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SBL FUND
================================================================================
SEMI-ANNUAL REPORT
JUNE 30, 1996
- - Series A
(Growth Series)
- - Series B
(Growth-Income Series)
- - Series C
(Money Market Series)
- - Series D
(Worldwide Equity Series)
- - Series E
(High Grade Income Series)
- - Series J
(Emerging Growth Series)
- - Series K
(Global Aggressive Bond Series)
- - Series M
(Specialized Asset Allocation Series)
- - Series N
(Managed Asset Allocation Series)
- - Series O
(Equity Income Series)
- - Series S
(Social Awareness Series)
[SDI LOGO]
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PRESIDENT'S LETTER
August 15, 1996
Dear Contractholder:
Financial market returns for the six months just completed were mixed. Equity
fund shareholders were amply rewarded, with the Dow Jones Industrial Average
climbing 11.70% and the Standard and Poor's 500 Stock Index up 10.10%. Holders
of fixed income funds didn't fare as well; interest rates on the thirty-year
U.S. Treasury bond rose from 5.94% at year end to 6.89% on June 30.
STEADY ECONOMIC GROWTH WITH MODEST INFLATION
Economic growth continues to be positive in spite of the rise in long-term
interest rates. Remarkably, we have seen very little inflation pressure in the
face of rising employment, a thriving housing industry and strong consumer
spending patterns. The increase in economic activity, while slow but steady in
nature, has been enough to produce corporate earnings sufficient to move stocks
to higher ground.
As we enter the second half of 1996 we will be watching to see if the
"Goldilocks" economy continues--that is, whether economic growth will be "just
right," or if it will accelerate enough to cause the Federal Open Market
Commitee to raise interest rates. Such a move on the part of the FOMC would be
taken with the intention of dampening economic growth enough to keep inflation
from getting out of hand. Although the short-term effects on financial markets
of such moves are usually negative, over the long term the benefits of low
inflation would outweigh the short-term pain.
THE EFFECT OF THE PRESIDENTIAL ELECTION
A major factor weighing on the minds of investors this fall will be the
Presidential election. Regardless of which candidate occupies the White House
after the election, market participants will be watching closely to see if
emphasis on balancing the budget and shrinking the size of government will
continue. Even if political control of Congress should change, we feel that the
fixed income investors--"bond market vigilantes," as they are known--will demand
the continuation of the balanced budget process by forcing long-term rates
higher on any sign of wavering from this goal.
CONTINUED FAVORABLE MARKETS AHEAD
On balance we remain positive in our outlook for financial markets in the second
half of the year. We believe economic growth will remain sufficient to generate
earnings that will support the equity markets at their current levels. We expect
the stock markets to move to new highs as inflationary pressures continue to
remain modest. The election process is too difficult to predict at this point;
however, regardless which party wins, the investing public will demand continued
restraint in government spending and further shrinking of the size of government
itself.
As always, we appreciate your continued confidence in our money management
teams. We will do our best to warrant your ongoing trust as we move through the
second half of the year.
Sincerely,
JOHN CLELAND
John Cleland
President
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SERIES A (GROWTH SERIES)
August 15, 1996
The favorable equity market performance of 1995 continued through the first half
of this year. The Growth Series returned a robust 11.98% during the period,
comparing well with the 10.10% return of its benchmark Standard & Poor's 500
Stock Index*. The return was bolstered by the emphasis begun last year on
growth-oriented companies.
THE LARGEST SECTOR REPRESENTATIONS
The health care industry had the largest weighting in the portfolio, emphasizing
major drug manufacturers such as American Home Products Corporation and
Bristol-Myers Squibb Company. This industry has performed very well, displaying
consistent above-average growth characteristics including stable earnings and a
low sensitivity to economic trends. Many drug makers have a steady flow of new
products coming to market which will help sustain their growth over the next
several years.
The consumer nondurables sector has also shown favorable growth traits. Gillette
Company, a manufacturer of personal care products, began the year rather slowly
but picked up strength particularly in May and June. We feel that this company,
the dominant manufacturer of razor blades, will continue to do well even if
others in the sector begin to weaken. PepsiCo, Inc. is another consumer
nondurables company which has displayed a high growth rate, holding a prominent
position in the snack food business.
[PICTURE OF SECURITY MANAGEMENT LARGE CAP TEAM]
THE SECURITY MANAGEMENT LARGE CAP TEAM:
JOHN CLELAND, TERRY MILBERGER, CHUCK LAUBER
SELECTED TECHNOLOGY PARTICIPATION
In the technology field we have chosen to participate in areas other than the
manufacture of computers. Microsoft Corporation, representing the consumer
software sector, has risen over 50% since mid-January. We believe its growth
will continue to be sustained by new products such as WINDOWS 95 for personal
computers and WINDOWS NT for the corporate market.
In the consumer services area of the technology sector, modem manufacturer U.S.
Robotics Corporation has appreciated nearly 95% since the beginning of the year.
The modem market is growing rapidly, and U.S. Robotics keeps ahead
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SERIES A (GROWTH SERIES)
August 15, 1996
of the game by continually upgrading their products. They are involved in all
stages of the process of transferring data from onsite locations to remote
sites, and can serve the Internet with transmission of data.
Our holdings maintained value through the general technology sell-off in June.
By avoiding companies such as hardware manufacturers, which are exposed to
obsolescence risk, we have reduced volatility in this sector of the portfolio.
LOOKING AHEAD TO THE SECOND HALF
We plan to continue into the second half of the year maintaining our focus on
companies with strong, steady earnings growth. We feel that there may still be
rough spots in the nation's economic performance in the months ahead, and the
formula that has served us well so far this year remains the best strategy for
the next few months.
Terry Milberger
Portfolio Manager
AVERAGE ANNUAL TOTAL RETURN
AS OF JUNE 30, 1996*
1 Year 5 Years 10 Years
Series A 28.1% 17.1% 12.9%
*Performance figures do not reflect fees and expenses associated with an
investment in variable insurance products offered by Security Benefit Life
Insurance Company. Shares of a Series of SBL Fund are available only through
the purchase of such products.
The performance data quoted above represents past performance. Past performance
is not predictive of future performance. The investment return and principal
value of an investment will fluctuate so that an investor's shares, when
redeemed, may be worth more or less than their original cost.
TOP 5 EQUITY HOLDINGS**
SERIES A - GROWTH SERIES
Frontier Corporation......................... 1.8%
PepsiCo, Inc................................. 1.8%
McDonnell Douglas Corporation................ 1.7%
U.S. Industries, Inc......................... 1.7%
Omnicom Group, Inc........................... 1.6%
**At June 30, 1996
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SERIES B (GROWTH-INCOME SERIES)
August 15, 1996
The Growth-Income Series has benefited from its emphasis on growth stocks in the
equity portion of the portfolio and from the inclusion of bonds in the high
yield sector of the fixed income markets. For the first six months of the year
the Series has posted a 9.90% return*. This compares favorably with the 7.89%
return of the benchmark index which we use internally as a performance measure
(a blend of 80% Standard and Poor's 500 Index and 20% Lehman Brothers BB Rated
Long Bond Index).
PRIMARY FOCUS OF THE EQUITY HOLDINGS
The major emphasis in the stock portion of the Series was on issues producing
consistently stable earnings over time. Among these issues are American Home
Products Corporation and Gillette Company in the consumer nondurables area,
Microsoft Corporation in the computer software sector, and U.S. Robotics
Corporation in computer services. We have deliberately avoided areas such as
computer hardware, where products quickly become obsolete.
Value stocks have played a lesser role in the portfolio, but nonetheless have
contributed to total return. We have invested in natural gas pipelines such as
El Paso Natural Gas Company, which benefits not only from a good dividend yield,
but has taken advantage of the improving natural gas market in the first half of
the year. El Paso's dividend yield at the time we purchased the stock was about
4%, compared with the Standard and Poor 500's average yield of slightly over 2%.
[PICTURE OF THE SECURITY MANAGEMENT GROWTH-INCOME TEAM]
THE SECURITY MANAGEMENT GROWTH-INCOME TEAM:
(L-R) CHUCK LAUBER, TERRY MILBERGER, TOM SWANK,
JIM SCHIER AND (SEATED) JOHN CLELAND
A second value sector which has performed well is the rail industry. Canadian
Pacific, Ltd., for example, may sell noncore assets such as its hotels, shipping
businesses and other real estate in order to concentrate on its core rail
businesses. The proceeds from these sales could be used to reduce debt, making
the stock more attractive to investors.
PERFORMANCE OF THE FIXED INCOME HOLDINGS
Closely related to equities, the high yield portion of the fixed income market
has also profited from the strong business environment. We have been heavily
weighted in bonds issued by cable television companies because of their cash
flow
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SERIES B (GROWTH-INCOME SERIES)
August 15, 1996
stability and the dynamics of the industry. Through ownership of the debt of
media noncable companies such as radio and television broadcasters, we also have
enjoyed the favorable benefits of the Telecommunications Act recently passed by
Congress.
Consumer noncyclical company debt has performed well the past six months. We
have owned such noncyclicals as Carrols Corporation, the largest holder of
Burger King restaurant franchises, and healthcare companies Tenet Healthcare
Corporation and Regency Health Services, Inc. In addition, we have held many
finance issues such as First Nationwide Bank preferred stock and Dime Bancorp,
Inc. bonds.
THE SECOND HALF OF THE YEAR
As we enter the second half of 1996 we will continue with our present strategy
of focusing on growth stocks in the equity portion of the portfolio and high
yield bonds in the fixed income portion. We expect the economy to remain strong
into the third quarter, but will be watching closely for signs of a slowdown and
the necessity of a change in portfolio mix.
Terry Milberger
Senior Portfolio Manager
Tom Swank
Portfolio Manager, High Yield Bonds
AVERAGE ANNUAL TOTAL RETURN
AS OF JUNE 30, 1996*
1 Year 5 Years 10 Years
Series B 23.5% 14.0% 12.7%
*Performance figures do not reflect fees and expenses associated with an
investment in variable insurance products offered by Security Benefit Life
Insurance Company. Shares of a Series of SBL Fund are available only through
the purchase of such products.
The performance data quoted above represents past performance. Past performance
is not predictive of future performance. The investment return and principal
value of an investment will fluctuate so that an investor's shares, when
redeemed, may be worth more or less than their original cost.
TOP 5 EQUITY HOLDINGS**
SERIES B - GROWTH-INCOME SERIES
Coca-Cola Company............................ 1.5%
Procter & Gamble Company..................... 1.5%
Omnicom Group, Inc........................... 1.5%
Frontier Corporation......................... 1.5%
Praxair, Inc................................. 1.4%
**At June 30, 1996
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SERIES C (MONEY MARKET SERIES)
August 15, 1996
The Money Market Series of SBL Fund has been a good place for fixed income
investors to be so far this year while interest rates were rising. Maturities of
the securities in this portfolio are quite short. When interest rates rise we
are able to quickly reinvest the assets in higher-yielding issues, thus boosting
the income stream to the Series without experiencing a decline in net asset
value(1).
HIGH QUALITY ASSETS IN THE PORTFOLIO
At June 30, 84.4% of the assets of the portfolio were invested in "top-tier"
commercial paper; that is, short-term corporate debt issues rated at least A1 by
Standard and Poor's rating agency or P1 by Moody's. The balance of the assets
were represented by investments in federal agencies such as Federal National
Mortgage Association, Federal Farm Credit Banks, and the Small Business
Administration.
THE IMPORTANCE OF CREDIT RESEARCH
In order to be more competitive in the money market fund arena, we are focusing
our efforts on credit research. This intensive analysis helps us locate
commercial paper issues which are underpriced in our view, adding relative value
to our purchases. Since short-term interest rates generally fluctuate within a
narrow band across their range of maturities, we must look to areas other than
maturity selection to find additional incremental returns. We currently have 150
companies that issue commercial paper on our "approved list." Presently, we are
using 29 of these in the portfolio.
MONITORING INTEREST RATE FORECASTS
At this time we are keeping our portfolio average maturity within five days of
the average maturity for money market funds as published by IBC/Donoghue Money
Fund Report. We are closely watching interest rate developments, waiting for a
signal from the Federal Reserve Open Market Committee as to their intentions to
raise interest rates. Because of the short-maturity nature of money market
assets, we can quickly adjust to rate changes when they occur.
Barbara Davison
Fixed Income Team
(1)Series C is neither insured nor guaranteed by the U.S. Government.
AVERAGE ANNUAL TOTAL RETURN
AS OF JUNE 30, 1996*
1 Year 5 Years 10 Years
Series C 5.1% 3.3% 5.3%
*Performance figures do not reflect fees and expenses associated with an
investment in variable insurance products offered by Security Benefit Life
Insurance Company. Shares of a Series of SBL Fund are available only through
the purchase of such products.
The performance data quoted above represents past performance. Past performance
is not predictive of future performance. The investment return and principal
value of an investment will fluctuate so that an investor's shares, when
redeemed, may be worth more or less than their original cost.
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SERIES D (WORLDWIDE EQUITY SERIES)
August 15, 1996
[LEXINGTON LOGO] SUBADVISOR, LEXINGTON MANAGEMENT CORPORATION
PORTFOLIO MANAGERS, RICHARD SALER AND ALAN WAPNIK
The Worldwide Equity Series enjoyed a solid first half of 1996, appreciating
12.59%*. These numbers compare favorably with the Series' peer group average of
11.29% as reported by Lipper Analytical Services, Inc., and with its benchmark,
the Morgan Stanley Capital International World Index, which advanced 7.1% during
the same period.
CONTRIBUTORS TO A STRONG PERFORMANCE
The Worldwide Equity Series achieved above average returns due to several
factors. Although they make up only 4% of the series, the Eastern European stock
holdings enjoyed excellent returns during the period. Strong growth in the
region combined with attractive stock valuations to finally draw investors'
attention to the area. Russian President Boris Yeltsin's recent election victory
was also key in improving the outlook for the region.
Careful stock selection in Japan helped the Series avoid poor-performing
financial stocks and focus on better-performing cyclicals and smaller growth
stocks. Hedging part of the portfolio back into dollars also proved mildly
beneficial. Finally, the U.S. portion of the portfolio performed well, which in
part made up for an underweighting of U.S. equities. On the negative side, we
were underweighted in Italian equities, which starred with a 13.4% return in the
second quarter as favorable elections led to a rally in stocks and bonds.
WORLD ECONOMIC CONDITIONS
The U.S. economy clearly accelerated during the second quarter. Domestic
equities have managed to advance over 10% during the first half despite
thirty-year Treasury bond yields rising from 5.94% to 6.89% during the same
period. The U.S. stock market benefited from record inflows totalling $121
billion into stock mutual funds during the first five months of 1996.
Elsewhere, Japanese growth accelerated sharply as GDP for the second quarter
rose 12.7%, the highest rate in two decades. The Japanese economy is finally
showing signs of life due to aggressive monetary ease by the Bank of Japan,
heavy fiscal expenditures of $130 billion and a weak yen which stimulates
exports. If growth can be maintained, Japanese corporate profits will rise
rapidly; however, the Bank of Japan is expected to begin raising interest rates
soon, which would be negative for world liquidity.
European growth remains weak due to double digit unemployment. Companies are
following the American example of restructuring, eliminating jobs and moving out
of high cost countries such as Germany and into low cost regions such as Eastern
Europe. Despite structural economic weakness, European growth is likely to
improve somewhat in the second half of 1996 due to loose monetary policy by
European central banks and a better export
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SERIES D (WORLDWIDE EQUITY SERIES)
August 15, 1996
outlook because of a stronger U.S. economy and dollar. In conclusion, world
growth is likely to accelerate in the second half of 1996 and into 1997. This
may have a negative effect on world equity markets which have benfited from
powerful monetary stimulus.
PORTFOLIO PLANS FOR THE SECOND HALF
The Worldwide Equity Series is positioned for stronger world economic growth.
The portfolio remains heavily underweight in U.S. equities; we believe that the
market is overvalued in a rising interest rate environment. Cash levels have
been raised to around 10% of the assets to take advantage of buying
opportunities when a market correction occurs. European equity selection is
geared toward restructuring German companies such as Daimler Benz and Hoechst.
The Series is slightly overweight in Japanese equities as profits appear set for
continued strong growth. Due to strong gains over the past year, we have sold
some positions. In Japan, stock selection remains biased toward cyclicals,
growth stocks and weak-yen beneficiaries. We continue to avoid Japanese banks.
The emerging markets portion of the Series is overweight in Eastern Europe as
its exciting prospects continue to unfold. The Asian markets have a low
representation due to poor market valuations and interest rates which move in
tandem with U.S. rates. Finally, due to our 10% cash position in U.S. dollars
and a strong dollar rally, the Series has reduced yen-hedged positions to just
7% of the portfolio. In the long term we expect the Japanese yen to continue to
weaken as massive trade surpluses continue to shrink.
Richard Saler
Portfolio Manager
Alan Wapnick
Portfolio Manager
Investing in foreign countries may involve risks, such as currency fluctuations
and political instability, not associated with investing exclusively in the U.S.
TOP 5 EQUITY HOLDINGS**
SERIES D - WORLDWIDE EQUITY SERIES
Jefferson Smurfit Group...................... 1.7%
Saga Petroleum AS............................ 1.4%
Tubos De Acero De Mexico S.A. ADR............ 1.3%
Maruco Company, Ltd.......................... 1.3%
Tompkins PLC................................. 1.2%
**At June 30, 1996
AVERAGE ANNUAL TOTAL RETURN
AS OF JUNE 30, 1996*
1 Year 5 Years 10 Years
Series D 22.6% 12.1% 2.2%
*Performance figures do not reflect fees and expenses associated with an
investment in variable insurance products offered by Security Benefit Life
Insurance Company. Shares of a Series of SBL Fund are available only through
the purchase of such products.
The performance data quoted above represents past performance. Past performance
is not predictive of future performance. The investment return and principal
value of an investment will fluctuate so that an investor's shares, when
redeemed, may be worth more or less than their original cost.
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SERIES E (HIGH GRADE INCOME SERIES)
August 15, 1996
Following an excellent year for fixed income investments in 1995, we entered
this year with the portfolio positioned to benefit from continued low inflation,
moderate economic growth and stable to declining interest rates. Although actual
inflation has remained well under control, fear that rapid economic growth would
cause a rise in future inflation levels led investors to shy away from bonds.
When the Labor Department released its January unemployment figures on February
2, showing much higher levels of employment than anticipated, bond investors
became inflation vigilantes and began selling longer-maturity issues. This sell
off continued through the first six months. The thirty-year Treasury yield
peaked near 7.20% in mid-June, up from 5.94% at the end of 1995.
PORTFOLIO STRATEGIES FOR 1996
Moving through the first half of 1996, we had in mind three principal strategies
for the High Grade Income Series: to shorten the average duration to be more in
line with our peer group and our benchmark index; to focus on undervalued credit
situations; and to diversify a portion of the portfolio into three new asset
classes including U.S. dollar-denominated foreign bonds ("Yankee" bonds), high
yield bonds and mortgage-backed securities. In February, the Board of Directors
of the SBL Fund approved the use of the new asset classes and we began
restructuring the portfolio at that time.
[PICTURE OF THE SECURITY MANAGEMENT FIXED-INCOME TEAM]
THE SECURITY MANAGEMENT FIXED-INCOME TEAM:
ELAINE MILLER, JANE TEDDER, GREG HAMILTON,
JOHN CLELAND, TOM SWANK, STEVE BOWSER
ATTRACTIVE ISSUES IN THE NEW ASSET CLASSES
We have already enjoyed several "success stories" with investments we've made in
these new asset classes. One of these is Panamerican Beverages, Inc., the
largest soft drink bottler in Latin America. Panamerican, located in Mexico, is
one of Coca-Cola's six top bottlers in the world. They became a publicly-held
company in February and brought to market a bond issue initially unrated by
Moody's rating service and rated BB+ by Standard and Poor's. We purchased some
of the bonds when our credit studies led us to believe that the company deserved
a higher rating but was probably constrained by Mexico's sovereign (country)
rating of "B." As we had anticipated, the company has since been upgraded to
Baa3 and BBB-, and the value of the bonds has increased accordingly.
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SERIES E (HIGH GRADE INCOME SERIES)
August 15, 1996
In the high yield bond arena, we purchased bonds issued by Continental
Cablevision after U.S. West Inc., the telephone company, announced plans to buy
the company. The bonds were rated Ba2 and BB- at the time of the announcement.
We felt reasonably sure that the purchase would be completed and that
Continental Cablevision's bonds would be upgraded at that time. In May, Standard
and Poor's rating service announced that they were upgrading the bonds to BBB+,
in line with new ratings for U.S. West, and their value has benefited from the
upgrade.
EXPECTATIONS FOR THE SECOND HALF
Looking ahead to the second half of 1996, we expect economic strength to
continue into the third quarter, with the Federal Reserve Open Market Committee
needing to raise interest rates at least once in order to bring the economy back
toward a noninflationary rate of growth. We anticipate an economic slowdown
sometime during the fourth quarter, continuing into 1997. The portfolio is
positioned defensively at this time, and will remain so until we see signs of
weakening employment gains, a softer manufacturing sector, slower consumer
spending and only modest export growth. At that time we will move out of some of
our shorter maturities and mortgage-backed securities into issues which will
capture upside movement as bond prices increase.
Greg Hamilton
Portfolio Manager
ASSET MIX**
SERIES E - HIGH GRADE INCOME SERIES
Corporate Bonds....................... 77.7%
Treasury Agencies & Bonds............. 18.2%
Cash & Equivalents.................... 4.1%
**At June 30, 1996
AVERAGE ANNUAL TOTAL RETURN
AS OF JUNE 30, 1996**
1 Year 5 Years 10 Years
Series E 4.0% 7.5% 7.7%
**Performance figures do not reflect fees and expenses associated with an
investment in variable insurance products offered by Security Benefit Life
Insurance Company. Shares of a Series of SBL Fund are available only through
the purchase of such products.
The performance data quoted above represents past performance. Past
performance is not predictive of future performance. The investment return and
principal value of an investment will fluctuate so that an investor's shares,
when redeemed, may be worth more or less than their original cost.
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SERIES J (EMERGING GROWTH SERIES)
August 15, 1996
The Emerging Growth Series experienced excellent results in the first six months
of 1996, increasing 15.82% in value*. The Series' benchmark index, the Standard
& Poor's Midcap Growth Index, was up 10.15% for the same period. The small
capitalization sector of the equity markets outperformed its large cap
counterpart particularly in the second quarter, partly because of a fear of
currency effects on major corporations. Most smaller companies lack foreign
exposure, and do not have currency risk. In addition, cash flows into small
company mutual funds has been particularly strong so far this year.
THE ROLE OF STOCK SELECTION
A major contributor to our total return this year has been excellent stock
selection. With the recent appointment of additional analysts to our team we are
able to intensely review more companies, ferreting out those with strong growth
potential. This has enabled us to add extra value to the portfolio returns above
that of the index.
STRONG PERFORMANCE SECTORS
An area on which we have focused and have been well rewarded for is health care.
Among the holdings in this sector is Dura Pharmaceuticals, Inc. This company
acquires from major manufacturers drugs which sell in small quantities and thus
are not sales leaders for the large companies. Dura is able to focus its
attention and sales efforts on these products, generating sales at levels which
are profitable. Dura has little Federal Drug Administration risk since their
products have already been approved. They often have no manufacturing risk in
cases where the large companies will continue to manufacture the product. For
the six months just completed, Dura Pharmaceuticals has appreciated 61.2%.
[PICTURE OF THE SECURITY MANAGEMENT SMALL CAP TEAM]
THE SECURITY MANAGEMENT SMALL CAP TEAM:
LARRY VALENCIA, FRANK WHITSELL, CINDY SHIELDS, JOHN CLELAND
A second sector which has proved attractive is business services. These
companies provide outsourcing services such as payroll processing, human
resources services, telemarketing, project design and educational training for
major corporations finding it more cost effective to have these tasks performed
off-premises. A leader in the business service arena is APAC Teleservices, Inc.,
which does both outbound and inbound telemarketing. Another is
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SERIES J (EMERGING GROWTH SERIES)
August 15, 1996
Cambridge Technology Partners, Inc. which designs and packages specific hardware
and software projects for companies. Cambridge is able to set up a model for a
project, adapt computer programs for its use, charge a fixed price for the
service, and guarantee a completion time for the project.
THOUGHTS ABOUT THE SECOND HALF
Looking ahead to the second half of the year, we feel that at this point small-
and mid-cap stocks may be overvalued relative to the large capitalization
sector. We have seen some backing up in prices in late June, and there may be
more ahead. A large negative factor is an overabundance of supply: Initial
Public Offerings (IPOs) in the first six months of 1996 totaled over $26
billion, and secondary offerings added almost $37 billion more to issues sold.
As long as this much new supply is available for purchase , it will be difficult
for the equity markets to advance any great amount.
We expect that by this fall the new offerings will slow, along with a slowdown
in economic activity in general. If large-company earnings growth slows, the
smaller companies with consistent earnings increases will again become more
attractive.
Cindy Shields
Portfolio Manager
TOP 5 EQUITY HOLDINGS**
SERIES J - EMERGING GROWTH SERIES
HFS, Inc..................................... 2.2%
U.S. Robotics Corporation.................... 2.1%
Viasoft, Inc................................. 1.9%
Cascade Communications Corporation........... 1.7%
Cambridge Technology Partners, Inc........... 1.7%
**At June 30, 1996
AVERAGE ANNUAL TOTAL RETURN
AS OF JUNE 30, 1996*
1 Year Since Inception
(10-1-92)
Series J 26.5% 18.0%
*Performance figures do not reflect fees and expenses associated with an
investment in variable insurance products offered by Security Benefit Life
Insurance Company. Shares of a Series of SBL Fund are available only through
the purchase of such products.
The performance data quoted above represents past performance. Past performance
is not predictive of future performance. The investment return and principal
value of an investment will fluctuate so that an investor's shares, when
redeemed, may be worth more or less than their original cost.
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SERIES K (GLOBAL AGGRESSIVE BOND SERIES)
August 15, 1996
[LEXINGTON AND MFR LOGOS] SUBADVISORS, MFR ADVISORS, INC., AND
LEXINGTON MANAGEMENT CORPORATION
PORTFOLIO MANAGERS, MARIA FIORINI RAMIREZ
AND DENIS JAMISON
The first half of 1996 was treacherous for U.S. fixed income investors. Here, an
economy growing too fast brought back inflation fears. This caused the yield of
the thirty-year U.S. Treasury bond to rise from 5.94% at the end of 1995 to
6.89% by June 30. The spillover from the backup in U.S. interest rates also
affected core European bond yields, which either rose or were unchanged despite
positive fundamentals.
ADVANTAGES OF DIVERSIFICATION
Fortunately, the Global Aggressive Bond Series is a "true" global fund and
diversifies its investments across many countries. This allowed the fund to
participate in those bond markets which did perform well in the first half of
1996. In particular, the high yielding peripheral European bond markets (Italy,
Spain, Portugal and Greece) enjoyed solid gains. There, stable political
conditions, declining inflation and seemingly prudent fiscal policies pushed
bond yields lower.
"Brady" bonds also did well. These securities, named for former U.S. Treasury
Secretary Nicholas Brady, are repackaged defaulted loans of numerous
lesser-developed countries. In many classes, the maturity values of these bonds
are collateralized by U.S. Treasury bonds with interest payments the
responsibility of the various countries. Among those emerging economies with
Brady debt outstanding is the Philippines, which continued a strong economic
performance and free market reforms. Costa Rica exhibited fiscal discipline by
raising taxes while cutting public spending. Brazil indicated that it would
follow Mexico's lead and refund some of its debt outstanding.
NON-DOLLAR INVESTMENTS
The Global Aggressive Bond Series also benefited from non-dollar denominated
money market investments in Hungary, Turkey and Mexico. Here, high yields more
than compensated investors for the currency risk. The portfolio's investment
approach which stresses diversity produced a 3.91% return for the first six
months of 1996*. This compares favorably with the Lipper World Income Fund
average gain of 1.3%, and with our benchmark Lehman Brothers Global Bond Index
of -0.88%.
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SERIES K (GLOBAL AGGRESSIVE BOND SERIES)
August 15, 1996
INTERNATIONAL MARKETS IN THE SECOND HALF
Looking ahead, we see a weak U.S. bond market constraining the performance of
most of the world's major developed markets. Much like the first six months of
1996, we see the best returns coming from lesser-followed markets. Politicians
around the world have caught the "fiscally responsible fever" and this augurs
well for the debt of lesser-developed countries. Accordingly, these high
yielding securities will remain a significant part of our portfolio.
We thank you for your support and welcome the challenge of providing you with a
diversified, high yielding fund that seeks to keep price volatility comparable
to or below that of ten-year U.S. Treasury securities.
Maria Fiorini Ramirez
Portfolio Manager
Denis P. Jamison
Portfolio Manager
Investing in foreign countries may involve risks, such as currency
fluctuations and political instability, not associated with investing
exclusively in the U.S.
TOP 5 COUNTRIES**
SERIES K - GLOBAL AGRESSIVE BOND SERIES
United States............................... 15.0%
Italy....................................... 9.3%
Greece...................................... 7.3%
Portugal.................................... 7.3%
Australia................................... 6.5%
**At June 30, 1996
AVERAGE ANNUAL TOTAL RETURN
AS OF JUNE 30, 1996*
1 Year Since Inception
(6-1-95)
Series K 7.1% 10.9%
*Performance figures do not reflect fees and expenses associated with an
investment in variable insurance products offered by Security Benefit Life
Insurance Company. Shares of a Series of SBL Fund are available only through
the purchase of such products.
The performance data quoted above represents past performance. Past performance
is not predictive of future performance. The investment return and principal
value of an investment will fluctuate so that an investor's shares, when
redeemed, may be worth more or less than their original cost.
14
<PAGE>
SERIES M (SPECIALIZED ASSET ALLOCATION SERIES)
August 15, 1996
[MERIDIAN INVESTMENT MANAGEMENT LOGO] MANAGED BY SECURITY MANAGEMENT COMPANY
RESEARCH PROVIDED BY MERIDIAN
INVESTMENT MANAGEMENT CORPORATION AND
TEMPLETON/FRANKLIN INVESTMENT
SERVICES, INC.
The Specialized Asset Allocation Series has enjoyed a steady appreciation in net
asset value over the first half of 1996, increasing 6.91%*. Because of the
variety of asset classes in the portfolio, comparison with a single benchmark
index is difficult. For internal comparison purposes, we use a blend of indexes
in the same proportion as the benchmark allocation of the portfolio. This blend
consists of 40% S&P 500 Stock Index, 25% Financial Times World Index (ex U.S.),
10% Wilshire Real Estate Securities Index, 20% Lehman Brothers Aggregate Bond
Index and 5% 91-day U.S. Treasury Bill. This blended index produced a total
return for the six months of 6.66%.
ASSET REALLOCATIONS DURING THE PERIOD
Meridian Investment Management Corporation, the provider of our asset allocation
research services, recommended four changes in the portfolio mix since the
beginning of the year. At the end of January they suggested that we sell our
holdings in the appliance sector of the U.S. stock allocation, reinvesting the
proceeds in real estate. In March, at their recommendation, we sold 1/2 of our
equity position in the United Kingdom, placing the proceeds in cash equivalents.
We disposed of the balance of our U.K. holdings as well as the chemical stock
portion of the U.S. holdings in early May and followed Meridian's suggestion to
invest the proceeds in Italian equities. The final move came in mid-June, when
we moved the cash proceeds from March's sale into the real estate sector.
PORTFOLIO BALANCE AT MID-YEAR
Having made all of these adjustments, Meridian's current target sector
allocations include 34.80% U.S. equities, 35.15% international equities, 15%
U.S. bonds and 15.05% real estate. The three other sectors which may be included
in the portfolio--international bonds, gold, and cash--have no allocations
presently.
This mix reflects our optimism about stocks worldwide, with a slight preference
for the international markets. They have not experienced the strong upward
movement that the domestic equity markets have seen over the past 18 months, and
perhaps carry greater upside potential. Although foreign bonds have appeal, we
feel that the recent decline in U.S. bond prices makes domestic issues more
attractive for purchase at this time. Our real estate investments have made nice
gains through the period of rising rates because higher interest rates produce
more income in real estate investment trusts.
15
<PAGE>
SERIES M (SPECIALIZED ASSET ALLOCATION SERIES)
August 15, 1996
THOUGHTS ABOUT THE NEXT SIX MONTHS
The advantage of an asset allocation fund is the lack of correlation among
various market sectors. For example, U.S. bonds may be in a price decline, but
bonds of other countries may be rising in value at the same time because
economic conditions are different. The same holds true for U.S. and foreign
equities, as well as other broad market categories.
We would not be surprised to see a modest correction in the U.S. equity markets,
but remain positive in general on their outlook for the balance of the year.
International stocks are still early in an upward price cycle, and continue to
look attractive. If U.S. interest rates back up further, we would consider that
a buying opportunity and might increase the allocation to domestic bonds.
Our task is to remain in touch with many markets and the existing economic and
political effects on each one of them. We look forward to serving our
contractholders with the most knowledgeable choices we can make, generating
competitive returns on your investments.
Jane Tedder
Portfolio Manager
Investing in foreign countries may involve risks, such as currency fluctuations
and political instability, not associated with investing exclusively in the U.S.
MERIDIAN TARGET ALLOCATION**
SERIES M - SPECIALIZED ASSET ALLOCATION SERIES
U.S. Equities.............................. 34.80%
International Equities and Equivalents..... 35.15%
Real Estate................................ 15.05%
U.S. Bonds................................. 15.00%
Cash....................................... 0.00%
International Bonds........................ 0.00%
Gold....................................... 0.00%
**At June 30, 1996
AVERAGE ANNUAL TOTAL RETURN
AS OF JUNE 30, 1996*
1 Year Since Inception
(6-1-95)
Series M 14.1% 13.3%
*Performance figures do not reflect fees and expenses associated with an
investment in variable insurance products offered by Security Benefit Life
Insurance Company. Shares of a Series of SBL Fund are available only through
the purchase of such products.
The performance data quoted above represents past performance. Past performance
is not predictive of future performance. The investment return and principal
value of an investment will fluctuate so that an investor's shares, when
redeemed, may be worth more or less than their original cost.
16
<PAGE>
SERIES N (MANAGED ASSET ALLOCATION SERIES)
August 15, 1996
[T. ROWE PRICE LOGO]
SUBADVISOR, T. ROWE PRICE ASSOCIATES, INC.
PORTFOLIO MANAGER, NED NOTZON
The U.S. stock market continued to perform well during the six months ended June
30, but with a higher degree of volatility than in recent years. However, the
bond market suffered as yields rose sharply from their January lows. Your
portfolio, which is well diversified, generated a positive return of 4.01% over
the period, underperforming the equity markets but outperforming fixed income
assets*.
MARKET PERFORMANCE IN THE FIRST HALF
Just six months ago we reported that the economy was slowing and interest rates
were falling. Since then the situation has reversed: interest rates rose through
the period, and the economy's momentum stirred up fears of inflation. Both the
stock and bond markets were extremely volatile. With strong gains in employment,
2.3% annualized growth in the first quarter and a stronger growth rate expected
in the second quarter, bond yields moved higher. The thirty-year Treasury bond
yield climbed to more than 7% from less than 6% at year end, driving down prices
in most sectors of the fixed income market. The exception was high yield
securities, which posted positive returns in excess of 3% over the last six
months. These bonds tend to fare well in a strengthening economy because of
improving corporate profits.
The stock market, on the other hand, continued to post solid advances. The
unmanaged Standard & Poor's 500 index registered a gain of 10.1% for the first
half. Small-cap stocks were even more robust, outperforming their large-cap
counterparts. Although foreign stocks have recently lagged their domestic
counterparts, over the long term foreign equity returns have kept pace with or
exceeded the U.S. market while reducing the overall volatility in a portfolio.
We believe foreign equities offer good value at this time, and as global markets
improve they could favorably influence the performance of your portfolios.
PORTFOLIO HIGHLIGHTS
T. Rowe Price's investment committee meets monthly to adjust the weighting of
stocks, bonds and money market securities within the appropriate ranges for the
portfolio based on market conditions and economic fundamentals. In February the
committee increased the weightings in stocks by adding a foreign equity
component to enhance the overall diversification of the assets. We continued to
overweight bonds since we anticipated a continuation of last year's fixed income
rally. In the equity area we favored large cap stocks over small cap issues.
17
<PAGE>
SERIES N (MANAGED ASSET ALLOCATION SERIES)
August 15, 1996
Foreign stocks failed to deliver the powerful returns of the domestic stock
market. Our exposure here, coupled with an overweighting in bonds, caused the
fund to lag its benchmark slightly over the past six-month and twelve-month
periods.
LOOKING FORWARD TO THE NEXT SIX MONTHS
The strength of the economy has taken many by surprise. If the economy is
growing too fast, it raises the specter of a possible pickup in the rate of
inflation. Because the bond market considers the prospect of accelerating
inflation daunting, interest rates have risen significantly since late last
year. In our view, it is possible that the bond market may experience further
weakness in the months ahead, although the recent rise in yields may have
discounted much of the news on the inflation front. We believe bond returns in
coming months will more likely come from income than from price appreciation.
Turning to stocks, the domestic market has continued to climb, but with
increased volatility. Corporate earnings have been strong, but if interest rates
continue to rise and wage inflation becomes an issue, profits could suffer.
Foreign equity markets appear to offer good value at this time, in our
estimation. The European economic cycle is behind that of the U.S., allowing for
further sustainable growth abroad. In this type of environment, the Managed
Asset Allocation Series' exposure to foreign equities and to selected areas of
the domestic market should benefit performance over the long term.
Ned Notzon
Portfolio Manager
Investing in foreign countries may involve risks, such as currency fluctuations
and political instability, not associated with investing exclusively in the U.S.
TOP 5 EQUITY SECTORS**
SERIES N - MANAGED ASSET ALLOCATION SERIES
Technology.................................. 11.4%
Consumer Staples............................ 8.3%
Interest Sensitive.......................... 6.6%
Energy...................................... 5.2%
Basic Materials............................. 3.8%
**At June 30, 1996
AVERAGE ANNUAL TOTAL RETURN
AS OF JUNE 30, 1996*
1 Year Since Inception
(6-1-95)
Series M 11.3% 10.7%
*Performance figures do not reflect fees and expenses associated with an
investment in variable insurance products offered by Security Benefit Life
Insurance Company. Shares of a Series of SBL Fund are available only through
the purchase of such products.
The performance data quoted above represents past performance. Past performance
is not predictive of future performance. The investment return and principal
value of an investment will fluctuate so that an investor's shares, when
redeemed, may be worth more or less than their original cost.
18
<PAGE>
SERIES O (EQUITY INCOME SERIES)
August 15, 1996
[T. ROWE PRICE LOGO] SUBADVISOR, T. ROWE PRICE ASSOCIATES, INC.
PORTFOLIO MANAGER, BRIAN C. ROGERS
The equity market and the Equity Income Series generated strong returns during
the first half of 1996. Continued good earnings growth and solid investor demand
fueled the advance. Individual investors provided a source of liquidity that
contributed significantly to the market's positive tone, which was particularly
notable in view of the weakness in the fixed income markets. Your Series' return
of 7.95% was about as we would have expected in this type of market: better than
the average of similarly managed funds, but slightly behind the returns of the
Standard & Poor's 500 Stock Index since inception approximately thirteen months
ago*. Please keep in mind that our conservative investment approach often lags
broad market indices in unusually robust markets.
PORTFOLIO STRATEGY IN THE FIRST SIX MONTHS
So far in 1996 the equity market has been characterized by strong investor
preference for high-growth companies and by scorn for interest rate-sensitive
stocks and most fixed income securities. Bond market weakness spilled over into
the utility sector, leading to disappointing returns for utility stocks during
the past six months. Because of improved valuations, we added incremental
investments in several telephone companies and established new positions in Peco
Energy Corporation and Public Service Enterprise Group, Inc. We also added to
other holdings in the sector, such as Unicom Corporation.
Financial stocks were another area we found attractive. We capitalized on price
weakness in American General Corporation, a broadly diversified financial
services firm, by taking a significant position. In addition, we made new
investments in Fleet Financial Group, Inc., a large New England bank, and
Salomon, Inc., the well-known investment banking firm.
We continued to favor depressed cyclical stocks such as Georgia-Pacific
Corporation and Reynolds Metals Company. The latter is of particular interest: a
new chief executive has been named, and we found the prospect of new management
plus the undervalued share price to be an alluring combination.
On the sales side of the ledger, we eliminated or reduced several positions in
stocks that had generated profits for shareholders, where we felt there was
limited upside potential. These included Monsanto, Sears and Helene Curtis
Industries.
OUTLOOK FOR THE NEXT SIX MONTHS
Investors have benefited from a nearly perfect investment environment for stocks
during the past eighteen months, characterized by solid earnings growth, low
inflation, generally supportive interest rates and enthusiastic investor
sentiment. The rise in interest rates
19
<PAGE>
SERIES O (EQUITY INCOME SERIES)
August 15, 1996
during the first six months of 1996 has clouded the picture to some extent,
posing a challenge for further stock market advances in the near term.
At this stage of the economic cycle, with Gross Domestic Product growing at a
rate that has triggered fears of accelerating inflation in some quarters, a
correction in the overall market would not be unexpected. However, in virtually
any environment, we expect to find attractive investments to make on your
behalf.
Brian C. Rogers
Portfolio Manager
TOP 5 EQUITY HOLDINGS**
SERIES O - EQUITY INCOME SERIES
General Electric Company..................... 1.9%
Exxon Corporation............................ 1.8%
Atlantic Richfield Company................... 1.7%
Chase Manhattan Corporation.................. 1.5%
Mellon Bank Corporation...................... 1.4%
**At June 30, 1996
AVERAGE ANNUAL TOTAL RETURN
AS OF JUNE 30, 1996*
1 Year Since Inception
(6-1-95)
Series O 26.1% 24.1%
*Performance figures do not reflect fees and expenses associated with an
investment in variable insurance products offered by Security Benefit Life
Insurance Company. Shares of a Series of SBL Fund are available only through
the purchase of such products.
The performance data quoted above represents past performance. Past performance
is not predictive of future performance. The investment return and principal
value of an investment will fluctuate so that an investor's shares, when
redeemed, may be worth more or less than their original cost.
20
<PAGE>
SERIES S (SOCIAL AWARENESS SERIES)
August 15, 1996
Your Social Awareness Series has experienced a very favorable six months,
appreciating 14.74% year to date compared with its benchmark index, the Domini
Social Index return of 10.06%*. Much of this advantage came from our move in
March out of the large capitalization companies into the small and midsized
firms with less multinational exposure and thus less currency risk.
SECTORS WITH LARGE REPRESENTATION
The portfolio has maintained large weightings in both technology and health
care, two groups which have exhibited strong performance in recent months. We
have been seeking companies with strong and stable earnings growth, expecting
them to perform better than cyclical companies in the current economic
environment.
In the technology sector, one of our best performers has been Microsoft
Corporation, a firm which not only provides attractive returns for its
shareholders but is actively involved in charitable giving as well. Microsoft
also maintains a climate in which women and minorities can be promoted. It has
an excellent reputation for employing the disabled and makes extensive use of
stock options as an incentive for all employees.
LEADING PRACTITIONERS OF SOCIAL AWARENESS
Another outstanding example of social awareness in corporations is DeVry, Inc.,
which offers higher education at relatively low cost. DeVry annually provides
approximately $2.5 million in scholarships, with minorities accounting for about
43% of enrollment in its secondary education facilities. The company
concentrates on determining which skills and technologies are needed in each of
its communities, and develops curricula that will lead directly to jobs in these
areas.
A third company which fits well in our Social Awareness Series is Charles Schwab
Corporation, a leading provider of discount brokerage services. Schwab
established a company foundation for charitable giving in 1993 and annually
awards employees for exceptional volunteer activities. The company actively
seeks and promotes women and minorities throughout all levels of management, and
was among the first in the country to adopt a benefits policy including health
care for the domestic partners of its employees. Schwab also permits employees
to contribute a portion of accrued vacation or sick leave time to employees with
life-threatening illnesses.
21
<PAGE>
SERIES S (SOCIAL AWARENESS SERIES)
August 15, 1996
MOVING INTO THE SECOND HALF OF 1996
Looking ahead, we feel that the Social Awareness Series is fortunate to have no
market capitalization constraints. We are able to move among small, mid-cap and
large companies as economic conditions warrant. We will begin to shift back to
large cap issues over the next few months as the markets for small company
stocks level off. We'll also continue to monitor conditions carefully to keep
the portfolio positioned appropriately.
Cindy Shields
Portfolio Manager
TOP 5 EQUITY HOLDINGS**
SERIES S - SOCIAL AWARENESS SERIES
DeVry, Inc................................... 2.0%
Clear Channel Communications, Inc............ 1.8%
Cisco Systems, Inc........................... 1.7%
Praxair, Inc................................. 1.7%
Paychex, Inc................................. 1.6%
**At June 30, 1996
AVERAGE ANNUAL TOTAL RETURN
AS OF JUNE 30, 1996*
1 Year 5 Year Since Inception
(5-1-91)
Series S 28.9% 15.2% 13.6%
*Performance figures do not reflect fees and expenses associated with an
investment in variable insurance products offered by Security Benefit Life
Insurance Company. Shares of a Series of SBL Fund are available only through
the purchase of such products.
The performance data quoted above represents past performance. Past performance
is not predictive of future performance. The investment return and principal
value of an investment will fluctuate so that an investor's shares, when
redeemed, may be worth more or less than their original cost.
22
<PAGE>
STATEMENTS OF NET ASSETS
JUNE 30, 1996
(UNAUDITED)
SERIES A (GROWTH)
NUMBER MARKET
OF SHARES COMMON STOCKS VALUE
- --------------------------------------------------------------------------------
ADVERTISING - 1.6%
200,000 Omnicom Group, Inc............................. $ 9,300,000
AEROSPACE & DEFENSE - 5.1%
100,000 Lockheed Martin Corporation.................... 8,400,000
200,000 McDonnell Douglas Corporation.................. 9,700,000
60,000 Raytheon Company............................... 3,097,500
150,000 Rockwell International Corporation............. 8,587,500
-----------
29,785,000
BANKING & FINANCE - 4.0%
100,000 BankAmerica Corporation........................ 7,575,000
120,000 Chase Manhattan Corporation.................... 8,475,000
30,000 Wells Fargo & Company.......................... 7,166,250
-----------
23,216,250
CHEMICALS - BASIC - 4.5%
120,000 Hercules, Inc.................................. 6,630,000
250,000 Monsanto Company............................... 8,125,000
60,000 Olin Corporation............................... 5,355,000
80,000 W.R. Grace & Company........................... 5,670,000
-----------
25,780,000
CHEMICALS - SPECIALTY - 2.8%
200,000 Morton International, Inc...................... 7,450,000
200,000 Praxair, Inc................................... 8,450,000
-----------
15,900,000
COMMUNICATION EQUIPMENT - 1.5%
100,000 U.S. Robotics Corporation*..................... 8,550,000
COMPUTER SERVICES - 3.8%
150,000 Ceridian Corporation*.......................... 7,575,000
100,000 Computer Sciences Corporation*................. 7,475,000
130,000 Electronic Data Systems Corporation............ 6,987,500
-----------
22,037,500
COMPUTER SOFTWARE - 1.9%
55,000 Microsoft Corporation*......................... 6,606,875
112,500 Oracle Corporation*............................ 4,436,719
-----------
11,043,594
CONGLOMERATE - 5.7%
160,000 AlliedSignal, Inc.............................. 9,140,000
400,000 Canadian Pacific, Ltd.......................... 8,800,000
100,000 Tenneco, Inc................................... 5,112,500
400,000 U.S. Industries, Inc.*......................... 9,650,000
-----------
32,702,500
NUMBER MARKET
OF SHARES COMMON STOCKS (CONTINUED) VALUE
- --------------------------------------------------------------------------------
CONSUMER SERVICES - 1.3%
400,000 ADT, Ltd.*..................................... $ 7,550,000
ELECTRIC MACHINERY & ELECTRONIC COMPONENTS - 2.8%
100,000 General Electric Company....................... 8,650,000
200,000 General Instrument Corporation*................ 5,775,000
128,400 Loral Space & Communications*.................. 1,749,450
-----------
16,174,450
ELECTRONICS - 0.5%
60,000 Varian Associates, Inc......................... 3,105,000
ENTERTAINMENT - 2.1%
240,000 Carnival Corporation (CI. A)................... 6,930,000
80,000 The Walt Disney Company........................ 5,030,000
-----------
11,960,000
FERTILIZER - 1.1%
100,000 Potash Corporation of Saskatchewan, Inc........ 6,625,000
FINANCIAL SERVICES - 1.0%
180,000 Federal National Mortgage Association.......... 6,030,000
FOOD & BEVERAGES - 6.9%
100,000 Anheuser-Busch Companies, Inc.................. 7,500,000
120,000 CPCInternational, Inc.......................... 8,640,000
150,000 ConAgra, Inc................................... 6,806,250
300,000 PepsiCo, Inc................................... 10,612,500
200,000 Sara Lee Corporation........................... 6,475,000
-----------
40,033,750
HOSPITAL MANAGEMENT & SERVICES - 1.6%
115,000 Columbia/HCA Healthcare Corporation............ 6,138,125
100,000 Vencor, Inc.*.................................. 3,050,000
-----------
9,188,125
HOUSEHOLD PRODUCTS - 2.2%
100,000 Gillette Company............................... 6,237,500
75,000 Procter & Gamble Company....................... 6,796,875
-----------
13,034,375
INSURANCE - 4.0%
70,000 Allstate Corporation........................... 3,193,750
75,000 American International Group, Inc.............. 7,396,875
269,400 Equitable Companies, Inc....................... 6,701,325
113,000 Jefferson-Pilot Corporation.................... 5,833,625
-----------
23,125,575
MACHINERY - 1.4%
210,000 Deere & Company................................ 8,400,000
SEE ACCOMPANYING NOTES.
23
<PAGE>
STATEMENTS OF NET ASSETS
JUNE 30, 1996
(UNAUDITED)
SERIES A (GROWTH) (CONTINUED)
NUMBER MARKET
OF SHARES COMMON STOCKS (CONTINUED) VALUE
- --------------------------------------------------------------------------------
MANUFACTURING - 1.4%
50,000 Millipore Corporation.......................... $ 2,093,750
250,000 Pall Corporation............................... 6,031,250
-----------
8,125,000
MEDICAL INSTRUMENTS & SUPPLIES - 2.2%
180,000 Baxter International, Inc...................... 8,505,000
75,000 Medtronic, Inc................................. 4,200,000
-----------
12,705,000
MOTOR VEHICLES & EQUIPMENT - 1.4%
250,000 Ford Motor Company............................. 8,093,750
NATURAL GAS - 1.2%
170,000 Coastal Corporation............................ 7,097,500
OIL & GAS PIPELINES - 1.5%
150,000 MAPCO, Inc..................................... 8,456,250
PAINT & ALLIED PRODUCTS - 1.1%
140,000 Sherwin-Williams Company....................... 6,510,000
PETROLEUM REFINING - 3.0%
10,000 Louisiana Land & Exploration Company........... 576,250
80,000 Mobil Corporation.............................. 8,970,000
50,000 Royal Dutch Petroleum Company ADR.............. 7,687,500
-----------
17,233,750
PHARMACEUTICALS - 9.4%
200,000 Allergan, Inc.................................. 7,850,000
150,000 American Home Products Corporation............. 9,018,750
100,000 Bristol-Myers Squibb Company................... 9,000,000
120,000 Merck & Company, Inc........................... 7,755,000
200,000 Pharmacia & Upjohn, Inc........................ 8,875,000
100,000 Schering-Plough Corporation.................... 6,275,000
100,000 SmithKline Beecham PLC ADR..................... 5,437,500
-----------
54,211,250
PHOTOGRAPHIC EQUIPMENT & SUPPLIES - 1.3%
100,000 Eastman Kodak Company.......................... 7,775,000
PUBLISHING & PRINTING - 0.5%
60,000 McGraw-Hill Companies, Inc..................... 2,745,000
RESTAURANTS & FOOD SERVICE - 2.5%
180,000 McDonald's Corporation......................... 8,415,000
325,000 Wendy's International, Inc..................... 6,053,125
-----------
14,468,125
NUMBER MARKET
OF SHARES COMMON STOCKS (CONTINUED) VALUE
- --------------------------------------------------------------------------------
RETAIL TRADE - 7.0%
235,000 Federated Department Stores, Inc.*............. $ 8,019,375
212,500 Leggett & Platt, Inc........................... 5,896,875
100,000 May Department Stores Company.................. 4,375,000
210,000 Safeway, Inc.*................................. 6,930,000
190,000 Vons Companies, Inc............................ 7,101,250
60,000 Wal-Mart Stores, Inc........................... 1,522,500
200,000 Walgreen Company............................... 6,700,000
-----------
40,545,000
TELECOMMUNICATIONS - 2.9%
350,000 Frontier Corporation........................... 10,718,750
150,000 Sprint Corporation............................. 6,300,000
-----------
17,018,750
TOYS & SPORTING GOODS - 1.2%
250,000 Mattel, Inc.................................... 7,156,250
TRANSPORTATION - 2.4%
85,000 Burlington Northern Santa Fe................... 6,874,375
100,000 Union Pacific Corporation...................... 6,987,500
-----------
13,861,875
-----------
Total common stocks- Series A
(cost $399,223,776) - 94.8%.................. 549,543,619
Cash and other assets, less liabilities -
Series A - 5.2%.............................. 29,965,799
-----------
Total net assets - Series A - 100.0%......... $579,509,418
===========
SERIES B (GROWTH-INCOME)
PREFERRED STOCKS
BANKING AND CREDIT - 0.7%
60,000 First Nationwide Bank, $8.176.................. $ 6,570,000
ENTERTAINMENT - 0.3%
3,078 Time Warner, Inc............................... 3,023,792
PUBLISHING & PRINTING - 0.3%
30,000 K-III Communications Corporation............... 2,790,000
RADIO & TELEVISION - 0.6%
50,497 Cablevision Systems Corporation................ 4,898,209
-----------
Total preferred stocks - Series B
(cost $16,805,573) - 1.9%.................... 17,282,001
SEE ACCOMPANYING NOTES.
24
<PAGE>
STATEMENTS OF NET ASSETS
JUNE 30, 1996
(UNAUDITED)
SERIES B (GROWTH-INCOME) (CONTINUED)
PRINCIPAL MARKET
AMOUNT CORPORATE BONDS VALUE
- --------------------------------------------------------------------------------
AEROSPACE & DEFENSE - 0.2%
$ 2,000,000 Coltec Industries, Inc., 9.75% - 1999.......... $ 2,040,000
AUTOMOTIVE - 0.4%
3,000,000 Exide Corporation, 10.75% - 2002............... 3,052,500
BUILDING MATERIALS - 0.3%
2,750,000 Knoll, Inc., 10.875% - 2006.................... 2,794,688
COMMUNICATIONS - 3.8%
5,300,000 Allbritton Communications Company, 11.50% - 2004 5,386,125
4,000,000 Century Communications Corporation, 9.50% - 2005 3,870,000
5,500,000 Comcast Corporation, 9.125% - 2006............. 5,211,250
2,000,000 Granite Broadcasting Corporation, 12.75% - 2002 2,172,500
4,250,000 Heritage Media Corporation, 8.75% - 2006....... 3,947,188
4,600,000 Rogers Cablesystems, Ltd., 9.625% - 2002....... 4,559,750
2,000,000 Rogers Communications, Inc., 9.125% - 2006..... 1,855,000
6,000,000 SCI Television, Inc., 11.00% - 2005............ 6,255,000
-----------
33,256,813
CONSUMER GOODS & SERVICES - 1.0%
7,000,000 International Semi-Tech Microelectronics, Inc.,
0% - 2003(1)................................. 4,051,250
5,000,000 Westpoint Stevens, Inc., 9.375% - 2005......... 4,850,000
-----------
8,901,250
DIVERSIFIED - 0.6%
5,000,000 Sequa Corporation, 9.375% - 2003............... 4,956,250
ELECTRIC & GAS COMPANIES - 0.4%
3,500,000 AES Corporation, 10.25% - 2006................. 3,517,500
ENTERTAINMENT - 1.0%
4,000,000 AMF Group, Inc., 10.875% - 2006................ 3,980,000
2,000,000 Harrah's Operating Company, Inc.,
10.875% - 2002............................... 2,145,000
3,000,000 Showboat, Inc., 9.25% - 2008................... 3,037,500
-----------
9,162,500
PRINCIPAL MARKET
AMOUNT CORPORATE BONDS (CONTINUED) VALUE
- --------------------------------------------------------------------------------
FINANCE - 1.5%
$ 4,000,000 Dime Bancorp, Inc., 10.50% - 2005.............. $ 4,325,000
4,500,000 Home Holdings, Inc., 7.75% - 1998.............. 3,645,000
5,350,000 Keystone Group, Inc., 9.75% - 2003............. 5,309,875
-----------
13,279,875
FOOD & BEVERAGE TRADE - 1.2%
3,500,000 Cott Corporation, 9.375% - 2005................ 3,377,500
Southland Corporation,
4,000,000 5.00% - 2003................................. 3,105,000
1,000,000 4.50% - 2004................................. 732,500
3,000,000 TLC Beatrice International Holdings, Inc.,
11.50% - 2005................................ 3,041,250
-----------
10,256,250
GROCERY STORES - 1.1%
5,000,000 Pathmark Stores, Inc., 9.625% -2003............ 4,668,750
Penn Traffic Company,
2,500,000 10.25% - 2002................................ 2,275,000
3,500,000 8.625% - 2003................................ 2,913,750
-----------
9,857,500
HOSPITAL MANAGEMENT - 1.0%
4,750,000 Tenet Healthcare Corporation, 10.125% - 2005... 5,011,250
4,000,000 Regency Health Services, Inc., 9.875% - 2002... 3,850,000
-----------
8,861,250
HOTEL & RECREATION - 0.4%
4,000,000 Four Seasons Hotel, Inc., 9.125% - 2000........ 3,965,000
MANUFACTURING - 0.5%
4,000,000 Schuller International Group, Inc.,
10.875% - 2004............................... 4,300,000
OIL & GAS COMPANIES - 0.5%
4,950,000 Seagull Energy Corporation, 8.625% - 2005...... 4,659,188
PUBLISHING & PRINTING - 1.2%
2,750,000 Golden Books Publishing, Inc., 7.65% - 2002.... 2,344,375
3,500,000 K-III Communications Corporation,
10.625% - 2002............................... 3,635,625
5,500,000 Marvel Holdings, Inc., 0% - 1998............... 4,406,875
-----------
10,386,875
SEE ACCOMPANYING NOTES.
25
<PAGE>
STATEMENTS OF NET ASSETS
JUNE 30, 1996
(UNAUDITED)
SERIES B (GROWTH-INCOME) (CONTINUED)
PRINCIPAL
AMOUNT OR
NUMBER MARKET
OF SHARES CORPORATE BONDS (CONTINUED) VALUE
- --------------------------------------------------------------------------------
REAL ESTATE - 0.3%
$ 2,750,000 Chelsea GCA Realty, Inc., 7.75% - 2001......... $ 2,712,188
REFINERY - 0.5%
$ 4,500,000 Crown Central Petroleum Corporation,
10.875% - 2005............................... 4,567,500
RESTAURANTS - 0.5%
$ 4,000,000 Carrols Corporation, 11.50% - 2003............. 4,045,000
TOBACCO PRODUCTS - 0.3%
$ 2,500,000 Dimon, Inc., 8.875% - 2006..................... 2,531,250
TRANSPORTATION - 0.4%
$ 4,000,000 Teekay Shipping Corporation, 8.32% - 2008...... 3,750,000
-----------
Total corporate bonds - Series B
(cost $150,548,799) - 17.1%.................. 150,853,377
COMMON STOCKS
ADVERTISING - 1.5%
280,000 Omnicom Group, Inc............................. 13,020,000
AEROSPACE & DEFENSE - 4.8%
150,000 Lockheed Martin Corporation.................... 12,600,000
240,000 McDonnell Douglas Corporation.................. 11,640,000
180,000 Raytheon Company............................... 9,292,500
150,000 Rockwell International Corporation............. 8,587,500
-----------
42,120,000
BANKING & FINANCE - 3.4%
130,000 BankAmerica Corporation........................ 9,847,500
150,000 Chase Manhattan Corporation.................... 10,593,750
40,000 Wells Fargo & Company.......................... 9,555,000
-----------
29,996,250
CHEMICALS - BASIC - 3.4%
100,000 Hercules, Inc.................................. 5,525,000
350,000 Monsanto Company............................... 11,375,000
65,000 Olin Corporation............................... 5,801,250
100,000 W.R. Grace & Company........................... 7,087,500
-----------
29,788,750
CHEMICALS - SPECIALTY - 2.4%
230,000 Morton International, Inc...................... 8,567,500
300,000 Praxair, Inc................................... 12,675,000
-----------
21,242,500
COMMUNICATION EQUIPMENT - 1.2%
120,000 U.S. Robotics Corporation*..................... 10,260,000
NUMBER MARKET
OF SHARES COMMON STOCKS (CONTINUED) VALUE
- --------------------------------------------------------------------------------
COMPUTER SERVICES - 2.6%
210,000 Ceridian Corporation*.......................... $ 10,605,000
230,000 Electronic Data Systems Corporation............ 12,362,500
-----------
22,967,500
COMPUTER SOFTWARE - 1.8%
100,000 Microsoft Corporation*......................... 12,012,500
97,500 Oracle Corporation*............................ 3,845,156
-----------
15,857,656
COMPUTER SYSTEMS - 1.2%
110,000 Hewlett-Packard Company........................ 10,958,750
CONGLOMERATE - 4.2%
200,000 AlliedSignal, Inc.............................. 11,425,000
500,000 Canadian Pacific, Ltd.......................... 11,000,000
130,000 Cooper Industries, Inc......................... 5,395,000
200,000 Tenneco, Inc................................... 10,225,000
-----------
38,045,000
CONSUMER SERVICES - 0.7%
350,000 ADT, Ltd.*..................................... 6,606,250
ELECTRIC - UTILITIES - 0.8%
250,000 Kansas City Power & Light Company.............. 6,875,000
ELECTRICAL MACHINERY & ELECTRONIC
COMPONENTS - 2.4%
140,000 General Electric Company....................... 12,110,000
250,000 General Instrument Corporation*................ 7,218,750
128,300 Loral Space & Communications*.................. 1,748,088
-----------
21,076,838
ELECTRONICS - 0.6%
100,000 Varian Associates, Inc......................... 5,175,000
ENTERTAINMENT - 1.3%
180,000 The Walt Disney Company........................ 11,317,500
FERTILIZER - 0.9%
120,000 Potash Corporation of Saskatchewan, Inc........ 7,950,000
FINANCIAL SERVICES - 1.1%
280,000 Federal National Mortgage Association.......... 9,380,000
FOOD & BEVERAGES - 5.7%
130,000 Anheuser-Busch Companies, Inc.................. 9,750,000
150,000 CPC International, Inc......................... 10,800,000
280,000 Coca-Cola Company.............................. 13,685,000
150,000 ConAgra, Inc................................... 6,806,250
300,000 Sara Lee Corporation........................... 9,712,500
-----------
50,753,750
SEE ACCOMPANYING NOTES.
26
<PAGE>
STATEMENTS OF NET ASSETS
JUNE 30, 1996
(UNAUDITED)
SERIES B (GROWTH-INCOME) (CONTINUED)
NUMBER MARKET
OF SHARES COMMON STOCKS (CONTINUED) VALUE
- --------------------------------------------------------------------------------
HOSPITAL MANAGEMENT & SERVICES - 1.4%
200,000 Columbia/HCA Healthcare Corporation............ $ 10,675,000
50,000 Vencor, Inc.*.................................. 1,525,000
-----------
12,200,000
HOUSEHOLD PRODUCTS - 2.9%
200,000 Gillette Company............................... 12,475,000
150,000 Procter & Gamble Company....................... 13,593,750
-----------
26,068,750
INSURANCE - 1.7%
70,000 Allstate Corporation........................... 3,193,750
280,000 Equitable Companies, Inc....................... 6,965,000
92,900 Jefferson-Pilot Corporation.................... 4,795,963
-----------
14,954,713
MACHINERY - 1.0%
225,000 Deere & Company................................ 9,000,000
MANUFACTURING - 0.9%
30,000 Millipore Corporation.......................... 1,256,250
267,700 Pall Corporation............................... 6,458,263
-----------
7,714,513
MEDICAL INSTRUMENTS & SUPPLIES - 1.7%
220,000 Baxter International, Inc...................... 10,395,000
80,000 Medtronic, Inc................................. 4,480,000
-----------
14,875,000
MOTOR VEHICLES & EQUIPMENT - 1.1%
300,000 Ford Motor Company............................. 9,712,500
NATURAL GAS - 2.3%
225,000 Coastal Corporation............................ 9,393,750
280,000 El Paso Natural Gas Company.................... 10,780,000
-----------
20,173,750
OIL & GAS PIPELINES - 1.1%
170,000 MAPCO, Inc..................................... 9,583,750
PETROLEUM REFINING - 1.3%
100,000 Mobil Corporation.............................. 11,212,500
PHARMACEUTICALS - 7.8%
200,000 Allergan, Inc.................................. 7,850,000
200,000 American Home Products Corporation............. 12,025,000
125,000 Bristol-Myers Squibb Company................... 11,250,000
175,000 Merck & Company, Inc........................... 11,309,375
230,000 Pharmacia & Upjohn, Inc........................ 10,206,250
130,000 Schering Plough Corporation.................... 8,157,500
150,000 SmithKline Beecham PLC ADR..................... 8,156,250
-----------
68,954,375
PRINCIPAL
AMOUNT OR
NUMBER MARKET
OF SHARES COMMON STOCKS (CONTINUED) VALUE
- --------------------------------------------------------------------------------
PHOTOGRAPHIC EQUIPMENT & SUPPLIES - 1.1%
125,000 Eastman Kodak Company.......................... $ 9,718,750
PUBLISHING & PRINTING - 0.4%
80,000 McGraw-Hill Companies, Inc..................... 3,660,000
RESTAURANTS & FOOD SERVICE - 2.3%
250,000 McDonald's Corporation......................... 11,687,500
450,000 Wendy's International, Inc..................... 8,381,250
-----------
20,068,750
RETAIL TRADE - 3.0%
220,000 Albertson's, Inc............................... 9,102,500
330,000 Federated Department Stores, Inc.*............. 11,261,250
100,000 May Department Stores Company.................. 4,375,000
80,000 Wal-Mart Stores, Inc........................... 2,030,000
-----------
26,768,750
TELECOMMUNICATIONS - 2.3%
420,000 Frontier Corporation........................... 12,862,500
175,000 Sprint Corporation............................. 7,350,000
-----------
20,212,500
TOYS & SPORTING GOODS - 1.1%
360,000 Mattel, Inc.................................... 10,305,000
TRANSPORTATION - 1.9%
125,000 Burlington Northern Santa Fe................... 10,109,375
100,000 Union Pacific Corporation...................... 6,987,500
-----------
17,096,875
-----------
Total common stocks - Series B
(cost $491,909,670) - 75.3%.................. 665,671,220
COMMERCIAL PAPER
$ 700,000 Alabama Power Company,
5.315%, 7-10-96.............................. 249,594
5.355%, 7-10-96.............................. 449,264
$ 500,000 B.A.T. Capital Corporation, 5.345%, 7-03-96.... 499,703
$ 1,000,000 Carolina Power & Light Company, 5.325%, 8-05-96 994,527
$ 1,900,000 Fluor Corporation,
5.345%, 7-02-96.............................. 499,777
5.41%, 7-02-96............................... 1,399,369
$ 1,700,000 General Electric Capital Corporation,
5.325%, 7-08-96.............................. 1,697,737
$ 1,100,000 General Electric Company, 5.375%, 7-10-96...... 1,098,193
$ 2,200,000 Georgia Power Company, 5.325%, 7-11-96......... 2,196,095
SEE ACCOMPANYING NOTES.
27
<PAGE>
STATEMENTS OF NET ASSETS
JUNE 30, 1996
(UNAUDITED)
SERIES B (GROWTH-INCOME) (CONTINUED)
PRINCIPAL MARKET
AMOUNT COMMERCIAL PAPER (CONTINUED) VALUE
- --------------------------------------------------------------------------------
$ 130,000 Penney (J.C.) Funding Corporation,
5.355%, 7-12-96.............................. $ 129,749
884,000 Phillip Morris Companies, Inc., 5.25%, 7-12-96. 882,300
-----------
Total commercial paper - Series B
(cost $10,096,308) - 1.1%.................... 10,096,308
-----------
Total investments - Series B
(cost $669,360,350) - 95.4%.................. 843,902,906
Cash and other assets, less liabilities -
Series B - 4.6%.............................. 40,563,858
-----------
Total net assets - Series B - 100.0%......... $884,466,764
===========
SERIES C (MONEY MARKET)
COMMERCIAL PAPER
AIRLINES - 2.5%
$ 4,200,000 Harper Group, Inc., 5.32%, 7-09-96............. $ 4,195,035
AUTOMOBILES - 4.8%
8,100,000 Toyota Motor Credit Corporation,
5.31%, 7-09-96............................... 3,196,224
5.32%, 7-15-96............................... 1,496,896
5.31%, 7-18-96............................... 3,391,475
-----------
8,084,595
BROKERAGE - 4.0%
7,000,000 Merrill Lynch & Company, Inc.,
5.33%, 7-10-96............................... 798,934
5.35%, 7-12-96............................... 1,697,221
5.36%, 7-19-96............................... 3,989,280
5.30%, 11-08-96.............................. 489,985
-----------
6,975,420
BUSINESS SERVICES - 4.8%
7,700,000 General Electric Capital Corporation,
5.27%, 7-08-96............................... 1,455,300
5.31%, 7-16-96............................... 3,791,592
5.30%, 1-09-97............................... 2,397,541
531,000 Nordstrom Credit, Inc., 5.35%, 7-11-96......... 530,211
-----------
8,174,644
CHEMICALS - BASIC - 0.8%
1,500,000 du Pont (E.I.) de Nemours & Company,
5.32%, 8-05-96............................... 1,392,759
5.35%, 8-05-96............................... 99,480
-----------
1,492,239
PRINCIPAL MARKET
AMOUNT COMMERCIAL PAPER (CONTINUED) VALUE
- --------------------------------------------------------------------------------
COMBINATION GAS & ELECTRIC - 3.0%
$ 5,000,000 Baltimore Gas & Electric Company,
5.37%, 7-24-96............................... $ 4,982,846
COMPUTER SYSTEMS - 4.5%
7,600,000 International Business Machines Corporation,
5.32%, 7-11-96............................... 2,596,158
5.35%, 7-11-96............................... 4,992,569
-----------
7,588,727
DRUGS - 0.6%
1,000,000 Allergan, Inc., 5.28%, 7-16-96................. 997,800
ELECTRIC UTILITIES - 18.5%
7,500,000 Alabama Power Company, 5.28%, 7-10-96.......... 7,486,650
3,500,000 Carolina Power & Light Company, 5.30%, 8-05-96. 3,480,155
8,000,000 Delmarva Power & Light Company, 5.34%, 7-01-96. 8,000,000
3,673,000 Florida Power & Light Company, 5.42%, 7-05-96.. 3,670,788
1,016,000 Georgia Power Company, 5.30%, 7-11-96.......... 1,014,504
3,864,000 Interstate Power Company,
5.32%, 7-08-96............................... 488,494
5.33%, 7-09-96............................... 499,408
5.38%, 7-26-96............................... 2,864,258
3,700,000 Progress Capital Holdings, Inc., 5.40%, 7-17-96 3,691,120
-----------
31,195,377
ELECTRICAL EQUIPMENT - 3.0%
5,200,000 General Electric Company, 5.31%, 7-15-96....... 5,189,262
ELECTRONICS - 5.3%
2,700,000 Avnet, Inc., 5.31%, 7-17-96.................... 2,692,332
6,200,000 TDK U.S.A. Corporation,
5.37%, 7-22-96............................... 3,189,976
5.38%, 7-22-96............................... 2,990,585
-----------
8,872,893
ENGINEERING - 1.4%
2,300,000 Fluor Corporation, 5.27%, 7-02-96.............. 2,299,663
ENTERTAINMENT - 4.7%
8,000,000 The Walt Disney Company,
5.30%, 9-06-96............................... 3,463,635
5.30%, 10-08-96.............................. 4,431,510
-----------
7,895,145
SEE ACCOMPANYING NOTES.
28
<PAGE>
STATEMENTS OF NET ASSETS
JUNE 30, 1996
(UNAUDITED)
SERIES C (MONEY MARKET) (CONTINUED)
PRINCIPAL MARKET
AMOUNT COMMERCIAL PAPER (CONTINUED) VALUE
- --------------------------------------------------------------------------------
LEASING - 4.7%
$ 7,000,000 International Lease Finance Corporation,
5.29%, 8-19-96............................... $ 6,945,680
1,000,000 PHH Corporation, 5.27%, 7-15-96................ 997,951
-----------
7,943,631
NATURAL GAS - 0.3%
500,000 New Jersey Natural Gas Company,
5.39%, 7-02-96............................... 499,925
NUCLEAR - 4.9%
8,239,000 Bayshore Fuel Company, 5.32%, 7-08-96.......... 8,230,477
RETAIL - GROCERY - 3.4%
5,700,000 Winn-Dixie Stores, Inc.,
5.29%, 7-09-96............................... 4,492,575
5.30%, 7-09-96............................... 1,198,020
-----------
5,690,595
TOBACCO - 8.9%
6,700,000 B.A.T. Capital Corporation,
5.28%, 7-02-96............................... 1,599,765
5.32%, 7-03-96............................... 2,849,158
5.34%, 7-09-96............................... 1,248,518
5.28%, 7-18-96............................... 997,506
8,300,000 Phillip Morris Companies, Inc.
5.26%, 7-12-96............................... 1,996,785
5.28%, 7-12-96............................... 1,297,903
5.29%, 8-29-96............................... 4,953,750
-----------
14,943,385
WASTE - 4.3%
7,500,000 WMX Technologies, Inc., 5.40%, 1-24-97......... 7,259,325
-----------
Total commercial paper - Series C
(cost $142,542,350) - 84.4%.................. 142,510,984
U.S. GOVERNMENT AND GOVERNMENT AGENCY SECURITIES
FEDERAL FARM CREDIT BANKS - 1.8%
3,000,000 4.95%, 3-03-97................................. 2,983,920
FEDERAL NATIONAL MORTGAGE ASSOCIATION - 4.7%
8,000,000 4.97%, 3-10-97................................. 7,957,520
SBA POOLS - 8.9%
1,074,605 6.25% - 2012(4)................................ 1,074,605
940,280 5.875% - 2020(4)............................... 944,981
3,993,926 5.75% - 2021(5)................................ 3,973,957
1,497,723 5.75% - 2021(4)................................ 1,497,723
7,556,506 5.875% - 2021(4)............................... 7,556,506
-----------
15,047,772
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------------------------------
Total U.S. government & government
agency securities - Series C
(cost $26,037,294) - 15.4%................... $ 25,989,212
-----------
Total investments - (cost $168,579,644)
Series C - 99.8%............................. 168,500,196
Cash & other assets, liabilities -
Series C - 0.2%.............................. 256,135
-----------
Total net assets - Series C - 100.0%......... $168,756,331
===========
SERIES D (WORLDWIDE EQUITY)
PREFERRED STOCKS
AUSTRIA - 0.8%
44,100 Bank Austria AG................................ $ 1,826,530
GERMANY - 2.7%
37,200 Fielmann AG.................................... 1,782,709
12,720 SAP AGq........................................ 1,884,661
4,960 Sto AG......................................... 2,474,627
-----------
6,141,997
-----------
Total preferred stocks - Series D
(cost $8,152,741) - 3.5%..................... 7,968,527
COMMON STOCKS
AUSTRALIA - 0.7%
261,300 QBE Insurance Group, Ltd....................... 1,551,224
AUSTRIA - 0.9%
31,500 Creditanstalt-Bankverein....................... 2,083,349
BRAZIL - 1.0%
226,200 Aracruz Celulose S.A. ADR...................... 2,148,900
CANADA - 1.4%
76,800 Jetform Corporation*........................... 1,444,800
240,800 Noranda Forest, Inc............................ 1,606,864
-----------
3,051,664
CHILE - 1.6%
136,600 Banco Osorno y La Union ADR.................... 1,844,100
65,000 Santa Isabel S.A. ADR.......................... 1,803,750
-----------
3,647,850
SEE ACCOMPANYING NOTES.
29
<PAGE>
STATEMENTS OF NET ASSETS
JUNE 30, 1996
(UNAUDITED)
SERIES D (WORLDWIDE EQUITY) (CONTINUED)
NUMBER MARKET
OF SHARES COMMON STOCKS (CONTINUED) VALUE
- --------------------------------------------------------------------------------
FRANCE - 6.1%
28,400 Alcatel Alsthom................................ $ 2,476,760
8,074 Cetelem........................................ 1,814,435
43,400 Lafarge........................................ 2,625,833
49,400 SGS-Thomson Microelectronics N.V.*............. 1,736,700
4,780 Sidel S.A...................................... 1,215,309
18,290 Societe Generale de Surveillance Holding
S.A. "B"..................................... 2,010,710
21,200 Synthelabo..................................... 1,791,201
-----------
13,670,948
GERMANY - 2.6%
76,600 Continental AG................................. 1,242,053
4,710 Daimler-Benz AG*............................... 2,518,411
12,140 G.M. Pfaff AG*................................. 478,172
47,900 Hoechst AG..................................... 1,622,556
-----------
5,861,192
GREECE - 0.7%
28,400 Ergo Bank S.A.................................. 1,561,994
HONG KONG - 0.7%
1,653,000 National Mutual Asia, Ltd...................... 1,452,211
HUNGARY - 1.4%
143,300 OTP Rt......................................... 2,260,975
21,200 Pick Szeged Rt................................. 917,382
-----------
3,178,357
INDONESIA - 1.1%
1,096,500 PT Kawasan Industrial Jababeka................. 1,602,795
415,500 PT Semen Cibinong.............................. 937,822
-----------
2,540,617
IRELAND - 2.4%
327,400 Allied Irish Banks PLC......................... 1,702,702
1,403,100 Jefferson Smurfit Group........................ 3,760,454
-----------
5,463,156
ISRAEL - 0.6%
16,790 Koor Industries, Ltd.*......................... 1,422,775
ITALY - 0.9%
126,200 Bulgari SpA.................................... 2,014,017
JAPAN - 17.0%
151,000 Amada Company, Ltd............................. 1,625,730
54,100 Amway Japan, Ltd............................... 2,714,872
32,000 CSK Corporation................................ 951,825
26,000 H.I.S. Company, Ltd............................ 1,582,299
233,000 Hino Motors, Ltd............................... 2,423,540
NUMBER MARKET
OF SHARES COMMON STOCKS (CONTINUED) VALUE
- --------------------------------------------------------------------------------
JAPAN (CONTINUED)
469,000 Kawasaki Steel Corporation..................... $ 1,690,283
270,000 Komatsu Forklift Company, Ltd.................. 1,958,485
31,400 Maruco Company, Ltd............................ 2,821,989
99,000 Matsushita Electric Industrial Company, Ltd.... 1,842,701
149,000 Matsushita Refrigeration Company, Ltd.......... 1,166,442
126,000 Matsuzakaya Company, Ltd....................... 1,540,511
232,000 Mazda Motor*................................... 1,153,650
400,000 Mitsui Engineering & Shipbuilding*............. 1,218,978
75,000 National House Industrial Corporation.......... 1,170,164
215,000 Nippon Chemi-Con Corporation................... 1,496,761
471,000 Nippon Steel Corporation....................... 1,615,839
79,000 Nitto Denko Corporation........................ 1,391,150
65 NTT Data Communications Systems Corporation.... 1,945,255
25,800 Paris Miki, Inc................................ 1,200,547
17,000 Ryohin Keikaku Company, Ltd.................... 1,532,482
35,500 Sony Corporation............................... 2,335,356
85,000 Sumitomo Foresstry Company..................... 1,240,876
119,000 Yamato Kogyo Company, Ltd...................... 1,422,354
-----------
38,042,089
MALAYSIA - 0.8%
334,000 Malaysian Assurance Alliance Bhd............... 1,768,117
MEXICO - 1.3%
304,200 Tubos De Acero De Mexico S.A. ADR.............. 2,870,888
NETHERLANDS - 1.2%
80,940 Philips Electronics N.V........................ 2,630,076
NEW ZEALAND - 2.0%
1,765,300 Brierley Investments, Ltd...................... 1,670,200
729,600 Carter Holt Harvey, Ltd........................ 1,665,712
360,000 Fisher & Paykel Industries, Ltd................ 1,155,099
-----------
4,491,011
NORWAY - 2.0%
258,200 Fokus Banken AS*............................... 1,406,132
207,100 Saga Petroleum AS.............................. 3,042,636
-----------
4,448,768
PHILIPPINES - 1.6%
2,178,700 C & P Homes, Inc............................... 1,896,152
3,990,000 Filinvest Land, Inc.*.......................... 1,640,876
-----------
3,537,028
SEE ACCOMPANYING NOTES.
30
<PAGE>
STATEMENTS OF NET ASSETS
JUNE 30, 1996
(UNAUDITED)
SERIES D (WORLDWIDE EQUITY) (CONTINUED)
NUMBER MARKET
OF SHARES COMMON STOCKS (CONTINUED) VALUE
- --------------------------------------------------------------------------------
POLAND - 2.7%
53,921 Bank Rozwoju Eksportu S.A...................... $ 1,408,636
61,800 Debica S.A.*................................... 1,500,773
213,163 Elektrim Towarzystwo Handlowe S.A.*............ 1,749,038
11,626 Wedel S.A.*.................................... 521,882
11,870 Zaklady Piwowarski w Zywcu S.A.*............... 917,176
-----------
6,097,505
PORTUGAL - 1.2%
102,900 Portugal Telecom S.A.*......................... 2,689,462
RUSSIA - 0.8%
42,500 LUKoil Holdings of Russia ADR.................. 1,792,225
SOUTH AFRICA - 0.5%
26,000 Rustenburg Platinum Holdings, Ltd.............. 405,499
51,782 Rustenburg Platinum Holdings, Ltd. ADR*........ 807,157
-----------
1,212,656
SPAIN - 1.8%
41,100 Repsol S.A..................................... 1,427,684
136,500 Telefonica de Espana........................... 2,511,813
-----------
3,939,497
SWEDEN - 0.5%
23,100 Astra AB....................................... 1,020,660
SWITZERLAND - 2.8%
2,110 Nestle S.A..................................... 2,406,953
341 Roche Holdings AG.............................. 2,598,264
1,330 Union Bank of Switzerland...................... 1,300,590
-----------
6,305,807
THAILAND - 0.6%
258,000 Krung Thai Bank Public Company, Ltd............ 1,209,264
23,500 Total Access Communication PLC................. 199,750
-----------
1,409,014
UNITED KINGDOM - 5.9%
1,422,000 Aegis Group PLC*............................... 1,158,422
249,000 Antofagasta Holdings PLC....................... 1,247,986
81,000 Bluebird Toys PLC.............................. 292,852
384,400 British Telecommunications PLC................. 2,063,798
186,000 D.F.S. Furniture Complay PLC................... 1,598,934
323,900 Grand Metropolitan PLC......................... 2,146,083
131,800 RTZ Corporation PLC............................ 1,949,019
732,400 Tomkins PLC.................................... 2,755,928
-----------
13,213,022
NUMBER MARKET
OF SHARES COMMON STOCKS (CONTINUED) VALUE
- --------------------------------------------------------------------------------
UNITED STATES - 17.8%
13,500 AlliedSignal, Inc.............................. $ 771,188
12,700 Aluminum Company of America.................... 728,663
16,000 American Express Company....................... 714,000
8,100 American International Group................... 798,863
8,500 AMR Corporation*............................... 773,500
9,900 Becton, Dickinson & Company.................... 794,475
5,200 BJ Services Company*........................... 182,650
12,700 BMC Software, Inc.............................. 757,237
10,100 Boeing Company................................. 879,963
18,200 Boise Cascade Corporation...................... 666,575
23,600 Borders Group, Inc.*........................... 761,100
22,200 Boston Scientific Corporation*................. 999,000
17,700 Cisco Systems, Inc.*........................... 1,003,368
10,200 Citicorp....................................... 842,775
13,400 Colgate-Palmolive Company...................... 1,135,650
13,000 Computer Associates International, Inc......... 926,250
22,600 Conseco, Inc................................... 904,000
21,900 Crown Cork & Seal Company, Inc................. 985,500
27,700 Diamond Offshore Drilling, Inc.*............... 1,585,825
17,900 Dover Corporation.............................. 825,637
25,100 Ecolab, Inc.................................... 828,300
15,100 Eli Lilly & Company............................ 981,500
13,200 Fluor Corporation.............................. 862,950
26,800 Gap, Inc....................................... 860,950
11,100 Hershey Foods Corporation...................... 814,463
15,700 Honeywell, Inc................................. 855,650
19,100 Intel Corporation.............................. 1,402,655
18,400 Johnson & Johnson.............................. 910,800
10,500 Lockheed Martin Corporation.................... 882,000
7,000 Mobil Corporation.............................. 784,875
10,000 NationsBank Corporation........................ 826,250
10,800 Nike, Inc...................................... 1,109,700
25,600 PepsiCo, Inc................................... 905,600
8,600 Procter & Gamble Company....................... 779,375
11,700 Ralston-Purina Group........................... 750,263
14,900 Raytheon Company............................... 769,213
26,900 Safeway, Inc.*................................. 887,700
9,900 Schlumberger, Ltd.............................. 834,075
18,500 Service Corporation International.............. 1,063,750
68,500 Teleport Communications*....................... 1,301,500
18,300 Union Carbide Corporation...................... 727,425
14,400 Warner-Lambert Company......................... 792,000
11,700 Willamette Industries, Inc..................... 694,687
18,400 Williams Companies, Inc........................ 910,800
35,600 WMX Technologies, Inc.......................... 1,165,900
-----------
39,738,600
-----------
Total common stocks - Series D
(cost $166,311,410) - 82.6%.................. 184,854,679
-----------
SEE ACCOMPANYING NOTES.
31
<PAGE>
STATEMENTS OF NET ASSETS
JUNE 30, 1996
(UNAUDITED)
SERIES D (WORLDWIDE EQUITY) (CONTINUED)
MARKET
VALUE
- --------------------------------------------------------------------------------
Total investments - Series D -
(cost $174,464,151) - 86.1%................ $192,823,206
Cash and other assets less
liabilities - 13.9%...................... 31,023,961
------------
Total net assets - Series D - 100.0%....... $223,847,167
============
At June 30, 1996, Series D's investment concentration by industry was as
follows:
Banking................................................ 8.7%
Capital Equipment...................................... 7.4
Construction & Housing................................. 1.4
Consumer Durables...................................... 8.0
Consumer Nondurables................................... 6.8
Electrical and Electronics............................. 5.2
Energy Sources......................................... 4.3
Financial Services..................................... 5.5
Health & Personal Care................................. 4.4
Materials.............................................. 13.9
Merchandising.......................................... 5.4
Metals and Mining...................................... 0.2
Multi-industry......................................... 3.5
Real Estate............................................ 1.4
Services............................................... 4.9
Telecommunications..................................... 3.9
Trade.................................................. 0.8
Transportation......................................... 0.4
Cash and other assets, less liabilities................ 13.9
------
Total net assets....................................... 100.0%
======
SERIES E (HIGH GRADE INCOME)
PRINCIPAL MARKET
AMOUNT CORPORATE BONDS VALUE
- --------------------------------------------------------------------------------
AEROSPACE & DEFENSE - 2.4%
$ 3,000,000 Lockheed Corporation, 7.875% - 2023............ $ 2,936,250
AIR TRANSPORTATION - 5.8%
2,500,000 Southwest Airlines Company, 7.875% - 2007...... 2,553,125
United Airlines,
1,800,000 11.21% - 2014................................ 2,281,500
2,000,000 10.125% - 2015............................... 2,330,000
-----------
7,164,625
SERIES E (HIGH GRADE INCOME) (CONTINUED)
PRINCIPAL MARKET
AMOUNT CORPORATE BONDS (CONTINUED) VALUE
- --------------------------------------------------------------------------------
BANKS - 12.5%
$ 3,000,000 ABN AMRO Bank NV, 7.55% - 2006................. $ 3,041,250
3,000,000 BankAmerica Corporation, 9.70% - 2000.......... 3,300,000
2,500,000 Bank of Montreal, 7.80% - 2007................. 2,578,125
3,500,000 Bank of New York, Inc., 6.50% - 2003........... 3,368,750
3,150,000 Santander Financial Issuances, Ltd.,
7.00% - 2006................................. 3,051,563
-----------
15,339,688
BROKERS, DEALERS & SERVICES - 11.2%
2,500,000 Lehman Brothers, Inc., 7.25% - 2003............ 2,475,000
3,000,000 Merrill Lynch & Company, Inc., 7.375% - 2006... 2,988,750
5,000,000 Morgan Stanley Group, Inc., 7.25% - 2023....... 4,631,250
Salomon, Inc.,
1,000,000 6.70% - 1998................................. 998,750
1,000,000 7.25% - 2001................................. 988,750
1,700,000 7.00% - 2003................................. 1,629,875
-----------
13,712,375
COMMUNICATIONS - 4.8%
3,100,000 Rogers Cablesystems Ltd., 9.625% - 2002........ 3,072,875
3,000,000 Viacom, Inc., 8.00% - 2006..................... 2,760,000
-----------
5,832,875
CONSUMER GOODS & SERVICES - 1.3%
2,750,000 International Semi-Tech Microelectronics,
Inc., 0% - 2003(1)........................... 1,591,563
ELECTRIC & GAS COMPANIES - 3.1%
4,000,000 Pacific Gas & Electric Company, 6.25% - 2003... 3,780,000
ENTERTAINMENT - 3.3%
2,000,000 Harrah's Operating Company, Inc., 8.75% - 2000. 2,022,500
2,200,000 Station Casinos, Inc., 10.125% - 2006.......... 2,142,250
-----------
4,164,750
FINANCE - 5.4%
2,000,000 Home Holdings, Inc., 7.75% - 1998.............. 1,620,000
5,000,000 International Lease Finance Corporation,
7.00% - 2000................................. 5,025,000
-----------
6,645,000
SEE ACCOMPANYING NOTES.
32
<PAGE>
STATEMENTS OF NET ASSETS
JUNE 30, 1996
(UNAUDITED)
SERIES E (HIGH GRADE INCOME) (CONTINUED)
PRINCIPAL MARKET
AMOUNT CORPORATE BONDS (CONTINUED) VALUE
- --------------------------------------------------------------------------------
FOOD & BEVERAGES - 2.8%
$ 400,000 FEMSA Fomento Economico Mexicano SA,
9.50% - 1997................................. $ 410,000
3,000,000 Panamerican Beverages, Inc., 8.125% - 2003..... 3,022,500
-----------
3,432,500
HOSPITAL MANAGEMENT - 1.2%
1,500,000 Tenet Healthcare Corporation, 8.625% - 2003.... 1,516,875
MANUFACTURING - 6.1%
4,000,000 Auburn Hills Trust, 12.00% - 2020.............. 5,780,000
1,700,000 Valasis Inserts, Inc., 9.375% - 1999........... 1,721,250
-----------
7,501,250
MISCELLANEOUS - 5.0%
3,500,000 Residential Funding Mortgage Securities,
Inc., 7.25% - 2010 CMO....................... 3,424,990
1,750,000 Securitized Asset Sales, Inc., 7.50% - 2025 CMO 1,741,218
1,000,000 Structured Asset Securities Corporation,
7.034% - 2028 CMO............................ 952,539
-----------
6,118,747
MOTION PICTURE PRODUCTION - 1.9%
2,000,000 Time Warner Entertainment Company,
10.15% - 2012................................ 2,332,500
PETROLEUM REFINING - 2.4%
2,500,000 Pennzoil Company, 10.125% - 2009............... 2,928,125
PUBLISHING & PRINTING - 2.4%
3,750,000 Marvel Holdings, Inc., 0% - 1998............... 3,004,688
RADIO & TELEVISION - 2.0%
2,250,000 Continental Cablevision, Inc., 8.875% - 2005... 2,401,875
REAL ESTATE - 2.4%
3,000,000 Chelsea GCA Realty, Inc., 7.75% - 2001......... 2,958,750
SERVICE INDUSTRY - 1.7%
2,000,000 Time Warner, Inc., 7.95% - 2000................ 2,047,500
-----------
Total corporate bonds - Series E
(cost $96,933,511) - 77.7% 95,409,936
PRINCIPAL MARKET
AMOUNT GOVERNMENT AND GOVERNMENT AGENCY SECURITIES VALUE
- --------------------------------------------------------------------------------
CANADIAN GOVERNMENT AGENCIES - 2.5%
$ 500,000 Province of British Columbia, 6.50% - 2026..... $ 448,750
2,750,000 Province of Quebec, 7.50% - 2023............... 2,622,813
-----------
3,071,563
U.S. GOVERNMENT AGENCIES - 14.9%
Federal Home Loan Mortgage Corporation,
3,000,000 8.82% - 2004................................. 3,055,350
1,000,000 8.00% - 2006 CMO............................. 1,039,091
3,000,000 7.55% - 2017 CMO............................. 3,045,469
1,250,000 9.00% - 2020 CMO............................. 1,272,225
2,800,000 7.00% - 2021 CMO............................. 2,753,788
638,536 7.00% - 2022 CMO............................. 543,449
Federal National Mortgage Association,
2,500,000 7.50% - 2006 CMO............................. 2,497,431
2,200,000 8.40% - 2020 CMO............................. 2,249,059
Government National Mortgage Association,
653,240 9.50% - 2009................................. 694,376
440,480 9.50% - 2020................................. 465,932
608,552 9% - 2021.................................... 635,232
-----------
18,251,402
U.S. GOVERNMENT SECURITIES - 0.8%
1,000,000 U.S. Treasury Bonds, 6.75% - 2000.............. 1,010,930
-----------
Total government and government
agency securities - Series E
(cost $22,537,464) - 18.2%................... 22,333,895
-----------
Total investments - Series E
(cost $119,470,975) - 95.9%.................. 117,743,831
Cash and other assets, less liabilities -
Series E - 4.1%............................ 5,016,444
-----------
Total net assets - Series E - 100.0%......... $122,760,275
===========
SEE ACCOMPANYING NOTES.
33
<PAGE>
STATEMENTS OF NET ASSETS
JUNE 30, 1996
(UNAUDITED)
SERIES J (EMERGING GROWTH)
NUMBER MARKET
OF SHARES COMMON STOCKS VALUE
- --------------------------------------------------------------------------------
ADVERTISING - 0.5%
13,000 Omnicom Group, Inc............................. $ 604,500
BANKS & TRUSTS - 1.2%
30,000 State Street Boston Corporation................ 1,530,000
BIOTECHNOLOGY - 1.5%
21,000 Amgen, Inc.*................................... 1,134,000
14,500 Genzyme Corporation*........................... 728,625
-----------
1,862,625
BROADCAST MEDIA - 0.2%
2,500 Clear Channel Communications, Inc.*............ 205,937
BROKERAGE - 1.3%
63,000 Schwab (Charles) Corporation................... 1,543,500
BUSINESS SERVICES - 8.5%
14,500 ABR Information Services, Inc.*................ 728,625
25,000 APAC Teleservices, Inc.*....................... 900,000
19,000 Cintas Corporation............................. 1,016,500
18,500 Corrections Corporation of America*............ 1,295,000
56,000 Equifax, Inc................................... 1,470,000
15,960 First Data Corporation......................... 1,270,815
59,250 PMT Services, Inc.*............................ 1,696,031
28,500 Paychex, Inc................................... 1,371,562
20,500 Snap-On, Inc................................... 971,188
-----------
10,719,721
CHEMICALS - SPECIALTY - 2.1%
34,500 Praxair, Inc................................... 1,457,625
23,000 Sigma-Aldrich.................................. 1,230,500
-----------
2,688,125
COMMUNICATIONS - EQUIPMENT - 8.0%
18,000 Ascend Communications, Inc.*................... 1,012,500
27,200 Aspect Telecommunications*..................... 1,346,400
31,000 Cascade Communications Corporation*............ 2,108,000
43,500 General Instruments Corporation*............... 1,256,062
25,500 Tellabs, Inc.*................................. 1,705,313
30,100 U.S. Robotics Corporation*..................... 2,573,550
-----------
10,001,825
COMPUTER SOFTWARE - 16.2%
17,000 Atria Software, Inc.*.......................... 850,000
13,500 CBT Group PLC-ADR*............................. 624,375
33,750 Cadence Design Systems, Inc.*.................. 1,139,063
69,000 Cambridge Technology Partners, Inc.*........... 2,104,500
67,500 Cognos, Inc.*.................................. 1,552,500
25,000 Desktop Data, Inc.*............................ 831,250
19,000 HBO & Company.................................. 1,287,250
NUMBER MARKET
OF SHARES COMMON STOCKS (CONTINUED) VALUE
- --------------------------------------------------------------------------------
COMPUTER SOFTWARE (CONTINUED)
3,000 HCIA, Inc.*.................................... $ 189,000
14,000 HNC Software, Inc.*............................ 647,500
24,000 Informix Corporation*.......................... 540,000
17,500 Inso Corporation*.............................. 916,563
12,000 Medic Computer Systems*........................ 973,500
17,000 Pairgain Technologies, Inc.*................... 1,054,000
43,500 Parametric Technology Company*................. 1,886,813
18,000 Peoplesoft, Inc.*.............................. 1,282,500
25,000 Project Software & Development, Inc.*.......... 1,171,875
15,500 Rational Software Corporation*................. 833,125
3,500 Softkey International, Inc.*................... 66,281
37,000 Viasoft, Inc.*................................. 2,391,125
-----------
20,341,220
COMPUTER SYSTEMS - 2.4%
32,000 Dell Computer Corporation*..................... 1,628,000
22,000 SCI Systems, Inc.*............................. 893,750
12,000 Verifone, Inc.*................................ 507,000
-----------
3,028,750
ELECTRONICS - 2.0%
47,250 Thermo Electron Corporation*................... 1,966,781
10,000 Varian Associates, Inc......................... 517,500
-----------
2,484,281
FINANCIAL SERVICES - 1.4%
29,500 Franklin Resources, Inc........................ 1,799,500
HEALTH CARE - HMO - 0.4%
13,400 Oxford Health Plans*........................... 551,075
HEALTH CARE - 5.5%
18,500 Cardinal Health, Inc........................... 1,334,312
28,500 OccuSystems, Inc.*............................. 1,065,188
40,000 Omnicare, Inc.................................. 1,060,000
24,200 Parexel International Corporation*............. 1,167,650
34,500 PhyCor, Inc.*.................................. 1,311,000
14,000 Quintiles Transnational Corporation*........... 920,500
-----------
6,858,650
HOSPITAL MANAGEMENT & SERVICES - 2.0%
25,500 Community Health Systems*...................... 1,319,625
34,000 HEALTHSOUTH Corporation*....................... 1,224,000
-----------
2,543,625
HOTEL/MOTEL - 3.3%
38,500 HFS, Inc.*..................................... 2,695,000
42,500 La Quinta Inns, Inc............................ 1,423,750
-----------
4,118,750
SEE ACCOMPANYING NOTES.
34
<PAGE>
STATEMENTS OF NET ASSETS
JUNE 30, 1996
(UNAUDITED)
SERIES J (EMERGING GROWTH) (CONTINUED)
NUMBER MARKET
OF SHARES COMMON STOCKS (CONTINUED) VALUE
- --------------------------------------------------------------------------------
HOUSEHOLD PRODUCTS - 0.7%
21,000 USA Detergents, Inc.*.......................... $ 837,375
INSURANCE - 1.8%
37,250 AFLAC, Inc..................................... 1,112,843
20,500 SunAmerica, Inc................................ 1,158,250
-----------
2,271,093
MANUFACTURING - 1.8%
17,500 Illinois Tool Works............................ 1,183,438
24,500 Millipore Corporation.......................... 1,025,938
-----------
2,209,376
MEDICAL PRODUCTS - 3.6%
27,000 Guidant Corporation............................ 1,329,750
27,500 Hologic, Inc.*................................. 1,216,875
24,000 Research Medical, Inc.*........................ 531,000
33,000 Spine-Tech, Inc.*.............................. 957,000
13,000 Target Therapeutics, Inc.*..................... 533,000
-----------
4,567,625
OIL & GAS EXPLORATION - 3.3%
20,000 Anadarko Petroleum Corporation................. 1,160,000
42,500 Seagull Energy Corporation*.................... 1,062,500
42,000 Sonat, Inc..................................... 1,890,000
-----------
4,112,500
PACKAGING & CONTAINERS - 0.4%
14,000 Sealed Air Corporation*........................ 470,750
PHARMACEUTICALS - 2.9%
33,500 Dura Pharmaceuticals, Inc.*.................... 1,876,000
14,500 Elan Corporation PLC ADR*...................... 828,312
29,200 Jones Medical Industries, Inc.................. 970,900
-----------
3,675,212
POLLUTION CONTROL - 1.4%
36,000 United Waste Systems, Inc.*.................... 1,161,000
34,500 Superior Services, Inc.*....................... 586,500
-----------
1,747,500
RECREATION - 0.9%
28,000 Harley-Davidson, Inc........................... 1,151,500
RESTAURANTS - 3.5%
50,500 Landry's Seafood Restaurants*.................. 1,249,875
27,500 Lone Star Steakhouse & Saloon*................. 1,038,125
26,000 Outback Steakhouse, Inc.*...................... 896,594
25,500 Papa John's International, Inc................. 1,243,125
-----------
4,427,719
PRINCIPAL
AMOUNT OR
NUMBER MARKET
OF SHARES COMMON STOCKS (CONTINUED) VALUE
- --------------------------------------------------------------------------------
RETAIL - 6.6%
25,500 Bed Bath & Beyond, Inc.*....................... $ 682,125
18,000 Corporate Express, Inc.*....................... 720,000
27,000 Kohl's Corporation*............................ 988,875
30,500 The Men's Wearhouse, Inc.*..................... 983,625
13,000 Nine West Group, Inc.*......................... 664,625
29,500 Oakley, Inc.*.................................. 1,342,250
80,250 Staples, Inc.*................................. 1,564,875
35,000 Sunglass Hut International, Inc.*.............. 853,125
6,500 Tiffany & Company.............................. 474,500
-----------
8,274,000
SEMICONDUCTORS - 0.8%
35,000 Atmel Corporation*............................. 1,054,375
TELECOMMUNICATIONS - 2.0%
49,500 Frontier Corporation........................... 1,515,938
43,500 360 Communications Company*.................... 1,044,000
-----------
2,559,938
TEXTILES - APPAREL - 0.8%
19,500 Tommy Hilfiger Corporation*.................... 1,045,687
TRANSPORTATION - 1.6%
45,500 Southwest Airlines............................. 1,325,188
22,500 Illinois Central Corporation................... 638,437
-----------
1,963,625
UTILITIES - 0.3%
14,000 Calenergy, Inc.*............................... 357,000
-----------
Total common stocks - Series J
(cost $86,130,698) - 88.9%................... 111,607,359
Cash and other assets, less liabilities -
Series J - 11.1%........................... 13,963,101
-----------
Total net assets - Series J - 100.0%......... $125,570,460
===========
SERIES K (GLOBAL AGGRESSIVE BOND)
GOVERNMENT OBLIGATIONS
AUSTRALIA - 6.5%
$ 400,000 Commonwealth of Australia 9.00% - 2004(3)...... $ 317,797
$ 400,000 New South Wales Treasury Corporation,
6.50% - 2006(3).............................. 262,034
-----------
579,831
SEE ACCOMPANYING NOTES.
35
<PAGE>
STATEMENTS OF NET ASSETS
JUNE 30, 1996
(UNAUDITED)
SERIES K (GLOBAL AGGRESSIVE BOND) (CONTINUED)
PRINCIPAL MARKET
AMOUNT GOVERNMENT OBLIGATIONS (CONTINUED) VALUE
- --------------------------------------------------------------------------------
CANADA - 1.8%
$ 200,000 Stelco, Inc., 10.40% - 2009(3)................. $ 158,688
COSTA RICA - 2.4%
300,000 Banco Costa Rica, 6.25% - 2010................. 213,750
DOMINICAN REPUBLIC - 3.7%
550,000 Central Bank of Dominican Republic,
6.5625% - 2024............................... 336,875
JORDAN - 2.9%
500,000 Kingdom Jordan, 4.00% - 2023................... 262,500
PORTUGAL - 7.3%
Obrig Do Tes Medio Prazo,
45,000,000 11.875% - 2000(3)............................. 321,197
45,000,000 11.875% - 2005(3)............................. 340,402
-----------
661,599
SOUTH AFRICA - 3.4%
600,000 Electricity Supply Commission, 11.00% - 2008(3) 108,463
1,000,000 Republic of South Africa, 12.00% - 2005(3)..... 199,070
-----------
307,533
SPAIN - 3.7%
40,000,000 Bonos Y Oblig Del Estado, 10.15% - 2006(3)..... 336,470
URUGUAY - 4.8%
500,000 Banco Central Del Uruguay, 6.4375% - 2007...... 435,000
-----------
Total government obligations -
Series K (cost $3,274,998) - 36.5%........... 3,292,246
CORPORATE BONDS
CANADA - 4.0%
500,000 Rogers Communication, Inc., 10.50% - 2006(3)... 359,499
CZECH REPUBLIC - 2.5%
6,000,000 CEZ, a.s., 11.30% - 2005(3).................... 221,068
DENMARK - 4.5%
894,000 Nykredit, 8.00% - 2026(3)...................... 144,404
1,500,000 Realkredit Danmark, 10.00% - 2026(3)........... 272,320
-----------
416,724
THAILAND - 4.5%
9,500,000 Italian-Thai Development Company,
12.50% - 2005(3)............................. 402,755
PRINCIPAL MARKET
AMOUNT CORPORATE BONDS (CONTINUED) VALUE
- --------------------------------------------------------------------------------
UNITED STATES - 1.8%
$ 150,000 Chiquita Brands International, Inc.,
11.50% - 2001................................ $ 159,375
-----------
Total corporate bonds - Series K
(cost $1,568,189) - 17.3%.................... 1,559,421
SHORT-TERM INVESTMENTS
GREECE - 7.3%
Hellenic Treasury Bills,
70,000,000 0% - 12-18-96(3)............................. 273,886
75,000,000 0% - 1-31-97(3).............................. 289,581
25,000,000 0% - 5-31-97(3).............................. 92,699
-----------
656,166
HUNGARY - 2.6%
40,000,000 Government of Hungary Treasury Bills,
0% - 12-20-96(3)............................. 236,694
ITALY - 9.3%
Chase Manhattan Bank Time Deposit,
644,856,667 8.5625% - 7-01-96(3)......................... 420,375
645,927,800 9.00% - 7-08-96(3)........................... 421,074
-----------
841,449
MEXICO - 2.9%
2,000,000 Cetes, 0% - 7-18-96(3)......................... 260,347
NEW ZEALAND - 4.5%
600,000 New Zealand Government Treasury Bills,
0% - 9-11-96(3).............................. 403,628
POLAND - 5.3%
1,390,000 Government of Poland Treasury Bills,
0% - 11-13-96(3)............................. 474,682
TURKEY - 2.3%
17,690,000,000 Government of Turkey Treasury Bills,
0% - 7-16-96(3).............................. 209,076
UNITED STATES - 13.2%
1,200,000 U.S. Treasury Bills, 5.16% - 9-12-96........... 1,187,220
-----------
Total short-term investments -
Series K (cost $4,351,692) - 47.4%........... 4,269,262
-----------
Total investments - Series K
(cost $9,194,879) - 101.2%................... 9,120,929
Liabilities in excess of cash and
other assets - Series K - (1.2%)............. (104,032)
-----------
Total net assets - Series K - 100.0%......... $ 9,016,897
===========
SEE ACCOMPANYING NOTES.
36
<PAGE>
STATEMENTS OF NET ASSETS
JUNE 30, 1996
(UNAUDITED)
SERIES M (SPECIALIZED ASSET ALLOCATION)
PRINCIPAL
AMOUNT OR
NUMBER MARKET
OF SHARES CORPORATE BONDS VALUE
- --------------------------------------------------------------------------------
AIRLINES - 0.4%
$ 100,000 United Airlines, Inc., 9.35% - 2016............ $ 107,330
BANKS & CREDIT - 0.8%
$ 250,000 NationsBank Corporation, 7.25% - 2025.......... 234,688
BROKERAGE - 0.8%
$ 250,000 Merrill Lynch & Company, Inc., 8.0% - 2007..... 260,625
COMMUNICATIONS - 0.3%
$ 40,000 News American Holdings, 8.625% - 2003.......... 42,500
$ 40,000 TCI Communications, Inc., 8.0% - 2005.......... 39,050
-----------
81,550
FINANCIAL SERVICES - 0.4%
$ 125,000 MCN Investment Corporation, 6.32% - 2003....... 119,687
INDUSTRIAL SERVICES - 0.6%
$ 200,000 Martin Marietta Technology, 7.375% - 2013...... 196,250
PETROLEUM - 0.4%
$ 110,000 Occidental Petroleum Corporation, 6.24% - 2000. 107,250
-----------
Total corporate bonds - Series M
(cost $1,150,809) - 3.7%..................... 1,107,380
COMMON STOCKS
AUTO PARTS & SUPPLIES - 2.7%
6,400 Arvin Industries, Inc.......................... 142,400
6,800 Dana Corporation............................... 210,800
3,100 Eaton Corporation.............................. 181,737
3,000 Modine Manufacturing Company................... 79,500
9,100 Simpson Industries............................. 84,175
3,900 Standard Products Company...................... 90,675
3,200 Walbro Corporation............................. 64,800
-----------
854,087
BUILDING MATERIALS - 3.1%
3,200 Ameron International Corporation............... 126,400
4,800 Apogee Enterprises, Inc........................ 164,400
3,050 Butler Manufacturing Company................... 102,937
3,400 Crane Company.................................. 139,400
3,500 Owens Corning Corporation*..................... 150,500
2,000 Ply Gem Industries............................. 27,250
11,000 Schuller Corporation........................... 114,125
7,000 Thomas Industries, Inc......................... 133,875
-----------
958,887
NUMBER MARKET
OF SHARES COMMON STOCKS (CONTINUED) VALUE
- --------------------------------------------------------------------------------
CHEMICALS - BASIC - 0.5%
1,400 Olin Corporation............................... $ 124,950
700 Union Carbide Corporation...................... 27,825
-----------
152,775
COMPUTER SYSTEMS - 4.4%
3,000 Compaq Computer Corporation*................... 147,750
4,100 Dell Computer Corporation*..................... 208,587
1,800 Hewlett-Packard Company........................ 179,325
1,200 International Business Machines Corporation.... 118,800
1,000 Quantum Corporation*........................... 14,625
5,700 SCI Systems, Inc.*............................. 231,563
3,300 Seagate Technology, Inc.*...................... 148,500
2,900 Sequent Computer Systems, Inc.*................ 39,150
3,500 Sun Microsystems, Inc.*........................ 206,062
5,100 Tandem Computers, Inc.*........................ 63,113
-----------
1,357,475
ELECTRONICS - 3.9%
600 AMP, Inc....................................... 24,075
4,800 Arrow Electronics, Inc.*....................... 207,000
3,500 Avent, Inc..................................... 147,438
1,200 CTS Corporation................................ 56,400
2,600 Core Industries, Inc........................... 37,375
4,700 Fluke (John) Manufacturing Company............. 189,763
2,500 Harris Corporation............................. 152,500
7,650 Pioneer Standard Electronics, Inc.............. 101,362
2,800 Varian Associates, Inc......................... 144,900
4,300 Wyle Electronics............................... 142,437
-----------
1,203,250
HOUSING - HOME BUILDING - 2.7%
4,100 Centex Corporation............................. 127,612
1,375 Clayton Homes, Inc............................. 27,500
2,800 Fleetwood Enterprises, Inc..................... 86,800
3,100 Hughes Supply, Inc............................. 107,725
5,000 Kaufman & Broad Home Corporation............... 72,500
400 Lowes Companies, Inc........................... 14,450
3,400 Oakwood Homes Corporation...................... 70,125
1,300 PPG Industries, Inc............................ 63,375
4,100 Pulte Corporation.............................. 109,675
1,800 Sherwin Williams Company....................... 83,700
4,300 Del Webb Corporation........................... 86,000
-----------
849,462
MACHINERY - 4.0%
600 Applied Power, Inc............................. 16,800
3,000 Baldwin Technology, Inc.*...................... 10,500
3,000 Bearings, Inc.................................. 81,000
1,600 Briggs & Stratton Corporation.................. 65,800
SEE ACCOMPANYING NOTES.
37
<PAGE>
STATEMENTS OF NET ASSETS
JUNE 30, 1996
(UNAUDITED)
SERIES M (SPECIALIZED ASSET ALLOCATION) (CONTINUED)
NUMBER MARKET
OF SHARES COMMON STOCKS (CONTINUED) VALUE
- --------------------------------------------------------------------------------
MACHINERY (CONTINUED)
2,500 Commercial Intertech Corporation............... $ 64,375
2,400 Donaldson Company, Inc......................... 61,800
3,200 Dover Corporation.............................. 147,600
4,200 Duriron Company, Inc........................... 100,800
2,300 GATX Corporation............................... 110,975
3,000 Goulds Pumps, Inc.............................. 76,875
3,150 Graco, Inc..................................... 63,788
2,100 Kaydon Corporation............................. 90,300
3,200 Lindsay Manufacturing Company.................. 128,800
4,300 Parker-Hannifin Corporation.................... 182,212
1,500 Trinova Corporation............................ 50,063
-----------
1,251,688
MINING & METALS - 2.2%
700 Alcan Aluminum, Ltd............................ 21,350
2,800 Aluminum Company of America.................... 160,650
3,000 Asarco, Inc.................................... 82,875
5,500 Ashland Coal, Inc.............................. 142,313
3,500 Phelps Dodge Corporation....................... 218,312
1,400 Reynolds Metals Company........................ 72,975
-----------
698,475
RECREATION - 3.7%
6,100 Brunswick Corporation.......................... 122,000
11,200 CPI Corporation................................ 184,800
6,300 Callaway Golf Company.......................... 209,475
5,000 Harcourt General, Inc.......................... 250,000
4,100 Harley-Davidson, Inc........................... 168,613
5,800 King World Productions,Inc.*................... 210,975
-----------
1,145,863
SHOES - 2.2%
7,900 J Baker, Inc................................... 59,250
9,200 Brown Group, Inc............................... 159,850
2,300 Nike, Inc...................................... 236,325
4,100 Reebok International, Ltd...................... 137,863
2,400 Wolverine Worldwide, Inc....................... 78,000
-----------
671,288
STEEL - 2.2%
2,600 Carpenter Technology........................... 83,200
2,000 Cleveland Cliffs, Inc.......................... 78,250
4,500 Commercial Metals Company...................... 149,625
1,800 Lukens Steel Company........................... 42,975
2,200 Nucor Corporation.............................. 111,375
6,000 Oregon Steel Mills, Inc........................ 82,500
2,200 Quanex Corporation............................. 51,975
5,200 Steel Technologies, Inc........................ 79,950
-----------
679,850
PRINCIPAL
AMOUNT OR
NUMBER MARKET
OF SHARES COMMON STOCKS (CONTINUED) VALUE
- --------------------------------------------------------------------------------
TELECOMMUNICATIONS - 2.3%
1,600 Ameritech Corporation.......................... $ 95,000
2,000 Bell Atlantic Corporation...................... 127,500
1,100 BellSouth Corporation.......................... 46,613
3,100 GTE Corporation................................ 138,725
1,000 Nynex Corporation.............................. 47,500
1,200 Pacific Telesis Group.......................... 40,500
2,500 Southern New England Telecommunications........ 105,000
2,200 Sprint Corporation............................. 92,400
366 360 Communications Company*.................... 8,784
-----------
702,022
-----------
Total common stocks - Series M
(cost $10,029,377) - 33.9%................... 10,525,122
GOVERNMENT & GOVERNMENT AGENCY SECURITIES
U.S. GOVERNMENT AGENCIES - 20.3%
Federal Home Loan Mortgage Corporation,
$ 1,114,000 5.16% - 7-18-96(2)........................... 1,110,736
$ 3,000,000 5.2% - 9-30-96(2)............................ 2,970,390
$ 435,000 5.17% - 10-01-96(2).......................... 428,901
$ 65,759 6.0% - 2006.................................. 63,753
$ 250,000 7.0% - 2020.................................. 245,400
$ 100,000 7.0% - 2021.................................. 96,127
Federal National Mortgage Association,
$ 400,000 5.6% - 9-20-96............................... 400,040
$ 183,188 6.5% - 2008.................................. 155,964
$ 384,694 6.5% - 2018.................................. 361,603
$ 170,000 6.95% - 2020................................. 160,725
$ 160,000 7.5% - 2020.................................. 157,362
$ 150,000 8.8% - 2025.................................. 152,719
$ 90,000 Financing Corporation, 0% - 2010............... 31,233
-----------
6,334,953
U.S. GOVERNMENT SECURITIES - 7.0%
U.S. Treasury Bills,
$ 500,000 5.07% - 9-19-96.............................. 494,085
$ 500,000 5.13% - 11-29-96(2).......................... 488,980
SEE ACCOMPANYING NOTES.
38
<PAGE>
STATEMENTS OF NET ASSETS
JUNE 30, 1996
(UNAUDITED)
SERIES M (SPECIALIZED ASSET ALLOCATION) (CONTINUED)
PRINCIPAL
AMOUNT OR
NUMBER GOVERNMENT & GOVERNMENT AGENCY MARKET
OF SHARES SECURITIES (CONTINUED) VALUE
- --------------------------------------------------------------------------------
U.S. GOVERNMENT SECURITIES (CONTINUED)
$ 775,000 U.S. Treasury Bonds, 6.0% - 2026............... $ 686,890
U.S. Treasury Notes,
$ 375,000 6.38% - 2002................................. 371,828
$ 100,000 5.875% - 2005................................ 94,188
$ 50,000 6.5% - 2005.................................. 49,334
-----------
2,185,305
-----------
Total government & government agencies -
Series M (cost $8,603,233) - 27.3%........... 8,520,258
REAL ESTATE INVESTMENT TRUSTS
19,600 BRE Properties, Inc............................ 382,200
5,900 Cambridge Shopping Centres, Ltd................ 42,772
16,700 Federal Realty Investment Trust................ 379,925
19,400 First Union Real Estate Investment Trust....... 126,100
9,400 HRE Properties................................. 143,350
14,400 MGI Properties, Inc............................ 246,600
32,700 New Plan Realty Trust.......................... 690,788
7,900 Pennsylvania Real Estate Investment Trust...... 153,063
11,000 Santa Anita Realty Enterprises, Inc............ 138,875
38,600 Security Capital Pacific Trust................. 839,550
34,100 United Dominion Realty Trust................... 490,187
22,100 Washington Real Estate Investment Trust........ 370,175
16,000 Weingarten Realty Investors.................... 620,000
-----------
Total real estate investment trusts -
Series M (cost $4,526,752) - 14.8%........... 4,623,585
FOREIGN STOCKS
BELGIUM - 6.3%
50 Bekaert SA..................................... 40,059
500 Cementbedrijven Cimenteries.................... 37,505
1,300 Delhaize - Le Lion............................. 64,940
1,600 Electrabel..................................... 341,664
1,450 Fortis AG...................................... 190,223
750 Gevaert Photo Productions...................... 50,153
600 Groupe Bruxelles Lambert....................... 75,074
900 Kredietbank.................................... 269,176
900 Petrofina SA................................... 282,103
550 Royale Belgium................................. 107,792
400 Solvay SA...................................... 245,459
600 Tractebel Investment International............. 245,619
400 Union Miniere*................................. 30,643
-----------
1,980,410
NUMBER MARKET
OF SHARES COMMON STOCKS (CONTINUED) VALUE
- --------------------------------------------------------------------------------
HONG KONG - 6.6%
27,600 Bank of East Asia.............................. $ 100,908
32,000 Cathay Pacific Airways......................... 58,704
32,000 Cheung Kong Holdings........................... 230,476
31,000 China Light & Power Company.................... 140,572
68,000 Chinese Estates................................ 60,616
15,000 Dicksons Concept International................. 19,185
10,000 Elec & Eltek International Holdings............ 1,951
20,000 Hong Kong & Shanghai Hotels.................... 34,106
149,650 Hong Kong Telecommunications................... 268,734
33,000 Hong Kong & China Gas.......................... 52,651
51,000 Hutchinson Whampoa Limited..................... 320,870
8,000 Johnson Elect.................................. 17,983
5,000 Kumagai Gumi................................... 4,489
5,000 Lai-Sun Garment International.................. 6,007
500 Melco International Develop.................... 139
57,000 Oriental Press Group........................... 30,560
10,000 Peregrine Investments Holdings................. 14,405
10,000 Shon Tak Holdings.............................. 6,137
30,000 Sun Hung Kai Properties........................ 303,275
10,000 Swire Pacific, Ltd............................. 85,589
210,000 Tai Cheung Holdings............................ 174,989
23,000 Wing Lung Bank................................. 133,118
-----------
2,065,464
ITALY - 5.2%
11,500 Assicurazioni Gererali......................... 265,191
9,000 Banco Ambrosiano Vento......................... 24,159
22,000 Banco Commerciale Italiane..................... 44,202
2,500 Benetton Group SPA............................. 32,291
37,500 Credito Italiano............................... 43,935
9,000 Edison SPA..................................... 54,307
45,000 Fiat SPA....................................... 150,739
14,000 Fiat SPA - Private............................. 24,567
79,977 Ina-Instituto Naz Assicuraz.................... 105,798
7,500 Instituto Banc San Paolo Tori.................. 48,436
6,441 Instituto Mobiliare Italiano................... 53,782
13,000 MedioBanca..................................... 82,556
70,000 Montedison SPA*................................ 40,686
42,500 Olivetti Group*................................ 22,928
50,000 Pirelli SPA.................................... 83,662
4,500 Ras-Riun Adriat Di Sicurta..................... 46,513
4,000 Sirti SPA...................................... 25,702
98,200 Telecom Italia Mobile SPA...................... 219,404
276,140 Telecom Italia Mobile-DRNC..................... 37,648
20,000 Telecom Italia-RNC............................. 34,509
90,000 Telecom Italia-SPA............................. 193,450
-----------
1,634,465
-----------
Total foreign stocks - Series M
(cost $5,514,689) - 18.1%.................... 5,680,339
SEE ACCOMPANYING NOTES.
39
<PAGE>
STATEMENTS OF NET ASSETS
JUNE 30, 1996
(UNAUDITED)
SERIES M (SPECIALIZED ASSET ALLOCATION) (CONTINUED)
PRINCIPAL
AMOUNT OR
NUMBER MARKET
OF SHARES FOREIGN WARRANTS VALUE
- --------------------------------------------------------------------------------
HONG KONG - 0.0%
1,500 Hong Kong and China Gas-Warrants 1997.......... $ 392
-----------
Total foreign warrants - Series M
(cost $0) - 0.0%............................. 392
TEMPORARY CASH INVESTMENTS
776,000 Vista Federal Money Market Fund................ 776,000
-----------
Total temporary cash - Series M
(cost $776,000)- 2.3%........................ 776,000
-----------
Total investments - Series M
(cost $30,600,860) - 100.1%.................. 31,233,076
Cash & other assets, less liabilities - (0.1%) (24,156)
-----------
Total net assets - Series M - 100.0%......... $ 31,208,920
===========
SERIES N (MANAGED ASSET ALLOCATION)
CORPORATE BONDS
BANKS & CREDIT - 0.5%
$ 100,000 Bankers Trust - NY, 7.25% - 2003............... $ 99,750
BROADCAST MEDIA - 0.5%
$ 50,000 Sinclair Broadcasting, 10.00% - 2005........... 47,625
$ 50,000 Young Broadcasting, 10.125% - 2005............. 48,250
-----------
95,875
CHEMICALS - SPECIALTY - 0.6%
$ 50,000 Agricultural Minerals & Chemicals,
10.75% - 2003................................ 52,875
$ 50,000 IMC Fertilizer Group, Inc., 9.45% - 2011....... 51,000
-----------
103,875
ELECTRIC UTILITIES - 2.5%
$ 50,000 El Paso Electric Company, 8.9% - 2006.......... 49,563
$ 100,000 Florida Power & Light Company, 5.7% - 1998..... 98,875
SERIES N (MANAGED ASSET ALLOCATION) (CONTINUED)
PRINCIPAL MARKET
AMOUNT CORPORATE BONDS (CONTINUED) VALUE
- --------------------------------------------------------------------------------
ELECTRIC UTILITIES (CONTINUED)
$ 100,000 Monongahela Power, 8.5% - 2022................. $ 103,375
50,000 Southern California Edison, 6.5% - 2001........ 48,812
110,000 Texas Utilities, 5.875% - 1998................. 108,763
50,000 Wisconsin Electric Power, 5.875% - 1997........ 49,750
-----------
459,138
ENTERTAINMENT - 0.3%
50,000 United Artists Theatre, 9.3% - 2015............ 47,500
FINANCIAL SERVICES - 0.3%
50,000 Trump Atlantic City, 11.25% - 2006............. 50,250
HEALTH CARE - SERVICES - 0.2%
35,000 Tenet Healthcare Corporation, 8.625% - 2003.... 35,394
HOTEL/MOTEL - 0.5%
50,000 Bally Park Place Funding, 9.25% - 2004......... 53,000
30,000 Grand Casinos, 10.125% - 2003.................. 30,863
-----------
83,863
INDUSTRIAL SERVICES - 6.9%
100,000 American Safety Razor Company, 9.875% - 2005... 101,250
50,000 Coinmach Corporation, 11.75% - 2005............ 52,375
50,000 Collins & Aikman Products, 11.5% - 2006........ 50,250
80,000 Columbia/HCA Healthcare, 8.85% - 2007.......... 88,600
50,000 Consol Cigar, 10.50% - 2003.................... 52,000
50,000 Doane Products Company, 10.625% - 2006......... 50,000
50,000 Dominion Textile USA, 9.25% - 2006............. 48,312
50,000 Dual Drilling Company, 9.875% - 2004........... 52,250
50,000 Freeport-McMoRan Resource Partners,
7.00% - 2008................................. 46,188
50,000 GNF Corporation, 10.625% - 2003................ 54,438
50,000 Gulf Canada, 9.625% - 2005..................... 49,625
50,000 HMC Acquisition Properties, 9.00% - 2007....... 45,438
50,000 Merff Jones, Inc., 11.00% - 2005............... 52,313
SEE ACCOMPANYING NOTES.
40
<PAGE>
STATEMENTS OF NET ASSETS
JUNE 30, 1996
(UNAUDITED)
SERIES N (MANAGED ASSET ALLOCATION) (CONTINUED)
PRINCIPAL
AMOUNT OR
NUMBER MARKET
OF SHARES CORPORATE BONDS (CONTINUED) VALUE
- --------------------------------------------------------------------------------
INDUSTRIAL SERVICES (CONTINUED)
$ 50,000 K & F Industries, 13.75% - 2001................ $ 51,812
$ 50,000 Lenfest Communications, 8.375% - 2005.......... 45,625
$ 50,000 Loehmann's, Inc., 11.875% - 2003............... 51,563
$ 25,000 Portola Packaging, Inc., 10.75% - 2005......... 25,218
$ 100,000 Price/Costco, Inc., 7.125% - 2005.............. 97,750
$ 100,000 Raytheon Company, 6.5% - 2005.................. 95,875
$ 50,000 Rowan Companies, 11.875% - 2001................ 53,750
$ 50,000 Sea Containers, LTD, 12.5% - 2004.............. 55,437
$ 50,000 Wright Medical Technology, 10.75% - 2000....... 48,875
-----------
1,268,944
MANUFACTURING - 0.3%
$ 50,000 Coltec Industries, 10.25% - 2002............... 52,000
PAPER & FOREST PRODUCTS - 0.3%
$ 50,000 Repap Wisconsin, Inc., 9.25% - 2002............ 46,875
RETAIL - FOOD CHAINS - 0.3%
$ 50,000 McDonald's Corporation, 6.625% - 2005.......... 48,062
TEXTILES - 0.3%
$ 50,000 Dan River, Inc., 10.125% - 2003................ 47,937
-----------
Total corporate bonds - Series N
(cost $2,474,070) - 13.5%.................... 2,439,463
COMMON STOCKS
ADVERTISING - 0.1%
200 Omnicom Group, Inc............................. 9,300
AEROSPACE & DEFENSE - 1.0%
500 Boeing Company................................. 43,562
200 Harsco Corporation............................. 13,450
400 Lockheed Martin Corporation.................... 33,600
200 McDonnell Douglas Corporation.................. 9,700
200 Northrop Grumman Corporation................... 13,625
300 Raytheon Company............................... 15,488
300 Rockwell International Corporation............. 17,175
500 Sunstrand Corporation.......................... 18,313
200 United Technologies Corporation................ 23,000
-----------
187,913
NUMBER MARKET
OF SHARES COMMON STOCKS (CONTINUED) VALUE
- --------------------------------------------------------------------------------
AIRLINES - 0.2%
600 Alaska Air Group, Inc.*........................ $ 16,425
300 AMR Corporation*............................... 27,300
-----------
43,725
APPLIANCES - 0.1%
300 Black & Decker Corporation..................... 11,587
100 National Presto Industries..................... 3,800
-----------
15,387
AUTOMOBILES - 1.3%
400 Echlin, Inc.................................... 15,150
1,600 Ford Motor Company............................. 51,800
1,000 General Motors Corporation..................... 52,375
300 Genuine Parts Company.......................... 13,725
2,000 Honda Motor Company, Ltd. ADR.................. 102,000
-----------
235,050
AUTO PARTS & SUPPLIES - 0.1%
200 Arvin Industries, Inc.......................... 4,450
200 TRW, Inc....................................... 17,975
-----------
22,425
BANKS & TRUSTS - 2.5%
600 Banc One Corporation........................... 20,400
612 Chase Manhattan Corporation.................... 43,222
600 Citicorp....................................... 49,575
800 Corestates Financial Corporation............... 30,800
200 Fifth Third Bancorp............................ 10,800
500 First Chicago NBDCorporation................... 19,562
800 First Security Corporation..................... 19,200
700 First Union Corporation........................ 42,612
600 Keycorp........................................ 23,250
300 Mellon Bank Corporation........................ 17,100
400 J.P. Morgan & Company, Inc..................... 33,850
500 Nationsbank Corporation........................ 41,313
615 PNC Bank Corporation........................... 18,296
800 Southtrust Corporation......................... 22,500
300 State Street Boston Corporation................ 15,300
500 U.S. Bancorp Oregon............................ 18,063
100 Wells Fargo & Company.......................... 23,888
-----------
449,731
BEVERAGES - 1.7%
500 Anheuser-Busch Companies, Inc.................. 37,500
1,400 Cadbury Schweppes PLC ADR...................... 45,150
3,400 Coca-Cola Company.............................. 166,175
2,000 PepsiCo, Inc................................... 70,750
-----------
319,575
SEE ACCOMPANYING NOTES.
41
<PAGE>
STATEMENTS OF NET ASSETS
JUNE 30, 1996
(UNAUDITED)
SERIES N (MANAGED ASSET ALLOCATION) (CONTINUED)
NUMBER MARKET
OF SHARES COMMON STOCKS (CONTINUED) VALUE
- --------------------------------------------------------------------------------
BROADCAST MEDIA - 0.3%
300 Chris-Craft Industries, Inc.*.................. $ 13,200
400 Comcast Corporation (Cl. A).................... 7,400
300 TCA Cable TV, Inc.............................. 9,075
600 Viacom, Inc. (Cl. B)*.......................... 23,325
-----------
53,000
BROKERAGE - 0.1%
100 Salomon, Inc................................... 4,400
600 Schwab (Charles) Corporation................... 14,700
-----------
19,100
BUILDING MATERIALS - 0.1%
400 Calmat Company................................. 7,250
100 Granite Construction, Inc...................... 2,300
-----------
9,550
BUILDING & REAL ESTATE - 0.1%
500 Masco Corporation.............................. 15,125
CHEMICALS - BASIC - 1.3%
1,300 Akzo Nobel NV ADR.............................. 77,675
500 Dow Chemical Company........................... 38,000
700 du Pont (E.I.) de Nemours & Company............ 55,387
200 FMC Corporation*............................... 13,050
200 Great Lakes Chemical Corporation............... 12,450
300 IMC Global, Inc................................ 11,288
400 Morton International, Inc...................... 14,900
100 Olin Corporation............................... 8,925
200 W.R. Grace & Company........................... 14,175
-----------
245,850
CHEMICALS - DIVERSIFIED - 0.2%
400 Cabot Corporation.............................. 9,800
1,000 Monsanto Company............................... 32,500
-----------
42,300
CHEMICALS - SPECIALTY - 0.7%
300 Dexter Corporation............................. 8,925
600 Ivax Corporation............................... 9,525
200 Loctite Corporation............................ 9,300
300 Lubrizol Corporation........................... 9,112
600 Minnesota Mining & Manufacturing Company....... 41,400
200 Rohm & Haas Company............................ 12,550
200 Sequa Corporation (Cl. A)*..................... 8,625
900 Witco Corporation.............................. 30,938
-----------
130,375
COMMUNICATION EQUIPMENT - 0.3%
200 Tellabs, Inc.*................................. 13,375
400 U.S. Robotics Corporation*..................... 34,200
-----------
47,575
NUMBER MARKET
OF SHARES COMMON STOCKS (CONTINUED) VALUE
- --------------------------------------------------------------------------------
COMPUTER SOFTWARE - 1.7%
400 America Online,Inc.*........................... $ 17,500
100 Autodesk, Inc.................................. 2,987
500 Automatic Data Processing, Inc................. 19,313
400 BMC Software, Inc.*............................ 23,900
300 Cadence Design Systems, Inc.*.................. 10,125
200 Ceridian Corporation*.......................... 10,100
200 Computer Associates International, Inc......... 14,250
300 First Data Corporation......................... 23,888
900 Informix Corporation*.......................... 20,250
900 Microsoft Corporation*......................... 108,112
800 Oracle Corporation*............................ 31,550
300 Parametric Technology Company*................. 13,013
400 Structural Dynamics Research Corporation*...... 8,800
-----------
303,788
COMPUTER SYSTEMS - 1.6%
400 Bay Networks, Inc.*............................ 10,300
600 Cisco Systems, Inc.*........................... 33,975
200 Comdisco, Inc.................................. 5,325
400 Compaq Computer Corporation*................... 19,700
300 Dell Computer Corporation*..................... 15,263
200 Digital Equipment Corporation*................. 9,000
600 Hewlett-Packard Company........................ 59,774
700 International Business Machines Corporation.... 69,300
200 Micro Warehouse, Inc.*......................... 4,000
400 Seagate Technology, Inc.*...................... 18,000
200 Stratus Computer, Inc.*........................ 5,800
300 Sun Microsystems, Inc.*........................ 17,663
500 3Com Corporation*.............................. 22,875
-----------
290,975
COSMETICS - 0.1%
300 International Flavors & Fragrances, Inc........ 14,287
DISTRIBUTION CONSUMER PRODUCTS - 0.1%
200 McKesson Corporation........................... 9,525
DRUGS - 0.5%
300 Amgen, Inc.*................................... 16,200
100 Genzyme Corporation*........................... 5,025
1,600 Johnson & Johnson.............................. 79,200
-----------
100,425
ELECTRICAL EQUIPMENT - 1.4%
400 Emerson Electric Company....................... 36,150
2,400 General Electric Company....................... 207,600
200 Hubbell, Inc. (Cl. B).......................... 13,250
-----------
257,000
SEE ACCOMPANYING NOTES.
42
<PAGE>
STATEMENTS OF NET ASSETS
JUNE 30, 1996
(UNAUDITED)
SERIES N (MANAGED ASSET ALLOCATION) (CONTINUED)
NUMBER MARKET
OF SHARES COMMON STOCKS (CONTINUED) VALUE
- --------------------------------------------------------------------------------
ELECTRIC UTILITIES - 2.5%
500 Allegheny Power System, Inc.................... $ 15,438
500 CMS Energy Corporation......................... 15,437
700 Duke Power Company............................. 35,875
1,700 Edison International........................... 29,963
1,100 Empresa Nacional De Electricidad SA ADR........ 68,888
600 Entergy Corporation............................ 17,025
200 FPL Group, Inc................................. 9,200
300 Florida Progress Corporation................... 10,424
700 Idaho Power Company............................ 21,787
500 Illinova Corporation........................... 14,375
500 Ipalco Enterprises, Inc........................ 13,125
800 Midamerican Energy Company..................... 13,800
500 Nipsco Industries, Inc......................... 20,125
700 New York State Electric & Gas Corporation...... 17,063
1,000 Niagara Mohawk Power Corporation............... 7,750
700 Pacific Gas & Electric Company................. 16,275
600 Portland General Corporation................... 18,525
400 Potomac Electric Power Company................. 10,600
700 Scana Corporation.............................. 19,688
900 Southern Company............................... 22,162
400 Southwestern Public Services Company........... 13,050
600 Teco Energy, Inc............................... 15,150
400 Texas Utilities Company........................ 17,100
800 Unicom Corporation............................. 22,300
-----------
465,125
ELECTRONICS - 1.9%
1,150 Analog Devices, Inc.*.......................... 29,325
200 Arrow Electronics, Inc.*....................... 8,625
900 Hitachi LTD ADR................................ 84,375
600 Molex, Inc..................................... 19,050
700 Motorola, Inc.................................. 44,013
2,000 Phillips Electronics NV ADR.................... 65,250
200 Solectron Corporation*......................... 7,575
200 Stratacom, Inc.*............................... 11,250
100 Symbol Technologies, Inc.*..................... 4,450
100 Teleflex, Inc.................................. 4,775
1,000 Thermo Electron Corporation*................... 41,625
200 Varian Associates, Inc......................... 10,350
600 Xilinx, Inc.*.................................. 19,050
-----------
349,713
ELECTRONIC SYSTEMS - 0.2%
300 Honeywell, Inc................................. 16,350
200 Jacobs Engineering Group*...................... 5,275
600 Oy Nokia AB Corporation ADR.................... 22,200
-----------
43,825
NUMBER MARKET
OF SHARES COMMON STOCKS (CONTINUED) VALUE
- --------------------------------------------------------------------------------
ENERGY SERVICES - 0.1%
200 Halliburton Company............................ $ 11,100
ENTERTAINMENT - 0.7%
500 Circus Circus Enterprises, Inc.*............... 20,500
400 Cracker Barrel Old Country Store, Inc.......... 9,700
400 Mirage Resorts, Inc.*.......................... 21,600
914 The Walt Disney Company........................ 57,468
600 Time Warner, Inc............................... 23,550
-----------
132,818
ENVIRONMENTAL - 0.2%
400 U.S.A. Waste Services, Inc.*................... 11,850
700 WMX Technologies, Inc.......................... 22,925
-----------
34,775
FINANCIAL - BANKS, COMMERCIAL - 1.1%
1,500 Australia & New Zealand Banking Group LTD ADR.. 35,438
700 Banco Frances Del Rio De La Plata ADR*......... 20,125
200 Bancorp Hawaii, Inc............................ 7,200
400 City National Corporation...................... 6,300
300 Crestar Financial Corporation.................. 16,012
300 First Bank Systems, Inc........................ 17,400
700 First Tennessee National Corporation........... 21,438
400 Fleet Financial Group, Inc..................... 17,400
300 Mercantile Bankshares Corporation.............. 7,650
400 Northern Trust Corporation..................... 23,100
800 Norwest Corporation............................ 27,900
-----------
199,963
FINANCIAL SERVICES - 1.4%
600 American Express Company....................... 26,775
1,000 Banco Bilbao Viz ADR........................... 40,125
400 Bear Stearns Companies, Inc.................... 9,450
300 H & R Block, Inc............................... 9,788
200 Dean Witter Discovery & Company................ 11,450
200 Federal Home Loan Mortgage Corporation......... 17,100
1,300 Federal National Mortgage Association.......... 43,550
400 Franklin Resources, Inc........................ 24,400
200 Greentree Financial Corporation................ 6,250
200 Household International, Inc................... 15,200
200 Merrill Lynch & Company, Inc................... 13,025
200 Morgan Stanley Group, Inc...................... 9,825
600 Travelers Group, Inc........................... 27,375
-----------
254,313
SEE ACCOMPANYING NOTES.
43
<PAGE>
STATEMENTS OF NET ASSETS
JUNE 30, 1996
(UNAUDITED)
SERIES N (MANAGED ASSET ALLOCATION) (CONTINUED)
NUMBER MARKET
OF SHARES COMMON STOCKS (CONTINUED) VALUE
- --------------------------------------------------------------------------------
FOOD PROCESSING - 1.2%
735 Archer-Daniels-Midland Company................. $ 14,057
200 CPC International, Inc......................... 14,400
500 ConAgra, Inc................................... 22,687
200 Dole Foods, Inc................................ 8,600
300 General Mills.................................. 16,350
700 Heinz (H.J.) Company........................... 21,263
200 Hershey Foods Corporation...................... 14,674
300 IBP, Inc....................................... 8,288
300 Kellogg Company................................ 21,975
300 Ralston-Purina Group........................... 19,238
700 Sara Lee Corporation........................... 22,662
200 Smucker (J.M.) Company (Cl. A)................. 3,925
200 Unilever NY NV ADR............................. 29,025
200 Universal Foods Corporation.................... 7,375
-----------
224,519
FOOD WHOLESALERS - 0.1%
32 Earthgrains Company*........................... 1,048
300 McCormick & Company, Inc....................... 6,637
-----------
7,685
GENERAL MERCHANDISERS - 01.%
700 Price/Costco, Inc.............................. 15,138
2,800 Wal-Mart Stores, Inc........................... 71,050
-----------
86,188
HEALTH CARE - SERVICES - 0.2%
400 Apria Healthcare Group*........................ 12,550
600 Vencor, Inc.*.................................. 18,300
-----------
30,850
HOSPITAL SUPPLIES/HOSPITAL MANAGEMENT - 0.3%
100 Becton Dickinson & Company..................... 8,025
600 Columbia/HCA Healthcare Corporation............ 32,025
500 HEALTHSOUTH Corporation*....................... 18,000
100 Pacificare Health Systems, Inc.*............... 6,775
-----------
64,825
HOTEL/MOTEL - 0.3%
500 HFS, Inc.*..................................... 35,000
200 ITT Corporation*............................... 13,250
-----------
48,250
HOUSEHOLD - PRODUCTS - 0.7%
400 Colgate-Palmolive Company...................... 33,900
1,000 Procter & Gamble Company....................... 90,625
-----------
124,525
NUMBER MARKET
OF SHARES COMMON STOCKS (CONTINUED) VALUE
- --------------------------------------------------------------------------------
HOUSING - HOME BUILDING - 0.1%
300 PPG Industries, Inc............................ $ 14,625
INSURANCE - 1.5%
150 AFLAC, Inc..................................... 4,480
200 Aetna Life & Casualty Company.................. 14,300
300 American Financial Group....................... 9,038
600 American General Corporation................... 21,825
800 American International Group, Inc.............. 78,900
100 Cigna Corporation.............................. 11,787
300 Chubb Corporation.............................. 14,963
200 General Re Corporation......................... 30,450
200 Hartford Steam Boiler Inspection &
Insurance Company............................ 9,825
200 Loews Corporation.............................. 15,775
200 Pacificare Health Systems, Inc.*............... 13,200
200 Progressive Corporation Ohio................... 9,250
300 Torchmark Corporation.......................... 13,125
100 Transatlantic Holdings, Inc.................... 7,013
200 Unum Corporation............................... 12,450
300 United Healthcare Corporation.................. 15,150
-----------
281,531
INTEGRATED PETROLEUM - DOMESTIC - 0.8%
300 Atlantic-Richfield Company..................... 35,550
400 British Petroleum PLCADR....................... 42,750
300 National Fuel Gas Company...................... 10,800
500 Occidental Petroleum Corporation............... 12,375
800 USC Marathon Group............................. 16,100
500 Unocal Corporation............................. 16,875
-----------
134,450
INTEGRATED PETROLEUM - INTERNATIONAL - 2.8%
700 Chevron Corporation............................ 41,300
1,700 Exxon Corporation.............................. 147,688
600 Mobil Corporation.............................. 67,275
1,000 Royal Dutch Petroleum Company ADR.............. 153,750
400 Shell Transport & Trading Company.............. 35,200
400 Texaco, Inc.................................... 33,550
1,000 Total S.A. ADR................................. 37,125
-----------
515,888
MACHINERY - 0.4%
300 Caterpillar, Inc............................... 20,325
200 Danaher Corporation............................ 8,700
300 Deere & Company................................ 12,000
600 Duriron Company, Inc........................... 14,400
300 Tecumseh Products Company...................... 16,125
-----------
71,550
SEE ACCOMPANYING NOTES.
44
<PAGE>
STATEMENTS OF NET ASSETS
JUNE 30, 1996
(UNAUDITED)
SERIES N (MANAGED ASSET ALLOCATION) (CONTINUED)
NUMBER MARKET
OF SHARES COMMON STOCKS (CONTINUED) VALUE
- --------------------------------------------------------------------------------
MANUFACTURING - 0.6%
600 AlliedSignal, Inc.............................. $ 34,275
200 Cross (A.T.) Company (Cl. A)................... 3,550
600 Gencorp, Inc................................... 9,075
200 Illinois Tool Works, Inc....................... 13,525
400 Pall Corporation............................... 9,650
3,000 Tompkins PLCADR................................ 45,750
-----------
115,825
MEDIA & COMMUNICATIONS - 0.1%
600 Banta Corporation.............................. 15,150
MEDICAL - 0.1%
800 Stryker Corporation............................ 18,200
MEDICAL SUPPLIES - 0.2%
300 Baxter International........................... 14,175
200 Boston Scientific Corporation*................. 9,000
300 Medtronic,Inc.................................. 16,800
-----------
39,975
MINING & METALS - 0.4%
500 Aluminum Company of America.................... 28,687
700 Barrick Gold Corporation....................... 18,988
450 Hanna (M.A.) Company........................... 9,394
500 Placer Dome, Inc............................... 11,937
-----------
69,006
MISCELLANEOUS BUSINESS SERVICES - 0.6%
300 Browning-Ferris Industries..................... 8,700
400 Cintas Corporation............................. 21,400
800 Equifax, Inc................................... 21,000
300 Olsten Corporation (The)....................... 8,813
550 Paychex, Inc................................... 26,468
400 Wallace Computer Services, Inc................. 23,900
-----------
110,281
MISCELLANEOUS CONSUMER CYCLICALS - 0.2%
400 Flight Safety International, Inc............... 21,700
400 Mattel, Inc.................................... 11,450
-----------
33,150
MISCELLANEOUS CONSUMER DURABLES - 0.3%
500 Corning, Inc................................... 19,187
400 Eastman Kodak Company.......................... 31,100
200 Tandy Corporation.............................. 9,475
-----------
59,762
MISCELLANEOUS CONSUMER PRODUCTS - 0.9%
400 Jones Apparel Group, Inc.*..................... 19,650
1200 Philip Morris Companies, Inc................... 124,800
300 Spring Industries, Inc., (Cl. A)............... 15,150
300 Tambrands, Inc................................. 12,262
-----------
171,862
NUMBER MARKET
OF SHARES COMMON STOCKS (CONTINUED) VALUE
- --------------------------------------------------------------------------------
MISCELLANEOUS CONSUMER SERVICES - 0.2%
300 CU International, Inc.*........................ $ 10,650
300 Service Corporation International.............. 17,250
-----------
27,900
MISCELLANEOUS - HEALTH CARE - 0.1%
200 Cardinal Health, Inc........................... 14,425
200 U.S. Healthcare, Inc........................... 11,000
-----------
25,425
NATURAL GAS - 0.2%
500 Enron Corporation.............................. 20,438
600 Valero Energy Corporation...................... 15,000
-----------
35,438
NATURAL GAS UTILITIES - 0.2%
500 Calenergy, Inc.*............................... 12,750
500 MCN Corporation................................ 12,188
500 Washington Gas Light Company................... 11,000
-----------
35,938
OFFICE EQUIPMENT & SUPPLIES - 0.4%
200 Alco Standard Corporation...................... 9,050
400 Diebold, Inc................................... 19,300
200 Pitney-Bowes, Inc.............................. 9,550
600 Xerox Corporation.............................. 32,100
-----------
70,000
OIL - 0.8%
1,000 Amerada Hess Corporation....................... 53,625
700 B.J. Services Company*......................... 24,587
200 Helmerich & Payne, Inc......................... 7,325
100 Murphy Oil Corporation......................... 4,538
400 Schlunberger Ltd............................... 33,700
300 Sonat,Inc...................................... 13,500
200 Tosco Corporation.............................. 10,050
-----------
147,325
OIL & GAS DRILLING - 0.2%
200 El Paso Natural Gas Company.................... 7,700
600 Noble Affiliates, Inc.......................... 22,650
400 Repsol SA ADR.................................. 13,900
-----------
44,250
OIL/GAS EQUIPMENT & SERVICES - 0.2%
200 Ensco International, Inc.*..................... 6,500
500 Global Marine, Inc.*........................... 6,938
700 Tidewater, Inc................................. 30,712
-----------
44,150
PACKAGING & CONTAINERS - 0.2%
300 Bemis Company, Inc............................. 10,500
700 Sealed Air Corporation*........................ 23,537
-----------
34,037
SEE ACCOMPANYING NOTES.
45
<PAGE>
STATEMENTS OF NET ASSETS
JUNE 30, 1996
(UNAUDITED)
SERIES N (MANAGED ASSET ALLOCATION) (CONTINUED)
NUMBER MARKET
OF SHARES COMMON STOCKS (CONTINUED) VALUE
- --------------------------------------------------------------------------------
PAPER - 0.1%
400 International Paper Company.................... $ 14,750
400 Wausau Paper Mills Company..................... 7,900
-----------
22,650
PAPER & FOREST PRODUCTS - 0.3%
200 Georgia-Pacific Corporation.................... 14,200
400 Kimberly-Clark Corporation..................... 30,900
400 Weyerhaeuser Company........................... 17,000
-----------
62,100
PETROLEUM - 0.1%
400 Phillips Petroleum Company..................... 16,750
PHARMACEUTICALS - 2.5%
900 Abbott Laboratories............................ 39,150
1,200 American Home Products Corporation............. 72,150
900 Bristol-Myers Squibb Company................... 81,000
800 Carter-Wallace, Inc............................ 11,700
600 Eli Lilly & Company............................ 39,000
1,000 Merck & Company, Inc........................... 64,625
600 Perrigo Company*............................... 6,750
600 Pharmacia & Upjohn, Inc........................ 26,625
800 Pfizer, Inc.................................... 57,100
200 Scherer R.P. Corporation*...................... 9,075
400 Schering-Plough Corporation.................... 25,100
300 Warner Lambert Company......................... 16,500
300 Watson Pharmaceuticals, Inc.*.................. 11,363
-----------
460,138
PUBLISHING - 0.4%
300 Belo (A.H.) Corporation........................ 11,175
400 Dun & Bradstreet Corporation................... 25,000
300 Gannett Company, Inc........................... 21,225
500 McGraw-Hill Companies, Inc..................... 22,875
-----------
80,275
RAILROADS - 0.5%
200 Burlington Northern Santa Fe Corporation....... 16,175
200 CSX Corporation................................ 9,650
400 Kansas City Southern Industries, Inc........... 17,150
200 Norfolk Southern Corporation................... 16,950
400 Union Pacific Corporation...................... 27,950
-----------
87,875
RECREATION - 0.2%
400 Brunswick Corporation.......................... 8,000
400 Callaway Golf Company.......................... 13,300
200 Harley Davidson, Inc........................... 8,225
-----------
29,525
NUMBER MARKET
OF SHARES COMMON STOCKS (CONTINUED) VALUE
- --------------------------------------------------------------------------------
RESTAURANTS - 0.2%
1,500 Brinker International, Inc.*................... $ 22,500
300 Outback Steakhouse, Inc.*...................... 10,345
-----------
32,845
RETAIL - APPAREL - 0.2%
500 Gap, Inc....................................... 16,063
400 Land's End, Inc.*.............................. 9,900
200 TJX Companies, Inc............................. 6,750
-----------
32,713
RETAIL - DEPARTMENT STORES - 0.4%
300 Federated Department Stores, Inc.*............. 10,238
600 Kohls Corporation*............................. 21,975
500 May Department Stores Company.................. 21,875
300 Meyer (Fred), Inc.*............................ 8,812
300 J.C. Penney Company, Inc....................... 15,750
-----------
78,650
RETAIL - DRUG STORES - 0.1%
500 Revco D.S., Inc.*.............................. 11,937
400 Walgreen Company............................... 13,400
-----------
25,337
RETAIL - FOOD CHAINS - 0.3%
1,300 McDonald's Corporation......................... 60,775
RETAIL - GENERAL MERCHANDISING - 0.1%
200 Dayton Hudson Corporation...................... 20,625
RETAIL - GROCERY - 0.3%
600 Albertsons, Inc................................ 24,825
300 Kroger Company*................................ 11,850
300 Vons Companies, Inc.*.......................... 11,212
-----------
47,887
RETAIL - SPECIALTY - 0.5%
400 Bed Bath & Beyond, Inc.*....................... 10,700
200 Circuit City Stores, Inc....................... 7,225
200 Fastenal Company............................... 8,700
800 Home Depot, Inc................................ 43,200
600 Staples, Inc.*................................. 11,700
500 Toys "R" Us, Inc.*............................. 14,250
-----------
95,775
SEMICONDUCTORS - 0.7%
300 Altera Corporation*............................ 11,400
200 Applied Materials, Inc.*....................... 6,100
400 Atmel Corporation*............................. 12,050
1,000 Intel Corporation.............................. 73,438
300 Linear Technology Corporation.................. 9,000
300 Maxim Integrated Products, Inc.*............... 8,193
-----------
120,181
SEE ACCOMPANYING NOTES.
46
<PAGE>
STATEMENTS OF NET ASSETS
JUNE 30, 1996
(UNAUDITED)
SERIES N (MANAGED ASSET ALLOCATION) (CONTINUED)
NUMBER MARKET
OF SHARES COMMON STOCKS (CONTINUED) VALUE
- --------------------------------------------------------------------------------
SHOES - 0.1%
200 Nike, Inc...................................... $ 20,550
144 Payless Shoesource, Inc.*...................... 4,572
-----------
25,122
SPECIALTY MERCHANDISERS - 0.6%
2,000 LVMH Moet Hennessylou ADR...................... 94,750
100 Tiffany & Company.............................. 7,300
400 Viking Office Products, Inc.*.................. 12,550
-----------
114,600
STEEL - 0.2%
600 Carpenter Technology Corporation............... 19,200
300 Nucor Corporation.............................. 15,187
-----------
34,387
TELECOMMUNICATIONS - 3.6%
300 ADC Telecommunications, Inc.*.................. 13,500
1,500 AT&T Corporation............................... 93,000
900 Airtouch Communications, Inc.*................. 25,425
600 Ameritch Corporation........................... 35,625
500 Bell Atlantic Corporation...................... 31,875
1,100 Bellsouth Corporation.......................... 46,613
1,000 British Telecom PLC ADR........................ 53,750
1,200 Ericsson (L.M.) Telecom Company ADR............ 25,800
300 Federal Signal Corporation..................... 7,050
1,200 GTE Corporation................................ 53,700
800 Hong Kong Telecommunications Ltd. ADR.......... 14,400
1,000 MCI Communications Corporation................. 25,625
400 Nextel Communications, Inc., Cl. A*............ 7,625
400 Northern Telecom Limited....................... 21,750
500 Nynex Corporation.............................. 23,750
700 Pacific Telesis Group.......................... 23,625
500 Southern New England Telecommunications
Corporation.................................. 21,000
500 Sprint Corporation............................. 21,000
500 Telecom New Zealand ADR........................ 33,375
400 Telecom Braxileiras SA ADR..................... 27,850
1,200 Vodafone Group PLCADR.......................... 44,250
200 Worldcom, Inc.*................................ 11,075
-----------
661,663
TELEPHONE - 1.0%
600 Century Telephone Enterprises.................. 19,125
1,300 SBC Communications, Inc........................ 64,025
1,800 Telefonos De Mexico ADR........................ 60,300
400 Telephone & Data Systems, Inc.................. 18,000
400 U.S. West, Inc................................. 12,750
900 U.S. West Media Group*......................... 16,425
-----------
190,625
PRINCIPAL
AMOUNT OR
NUMBER MARKET
OF SHARES COMMON STOCKS (CONTINUED) VALUE
- --------------------------------------------------------------------------------
TEXTILES - 0.3%
2,000 Benetton Group SPA ADR......................... $ 52,500
TIRE & RUBBER - 0.1%
300 Goodyear Tire & Rubber Company................. 14,475
TOBACCO - 0.1%
300 American Brands, Inc........................... 13,613
TRANSPORTATION - MISCELLANEOUS - 0.1%
400 Alexander & Baldwin, Inc....................... 9,650
-----------
Total common stocks - Series N
(cost $8,880,771) - 51.0%.................... 9,406,909
GOVERNMENT & GOVERNMENT AGENCY SECURITIES
U.S. GOVERNMENT AGENCIES - 11.6%
$ 855,000 Federal Home Loan Banks, 5.27% - 7-05-96....... 854,499
Government National Mortgage Association,
$ 47,254 11.50% - 2013................................ 52,879
$ 121,868 7.00% - 2025................................. 116,898
$ 90,217 7.50% - 2025................................. 89,327
$ 56,921 8.00% - 2025................................. 57,133
$ 191,088 8.50% - 2025................................. 196,323
$ 127,140 6.50% - 2026................................. 118,383
$ 399,670 7.50% - 2026................................. 393,931
$ 252,500 8.00% - 2026................................. 254,709
-----------
2,134,082
U.S. GOVERNMENT SECURITIES - 11.1%
U.S. Treasury Bonds,
$ 35,000 6.875% - 2025................................ 34,648
$ 250,000 7.625% - 2025................................ 269,672
U.S. Treasury Notes,
$ 225,000 5.75% - 1997................................. 224,548
$ 325,000 6.00% - 1998................................. 324,278
$ 300,000 6.375% - 1999................................ 300,549
$ 75,000 5.625% - 2000................................ 72,632
$ 100,000 6.25% - 2000................................. 99,378
$ 475,000 5.625% - 2001................................ 459,102
$ 75,000 5.875% - 2005................................ 70,641
$ 100,000 6.50% - 2005................................. 98,669
$ 100,000 5.625% - 2006................................ 92,727
-----------
2,046,844
-----------
Total government & government
agency securities - Series N
(cost $4,232,259) - 22.7%.................... 4,180,926
SEE ACCOMPANYING NOTES.
47
<PAGE>
STATEMENTS OF NET ASSETS
JUNE 30, 1996
(UNAUDITED)
SERIES N (MANAGED ASSET ALLOCATION) (CONTINUED)
PRINCIPAL
AMOUNT OR
NUMBER MARKET
OF SHARES MISCELLANEOUS ASSETS VALUE
- --------------------------------------------------------------------------------
ASSET-BACK SECURITIES - 0.3%
$ 50,000 Airplanes Pass Through Trust (Cl. D),
10.875% - 2019............................... $ 52,125
$ 8,340 Hyundai Auto Receivable Trust, 4.30% - 1998.... 8,285
-----------
Total miscellaneous assets - Series N
(cost $58,808) - 0.3%........................ 60,410
FOREIGN CORPORATE BONDS
JAPAN - 1.3%
16,000,000 European Investment Bank, 4.625% - 2003(3)..... 160,647
5,000,000 Interamer Development Bank, 6.00% - 2001(3).... 53,279
3,000,000 KFW International Finance, 6.00% - 1999(3)..... 30,908
-----------
Total foreign bonds - Series N
(cost $277,969) - 1.3%....................... 244,834
FOREIGN GOVERNMENT ISSUES
CANADA - 0.4%
$40,000 Government Bond, 8.50% - 2002.................. 31,100
$60,000 Government Bond, 6.50% - 2004.................. 41,297
-----------
72,397
FRANCE - 0.5%
$410,000 O.A.T. Government Bond, 8.50% - 2002(3)........ 90,146
GERMANY - 1.0%
$125,000 Bundersrepub Deutschland, 8.375% - 2001........ 91,647
$125,000 Bundersrepub Deutschland, 7.375% - 2005........ 86,761
-----------
178,408
UNITED KINGDOM - 0.2%
$28,000 Treasury Bond, 8.00% - 2003.................... 44,431
-----------
Total foreign government issues - Series N
(cost $393,596) - 2.1%....................... 385,382
FOREIGN STOCKS
BELGIUM - 0.2%
100 Kredietbank.................................... 29,909
DENMARK - 0.3%
1,000 Danisco A/S.................................... 49,784
NUMBER MARKET
OF SHARES FOREIGN STOCKS (CONTINUED) VALUE
- --------------------------------------------------------------------------------
FRANCE - 0.7%
400 Axa............................................ $ 21,880
200 Eridania Beghin-Say SA......................... 31,312
100 L'Air Liquide.................................. 17,657
200 Societe Generale De Paris...................... 21,989
300 Societe Technip................................ 27,622
-----------
120,460
GERMANY - 1.3%
200 Bankgesellschaft Berlin........................ 42,572
2,000 Bayer A.G...................................... 70,361
500 Deutsche Bank A.G.............................. 23,684
200 M.A.N. A.G..................................... 50,127
400 Siemens A.G.................................... 21,438
600 Vega A.G....................................... 31,889
-----------
240,071
HONG KONG - 0.7%
5,000 Cheung Kong Holdings........................... 36,012
9,000 Hong Kong Electric Holdings Limited............ 27,440
11,000 Hutchinson Whampoa Limited..................... 69,207
-----------
132,659
ITALY - 0.1%
13,000 Banco Commerciale Italiane..................... 26,120
JAPAN - 1.2%
7,000 Bridgestone Corporation........................ 133,386
3,000 Kuraray Company, LTD........................... 33,643
2,000 Marui Company, LTD............................. 44,310
-----------
211,339
MALAYSIA - 0.4%
10,000 Malayan Cement Berhad.......................... 24,046
16,000 Sime Darby Berhad.............................. 44,244
-----------
68,290
SINGAPORE - 0.5%
5,000 Development Bank of Singapore.................. 62,347
3,000 Singapore Airlines LTD......................... 31,670
-----------
94,017
SWEDEN - 0.3%
1,200 Astra AB (Cl. B)............................... 52,265
SWITZERLAND - 1.2%
20 ABB AG-Bearer.................................. 24,736
25 Ciba-Geigy A.G................................. 30,460
20 Nestle S.A..................................... 22,834
30 Sig Schweizland................................ 70,947
80 Union Bank of Switzerland...................... 78,297
-----------
227,274
SEE ACCOMPANYING NOTES.
48
<PAGE>
STATEMENTS OF NET ASSETS
JUNE 30, 1996
(UNAUDITED)
SERIES N (MANAGED ASSET ALLOCATION) (CONTINUED)
PRINCIPAL
AMOUNT OR
NUMBER MARKET
OF SHARES FOREIGN STOCKS (CONTINUED) VALUE
- --------------------------------------------------------------------------------
UNITED KINGDOM - 1.1%
15,000 BTR PLC........................................ $ 59,083
2,000 HSBC Holdings PLC.............................. 31,324
22,000 Lonrho LTD..................................... 63,240
1,000 Tesco PLC...................................... 45,682
-----------
199,329
-----------
Total foreign stocks - Series N
(cost $1,413,523) - 8.0%..................... 1,451,517
TEMPORARY CASH INVESTMENTS
97,036 Vista Treasury Plus International Fund......... 97,036
-----------
Total temporary cash investments -
Series N (cost $97,036) - 0.5%............... 97,036
-----------
Total investments - Series N
(cost $17,828,032) - 99.4%................... 18,266,477
Cash and other assets, less liabilities -
Series N - 0.6%.............................. 123,603
-----------
Total net assets - Series N - 100.0%......... $ 18,390,080
===========
SERIES O (EQUITY INCOME)
CORPORATE BONDS
ELECTRIC UTILITIES - 0.5%
$ 200,000 El Paso Electric Company, 8.9% - 2006.......... $ 198,250
INDUSTRIAL SERVICES - 0.4%
$ 150,000 Hills Stores Company, 12.50% - 2003............ 147,000
REAL ESTATE - 0.2%
$ 100,000 B.F. Saul REIT, 11.625% - 2002................. 102,625
-----------
Total corporate bonds - Series O
(cost $455,750 ) - 1.1%...................... 447,875
CONVERTIBLE BONDS
FINANCIAL SERVICES - 0.2%
$ 100,000 Liberty Property Trust, 8.00% - 2001........... 102,625
-----------
Total convertible bonds - Series O
(cost $98,875) - 0.2%........................ 102,625
SERIES O (EQUITY INCOME) (CONTINUED)
NUMBER MARKET
OF SHARES COMMON STOCKS VALUE
- --------------------------------------------------------------------------------
AUTO PARTS & SUPPLIES - 0.7%
2,900 Eaton Corporation.............................. $ 170,013
1,600 TRW, Inc....................................... 143,800
-----------
313,813
AUTOMOBILES - 0.5%
4,100 Ford Motor Company............................. 132,728
1,400 Genuine Parts Company.......................... 64,050
-----------
196,778
BANKS & TRUSTS - 7.6%
6,170 Banc One Corporation........................... 209,780
3,000 Bankers Trust New York Corporation............. 221,625
8,708 Chase Manhattan Corporation.................... 615,002
10,600 Mellon Bank Corporation........................ 604,200
5,000 J.P. Morgan & Company, Inc..................... 423,125
6,600 National City Corporation...................... 231,825
6,000 PNC Bank Corporation........................... 178,500
6,400 U.S. Bancorp Oregon............................ 231,200
1,900 Wells Fargo & Company.......................... 453,863
-----------
3,169,120
BEVERAGES - 1.4%
4,600 Anheuser-Busch Companies, Inc.................. 345,000
6,000 Brown-Forman Corporation (Cl. B)............... 240,000
-----------
585,000
BROKERAGE - 0.7%
6,900 Salomon, Inc................................... 303,600
BUILDING MATERIALS - 0.3%
1,900 Armstrong World Industries, Inc................ 109,488
CHEMICALS - BASIC - 2.4%
2,000 Dow Chemical Company........................... 152,000
6,300 du Pont (E.I.) de Nemours & Company............ 498,488
1,100 FMC Corporation*............................... 71,775
4,900 Great Lakes Chemical Company................... 305,025
-----------
1,027,288
CHEMICALS - SPECIALTY - 3.4%
6,800 Betz Laboratories, Inc......................... 298,350
1,900 Crompton & Knowles Corporation................. 31,825
6,500 Lubrizol Corporation........................... 197,438
6,600 Minnesota Mining & Manufacturing Company....... 455,400
7,400 Nalco Chemical Company......................... 233,100
5,700 Witco Corporation.............................. 195,938
-----------
1,412,051
SEE ACCOMPANYING NOTES.
49
<PAGE>
STATEMENTS OF NET ASSETS
JUNE 30, 1996
(UNAUDITED)
SERIES O (EQUITY INCOME) (CONTINUED)
NUMBER MARKET
OF SHARES COMMON STOCKS (CONTINUED) VALUE
- --------------------------------------------------------------------------------
ELECTRIC UTILITIES - 6.3%
5,000 Baltimore Gas & Electric Company............... $ 141,875
15,600 Centerior Energy Corporation................... 115,050
4,700 DQE, Inc....................................... 129,250
5,300 Dominion Resources, Inc........................ 212,000
9,800 Edison International........................... 172,725
10,700 Entergy Corporation............................ 303,613
2,800 Florida Progress Corporation................... 97,300
3,100 General Public Utilities Corporation........... 109,275
7,800 Pacific Gas & Electric Company................. 181,350
13,000 Pacificorp..................................... 289,250
12,000 Peco Energy Corporation........................ 312,000
7,800 Public Service Enterprise Group, Inc........... 213,525
7,200 Southern Company............................... 177,300
7,200 Unicom Corporation............................. 200,700
-----------
2,655,213
ELECTRICAL EQUIPMENT - 3.5%
2,252 Cooper Cameron Corporation*.................... 98,525
6,388 Cooper Industries, Inc......................... 265,102
9,200 General Electric Company....................... 795,800
1,700 General Signal Corporation..................... 64,388
3,700 Hubbell, Inc. (Cl. B).......................... 245,125
-----------
1,468,940
ELECTRONIC SYSTEMS - 0.8%
5,800 Honeywell, Inc................................. 316,100
FINANCIAL - BANKS, COMMERCIAL - 1.7%
5,600 Bank of Boston Corporation..................... 277,200
7,700 Fleet Financial Group, Inc..................... 334,950
3,600 Mercantile Bankshares Corporation.............. 91,800
-----------
703,950
FINANCIAL SERVICES - 3.8%
8,900 American Express Company....................... 397,163
9,600 Federal National Mortgage Association.......... 321,600
4,600 H & R Block, Inc............................... 150,075
4,600 Student Loan Marketing New VTG................. 345,000
8,000 Travelers Group, Inc........................... 365,000
-----------
1,578,838
NUMBER MARKET
OF SHARES COMMON STOCKS (CONTINUED) VALUE
- --------------------------------------------------------------------------------
FOOD PROCESSING - 4.8%
8,800 General Mills.................................. $ 479,600
8,100 Grand Metropolitan PLC ADR..................... 216,675
11,450 Heinz (H.J.) Company........................... 347,794
12,800 Quaker Oats Company............................ 436,800
5,100 Sara Lee Corporation........................... 165,112
2,600 Unilever NY ADR................................ 377,325
-----------
2,023,306
FOOD WHOLESALERS - 0.7%
4,000 Fleming Companies, Inc......................... 57,500
11,500 McCormick & Company, Inc....................... 254,438
-----------
311,938
HOSPITAL SUPPLIES/HOSPITAL MANAGEMENT - 0.3%
3,200 Bausch & Lomb, Inc............................. 136,000
INSURANCE - 3.5%
11,300 American General Corporation................... 443,775
6,400 Hilb, Rogal & Hamilton Company................. 88,800
4,300 Provident Companies, Inc....................... 159,100
2,500 Safeco Corporation............................. 88,438
4,000 St. Paul Companies, Inc........................ 214,000
1,200 Travelers/Aetna Property & Casualty (Cl. A)*... 34,050
1,600 Unum Corporation............................... 99,600
12,400 USF & G Corporation............................ 203,050
12,200 Willis Corroon Group PLC ADR................... 144,875
-----------
1,475,688
INTEGRATED PETROLEUM - DOMESTIC - 3.8%
6,100 Atlantic-Richfield Company..................... 722,850
3,300 British Petroleum PLC ADR...................... 352,688
2,500 Penzoil Company................................ 115,625
2,546 Sun Company, Inc............................... 77,334
3,900 Transcanada Pipelines Ltd...................... 57,525
13,300 USC Marathon Group............................. 267,663
-----------
1,593,685
INTEGRATED PETROLEUM - INTERNATIONAL - 5.9%
6,900 Chevron Corporation............................ 407,100
8,800 Exxon Corporation.............................. 764,500
2,600 Mobil Corporation.............................. 291,525
3,000 Royal Dutch Petroleum Company ADR.............. 461,250
6,400 Texaco, Inc.................................... 536,800
-----------
2,461,175
MACHINERY - 0.7%
1,800 Gatx Corporation............................... 86,850
6,800 McDermott International, Inc................... 141,950
1,300 Trinova Corporation............................ 43,388
------------
272,188
SEE ACCOMPANYING NOTES.
50
<PAGE>
STATEMENTS OF NET ASSETS
JUNE 30, 1996
(UNAUDITED)
SERIES O (EQUITY INCOME) (CONTINUED)
NUMBER MARKET
OF SHARES COMMON STOCKS (CONTINUED) VALUE
- --------------------------------------------------------------------------------
MEDICAL SUPPLIES - 0.7%
6,400 Baxter International........................... $ 302,400
MINING & METALS - 1.3%
4,900 Newmont Mining Corporation..................... 241,938
5,700 Reynolds Metals Company........................ 297,112
-----------
539,050
MISCELLANEOUS CONSUMER DURABLES - 1.7%
10,000 Corning, Inc................................... 383,750
4,300 Eastman Kodak Company.......................... 334,325
-----------
718,075
MISCELLANEOUS CONSUMER PRODUCTS - 1.6%
4,000 Philip Morris Companies........................ 416,000
6,300 Tambrands, Inc................................. 257,513
-----------
673,513
MISCELLANEOUS - 0.2%
2,500 Rouse Company.................................. 64,688
OFFICE EQUIPMENT & SUPPLIES - 0.2%
1,400 Pitney-Bowes, Inc.............................. 66,850
OIL & GAS DRILLING - 0.4%
4,300 Repsol SA ADR.................................. 149,425
PAPER - 0.6%
7,100 International Paper Company.................... 261,813
PAPER & FOREST PRODUCTS - 3.7%
2,800 Consolidated Papers, Inc....................... 156,000
6,600 Georgia-Pacific Corporation.................... 468,600
5,600 James River Corporation of Virginia............ 147,700
4,300 Kimberly-Clark Corporation..................... 332,175
8,900 Union Camp Corporation......................... 433,875
-----------
1,538,350
PHARMACEUTICALS - 6.7%
7,800 Abbott Laboratories............................ 339,300
8,300 American Home Products Corporation............. 499,038
6,900 Eli Lilly & Company............................ 448,500
13,395 Pharmacia & Upjohn, Inc........................ 594,403
9,000 SmithKline Beecham PLCADR...................... 489,375
8,200 Warner Lambert Company......................... 451,000
-----------
2,821,616
PUBLISHING - 2.7%
3,100 Deluxe Corporation............................. 110,050
5,900 Dun & Bradstreet Corporation................... 368,750
3,700 Gannett Company, Inc........................... 261,775
4,800 McGraw-Hill Companies, Inc..................... 219,600
3,000 Readers Digest Association, Inc. (Cl. A)....... 127,500
1,300 Readers Digest Association, Inc. (Cl. B)....... 51,188
-----------
1,138,863
PRINCIPAL
AMOUNT OR
NUMBER MARKET
OF SHARES COMMON STOCKS (CONTINUED) VALUE
- --------------------------------------------------------------------------------
RAILROADS - 0.6%
3,500 Union Pacific Corporation...................... $ 244,563
RETAIL - DEPARTMENT STORES - 1.2%
3,500 May Department Stores Company.................. 153,125
6,500 J.C. Penney Company, Inc....................... 341,250
-----------
494,375
TELECOMMUNICATIONS - 4.4%
7,600 Alltel Corporation............................. 233,700
7,000 BCE, Inc....................................... 276,500
3,100 Bell Atlantic Corporation...................... 197,625
7,600 Bellsouth Corporation.......................... 322,050
9,000 GTE Corporation................................ 402,750
3,300 Pacific Telesis Group.......................... 111,375
3,900 Southern New England Telecommunications
Corporation.................................. 163,800
3,900 Vodafone Group PLC ADR......................... 143,813
-----------
1,851,613
TELEPHONE - 1.1%
3,200 SBC Communications, Inc........................ 157,600
6,100 U.S. West, Inc................................. 194,438
5,800 U.S. West Media Group*......................... 105,850
-----------
457,888
TOBACCO - 1.8%
8,500 American Brands, Inc........................... 385,688
3,600 RJR Nabisco Holdings........................... 111,600
7,100 UST, Inc....................................... 243,175
-----------
740,463
TRANSPORTATION - MISCELLANEOUS - 0.6%
4,500 Alexander & Baldwin, Inc....................... 108,563
2,200 PHH Corporation................................ 125,400
-----------
233,963
TRANSPORTATION - RAIL - 0.5%
3,000 Conrail, Inc................................... 199,125
-----------
Total common stocks - Series O
(cost $32,462,783) - 82.8%................... 34,610,792
GOVERNMENT & GOVERNMENT AGENCY SECURITIES
U.S. GOVERNMENT AGENCIES - 5.8%
$ 2,426,000 Federal Home Loan Mortgage Corporation,
5.27% - 7-05-96.............................. 2,424,579
SEE ACCOMPANYING NOTES.
51
<PAGE>
STATEMENTS OF NET ASSETS
JUNE 30, 1996
(UNAUDITED)
SERIES O (EQUITY INCOME) (CONTINUED)
PRINCIPAL
AMOUNT OR
NUMBER GOVERNMENT & GOVERNMENT AGENCY MARKET
OF SHARES SECURITIES (CONTINUED) VALUE
- --------------------------------------------------------------------------------
U.S. GOVERNMENT SECURITIES - 3.6%
$ 400,000 U.S. Treasury Bonds, 6.00% - 2026.............. $ 354,524
U.S. Treasury Notes,
$ 100,000 6.125% - 1998................................ 100,051
$ 100,000 6.125% - 2000................................ 99,378
$ 400,000 6.50% - 2001................................. 400,052
$ 400,000 5.75% - 2003................................. 380,852
$ 200,000 5.625% - 2006................................ 185,454
-----------
1,520,311
-----------
Total government & government
agency securities - Series O -
(cost $3,957,220) - 9.4%..................... 3,944,890
REAL ESTATE INVESTMENT TRUSTS
10,800 Debartolo Realty Corporation................... 174,150
2,200 General Growth Property, Inc................... 53,075
4,300 Security Capital Pacific Trust................. 93,525
12,500 Simon Property Group........................... 306,250
3,300 Taubman Centers, Inc........................... 36,713
4,400 Weingarten Realty Investors.................... 170,500
-----------
Total real estate investment trusts
Series O - (cost $777,736) - 2.0%............ 834,213
FOREIGN STOCKS
SWEDEN - 0.3%
13,400 S.E. Banken.................................... 107,031
SWITZERLAND - 0.9%
320 Ciba-Geigy AG.................................. 389,888
UNITED KINGDOM - 0.4%
63,200 Lonrho LTD..................................... 181,670
-----------
Total foreign stocks - Series O
(cost $585,511) - 1.6%....................... 678,589
TEMPORARY CASH INVESTMENTS
842,873 Vista Treasury Institutional Money Market Fund. 842,873
-----------
Total temporary cash investments -
Series O (cost $842,873) - 2.0%.............. 842,873
COMMERCIAL PAPER
$ 500,000 Dillard Investment Company, 5.38% - 7-03-96.... 499,851
$ 115,000 Preferred Receivables, 5.33% - 7-17-96......... 114,727
-----------
Total commercial paper - Series O
(cost $614,578) - 1.5%....................... 614,578
-----------
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------------------------------
Total investments - Series O
(cost $39,795,326) - 100.6%.................. $ 42,076,435
Liabilities in excess of cash and
other assets - Series O (0.6%)............... (252,615)
-----------
Total net assets - Series O - 100.0%......... $ 41,823,820
===========
SERIES S (SOCIAL AWARENESS)
COMMON STOCKS
ADVERTISING - 1.6%
16,000 Omnicom Group, Inc............................. $ 744,000
BEVERAGES - 1.5%
20,000 PepsiCo, Inc................................... 707,500
BROADCAST MEDIA - 1.8%
10,312 Clear Channel Communications, Inc.*............ 849,451
BIOTECHNOLOGY - 1.5%
7,500 Amgen, Inc.*................................... 405,000
6,500 Genzyme Corporation*........................... 326,625
-----------
731,625
BROKERAGE - 0.9%
18,000 Schwab (Charles) Corporation................... 441,000
BUSINESS SERVICES - 8.7%
22,500 Apollo Group, Inc. (Cl. A)*.................... 630,000
12,500 Auto Data Processing........................... 482,813
8,500 Bisys Group,Inc................................ 320,875
21,500 DeVry, Inc.*................................... 967,500
8,722 First Data Corporation......................... 694,489
15,750 Paychex, Inc................................... 757,969
6,000 Snap On, Inc................................... 284,250
-----------
4,137,896
CHEMICALS - SPECIALTY - 1.6%
18,500 Praxair, Inc................................... 781,625
COMMUNICATION EQUIPMENT - 5.5%
8,500 Aspect Telecommunications*..................... 420,750
8,000 Cascade Communications Corporation*............ 544,000
13,500 General Instruments Corporation*............... 389,812
9,500 Tellabs, Inc.*................................. 635,312
7,000 U.S. Robotics Corporation*..................... 598,500
-----------
2,588,374
SEE ACCOMPANYING NOTES.
52
<PAGE>
STATEMENTS OF NET ASSETS
JUNE 30, 1996
(UNAUDITED)
SERIES S (SOCIAL AWARENESS) (CONTINUED)
NUMBER MARKET
OF SHARES COMMON STOCKS (CONTINUED) VALUE
- --------------------------------------------------------------------------------
COMPUTER SOFTWARE - 9.2%
6,500 America Online, Inc.*.......................... $ 284,375
8,000 Atria Software, Inc.*.......................... 400,000
19,500 Cognos, Inc.*.................................. 448,500
7,000 Computer Associates............................ 498,750
9,000 HBO & Company.................................. 609,750
10,500 McAfee Associates*............................. 514,500
5,500 Microsoft Corporation*......................... 660,687
10,500 Parametric Technology Corporation*............. 455,437
7,000 Peoplesoft, Inc.*.............................. 498,750
-----------
4,370,749
COMPUTER SYSTEMS - 4.8%
14,000 Cisco Systems, Inc.*........................... 792,750
4,000 Hewlett-Packard Company........................ 398,500
8,000 Sun Microsystems, Inc.*........................ 471,000
13,500 3Com Corporation*.............................. 617,625
-----------
2,279,875
FINANCIAL SERVICES - 3.5%
20,000 Federal National Mortgage Association.......... 670,000
9,500 Finova Group, Inc.............................. 463,125
9,500 First USA, Inc................................. 522,500
-----------
1,655,625
FOOD DISTRIBUTORS - 1.3%
19,500 Richfood Holdings, Inc......................... 633,750
HEALTH CARE - HMO- 0.8%
8,900 Oxford Health Plans*........................... 366,013
HEALTH CARE SERVICES - 2.1%
8,000 Cardinal Health, Inc........................... 577,000
16,000 Omnicare, Inc.................................. 424,000
-----------
1,001,000
HOSPITAL MANAGEMENT & SERVICES - 3.2%
7,500 Columbia/HCA Healthcare Corporation............ 400,313
13,000 Community Health Systems*...................... 672,750
12,500 Healthsouth Corporation*....................... 450,000
-----------
1,523,063
HOUSEHOLD FURNISHING - 1.2%
19,600 Leggett & Platt, Inc........................... 543,900
HOUSEHOLD PRODUCTS - 2.2%
5,500 Colgate-Palmolive Company...................... 466,125
6,500 Procter & Gamble Company....................... 589,063
-----------
1,055,188
NUMBER MARKET
OF SHARES COMMON STOCKS (CONTINUED) VALUE
- --------------------------------------------------------------------------------
INSURANCE - 1.0%
8,000 SunAmerica, Inc................................ $ 452,000
MACHINERY - 0.8%
10,000 Deere & Company................................ 400,000
MANUFACTURING - 2.5%
8,000 Illinois Tool Works............................ 541,000
15,000 Millipore Corporation.......................... 628,125
-----------
1,169,125
MEDICAL PRODUCTS - 2.2%
10,500 Guidant Corporation............................ 517,125
18,000 Rexall Sundown, Inc.*.......................... 546,750
-----------
1,063,875
OIL & GAS EXPLORATION - 3.8%
12,000 Anadarko Petroleum Corporation................. 696,000
15,500 Apache Corporation............................. 509,562
13,500 Sonat, Inc..................................... 607,500
-----------
1,813,062
PHARMACEUTICALS - 4.5%
11,500 Allergan, Inc.................................. 451,375
12,000 Dura Pharmaceuticals, Inc.*.................... 672,000
6,000 Elan Corporation PLCADR*....................... 342,750
13,032 Johnson & Johnson.............................. 645,084
-----------
2,111,209
POLLUTION CONTROL - 1.1%
14,500 United States Filter Corporation*.............. 503,875
RESTAURANTS - 3.6%
18,500 Landry's Seafood Restaurants*.................. 457,875
10,500 Lone Star Steakhouse & Saloon*................. 396,375
10,500 Outback Steakhouse, Inc.*...................... 362,086
10,000 Papa John's International, Inc.*............... 487,500
-----------
1,703,836
RETAIL - 6.5%
11,500 Corporate Express, Inc.*....................... 460,000
12,000 Kohl's Corporation*............................ 439,500
8,500 May Department Stores Company.................. 371,875
12,000 The Men's Wearhouse, Inc.*..................... 387,000
11,500 Oakley, Inc.*.................................. 523,250
30,375 Staples, Inc.*................................. 592,312
13,500 Sunglass Hut International, Inc.*.............. 329,062
-----------
3,102,999
RETAIL TRADE - 2.2%
20,250 Albertsons, Inc................................ 455,125
11,000 Walgreens Company.............................. 603,000
-----------
1,058,125
SEMICONDUCTORS - 0.9%
13,500 Atmel Corporation*............................. 406,688
SEE ACCOMPANYING NOTES.
53
<PAGE>
STATEMENTS OF NET ASSETS
JUNE 30, 1996
(UNAUDITED)
SERIES S (SOCIAL AWARENESS) (CONTINUED)
PRINCIPAL
AMOUNT OR
NUMBER MARKET
OF SHARES COMMON STOCKS (CONTINUED) VALUE
- --------------------------------------------------------------------------------
TELECOMMUNICATIONS - 1.6%
12,500 Frontier Corporation........................... $ 382,813
9,000 Sprint Corporation............................. 378,000
-----------
760,813
TEXTILES - APPAREL - 0.8%
7,500 Tommy Hilfiger Corporation*.................... 402,188
TOYS & SPORTING GOODS - 0.9%
15,000 Mattel, Inc.................................... 429,375
TRANSPORTATION - 2.2%
20,000 Southwest Airlines............................. 582,500
16,500 Illinois Central Corporation................... 468,187
-----------
1,050,687
UTILITIES - 1.6%
8,000 Consolidated Natural Gas....................... 418,000
6,500 SBC Communications, Inc........................ 320,125
-----------
738,125
-----------
Total common stocks - Series S
(cost $31,265,815) - 87.6%................... 41,576,616
CERTIFICATE OF DEPOSIT
CERTIFICATE OF DEPOSIT - 0.2%
$ 100,000 South Shore Bank............................... 100,000
-----------
Total certificate of deposit - Series S
(cost $100,000) - 0.2%....................... 100,000
-----------
Total investments - Series S
(cost $31,365,815)- 87.8%.................... 41,676,616
Cash and other assets, less liabilities -
Series S - 12.2%............................. 5,770,093
-----------
Total net assets - Series S - 100.0%......... $ 47,446,709
===========
The identified cost of investments owned at June 30, 1996, was the same for
federal income tax and financial statement purposes.
*Securities on which no cash dividend was paid during the preceding twelve
months.
ADR (American Depositary Receipt)
CMO (Collateralized Mortgage Obligation)
(1) Deferred interest obligation; currently zero coupon under terms of initial
offering.
(2) For Series M, this security has been segregated with the custodian to cover
margin requirements for the following open long financial futures contracts
traded on foreign exchanges as indicated below:
UNREALIZED
Type CONTRACTS GAIN
Financial Index - DAX (9/96) 13 $36,002
Financial Index - TOPIX (9/96) 17 34,281
------
$70,283
======
(3) Principal amount on foreign bond is reflected in local currency (e.g.,
Danish krone) while market value is reflected in U.S. dollars.
(4) Variable rate security which may be reset the first of each month.
(5) Variable rate security which may be reset the first of each quarter.
SEE ACCOMPANYING NOTES.
54
<PAGE>
BALANCE SHEET
JUNE 30, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
SERIES C SERIES D SERIES E
SERIES A SERIES B (MONEY (WORLDWIDE (HIGH GRADE
(GROWTH) (GROWTH-INCOME) MARKET) EQUITY) INCOME)
<S> <C> <C> <C> <C> <C>
ASSETS
Investments, at value (identified cost
$399,223,776, $659,264,042, $26,037,294,
$174,464,151 and $119,470,975, respectively).... $549,543,619 $833,806,598 $ 25,989,212 $192,823,206 $117,743,831
Short-term commercial paper, at market or at
amortized cost which approximates market value
(identified cost $0, $10,096,308, $142,542,350,
$0 and $0, respectively)........................ --- 10,096,308 142,510,984 --- ---
Cash.............................................. 28,055,231 38,355,301 72,344 30,018,516 7,901,102
Receivables:
Fund shares sold................................ 507,428 739,746 98,077 448,485 80,743
Securities sold................................. 1,445,098 1,508,438 85,618 1,844,594 ---
Forward foreign exchange contracts.............. --- --- --- 511,343 ---
Interest........................................ 69,539 3,691,918 351,580 104,944 1,866,698
Dividends....................................... 516,180 736,645 --- 420,545 ---
Prepaid Expenses................................ 25,647 60,924 2,109 --- ---
Foreign taxes recoverable....................... --- --- --- 235,641 ---
----------- ----------- ----------- ----------- -----------
Total assets.................................. $580,162,742 $888,995,878 $169,109,924 $226,407,274 $127,592,374
=========== =========== =========== =========== ===========
LIABILITIES AND NET ASSETS
Liabilities:
Payable for:
Securities purchased.......................... $ --- $ 3,500,000 $ --- $ 2,052,507 $ 4,635,000
Fund shares redeemed.......................... 245,699 451,770 255,163 292,616 88,844
Other liabilities:
Management fees............................... 332,093 506,369 68,552 163,618 69,631
Custodian fees................................ 513 --- 1,200 4,184 ---
Transfer and administration fees.............. 20,202 30,634 6,431 7,351 4,407
Professional fees............................. --- --- 1,429 1,254 5,149
Miscellaneous................................. 54,817 40,341 20,818 38,577 29,068
----------- ----------- ----------- ----------- -----------
Total liabilities........................... 653,324 4,529,114 353,593 2,560,107 4,832,099
Net Assets:
Paid in capital................................. 363,831,406 554,178,310 160,858,500 179,197,648 122,948,341
Undistributed net investment income............. 7,286,640 29,077,163 7,977,279 5,547,378 11,683,727
Accumulated undistributed net realized gain
(loss) on sale of investments, futures and
foreign currency transactions................. 58,071,529 126,668,735 --- 20,239,209 (10,144,649)
Net unrealized appreciation (depreciation) in
value of investments, futures and translation
of assets and liabilities in foreign currency. 150,319,843 174,542,556 (79,448) 18,862,932 (1,727,144)
----------- ----------- ----------- ----------- -----------
Net assets.................................. 579,509,418 884,466,764 168,756,331 223,847,167 122,760,275
----------- ----------- ----------- ----------- -----------
Total liabilities and net assets............ $580,162,742 $888,995,878 $169,109,924 $226,407,274 $127,592,374
=========== =========== =========== =========== ===========
Capital shares authorized......................... 1,000,000,000 1,000,000,000 1,000,000,000 1,000,000,000 250,000,000
Capital shares outstanding........................ 24,607,732 23,706,061 13,341,414 35,730,251 9,889,935
Net asset value per share (net assets divided by
shares outstanding)............................. $23.55 $37.31 $12.65 $6.26 $12.41
=========== =========== =========== =========== ===========
</TABLE>
SEE ACCOMPANYING NOTES.
55
<PAGE>
BALANCE SHEET (CONTINUED)
JUNE 30, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
SERIES K SERIES M SERIES N
SERIES J (GLOBAL (SPECIALIZED (MANAGED SERIES O SERIES S
(EMERGING AGGRESSIVE ASSET ASSET (EQUITY (SOCIAL
GROWTH) BOND) ALLOCATION) ALLOCATION) INCOME) AWARENESS)
<S> <C> <C> <C> <C> <C> <C>
ASSETS
Investments at value (identified cost
$86,130,698, $9,194,879, $30,600,860,
$17,828,032, $39,180,748 and $31,365,815,
respectively).............................. $111,607,359 $9,120,929 $31,233,076 $18,266,477 $41,461,857 $41,676,616
Short-term commercial paper, at market or at
amortized cost which approximates market
value (identified cost $0, $0, $0, $0,
$614,578 and $0, respectively)............. --- --- --- --- 614,578 ---
Cash......................................... 14,292,540 145,265 8,216 972 774 4,604,115
Receivables:
Fund shares sold........................... 196,084 56,043 143,611 188,677 210,947 135,200
Securities sold............................ 482,534 --- --- 147,494 --- 1,063,692
Interest................................... 28,137 116,491 68,794 108,549 50,183 12,654
Dividends.................................. 21,559 --- 45,440 15,852 81,717 18,783
Prepaid expenses........................... 9,631 --- 846 575 1,860 2,075
Forward foreign exchange contracts......... --- 15,049 --- --- --- ---
Foreign taxes recoverable.................. --- --- 6,712 3,431 --- ---
Variation margin........................... --- --- 15,402 --- --- ---
----------- --------- ---------- ---------- ---------- ----------
Total assets............................. $126,637,844 $9,453,777 $31,522,097 $18,732,027 $42,421,916 $47,513,135
=========== ========= ========== ========== ========== ==========
LIABILITIES AND NET ASSETS
Liabilities:
Payable for
Securities purchased..................... $ 920,844 $ 422,435 $ 264,517 $ 303,018 $ 520,023 $ ---
Fund shares redeemed..................... 59,807 3,599 1,070 724 29,402 33,696
Forward foreign exchange contracts....... --- --- 78 --- --- ---
Other liabilities:
Management fees.......................... 76,776 --- 24,777 14,611 32,882 28,685
Custodian fees........................... 917 3,081 13,869 3,286 4,342 ---
Transfer and administration fees......... 4,844 504 1,294 3,325 1,666 1,906
Professional fees........................ --- 2,744 5,387 14,671 7,490 ---
Miscellaneous............................ 4,196 4,517 2,185 2,312 2,291 2,139
----------- --------- ---------- ---------- ---------- ----------
Total liabilities...................... 1,067,384 436,880 313,177 341,947 598,096 66,426
Net Assets:
Paid in capital............................ 92,060,892 8,638,297 29,225,155 17,341,621 38,780,352 32,726,739
Undistributed net investment income........ 113,204 438,550 754,699 298,740 485,269 261,553
Accumulated undistributed net realized gain
(loss) on sale of investments, futures
and foreign currency transactions........ 7,919,703 (1,020) 526,693 311,480 277,090 4,147,616
Net unrealized appreciation in value of
investments, futures and translation of
assets and liabilities in foreign currency 25,476,661 (58,930) 702,373 438,239 2,281,109 10,310,801
----------- --------- ---------- ---------- ---------- ----------
Net assets............................. 125,570,460 9,016,897 31,208,920 18,390,080 41,823,820 47,446,709
----------- --------- ---------- ---------- ---------- ----------
Total liabilities and net assets....... $126,637,844 $9,453,777 $31,522,097 $18,732,027 $42,421,916 $47,513,135
=========== ========= ========== ========== ========== ==========
Capital shares authorized.................... 250,000,000 50,000,000 50,000,000 50,000,000 50,000,000 250,000,000
Capital shares outstanding................... 6,750,041 848,943 2,726,245 1,648,233 3,310,810 2,507,738
Net asset value per share (net assets
divided by shares outstanding)............. $18.60 $10.62 $11.45 $11.16 $12.63 $18.92
=========== ========= ========== ========== ========== ==========
</TABLE>
SEE ACCOMPANYING NOTES.
56
<PAGE>
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
SERIES C SERIES D SERIES E
SERIES A SERIES B (MONEY (WORLDWIDE (HIGH GRADE
(GROWTH) (GROWTH-INCOME) MARKET) EQUITY) INCOME)
<S> <C> <C> <C> <C> <C>
INVESTMENT INCOME:
Dividends.............................................. $ 4,233,878 $ 5,850,972 $ --- $ 2,298,319 $ ---
Interest............................................... 609,087 8,402,619 3,500,367 358,942 4,564,880
---------- ---------- --------- ---------- ----------
4,842,965 14,253,591 3,500,367 2,657,261 4,564,880
Less foreign tax expense............................... --- --- --- (259,949) ---
---------- ---------- --------- ---------- ----------
Total investment income.............................. 4,842,965 14,253,591 3,500,367 2,397,312 4,564,880
EXPENSES:
Management fees........................................ 2,099,566 3,168,031 317,683 1,002,087 472,606
Custodian fees......................................... 11,153 14,258 3,538 99,590 4,354
Transfer/maintenance fees.............................. 1,744 1,631 1,702 1,423 1,431
Administration fees.................................... 125,974 190,082 28,591 45,094 28,356
Directors' fees........................................ 7,851 11,027 1,995 3,370 4,192
Professional fees...................................... 7,487 13,012 3,125 109,870 3,634
Reports to shareholders................................ 43,472 65,014 12,600 10,699 13,829
Registration fees...................................... 730 1,096 164 10,655 183
Other expenses......................................... 14,550 20,650 9,644 14,761 8,335
---------- ---------- --------- ---------- ----------
Total expenses....................................... 2,312,527 3,484,801 379,042 1,297,549 536,920
Less earnings credits.................................. (215) (182) (1,696) --- (4,354)
---------- ---------- --------- ---------- ----------
Net expenses........................................... 2,312,312 3,484,619 377,346 1,297,549 532,566
---------- ---------- --------- ---------- ----------
Net investment income................................ 2,530,653 10,768,972 3,123,021 1,099,763 4,032,314
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) during the period on:
Investments.......................................... 28,106,510 37,673,563 --- 11,228,671 (95,937)
Foreign currency transactions........................ --- --- --- 2,556,618 ---
---------- ---------- --------- ---------- ----------
Net realized gain (loss)........................... 28,106,510 37,673,563 --- 13,785,289 (95,937)
Net change in unrealized appreciation (depreciation)
during the period on:
Investments............................................ 31,209,864 30,593,500 (67,701) 9,189,209 (8,630,052)
Translation of assets and liabilities
in foreign currencies................................ --- --- --- (511,344) ---
---------- ---------- --------- ---------- ----------
Net unrealized appreciation (depreciation)............. 31,209,864 30,593,500 (67,701) 8,677,865 (8,630,052)
---------- ---------- --------- ---------- ----------
Net gain (loss)...................................... 59,316,374 68,267,063 (67,701) 22,463,154 (8,725,989)
---------- ---------- --------- ---------- ----------
Net increase (decrease) in net assets
resulting from operations........................ $61,847,027 $79,036,035 $3,055,320 $23,562,917 $(4,693,675)
========== ========== ========= ========== ==========
</TABLE>
SEE ACCOMPANYING NOTES.
57
<PAGE>
STATEMENT OF OPERATIONS (CONTINUED)
FOR THE SIX MONTHS ENDED JUNE 30, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
SERIES K SERIES M SERIES N
SERIES J (GLOBAL (SPECIALIZED (MANAGED SERIES O SERIES S
(EMERGING AGGRESSIVE ASSET ASSET (EQUITY (SOCIAL
GROWTH) BOND) ALLOCATION) ALLOCATION) INCOME) AWARENESS)
<S> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME:
Dividends.................................... $ 204,375 $ --- $ 368,653 $100,616 $ 379,000 $ 154,019
Interest..................................... 157,652 475,274 260,625 211,399 167,382 70,812
---------- -------- --------- ------- --------- ---------
362,027 475,274 629,278 312,015 546,382 224,831
Less foreign tax expense..................... --- (5,753) (14,160) (3,338) --- ---
---------- -------- --------- ------- --------- ---------
Total investment income.................... 362,027 469,521 615,118 308,677 546,382 224,831
EXPENSES:
Management fees.............................. 421,027 27,554 117,321 72,360 138,607 158,529
Custodian fees............................... 5,091 3,214 19,215 7,823 10,324 2,031
Transfer/maintenance fees.................... 1,469 1,111 1,098 1,024 1,112 1,127
Administration fees.......................... 25,262 1,654 20,280 18,256 6,237 9,512
Directors' fees.............................. 2,245 25 15 15 15 662
Professional fees............................ 2,537 7,839 2,936 16,871 9,779 1,105
Reports to shareholders...................... 6,441 781 244 392 364 3,505
Registration fees............................ 2 1,243 726 726 726 1
Other expenses............................... 2,919 15,104 8,815 973 736 1,588
---------- -------- --------- ------- --------- ---------
Total expenses........................... 466,993 58,525 170,650 118,440 167,900 178,060
Less:
Reimbursement of expenses................ --- (27,554) --- --- --- ---
Earnings credits......................... (29) --- --- --- --- (2,031)
---------- -------- --------- ------- --------- ---------
Net expenses............................... 466,964 30,971 170,650 118,440 167,900 176,029
---------- -------- --------- ------- --------- ---------
Net investment income (loss)............. (104,937) 438,550 444,468 190,237 378,482 48,802
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) during the
period on:
Investments................................ 2,458,777 73,705 62,442 293,352 271,750 3,024,854
Foreign currency transactions.............. --- (74,725) (14,998) (4,543) (399) ---
Futures contracts.......................... --- --- 326,114 --- --- ---
---------- -------- -------- ------- --------- ---------
Net realized gain (loss)................. 2,458,777 (1,020) 373,558 288,809 271,351 3,024,854
Net change in unrealized appreciation
(depreciation) during the period on:
Investments................................ 13,864,925 (158,409) 598,311 70,543 1,274,987 2,667,272
Translation of assets and liabilities in
foreign currencies....................... --- 15,118 (240) (17,788) --- ---
Futures contracts.......................... --- --- (6,272) --- --- ---
---------- -------- -------- ------- --------- ---------
Net unrealized appreciation (depreciation) 13,864,925 (143,291) 591,799 52,755 1,274,987 2,667,272
---------- -------- -------- ------- --------- ---------
Net gain (loss)........................ 16,323,702 (144,311) 965,357 341,564 1,546,338 5,692,126
---------- -------- -------- ------- --------- ---------
Net increase in net assets
resulting from operations.......... $16,218,765 $ 294,239 $1,409,825 $531,801 $1,924,820 $5,740,928
========== ======== ========= ======= ========= =========
</TABLE>
SEE ACCOMPANYING NOTES.
58
<PAGE>
STATEMENT OF CHANGES IN NET ASSETS
FOR THE SIX MONTHS ENDED JUNE 30, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
SERIES C SERIES D SERIES E
SERIES A SERIES B (MONEY (WORLDWIDE (HIGH GRADE
(GROWTH) (GROWTH-INCOME) MARKET) EQUITY) INCOME)
<S> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income................................ $ 2,530,653 $ 10,768,972 $ 3,123,021 $ 1,099,763 $ 4,032,314
Net realized gain (loss)............................. 28,106,510 37,673,563 --- 13,785,289 (95,937)
Unrealized appreciation (depreciation)
during the period.................................. 31,209,864 30,593,500 (67,701) 8,677,865 (8,630,052)
------------ ----------- ----------- ----------- -----------
Net increase (decrease) in net assets resulting
from operations.................................. 61,847,027 79,036,035 3,055,320 23,562,917 (4,693,675)
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income................................ --- --- --- --- ---
Net realized gain.................................... --- --- --- --- ---
------------ ----------- ----------- ----------- -----------
Total distributions to shareholders................ --- --- --- --- ---
CAPITAL SHARE TRANSACTIONS (A):
Proceeds from sale of shares......................... 111,279,811 96,386,471 152,207,990 50,889,775 33,014,451
Dividends reinvested................................. --- --- --- --- ---
Shares redeemed...................................... (113,508,520) (86,068,444) (91,942,659) (28,386,624) (31,212,286)
------------ ----------- ----------- ----------- -----------
Net increase (decrease) from capital share
transactions..................................... (2,228,709) 10,318,027 60,265,331 22,503,151 1,802,165
------------ ----------- ----------- ----------- -----------
Total increase (decrease) in net assets.......... 59,618,318 89,354,062 63,320,651 46,066,068 (2,891,510)
NET ASSETS:
Beginning of period.................................. 519,891,100 795,112,702 105,435,680 177,781,099 125,651,785
------------ ----------- ----------- ----------- -----------
End of period........................................ $ 579,509,418 $884,466,764 $168,756,331 $223,847,167 $122,760,275
============ =========== =========== =========== ===========
Undistributed net investment income at
end of period...................................... $ 7,286,640 $29,077,163 $7,977,279 $5,547,378 $11,683,727
============ =========== =========== =========== ===========
(a) Shares issued and redeemed
Shares sold...................................... 4,962,384 2,681,568 11,232,476 8,538,991 2,631,452
Dividends reinvested............................. --- --- --- --- ---
Shares redeemed.................................. (5,075,837) (2,396,957) (6,432,157) (4,760,701) (2,510,985)
------------ ----------- ----------- ----------- -----------
Net increase (decrease)........................ (113,453) 284,611 4,800,319 3,778,290 120,467
============ =========== =========== =========== ===========
</TABLE>
SEE ACCOMPANYING NOTES.
59
<PAGE>
STATEMENT OF CHANGES IN NET ASSETS (CONTINUED)
FOR THE SIX MONTHS ENDED JUNE 30, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
SERIES K SERIES M SERIES N
SERIES J (GLOBAL (SPECIALIZED (MANAGED SERIES O SERIES S
(EMERGING AGGRESSIVE ASSET ASSET (EQUITY (SOCIAL
GROWTH) BOND) ALLOCATION) ALLOCATION) INCOME) AWARENESS)
<S> <C> <C> <C> <C> <C> <C>
INCREASE IN NET ASSETS FROM OPERATIONS:
Net investment income (loss)............ $ (104,937) $ 438,550 $ 444,468 $ 190,237 $ 378,482 $ 48,802
Net realized gain (loss)................ 2,458,777 (1,020) 373,558 288,809 271,351 3,024,854
Unrealized appreciation (depreciation)
during the period..................... 13,864,925 (143,291) 591,799 52,755 1,274,987 2,667,272
----------- ---------- ---------- ---------- ---------- ----------
Net increase in net assets
resulting from operations........... 16,218,765 294,239 1,409,825 531,801 1,924,820 5,740,928
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income................... --- --- --- --- --- ---
Distribution in excess of capital gains. --- --- --- --- --- ---
----------- ---------- ---------- ---------- ---------- ----------
Total distribution to shareholders.... --- --- --- --- --- ---
CAPITAL SHARE TRANSACTIONS (A):
Proceeds from sale of shares............ 39,095,039 4,075,906 16,433,105 9,180,906 30,838,580 8,304,995
Dividends reinvested.................... --- --- --- --- --- ---
Shares redeemed......................... (23,122,785) (1,031,609) (2,610,433) (1,902,766) (4,467,202) (3,429,472)
----------- ---------- ---------- ---------- ---------- ----------
Net increase from capital
share transactions.................. 15,972,254 3,044,297 13,822,672 7,278,140 26,371,378 4,875,523
----------- ---------- ---------- ---------- ---------- ----------
Total increase in net assets.......... 32,191,019 3,338,536 15,232,497 7,809,941 28,296,198 10,616,451
NET ASSETS:
Beginning of period..................... 93,379,441 5,678,361 15,976,423 10,580,139 13,527,622 36,830,258
----------- ---------- ---------- ---------- ---------- ----------
End of period........................... $125,570,460 $ 9,106,897 $31,208,920 $18,390,080 $41,823,820 $47,446,709
=========== ========== ========== ========== ========== ==========
Undistributed net investment income
at end of period...................... $113,204 $ 438,550 $754,699 $ 298,740 $ 485,269 $ 261,553
=========== ========== ========== ========== ========== ==========
(a) Shares issued and redeemed
Shares sold......................... 2,287,859 393,121 1,468,038 835,089 2,517,604 473,944
Dividends reinvested................ --- --- --- --- --- ---
Shares redeemed..................... (1,351,392) (99,519) (233,293) (172,835) (363,013) (200,090)
----------- ---------- ---------- ---------- ---------- ----------
Net increase...................... 936,467 293,602 1,234,745 662,254 2,154,591 273,854
=========== ========== ========== ========== ========== ==========
</TABLE>
SEE ACCOMPANYING NOTES.
60
<PAGE>
STATEMENT OF CHANGES IN NET ASSETS
FOR THE YEAR ENDED DECEMBER 31, 1995
<TABLE>
<CAPTION>
SERIES C SERIES D SERIES E
SERIES A SERIES B (MONEY (WORLDWIDE (HIGH GRADE
(GROWTH) (GROWTH-INCOME) MARKET) EQUITY) INCOME)
<S> <C> <C> <C> <C> <C>
INCREASE IN NET ASSETS FROM OPERATIONS:
Net investment income.............................. $ 4,866,610 $ 18,703,765 $ 5,008,362 $ 1,475,486 $ 7,776,981
Net realized gain.................................. 30,112,684 99,034,666 --- 10,198,109 3,043,977
Unrealized appreciation during the period.......... 97,759,964 63,506,371 16,141 6,880,054 9,249,705
------------ ------------ ------------ ----------- -----------
Net increase in net assets resulting
from operations................................ 132,739,258 181,244,802 5,024,503 18,553,649 20,070,663
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income.............................. (3,560,363) (12,339,763) (4,193,295) (28,486) (7,575,652)
Net realized gain.................................. (15,009,374) --- --- (1,835,762) ---
------------ ------------ ------------ ----------- -----------
Total distributions to shareholders.............. (18,569,737) (12,339,763) (4,193,295) (1,864,248) (7,575,652)
CAPITAL SHARE TRANSACTIONS (A):
Proceeds from sale of shares....................... 178,841,720 149,198,824 162,965,890 81,864,579 56,773,129
Dividends reinvested............................... 18,569,737 12,339,763 4,193,295 1,864,248 7,575,652
Shares redeemed.................................... (123,978,278) (130,485,002) (181,223,040) (69,669,706) (58,270,162)
------------ ------------ ------------ ----------- -----------
Net increase (decrease) from capital share
transactions................................... 73,433,179 31,053,585 (14,063,855) 14,059,121 6,078,619
------------ ------------ ------------ ----------- -----------
Total increase (decrease) in net assets........ 187,602,700 199,958,624 (13,232,647) 30,748,522 18,573,630
NET ASSETS:
Beginning of period................................ 332,288,400 595,154,078 118,668,327 147,032,577 107,078,155
------------ ------------ ------------ ----------- -----------
End of period...................................... $ 519,891,100 $ 795,112,702 $ 105,435,680 $177,781,099 $125,651,785
============ ============ ============ =========== ===========
Undistributed net investment income at
end of period.................................... $ 4,755,987 $ 18,308,191 $ 4,854,258 $ 4,447,615 $ 7,651,413
============ ============ ============ =========== ===========
(a) Shares issued and redeemed
Shares sold.................................. 9,705,386 4,927,872 13,110,725 15,967,670 4,585,694
Dividends reinvested......................... 943,105 383,461 344,843 345,872 622,486
Shares redeemed.............................. (6,692,130) (4,314,590) (14,585,481) (13,363,236) (4,736,924)
------------ ------------ ------------ ----------- -----------
Net increase (decrease).................... 3,956,361 996,743 (1,129,913) 2,950,306 471,256
============ ============ ============ =========== ===========
</TABLE>
SEE ACCOMPANYING NOTES.
61
<PAGE>
STATEMENT OF CHANGES IN NET ASSETS (CONTINUED)
FOR THE YEAR ENDED DECEMBER 31, 1995
<TABLE>
<CAPTION>
SERIES K SERIES M SERIES N
SERIES J (GLOBAL (SPECIALIZED (MANAGED SERIES O SERIES S
(EMERGING AGGRESSIVE ASSET ASSET (EQUITY (SOCIAL
GROWTH) BOND) ALLOCATION) ALLOCATION) INCOME) AWARENESS)
<S> <C> <C> <C> <C> <C> <C>
INCREASE IN NET ASSETS FROM OPERATIONS:
Net investment income................... $ 218,141 $ 285,818 $ 155,597 $ 112,171 $ 106,787 $ 224,085
Net realized gain (loss)................ 11,201,462 (16,723) 307,769 19,003 5,739 1,728,460
Unrealized appreciation during the period 3,419,768 84,361 110,574 385,484 1,006,122 5,304,983
---------- ---------- ---------- ---------- ---------- ----------
Net increase in net assets
resulting from operations........... 14,839,371 353,456 573,940 516,658 1,118,648 7,257,528
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income................... --- (245,889) --- --- --- (158,603)
Distribution in excess of capital gains. --- (23,205) --- --- --- ---
Tax return of capital distribution...... --- (15,693) --- --- --- ---
---------- ---------- ---------- ---------- ---------- ----------
Total distribution to shareholders.... --- (284,787) --- --- --- (158,603)
CAPITAL SHARE TRANSACTIONS (A):
Proceeds from sale of shares............ 44,371,374 8,894,552 20,292,459 10,904,285 13,390,619 10,381,340
Dividends reinvested.................... --- 284,787 --- --- --- 158,603
Shares redeemed......................... (42,770,961) (3,569,647) (4,889,976) (840,804) (981,645) (5,347,822)
---------- ---------- ---------- ---------- ---------- ----------
Net increase from capital
share transactions.................. 1,600,413 5,609,692 15,402,483 10,063,481 12,408,974 5,192,121
---------- ---------- ---------- ---------- ---------- ----------
Total increase in net assets.......... 16,439,784 5,678,361 15,976,423 10,580,139 13,527,622 12,291,046
NET ASSETS:
Beginning of period..................... 76,939,657 --- --- --- --- 24,539,212
---------- ---------- ---------- ---------- ---------- ----------
End of period........................... $93,379,441 $ 5,678,361 $15,976,423 $10,580,139 $13,527,622 $36,830,258
========== ========== ========== ========== ========== ==========
Undistributed net investment income
at end of period...................... $ 218,141 $ --- $ 310,231 $ 108,503 $ 106,787 $ 212,751
========== ========== ========== ========== ========== ==========
(a) Shares issued and redeemed
Shares sold....................... 2,964,051 875,221 1,952,323 1,067,140 1,243,531 698,002
Dividends reinvested.............. --- 27,920 --- --- --- 9,760
Shares redeemed................... (2,875,387) (347,800) (460,823) (81,161) (87,312) (366,291)
---------- ---------- ---------- ---------- ---------- ----------
Net increase.................... 88,664 555,341 1,491,500 985,979 1,156,219 341,471
========== ========== ========== ========== ========== ==========
</TABLE>
*Period June 1, 1995 (inception) through December 31, 1995.
SEE ACCOMPANYING NOTES.
62
<PAGE>
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
RATIO
RATIO OF NET
NET TOTAL DIVIDENDS OF INCOME
ASSET NET NET FROM (FROM DISTRI- NET NET EXPENSES (LOSS)
FISCAL VALUE INVEST- GAIN INVEST- NET BUTIONS ASSET ASSETS TO TO
PERIOD BEGIN- MENT (LOSS) MENT INVEST- (FROM TOTAL VALUE END OF AVERAGE AVERAGE PORTFOLIO
ENDED NING OF INCOME (REALIZED & OPERA- MENT CAPITAL DISTRI- END OF TOTAL PERIOD NET NET TURNOVER
DEC. 31 PERIOD (LOSS) UNREALIZED) TIONS INCOME) GAINS) BUTIONS PERIOD RETURN(D)(THOUSANDS) ASSETS ASSETS RATE
SERIES A (GROWTH)
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1991 $12.90 $0.29 $4.34 $4.63 $(0.27) $ --- $(0.27) $17.26 36.1% $235,115 0.87% 1.97% 95%
1992 17.26 0.23 1.615 1.845 (0.242) (0.533) (0.775) 18.33 11.1% 296,548 0.86% 1.46% 77%
1993 18.33 0.39 2.076 2.466 (0.224) (0.752) (0.976) 19.82 13.7% 317,407 0.86% 2.01% 108%
1994 19.82 0.20 (0.442) (0.242) (0.38) (3.198) (3.578) 16.00 (1.7%) 332,288 0.84% 1.13% 90%
1995(g) 16.00 0.18 5.648 5.828 (0.153) (0.645) (0.798) 21.03 36.8% 519,891 0.83% 1.13% 83%
1996 21.03 0.10 2.42 2.52 --- --- --- 23.55 12.0% 579,509 0.83% .90% 61%
(g)(h)
SERIES B (GROWTH-INCOME)
1991 $20.21 $0.58 $6.953 $7.533 $(0.66) $(0.233) $(0.893) $26.85 37.7% $348,969 0.86% 3.39% 62%
1992 26.85 0.65 .999 1.649 (0.583) (0.156) (0.739) 27.76 6.3% 467,208 0.86% 3.22% 56%
1993 27.76 0.64 2.009 2.649 (0.679) --- (0.679) 29.73 9.6% 583,599 0.86% 2.63% 95%
1994 29.73 0.51 (1.34) (0.83) (0.680) (1.68) ( 2.36) 26.54 (3.0%) 595,154 0.84% 2.07% 43%
1995(g) 26.54 0.79 7.16 7.95 (0.540) --- (0.540) 33.95 30.1% 795,113 0.83% 2.70% 94%
1996 33.95 0.44 2.92 3.36 --- --- --- 37.31 9.9% 884,467 0.82% 2.55% 60%
(g)(h)
SERIES C (MONEY MARKET)
1991(a) $12.74 $0.69 $0.01 $0.70 $(0.92) $--- $(0.92) $12.52 5.6% $86,610 0.61% 5.42% ---
1992 12.52 0.43 (0.03) 0.40 (0.71) --- (0.71) 12.21 3.2% 87,246 0.61% 3.19% ---
1993 12.21 0.29 0.027 0.317 (0.437) --- (0.437) 12.09 2.6% 99,092 0.61% 2.65% ---
1994 12.09 0.41 0.035 0.445 (0.265) --- (0.265) 12.27 3.7% 118,668 0.61% 3.70% ---
1995(g) 12.27 0.74 (0.085) 0.655 (0.585) --- (0.585) 12.34 5.4% 105,436 0.60% 5.27% ---
1996 12.34 0.316 (0.006) 0.310 --- --- --- 12.65 2.5% 168,756 0.61% 5.00% ---
(g)(h)
SERIES D (WORLDWIDE EQUITY)
1991(a)(b)$3.97 $0.15 $0.34 $0.49 $(0.55) $--- $(0.55) $3.91 12.7% $11,688 1.58% 3.95% 113%
1992(a) 3.91 0.02 (0.122) (0.102) (0.048) --- (0.048) 3.76 (2.6%) 25,183 1.62% 0.50% 81%
1993(a) 3.76 0.02 1.17 1.19 (0.006) --- (0.006) 4.94 31.6% 98,252 1.42% 0.38% 70%
1994(a) 4.94 0.02 0.115 0.135 (0.005) --- (0.005) 5.07 2.7% 147,033 1.34% 0.50% 82%
1995 5.07 0.05 0.4989 0.5489 (0.0009) (0.058) (0.0589) 5.56 10.9% 177,781 1.31% 0.90% 169%
1996(h) 5.56 0.02 0.68 0.70 --- --- --- 6.26 12.6% 223,847 1.29% 1.10% 132%
SERIES E (HIGH GRADE INCOME)
1991 $11.67 $0.76 $1.17 $1.93 $(0.78) $--- $(0.78) $12.82 17.0% $63,602 0.86% 8.24% 24%
1992 12.82 0.78 0.168 0.948 (0.748) --- (0.748) 13.02 7.4% 81,440 0.86% 7.41% 76%
1993 13.02 0.64 1.02 1.66 (0.79) (0.11) (0.90) 13.78 12.6% 112,900 0.86% 6.21% 151%
1994 13.78 0.76 (1.713) (0.953) (0.69) (0.617) (1.307) 11.52 (6.9%) 107,078 0.85% 6.74% 185%
1995(g) 11.52 0.74 1.36 2.10 (0.76) --- (0.76) 12.86 18.6% 125,652 0.85% 6.60% 180%
1996 12.86 0.40 (0.85) (0.45) --- --- --- 12.41 (3.5%) 122,760 0.85% 6.40% 257%
(g)(h)
</TABLE>
63
<PAGE>
FINANCIAL HIGHLIGHTS (CONTINUED)
<TABLE>
<CAPTION>
RATIO
NET RATIO OF NET
NET GAIN TOTAL DIVIDENDS OF INCOME
ASSET NET (LOSS) FROM (FROM DISTRI- NET NET EXPENSES (LOSS)
FISCAL VALUE INVEST- ON INVEST- NET BUTIONS ASSET ASSETS TO TO
PERIOD BEGIN- MENT SECURITIES MENT INVEST- (FROM RETURN TOTAL VALUE END OF AVERAGE AVERAGE PORTFOLIO
ENDED NING OF INCOME (REALIZED & OPERA- MENT CAPITAL OF DISTRI- END OF TOTAL PERIOD NET NET TURNOVER
DEC. 31 PERIOD (LOSS) UNREALIZED) TIONS INCOME) GAINS) CAPITAL BUTIONS PERIOD RETURN(D)(THOUSANDS) ASSETS ASSETS RATE
SERIES J (EMERGING GROWTH)
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1992(c) $10.00 $0.01 $2.46 $2.47 $--- $--- $--- $--- $12.47 24.7% $7,113 1.06% 0.22% 4%
1993 12.47 (0.01) 1.711 1.701 (0.001) --- --- (0.001) 14.17 13.6% 42,096 0.91% (0.14%) 117%
1994 14.17 (0.01) (0.713) (0.723) --- (0.007) --- (0.007) 13.44 (5.1%) 76,940 0.88% (0.11%) 91%
1995(g) 13.44 0.04 2.58 2.62 --- --- --- --- 16.06 19.5% 93,379 0.84% 0.26% 202%
1996 16.06 (0.02) 2.56 2.54 --- --- --- --- 18.60 15.8% 125,570 0.84% (0.19%) 81%
(g)(h)
SERIES K (GLOBAL AGGRESSIVE)
1995 $10.00 $0.54 $0.22 $0.76 $(0.466)$(0.044)$(0.03)$(0.540) $10.22 7.6% $5,678 1.63% 11.03% 127%
(a)(e)(f)
1996 10.22 0.52 (0.12) 0.40 --- --- --- --- 10.62 3.9% 9,017 0.84% 11.94% 103%
(f)(h)
SERIES M (SPECIALIZED ASSET ALLOCATION)
1995 $10.00 $0.169 $0.541 $0.71 $--- $--- $--- $--- $10.71 7.1% $15,976 1.94% 3.2% 181%
(a)(e)
1996(h) 10.71 0.201 0.539 0.74 --- --- --- --- 11.45 6.9% 31,209 1.47% 3.82% 23%
SERIES N (MANAGED ASSET ALLOCATION)
1995 $10.00 $0.156 $0.574 $0.73 $--- $--- $--- $--- $10.73 7.3% $10,580 1.90% 2.8% 26%
(a)(e)
1996(h) 10.73 0.137 0.293 0.43 --- --- --- --- 11.16 4.0% 18,390 1.65% 2.65% 72%
SERIES O (EQUITY INCOME)
1995 $10.00 $0.166 $1.534 $1.70 $--- $--- $--- $--- $11.70 17.0% $13,528 1.40% 3.0% 3%
(a)(e)
1996(h) 11.70 0.155 0.775 0.93 --- --- --- --- 12.63 8.0% 41,824 1.23% 2.77% 13%
SERIES S (SOCIAL AWARENESS)
1991(c) $10.00 $0.05 $0.50 $0.55 $--- $--- $--- $--- $10.55 5.5% $2,711 1.00% 1.49% 162%
1992(a) 10.55 0.03 1.69 11.721 (0.021) --- --- (0.021) 12.25 16.4% 9,653 0.92% 0.24% 110%
1993 12.25 0.02 1.43 21.452 (0.012) --- --- (0.012) 13.69 11.9% 19,490 0.90% 0.23% 105%
1994 13.69 0.08 (0.595) (0.515) (0.02) (0.185) --- (0.205) 12.97 (3.7%) 24,539 0.90% 0.75% 67%
1995(g) 12.97 0.09 3.507 3.597 (0.077) --- --- (0.077) 16.49 27.7% 36,830 0.86% 0.75% 122%
1996 16.49 0.01 2.42 2.43 --- --- --- --- 18.92 14.7% 47,447 0.85% 0.24% 39%
(g)(h)
</TABLE>
(a) Net investment income per share has been calculated using the weighted
monthly average number of capital shares outstanding.
(b) Effective May 1, 1991, the investment objective of Series D was changed
from high current income to long-term capital growth through investment in
common stocks and equivalents of companies domiciled in foreign countries
and the United States.
(c) Series J and Series S were initially capitalized on October 1, 1992 and
April 23, 1991, respectively, with net asset values of $10.00 per share.
Percentage amounts for the period have been annualized, except for total
return.
(d) Total return information does not take into account any charges paid at the
time of purchase.
(e) Series K, M, N and O were initially capitalized on June 1, 1995 with net
asset values of $10.00 per share. Percentage amounts for the period have
been annualized, except for total return.
(f) Fund expenses were reduced by the Investment Manager during the period, and
expense ratios absent such reimbursement would have been 2.03% in 1995 and
1.59% in 1996 for Series K.
(g) Expense ratios were calculated without the reduction for custodian fees
earnings credits. Expense ratios with such reductions would have been as
follows:
1995 1996
Series A 0.83% 0.83%
Series B 0.83% 0.82%
Series C 0.60% 0.60%
Series E 0.85% 0.85%
Series J 0.83% 0.84%
Series S 0.84% 0.85%
(h) Unaudited figures for the six months ended June 30, 1996. Percentage
amounts for the period, except total return, have been annualized.
64
<PAGE>
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 1996
1. SIGNIFICANT ACCOUNTING POLICIES
The Fund is registered under the Investment Company Act of 1940, as
amended, as a diversified, open-end management investment company of the series
type. Its shares are currently issued in eleven series with each series, in
effect, representing a separate fund. The Fund is required to account for the
assets of each series separately and to allocate general liabilities of the Fund
to each series based upon the net asset value of each series. Shares of the Fund
will be sold only to Security Benefit Life Insuranc e Company (SBL) separate
accounts. The following is a summary of the significant accounting policies
followed by the Fund in the preparation of its financial statements.
A. SECURITIES VALUATION--Valuations of the Fund's securities are supplied
by pricing services approved by the Board of Directors. Securities listed or
traded on a recognized securities exchange are valued on the basis of the last
sales price. If there are no sales on a particular day, then the securities are
valued at the last bid price. If a security is traded on multiple exchanges, its
value will be based on the price from the principal exchange where it is traded.
All other securities for which market quotations are available are valued on the
basis of the current bid price. If there is no bid price or if the bid price is
deemed to be unsatisfactory by the Board of Directors or by the Fund's
investment manager, then the securities are valued in good faith by such method
as the Board of Directors determines will reflect the fair value. The Fund
generally will value short-term debt securities at prices based on market
quotations for such securities or securities of similar type, yield, quality and
duration, except those securit ies purchased with 60 days or less to maturity
are valued on the basis of amortized cost which approximates market value
Generally, trading in foreign securities markets is substantially completed
each day at various times prior to the close of the New York Stock Exchange. The
values of foreign securities are determined as of the close of such foreign
markets or the close of the New York Stock Exchange, if earlier. All investments
quoted in foreign currency are valued in U.S. dollars on the basis of the
foreign currency exchange rates prevailing at the close of business. Investment
in foreign securities may involve risks not present in domestic investments.
Since foreign securities may be denominated in a foreign currency and involve
settlement and pay interest or dividends in foreign currencies, changes in the
relationship of these foreign currencies to the U.S. dollar can significantly
affect the value of the investments and earnings of the Series. Foreign
investments may also subject Series D, K, M and N to foreign government exchange
restrictions, expropriation, taxation or other political, social or economic
developments, all of which could affect the market and/or credit risk of the
investments.
B. FOREIGN CURRENCY TRANSACTIONS--The accounting records of the Fund are
maintained in U.S. dollars. All assets and liabilities initially expressed in
foreign currencies are converted into U.S. dollars at prevailing exchange rates.
Purchases and sales of investment securities, dividend and interest income, and
certain expenses are translated at the rates of exchange prevailing on the
respective dates of such transactions.
Series D, M, N and O do not isolate that portion of the results of
operations resulting from changes in the foreign exchange rates on investments
from the fluctutation arising from changes in the market prices of securities
held. Such fluctuations are included with the net realized and unrealized gain
or loss on investments. Series K isolates their portion of the results of
operations resulting in foreign exchange rates on investment from the
fluctuation arising from changes in the market prices of securities held.
Net realized foreign exchange gains or losses arise from sales of portfolio
securities, sales of foreign currencies, and the difference between asset and
liability amounts initially stated in foreign currencies and the U.S. dollar
value of the amounts actually received or paid. Net unrealized foreign exchange
gains or losses arise from changes in the value of portfolio securities and
other assets and liabilities at the end of the reporting period, resulting from
changes in the exchange rates.
C. FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS--Series D, K, M and N may
enter into forward foreign exchange contracts in connection with foreign
currency risk from purchase or sale of securities denominated in foreign
currency. These Series may also enter into such contracts to manage changes in
foreign currency exchange rates on portfolio positions. These contracts are
marked to market daily, by recognizing the difference between the contract
exchange rate and the current market rate as unrealized gains or losses.
Realized gains or losses are recognized when contracts are settled and are
reflected in the Statement of Operations. These contracts involve market risk in
excess of the amount reflected in the Balance Sheet. The face or contract amount
in U.S. dollars reflects the total exposure the Series have in that particular
currency contract. Losses may arise due to changes in the value of the foreign
currency or if the counterparty does not perform under the contract.
D. FUTURES--Series M utilizes futures contracts to a limited extent, with
the objectives of maintaining full exposure to the underlying stock markets,
enhancing returns, maintaining liquidity, and minimizing transaction costs.
Series M may purchase futures contracts to immediately position incoming cash in
the market, thereby simulating a fully invested position in the underlying index
while maintaining a cash balance for liquidity. In the event of redemptions,
Series M may pay departing shareholders from cash balanc es and reduce futures
positions accordingly. Returns may be enhanced by purchasing futures contracts
instead of the underlying securitites when futures are believed to be priced
more attractively than the underlying securities. The primary risks associated
with the use of futures contracts are imperfect correlation between changes in
market values of stocks contained in the indices and the prices of futures
contracts, and the possibility of an illiquid market. Futures contracts are
valued based upon the ir quoted daily settlement prices. Upon entering into a
futures contract, the Series is required to deposit either cash or securities,
representing the initial margin, equal to a certain percentage of the contract
value. Subsequent changes in the value of the contract, or variation margin, are
recorded as unrealized gains or losses. The variation margin is paid or received
in cash daily by the Series. The Series realizes a gain or loss when the
contract is closed or expires.
65
<PAGE>
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 1996
E. SECURITY TRANSACTIONS AND INVESTMENT INCOME--Security transactions are
accounted for on the date the securities are purchased or sold. Realized gains
and losses are reported on an identified cost basis. Dividend income less
foreign taxes withheld (if any) are recorded on the ex-dividend date. Interest
income is recognized on the accrual basis. Premium and discounts (except
original issue discounts) on debt securities are not amortized.
F. DISTRIBUTIONS TO SHAREHOLDERS--Distributions to shareholders are
recorded on the ex-dividend date. The character of distributions made during the
year from net investment income or net realized gains may differ from their
ultimate characterization for federal income tax purposes. These differences are
primarily due to differing treatments for expiration of net operating losses and
recharacterization of foreign currency gains and losses.
G. TAXES--The Fund complied with the requirements of the Internal Revenue
Code applicable to regulated investment companies and distributed all of its
taxable net income and net realized gains sufficient to relieve it from all, or
substantially all, federal income, excise and state income taxes. Therefore, no
provision for federal or state income tax is required.
H. EARNINGS CREDITS--Under the fee schedule with the custodian, the Fund
earns credits based on overnight custody cash balances. These credits are
utilized to reduce related custodial expenses. The custodian expense disclosed
in the Statement of Operations does not reflect the reduction in expense from
the related earnings credits.
2. MANAGEMENT FEES AND OTHER TRANSACTIONS WITH AFFILIATES
Management fees are payable to Security Management Company (SMC) (the
Investment Manager) under an investment advisory contract at an annual rate of
.50% of the average daily net assets for Series C, .75% for Series A, B, E, J, K
and S and 1.00% for Series D, M, N and O. SMC pays Lexington Management
Corporation (LMC), an amount equal to .50% of the average daily net assets of
Series D and .35% of the average net assets for Series K, for management
services. SMC & LMC have agreed to waive all of the management fees for Series K
till December 31, 1996. The Investment Manager pays T. Rowe Price Associates,
Inc. an annual fee equal to .50% of the first $50,000,000 of average net assets
of Series N and .40% of the average net assets of Series N in excess of
$50,000,000 for management services provided to that Series. The Investment
Manager pays T. Rowe Price Associates, Inc. an annual fee equal to .50% of the
first $20,000,000 of average net assets of Series O and .40% of the averages
assets in excess of $20,000,000 for management services provided to Series O.
The Investment Manager pays Templeton Quantitative Advisors, Inc., for research
provided to Series M, an annual fee equal to .30% of the first $50,000,000 of
the average net assets of Series M invested in equity securities and .25% of the
average net assets invested in equity securities in excess of $50,000,000. The
Investment Manager also pays Meridian Investment Management Corporation, for
research provided to Series M, an annual fee equal to .20% of the average net
assets of that Series.
The investment advisory contract provides that the total annual expenses of
each Series (including management fees, but excluding interest, taxes, brokerage
commissions and extraordinary expenses) will not exceed the level of expenses
which the Series is permitted to bear under the most restrictive expense
limitation imposed by any state in which shares of the Fund are then offered for
sale. For the period ended June 30, 1996, SMCagreed to limit the total expenses
for Series K, M, N and O to an annual rate of 2% of the average daily net asset
value of each respective Series.
The Fund has entered into a contract with SMC for transfer agent services
and administrative services which SMC provides to the Fund. The charges paid by
the Fund under the contract for transfer agent services are insignificant. The
administrative services provided by SMC principally include all fund and
portfolio accounting and regulatory filings. For providing these services, SMC
receives a fee at the annual rate of .045% of the average daily net assets of
the Fund, plus the greater of .10% of the aver age net assets of Series D or
$60,000, and with respect to Series K, M, and N, an annual fee equal to the
greater of .10% of each Series average net assets or (i) $45,000 in the year
ending April 29, 1997, and (ii) $60,000 thereafter. SMC has arranged for LMC to
provide certain administrative services relating to Series D and K, including
performing certain accounting and pricing functions. LMC is compensated directly
by SMC for providing these services.
Certain officers and directors of the Fund are also officers and/or
directors of SBL and its subsidiaries, which include Security Management
Company.
3. FEDERAL INCOME TAX MATTERS
The amounts of unrealized appreciation (depreciation) for income tax
purposes at June 30, 1996, for all securities and foreign currency holdings
(including foreign currency receivables and payables) were as follows:
<TABLE>
<CAPTION>
SERIES B SERIES C SERIES D SERIES E
SERIES A (GROWTH (MONEY (WORLDWIDE (HIGH GRADE
(GROWTH) INCOME) MARKET) EQUITY) INCOME)
<S> <C> <C> <C> <C> <C>
Aggregate gross
unrealized appreciation $152,745,280 $179,787,781 $ --- $23,913,482 $ 555,739
Aggregate gross
unrealized depreciation (2,425,437) (5,245,225) (79,448) (5,050,550) (2,282,883)
----------- ----------- ------- ---------- ----------
Net unrealized
appreciation (depreciation) $150,319,843 $174,542,556 $(79,448) $18,862,932 $(1,727,144)
=========== =========== ======= ========== ==========
</TABLE>
<TABLE>
<CAPTION>
SERIES M SERIES N
SERIES J SERIES K (SPECIALIZED (MANAGED SERIES O SERIES S
(EMERGING (GLOBAL ASSET ASSET (EQUITY (SOCIAL
GROWTH) AGGRESSIVE) ALLOCATION) ALLOCATION) INCOME) AWARENESS)
<S> <C> <C> <C> <C> <C> <C>
Aggregate gross
unrealized appreciation $26,357,993 $ 15,737 $1,394,722 $ 872,763 $2,563,107 $10,838,088
Aggregate gross
unrealized depreciation (881,332) (74,667) (692,349) (434,524) (281,998) (527,287)
---------- ------- --------- -------- --------- ----------
Net unrealized
appreciation (depreciation) $25,476,661 $(58,930) $ 702,373 $ 438,239 $2,281,109 $10,310,801
========== ======= ========= ======== ========= ==========
</TABLE>
66
<PAGE>
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 1996
4. INVESTMENT TRANSACTIONS
Investment transactions for the period ended June 30, 1996, (excluding
overnight investments and short-term debt securities) are as follows:
<TABLE>
<CAPTION>
SERIES B SERIES D SERIES E SERIES J
SERIES A (GROWTH (WORLDWIDE (HIGH GRADE (EMERGING
(GROWTH) INCOME) EQUITY) INCOME) GROWTH)
<S> <C> <C> <C> <C> <C>
Purchases $164,471,435 $264,969,372 $122,296,039 $159,333,201 $93,357,352
Proceeds from sales $161,856,719 $240,196,915 $122,266,620 $156,121,744 $84,603,823
</TABLE>
<TABLE>
<CAPTION>
SERIES M SERIES N
SERIES K (SPECIALIZED (MANAGED SERIES O SERIES S
(GLOBAL ASSET ASSET (EQUITY (SOCIAL
AGGRESSIVE) ALLOCATION) ALLOCATION) INCOME) AWARENESS)
<S> <C> <C> <C> <C> <C>
Purchases $3,579,156 $23,169,751 $12,297,619 $27,102,276 $16,879,086
Proceeds from sales $3,039,700 $10,950,767 $ 4,805,870 $1,614,741 $14,999,092
</TABLE>
5. FORWARD FOREIGN EXCHANGE CONTRACTS
At June 30, 1996, Series D & Series K had the following open forward
foreign exchange contracts to sell currency (excluding foreign currency
contracts used for purchase and sale settlements):
<TABLE>
<CAPTION>
SERIES D UNREALIZED GAIN (LOSS)
CURRENCY SETTLEMENT DATE CONTRACT AMOUNT CONTRACT RATE CURRENT RATE AT 6-30-96
<S> <C> <C> <C> <C> <C>
Japanese Yen 7/08/96 $4,953,277 102.915 109.680 $305,515
Japanese Yen 9/10/96 572,509 105.350 108.620 17,235
Japanese Yen 10/11/96 8,162,989 105.695 108.160 186,037
Japanese Yen 1/06/97 758,317 106.460 106.820 2,556
-------
$511,343
=======
SERIES K
Danish Krone 7/17/96 $ 275,862 5.8000 5.8668 $ 3,141
European Currency Unit 7/17/96 645,632 1.2416 1.2443 (1,404)
German Deutschemark 7/17/96 845,911 1.5013 1.5232 12,140
Canadian Dollar 8/26/96 515,085 1.3590 1.3621 1,172
-------
$ 15,049
=======
</TABLE>
67
<PAGE>
SECURITY FUNDS
OFFICERS AND DIRECTORS
DIRECTORS
Willis A. Anton
Donald A. Chubb, Jr.
John D. Cleland
Donald L. Hardesty
Penny A. Lumpkin
Mark L. Morris, Jr., D.V.M.
Jeffrey B. Pantages
Hugh L. Thompson, Ph.D.
OFFICERS
John D. Cleland, PRESIDENT
James R. Schmank, VICE PRESIDENT AND TREASURER
Terry A. Milberger, VICE PRESIDENT
Jane A. Tedder, VICE PRESIDENT
Mark E. Young, VICE PRESIDENT
Barbara J. Davison, ASSISTANT VICE PRESIDENT
Greg A. Hamilton, ASSISTANT VICE PRESIDENT
Cindy L. Shields, ASSISTANT VICE PRESIDENT
Thomas A. Swank, ASSISTANT VICE PRESIDENT
Amy J. Lee, SECRETARY
Christopher D. Swickard, ASSISTANT SECRETARY
Brenda M. Luthi, ASSISTANT TREASURER AND ASSISTANT SECRETARY
THIS REPORT IS SUBMITTED FOR THE GENERAL INFORMATION OF THE SHAREHOLDERS OF THE
FUNDS. THE REPORT IS NOT AUTHORIZED FOR DISTRIBUTION TO PROSPECTIVE INVESTORS IN
THE FUNDS UNLESS PRECEDED OR ACCOMPANIED BY AN EFFECTIVE PROSPECTUS WHICH
CONTAINS DETAILS CONCERNING THE SALES CHARGES AND OTHER PERTINENT INFORMATION.
[SDI LOGO] BULK RATE
700 SW Harrison St. U.S. POSTAGE PAID
Topeka, KS 66636-0001 TOPEKA, KS
(913) 295-3112 PERMIT NO. 385
(800) 888-2461
