------------------------------------------------------------------------------------------------------------------------
JANUARY 1, 1999 TO
DECEMBER 31, 1999...... 0.00 0.00 $ 9.23 0.96% 1.06% 1.53% (2.48%) 139%
MAY 1, 1998 (3) TO
DECEMBER 31, 1998...... 0.00 0.00 $ 9.55 1.54% 1.09% 2.52% (3.76%) 27%
GROWTH FUND
- -------------------------------------------------------------------------------------------------------------------------------
JANUARY 1, 1999 TO
DECEMBER 31, 1999...... 0.00 0.00 $ 24.10 0.11% 1.07% 1.27% 20.41% 54%
JANUARY 1, 1998 TO
DECEMBER 31, 1998...... (1.39) 0.00 $ 20.05 0.51% 1.04% 1.18% 28.81% 69%
JANUARY 1, 1997 TO
DECEMBER 31, 1997...... (1.03) 0.00 $ 16.79 1.19% 0.65% 1.01% 17.33% 124%
JANUARY 1, 1996 TO
DECEMBER 31, 1996...... (0.25) 0.00 $ 15.34 1.53% 0.60% 1.12% 22.44% 95%
JANUARY 1, 1995 TO
DECEMBER 31, 1995...... (0.16) 0.00 $ 12.91 2.05% 0.43% 2.02% 29.19% 84%
LARGE COMPANY GROWTH FUND
- -------------------------------------------------------------------------------------------------------------------------------
SEPTEMBER 20, 1999 (3) TO
DECEMBER 31, 1999...... 0.00 0.00 $ 12.03 (0.47)% 1.00% 1.43% 20.30% 0%
MONEY MARKET FUND
- -------------------------------------------------------------------------------------------------------------------------------
JANUARY 1, 1999 TO
DECEMBER 31, 1999...... 0.00 0.00 $ 1.00 4.45% 0.86% 1.07% 4.46% N/A
JANUARY 1, 1998 TO
DECEMBER 31, 1998...... 0.00 0.00 $ 1.00 4.62% 0.82% 1.28% 4.77% N/A
JANUARY 1, 1997 TO
DECEMBER 31, 1997...... 0.00 0.00 $ 1.00 4.95% 0.53% 1.07% 5.04% N/A
JANUARY 1, 1996 TO
DECEMBER 31, 1996...... 0.00 0.00 $ 1.00 4.64% 0.51% 1.22% 4.72% N/A
JANUARY 1, 1995 TO
DECEMBER 31, 1995...... 0.00 0.00 $ 1.00 5.15% 0.42% 3.83% 5.41% N/A
SMALL CAP GROWTH FUND
- -------------------------------------------------------------------------------------------------------------------------------
JANUARY 1, 1999 TO
DECEMBER 31, 1999...... 0.00 0.00 $ 18.09 (0.37)% 0.95% 1.94% 66.27% 314%
JANUARY 1, 1998 TO
DECEMBER 31, 1998...... 0.00 0.00 $ 10.88 0.31% 0.80% 1.51% (14.47)% 135%
JANUARY 1, 1997 TO
DECEMBER 31, 1997...... (1.59) (0.38) $ 12.77 0.07% 0.80% 1.88% 9.87% 209%
JANUARY 1, 1996 TO
DECEMBER 31, 1996...... (1.22) 0.00 $ 13.50 0.16% 0.80% 2.82% 31.47% 195%
MAY 1, 1995 (3) TO
DECEMBER 31, 1995...... (0.33) 0.00 $ 11.21 1.02% 0.80% 5.38% 15.95% 51%
<CAPTION>
NET ASSETS AT
END OF PERIOD
(000'S OMITTED)
<S> <C>
- -------------------------
ASSET ALLOCATION FUND
JANUARY 1, 1999 TO
DECEMBER 31, 1999...... $ 240,671
JANUARY 1, 1998 TO
DECEMBER 31, 1998...... $ 156,241
JANUARY 1, 1997 TO
DECEMBER 31, 1997...... $ 86,506
JANUARY 1, 1996 TO
DECEMBER 31, 1996...... $ 51,797
JANUARY 1, 1995 TO
DECEMBER 31, 1995...... $ 25,467
CORPORATE BOND FUND
- -------------------------
SEPTEMBER 20, 1999 (3) TO
DECEMBER 31, 1999...... $ 68,423
EQUITY INCOME FUND
- -------------------------
JANUARY 1, 1999 TO
DECEMBER 31, 1999...... $ 127,793
JANUARY 1, 1998 TO
DECEMBER 31, 1998...... $ 86,069
JANUARY 1, 1997 TO
DECEMBER 31, 1997...... $ 39,888
MAY 6, 1996 (3) TO
DECEMBER 31, 1996...... $ 9,415
EQUITY VALUE FUND
- -------------------------
JANUARY 1, 1999 TO
DECEMBER 31, 1999...... $ 26,567
MAY 1, 1998 (3) TO
DECEMBER 31, 1998...... $ 11,072
GROWTH FUND
- -------------------------
JANUARY 1, 1999 TO
DECEMBER 31, 1999...... $ 128,495
JANUARY 1, 1998 TO
DECEMBER 31, 1998...... $ 100,927
JANUARY 1, 1997 TO
DECEMBER 31, 1997...... $ 71,944
JANUARY 1, 1996 TO
DECEMBER 31, 1996...... $ 33,381
JANUARY 1, 1995 TO
DECEMBER 31, 1995...... $ 10,920
LARGE COMPANY GROWTH FUND
- -------------------------
SEPTEMBER 20, 1999 (3) TO
DECEMBER 31, 1999...... $ 50,988
MONEY MARKET FUND
- -------------------------
JANUARY 1, 1999 TO
DECEMBER 31, 1999...... $ 42,164
JANUARY 1, 1998 TO
DECEMBER 31, 1998...... $ 26,319
JANUARY 1, 1997 TO
DECEMBER 31, 1997...... $ 14,788
JANUARY 1, 1996 TO
DECEMBER 31, 1996...... $ 12,667
JANUARY 1, 1995 TO
DECEMBER 31, 1995...... $ 5,823
SMALL CAP GROWTH FUND
- -------------------------
JANUARY 1, 1999 TO
DECEMBER 31, 1999...... $ 23,819
JANUARY 1, 1998 TO
DECEMBER 31, 1998...... $ 13,295
JANUARY 1, 1997 TO
DECEMBER 31, 1997...... $ 11,482
JANUARY 1, 1996 TO
DECEMBER 31, 1996...... $ 6,091
MAY 1, 1995 (3) TO
DECEMBER 31, 1995...... $ 2,027
</TABLE>
67
<PAGE>
VARIABLE TRUST FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
(1) During each period, various fees and expenses were waived and reimbursed.
The ratio of Gross Expenses to Average Net Assets reflects the expense
ratio in the absence of any waivers and reimbursements (Note 9).
(2) Total return calculations do not include any sales charges, and would have
been lower had certain expenses not been waived or reimbursed during the
period shown. Total return figures do not reflect charges pursuant to the
terms of the variable life insurance policies and variable annuity
contracts funded by separate accounts that invest in the Fund's shares.
(3) Commencement of operations.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
68
<PAGE>
NOTES TO FINANCIAL STATEMENTS VARIABLE TRUST
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
1. ORGANIZATION
Wells Fargo Variable Trust (the "Trust") is registered under the Investment
Company Act of 1940, as amended (the "1940 Act"), as an open-end series
management investment company. The Trust currently consists of eight separate
diversified funds (each, a "Fund", collectively, the "Funds"): the Asset
Allocation, Corporate Bond, Equity Income, Equity Value, Growth, Large Company
Growth, Money Market, and Small Cap Growth Funds. The Funds are available
exclusively as pooled funding vehicles for certain participating life
insurance companies offering variable annuity contracts and variable life
insurance policies.
Concurrent with the establishment of the Trust, the Board of Trustees of the
Life & Annuity Trust ("LAT") and the Board of Trustees of the Norwest Select
Funds ("Select") approved a consolidation agreement providing for the
acquisition of the assets and the assumption of liabilities of certain LAT and
Norwest Select Funds into the Wells Fargo Variable Trust Funds. Effective on
the close of business September 17, 1999 the LAT and/or Select Funds were
consolidated into the respective Wells Fargo Variable Trust Funds through an
exchange of shares as follows:
<TABLE>
<CAPTION>
Life & Annuity Trust Fund Norwest Select Fund Wells Fargo Variable Trust Fund
<S> <C> <C>
ASSET ALLOCATION FUND ASSET ALLOCATION FUND*
U.S. GOVERNMENT ALLOCATION FUND INCOME FUND CORPORATE BOND FUND***
INCOME EQUITY FUND EQUITY INCOME FUND**
EQUITY VALUE FUND EQUITY VALUE FUND*
GROWTH FUND GROWTH FUND*
VALUGROWTH STOCK FUND LARGE COMPANY GROWTH FUND***
MONEY MARKET FUND MONEY MARKET FUND*
STRATEGIC GROWTH FUND SMALL COMPANY STOCK FUND SMALL CAP GROWTH FUND**
</TABLE>
* LAT FUND ACCOUNTING SURVIVOR
** SELECT FUND ACCOUNTING SURVIVOR
*** NEW FUND. NO ACCOUNTING SURVIVOR
Concurrent with the reorganization of the LAT Strategic Growth Fund and the
Norwest Select Small Company Stock Fund into the Wells Fargo Variable Trust
Small Cap Growth Fund, the Wells Fargo Variable Trust Small Cap Growth Fund
acquired all the net assets of the LAT Strategic Growth Fund and Norwest
Select Small Company Stock Fund. The LAT Strategic Growth Fund exchanged its
173,629 shares (valued at $2,616,673 million, including $270,587 of unrealized
appreciation) for 239,403 shares of the Wells Fargo Variable Trust Small Cap
Growth Fund. The Select Small Company Stock Fund, as accounting survivor,
exchanged its shares at a rate of one for one carrying all of its assets and
liabilities (valued at $12,170,942) into the Wells Fargo Variable Trust Small
Cap Growth Fund.
The Wells Fargo Variable Trust Corporate Bond and Large Company Growth Funds
did receive assets from the LAT and Select Trust Funds, but have a different
investment objective, among other operating differences, than those respective
LAT and Select Trust Funds. Thus, the Wells Fargo Variable Trust Corporate
Bond and Large Company Growth Funds do not have an accounting survivor and
commenced operations on September 20, 1999 for financial reporting purposes.
2. SIGNIFICANT ACCOUNTING POLICIES
The following significant accounting policies which are consistently followed
by the Trust in the preparation of its financial statements are in conformity
with generally accepted accounting principles ("GAAP") for investment
companies.
The preparation of financial statements in conformity with GAAP requires
management to make estimates and assumptions that affect the reported amounts
of assets and liabilities, disclosure of contingent assets and liabilities at
the date of the financial statements and the reported amounts of revenues and
expenses during the reporting period. Actual results could differ from those
estimates.
SECURITY VALUATION
Investments in securities for all Funds, with the exception of the Money
Market Fund, are valued at the close of each business day. Securities which
are traded on a national or foreign securities exchange or the National
Association of Securities Dealers Automated Quotation ("NASDAQ") National
Market are valued at the last reported sales price. In the absence of any sale
of such securities, and in the case of other securities, including U.S.
Government obligations, but excluding debt securities maturing in 60 days or
less,
69
<PAGE>
VARIABLE TRUST NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
the valuations are based on the latest quoted bid prices. Securities
denominated in foreign currencies are translated into U.S. dollars using the
closing rates of exchange in effect on the day of valuation. Securities for
which quotations are not readily available are valued at fair value as
determined by policies set by the Trust's Board of Trustees.
The Money Market Fund invests only in securities with remaining maturities
not exceeding 397 days (13 months). Securities held in the Money Market Fund
and debt securities maturing in 60 days or less are valued using the amortized
cost method which involves valuing a security at its cost, plus accretion of
discount or minus amortization of premium over the period until maturity,
which approximates market value. The Money Market Fund seeks to maintain a
constant net asset value of $1.00 per share, although there is no assurance
that it will be able to do so.
SECURITY TRANSACTIONS AND INCOME RECOGNITION
Securities transactions are recorded on a trade date basis. Realized gains or
losses are reported on the basis of identified cost of securities delivered.
Interest income is accrued daily and bond discounts are accreted and premiums
are amortized under provisions of the Internal Revenue Code of 1986, as
amended (the "Code").
Dividend income is recognized on the ex-dividend date [except for certain
dividends from foreign securities, which are recorded as soon as the Fund is
informed of the ex-dividend date]. Dividend income from foreign securities is
recorded net of foreign taxes withheld where recovery of such taxes is not
assured.
Foreign currency amounts are translated into U.S. dollars at the mean of the
bid and ask price of such currencies against U.S. dollars as follows: (i)
assets and liabilities at the rate of exchange at the end of the respective
period; and (ii) purchases and sales of securities and income and expenses at
the rate of exchange prevailing on the dates of such transactions. The portion
of the results of operations arising from changes in the exchange rates and
the portion due to fluctuations arising from changes in the market prices of
securities are not isolated. Such fluctuations are included with the net
realized and unrealized gain or loss on investments.
REPURCHASE AGREEMENTS
Each Fund may invest in repurchase agreements and may participate in pooled
repurchase agreement transactions with other funds advised by Wells Fargo
Bank, N.A. ("WFB"). The repurchase agreements must be fully collateralized
based on values that are marked to market daily. The collateral may be held by
an agent bank under a tri-party agreement. It is the Funds' custodians'
responsibility to value collateral daily and to take action to obtain
additional collateral as necessary to maintain market value equal to or
greater than the resale price. The repurchase agreements held by the Funds are
collateralized by instruments such as U.S. Treasury or federal agency
obligations.
FUTURES CONTRACTS
The Asset Allocation and Equity Value Funds may purchase futures contracts to
gain exposure to market changes, which may be more efficient or cost effective
than actually buying the securities. A futures contract is an agreement
between parties to buy or sell a security at a set price on a future date.
Upon entering into such a contract, a Fund is required to pledge to the broker
an amount of cash, U.S. Government obligations or other high-quality debt
securities equal to the minimum "initial margin" requirements of the exchange
on which the futures contract is traded. Pursuant to the contract, the Fund
agrees to receive from or pay to the broker an amount of cash equal to the
daily fluctuation in the value of the contract. Such receipts or payments are
known as "variation margin" and are recorded by the Fund as unrealized gains
or losses. When the contract is closed, the Fund records a realized gain or
loss equal to the difference between the value of the contract at the time it
was opened and the value at the time it was closed. Pursuant to regulations
and/or published positions of the Securities and Exchange Commission (the
"SEC") for long futures positions, the Fund is required to segregate highly
liquid securities as permitted by the SEC in connection with futures
transactions in an amount generally equal to the entire value of the
underlying contracts. Risks of entering into futures contracts include the
possibility that there may be an illiquid market and that a change in the
value of the contract may not correlate with changes in the value of the
underlying securities. On December 31, 1999, the Asset Allocation Fund held
the following long futures contracts:
<TABLE>
<CAPTION>
Notional Net Unrealized
Contracts Type Expiration Date Contract Value Appreciation
<S> <C> <C> <C> <C>
11 S & P 500 INDEX MARCH 2000 $4,081,550 $72,125
</TABLE>
The Asset Allocation Fund has pledged to brokers U.S. Treasury bills for
initial margin requirements with a par value of $250,000.
70
<PAGE>
NOTES TO FINANCIAL STATEMENTS VARIABLE TRUST
- --------------------------------------------------------------------------------
FORWARD FOREIGN CURRENCY CONTRACT
At December 31, 1999, the Corporate Bond Fund had entered into a forward
foreign currency contract under which it is obligated to exchange currencies
at a specified future date. The Fund had an outstanding contract to sell
EURO$538,000 and receive $545,155 on February 9, 2000. Net unrealized
appreciation of $4,573 on this contract is included in the accompanying
financial statements. Risks arise from the possible inability of
counterparties to meet the terms of their contracts and from movements in
currency values.
RECLASSIFICATION OF CAPITAL ACCOUNTS
On the statement of assets and liabilities, as a result of permanent
book-to-tax and merger-related differences, reclassification adjustments were
made as follows:
<TABLE>
<CAPTION>
Undistributed Net Net Realized
Investment Income Gain/Loss Paid in Capital
<S> <C> <C> <C>
CORPORATE BOND FUND 18,068 (18,068) 0
EQUITY INCOME FUND 12,184 (12,184) 0
GROWTH FUND 19,932 (13,417) (6,515)
LARGE COMPANY GROWTH FUND 55,690 0 (55,690)
MONEY MARKET FUND 11 (11) 0
SMALL CAP GROWTH FUND 49,877 (51,403) 1,526
</TABLE>
DISTRIBUTIONS TO SHAREHOLDERS
Dividends to shareholders from net investment income, if any, for the Growth,
Large Company Growth, and Small Cap Growth Funds are declared and distributed
annually. Dividends to shareholders from net investment income, if any, for
the Asset Allocation, Equity Income, and Equity Value Funds are declared and
distributed quarterly. Dividends to shareholders from net investment income,
if any, for the Corporate Bond and Money Market Funds are declared daily and
distributed monthly. Distributions to shareholders from net realized capital
gains, if any, are declared and distributed at least annually.
Distributions are based on amounts calculated in accordance with the
applicable federal income tax regulations, which may differ from generally
accepted accounting principles. The timing and character of distributions made
during the period from net investment income or net realized gains may also
differ from their ultimate characterization for federal income tax purposes.
The differences between the income or gains distributed on a book versus tax
basis are shown as excess distributions of net investment income and net
realized gain on sales of investments in the accompanying Statements of
Changes in Net Assets. To the extent that these differences are permanent in
nature, such amounts are reclassified within the capital accounts based on
their federal tax-basis treatment; temporary differences do not require
reclassifications.
FEDERAL INCOME TAXES
Each Fund of the Trust is treated as a separate entity for federal income tax
purposes. It is the policy of each Fund to continue to qualify as a regulated
investment company by complying with the provisions applicable to regulated
investment companies, as defined in the Code, and to make distributions of
substantially all of its investment company taxable income and any net
realized capital gains (after reduction for capital loss carryforwards)
sufficient to relieve it from all, or substantially all, federal income taxes.
Accordingly, no provision for federal income taxes was required at December
31, 1999.
For tax purposes, the Corporate Bond, Equity Value, and Large Company Growth
Funds have current year deferred post-October capital losses of $35,028,
$52,061 and $83,423, respectively. These losses will be realized for tax
purposes on the first day of the succeeding year. The following Funds had
estimated net capital loss carryforwards at December 31, 1999, which are
available to offset future net realized capital gains:
<TABLE>
<CAPTION>
Year Capital Loss
Date Fund Expires Carryforwards
<S> <C> <C> <C>
DECEMBER 31, 1999 CORPORATE BOND 2007 $ 34,524
DECEMBER 31, 1999 EQUITY VALUE 2006 79,556
EQUITY VALUE 2007 1,202,701
DECEMBER 31, 1999 SMALL CAP GROWTH 2005 3,248,572
SMALL CAP GROWTH 2006 582,614
</TABLE>
The Small Cap Growth Fund has an annual capital loss carryforward application
limit of $645,910 as a result of its reorganization.
71
<PAGE>
VARIABLE TRUST NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
3. ADVISORY FEES
The Trust has entered into separate advisory contracts on behalf of the Funds
with WFB. Pursuant to the contracts, WFB has agreed to provide the following
Funds with daily portfolio management, for which, WFB is entitled to be paid a
monthly advisory fee at the following annual rates:
<TABLE>
<CAPTION>
Fund % of Average Daily Net Assets
<S> <C>
ASSET ALLOCATION FUND 0.55
CORPORATE BOND FUND 0.45
EQUITY INCOME FUND 0.55
EQUITY VALUE FUND 0.55
GROWTH FUND 0.55
LARGE COMPANY GROWTH FUND 0.55
MONEY MARKET FUND 0.40
SMALL CAP GROWTH FUND 0.75
</TABLE>
Prior to September 20, 1999 the Trust had entered into separate advisory
contracts on behalf of all the Funds, except the Equity Income and Small Cap
Growth Funds, with WFB. Pursuant to the contracts, WFB had agreed to provide
the Funds with daily portfolio management. Under the old contracts with the
Asset Allocation, Equity Value, and Growth Funds, WFB was entitled to a
monthly advisory fee at an annual rate of 0.60% of each Fund's average daily
net assets. Under the old contract with the Money Market Fund, WFB was
entitled to a monthly advisory fee at an annual rate of 0.45% of the Fund's
average daily net assets. Prior to September 20, 1999 the investment adviser
to the Equity Income and Small Cap Growth Funds was Norwest Investment
Management, Inc. ("Adviser"), a wholly owned subsidiary of Norwest Bank
Minnesota, N.A. ("Norwest"), which is a subsidiary of Wells Fargo & Company.
The Adviser received an annual advisory fee from each Fund at an annual rate
of 0.80% of the average daily net assets of the respective Fund.
Wells Capital Management Incorporated ("WCM"), a wholly-owned subsidiary of
WFB, acts as investment sub-advisor to the Corporate Bond, Equity Income,
Equity Value, Growth, Money Market, and Small Cap Growth Funds. WCM is
entitled to receive from WFB, as compensation for its sub-advisory services to
the Equity Income, Equity Value, Growth, and Small Cap Growth Funds, a monthly
fee at the annual rate of 0.25% of each Fund's average daily net assets up to
$200 million, 0.20% for the next $200 million and 0.15% of the Fund's average
daily net assets in excess of $400 million. WCM is entitled to receive from
WFB, as compensation for its sub-advisory services to the Corporate Bond Fund,
a monthly fee at the annual rate of 0.15% of the Fund's average daily net
assets up to $400 million, 0.125% for the next $400 million and 0.10% of the
Fund's average daily net assets in excess of $800 million. WCM is entitled to
receive from WFB, as compensation for its sub-advisory services to the Money
Market Fund, a monthly fee at the annual rate of 0.05% of the Fund's average
daily net assets up to $1 billion and 0.04% of the Fund's average daily net
assets in excess of $1 billion. Prior to September 20, 1999 the Equity Value,
Growth, and Money Market Funds were charged at the same annual rates.
Barclays Global Fund Advisors ("BGFA"), a wholly-owned subsidiary of Barclays
Global Investors, N.A. ("BGI") and indirect subsidiary of Barclays Bank PLC,
acts as sub-adviser to the Asset Allocation Fund. BGFA is entitled to receive
from WFB, as compensation for its sub-advisory services, a monthly fee at the
annual rate of 0.15% of the Fund's average daily net assets up to $900 million
and 0.10% of its average daily net assets in excess of $900 million. Prior to
September 20, 1999, the Asset Allocation Fund was charged at the same annual
rates.
Peregrine Capital Management Incorporated acts as sub-adviser to the Large
Company Growth Fund. Peregrine is entitled to receive from WFB, as
compensation for its sub-advisory services, a monthly fee at the annual rate
of 0.75% of the Fund's average daily net assets up to $25 million, 0.60% of
the Fund's average daily net assets for the next $25 million, 0.50% of the
Fund's average daily net assets for the next $225 million, and 0.30% of the
Fund's average daily net assets in excess of $275 million.
4. DISTRIBUTION FEES
The Trust has adopted a Distribution Plan ("Plan") for the Funds, excluding
the Money Market Fund, pursuant to Rule 12b-1 under the 1940 Act. Distribution
fees are charged and paid to Stephens, Inc. ("Stephens") at a rate of 0.25% of
the average daily net assets of each Fund. The distribution fees paid on
behalf of the Funds for the period ended December 31, 1999 are disclosed on
the Statement of Operations.
72
<PAGE>
NOTES TO FINANCIAL STATEMENTS VARIABLE TRUST
- --------------------------------------------------------------------------------
5. ADMINISTRATION
The Trust has entered into administration agreements on behalf of the Funds
with WFB whereby WFB is entitled to receive monthly fees at the annual rate of
0.15% of each Fund's average daily net assets.
Prior to September 20, 1999, the Administrator for the Equity Income and
Small Cap Growth Funds was Forum Administrative Services, LLC ("FAdS"). The
Funds were charged monthly fees at the annual rate of 0.05% of each Fund's
average daily net assets. Prior to March 25, 1999, the Asset Allocation,
Equity Value, Growth, and Money Market Funds retained WFB as administrator and
Stephens Inc. as co-administrator. For these services, WFB and Stephens Inc.
were entitled to receive monthly fees at the annual rates of 0.03% and 0.04%,
respectively, of each Fund's average daily net assets.
6. TRANSFER AGENT
The Trust has entered into a transfer agency agreement on behalf of the Funds
with Boston Financial Data Services ("BFDS"). WFB has been engaged by BFDS to
provide sub-transfer agency services for the Funds.
Prior to September 20, 1999, Norwest provided transfer agency, custody, and
shareholder services for the Equity Income and Small Cap Growth Funds at an
annual rate of 0.08% of the average daily net assets of each Fund. Prior to
July 17, 1999, WFB provided transfer agency services for the Asset Allocation,
Equity Value, and Growth Funds at an annual rate of 0.14% of the average daily
net assets of each Fund, and for the Money Market Fund at an annual rate of
0.10% of the average daily net assets of the Fund.
7. SHAREHOLDER SERVICING
Prior to September 20, 1999 the Asset Allocation, Equity Value, Growth, and
Money Market Funds were charged 0.25% of each Fund's average daily net assets
for shareholder services.
8. OTHER FEES AND TRANSACTIONS WITH AFFILIATES
Forum Accounting Services, LLC ("Forum") provides portfolio accounting
services to the Funds. WFB provides sub-portfolio accounting services to the
Asset Allocation, Equity Value, Growth, and Money Market Funds. For these
services WFB is entitled to receive a fixed monthly fee plus an annual fee of
0.0025% of the Fund's average daily net assets. Prior to September 20, 1999,
the Trust entered into contracts on behalf of the Asset Allocation, Equity
Value, Growth, and Money Market Funds with WFB, whereby WFB was responsible
for providing portfolio accounting services for the Funds. Pursuant to the
contract, WFB was entitled to a monthly base fee from each Fund of $2,000 plus
an annual fee of 0.07% of the first $50 million of each Fund's average daily
net assets, 0.045% of the next $50 million, and 0.02% of each Fund's average
daily net assets in excess of $100 million.
The Trust has entered into contracts on behalf of each Fund (other than the
Asset Allocation Fund, for which BGI serves as custodian) with Norwest Bank
Minnesota, N.A. ("Norwest"), whereby Norwest is responsible for providing
custody services for the Funds. Pursuant to the contracts, Norwest is entitled
to certain transaction charges plus a monthly fee for custody services at the
annual rate of 0.02% of the average daily net assets of each Fund. Prior to
September 20, 1999 the Equity Value, Growth, and Money Market Funds had the
above service performed for a fee at an annual rate of 0.0167% of the average
daily net assets of each Fund. The Equity Income and Small Cap Growth Funds
had Norwest serve as the custodian. For its custody services, in addition to
shareholder servicing and transfer agent services, Norwest was entitled to
receive a fee at an annual rate of 0.08% of the average daily net assets of
each Fund.
BGI, a wholly-owned subsidiary of Barclays Global Investors Inc., acts as
custodian to the Asset Allocation Fund. BGI is not entitled to receive
compensation for its custodial services to the Fund so long as BGFA is
entitled to receive compensation for providing investment sub-advisory
services to it. Prior to September 20, 1999 BGI performed the same services
above for the Asset Allocation Fund and was not entitled to receive
compensation so long as BGFA was entitled to receive compensation for
providing investment sub-advisory services to the Fund.
Certain officers of the Trust are also officers of Stephens. As of
December 31, 1999, Stephens owned 4,147 shares of the Asset Allocation Fund,
3,428 shares of the Corporate Bond Fund, 10,148 shares of the Equity Value
Fund, 3,119 shares of the Growth Fund, no shares of the Equity Income Fund, no
shares of the Large Company Growth Fund, 32,362 shares of the Money Market
Fund, and 16,148 shares of the Small Cap Growth Fund.
73
<PAGE>
VARIABLE TRUST NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
9. WAIVED FEES AND REIMBURSED EXPENSES
All amounts shown as waived fees or reimbursed expenses on the Statement of
Operations, for the year ended December 31, 1999, were waived by WFB or FAdS.
Waived fees and reimbursed expenses continue at the discretion of WFB.
<TABLE>
<CAPTION>
Fees Waived by Expenses Reimbursed by Fees Waived by
Fund FAdS Stephens WFB Total Fees Waived
<S> <C> <C> <C> <C>
ASSET ALLOCATION FUND $ 0 $ 0 $398,328 $398,328
CORPORATE BOND FUND 0 0 68,198 68,198
EQUITY INCOME FUND 74,748 0 203,914 278,662
EQUITY VALUE FUND 0 0 92,366 92,366
GROWTH FUND 0 0 221,406 221,406
LARGE COMPANY GROWTH FUND 0 0 51,615 51,615
MONEY MARKET FUND 0 0 71,025 71,025
SMALL CAP GROWTH FUND 8,460 16,898 109,744 135,102
</TABLE>
10. INVESTMENT PORTFOLIO TRANSACTIONS
Purchases and sales of investments, exclusive of short-term securities
(securities with maturities of one year or less at purchase date) and U.S.
Government Securities, for each Fund for the year or period ended
December 31, 1999, were as follows:
<TABLE>
<CAPTION>
AGGREGATE PURCHASES AND SALES
Portfolio Purchases at Cost Sales Proceeds
<S> <C> <C>
ASSET ALLOCATION FUND $123,363,443 $57,693,750
CORPORATE BOND FUND 107,106,667 39,293,555
EQUITY INCOME FUND 40,145,530 4,877,969
EQUITY VALUE FUND 41,597,026 26,098,628
GROWTH FUND 65,129,388 57,751,238
LARGE COMPANY GROWTH FUND 40,988,151 0
SMALL CAP GROWTH FUND 41,974,422 40,866,447
</TABLE>
The Money Market Fund, not reflected in this schedule, trades exclusively in
short-term securities.
74
<PAGE>
INDEPENDENT AUDITORS' REPORT VARIABLE TRUST
- --------------------------------------------------------------------------------
THE BOARD OF TRUSTEES AND SHAREHOLDERS
OF WELLS FARGO VARIABLE TRUST FUNDS:
We have audited the accompanying statements of assets and liabilities of
Asset Allocation Fund, Corporate Bond Fund, Equity Income Fund, Equity Value
Fund, Growth Fund, Large Company Growth Fund, Money Market Fund and Small Cap
Growth Fund, portfolios of Wells Fargo Variable Trust Funds, including the
schedules of investments, as of December 31, 1999, and the related statements
of operations for the year then ended for Asset Allocation Fund, Equity Income
Fund, Equity Value Fund, Growth Fund, Money Market Fund and Small Cap Growth
Fund, and for the period from September 20, 1999 (commencement of operations)
to December 31, 1999 for Corporate Bond Fund and Large Company Growth Fund,
the statements of changes in net assets for each of the years in the two-year
period then ended for Asset Allocation Fund, Equity Income Fund, Growth Fund,
Money Market Fund and Small Cap Growth Fund, the year ended December 31, 1999
and the period from May 1, 1998 (commencement of operations) to December 31,
1998 for the Equity Value Fund and the period from September 20, 1999
(commencement of operations) to December 31, 1999 for Corporate Bond Fund and
Large Company Growth Fund and financial highlights for each of the years or
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 and
financial highlights 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 confirmation of securities
owned as of December 31, 1999 by correspondence with the custodian and
brokers. 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
Asset Allocation Fund, Corporate Bond Fund, Equity Income Fund, Equity Value
Fund, Growth Fund, Large Company Growth Fund, Money Market Fund and Small Cap
Growth Fund as of December 31, 1999, the results of their operations, changes
in their net assets and their financial highlights for the years or periods
presented above in conformity with generally accepted accounting principles.
[KPMG LLP LOGO]
San Francisco, California
February 2, 2000
75
<PAGE>
LIST OF ABBREVIATIONS VARIABLE TRUST
- --------------------------------------------------------------------------------
The following is a list of common abbreviations for terms and entities which may
have appeared in this report.
<TABLE>
<S> <C> <C>
ABAG -- ASSOCIATION OF BAY AREA GOVERNMENTS
ADR -- AMERICAN DEPOSITORY RECEIPTS
AMBAC -- AMERICAN MUNICIPAL BOND ASSURANCE CORPORATION
AMT -- ALTERNATIVE MINIMUM TAX
ARM -- ADJUSTABLE RATE MORTGAGES
BART -- BAY AREA RAPID TRANSIT
CDA -- COMMUNITY DEVELOPMENT AUTHORITY
CDSC -- CONTINGENT DEFERRED SALES CHARGE
CGIC -- CAPITAL GUARANTY INSURANCE COMPANY
CGY -- CAPITAL GUARANTY CORPORATION
CMT -- CONSTANT MATURITY TREASURY
COFI -- COST OF FUNDS INDEX
CONNIE LEE -- CONNIE LEE INSURANCE COMPANY
COP -- CERTIFICATE OF PARTICIPATION
CP -- COMMERCIAL PAPER
CTF -- COMMON TRUST FUND
DW&P -- DEPARTMENT OF WATER & POWER
DWR -- DEPARTMENT OF WATER RESOURCES
EDFA -- EDUCATION FINANCE AUTHORITY
FGIC -- FINANCIAL GUARANTY INSURANCE CORPORATION
FHA -- FEDERAL HOUSING AUTHORITY
FHLB -- FEDERAL HOME LOAN BANK
FHLMC -- FEDERAL HOME LOAN MORTGAGE CORPORATION
FNMA -- FEDERAL NATIONAL MORTGAGE ASSOCIATION
FRN -- FLOATING RATE NOTES
FSA -- FINANCIAL SECURITY ASSURANCE, INC
GNMA -- GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
GO -- GENERAL OBLIGATION
HFA -- HOUSING FINANCE AUTHORITY
HFFA -- HEALTH FACILITIES FINANCING AUTHORITY
IDA -- INDUSTRIAL DEVELOPMENT AUTHORITY
LIBOR -- LONDON INTERBANK OFFERED RATE
LLC -- LIMITED LIABILITY CORPORATION
LOC -- LETTER OF CREDIT
LP -- LIMITED PARTNERSHIP
MBIA -- MUNICIPAL BOND INSURANCE ASSOCIATION
MFHR -- MULTI-FAMILY HOUSING REVENUE
MUD -- MUNICIPAL UTILITY DISTRICT
MTN -- MEDIUM TERM NOTE
PCFA -- POLLUTION CONTROL FINANCE AUTHORITY
PCR -- POLLUTION CONTROL REVENUE
PFA -- PUBLIC FINANCE AUTHORITY
PLC -- PRIVATE PLACEMENT
PSFG -- PUBLIC SCHOOL FUND GUARANTY
RAW -- REVENUE ANTICIPATION WARRANTS
RDA -- REDEVELOPMENT AUTHORITY
RDFA -- REDEVELOPMENT FINANCE AUTHORITY
R&D -- RESEARCH & DEVELOPMENT
SFMR -- SINGLE FAMILY MORTGAGE REVENUE
TBA -- TO BE ANNOUNCED
TRAN -- TAX REVENUE ANTICIPATION NOTES
USD -- UNIFIED SCHOOL DISTRICT
V/R -- VARIABLE RATE
WEBS -- WORLD EQUITY BENCHMARK SHARES
</TABLE>
76
<PAGE>
Wells Fargo Bank, N.A. and certain of its affiliates provide investment
advisory, sub-advisory and/or shareholder services for the Wells Fargo
Variable Trust Funds. The Funds are sponsored and distributed by STEPHENS
INC., Member NYSE/SIPC. Wells Fargo Bank, N.A. and its affiliates are not
affiliated with Stephens Inc.
This report and the financial statements contained herein are submitted for
the general information of the shareholders of the Wells Fargo Variable
Trust Funds. If this report is used for promotional purposes, distribution
of the report must be accompanied or preceded by a current prospectus. For a
prospectus containing more complete information, including charges and
expenses, call 1-800-222-8222. Read the prospectus carefully before you
invest or send money.
[LOGO]
P.O. Box 8266
Boston, MA 02266-8266
DATED MATERIAL
PLEASE EXPEDITE
[RECYCLED LOGO] AR 016 (2/00)
<PAGE>
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