<PAGE>
semi
annual
REPORT
EMERGING Growth Equity Fund
Advised by: RS Investment Management, L.P.
FOCUSED Equity Fund
Advised by: Morgan Stanley Asset Management
GROWTH Equity Fund
Advised by: Goldman Sachs Asset Management
DISCIPLINED Equity Fund
Advised by: J.P. Morgan Investment Management Inc.
VALUE Equity Fund
Advised by: Salomon Brothers Asset Management Inc
BALANCED Fund
Advised by: OpCap Advisors
JUNE 30, 2000 LSA Variable Series Trust
<PAGE>
LSA Variable Series Trust
President's Letter
August 23, 2000
Dear Shareholder:
We are pleased to present you the LSA Variable Series Trust Semi-Annual Report
dated June 30, 2000. We began operations on October 1, 1999, and as of June
30th total assets under management were nearly $52.0 million, including
Allstate Life Insurance Company's initial start-up investment of $35 million.
Included in this semi-annual report are comments from the advisory firms and
individuals who manage the day-to-day investments of the funds within the LSA
Variable Series Trust. LSA Asset Management, LLC (the "Manager") oversees each
of the fund's advisers. The following are the six LSA Funds currently
available to insurance company separate accounts:
Emerging Growth Equity Fund advised by RS Investment Management, L.P.
Focused Equity Fund advised by Morgan Stanley Asset Management
Growth Equity Fund advised by Goldman Sachs Asset Management
Disciplined Equity Fund advised by J.P. Morgan Investment Management Inc.
Value Equity Fund advised by Salomon Brothers Asset Management Inc
Balanced Fund advised by OpCap Advisers
The LSA Variable Series Trust Board of Trustees and the Manager are proud of
the investment results of the Trust's funds through the first half of 2000. We
are committed to adding value to our shareholders and to our variable product
contract owners.
Sincerely,
[Signature for John Hunter]
John Hunter
President
LSA Variable Series Trust
<PAGE>
LSA Variable Series Trust Emerging Growth Equity Fund
Advised by: RS Investment Management, L.P.
Six Month Performance Review
We weathered a very tough second quarter and have ended the first half of 2000
in solid shape. In the second quarter the Emerging Growth Equity Fund (the
"Fund") declined 8.51% against a 7.37% decline in the benchmark Russell 2000
Growth Index. Bolstered by strong first quarter performance, the Fund was up
5.15% at midyear against a slight increase of 1.23% in the Russell 2000 Growth
Index. This performance helped us maintain our longer-term performance
advantage over the benchmark. Since inception the Fund is up 83.90% against a
rise of 36.43% in the benchmark.
Sparked by a break in biotech stocks in early March, smaller fast growing
stocks declined precipitously in March and entered into a period of volatility
in April and May in which the general trend was downward. Measuring the daily
close of the Russell 2000 Growth Index, we calculate the index declined 35.01%
from a peak on March 10, 2000 to a low on May 25, 2000. This correction ranks
as one of the sharpest in small cap history.
While we endured a fast, sharp decline in March, the first two months of the
second quarter brought a slower, longer kind of pain. Fortunately, sensing at
least some of the selling was overdone, investors returned to our market
segment in June and the Russell 2000 Growth Index finished June with a one
month advance of 12.92%. The Fund posted a strong 32.02% return for June.
Historically we have focused on "upgrading" the Fund with the highest quality,
fastest growing, small growth stocks coming out of a correction. When the
market value of stocks drop significantly, we see little incremental risk in
owning quality stocks that may be more expensive than the rest of the
universe. We have found that investors often look to these names when they
return to the market.
We expanded our position in SonicWall, a provider of Internet security
products. SonicWall has seen a significant increase in demand for its security
product serving the broadband market. This demand has driven triple digit
revenue and earnings growth in percentage terms over the last several
quarters. The company is at the confluence of two key investment premises: the
expanding need for Internet security, and the rapid growth of broadband
access.
Despite the rally in many small cap stocks, we endured our share of
disappointments in the second quarter as well. Exchange Applications, a small
company that provides customer management software for e-commerce and e-
marketing initiatives, has been a strong contributor to performance over the
last several quarters. This software area presents a huge growth opportunity
and Exchange Applications has been an attractive way to invest. The company
has a smaller market capitalization and more attractive valuation than
competitors Epiphany and Broadbase Software. However, the stock corrected in
the March decline, and fell again in April and May. While Exchange
Applications reported strong numbers in the first quarter, the market
perceived that too large a percentage of Exchange Applications revenue came
from one relationship. Additionally, a holder of the company's stock was
forced to sell a large portion of Exchange Applications stock into an already
weak market. We believe Exchange Applications is remedying the customer
concentration issue. They have launched a new product set that has proven very
popular and has them on track for a strong third quarter. Thus we purchased
more stock on weakness early in the second quarter, and longer term think the
company will continue to succeed.
The Exchange Applications example helps to confirm why we believe running a
diversified portfolio is the most prudent way to participate in the small
growth area. The stock was a significant position, and detracted from
performance in the second quarter, but in our broadly diversified portfolio,
it did not drag down our results too significantly.
2
<PAGE>
Outlook
Despite the volatility of the market, and the strong correction many Internet
related stocks have endured, we are optimistic about business opportunities in
many segments of the market. We see great opportunities in wireless, broadband
access, the continued build-out of the Internet, and Internet content delivery.
The decline of the on-line retailers should not surprise investors, and we
don't sense that the decline will have a long term impact on other fast growth
sectors. While we are optimistic at the company level, we do expect that we
will endure more volatility throughout the remainder of the year.
The views expressed herein reflect those of RS Investment Management, L.P., the
Fund's Adviser, and do not necessarily represent the views of LSA Variable
Series Trust or the Trust's Manager, LSA Asset Management, LLC. Such views are
subject to change at any time based upon market or other conditions.
Furthermore, such views may not be relied upon as investment advice or as an
indication of any Fund's trading intent.
Investment Growth
[Graph Appears Here]
Growth of a $10,000 Investment in Emerging Growth Equity Fund and the Russell
2000 Growth Index
Date Emerging Growth Equity Fund Russell 2000 Growth Index
10/1/99 $10,000 $10,000
10/31/99 $11,610 $10,362
11/30/99 $13,900 $11,458
12/31/99 $17,490 $13,477
1/31/00 $17,560 $13,352
2/29/00 $23,190 $16,458
3/31/00 $20,100 $14,728
4/30/00 $15,770 $13,241
5/31/00 $13,930 $12,082
6/30/00 $18,390 $13,643
Total Returns
Period Ended June 30, 2000
<TABLE>
<CAPTION>
Value of a
Year-to-Date Since Inception $10,000 Investment
1/1/00-6/30/00 10/1/99-6/30/00 as of 6/30/00
-----------------------------------------------------------------------------
<S> <C> <C> <C>
Emerging Growth
Equity Fund 5.15% 83.90% 18,390
Russell 2000 Index 1.23% 36.43% 13,643
</TABLE>
Past performance is not predictive of future results. Investment return and
principal value will fluctuate so that shares of the Fund, when redeemed, may
be worth more or less than original cost. Total returns do not reflect charges
incurred at the separate investment account level. The market index shown above
is unmanaged and does not incur expenses. Total returns assume reinvestment of
dividends.
3
<PAGE>
LSA Variable Series Trust Focused Equity Fund
Advised by: Morgan Stanley Asset Management
Six Month Performance Review
The market's relatively flat first half return masked significant volatility,
particularly in February (the S&P 500 Index declined 8%), March (up 10%) and
April (down 3%). Volatility was heightened, in our view, by Federal Reserve
interest rate increases, a more uncertain corporate earnings outlook and
heightened investor attention to valuation.
For the six month period ended June 30, 2000, growth continued to outperform
value as the Russell 1000 Growth Index appreciated 6.8% versus a decline of
0.2% for the Russell 1000 Value Index. As was the case in 1999, a handful of
large cap stocks had the most positive effect on market results. Two stocks,
Cisco Systems and Intel, contributed over 100% of the S&P 500's return. At the
end of the first quarter investors rotated from favoring new economy stocks to
old economy stocks. Many growth favorites, including Microsoft, Lucent, Yahoo!
and America Online declined.
Value dominated growth in the markets through April and May, and technology
stocks were most severely affected in the downturn. June was a great month for
growth stocks, as the Russell 1000 Growth Index recovered 7% of the return
lost in the first two months of the quarter. The June recovery in growth was
led by technology and healthcare, two of our best performing sectors year-to-
date.
Our top positions continue to reflect a mix of classic growth stocks such as
Cisco Systems, General Electric, Pfizer, Microsoft, Intel, and Home Depot as
well as less well known growth names such as Tyco International and United
Technologies.
We remain pleased with the success of our bottom-up stock picking approach. We
maintained a market weight in technology, however stock selection in this
sector accounted for over 30% of the fund's total over performance vs. the S&P
500 Index for the first half of 2000. Over 75% of that relative over
performance was attributable to successful stock picking within the group. The
absence of a large overweight position in technology helped our relative
performance versus many other large capitalization growth funds that carried
an overweight in the sector from year-end. The fund's positions in such "old
economy" names such as Tyco, and Pfizer/Warner Lambert helped us sustain
strong performance during this period.
Major contributors to the strong performance results year to date were Intel,
Warner Lambert, Tyco International, Cisco, and Nortel Networks. We were
especially pleased with the performance of Tyco given the major downward move
sustained by that stock in the fourth quarter of 1999. Major detractors to
performance were Clear Channel, Motorola, Procter & Gamble, Home Depot, and
Microsoft.
Tyco's continued strong business fundamentals and excitement regarding the
announced value-enhancing subsidiary-IPO of TyCom, the company's undersea
fiberoptic cable business, and the close of the SEC inquiry, drove
appreciation of 22% for the period. This more than offset the stock's fourth
quarter decline. We continue to believe in the company's ability to meet or
exceed consensus earnings expectations and, this, coupled with additional
strategic moves (such as the potential subsidiary-IPO of M/A-Com, the leading
manufacturer of Gallium Arsenide semiconductor substrate used in wireless
communication devices and the acquisition of Mallinckrodt in the health
services segment) should drive additional positive performance in future
quarters.
We made a strategic decision to continue to add to our already overweight
position in healthcare from late in the first quarter. This was based on our
belief that the group's consistent earnings growth will be increasingly
valuable to investors as overall S&P 500 earnings growth moderates from
unsustainably high levels. The decision proved prudent, as healthcare was our
second best performing sector for the period. Large positions in American Home
Products, Pfizer and Johnson & Johnson drove strong performance.
4
<PAGE>
Although large-cap pharmaceutical stocks dramatically outperformed the market,
Pfizer outperformed its peers. The acquisition of Warner Lambert was formally
completed in mid-June, but integration planning was already well underway and
we believe cost-cutting targets will be accomplished earlier than expected and
could be more significant than expected. Prescription volume growth for most
of the company's major drugs remains robust, particularly for Lipitor,
Celebrex, Neurontin, Viagra, Zyrtec, and Norvasc. Consensus earnings
expectations do not fully reflect the faster than expected cost-cutting or the
growth in sales volumes, in our view. A supposed lack of pipeline depth is a
frequent criticism of skeptics, but we believe Pregabalin (more potent, more
tolerable follow-on to Neurontin; likely launch in 2001), Valdocoxib
(arthritis and pain; launch in 2001), and inhaled insulin (diabetes; launch in
2002-03) all have tremendous market potential. With no major patent
expirations until 2006, the sector's fastest projected earnings growth rate
over the next several years, a strong potential for additional co-marketing
deals with other drug companies and for non-core asset divestitures once
pooling accounting restrictions are lifted in two years, and the sectors
lowest P/E-to-growth ratio, we believe Pfizer remains a compelling investment
and is a core holding in our portfolio.
Consumer cyclicals, one of our weakest performing sectors year to date,
resulted from the down turn of the retail sector during the second quarter.
Our investments in Home Depot, down 22% and Costco, down 37%, were our largest
detractors from performance in this sector.
Home Depot, the leading home improvement retailer, was among several retail
stocks punished by the market despite no change in its fundamentals. Although
the company met Wall Street consensus numbers, many sell side analysts became
concerned about a potential earnings shortfall. Issues such as labor and
infrastructure expenses growing faster than the company anticipated, as well
as rising interest rates, slower housing turnover, and the rising cost of gas,
created pressure in the stock, as well as the sector. Further due diligence
led us to the conclusion that this was an overreaction to short term issues.
In fact we viewed this as a buying opportunity.
Outlook
With the Fed expected to be in the seventh inning stretch on interest rate
hikes and the surge of growth stocks late in the second quarter, we are
extremely optimistic about the long-term prospect for large capitalization
growth stocks going forward. Signs of a soft landing, as well as strong
fundamentals and compelling business opportunities create a favorable
environment for growth.
The views expressed herein reflect those of Morgan Stanley Asset Management,
the Fund's Adviser, and do not necessarily represent the views of LSA Variable
Series Trust or the Trust's Manager, LSA Asset Management, LLC. Such views are
subject to change at any time based upon market or other conditions.
Furthermore, such views may not be relied upon as investment advice or as an
indication of any Fund's trading intent.
5
<PAGE>
Investment Growth
[Graph Appears Here]
Growth of a $10,000 Investment in Focused Equity Fund and the S&P 500 Index
Date Focused Equity Fund S&P 500 Index
10/1/99 $10,000 $10,000
10/31/99 $10,480 $10,632
11/30/99 $11,010 $10,848
12/31/99 $12,070 $11,486
1/31/00 $11,890 $10,909
2/29/00 $12,150 $10,703
3/31/00 $13,520 $11,749
4/30/00 $12,880 $11,396
5/31/00 $12,220 $11,162
6/30/00 $12,820 $11,437
Total Returns
Period Ended June 30, 2000
<TABLE>
<CAPTION> Value of a
Year-to-Date Since Inception $10,000 Investment
1/1/00-6/30/00 10/1/99-6/30/00 as of 6/30/00
----------------------------------------------------------------------------
<S> <C> <C> <C>
Focused Equity Fund 6.21% 28.20% 12,820
S&P 500 Index (0.43%) 14.37% 11,437
</TABLE>
Past performance is not predictive of future results. Investment return and
principal value will fluctuate so that shares of the Fund, when redeemed, may
be worth more or less than original cost. Total returns do not reflect charges
incurred at the separate investment account level. The market index shown above
is unmanaged and does not incur expenses. Total returns assume reinvestment of
dividends.
6
<PAGE>
[THIS PAGE INTENTIONALLY LEFT BLANK]
7
<PAGE>
LSA Variable Series Trust Growth Equity Fund
Advised by: Goldman Sachs Asset Management
Six Month Performance Review
2000 has proven to be a choppy year thus far, as the market continues to
experience significant volatility. The NASDAQ Composite Index lost 13.3% in
the second quarter, its first loss since the third quarter of 1998. The
decline wiped out its entire January-March gain and left the index down 2.5%
for the first six months of the year. The Dow Jones Industrial declined 4.3%
in the second quarter and is now down 9.1% for the year while the S&P 500
dropped 2.7% in the quarter and closed out the first half down 0.4%.
Inflationary concerns heightened as oil prices soared and labor markets
tightened. Investors also decided that many technology and internet-related
issues were overpriced, shifting money out of these sectors and into perceived
safe-havens such as drug and healthcare companies. Market volatility was
fueled by two interest rate hikes of 25 basis points each in February and
March followed by a 50 basis points increase in May in an effort to slow-down
the economy. The US economy began to show signs of cooling, including a
weaker-than-expected unemployment report and slower retail activity. The
market was relieved when the Fed left rates unchanged at the June 28th meeting
(though they raised the possibility of interest-rate increases in August).
For the six months ended June 30, 2000, the Growth Equity Fund (the "Fund")
posted a total return at net asset value ("NAV") of 2.15%, outperforming both
the S&P 500 Index, which returned -0.43% and its peer group, the Lipper Large
Cap Core Average, which posted a return of 1.89%.
The Fund outperformed the S&P 500 Index for the first half of the year,
primarily as a result of strong stock picking ability in the health care
sector coupled with an underweight position in technology. With a flight to
quality in technology, we benefited from owning bigger, steadier companies
such as Intel Corp. (3.7%), Oracle Corp (2.0%), and Nortel Networks (2.0%).
One notable detractor from performance was our holding in Microsoft (3.5%) as
the stock was down due to the court's ruling to breakup the company. The Fund
seeks to invest in those technology companies well positioned to capture the
underlying growth supporting the Internet boom. The Growth Equity team
believes the Fund is well positioned to partake in the growth of the
technological revolution without necessarily taking on all of the risk
associated with many "dot-coms".
In the health care sector, pharmaceutical giant Pfizer Inc. (3.3%) contributed
to returns and closed on its purchase of Warner Lambert Co. The acquisition
will position Pfizer with one of the industry's deepest pipelines and research
and development budgets. Eli Lilly & Co. (0.9%) also had strong performance
after the company announced it would be halting further testing of a drug to
treat sepsis, a blood infection, lifting hopes that the drug would be
submitted for regulatory approval sooner than expected.
In the consumer staples area, Nabisco (0.5%) was up significantly when it was
announced that Philip Morris (0.8%) would be buying the company. The purchase
will fill a gap in Philip Morris's vast Kraft Foods area, bolstering the
company as the world's number 2 food company. After that sale is completed,
Reynolds will buy Nabisco Group Holdings, which now owns 80.6% of the
foodmaker.
In general, media & communications stocks detracted as investors retreated to
more "Old Economy" stocks. Disney (0.3%) performed well with the company
benefiting from exceptional results in its broadcasting business. Time Warner
Inc. (1.5%) also contributed to performance after the company announced its
proposed merger with America Online, forming one of the largest media
enterprises in the world.
8
<PAGE>
Outlook
While we neither make nor rely on economic forecasts to make investment
decisions, we are generally bullish on growth in the U.S. economy. Over the
last decade, technological advances have enhanced global communication and
provided significant benefits to both consumers and businesses. We believe
those companies that adopt a smart business strategy will continue to benefit
from this trend over the long term. Generally, these are companies with
recurring revenue streams that have established barriers to entry, which enable
them to dominate their particular sector or industry. Throughout the investment
process, we continue to focus on the core business franchise, quality of
management and free cash flow, along with favorable demographic trends. We
believe that the enduring competitive advantage of the companies we own--based
on the criteria mentioned above--will withstand even an uncertain market
environment.
The views expressed herein reflect those of Goldman Sachs Asset Management, the
Fund's Adviser, and do not necessarily represent the views of LSA Variable
Series Trust or the Trust's Manager, LSA Asset Management, LLC. Such views are
subject to change at any time based upon market or other conditions.
Furthermore, such views may not be relied upon as investment advice or as an
indication of any Fund's trading intent.
Investment Growth
[Graph Appears Here]
Growth of a $10,000 Investment in Growth Equity Fund and the S&P 500 Index
Date Growth Equity Fund S&P 500 Index
10/1/99 $10,000 $10,000
10/31/99 $10,850 $10,632
11/30/99 $11,120 $10,848
12/31/99 $12,080 $11,486
1/31/00 $11,499 $10,909
2/29/00 $11,309 $10,703
3/31/00 $12,350 $11,749
4/30/00 $11,979 $11,396
5/31/00 $11,729 $11,162
6/30/00 $12,340 $11,437
Total Returns
Period Ended June 30, 2000
<TABLE>
<CAPTION> Value of a
Year-to-Date Since Inception $10,000 Investment
1/1/00-6/30/00 10/1/99-6/30/00 as of 6/30/00
------------------------------------------------------------------------------
<S> <C> <C> <C>
Growth Equity Fund 2.15% 23.40% 12,340
S&P 500 Index (0.43%) 14.37% 11,437
</TABLE>
Past performance is not predictive of future results. Investment return and
principal value will fluctuate so that shares of the Fund, when redeemed, may
be worth more or less than original cost. Total returns do not reflect charges
incurred at the separate investment account level. The market index shown above
is unmanaged and does not incur expenses. Total returns assume reinvestment of
dividends.
9
<PAGE>
LSA Variable Series Trust Disciplined Equity Fund
Advised by: J.P. Morgan Investment Management Inc.
Six Month Performance Review
The U.S. equity market cycled erratically during the first six months of the
year between growth stocks and value stocks based on the emerging economic
data. Weak data led to powerful rallies in technology and other growth stocks.
Data reflecting a strong economy caused a surge in lower priced value stocks.
While value stocks outperformed dramatically at the beginning of the period,
growth came back strong in June to lead the end of the second quarter (Russell
1000 Growth -2.7% vs. Russell 1000 Value -4.69%). The market's reaction to the
data flow is based entirely on the impact the economy has on interest rates.
The U.S. Federal Reserve raised rates several times in the first half of the
year and continues to monitor the situation. Higher rates are just beginning
to slow the economy somewhat which will start to impact corporate earnings.
Any disappointment in earnings at the company level are being penalized
heavily across all sectors. We believe that the second quarter is evidence
that the market is transitioning from the strong momentum focus it had in
1999, to a more balanced environment.
During the first half of the year, the fund's return of -1.26% trailed the S&P
500 Index's return of -0.43%. The fund's performance was positively impacted
by stock selection during the time period. Stock selection within the hardware
and semi-conductor sectors added to the portfolio's performance. The portfolio
held an underweight position in Qualcomm Inc. As the company announced a
weakening in chip sales, and the future of its third generation CDMA wireless
sales also looked less positive, the net effect of underweighting this holding
was a positive contribution to the portfolio's performance.
Overall, the pharmaceuticals and capital markets sectors moved ahead as
investors continued their rotation out of "new economy" stocks. As a
consequence, the software and services, telecommunications and technology
sectors fell. While the pharmaceuticals sector posted a positive return of
6.94% for the six month period, and consumer cyclicals contributed a total
gain of 6.64%, holdings such as Microsoft pulled down performance within the
portfolio after being roiled with detailed announcements of the court's ruling
against the company in the lengthy anti-trust suit.
Individual security selection contributed to the portfolio's overall
performance across the first two quarters. The portfolio ended the period with
an overweight position in Intel, which posted a 47.79% total return for the
six months ending June 30, 2000. Warner Lambert led the pharmaceuticals sector
with a 38.81% gain for the same period, and Starwood Hotels and Resorts posted
a 54.98% gain within the consumer cyclical sector.
Outlook
We believe that the second quarter is evidence that the market is
transitioning from the strong momentum focus it had in 1999, to a more
balanced environment. We predict that the Fed will continue to closely monitor
the economy and may tighten policy again in the second half of the year. It
appears that the economy will continue to slow a little as evidenced by the
cooling of the overheated rate of late 1999 and early 2000. As always, we will
remain sector and factor neutral relative to the benchmark and continue to
focus solely on stock selection.
The views expressed herein reflect those of J.P. Morgan Investment Management
Inc., the Fund's Adviser, and do not necessarily represent the views of LSA
Variable Series Trust or the Trust's Manager, LSA Asset Management, LLC. Such
views are subject to change at any time based upon market or other conditions.
Furthermore, such views may not be relied upon as investment advice or as an
indication of any Fund's trading intent.
10
<PAGE>
Investment Growth
[Graph Appears Here]
Growth of a $10,000 Investment in Disciplined Equity Fund and the S&P 500 Index
Date Disciplined Equity Fund S&P 500 Index
10/1/99 $10,000 $10,000
10/31/99 $10,550 $10,632
11/30/99 $10,730 $10,848
12/31/99 $11,173 $11,486
1/31/00 $10,591 $10,909
2/29/00 $10,340 $10,703
3/31/00 $11,364 $11,749
4/30/00 $10,982 $11,396
5/31/00 $10,701 $11,162
6/30/00 $11,033 $11,437
Total Returns
Period Ended June 30, 2000
<TABLE>
<CAPTION> Value of a
Year-to-Date Since Inception $10,000 Investment
1/1/00-6/30/00 10/1/99-6/30/00 as of 6/30/00
------------------------------------------------------------------------------
<S> <C> <C> <C>
Disciplined Equity Fund (1.26%) 10.33% 11,033
S&P 500 Index (0.43%) 14.37% 11,437
</TABLE>
Past performance is not predictive of future results. Investment return and
principal value will fluctuate so that shares of the Fund, when redeemed, may
be worth more or less than original cost. Total returns do not reflect charges
incurred at the separate investment account level. The market index shown above
is unmanaged and does not incur expenses. Total returns assume reinvestment of
dividends.
11
<PAGE>
LSA Variable Series Trust Value Equity Fund
Advised by: Salomon Brothers Asset Management Inc
Six Month Performance Review
For the six months ending June 30, 2000 the Value Equity Fund returned 9.03%
outperforming the S&P 500 Index which declined 0.43% over the period. The
fund's outperformance was particularly strong in the second quarter. This
outperformance primarily relates to our significant overweight position in
consumer staples and our underweight position in technology. In addition,
since inception the fund has outperformed the S&P 500 Index returning 17.28%
verses the benchmark's 14.37% return.
In the first half of this year, the equity markets experienced increased
volatility. Technology stocks continued to drive the market through early
March. The momentum behind technology stocks came at the expense of most other
sectors of the market, including consumer staples, financials and
pharmaceuticals. During this period, the fund added to these out-of-favor
sectors. In mid-March, investors took profits in technology stocks and rotated
into undervalued sectors. Specifically, defensive sectors such as consumer
staples, healthcare and energy all performed well as investors continued to
worry about the Fed's reaction to inflationary pressures. The fund benefited
from the increase in market breadth.
During the first quarter, we continued to trim most of our technology holdings
due to valuation concerns. We redeployed those proceeds into other sectors of
the market that offered much more attractive valuations. In particular, we
added consumer staples, financials and pharmaceuticals, all of which rebounded
as investors rotated out of technology. Since the correction in technology in
mid-March, we have been adding to selected tech stocks on weakness. We plan to
continue increasing our weighting in technology as we see opportunities to do
so.
Our overweight position in consumer staples contributed to the fund's
outperformance during the period. In particular, Nabisco Group Holdings, Pepsi
Bottling Group, Safeway and Kimberly Clark all were strong performers. Nabisco
Group Holdings was the fund's top contributor during the period as a result of
the planned sale of the company.
In other sectors, leading contributors included News Corporation, Intel, Eli
Lilly and Coastal Corp., among others. Laggards included International Paper,
Compuware, Tyson Foods, Federated Department Stores and UnumProvident. The
fund no longer owns Compuware and UnumProvident.
The fund remains overweight versus the S&P 500 in consumer staples,
communications, energy and financials. As a result of the merger between Bell
Atlantic and GTE, the fund's top position is now Verizon Communications, the
newly combined entity.
Outlook
Recent economic data points suggest that the economy may be slowing, however,
inflationary concerns may keep the Fed on guard. We expect recent stock market
volatility to persist. Uncertainty over economic growth and prospective
Federal Reserve actions will continue to result in market swings. Fortunately,
market breadth remains favorable. We believe that the Value Equity Fund
continues to be well positioned for this type of market in which individual
stock selection plays a more important role than sector momentum.
The views expressed herein reflect those of Salomon Brothers Asset Management
Inc, the Fund's Adviser, and do not necessarily represent the views of LSA
Variable Series Trust or the Trust's Manager, LSA Asset Management, LLC. Such
views are subject to change at any time based upon market or other conditions.
Furthermore, such views may not be relied upon as investment advice or as an
indication of any Fund's trading intent.
12
<PAGE>
Investment Growth
[Graph Appears Here]
Growth of a $10,000 Investment in Value Equity Fund and the S&P 500 Index
Date Value Equity Fund S&P 500 Index
10/1/99 $10,000 $10,000
10/31/99 $10,300 $10,632
11/30/99 $10,550 $10,848
12/31/99 $10,756 $11,486
1/31/00 $10,456 $10,909
2/29/00 $10,145 $10,703
3/31/00 $11,227 $11,749
4/30/00 $11,137 $11,396
5/31/00 $11,597 $11,162
6/30/00 $11,728 $11,437
Total Returns
Period Ended June 30, 2000
Value of a
Year-to-Date Since Inception $10,000 Investment
1/1/00-6/30/00 10/1/99-6/30/00 as of 6/30/00
------------------------------------------------------------------------------
Value Equity Fund 9.03% 17.28% 11,728
S&P 500 Index (0.43%) 14.37% 11,437
Past performance is not predictive of future results. Investment return and
principal value will fluctuate so that shares of the Fund, when redeemed, may
be worth more or less than original cost. Total returns do not reflect charges
incurred at the separate investment account level. The market index shown above
is unmanaged and does not incur expenses. Total returns assume reinvestment of
dividends.
13
<PAGE>
LSA Variable Series Trust Balanced Fund
Advised by: OpCap Advisors
Six Month Performance Review
The Balanced Fund provided a total return of 1.46% in the first half of 2000,
outperforming the 0.63% return of its benchmark (a 60% weighting of the S&P
500 Index and a 40% weighting of the Merrill Lynch Corporate Bond Index). The
Fund's results were a bit lower than the average return of 1.7% for the funds
in the Lipper balanced fund category.
The Fund was positioned defensively throughout the first half, and this
dampened our returns when the stock market rose in the first quarter and
helped our performance when the market weakened in the second quarter. We
normally invest between 50% and 75% of the Fund's assets in common stocks,
seeking growth, and a minimum of 25% of assets in fixed income securities for
yield. At the end of June, 53.9% of net assets were allocated to stocks, 33.4%
to notes and bonds, and 12.7% to cash and cash equivalents.
Among individual stocks, supermarket chain Kroger, the Fund's largest
position, rose sharply in the first half, reflecting investor recognition of
the company's strong management and aggressive strategy in a consolidating
supermarket industry. Top-ten holding John Hancock Financial Services was
another excellent performer. Hancock, which demutualized and went public early
in the year, boasts a solid market position, excellent brand name and low
valuation, and we believe the company could be an acquisition candidate.
Detractors from performance included Freddie Mac (mortgage origination and
securitization) and Computer Associates (software). Despite continued earnings
growth, Freddie Mac declined on investor concerns that Congress might restrict
the company's investment and lending programs. We think these concerns are
overstated and that the stock is significantly undervalued. Computer
Associates' share price fell due to an earnings slowdown in the software
industry.
In the second quarter, we established a new position in Staples, the office
supplies company. We originally considered purchasing the stock when it traded
in the low 20s, but rejected the idea because we thought the company's
Internet strategy was costly and flawed. The stock subsequently declined to a
more reasonable valuation. In addition, the company's Internet outlook
improved and its European operations moved toward break-even. Based on these
factors, we bought the stock, and it has performed well.
We also bought oil companies Texaco and Chevron, two of the most undervalued
businesses in the sector. We added to Computer Associates on price weakness.
In our fixed income holdings, we purchased Fannie Mae benchmark notes due in
2009, which add yield to the portfolio without sacrificing credit quality or
liquidity, and increased our position in intermediate-term corporate
securities.
Outlook
Looking ahead, the volatility that has characterized the stock market in
recent months does not appear likely to abate in the near future. Our present
intention is to continue with a fairly conservative positioning of the
portfolio during the third quarter.
The views expressed herein reflect those of OpCap Advisors., the Fund's
Advisor, and do not necessarily represent the views of LSA Variable Series
Trust or the Trust's Manager, LSA Asset Management, LLC. Such views are
subject to change at any time based upon market or other conditions.
Furthermore, such views may not be relied upon as investment advice or as an
indication of any Fund's trading intent.
14
<PAGE>
Investment Growth
[Graph Appears Here]
Growth of a $10,000 Investment in Balanced Fund, the S&P 500 Index, the Merrill
Lynch Corporate Bond Index and a Composite Index
<TABLE>
<CAPTION>
Merrill Lynch
S&P 500 Balanced Corporate Bond Composite
Date Index Fund Index Index*
<S> <C> <C> <C> <C>
10/1/99 $10,000 $10,000 $10,000 $10,000
10/31/99 $10,632 $10,480 $10,079 $10,411
11/30/99 $10,848 $10,430 $10,097 $10,545
12/31/99 $11,486 $10,340 $10,089 $10,914
1/31/00 $10,909 $10,199 $10,027 $10,558
2/29/00 $10,703 $ 9,626 $10,105 $10,471
3/31/00 $11,749 $10,511 $10,217 $11,132
4/30/00 $11,396 $10,420 $10,086 $10,874
5/31/00 $11,162 $10,460 $10,035 $10,718
6/30/00 $11,437 $10,490 $10,285 $10,983
</TABLE>
* Comprised of 60% of the return of the S&P 500 Index and 40% of the return of
the Merrill Lynch Corporate Bond Index.
Total Returns
Period Ended June 30, 2000
Value of a
Year-to-Date Since Inception $10,000 Investment
1/1/00-6/30/00 10/1/99-6/30/00 as of 6/30/00
-------------------------------------------------------------------------------
Balanced Fund 1.46% 4.90% 10,490
S&P 500 Index (0.43%) 14.37% 11,437
Merrill Lynch Corporate
Bond Index 1.94% 2.85% 10,285
Composite Index* 0.63% 9.83% 10,983
* Comprised of 60% of the return of the S&P 500 Index and 40% of the return of
the Merrill Lynch Corporate Bond Index.
Past performance is not predictive of future results. Investment return and
principal value will fluctuate so that shares of the Fund, when redeemed, may
be worth more or less than original cost. Total returns do not reflect charges
incurred at the separate investment account level. The market index shown above
is unmanaged and does not incur expenses. Total returns assume reinvestment of
dividends.
15
<PAGE>
Emerging Growth Equity Fund
Advised by: RS Investment Management, L.P.
PORTFOLIO OF INVESTMENTS (Unaudited)
June 30, 2000
<TABLE>
<CAPTION>
Value
Shares (Note 1)
------ ----------
<C> <S> <C>
COMMON STOCKS - 93.0%
Advertising - 1.3%
2,600 24/7 Media, Inc.*.......................................... $ 40,625
1,200 Lamar Advertising Co.*..................................... 51,975
2,850 MyPoints.com, Inc.*........................................ 54,016
----------
146,616
----------
Apparel Retailers - 0.6%
1,800 Factory 2-U Stores, Inc.*.................................. 68,063
----------
Banking - 0.4%
1,600 Financial Federal Corp.*................................... 27,800
1,900 NextCard, Inc.*............................................ 16,150
----------
43,950
----------
Building Materials - 1.4%
400 Caprock Communications Corp.*.............................. 7,800
2,900 Cytyc Corp.*............................................... 154,788
----------
162,588
----------
Chemicals - 0.6%
2,600 SurModics, Inc.*........................................... 67,600
----------
Commercial Services - 5.8%
1,500 Aurora Biosciences Corp.*.................................. 102,281
700 Critical Path, Inc.*....................................... 40,819
3,450 Firepond, Inc.*............................................ 124,200
750 Forrester Research, Inc.*.................................. 54,609
900 Memberworks, Inc.*......................................... 30,263
3,500 Netcentives, Inc.*......................................... 65,188
2,300 On Assignment, Inc.*....................................... 70,150
3,650 Professional Detailing, Inc.*.............................. 124,328
1,300 Teletech Holdings, Inc.*................................... 40,381
----------
652,219
----------
Communications - 9.0%
3,300 American Tower Corp. - Class A*............................ 137,569
600 AudioCodes Ltd.*........................................... 72,000
300 Ciena Corp.*............................................... 50,006
1,100 Copper Mountain Networks, Inc.*............................ 96,938
1,400 Crown Castle International Corp.*.......................... 51,100
900 Ditech Communications Corp.*............................... 85,106
2,100 Echostar Communications Corp. -Class A*.................... 69,530
1,250 Efficient Networks, Inc.*.................................. 91,953
600 LifeMinders, Inc.*......................................... 17,738
4,600 McLeodUSA, Inc. - Class A*................................. 95,163
800 Metawave Communications Corp.*............................. 21,350
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 1)
------ ----------
<C> <S> <C>
Communications (Continued)
1,500 Netro Corp.*............................................... $ 86,063
600 Powerwave Technologies, Inc.*.............................. 26,400
1,100 Spectrasite Holdings, Inc.*................................ 31,213
500 Turnstone Systems, Inc.*................................... 82,836
----------
1,014,965
----------
Computer Integrated Systems Design - 2.7%
3,900 Exchange Applications, Inc.*............................... 103,838
1,400 Software.com, Inc.*........................................ 181,825
1,200 Sykes Enterprises, Inc.*................................... 15,450
----------
301,113
----------
Computer Programming Services - 9.3%
600 Business Objects SA - ADR*................................. 52,875
800 Cysive, Inc.*.............................................. 19,100
1,900 Entrust Technologies, Inc.*................................ 157,225
1,262 Kana Communications, Inc.*................................. 78,086
1,500 Macromedia, Inc.*.......................................... 145,031
1,400 Portal Software*........................................... 89,425
1,300 Primus Knowledge Solutions, Inc.*.......................... 58,500
2,200 RealNetworks, Inc.*........................................ 111,238
1,398 VeriSign, Inc.*............................................ 246,659
3,200 Viant Corp.*............................................... 94,800
----------
1,052,939
----------
Computer Related Services - 3.4%
2,000 Acxiom Corp.*.............................................. 54,500
350 Coolsavings.com, Inc.*..................................... 2,122
2,000 Espeed, Inc. - Class A*.................................... 86,875
800 Keynote Systems, Inc.*..................................... 56,450
1,800 Navisite, Inc.*............................................ 75,263
1,000 NetCreations, Inc.*........................................ 45,813
300 Register.com*.............................................. 9,169
1,150 Scient Corp.*.............................................. 50,744
----------
380,936
----------
Computer Software & Processing - 0.2%
700 Digimarc Corp.*............................................ 26,950
----------
Computers & Information - 2.3%
800 Extreme Networks, Inc.*.................................... 84,400
300 Foundry Networks, Inc.*.................................... 33,150
50 Handspring, Inc.*.......................................... 1,350
</TABLE>
The accompanying notes are an integral part of these financial statements.
16
<PAGE>
Emerging Growth Equity Fund
Advised by: RS Investment Management, L.P.
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
June 30, 2000
<TABLE>
<CAPTION>
Value
Shares (Note 1)
------ ----------
<C> <S> <C>
COMMON STOCKS (Continued)
Computers & Information (Continued)
800 Immersion Corp.*............................................ $ 24,000
2,750 Interlink Electronics, Inc.*................................ 115,156
--------
258,056
--------
Data Processing and Preparation - 3.9%
21,300 Be Free, Inc.*.............................................. 191,700
600 Bisys Group, Inc.*.......................................... 36,900
3,650 Homestore.com, Inc.*........................................ 106,534
600 Internap Network Services*.................................. 24,909
1,500 Verio, Inc.*................................................ 83,227
--------
443,270
--------
Electrical Equipment - 0.5%
1,300 Superconductor Technologies*................................ 51,106
--------
Electronics - 8.2%
500 Alpha Industries, Inc.*..................................... 22,031
300 Anaren Microwave, Inc.*..................................... 39,370
800 Applied Micro Circuits Corp.*............................... 79,000
3,400 Cobalt Networks, Inc.*...................................... 196,775
700 Cree Research, Inc.*........................................ 93,450
100 Exar Corp.*................................................. 8,719
600 Globespan, Inc.*............................................ 73,247
1,400 Integrated Device Technology, Inc.*......................... 83,825
150 Manufacturers Services Ltd.*................................ 3,084
2,700 Microsemi Corp.*............................................ 91,631
400 Next Level Communication, Inc.*............................. 34,300
600 Nvidia Corp.*............................................... 38,138
2,800 PLX Technology, Inc.*....................................... 116,200
2,100 Power Integrations, Inc.*................................... 49,481
50 Stratos Lightwave, Inc.*.................................... 1,394
--------
930,645
--------
Entertainment & Leisure - 0.7%
1,200 Macrovision Corp.*.......................................... 76,706
--------
Financial Services - 0.9%
1,200 Knight Trading Group, Inc.*................................. 35,775
2,050 Waddell & Reed Financial, Inc. -Class A.................... 67,266
--------
103,041
--------
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 1)
------ ----------
<C> <S> <C>
Health Care Providers - 0.8%
450 Community Health Systems, Inc.*........................... $ 7,284
950 Province Healthcare Co.*.................................. 34,319
2,800 Sunrise Assisted Living, Inc.*............................ 51,800
---------
93,403
---------
Information Retrieval Services - 1.0%
2,900 Psinet, Inc.*............................................. 72,863
2,300 Sportsline USA, Inc.*..................................... 39,244
---------
112,107
---------
Lodging - 0.9%
1,600 Four Seasons Hotels, Inc.................................. 99,500
---------
Media - Broadcasting & Publishing - 3.4%
1,900 Allegiance Telecom, Inc.*................................. 121,600
1,200 Citadel Communications Corp.*............................. 41,925
2,500 COX Radio, Inc. - Class A*................................ 70,000
1,200 Entercom Communications Corp.*............................ 58,500
1,600 Hispanic Broadcasting Corp.*.............................. 53,000
2,050 Spanish Broadcasting System - Class A*................... 42,153
---------
387,178
---------
Medical Supplies - 3.1%
50 Exfo Electro-Optical Engineering, Inc.*................... 2,194
2,200 LTX Corp.*................................................ 76,863
200 Molecular Devices Corp.*.................................. 13,838
300 Photon Dynamics, Inc.*.................................... 22,406
3,700 Resmed, Inc.*............................................. 98,975
400 Techne Corp.*............................................. 52,000
1,650 Thoratec Labs Corp.*...................................... 26,709
1,300 Visible Genetics, Inc.*................................... 58,663
---------
351,648
---------
Miscellaneous - 0.2%
3,300 Student Advantage, Inc.*.................................. 24,131
---------
Pharmaceuticals - 4.6%
300 Abgenix, Inc.*............................................ 35,958
600 Albany Molecular Research, Inc.*.......................... 32,663
150 Charles River Laboratories
International, Inc.*..................................... 3,328
1,400 Cubist Pharmaceuticals, Inc.*............................. 68,950
</TABLE>
The accompanying notes are an integral part of these financial statements.
17
<PAGE>
Emerging Growth Equity Fund
Advised by: RS Investment Management, L.P.
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
June 30, 2000
<TABLE>
<CAPTION>
Value
Shares (Note 1)
------ ----------
<C> <S> <C>
COMMON STOCKS (Continued)
Pharmaceuticals (Continued)
1,400 Medarex, Inc.*............................................. $ 118,300
1,000 Pharmacyclics, Inc.*....................................... 61,000
450 Praecis Pharmaceuticals, Inc.*............................. 12,544
1,100 Protein Design Labs, Inc.*................................. 181,448
---------
514,191
---------
Prepackaged Software - 19.5%
1,400 Active Software, Inc.*..................................... 108,763
650 Alteon Websystems, Inc.*................................... 65,041
800 Art Technology Group, Inc.*................................ 80,750
2,100 BEA Systems, Inc.*......................................... 103,819
2,350 Caminus Corp.*............................................. 57,575
400 Check Point Software Technologies*......................... 84,700
1,400 Digex, Inc.*............................................... 95,113
4,100 Informatica Corp.*......................................... 335,932
4,000 Informix Corp.*............................................ 29,750
1,200 Interactive Intelligence, Inc.*............................ 45,000
1,800 ISS Group, Inc.*........................................... 177,722
1,200 Mercator Software, Inc.*................................... 82,500
3,000 NETIQ Corp.*............................................... 178,875
1,500 Netopia, Inc.*............................................. 60,375
300 Ondisplay, Inc.*........................................... 24,431
1,200 Peregrine Systems, Inc.*................................... 41,625
2,600 Proxicom, Inc.*............................................ 124,475
100 Quest Software, Inc.*...................................... 5,538
3,500 Retek, Inc.*............................................... 112,000
800 SonicWall, Inc.*........................................... 70,450
1,100 Tibco Software, Inc.*...................................... 117,958
1,050 Vignette Corp.*............................................ 54,616
1,000 Vitria Technology, Inc.*................................... 61,125
1,000 WatchGuard Technologies, Inc.*............................. 54,938
200 Webmethods, Inc.*.......................................... 31,438
---------
2,204,509
---------
Real Estate - 0.8%
1,650 Pinnacle Holdings, Inc.*................................... 89,100
---------
Retailers - 0.6%
2,000 Bed Bath & Beyond, Inc.*................................... 72,500
---------
Telephone Systems - 6.4%
2,350 Digital Island, Inc.*...................................... 114,269
4,600 Dobson Communications Corp. -
Class A*.................................................. 88,550
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 1)
------ -----------
<C> <S> <C>
Telephone Systems (Continued)
2,400 DSL.Net, Inc.*............................................ $ 24,750
3,000 Electric Lightwave, Inc. - Class A*....................... 56,063
1,400 ITXC Corp.*............................................... 49,569
9,800 Metrocall, Inc.*.......................................... 88,200
2,100 Metromedia Fiber Network, Inc. -
Class A*................................................. 83,344
3,346 Nextlink Communications - Class A*........................ 126,927
1,300 Primus Telecommunications Group, Inc.*.................... 32,338
1,000 Viatel, Inc.*............................................. 28,563
1,300 Weblink Wireless, Inc.*................................... 17,225
650 West Teleservices Corp.*.................................. 16,453
-----------
726,251
-----------
Transportation - 0.5%
1,350 Forward Air Corp.*........................................ 54,000
-----------
TOTAL INVESTMENTS - 93.0%
(Cost $7,865,531)........................................ 10,509,281
Other Assets and Liabilities
(net) - 7.0% ............................................ 790,564
-----------
TOTAL NET ASSETS - 100.0%................................. $11,299,845
===========
</TABLE>
Notes to the Portfolio of Investments:
ADR - American Depository Receipt
*Non-income producing security.
The accompanying notes are an integral part of these financial statements.
18
<PAGE>
Focused Equity Fund
Advised by: Morgan Stanley Asset Management
PORTFOLIO OF INVESTMENTS (Unaudited)
June 30, 2000
<TABLE>
<CAPTION>
Value
Shares (Note 1)
------ ----------
<C> <S> <C>
COMMON STOCKS - 97.1%
Aerospace & Defense - 1.3%
1,900 General Dynamics Corp....................................... $ 99,275
----------
Apparel Retailers - 1.4%
2,800 Intimate Brands, Inc........................................ 55,300
2,700 Limited, Inc................................................ 58,388
----------
113,688
----------
Banking - 6.8%
1,700 American Express Co......................................... 88,613
4,000 Bank of New York Co., Inc................................... 186,000
2,700 Citigroup, Inc.............................................. 162,675
1,800 Fannie Mae.................................................. 93,938
----------
531,226
----------
Beverages, Food & Tobacco - 3.2%
1,100 Anheuser-Busch Cos., Inc.................................... 82,156
1,100 Quaker Oats Co.............................................. 82,638
1,900 Safeway, Inc.*.............................................. 85,738
----------
250,532
----------
Building Materials - 6.0%
6,600 Home Depot, Inc............................................. 329,588
1,400 Johnson & Johnson........................................... 142,625
----------
472,213
----------
Chemicals - 2.2%
3,300 Pharmacia Corp.............................................. 170,569
----------
Commercial Services - 0.1%
100 StorageNetworks, Inc.*...................................... 9,025
----------
Communications - 9.3%
2,100 American Tower Corp. - Class A*............................. 87,544
2,000 Crown Castle International Corp.*........................... 73,000
1,500 Lucent Technologies, Inc.................................... 88,875
5,200 Motorola, Inc............................................... 151,125
4,800 Nortel Networks Corp........................................ 327,600
----------
728,144
----------
Computer Integrated Systems Design - 1.9%
1,600 Sun Microsystems, Inc.*..................................... 145,500
----------
Computer Software & Processing - 0.1%
1,000 Genuity, Inc.*.............................................. 9,156
----------
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 1)
------ -----------
<C> <S> <C>
Computers & Information - 6.0%
6,200 Cisco Systems, Inc.*....................................... $ 394,088
600 Hewlett-Packard Co......................................... 74,925
-----------
469,013
-----------
Electrical Equipment - 0.1%
100 Capstone Turbine Corp.*.................................... 4,506
-----------
Electronics - 10.0%
2,600 Intel Corp................................................. 347,588
3,900 Maxim Integrated Products*................................. 264,956
100 Stratos Lightwave, Inc.*................................... 2,788
2,600 Texas Instruments, Inc..................................... 178,588
-----------
793,920
-----------
Entertainment & Leisure - 6.0%
10,848 AT&T - Liberty Media Group
- Class A*................................................ 263,064
2,700 Time Warner, Inc........................................... 205,200
-----------
468,264
-----------
Heavy Machinery - 7.4%
1,900 Applied Materials, Inc.*................................... 172,188
6,900 United Technologies Corp................................... 406,238
-----------
578,426
-----------
Home Construction, Furnishings & Appliances - 5.3%
7,800 General Electric Co........................................ 413,400
-----------
Industrial - Diversified - 6.7%
11,100 Tyco International Ltd..................................... 525,855
-----------
Media - Broadcasting & Publishing - 2.3%
1,200 AMFM, Inc.*................................................ 82,800
1,300 Clear Channel Communications*.............................. 97,500
-----------
180,300
-----------
Medical Supplies - 1.6%
100 Exfo Electro-Optical Engineering, Inc.*.................... 4,388
1,000 JDS Uniphase Corp.*........................................ 119,875
-----------
124,263
-----------
Pharmaceuticals - 9.9%
3,200 American Home Products Corp................................ 188,000
1,100 Merck & Co., Inc........................................... 84,288
10,900 Pfizer, Inc................................................ 523,200
-----------
795,488
-----------
</TABLE>
The accompanying notes are an integral part of these financial statements.
19
<PAGE>
Focused Equity Fund
Advised by: Morgan Stanley Asset Management
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
June 30, 2000
<TABLE>
<CAPTION>
Value
Shares (Note 1)
------ ----------
<C> <S> <C>
COMMON STOCKS (Continued)
Prepackaged Software - 4.7%
2,700 Microsoft Corp.*........................................... $ 216,000
1,800 Oracle Corp.*.............................................. 151,313
----------
367,313
----------
Telephone Systems - 4.8%
2,137 AT&T Corp.................................................. 67,583
3,000 GTE Corp................................................... 186,750
700 Sprint Corp. (FON Group)................................... 35,700
1,850 Worldcom, Inc.*............................................ 84,869
----------
374,902
----------
TOTAL INVESTMENTS - 97.1%
(Cost $6,395,847) ........................................ 7,624,978
Other Assets and Liabilities (net) - 2.9%.................. 224,699
----------
TOTAL NET ASSETS - 100.0% ................................. $7,849,677
==========
</TABLE>
Notes to the Portfolio of Investments:
*Non-income producing security.
The accompanying notes are an integral part of these financial statements.
20
<PAGE>
Growth Equity Fund
Advised by: Goldman Sachs Asset Management
PORTFOLIO OF INVESTMENTS (Unaudited)
June 30, 2000
<TABLE>
<CAPTION>
Value
Shares (Note 1)
------ ----------
<C> <S> <C>
COMMON STOCKS - 93.4%
Advertising - 0.1%
200 Doubleclick, Inc.*......................................... $ 7,625
----------
Aerospace & Defense - 0.1%
200 Honeywell International, Inc............................... 6,738
----------
Automotive - 0.7%
700 Ford Motor Co.............................................. 30,100
376 General Motors Corp........................................ 21,832
92 Visteon Corp.*............................................. 1,111
----------
53,043
----------
Banking - 6.8%
800 Bank of America Corp....................................... 34,400
500 Bank of New York Co., Inc.................................. 23,250
300 Chase Manhattan Corp....................................... 13,819
1,900 Citigroup, Inc............................................. 114,475
1,500 Fannie Mae................................................. 78,281
1,800 Freddie Mac................................................ 72,900
2,300 MBNA Corp.................................................. 62,388
800 State Street Corp.......................................... 84,850
800 Wells Fargo Co............................................. 31,000
----------
515,363
----------
Beverages, Food & Tobacco - 4.3%
1,700 Coca-Cola Co............................................... 97,644
1,500 Nabisco Group Holdings Corp................................ 38,906
1,700 Pepsico, Inc............................................... 75,544
2,200 Philip Morris Companies, Inc............................... 58,438
1,100 Ralston-Ralston Purina Group............................... 21,931
400 Wrigley (Wm.) Jr. Co....................................... 32,075
----------
324,538
----------
Building Materials - 1.7%
1,400 Home Depot, Inc............................................ 69,913
600 Johnson & Johnson.......................................... 61,125
----------
131,038
----------
Chemicals - 0.8%
600 Dow Chemical Co............................................ 18,113
900 Du Pont (E.I.) de Nemours.................................. 39,375
----------
57,488
----------
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 1)
------ ----------
<C> <S> <C> <C>
Commercial Services - 1.0%
1,900 Cendant Corp.*......................................... $ 26,600
1,200 Valassis Communications, Inc.*......................... 45,750
400 Waste Management, Inc.................................. 7,600
----------
79,950
----------
Communications - 5.2%
1,600 Crown Castle International Corp.*...................... 58,400
400 Echostar Communications Corp. -
Class A*.............................................. 13,244
1,700 Lucent Technologies, Inc............................... 100,725
690 Motorola, Inc.......................................... 20,053
200 Network Appliance, Inc.*............................... 16,100
2,200 Nortel Networks Corp................................... 150,150
640 Qualcomm, Inc.*........................................ 38,400
----------
397,072
----------
Computer Integrated Systems Design - 1.2%
1,000 Sun Microsystems, Inc.*................................ 90,938
----------
Computer Programming Services - 0.5%
215 VeriSign, Inc.*........................................ 37,948
----------
Computer Related Services - 0.2%
300 Checkfree Holdings Corp.*.............................. 15,469
----------
Computers & Information - 7.9%
4,300 Cisco Systems, Inc.*................................... 273,319
1,600 Dell Computer Corp.*................................... 78,900
1,500 EMC Corp.*............................................. 115,406
300 Hewlett-Packard Co..................................... 37,463
900 International Business Machines Corp................... 98,606
----------
603,694
----------
Cosmetics & Personal Care - 2.3%
700 Avon Products.......................................... 31,150
1,600 Colgate-Palmolive Co................................... 95,800
500 Gillette Co............................................ 17,469
600 Procter & Gamble Co.................................... 34,350
----------
178,769
----------
Data Processing and Preparation - 1.6%
600 Automatic Data Processing.............................. 32,138
1,700 First Data Corp........................................ 84,363
300 S1 Corp.*.............................................. 6,994
----------
123,495
----------
</TABLE>
The accompanying notes are an integral part of these financial statements.
21
<PAGE>
Growth Equity Fund
Advised by: Goldman Sachs Asset Management
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
June 30, 2000
<TABLE>
<CAPTION>
Value
Shares (Note 1)
------ ----------
<C> <S> <C>
COMMON STOCKS (Continued)
Electric Utilities - 1.4%
1,900 AES Corp.*................................................. $ 86,688
200 Duke Energy Corp........................................... 11,275
400 Southern Co................................................ 9,325
----------
107,288
----------
Electrical Equipment - 0.1%
100 Emerson Electric Co........................................ 6,038
----------
Electronics - 6.5%
200 Analog Devices, Inc.*...................................... 15,200
1,400 Energizer Holdings, Inc.*.................................. 25,550
40 E-Tek Dynamics, Inc.*...................................... 10,553
532 General Motors Corp. - Class H*............................ 46,683
2,100 Intel Corp................................................. 280,744
200 Maxim Integrated Products*................................. 13,588
100 PMC-Sierra, Inc.*.......................................... 17,769
1,000 Texas Instruments, Inc..................................... 68,688
200 Xilinx, Inc.*.............................................. 16,513
----------
495,288
----------
Entertainment & Leisure - 3.5%
3,200 AT&T - Liberty Media Group -
Class A*.................................................. 77,600
600 Disney (Walt) Co........................................... 23,288
2,100 Harrah's Entertainment, Inc.*.............................. 43,969
1,500 Time Warner, Inc........................................... 114,000
300 Xerox Corp................................................. 6,225
----------
265,082
----------
Financial Services - 0.9%
200 Merrill Lynch & Co......................................... 23,000
1,450 Schwab (Charles) Corp...................................... 48,756
----------
71,756
----------
Forest Products & Paper - 0.5%
500 International Paper Co..................................... 14,906
200 Kimberly-Clark Corp........................................ 11,475
300 Weyerhaeuser Co............................................ 12,900
----------
39,281
----------
Heavy Machinery - 0.6%
300 Applied Materials, Inc.*................................... 27,188
300 United Technologies Corp................................... 17,663
----------
44,851
----------
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 1)
------ ----------
<C> <S> <C> <C>
Home Construction, Furnishings &
Appliances - 4.2%
200 Gemstar International Group Ltd.*...................... $ 12,291
5,800 General Electric Co.................................... 307,400
----------
319,691
----------
Household Products - 1.1%
300 Corning, Inc........................................... 80,963
----------
Industrial - Diversified - 0.4%
600 Tyco International Ltd................................. 28,425
----------
Information Retrieval Services - 0.9%
800 America Online, Inc.*.................................. 42,200
200 Yahoo, Inc.*........................................... 24,775
----------
66,975
----------
Insurance - 2.9%
800 AMBAC Financial Group, Inc............................. 43,850
800 American International Group........................... 94,000
3,100 Metlife, Inc.*......................................... 65,294
500 Nationwide Financial Services -
Class A............................................... 16,438
----------
219,582
----------
Lodging - 1.2%
1,200 Marriott International, Inc. - Class A................. 43,275
1,500 Starwood Hotels & Resorts World........................ 48,469
----------
91,744
----------
Manufacturing - 0.6%
600 Minnesota Mining & Manufacturing Co. 49,500
----------
Media - Broadcasting & Publishing - 4.2%
400 AMFM, Inc.*............................................ 27,600
2,300 Belo (A.H.) Corp. - Series A........................... 39,819
300 Cablevision Systems Corp. - Class A*.................. 20,363
500 Comcast Corp. - Class A*............................... 20,250
400 Gannett Co., Inc....................................... 23,925
1,600 Infinity Broadasting Corp. - Class A*.................. 58,300
700 New York Times Co. - Class A........................... 27,650
400 Tribune Co............................................. 14,000
1,293 Viacom, Inc.*.......................................... 88,166
----------
320,073
----------
</TABLE>
The accompanying notes are an integral part of these financial statements.
22
<PAGE>
Growth Equity Fund
Advised by: Goldman Sachs Asset Management
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
June 30, 2000
<TABLE>
<CAPTION>
Value
Shares (Note 1)
------ ----------
<C> <S> <C>
COMMON STOCKS (Continued)
Medical Supplies - 0.3%
114 Agilent Technologies, Inc.*................................ $ 8,408
100 JDS Uniphase Corp.*........................................ 11,988
----------
20,396
----------
Metals - 0.2%
600 Alcoa, Inc................................................. 17,400
----------
Oil & Gas - 5.6%
400 Chevron Corp............................................... 33,925
400 Enron Corp................................................. 25,800
2,160 Exxon Mobil Corp........................................... 169,560
1,400 Royal Dutch Petroleum Co................................... 86,188
1,200 Schlumberger Ltd........................................... 89,550
300 Texaco, Inc................................................ 15,975
300 Unocal Corp................................................ 9,938
----------
430,936
----------
Pharmaceuticals - 8.9%
700 American Home Products Corp................................ 41,125
600 Amgen, Inc.*............................................... 42,150
2,800 Bristol-Myers Squibb Co.................................... 163,100
700 Lilly (Eli) & Co........................................... 69,913
900 Merck & Co., Inc........................................... 68,963
5,225 Pfizer, Inc................................................ 250,800
900 Schering-Plough Corp....................................... 45,450
----------
681,501
----------
Prepackaged Software - 5.9%
100 E.piphany, Inc.*........................................... 10,719
3,300 Microsoft Corp.*........................................... 264,000
1,800 Oracle Corp.*.............................................. 151,313
200 Veritas Software Corp.*.................................... 22,603
----------
448,635
----------
Restaurants - 0.7%
1,700 McDonald's Corp............................................ 55,994
----------
Retailers - 3.4%
400 CVS Corp................................................... 16,000
400 RadioShack Corp............................................ 18,950
2,100 Walgreen Co................................................ 67,594
2,700 Wal-Mart Stores, Inc....................................... 155,588
----------
258,132
----------
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 1)
------ ----------
<C> <S> <C>
Telephone Systems - 5.0%
1,140 AT&T Corp.................................................. $ 36,053
1,200 GTE Corp................................................... 74,700
2,000 SBC Communications, Inc.................................... 86,500
800 Sprint Corp. (FON Group)................................... 40,800
700 Sprint Corp. (PCS Group)*.................................. 41,650
600 Vodafone AirTouch Plc - ADR................................ 24,863
1,700 Worldcom, Inc.*............................................ 77,988
----------
382,554
----------
TOTAL COMMON STOCKS
(Cost $6,207,004).......................................... 7,125,253
----------
2,308 S&P 500 Depositary Receipt
(Cost $330,639) ........................................... 335,290
----------
TOTAL INVESTMENTS - 97.8%
(Cost $6,537,643) ......................................... 7,460,543
Other Assets and Liabilities (net) -
2.2% ...................................................... 169,633
----------
TOTAL NET ASSETS - 100.0% ................................. $7,630,176
==========
</TABLE>
Notes to the Portfolio of Investments:
ADR - American Depository Receipt
* Non-income producing security.
The accompanying notes are an integral part of these financial statements.
23
<PAGE>
Disciplined Equity Fund
Advised by: J.P. Morgan Investment Management Inc.
PORTFOLIO OF INVESTMENTS (Unaudited)
June 30, 2000
<TABLE>
<CAPTION>
Value
Shares (Note 1)
------ ----------
<C> <S> <C>
COMMON STOCKS - 98.7%
Advertising - 0.1%
200 Doubleclick, Inc.*........................................ $ 7,625
----------
Aerospace & Defense - 0.7%
300 Boeing Co................................................. 12,544
200 Goodrich (B.F.) Co........................................ 6,813
2,100 Honeywell International, Inc.............................. 70,744
----------
90,101
----------
Airlines - 0.1%
200 AMR Corp.*................................................ 5,288
100 Northwest Airlines Corp.*................................. 3,044
500 Southwest Airlines........................................ 9,469
----------
17,801
----------
Apparel Retailers - 0.7%
2,000 Gap, Inc.................................................. 62,500
800 Limited, Inc.............................................. 17,300
300 Nordstrom, Inc............................................ 7,238
----------
87,038
----------
Automotive - 1.9%
500 Dana Corp................................................. 10,594
1,100 Delphi Automotive Systems................................. 16,019
2,400 Ford Motor Co............................................. 103,200
1,000 General Motors Corp....................................... 58,063
500 Goodyear Tire & Rubber Co................................. 10,000
300 ITT Industries, Inc....................................... 9,113
200 Paccar, Inc............................................... 7,938
300 Rockwell International Corp............................... 9,450
314 Visteon Corp.*............................................ 3,810
----------
228,187
----------
Banking - 6.9%
100 Associated Banc-Corp...................................... 2,181
1,300 Associates First Capital Corp. - Class A.................. 29,006
700 Bank One Corp............................................. 18,594
100 Banknorth Group, Inc...................................... 1,531
400 Charter One Financial, Inc................................ 9,200
4,200 Citigroup, Inc............................................ 253,050
300 Comerica, Inc............................................. 13,463
500 C.I.T. Group, Inc. - Class A.............................. 8,125
400 Dime Bancorp, Inc......................................... 6,300
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 1)
------ ----------
<C> <S> <C>
Banking (Continued)
1,900 Fannie Mae................................................ $ 99,156
300 First Tennessee National Corp............................. 4,969
2,200 First Union Corp.......................................... 54,588
800 Firstar Corp.............................................. 16,850
200 FirstMerit Corp........................................... 4,275
500 Fleet Boston Corp......................................... 17,000
1,300 Freddie Mac............................................... 52,650
300 Golden West Financial Corp................................ 12,244
200 Greenpoint Financial Corp................................. 3,750
400 Hibernia Corp. - Class A.................................. 4,350
900 Household International, Inc.............................. 37,406
1,000 Keycorp................................................... 17,625
200 Marshall & Ilsley Corp.................................... 8,300
200 Mercantile Bankshares Corp................................ 5,963
300 North Fork Bancorporation................................. 4,538
700 PNC Bank Corp............................................. 32,813
300 Providian Financial Corp.................................. 27,000
500 Regions Financial Corp.................................... 9,938
300 Southtrust Corp........................................... 6,788
300 Summit Bancorp............................................ 7,388
200 TCF Financial Corp........................................ 5,138
1,400 U.S. Bancorp.............................................. 26,950
1,000 Washington Mutual, Inc.................................... 28,875
----------
830,004
----------
Beverages, Food & Tobacco - 4.1%
500 Bestfoods................................................. 34,625
1,300 Coca-Cola Co.............................................. 74,669
500 General Mills, Inc........................................ 19,125
700 Heinz (H.J.) Co........................................... 30,625
100 Kellogg Co................................................ 2,975
5,500 Philip Morris Companies, Inc.............................. 146,094
300 Quaker Oats Co............................................ 22,538
100 Ralston-Ralston Purina Group.............................. 1,994
2,000 Seagram Co. Ltd........................................... 116,000
900 Unilever N.V.............................................. 38,700
----------
487,345
----------
Building Materials - 1.2%
1,600 Home Depot, Inc........................................... 79,900
300 Johnson & Johnson......................................... 30,563
</TABLE>
The accompanying notes are an integral part of these financial statements.
24
<PAGE>
Disciplined Equity Fund
Advised by: J.P. Morgan Investment Management Inc.
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
June 30, 2000
<TABLE>
<CAPTION>
Value
Shares (Note 1)
------ ----------
<C> <S> <C>
COMMON STOCKS (Continued)
Building Materials (Continued)
700 Lowe's Cos................................................. $ 28,744
100 USG Corp................................................... 3,038
----------
142,245
----------
Chemicals - 1.6%
1,000 Air Products & Chemicals, Inc.............................. 30,813
2,200 Pharmacia Corp............................................. 113,713
600 PPG Industries, Inc........................................ 26,588
500 Praxair, Inc............................................... 18,719
----------
189,833
----------
Commercial Services - 0.4%
3,400 Cendant Corp.*............................................. 47,600
----------
Communications - 4.8%
1,400 Lucent Technologies, Inc................................... 82,950
3,300 Motorola, Inc.............................................. 95,906
4,800 Nortel Networks Corp....................................... 327,600
400 Qualcomm, Inc.*............................................ 24,000
700 Tellabs, Inc.*............................................. 47,906
----------
578,362
----------
Computer Integrated Systems Design - 2.0%
2,700 Sun Microsystems, Inc.*.................................... 245,531
----------
Computer Software & Processing - 0.1%
400 Electronic Data Systems Corp............................... 16,500
----------
Computers & Information - 8.3%
400 Apple Computer, Inc.*...................................... 20,950
8,500 Cisco Systems, Inc.*....................................... 540,281
1,200 Compaq Computer Corp....................................... 30,675
2,300 Dell Computer Corp.*....................................... 113,419
600 EMC Corp.*................................................. 46,163
900 Hewlett-Packard Co......................................... 112,388
700 International Business Machines Corp....................... 76,694
200 Lexmark International Group, Inc. - Class A*............... 13,450
200 Quantum Corp. - DLT & Storage Systems*..................... 1,938
700 Seagate Technology, Inc.*.................................. 38,500
----------
994,458
----------
</TABLE>
<TABLE>
<CAPTION>
Shares Value
------ (Note 1)
----------
<C> <S>
Cosmetics & Personal <C>
Care - 2.0%
500 Clorox Co.................................................. $ 22,406
200 Estee Lauder Cos.,
Inc. - Class A............................................ 9,888
1,700 Gillette Co................................................ 59,394
2,700 Procter & Gamble Co........................................ 154,575
----------
246,263
----------
Data Processing and Preparation -
0.1%
200 Automatic Data
Processing................................................ 10,713
----------
Electric Utilities -
1.7%
200 Allegheny Energy, Inc...................................... 5,475
300 American Electric
Power..................................................... 8,888
700 CP&L Energy, Inc........................................... 22,356
400 Cinergy Corp............................................... 10,175
300 CMS Energy Corp............................................ 6,638
300 Consolidated Edison,
Inc....................................................... 8,888
400 DTE Energy Co.............................................. 12,225
700 Edison International....................................... 14,350
500 Entergy Corp............................................... 13,594
200 FPL Group, Inc............................................. 9,900
300 GPU, Inc................................................... 8,119
300 NiSource, Inc.............................................. 5,588
400 Northern States Power
Co........................................................ 8,075
1,000 PG&E Corp.................................................. 24,625
200 Pinnacle West Capital
Corp...................................................... 6,775
400 PPL Corp................................................... 8,775
700 TXU Corp................................................... 20,650
300 Wisconsin Energy Corp...................................... 5,944
----------
201,040
----------
Electronics - 6.6%
200 Advanced Micro
Devices*.................................................. 15,450
4,100 Intel Corp................................................. 548,105
100 Lattice Semiconductor
Corp.*.................................................... 6,913
300 National Semiconductor
Corp.*.................................................... 17,025
3,000 Texas Instruments,
Inc....................................................... 206,063
----------
793,556
----------
Entertainment &
Leisure - 1.7%
600 AT&T - Liberty Media
Group - Class A*.......................................... 14,550
800 Eastman Kodak Co........................................... 47,600
400 Hasbro, Inc................................................ 6,025
1,100 Mattel, Inc................................................ 14,506
1,600 Time Warner, Inc........................................... 121,600
----------
204,281
----------
</TABLE>
The accompanying notes are an integral part of these financial statements.
25
<PAGE>
Disciplined Equity Fund
Advised by: J.P. Morgan Investment Management Inc.
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
June 30, 2000
<TABLE>
<CAPTION>
Value
Shares (Note 1)
------ ----------
<C> <S> <C>
COMMON STOCKS (Continued)
Financial Services - 3.5%
400 Ameritrade Holding Corp. - Class A*........................ $ 4,650
200 Bear Stearns Companies, Inc................................ 8,325
200 Countrywide Credit IND, Inc................................ 6,063
100 Edwards (A.G.), Inc........................................ 3,900
600 E*trade Group, Inc.*....................................... 9,900
500 Franklin Resources, Inc.................................... 15,188
900 Goldman Sachs Group, Inc................................... 85,388
200 Lehman Brothers Holdings, Inc.............................. 18,913
800 Merrill Lynch & Co......................................... 92,000
700 Morgan Stanley Dean Witter & Co............................ 58,275
300 Paine Webber Group, Inc.................................... 13,650
2,900 Schwab (Charles) Corp...................................... 97,513
600 TD Waterhouse Group*....................................... 10,388
---------
424,153
---------
Food Retailers - 0.5%
400 Albertson's, Inc........................................... 13,300
1,900 Kroger Co.*................................................ 41,919
---------
55,219
---------
Forest Products & Paper - 0.8%
600 Fort James Corp............................................ 13,875
400 Georgia-Pacific Group...................................... 10,500
1,000 International Paper Co..................................... 29,813
500 Kimberly-Clark Corp........................................ 28,688
600 Smurfit-Stone Container Corp.*............................. 7,725
100 Temple-Inland, Inc......................................... 4,200
---------
94,801
---------
Health Care Providers - 0.6%
1,100 HCA - The Healthcare Company............................... 33,413
100 Human Genome Sciences, Inc.*............................... 13,338
900 Tenet Healthcare Corp.*.................................... 24,300
---------
71,051
---------
Heavy Machinery - 1.6%
1,300 Applied Materials, Inc.*................................... 117,813
400 Baker Hughes, Inc.......................................... 12,800
600 Caterpillar, Inc........................................... 20,325
100 Cooper Cameron Corp.*...................................... 6,600
500 Ingersoll-Rand Co.......................................... 20,125
400 Parker Hannifin Corp....................................... 13,700
---------
191,363
---------
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 1)
------ ----------
<C> <S> <C>
Home Construction, Furnishings & Appliances - 4.2%
9,300 General Electric Co........................................ $ 492,900
200 Johnson Controls, Inc...................................... 10,263
----------
503,163
----------
Household Products - 0.5%
100 Corning, Inc............................................... 26,988
900 Rohm & Haas Co............................................. 31,050
----------
58,038
----------
Industrial - Diversified - 1.3%
3,400 Tyco International Ltd..................................... 161,075
----------
Information Retrieval Services - 1.8%
3,300 America Online, Inc.*...................................... 174,075
300 Yahoo, Inc.*............................................... 37,163
----------
211,238
----------
Insurance - 3.3%
400 Aetna, Inc................................................. 25,675
2,900 Allstate Corp.............................................. 64,525
300 AMBAC Financial Group, Inc................................. 16,444
400 American International Group............................... 47,000
400 AON Corp................................................... 12,425
300 AXA Financial, Inc......................................... 10,200
400 Cigna Corp................................................. 37,400
600 Hartford Financial Services Group.......................... 33,563
1,200 John Hancock Financial Services*........................... 28,425
700 Lincoln National Corp...................................... 25,288
400 MBIA, Inc.................................................. 19,275
2,400 Metlife, Inc.*............................................. 50,550
500 Torchmark Corp............................................. 12,344
200 Wellpoint Health Networks*................................. 14,488
----------
397,602
----------
Lodging - 0.4%
400 Mandalay Resort Group*..................................... 8,000
500 Marriott International, Inc. - Class A..................... 18,031
500 Starwood Hotels & Resorts World............................ 16,156
----------
42,187
----------
Media-Broadcasting & Publishing - 1.1%
200 Allegiance Telecom, Inc.*.................................. 12,800
1,200 Comcast Corp. - Class A*................................... 48,600
</TABLE>
The accompanying notes are an integral part of these financial statements.
26
<PAGE>
Disciplined Equity Fund
Advised by: J.P. Morgan Investment Management Inc.
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
June 30, 2000
<TABLE>
<CAPTION>
Value
Shares (Note 1)
------ ----------
<C> <S> <C>
COMMON STOCKS (Continued)
Media-Broadcasting & Publishing (Continued)
400 Fox Entertainment Group, Inc. - Class A*................... $ 12,150
700 Gannett Co., Inc........................................... 41,869
100 Knight Ridder, Inc......................................... 5,319
200 New York Times Co. - Class A............................... 7,900
----------
128,638
----------
Medical Supplies - 1.2%
419 Agilent Technologies, Inc.*................................ 30,901
100 Bard (C.R.), Inc........................................... 4,813
700 Becton Dickinson & Co...................................... 20,081
700 Boston Scientific Corp.*................................... 15,356
300 Eaton Corp................................................. 20,100
800 Medtronics, Inc............................................ 39,850
200 St. Jude Medical, Inc.*.................................... 9,175
----------
140,276
----------
Metals - 1.0%
200 Alcan Aluminum Ltd......................................... 6,200
2,600 Alcoa, Inc................................................. 75,400
200 Allegheny Technologies, Inc................................ 3,600
300 Cooper Industries, Inc..................................... 9,769
800 Lockheed Martin Corp....................................... 19,850
100 Phelps Dodge Corp.......................................... 3,719
----------
118,538
----------
Oil & Gas - 5.9%
100 Apache Corp................................................ 5,881
800 Chevron Corp............................................... 67,850
700 Conoco, Inc. - Class B..................................... 17,194
100 Devon Energy Corp.......................................... 5,619
200 Dynegy, Inc. - Class A..................................... 13,663
300 El Paso Energy Corp........................................ 15,281
200 Ensco International, Inc................................... 7,163
4,200 Exxon Mobil Corp........................................... 329,700
300 Global Marine, Inc.*....................................... 8,456
2,600 Royal Dutch Petroleum Co................................... 160,063
700 Texaco, Inc................................................ 37,275
700 Union Pacific Resources Group.............................. 15,400
500 Williams Cos., Inc......................................... 20,844
----------
704,389
----------
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 1)
------ ----------
<C> <S> <C>
Pharmaceuticals - 8.4%
1,600 Abbott Laboratories........................................ $ 71,300
100 Alza Corp.*................................................ 5,913
2,300 American Home Products Corp................................ 135,125
3,100 Bristol-Myers Squibb Co.................................... 180,575
600 Forest Laboratories - Class A*............................. 60,600
200 Genzyme Corp.*............................................. 11,888
1,900 Lilly (Eli) & Co........................................... 189,763
1,400 Merck & Co., Inc........................................... 107,275
3,300 Pfizer, Inc................................................ 158,400
2,000 Schering-Plough Corp....................................... 101,000
100 Watson Pharmaceutical, Inc.*............................... 5,375
----------
1,027,214
----------
Prepackaged Software - 7.0%
200 Adobe Systems, Inc......................................... 26,000
400 BMC Software, Inc.*........................................ 14,594
300 Citrix Systems, Inc.*...................................... 5,681
1,100 Computer Associates International, Inc..................... 56,306
6,700 Microsoft Corp.*........................................... 536,000
200 Network Associates, Inc.*.................................. 4,075
1,200 Oracle Corp.*.............................................. 100,875
300 Siebel Systems, Inc.*...................................... 49,069
100 Symantec Corp.*............................................ 5,394
200 Tibco Software, Inc.*...................................... 21,447
200 Veritas Software Corp.*.................................... 22,603
----------
842,044
----------
Restaurants - 0.2%
700 McDonald's Corp............................................ 23,056
----------
Retailers - 3.5%
600 Federated Department Stores*............................... 20,250
800 MAY Department Stores Co................................... 19,200
500 Penney (J.C.) Co., Inc..................................... 9,219
700 Sears, Roebuck & Co........................................ 22,838
1,000 Target Corp................................................ 58,000
900 TJX Companies, Inc......................................... 16,875
4,700 Wal-Mart Stores, Inc....................................... 270,838
----------
417,220
----------
</TABLE>
The accompanying notes are an integral part of these financial statements.
27
<PAGE>
Disciplined Equity Fund
Advised by: J.P. Morgan Investment Management Inc.
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
June 30, 2000
<TABLE>
<CAPTION>
Value
Shares (Note 1)
------ -----------
<C> <S> <C>
COMMON STOCKS (Continued)
Telephone Systems - 6.3%
100 Alltel Corp............................................... $ 6,194
3,715 AT&T Corp................................................. 117,487
1,200 Bell Atlantic Corp........................................ 60,975
1,500 Global Crossing Ltd.*..................................... 39,469
1,700 GTE Corp.................................................. 105,825
4,400 SBC Communications, Inc................................... 190,300
200 Sprint Corp. (PCS Group)*................................. 11,900
400 US West, Inc.............................................. 34,300
4,200 Worldcom, Inc.*........................................... 192,675
-----------
759,125
-----------
Textiles, Clothing & Fabrics - 0.1%
400 Jones Apparel Group, Inc.*................................ 9,400
-----------
Transportation - 0.5%
1,300 Burlington Northern Santa Fe Co........................... 29,819
300 CSX Corp.................................................. 6,356
500 Norfolk Southern Corp..................................... 7,438
600 Union Pacific Corp........................................ 22,313
-----------
65,926
-----------
TOTAL INVESTMENTS - 98.7%
(Cost $11,177,897)....................................... $11,864,180
Other Assets and Liabilities
(net) - 1.3%............................................ 161,459
-----------
TOTAL NET ASSETS - 100.0% ................................ $12,025,639
===========
</TABLE>
Notes to the Portfolio of Investments:
*Non-income producing security.
The accompanying notes are an integral part of these financial statements.
28
<PAGE>
Value Equity Fund
Advised by: Salomon Brothers Asset Management Inc
PORTFOLIO OF INVESTMENTS (Unaudited)
June 30, 2000
<TABLE>
<CAPTION>
Value
Shares (Note 1)
------ ----------
<C> <S> <C>
COMMON STOCKS - 94.7%
Aerospace & Defense - 1.6%
3,200 Honeywell International, Inc.............................. $107,800
--------
Banking - 13.6%
1,200 American Express Co....................................... 62,550
2,900 Associates First Capital Corp. - Class A.................. 64,706
3,200 Bank of New York Co., Inc................................. 148,800
2,300 Chase Manhattan Corp...................................... 105,944
1,500 Comerica, Inc............................................. 67,313
2,700 Fleet Boston Corp. ....................................... 91,800
1,500 Freddie Mac............................................... 60,750
3,100 Household International, Inc.............................. 128,844
3,200 MBNA Corp................................................. 86,800
1,500 U.S. Bancorp.............................................. 28,875
3,300 Washington Mutual, Inc.................................... 95,288
--------
941,670
--------
Beverages, Food & Tobacco - 14.1%
4,300 Coca-Cola Enterprises..................................... 70,144
6,900 Nabisco Group Holdings Corp. ............................. 178,961
5,400 Pepsi Bottling Group, Inc................................. 157,613
1,800 Pepsico, Inc.............................................. 79,988
4,500 Philip Morris Companies, Inc.............................. 119,531
4,500 Ralston-Ralston Purina Group.............................. 89,719
3,000 RJ Reynolds Tobacco Holdings, Inc. ... 83,813
3,300 Safeway, Inc.*............................................ 148,913
5,200 Tyson Foods, Inc. - Class A............................... 45,500
--------
974,182
--------
Chemicals - 2.1%
2,800 Pharmacia Corp............................................ 144,725
--------
Communications - 2.9%
1,200 Alcatel SA - ADR.......................................... 79,800
1,500 Motorola, Inc............................................. 43,594
1,100 Tellabs, Inc.*............................................ 75,281
--------
198,675
--------
Computer Integrated Systems
Design - 2.1%
2,500 3 Com Corp.*.............................................. 144,063
--------
Computers & Information - 6.3%
4,900 Compaq Computer Corp. .................................... 125,256
700 Hewlett-Packard Co........................................ 87,413
1,400 International Business Machines Corp...................... 153,388
1,300 Seagate Technology, Inc.*................................. 71,500
--------
437,557
--------
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 1)
------ ----------
<C> <S> <C>
Electronics - 5.0%
400 General Motors Corp. - Class H*............................ $ 35,100
600 Intel Corp. ............................................... 80,213
900 Micron Technology, Inc.*................................... 79,256
2,700 National Semiconductor Corp.*.............................. 153,225
--------
347,794
--------
Entertainment & Leisure - 2.6%
2,700 AT&T - Liberty Media Group -
Class A*.................................................. 65,475
2,400 News Corp. Ltd. - ADR...................................... 114,000
--------
179,475
--------
Financial Services - 1.9%
1,200 Equity Office Properties Trust............................. 33,075
1,200 Morgan Stanley Dean Witter & Co............................ 99,900
--------
132,975
--------
Food Retailers - 0.9%
800 Albertson's, Inc........................................... 26,600
600 Delhaize America, Inc. - Class A........................... 10,613
1,800 Delhaize America, Inc. - Class B........................... 27,675
--------
64,888
--------
Forest Products & Paper - 2.7%
3,000 International Paper Co..................................... 89,438
1,700 Kimberly-Clark Corp........................................ 97,538
--------
186,976
--------
Heavy Machinery - 2.0%
800 Applied Materials, Inc.*................................... 72,500
1,600 Ingersoll-Rand Co. ........................................ 64,400
--------
136,900
--------
Household Products - 0.8%
200 Corning, Inc. ............................................. 53,975
--------
Insurance - 0.8%
900 American General Corp...................................... 54,900
--------
Metals - 1.3%
3,100 Alcoa, Inc................................................. 89,900
--------
Oil & Gas - 9.8%
1,200 Amerada Hess Corp.......................................... 74,100
2,400 Burlington Resources, Inc.................................. 91,800
1,400 Coastal Corp. ............................................. 85,225
3,800 Conoco, Inc. - Class A..................................... 83,600
</TABLE>
The accompanying notes are an integral part of these financial statements.
29
<PAGE>
Value Equity Fund
Advised by: Salomon Brothers Asset Management Inc
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
June 30, 2000
<TABLE>
<CAPTION>
Value
Shares (Note 1)
------ ----------
<S> <C> <C>
COMMON STOCKS (Continued)
Oil & Gas (Continued)
1,700 Royal Dutch Petroleum Co................. $ 104,656
1,500 Total Fina SA - ADR...................... 115,219
1,300 USX-Marathon Group, Inc.................. 32,581
2,100 Williams Cos., Inc. ..................... 87,544
----------
674,725
----------
Pharmaceuticals - 7.1%
1,800 Abbott Laboratories...................... 80,213
1,500 American Home Products Corp.............. 88,125
800 Lilly (Eli) & Co......................... 79,900
1,600 Merck & Co., Inc......................... 122,600
1,800 Novartis AG - ADR........................ 72,000
900 Schering-Plough Corp..................... 45,450
----------
488,288
----------
Prepackaged Software - 1.1%
1,500 Computer Associates International, Inc... 76,781
----------
Restaurants - 0.8%
1,600 McDonald's Corp.......................... 52,700
----------
Retailers - 4.8%
4,000 Costco Wholesale Corp.*.................. 132,000
3,000 Federated Department Stores*............. 101,250
1,700 Target Corp. ............................ 98,600
----------
331,850
----------
Telephone Systems - 8.5%
1,200 Alltel Corp. ............................ 74,325
2,300 Bell Atlantic Corp. ..................... 116,869
1,900 GTE Corp. ............................... 118,275
3,400 SBC Communications, Inc. ................ 147,050
2,800 Worldcom, Inc.*.......................... 128,450
----------
584,969
----------
Transportation - 1.9%
2,400 Canadian National Railway Co............. 70,050
2,200 Canadian Pacific Ltd. ................... 57,613
----------
127,663
----------
TOTAL COMMON STOCKS
(Cost $5,994,705) ...................... $6,533,431
----------
</TABLE>
<TABLE>
<CAPTION>
Par Value
Value (Note 1)
----- ----------
<C> <S> <C>
DEBT OBLIGATIONS - 0.3%
Convertible Debt - 0.3%
$25,000 NTL, Inc., 5.75%, due 12/15/2009 144A $ 19,750
----------
TOTAL DEBT OBLIGATIONS
(Cost $25,000) ......................................... $ 19,750
----------
TOTAL INVESTMENTS - 95.0%
(Cost $6,019,705)....................................... 6,553,181
Other Assets and Liabilities
(net) - 5.0%............................................ 347,297
----------
TOTAL NET ASSETS - 100.0%................................ $6,900,478
==========
</TABLE>
Notes to the Portfolio of Investments:
*Non-income producing security.
ADR - American Depository Receipt
144A - Securities exempt from registration under Rule 144A of the
Securities Act of 1933. These securities may be resold in transactions
exempt from registration, normally to qualified institutional buyers.
The accompanying notes are an integral part of these financial statements.
30
<PAGE>
Balanced Fund
Advised by: OpCap Advisors
PORTFOLIO OF INVESTMENTS (Unaudited)
June 30, 2000
<TABLE>
<CAPTION>
Value
Shares (Note 1)
------ ----------
<C> <S> <C>
COMMON STOCKS - 53.9%
Airlines - 1.0%
2,400 AMR Corp.*.................................................. $ 63,450
--------
Banking - 10.5%
8,000 Fleet Boston Corp........................................... 272,000
8,500 Freddie Mac................................................. 344,250
800 Household International, Inc................................ 33,250
--------
649,500
--------
Chemicals - 2.9%
1,000 Du Pont (E.I.) de Nemours................................... 43,750
2,600 Pharmacia Corp.............................................. 134,388
--------
178,138
--------
Communications - 1.1%
2,400 Motorola, Inc............................................... 69,750
--------
Computers & Information - 1.4%
2,100 Solectron Corp.*............................................ 87,938
--------
Financial Services - 0.7%
1,500 Countrywide Credit Industries, Inc.......................... 45,469
--------
Food Retailers - 7.0%
19,650 Kroger Co.*................................................. 433,528
--------
Insurance - 2.9%
3,700 Conseco, Inc................................................ 36,075
6,000 John Hancock Financial Services*............................ 142,125
--------
178,200
--------
Metals - 0.6%
3,700 Freeport-McMoran Copper & Gold, Inc. - Class B*............ 34,225
--------
Oil & Gas - 3.0%
1,550 Chevron Corp................................................ 131,459
1,000 Texaco, Inc................................................. 53,250
--------
184,709
--------
Pharmaceuticals - 0.8%
800 American Home Products Corp................................. 47,000
--------
Prepackaged Software - 5.1%
5,700 Computer Associates International, Inc...................... 291,769
2,150 Compuware Corp.*............................................ 22,306
--------
314,075
--------
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 1)
------ ----------
<C> <S> <C>
Restaurants - 2.8%
5,200 McDonald's Corp. ........................................ $ 171,275
----------
Retailers - 5.4%
6,400 CVS Corp................................................. 256,000
5,200 Staples, Inc.*........................................... 79,950
----------
335,950
----------
Telephone Systems - 5.8%
2,700 Bell Atlantic Corp....................................... 137,194
900 Sprint Corp. (FON Group)................................. 45,900
3,900 Worldcom, Inc.*.......................................... 178,913
----------
362,007
----------
Transportation - 2.9%
5,100 Canadian Pacific Ltd..................................... 133,556
1,689 Sabre Holdings Corp.*.................................... 48,137
----------
181,693
----------
TOTAL COMMON STOCKS
(Cost $3,355,478)....................................... $3,336,907
----------
CONVERTIBLE PREFERRED STOCKS - 0.3%
Freeport-McMoran Copper &
1,300 Gold, Inc., Step Up, 7.00%
(Cost $18,766).......................................... $ 17,306
----------
<CAPTION>
Par Value
---------
<C> <S> <C>
DEBT OBLIGATIONS - 33.1%
Corporate Debt - 13.3%
$275,000 Conseco Finance Trust III, 8.796%,
due 04/01/2027.......................................... $ 116,875
200,000 Delta Airlines, 7.70%,
due 12/15/2005.......................................... 192,898
200,000 Electronic Data Systems Corp., 6.85%,
due 12/15/2004.......................................... 197,448
125,000 Tenet Healthcare Corp., 8.00%,
due 1/15/2005........................................... 120,625
200,000 Textron Financial Corp., 7.125%,
due 12/09/2004.......................................... 198,179
----------
826,025
----------
</TABLE>
The accompanying notes are an integral part of these financial statements.
31
<PAGE>
Balanced Fund
Advised by: OpCap Advisors
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
June 30, 2000
<TABLE>
<CAPTION>
Value
Par Value (Note 1)
--------- ----------
<S> <C> <C>
DEBT OBLIGATIONS (Continued)
U.S. Government - 17.7%
$ 50,000 US Treasury Note, 6.75%,
due 5/15/2005....................... $ 51,180
1,041,300 U.S. Treasury Inflation Indexed Note,
3.875%, due 4/15/2029............... 1,038,612
----------
1,089,792
----------
U.S. Government Agency -- 2.1%
150,000 Fannie Mae, 5.25%,
due 1/15/2009....................... 131,977
----------
TOTAL DEBT OBLIGATIONS
(Cost $2,122,859)................... $2,047,794
----------
TOTAL INVESTMENTS - 87.3%
(Cost $5,497,103)................... 5,402,007
Other Assets and Liabilities
(net) - 12.7%....................... 787,342
----------
TOTAL NET ASSETS - 100.0%............ $6,189,349
==========
</TABLE>
Notes to the Portfolio of Investments:
*Non-income producing security.
The accompanying notes are an integral part of these financial statements.
32
<PAGE>
[THIS PAGE INTENTIONALLY LEFT BLANK]
33
<PAGE>
LSA Variable Series Trust
STATEMENTS OF ASSETS AND LIABILITIES (Unaudited)
June 30, 2000
<TABLE>
<CAPTION>
Emerging Focused Growth Value
Growth Equity Equity Disciplined Equity Balanced
Equity Fund Fund Fund Equity Fund Fund Fund
----------- ---------- ---------- ----------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C>
Assets:
Investments, at value
(Note 1)*............. $10,509,281 $7,624,978 $7,460,543 $11,864,180 $6,553,181 $5,402,007
Cash................... 768,459 284,278 393,548 78,300 389,074 764,793
Receivable from:
Securities sold...... 64,765 10,568 123,154 127,509 -- 21,819
Dividends and
interest............ 2,943 4,856 51,350 76,132 16,503 37,044
Manager (Note 2)..... 15,442 14,342 13,950 14,547 14,135 13,719
Prepaid insurance...... 1,000 1,000 1,000 1,000 1,000 1,000
----------- ---------- ---------- ----------- ---------- ----------
Total assets....... 11,361,890 7,940,022 8,043,545 12,161,668 6,973,893 6,240,382
----------- ---------- ---------- ----------- ---------- ----------
Liabilities:
Payable for:
Securities
purchased........... 1,300 36,676 359,408 76,265 18,333 --
Accrued expenses:
Management fees (Note
2).................. 8,806 5,969 5,132 7,316 4,470 3,954
Other................ 51,939 47,700 48,829 52,448 50,612 47,079
----------- ---------- ---------- ----------- ---------- ----------
Total liabilities.. 62,045 90,345 413,369 136,029 73,415 51,033
----------- ---------- ---------- ----------- ---------- ----------
Net assets.............. $11,299,845 $7,849,677 $7,630,176 $12,025,639 $6,900,478 $6,189,349
=========== ========== ========== =========== ========== ==========
Net assets consist of:
Paid-in capital........ $ 6,969,897 $6,380,129 $6,406,062 $11,030,356 $5,996,575 $5,949,575
Undistributed net
investment income
(distributions in
excess of net
investment income).... (50,230) (17,923) 39,169 81,909 24,664 85,660
Accumulated net
realized gain on
investments and
written options....... 1,736,428 258,340 262,045 227,091 345,763 249,210
Net unrealized
appreciation
(depreciation) on
investments........... 2,643,750 1,229,131 922,900 686,283 533,476 (95,096)
----------- ---------- ---------- ----------- ---------- ----------
Net assets.............. $11,299,845 $7,849,677 $7,630,176 $12,025,639 $6,900,478 $6,189,349
=========== ========== ========== =========== ========== ==========
Shares outstanding...... 614,329 612,309 618,928 1,094,452 589,359 593,260
=========== ========== ========== =========== ========== ==========
Net asset value,
offering price and
redemption price per
share.................. $ 18.39 $ 12.82 $ 12.33 $ 10.99 $ 11.71 $ 10.43
=========== ========== ========== =========== ========== ==========
* Cost of investments... $ 7,865,531 $6,395,847 $6,537,643 $11,177,897 $6,019,705 $5,497,103
</TABLE>
The accompanying notes are an integral part of these financial statements.
34
<PAGE>
LSA Variable Series Trust
STATEMENTS OF OPERATIONS (Unaudited)
For the Six Months Ended June 30, 2000
<TABLE>
<CAPTION>
Emerging Focused Growth Value
Growth Equity Equity Equity Disciplined Equity Balanced
Fund Fund Fund Equity Fund Fund Fund
------------- -------- -------- ----------- -------- ---------
<S> <C> <C> <C> <C> <C> <C>
Investment Income:
Interest............... $ 19,554 $ 4,719 $ 5,103 $ 2,621 $ 11,427 $ 95,366
Dividends *............ 26 21,559 72,760 137,935 45,832 21,021
---------- -------- -------- ---------- -------- ---------
Total investment
income............ 19,580 26,278 77,863 140,556 57,259 116,387
---------- -------- -------- ---------- -------- ---------
Expenses:
Investment management
fee (Note 2).......... 54,297 33,593 28,600 42,201 23,737 22,467
Custody and
administration fees... 83,965 71,184 68,932 82,084 69,937 64,970
Audit fees............. 9,117 9,117 9,117 9,117 9,117 9,117
Legal fees............. 8,917 8,837 8,837 8,837 8,837 8,877
Trustees' fees......... 3,725 3,725 3,725 3,725 3,725 3,725
Insurance.............. 2,052 2,052 2,052 2,052 2,052 2,052
Printing fees.......... 1,950 1,950 1,950 1,950 1,950 1,950
Registration fees...... 56 56 56 112 56 56
Other.................. 966 966 966 974 966 966
---------- -------- -------- ---------- -------- ---------
Total expenses..... 165,045 131,480 124,235 151,052 120,377 114,180
Less: Expenses
waived/reimbursed
by the Manager
(Note 2)............ (95,235) (87,279) (85,541) (91,971) (87,738) (83,288)
---------- -------- -------- ---------- -------- ---------
Net operating
expenses.............. 69,810 44,201 38,694 59,081 32,639 30,892
---------- -------- -------- ---------- -------- ---------
Net investment income
(loss)................. (50,230) (17,923) 39,169 81,475 24,620 85,495
---------- -------- -------- ---------- -------- ---------
Realized and unrealized
gain (loss):
Net realized gain
(loss) on:
Investment
transactions........ 1,288,600 105,419 220,633 128,555 277,569 131,710
Written options...... -- -- -- -- 8,361 --
---------- -------- -------- ---------- -------- ---------
Net realized gain.... 1,288,600 105,419 220,633 128,555 285,930 131,710
---------- -------- -------- ---------- -------- ---------
Net change in
unrealized
appreciation
(depreciation) on:
Investments.......... (663,859) 338,579 (82,272) (344,414) 226,257 (118,717)
Written options...... -- -- -- -- (5,718) --
---------- -------- -------- ---------- -------- ---------
Net change in
unrealized
appreciation
(depreciation).... (663,859) 338,579 (82,272) (344,414) 220,539 (118,717)
---------- -------- -------- ---------- -------- ---------
Net realized and
unrealized gain
(loss)................. 624,741 443,998 138,361 (215,859) 506,469 12,993
---------- -------- -------- ---------- -------- ---------
Net increase (decrease)
in net assets resulting
from operations........ $ 574,511 $426,075 $177,530 $(134,384) $531,089 $ 98,488
========== ======== ======== ========== ======== =========
* Net of foreign taxes
withheld of: $ 12 $ 25 $ 272 $ 787 $ 639 $ 119
</TABLE>
The accompanying notes are an integral part of these financial statements.
35
<PAGE>
LSA Variable Series Trust
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Emerging Growth Focused Growth
Equity Fund Equity Fund Equity Fund
------------------------- ------------------------- -------------------------
Six Months Six Months Six Months
Ended Ended Ended
June 30, Period Ended June 30, Period Ended June 30, Period Ended
2000 December 31, 2000 December 31, 2000 December 31,
(Unaudited) 1999 (a) (Unaudited) 1999 (a) (Unaudited) 1999 (a)
----------- ------------ ----------- ------------ ----------- ------------
<S> <C> <C> <C> <C> <C> <C>
Increase (decrease) in
net assets from:
Operations:
Net investment income
(loss)................ $ (50,230) $ (17,391) $ (17,923) $ (4,911) $ 39,169 $ (723)
Net realized gain
(loss)................ 1,288,600 465,219 105,419 157,832 220,633 47,116
Net change in
unrealized
appreciation
(depreciation)........ (663,859) 3,307,609 338,579 890,552 (82,272) 1,005,172
----------- ---------- ---------- ---------- ---------- ----------
Net increase in net
assets resulting from
operations............ 574,511 3,755,437 426,075 1,043,473 177,530 1,051,565
----------- ---------- ---------- ---------- ---------- ----------
Distributions to
shareholders:
From net realized
capital gains......... -- -- -- -- -- (4,981)
----------- ---------- ---------- ---------- ---------- ----------
Total distributions
to shareholders..... -- -- -- -- -- (4,981)
----------- ---------- ---------- ---------- ---------- ----------
Fund share transactions
(Note 4):
Proceeds from shares
sold.................. 1,633,178 5,363,475 1,000,638 5,520,713 1,193,686 5,332,263
Net asset value of
shares issued on
reinvestment of
distributions......... -- -- -- -- -- 4,981
Cost of shares
repurchased........... (26,662) (94) (141,093) (129) (124,603) (265)
----------- ---------- ---------- ---------- ---------- ----------
Net increase in net
assets resulting from
Fund share
transactions.......... 1,606,516 5,363,381 859,545 5,520,584 1,069,083 5,336,979
----------- ---------- ---------- ---------- ---------- ----------
Total change in net
assets 2,181,027 9,118,818 1,285,620 6,564,057 1,246,613 6,383,563
Net assets:
Beginning of period.... 9,118,818 -- 6,564,057 -- 6,383,563 --
----------- ---------- ---------- ---------- ---------- ----------
End of period *........ $11,299,845 $9,118,818 $7,849,677 $6,564,057 $7,630,176 $6,383,563
=========== ========== ========== ========== ========== ==========
* Including
undistributed net
investment income
(distributions in
excess of net
investment income) of: $ (50,230) $ -- $ (17,923) $ -- $ 39,169 $ --
</TABLE>
(a) Fund commenced operations on October 1, 1999.
The accompanying notes are an integral part of these financial statements.
36
<PAGE>
LSA Variable Series Trust
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Disciplined Value Balanced
Equity Fund Equity Fund Fund
------------------------- ------------------------- -------------------------
Six Months Six Months Six Months
Ended Ended Ended
June 30, Period Ended June 30, Period Ended June 30, Period Ended
2000 December 31, 2000 December 31, 2000 December 31,
(Unaudited) 1999(a) (Unaudited) 1999(a) (Unaudited) 1999(a)
----------- ------------ ----------- ------------ ----------- ------------
<S> <C> <C> <C> <C> <C> <C>
Increase (decrease) in
net assets from:
Operations:
Net investment income
(loss)................ $ 81,475 $ 14,389 $ 24,620 $ 8,326 $ 85,495 $ 29,743
Net realized gain
(loss)................ 128,555 128,268 285,930 59,833 131,710 118,122
Net change in
unrealized
appreciation
(depreciation)........ (344,414) 1,030,697 220,539 312,937 (118,717) 23,621
----------- ----------- ---------- ---------- ---------- ----------
Net increase
(decrease) in net
assets resulting from
operations............ (134,384) 1,173,354 531,089 381,096 98,488 171,486
----------- ----------- ---------- ---------- ---------- ----------
Distributions to
shareholders:
From net investment
income................ -- (13,955) -- (8,282) -- (29,578)
From net realized
captial gains......... -- (29,732) -- -- -- (622)
----------- ----------- ---------- ---------- ---------- ----------
Total distributions
to shareholders..... -- (43,687) -- (8,282) -- (30,200)
----------- ----------- ---------- ---------- ---------- ----------
Fund share transactions
(Note 4):
Proceeds from shares
sold.................. 942,331 10,143,759 810,117 5,185,333 1,025,005 5,076,740
Net asset value of
shares issued on
reinvestment of
distributions......... -- 43,687 -- 8,282 -- 30,200
Cost of shares
repurchased........... (99,371) (50) (6,976) (181) (182,342) (28)
----------- ----------- ---------- ---------- ---------- ----------
Net increase in net
assets resulting from
Fund shares
transactions.......... 842,960 10,187,396 803,141 5,193,434 842,663 5,106,912
----------- ----------- ---------- ---------- ---------- ----------
Total change in net
assets................. 708,576 11,317,063 1,334,230 5,566,248 941,151 5,248,198
Net assets:
Beginning of period.... 11,317,063 -- 5,566,248 -- 5,248,198 --
----------- ----------- ---------- ---------- ---------- ----------
End of period*......... $12,025,639 $11,317,063 $6,900,478 $5,566,248 $6,189,349 $5,248,198
=========== =========== ========== ========== ========== ==========
* Including
undistributed net
investment income of: $ 81,909 $ 434 $ 24,664 $ 44 $ 85,660 $ 165
</TABLE>
(a) Fund commenced operations on October 1, 1999.
The accompanying notes are an integral part of these financial statements.
37
<PAGE>
LSA Variable Series Trust
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
Emerging Growth Focused Growth
Equity Fund Equity Fund Equity Fund
------------------------ ------------------------ ------------------------
Six Months Six Months Six Months
Ended Ended Ended
June 30, Period Ended June 30, Period Ended June 30, Period Ended
2000 December 31, 2000 December 31, 2000 December 31,
(Unaudited) 1999(a) (Unaudited) 1999(a) (Unaudited) 1999(a)
----------- ------------ ----------- ------------ ----------- ------------
<S> <C> <C> <C> <C> <C> <C>
Net asset value,
beginning of period.... $ 17.49 $10.00 $12.07 $10.00 $12.07 $10.00
------- ------ ------ ------ ------ ------
Income from investment
operations:
Net investment income
(loss)................ (0.08) (0.03) (0.03) (0.01) 0.06 (0.00)(b)
Net realized and
unrealized gain
(loss)................ 0.98 7.52 0.78 2.08 0.20 2.08
------- ------ ------ ------ ------ ------
Total from investment
operations.......... 0.90 7.49 0.75 2.07 0.26 2.08
------- ------ ------ ------ ------ ------
Less distributions to
shareholders:
From net realized
capital gains......... -- -- -- -- -- (0.01)
------- ------ ------ ------ ------ ------
Total distributions.. -- -- -- -- -- (0.01)
------- ------ ------ ------ ------ ------
Net asset value, end of
period................. $ 18.39 $17.49 $12.82 $12.07 $12.33 $12.07
======= ====== ====== ====== ====== ======
Total Return*........... 5.15% 74.90% 6.21% 20.70% 2.15% 20.80%
Ratios/Supplemental
Data:
Net assets, end of
period (000's)........ $11,300 $9,119 $7,850 $6,564 $7,630 $6,384
Net expenses to
average daily net
assets**.............. 1.35% 1.35% 1.25% 1.25% 1.15% 1.15%
Net investment income
(loss) to average
daily net assets**.... (0.97)% (1.04)% (0.51)% (0.36)% 1.16% (0.05)%
Portfolio turnover
rate.................. 59% 47% 44% 26% 16% 13%
Without the
waiver/reimbursement
of expenses by the
Manager, the ratio of
net expenses and net
investment income
(loss) to average net
assets would have
been:
Expenses**........... 3.19% 3.96% 3.72% 4.54% 3.69% 4.38%
Net investment income
(loss)**............ (2.81)% (3.65)% (2.98)% (3.65)% (1.38)% (3.28)%
</TABLE>
(a) Fund commenced operations on October 1, 1999.
(b) Net investment loss was less than $0.01 per share.
* Not annualized.
** Annualized.
The accompanying notes are an integral part of these financial statements.
38
<PAGE>
LSA Variable Series Trust
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
Disciplined Value Balanced
Equity Fund Equity Fund Fund
------------------------ ------------------------ ------------------------
Six Months Six Months Six Months
Ended Ended Ended
June 30, Period Ended June 30, Period Ended June 30, Period Ended
2000 December 31, 2000 December 31, 2000 December 31,
(Unaudited) 1999(a) (Unaudited) 1999(a) (Unaudited) 1999(a)
----------- ------------ ----------- ------------ ----------- ------------
<S> <C> <C> <C> <C> <C> <C>
Net asset value,
beginning of period.... $ 11.13 $ 10.00 $10.74 $10.00 $10.28 $10.00
------- ------- ------ ------ ------ ------
Income from investment
operations:
Net investment income
(loss)................ 0.07 0.01 0.04 0.02 0.14 0.06
Net realized and
unrealized gain
(loss)................ (0.21) 1.16 0.93 0.74 0.01 0.28
------- ------- ------ ------ ------ ------
Total from investment
operations.......... (0.14) 1.17 0.97 0.76 0.15 0.34
------- ------- ------ ------ ------ ------
Less distributions to
shareholders:
From net investment
income................ -- (0.01) -- (0.02) -- (0.06)
From net realized
capital gains......... -- (0.03) -- -- -- (0.00)(b)
------- ------- ------ ------ ------ ------
Total distributions.. -- (0.04) -- (0.02) -- (0.06)
------- ------- ------ ------ ------ ------
Net asset value, end of
period................. $ 10.99 $ 11.13 $11.71 $10.74 $10.43 $10.28
======= ======= ====== ====== ====== ======
Total Return*........... (1.26)% 11.73% 9.03% 7.56% 1.46% 3.40%
Ratios/Supplemental
Data:
Net assets, end of
period (000's)........ $12,026 $11,317 $6,900 $5,566 $6,189 $5,248
Net expenses to
average daily net
assets**.............. 1.05% 1.05% 1.10% 1.10% 1.10% 1.10%
Net investment income
(loss) to
average daily net
assets**.............. 1.45% 0.54% 0.83% 0.64% 3.04% 2.31%
Portfolio turnover
rate.................. 23% 17% 32% 18% 47% 35%
Without the
waiver/reimbursement
of expenses by the
Manager, the ratio
of net expenses and
net investment income
(loss) to average net
assets would have
been:
Expenses**........... 2.68% 2.59% 4.06% 4.56% 4.07% 4.60%
Net investment income
(loss)**............ (0.19)% (1.00)% (2.13)% (2.82)% 0.08% (1.19)%
</TABLE>
(a) Fund commenced operations on October 1, 1999.
(b) Distributions from net realized capital gains were less than $0.01 per
share.
* Not annualized.
** Annualized.
The accompanying notes are an integral part of these financial statements.
39
<PAGE>
LSA Variable Series Trust
NOTES TO FINANCIAL STATEMENTS (Unaudited)
LSA Variable Series Trust (the "Trust") was formed as a Delaware business
trust on March 2, 1999 and is registered under the Investment Company Act of
1940, as amended (the "1940 Act"), as an open-end management investment
company. The Trust consists of six portfolios: the Emerging Growth Equity
Fund, the Focused Equity Fund, the Growth Equity Fund, the Disciplined Equity
Fund, the Value Equity Fund, and the Balanced Fund (each referred to as a
"Fund" and together as the "Funds"). Shares of the Funds are sold exclusively
to insurance company separate accounts as a funding vehicle for variable life
and/or variable annuity contracts. Each of the Funds commenced operations on
October 1, 1999.
The Emerging Growth Equity Fund's investment objective is capital appreciation
by investing in smaller (usually companies with a market capitalization of
$1.5 billion or less), rapidly growing emerging companies. The Focused Equity
Fund seeks to provide capital appreciation by investing primarily in equity
securities. The Growth Equity Fund seeks long-term growth of capital by
investing in a portfolio of equity securities (mainly common stocks). The
Disciplined Equity Fund seeks to provide a consistently high total return from
a broad portfolio of equity securities with risk characteristics similar to
the Standard & Poor's 500 (S&P 500) Composite Stock Price Index. The Value
Equity Fund seeks to provide long-term growth of capital by investing
primarily in common stocks of established U.S. companies. Current income is a
secondary objective of the Value Equity Fund. The Balanced Fund seeks to
provide a combination of growth of capital and investment income by investing
in a mix of debt and equity securities. Growth of capital is the Balanced
Fund's primary objective.
1. Significant Accounting Policies
The preparation of financial statements in accordance with generally accepted
accounting principles requires management to make estimates and assumptions
that affect the reported amounts and disclosures in the financial statements.
Actual results could differ from those estimates.
The following is a summary of significant accounting policies for the Funds.
Such policies are in conformity with generally accepted accounting principles
for investment companies and are consistently followed by the Funds in the
preparation of the financial statements.
Portfolio Valuation
Equity securities are valued at the last sales price reported on principal
securities exchanges (domestic or foreign). If no sale took place on such day,
then such securities are valued at the mean between the bid and asked prices.
Debt securities (other than short-term obligations) are valued on the basis of
valuations furnished by an unaffiliated pricing service which determines
valuations for normal institutional size trading units of debt securities.
Short-term debt securities with a maturity of less than 60 days when purchased
are valued at amortized cost, which approximates market value, and the
interest payable at maturity is accrued as income, on a daily basis, over the
remaining life of the instrument. Neither the amount of daily income nor the
net asset value is affected by unrealized appreciation or depreciation of the
Fund's investments assuming the instrument's obligation is paid in full on
maturity. Short-term debt securities with a maturity of more than 60 days when
purchased are valued based on market quotations until the remaining days to
maturity become less than 61 days, from which time the investments are valued
at amortized cost. Options are valued at the last sales price; if no sales
took place on such day, then options are valued at the mean between the bid
and asked prices. Unlisted securities and securities for which market
quotations are not readily available and all other assets are valued in good
faith at fair value by, or under guidelines established by, the Funds' Board
of Trustees.
Foreign Currency Translation
The accounting records of the Funds are maintained in U.S. dollars. The market
values of foreign securities, currency holdings and other assets and
liabilities are translated to U.S. dollars based on the prevailing exchange
rates each business day. Income and expenses denominated in foreign currencies
are translated at prevailing exchange rates when accrued or incurred. The Fund
does not isolate realized and unrealized gains and losses attributable to
changes in exchange rates from gains and losses that arise from changes in the
market value of investments. Such fluctuations are included with net realized
and unrealized gain or loss on investments.
40
<PAGE>
LSA Variable Series Trust
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
1. Significant Accounting Policies (Continued)
Net realized gains and losses on foreign currency transactions represent gains
and losses on disposition of foreign currencies and forward foreign exchange
contracts, currency gains and losses realized between the trade and settlement
dates on securities transactions, and the difference between the amount of
investment income and foreign withholding taxes recorded on the Funds' books
and the U.S. dollar equivalent amounts actually received or paid.
Options
Each Fund may write call and put options on futures, securities or currencies
it owns or in which it may invest. Writing put options tends to increase a
Fund's exposure to the underlying instrument. Writing call options tends to
decrease a Fund's exposure to the underlying instrument. When a Fund writes a
call or put option, an amount equal to the premium received is recorded as a
liability and subsequently marked to market to reflect the current value of
the option written. Premiums received from writing options which expire are
treated as realized gains. Premiums received from writing options which are
exercised or closed are added to the proceeds or offset against the amounts
paid on the transaction to determine the realized gain or loss. A Fund as a
writer of an option has no control over whether the underlying securities may
be sold (call) or purchased (put) and as a result bears the market risk of an
unfavorable change in the price of the security underlying the written option.
There is the risk a Fund may not be able to enter into a closing transaction
because of an illiquid market. At June 30, 2000 there were no open written
option contracts.
Each Fund may also purchase put and call options. Purchasing call options
tends to increase a Fund's exposure to the underlying instrument. Purchasing
put options tends to decrease a Fund's exposure to the underlying instrument.
A Fund pays a premium which is included in the Fund's Statement of Assets and
Liabilities as an investment and subsequently marked to market to reflect the
current value of the option. Premiums paid from purchasing options which
expire are treated as realized losses. Premiums paid from purchasing options
which are exercised or closed are added to the amounts paid or offset against
the proceeds on the transaction to determine the realized gain or loss. The
risk associated with purchasing put and call options is limited to the premium
paid.
Securities Transactions, Investment Income and Expenses
Securities transactions are recorded as of the trade date. Realized gains or
losses from securities sold are recorded on the identified cost basis.
Interest income is recorded on the accrual basis and consists of interest
accrued and, if applicable, discount earned less premiums amortized. Interest
income on U.S. Treasury inflation indexed securities is accrued daily based
upon the inflation adjusted principal. Additionally, any increase in the
principal or face amount of the securities adjusted for inflation is recorded
as interest income. Dividend income is recorded on the ex-dividend date,
except that certain dividends from foreign securities are recorded as soon as
a Fund is informed of the ex-dividend date. The majority of expenses of the
Trust can be directly attributed to an individual Fund. Expenses which cannot
be directly attributed are allocated taking into consideration, among other
things, the nature and type of expense and the relative net assets of the
Funds.
Dividends and Distributions to Shareholders
Each Fund intends to distribute substantially all of its income and capital
gains each year. All dividend and capital gain distributions will
automatically be reinvested in additional shares of the Funds. Distributions
are recorded on the ex-dividend date.
Federal Income Taxes
Each Fund intends to elect to be treated, and intends to qualify for each
taxable year, as a separate "regulated investment company" under Subchapter M
of the Internal Revenue Code (the "Code"). As such, and by
41
<PAGE>
LSA Variable Series Trust
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
1. Significant Accounting Policies (Continued)
complying with the applicable provisions of the Code regarding the sources of
its income, the timing of its distributions, and the diversification of its
assets, each Fund will not be subject to federal income tax on taxable income
(including net realized capital gains) which is distributed to shareholders in
accordance with the timing and other requirements of the Code. Therefore, no
provision for federal income or excise tax is necessary.
Income dividends and capital gain distributions are determined in accordance
with income tax regulations which may differ from generally accepted
accounting principles. These differences are primarily due to differing
treatments for net operating losses. Distributions in excess of tax basis
earnings and profits, if any, are reported in the Funds' financial statements
as a return of capital. Differences in the recognition of income for financial
statement and tax purposes which result in temporary over-distributions for
financial statement purposes are classified as distributions in excess of net
investment income or accumulated net realized gains.
2. Management fees and other transactions with affiliates
LSA Asset Management LLC (the "Manager") serves as investment manager to the
Funds pursuant to an Investment Management Agreement with the Trust. LSA Asset
Management LLC is a wholly owned subsidiary of Allstate Life Insurance
Company, which is wholly owned by Allstate Insurance Company, a wholly owned
subsidiary of The Allstate Corporation. The Manager is entitled to receive
from each Fund a management fee, payable monthly, at an annual rate as a
percentage of average daily net assets of each Fund as set forth in the table
below.
<TABLE>
<CAPTION>
Fund Management Fees
---------------------------------------------------- ---------------
<S> <C>
Emerging Growth Equity Fund............................... 1.05%
Focused Equity Fund....................................... 0.95%
Growth Equity Fund........................................ 0.85%
Disciplined Equity Fund................................... 0.75%
Value Equity Fund......................................... 0.80%
Balanced Fund............................................. 0.80%
</TABLE>
The Manager has entered into an advisory agreement for each Fund pursuant to
which the Manager has appointed an Adviser to carry out the day-to-day
investment and reinvestment of the assets of the relevant Fund. The fees of
the Advisers are paid by the Manager. The following table lists the Adviser of
each Fund.
<TABLE>
<CAPTION>
Fund Adviser
----------------------------- --------------------------------------
<S> <C>
Emerging Growth Equity Fund........ RS Investment Management, L.P.
Focused Equity Fund................ Morgan Stanley Asset Management
Growth Equity Fund................. Goldman Sachs Asset Management
Disciplined Equity Fund............ J.P. Morgan Investment Management Inc.
Value Equity Fund.................. Salomon Brothers Asset Management Inc
Balanced Fund...................... OpCap Advisors
</TABLE>
The Manager has currently agreed to reduce its fees or reimburse the Funds for
expenses above certain limits. Currently this limit is set so that no Fund
will incur expenses (not including interest, taxes, or brokerage commissions)
that exceed the amount of its management fee plus 0.30% of its assets. The
Manager is contractually obligated to continue this arrangement through April
30, 2001.
42
<PAGE>
LSA Variable Series Trust
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
2. Management fees and other transactions with affiliates (Continued)
The Funds pay no salaries or compensation to any officer or Trustee affiliated
with the Manager. The compensation of unaffiliated Trustees is borne by the
Funds.
At June 30, 2000, separate accounts of Allstate Life and its subsidiaries
owned 100% of the outstanding shares of the Funds.
3. Purchases and Sales of Securities
Cost of purchases and proceeds from sales of investment securities, excluding
short-term investments, for the period ended June 30, 2000, were as follows:
<TABLE>
<CAPTION>
U.S.
Government Other Long-
Securities Term Securities
---------- ---------------
<S> <C> <C>
Purchases
Emerging Growth Equity Fund.................. $ -- $6,817,277
Focused Equity Fund.......................... -- 3,936,192
Growth Equity Fund........................... -- 2,131,126
Disciplined Equity Fund...................... -- 3,593,419
Value Equity Fund............................ -- 2,611,260
Balanced Fund................................ 309,048 2,792,166
<CAPTION>
U.S.
Government Other Long-
Securities Term Securities
---------- ---------------
<S> <C> <C>
Sales
Emerging Growth Equity Fund.................. $ -- $5,631,427
Focused Equity Fund.......................... -- 3,086,895
Growth Equity Fund........................... -- 1,092,205
Disciplined Equity Fund...................... -- 2,554,848
Value Equity Fund............................ -- 1,792,175
Balanced Fund................................ 127,480 2,137,847
</TABLE>
At June 30, 2000, aggregated gross unrealized appreciation for all securities
in which there is an excess of value over tax cost and aggregate gross
unrealized depreciation for all securities in which there is an excess of tax
cost over value were as follows:
<TABLE>
<CAPTION>
Federal Tax Basis Tax Basis Net Unrealized
Income Tax Unrealized Unrealized Appreciation
Cost Appreciation Depreciation (Depreciation)
----------- ------------ ------------ --------------
<S> <C> <C> <C> <C>
Emerging Growth Equity Fund.. $ 7,865,531 $3,352,608 $ (708,858) $2,643,750
Focused Equity Fund.......... 6,395,847 1,341,645 (112,514) 1,229,131
Growth Equity Fund........... 6,537,643 1,300,797 (377,897) 922,900
Disciplined Equity Fund...... 11,177,897 1,698,869 (1,012,586) 686,283
Value Equity Fund............ 6,019,705 930,775 (397,299) 533,476
Balanced Fund................ 5,497,103 247,317 (342,413) (95,096)
</TABLE>
43
<PAGE>
LSA Variable Series Trust
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
4. Shares of Beneficial Interest
At June 30, 2000 an unlimited number of shares of beneficial interest without
par value were authorized. Changes in shares of beneficial interest were as
follows:
<TABLE>
<CAPTION>
Emerging Growth Equity Fund Focused Equity Fund
----------------------------- -----------------------------
Six Months Ended Period Ended Six Months Ended Period Ended
June 30, 2000 December 31, June 30, 2000 December 31,
(Unaudited) 1999 (Unaudited) 1999
---------------- ------------ ---------------- ------------
<S> <C> <C> <C> <C>
Shares sold............. 94,177 521,437 79,548 544,060
Shares repurchased...... (1,279) (6) (11,288) (11)
Distributions
reinvested............. -- -- -- --
--------- ------- --------- ---------
Net increase............ 92,898 521,431 68,260 544,049
Fund shares:
Beginning of year..... 521,431 -- 544,049 --
--------- ------- --------- ---------
End of year........... 614,329 521,431 612,309 544,049
========= ======= ========= =========
<CAPTION>
Growth Equity Fund Disciplined Equity Fund
----------------------------- -----------------------------
Six Months Ended Period Ended Six Months Ended Period Ended
June 30, 2000 December 31, June 30, 2000 December 31,
(Unaudited) 1999 (Unaudited) 1999
---------------- ------------ ---------------- ------------
<S> <C> <C> <C> <C>
Shares sold............. 100,409 528,631 86,581 1,012,973
Shares repurchased...... (10,504) (23) (9,029) (5)
Distributions
reinvested............. -- 415 -- 3,932
--------- ------- --------- ---------
Net increase............ 89,905 529,023 77,552 1,016,900
Fund shares:
Beginning of year..... 1,016,900 -- 1,016,900 --
--------- ------- --------- ---------
End of year........... 618,928 529,023 1,094,452 1,016,900
========= ======= ========= =========
<CAPTION>
Value Equity Fund Balanced Fund
----------------------------- -----------------------------
Six Months Ended Period Ended Six Months Ended Period Ended
June 30, 2000 December 31, June 30, 2000 December 31,
(Unaudited) 1999 (Unaudited) 1999
---------------- ------------ ---------------- ------------
<S> <C> <C> <C> <C>
Shares sold............. 71,563 517,670 100,115 507,560
Shares repurchased...... (631) (17) (17,355) (3)
Distributions
reinvested............. -- 774 -- 2,943
--------- ------- --------- ---------
Net increase............ 70,932 518,427 82,760 510,500
Fund shares:
Beginning of year..... 518,427 -- 510,500 --
--------- ------- --------- ---------
End of year........... 589,359 518,427 593,260 510,500
========= ======= ========= =========
</TABLE>
44
<PAGE>
LSA Variable Series Trust
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
5. Written options
Transactions in written call options for the Value Equity Fund during the
period ended June 30, 2000 are as follows:
<TABLE>
<CAPTION>
Number of
Contracts Premiums
--------- --------
<S> <C> <C>
Outstanding, beginning of period...................... 2,100 $ 9,193
Options written....................................... -- --
Options exercised..................................... -- --
Options expired.......................................
Options sold.......................................... (2,100) (9,193)
------ -------
Outstanding, end of period............................ -- $ --
====== =======
</TABLE>
45
