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SBL FUND
================================================================================
SEMI-ANNUAL REPORT
JUNE 30, 1997
*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 P
(High Yield Series)
*Series S
(Social Awareness Series)
[SDI LOGO]
SECURITY DISTRIBUTORS, INC.
A Member of The Security Benefit
Group of Companies
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PRESIDENT'S LETTER
August 15, 1997
To Our Contractholders:
For the six months concluded June 30, 1997 the financial markets again provided
positive returns for investors. This is particularly true for those
contractholders who have funds in our equity portfolios.
MARKET PERFORMANCE IN THE FIRST SIX MONTHS
The first half of 1997 was a roller-coaster ride for fixed income investors. At
the beginning of the year the bellwether thirty-year Treasury bond yielded
6.64%. By late April the yield had risen to 7.14% before it began its descent to
6.78% at the end of June. As you know, bond prices move inversely to yields,
staging a "mirror" roller coaster ride which produced a 2.3% total return on the
long Treasury bond for the period.
The equity markets, however, produced another six months of incredible
performance. The Dow Jones Industrial Average Index returned 20.12% over the
first half while the Standard and Poor's 500 Index increased 20.61%. The S&P
Midcap 400 Index was less dramatic, generating 12.16% and the Russell 2000
Index, representing the small cap sector, also lagged its large-cap counterparts
but still produced a very respectable 10.17%. Clearly the markets were focused
again on the larger capitalization companies, reflecting the growing tendency of
money managers to prefer liquid issues for investment of new cash flows.
WHAT IS FUELING THE STRONG MARKETS?
The overriding economic theme for the first six months of 1997 was declining
secular inflation pressures, not just in the U.S. but globally as well. The
economy continues to grow at a steady pace, one which we expect to decline from
the torrid 5.9% annualized rate of the first quarter to a more sustainable 2.75%
to 3% for the balance of the year. We believe that it is possible to have growth
in this range without reigniting inflation.
This "steady growth, low inflation" picture should create an opportunity for
further declines in long-term interest rates. At the same time, the continuation
of the second-longest period of uninterrupted economic growth in post-World War
II history can create a climate which will take the equity markets to record
high ground.
KEEP THE LONG TERM PICTURE IN MIND
This is the stuff of which bull markets are made, and we clearly are enjoying
one of record proportions. However, we caution that increased volatility in the
financial markets creates the potential for sudden sharp downdrafts. These can
trap the unwary investor into becoming a trader in response to the schizophrenia
created by daily market noise. It is more important than ever to maintain a
disciplined approach to investing with a long-term financial plan.
As always, we invite your questions and comments. We appreciate your continuing
investment in Security products. Sincerely,
JOHN CLELAND
John Cleland, President
The Security Funds
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SERIES A (GROWTH SERIES)
August 15, 1997
The Growth Series of the SBL Fund returned a very attractive 16.78% in the first
six months of 1997(1). Although the Series lagged the 20.61% return of the S&P
500 Index, it was stronger than its peer group average of 13.57% for the same
time period. In an absolute sense the Series turned in an outstanding first half
for its investors.
COMPARISONS WITH THE BENCHMARK INDEX
This was a period in which performance was held back more by what we didn't own
than by what was in the portfolio. One of the primary reasons the Series lagged
its benchmark S&P 500 Index was an underweighting in some financial areas.
Regional banks as a group performed very well; unfortunately, the portfolio was
underweighted relative to the benchmark in this sector. Conversely, we held an
overweight position in money center banks which underperformed during the
period. The telecommunications sector, another area in which we were
underinvested relative to the S&P Index, also had an outstanding six months.
Continuing the "what we didn't own" theme, Coca Cola Company makes up 2.5% of
the S&P 500 Index, and General Electric Company another 3%. These two stocks
returned 29.8% and 32.2% respectively during the six months. We didn't own Coca
Cola Company, and held only a 1.67% weight in General Electric Company.
FAVORABLE INDUSTRY WEIGHTINGS
On the other, more favorable, side of the coin, there were many sector
weightings in the portfolio which helped performance. An overweighting in health
care issues relative to the benchmark index added to total performance as issues
such as Bristol-Myers-Squibb Company continued their above-average growth. Our
holdings in consumer nondurable goods companies, including Procter & Gamble
Company and Colgate-Palmolive Company, also did very well over the six months.
Insurance company stocks like our position in Allstate Corporation outperform as
a general rule when interest rates decline.
Our Microsoft Corporation stock was a strong performer, rising sharply in
mid-April after the company reported a third-quarter earnings increase of 85%.
The Series benefited from an underweighting in the energy sector as well when
this area performed weakly in the first half.
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SERIES A (GROWTH SERIES)
August 15, 1997
WHAT'S AHEAD FOR THE SECOND HALF
Our plans for the remainder of the year are to "stay the course." At this time
we anticipate no major changes in the general nature of the portfolio holdings.
We are expecting some moderation in the rate of economic growth, with earnings
continuing to be strong in sectors such as consumer nondurable goods and health
care. If interest rates continue to decline as we believe they will, our
insurance company issues will still do well. We have increased our holdings in
the regional bank sector, which would also benefit from falling interest rates.
We will maintain our focus on consistent high growth companies, particularly
those with earnings derived from international as well as domestic exposure.
Terry Milberger
Senior Portfolio Manager
AVERAGE ANNUAL TOTAL RETURN
AS OF JUNE 30, 1997(1)
1 Year 5 Years 10 Years
Series A 27.9% 19.5% 13.6%
(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.
TOP 5 EQUITY HOLDINGS**
SERIES A - GROWTH SERIES
Bristol-Myers Squibb Company ....... 1.9%
Microsoft Corporation .............. 1.7%
AlliedSignal, Inc .................. 1.6%
ADT, Ltd. .......................... 1.6%
General Electric Company ........... 1.6%
** At June 30, 1997
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SERIES B (GROWTH-INCOME SERIES)
August 15, 1997
The Growth-Income Series of the SBL Fund returned a rewarding 15.45% in the
first six months of 1997, close to its peer group average of 15.81%(1). As you
know, the stock markets have experienced another period of incredible returns,
with the Standard and Poor's 500 Index rising 20.61%. Our blended benchmark
index, consisting of 80% S&P 500 Index and 20% Lehman Brothers Aggregate High
Yield Bond Index, generated a six-month return of 17.65%.
PORTFOLIO MIX
The portion of the portfolio invested in high yield bonds, while outperforming
its benchmark index, has held back performance on the overall portfolio
throughout this period of strong stock markets. Even though high yield bonds
have been the star performers in the domestic fixed income investment realm for
the first half of the year, they have still vastly underperformed equities. The
20% of the portfolio allocated to bonds was reduced to 15% late in the first
half, and may be reduced further in coming months.
In the 80% of the Series allocated to equities (which has recently been raised
to 85%), the emphasis is still heavily on growth stocks. The mix is a ratio of
about four to one growth to value stocks.
POSITIVE AND NEGATIVE FORCES DURING THE FIRST HALF
A primary reason for underperformance relative to the benchmark index was an
underweighting in the portfolio in certain sectors which performed very well in
the index. These include some areas such as regional banks and
telecommunications. Also hurting return was an overweighting in money center
banks which, unlike their smaller regional counterparts, underperformed during
the six months.
Those areas in which our selection added to performance included health care
issues such as Bristol-Myers-Squibb Company and consumer nondurable goods
companies like Procter & Gamble Company and Colgate-Palmolive Company. Our
Allstate Corporation holdings did very well in a period of declining interest
rates. We held a large position--2% of the equity portion of the portfolio--in
Coca Cola Company stock, which rose nearly 30% in value in the first half of
1997.
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SERIES B (GROWTH-INCOME SERIES)
August 15, 1997
PLANS FOR THE NEXT SIX MONTHS
As mentioned earlier, we will probably reduce the high yield bond portion of the
portfolio a bit more in the second half. We anticipate no other major changes to
the structure in the coming months, but will continue focusing on stocks of
consistent high growth companies, emphasizing those with earnings derived from
international as well as domestic exposure. We expect earnings to remain strong
in the consumer nondurable goods and health care sectors. If interest rates
continue to decline as we believe they will, interest-sensitive stocks should
also outperform.
Terry Milberger
Senior Portfolio Manager
Tom Swank
Portfolio Manager
AVERAGE ANNUAL TOTAL RETURN
AS OF JUNE 30, 1997(1)
1 Year 5 Years 10 Years
Series B 24.2% 16.1% 13.2%
(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.
TOP 5 EQUITY HOLDINGS**
SERIES B - GROWTH-INCOME SERIES
Procter & Gamble Company ........... 1.9%
Bristol-Myers Squibb Company ....... 1.9%
Microsoft Corporation .............. 1.7%
Gillette Company ................... 1.7%
General Electric Company ........... 1.7%
** At June 30, 1997
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SERIES C (MONEY MARKET SERIES)
August 15, 1997
The total return on money market funds in the first half of 1997 was near that
of its close relatives, the fixed income funds, as interest rates on thirty-year
Treasury bonds fluctuated in a range roughly between 6.50% and 7.25%. The Money
Market Series of SBL Fund posted a gain of 2.51% for the period, outpacing the
2.47% peer group average yield.(1) Money market funds, unlike longer-term fixed
income securities, generally benefit from increases in short-term interest rates
such as the one executed by the Federal Reserve Open Market Committee in March.
AVERAGE MATURITY TARGETS FOR THE SERIES
At June 30 the Money Market Series had a 48-day average maturity, six days
shorter than that of the benchmark IBC Donoghue Money Fund Report. Our goal is
to stay within a range of ten days more or less than the Donoghue average and
avoid trying to outguess the markets by moving maturities sharply shorter or
longer. Because of the short-maturity nature of money market assets we can
quickly adjust to interest rate changes when they occur, without taking
unnecessary maturity risk in this conservative portfolio.
ASSET SECTORS REPRESENTED IN THE PORTFOLIO
The assets in SBL Fund's Money Market Series at the end of the six-month period
consisted of 77% commercial paper, 10% federal agency securities, and 13% Small
Business Administration issues. The commercial paper we purchase is entirely in
the "top tier" of rating agency classifications, rated at least A1 by Standard
and Poor's rating agency or P1 by Moody's. Federal agency holdings may from time
to time include short-term securities issued by the Federal National Mortgage
Association, the Federal Home Loan Bank, and Federal Farm Credit Banks.
The Small Business Association (SBA) holdings are fully guaranteed by the
federal government as to timely payment of principal and interest. These issues,
while bearing stated maturities in the twenty to thirty year range, are
considered to be short-maturity paper because their interest rate resets
periodically (usually monthly or quarterly). This enables the issues to carry
coupons representing recent market levels, staying competitive with other
short-term investment instruments.
OUTLOOK FOR THE NEXT SIX MONTHS
Interest rates have recently been declining on long-term bonds. Although this
movement has some effect on short-term rates, until the Federal Reserve decides
to lower their short rate targets, commercial paper and short-maturity agency
interest rates should not drop substantially. We expect the Fed to maintain
their cautious stance toward a rekindling of inflationary pressures, and
therefore believe that money fund returns will not vary substantially in the
near future.
Barbara Davison
Fixed Income Team
Series C is neither insured nor guaranteed by the U.S. Government and does not
maintain a stable net asset value at $1.00 per share.
AVERAGE ANNUAL TOTAL RETURN
AS OF JUNE 30, 1997(1)
1 Year 5 Years 10 Years
Series C 5.1% 3.5% 5.2%
(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.
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SERIES D (WORLDWIDE EQUITY SERIES)
August 15, 1997
[LEXINGTON LOGO] SUBADVISOR, LEXINGTON MANAGEMENT CORPORATION
PORTFOLIO MANAGERS, RICHARD SALER AND ALAN WAPNICK
The Worldwide Equity Series returned 12.70% during the six month period ending
June 30, outpacing its peer group average of 12.50%(1). The benchmark Morgan
Stanley Capital International World Index (MSCI Index) advanced 14.55%, with a
large part of the return coming from its 45% weighting in United States stocks.
THE EFFECT OF U.S. WEIGHTINGS IN GLOBAL PORTFOLIOS
The United States equity market continued to power ahead with a first half gain
as measured by the Standard & Poor's 500 Index of 20.61%. Due to the perceived
risk of slow profit growth and lofty valuation levels, the Worldwide Equity
Series maintained a relatively low U.S. exposure, as did most global funds. As a
result, the benchmark MSCI Index easily outperformed most managed global funds.
The Series benefited from strong equity performance in Europe. For example,
Switzerland posted a staggering 31.3% increase, while Spain advanced 20.7%.
Emerging market holdings in Latin America performed well; however, these gains
in the portfolio were offset by losses suffered in Malaysia and the Philippines.
MARKET PERFORMANCE AROUND THE WORLD
Equity markets are enjoying a historic climb in most countries as inflation
worldwide continues to fall. There are other regional drivers moving stock
prices, also. In Latin America economic recovery is leading to profit
acceleration. European equities are advancing as investors anticipate European
Monetary Union will become a reality, and this confidence has led to dramatic
falls in interest rates as European rates converge with low German rates.
Economic activity is accelerating from depressed levels across Europe, resulting
in rising profit expectations. Many European companies are now undertaking the
restructuring process already completed by many U.S. corporations, reducing
costs and increasing profit margins.
Finally, even Japan, after a difficult start, has enjoyed positive returns so
far in 1997 with a market gain of 8.7%. Japanese economic growth has
accelerated, improving profits and investor confidence.
WHERE DO WE GO FROM HERE?
The challenge for investors today is quite high. Conditions are positive for
stocks, yet much of
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SERIES D (WORLDWIDE EQUITY SERIES)
August 15, 1997
the good news seems to be already reflected in valuations. Given that markets
have been and continue to be driven by excess liquidity, large companies have
seen their stock prices soar. These same stocks will be most vulnerable when
markets eventually decline.
As a result of this trend, we have discovered better value in smaller stocks
like IMAX in Canada or JCG Holdings in Hong Kong. These growth stocks are not
well known and can be purchased at a discount relative to large stocks with a
similar growth outlook. Regionally the Series remains underweighted in the U.S.
due to high valuation levels and a muted profit outlook.
Europe is attractive although many stocks are becoming extended. Japanese stocks
may have a difficult second half as we expect that economy to slow and profits
to disappoint. Opportunities in emerging markets, we believe, are best found in
Latin America; the Mexican market looks especially attractive as profit growth
accelerates in a falling interest rate environment. The Series is currently
overweight in Canada, Latin America and Europe.
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.
AVERAGE ANNUAL TOTAL RETURN
AS OF JUNE 30, 1997(1)
1 Year 5 Years 10 Years
Series D 17.6% 14.3% 4.2%
(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.
TOP 5 EQUITY HOLDINGS**
SERIES D - WORLDWIDE EQUITY SERIES
Bohler Uddeholm AG ................... 2.5%
Imax Corporation ..................... 2.0%
Wienerberger Bautofindstrie AG ....... 1.8%
Cemex "B" ............................ 1.7%
Jefferson Smurfit Group .............. 1.7%
** At June 30, 1997
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SERIES E (HIGH GRADE INCOME SERIES)
August 15, 1997
The fixed income markets were volatile during the first half of 1997. The
thirty-year Treasury bond began the year yielding 6.64% and finished June at
6.78%, rising as high as 7.14% in between. The total return for the long bond
was only 2.3% over the six-month period. Corporate issues fared slightly better,
as the Lehman Corporate Bond Index rose 3.07%. The High Grade Income Series of
the SBL Fund returned 2.75% through June 30, slightly behind its peer group
average of 2.84%.(1)
CONTRIBUTORS TO PERFORMANCE IN THE FIRST HALF
The Series underperformed in the first three months of 1997 primarily because of
its position in bonds issued by property and casualty insurer Home Holdings.
This company, which experienced problems among some of its insured risks,
continued to decline in value and was ultimately sold from the portfolio.
While the first quarter's total return was negative, the second quarter's was
much better, outperforming its peers over the three month period. Steps were
taken to upgrade the overall credit quality of the holdings in the portfolio.
The high yield portion is now concentrated in issues rated BB and B, the upper
tiers of the high yield rating universe. Some of these issues have the potential
to be upgraded to investment grade ratings in the not-too-distant future, which
should add a capital gain return element to their attractive coupon rates.
HOW THE PORTFOLIO LOOKS NOW
At the end of June the sector composition of the portfolio was approximately
50.7% high grade corporate bonds, 20.4% Yankee bonds (U.S. dollar-denominated
securities issued by foreign corporations), 16.9% high yield corporate issues,
and about 12% mortgage-backed securities issues primarily by agencies of the
U.S. Government. This sector diversification should give the Series some
downside protection because the various sectors will not always move up or down
in value in tandem.
The average rating of the bonds in the portfolio is A-, with an average coupon
of 7.82%. Average duration of the securities is about 6.6 years, slightly longer
than that of the benchmark Lehman Corporate Bond Index duration of 5.88 years.
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SERIES E (HIGH GRADE INCOME SERIES)
August 15, 1997
LOOKING TO THE SECOND HALF
We plan to increase the allocation of high yield bonds to be nearer 20% of total
assets early in the second half. We are also working to reduce the block size of
issues in the portfolio so that each issuer will represent 2.5% or less of total
assets, in order to achieve further diversification.
The High Grade Income Series' portfolio, with these changes, will be well
positioned for the coming months. We will maintain our emphasis on maintaining a
neutral duration and diversification among sectors and asset classes. The
mortgage-backed securities and Yankee bonds provide cash flow through their
generally higher coupon interest rates than other classes. Finally,
fundamentally improving stories among our high yield credits provide the
potential for added return through capital gain.
Tom Swank
Portfolio Manager
Steven M. Bowser
Portfolio Manager
AVERAGE ANNUAL TOTAL RETURN
AS OF JUNE 30, 1997(1)
1 Year 5 Years 10 Years
Series E 5.7% 5.9% 7.6%
(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.
ASSET MIX**
SERIES E - HIGH GRADE INCOME SERIES
Corporate Bonds ................... 76.7%
Trust Preferred Securities ........ 4.8%
Mortgage Backed Securities ........ 14.6%
Government Securities ............. 0.4%
Cash & Equivalents ................ 3.5%
** At June 30, 1997
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SERIES J (EMERGING GROWTH SERIES)
August 15, 1997
In the midst of generally robust stock markets, small cap and midcap stocks
continued to underperform. By most measures, their returns were very attractive.
The Standard & Poor's 400 Midcap Growth Stock Index rose 14.95% in the first
half, and the small-cap Russell 2000 Index was up 10.17%. It is only when
compared with their larger counterparts that these returns seem less than ideal.
RELATIVE PERFORMANCE OF THE SERIES VERSUS ITS PEERS
The Emerging Growth Series returned 5.97% over the six months, trailing the
average 9.68% performance of its peer group of funds(1). The Series was hit hard
in the February and March stock market correction primarily because of its
orientation toward consistent growth companies. In periods when interest rates
are rising and uncertainty about corporate earnings abound, value stocks
frequently outperform growth issues.
Some of this damage was repaired in the second quarter when growth issues
recaptured part of their previous losses. The general recovery of the small and
midcap sectors of the stock markets during this period also helped the portfolio
overall to regain earlier losses. Issues which have performed very well include
Dell Computer which gained over 120% during the first half of 1997, money
manager Franklin Resources which rose almost 60%, and State Street Corporation,
up over 40%.
SMALL CAP AND MIDCAP MARKET OUTLOOK
If economic growth should weaken from its strong first-half pace, small cap and
midcap companies would be more likely to outperform the larger issues because
their earnings growth would look better by comparison. In addition, a slowing in
the pace of initial public offerings has allowed the supply/demand ratio to move
closer to normal, strengthening the foundation of the small cap markets.
A reduction in the capital gains tax would be beneficial for the smaller company
stocks, since more of their increase in value tends to come from capital
appreciation instead of dividends. The outlook for the tax cut seems favorable
at the present time; factors not yet known are who the recipients of the cut
will be and when it will become effective. Although the initial impact on the
stock markets might be a period of decline as investors take advantage of the
opportunity to sell their stocks, the longer-term effect will in all likelihood
be to benefit the small cap and midcap issues.
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SERIES J (EMERGING GROWTH SERIES)
August 15, 1997
PLANS FOR THE NEXT SIX MONTHS
In general we plan to keep the portfolio weighted toward the midcap portion of
the market, as investors appear to still be avoiding the smaller companies. We
will maintain our focus on higher-quality companies with good earnings
consistency and strong management. It is anticipated that our sector weightings
will be held close to that of our benchmark index, with substantial weights in
technology, health care, and interest sensitive issues. We view any corrections
in the markets as excellent buying opportunities.
Cindy Shields
Portfolio Manager
AVERAGE ANNUAL TOTAL RETURN
AS OF JUNE 30, 1997(1)
1 Year Since Inception
(10-1-92)
Series J 8.0% 16.0%
(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.
TOP 5 INDUSTRIES**
SERIES J - EMERGING GROWTH SERIES
Retail Trade ............ 8.5%
Computer Software ....... 8.5%
Business Services ....... 6.5%
Semiconductors .......... 6.3%
Computer Systems ........ 6.0%
** At June 30, 1997
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SERIES K (GLOBAL AGGRESSIVE BOND SERIES)
August 15, 1997
[LEXINGTON LOGO] [MFR LOGO]
SUBADVISORS, MFR ADVISORS, INC., AND LEXINGTON MANAGEMENT CORPORATION
PORTFOLIO MANAGERS, MARIA FIORINI RAMIREZ AND DENIS JAMISON
The first half of 1997 saw mediocre returns for the global fixed income
investor. The Global Aggressive Bond Series' total return of 2.43% for the
period placed it above the median in its peer group which averaged 1.73%(1).
HOW WORLD BOND MARKETS LOOKED
Many of the world's developed government bond markets performed reasonably well.
The average ten-year bond yield of the G-7 countries (Germany, France, United
Kingdom, Italy, Japan, Canada and the United States) started the year yielding
6.02% and fell to 5.82% during the first six months. The United States was the
only country in the group that experienced a rise in its ten-year bond yields.
Although most global bond returns were attractive, they became mediocre for U.S.
investors when the value of the U.S. dollar rose against most European
currencies.
The two major European anchor countries, Germany and France, remained in the
economic doldrums. Constrained by the economic guidelines of the rapidly
approaching European Monetary Union (EMU), neither country has the fiscal
latitude needed to jump start its economy. This continued anemic economic growth
outlook combined with the large short-term interest rate differentials between
core Europe and the U.S. (Germany's three-month interest rates are 2.5% below
the U.S.) pushed the U.S. dollar up approximately 11% versus the German currency
in the first half of 1997. This decline more than offset interest income and
bond gains and resulted in the benchmark Lehman Brothers Global Bond Index
declining 1.58% for the period.
PERFORMANCE OF THE GLOBAL AGGRESSIVE BOND SERIES
The Series owed much of its 2.43% return to its investment in dollar denominated
high yield bonds. This category includes Brady bonds, U.S. high yield corporate
debt and dollar denominated mortgages. All of these sectors saw their interest
rate spreads narrow versus U.S. Treasury securities as investors around the
world sought relatively high yielding securities. With yields in the G-7
countries averaging about 5.8% on June 30, this comes as no surprise.
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SERIES K (GLOBAL AGGRESSIVE BOND SERIES)
August 15, 1997
A LOOK AHEAD
We are optimistic about the Series' return for the second half of 1997. The
global interest rate environment should remain friendly with subdued inflation
the most important contributor. In addition, we believe that most of the bad
news regarding Europe has been priced into the U.S. dollar. These factors,
combined with a continued flow of funds into the high yield bond sectors, bode
well for the Global Aggressive Bond Series.
Maria Fiorini Ramirez
Portfolio Manager
Denis 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.
AVERAGE ANNUAL TOTAL RETURN
AS OF JUNE 30, 1997(1)
1 Year Since Inception
(6-1-95)
Series K 12.1% 11.0%
(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.
TOP 5 COUNTRIES*
SERIES K - GLOBAL AGRESSIVE BOND SERIES
United States ....... 11.6%
Canada .............. 9.6%
Denmark ............. 9.3%
Greece .............. 7.4%
Hungary ............. 6.2%
* At June 30, 1997
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SERIES M (SPECIALIZED ASSET ALLOCATION SERIES)
August 15, 1997
[MERIDIAN LOGO] MANAGED BY SECURITY MANAGEMENT COMPANY
RESEARCH PROVIDED BY MERIDIAN INVESTMENT MANAGEMENT CORPORATION
The extremely strong U.S. stock markets made returns on asset allocation funds
pale in comparison. In periods such as we have experienced so far this year, any
fund invested in asset classes other than U.S. stocks will underperform.
Investors in these types of funds recognize that the diversification of asset
classes generally provides reduced volatility, and can provide an added measure
of safety when markets decline. The peer group average for the Specialized Asset
Allocation Series rose 9.96% in the first half of 1997, while the Series itself
posted a 7.39% gain.(1)
CONTRIBUTORS TO PERFORMANCE IN FIRST HALF
Sometimes allocation choices seem jinxed. Meridian Asset Management recommended
changes three times during the past six months. Each worked very well for
awhile, and then lost ground to the raging bull market. In late February, they
suggested that we sell our remaining real estate stock holdings. The benchmark
Wilshire Real Estate Securities Index, which stood at a reading of about 100 at
the time, subsequently dropped below 95 before resuming its upward move and
closing the period above 104.
In early March Meridian suggested that we reduce our U.S. equity position by 10%
to be 24.8% of the portfolio, and our U.S. bond holdings to 15% from almost 22%
of assets. As with real estate, following the earlier recommendation, stocks and
bonds initially dropped in value from their levels at the time of the portfolio
change, and then began rising again.
The third recommendation, a move of 10% of assets into gold on May 7, seemed
well-timed as gold stocks rose sharply in the days following the change. But
after the Australian central bank announced in June that it had earlier sold a
large quantity of its gold reserves, gold stocks departed from overall equity
market movements and fell sharply.
EQUITY ASSET CLASSES REVISED
In May Meridian reclassified many of the industry designations in their model
portfolio in response to the introduction of a broader S&P industry grouping.
The S&P's new "Super 1500" list of industries replaces the 67 classifications
previously used, and provides a more descriptive and more narrowly defined
index. This change does not affect overall allocation strategies, but allows for
better usage of industry
15
<PAGE>
SERIES M (SPECIALIZED ASSET ALLOCATION SERIES)
August 15, 1997
designations within the U.S. equity portion of the portfolio.
PLANS FOR THE SECOND HALF OF 1997
The outlook for the U.S. bond market for the balance of the year is positive,
given the low level of inflation, the steady decline in commodity prices, and
steady economic growth conditions that prevail currently. We expect this
atmosphere to continue through the next six months, and plan to adjust bond
holdings from time to time accordingly.
Meridian remains skeptical on the domestic stock markets. At their current high
levels, and even with the support of lower bond yields, the danger remains for a
substantial correction. International equity markets have lagged the performance
of the U.S. markets in dollar terms. In Meridian's view select foreign countries
such as Italy and Japan are likely to outperform their U.S. counterparts in the
months to come. Accordingly, the foreign stock portion of the portfolio may be
increased. Cash continues to be the least rewarding asset class to hold, and
will probably be reduced to a very small percentage of assets going forward.
Jane Tedder
Senior 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.
AVERAGE ANNUAL TOTAL RETURN
AS OF JUNE 30, 1997(1)
1 Year Since Inception
(6-1-95)
Series M 14.7% 14.0%
(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.
MERIDIAN TARGET ALLOCATION*
SERIES M - SPECIALIZED ASSET ALLOCATION SERIES
U.S. Equities ................. 24.8%
International Equities ........ 29.9%
U.S. Bonds .................... 15.0%
International Bonds ........... 00.0%
Gold .......................... 10.0%
Real Estate ................... 00.0%
Cash .......................... 20.3%
* At June 30, 1997
16
<PAGE>
SERIES N (MANAGED ASSET ALLOCATION SERIES)
August 15, 1997
[T. ROWE PRICE LOGO]
SUBADVISOR, T. ROWE PRICE ASSOCIATES, INC.
PORTFOLIO MANAGER, NED NOTZON
After a dull first quarter in which U.S. stocks eked out a positive return and
most bonds declined, both rallied in the second quarter of 1997. Stocks were
particularly strong, returning 20.61% over the six months as measured by the S&P
500 Index, while the Lehman Brothers Aggregate Bond Index rose 3.09%.
International stock markets also performed well. Bonds of established foreign
markets trailed their U.S. counterparts, and those of emerging markets had the
highest returns in the fixed income sector overall.
A LOOK AT THE MARKETS
Market sentiment was dampened in the first quarter by signs of extremely strong
economic growth, rising interest rates, and anticipation of a tightening by the
Federal Reserve. As the second quarter progressed, however, investor confidence
recovered and soared. Nevertheless, performance among the various stock market
sectors was uneven, with some sharp though brief declines.
On the whole, foreign stock markets performed well, although behind the U.S.
market. Emerging markets led the way, especially Latin America, up over 40% for
the six months. Europe was strong and Japan rebounded, helped by a strengthening
of the yen versus the dollar. For the first half, however, the dollar's
generally strong showing dampened returns on foreign stocks and bonds for U.S.
investors.
PORTFOLIO PERFORMANCE DURING THE FIRST HALF
The Managed Asset Allocation Series performed very well when compared with its
peer group, returning 11.65% in the first half of the year versus the peer group
average return of 10.19%(1). The Series' benchmark index, a blend of 60% S&P 500
Index and 40% Lehman Brothers Aggregate Bond Index, returned 13.60% for the
period.
Sector exposures in the Series have changed very little from the end of 1996. We
continue to take a slightly defensive posture given the recent run-up in equity
valuations. Therefore, the Series is underweighted in equities versus the
benchmark. In the second quarter, the cash position was increased about 1% at
the expense of the equity sector. In the equity portion, we continue to
overweight foreign versus domestic stocks. In the bond sector we are
overweighting high yield bonds, while underweighting foreign issues. We are
about neutral in our allocation to investment grade bonds, including cash.
17
<PAGE>
SERIES N (MANAGED ASSET ALLOCATION SERIES)
August 15, 1997
OUR SECOND HALF OUTLOOK
The Federal Reserve seems to be on hold regarding interest rate changes for now.
There is no indication that further rate hikes are likely in the near future. We
do not expect any significant shifts in bond yields from their current levels.
The domestic stock market continues to climb. Even with the labor market as
tight as it has been, corporations have yet to experience the high labor costs
that could hurt earnings.
Although we believe that many stocks are highly valued, the domestic market
appears on track to generate another year of solid returns. Overseas, world
economies continue to recover and Japan seems to have emerged from its long
period of stagnation. We expect international markets to provide sound
investment opportunities in coming months.
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.
AVERAGE ANNUAL TOTAL RETURN
AS OF JUNE 30, 1997(1)
1 Year Since Inception
(6-1-95)
Series N 21.1% 17.9%
(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.
TOP 5 EQUITY SECTORS*
SERIES N - MANAGED ASSET ALLOCATION SERIES
Interest Sensitive ........ 16.2%
Consumer Staples .......... 13.2%
Basic Materials ........... 12.7%
Energy .................... 10.1%
Technology ................ 8.1%
* At June 30, 1997
18
<PAGE>
SERIES O (EQUITY INCOME SERIES)
August 15, 1997
[T. ROWE PRICE LOGO] SUBADVISOR, T. ROWE PRICE ASSOCIATES, INC.
PORTFOLIO MANAGER, BRIAN C. ROGERS
Ending strong in 1996, the equity market continued to advance sharply in the
first half of 1997. The year began slowly with the market up only modestly in
the first several months. April, May and June, however, were another matter
altogether as the combination of good corporate earnings growth, generally
stable interest rates, and strong investor demand for equities fueled a sharply
rising, almost frenzied, equity market.
PERFORMANCE COMPARISON WITH PEER FUNDS AND BENCHMARK INDEX
The Equity Income Series trailed the broad market in this environment, returning
14.49% for the six months compared with 20.61% for the benchmark Standard &
Poor's 500 Index(1). Its return was closer to that of its peer group average of
16.83%. Often, in sharply rising markets, conservative funds like the Equity
Income Series tend to advance at a moderate pace. Nonetheless, given our
conservative charter, we are reasonably pleased with the fund's six-month
return.
STRATEGY DURING THE FIRST HALF
What's a conservative, value-oriented fund to do in a market environment like
the first half of 1997? Our strategy has been to focus on risk even more than we
do typically. While we did not alter the overall asset allocation of the fund,
we did reduce our investments in a number of companies that have performed well
and no longer appear as undervalued as they once did. We always distinguish
between the quality of a company and the price of a company's stock.
Several of our larger sales represent investments in some of the world's great
companies such as Warner-Lambert Company, Honeywell, Inc., and General Electric
Company. When the market fully values a company's equity, our valuation
discipline prompts us to "recycle" these holdings into more reasonably valued
companies with attractive upside potential and relatively low downside risk.
We added to or initiated positions in companies such as Dow Chemical Company,
Knight-Ridder, Inc., General Motors Corporation and Duke Energy Corporation.
These companies share the characteristics of attractive relative valuations,
high relative dividend yields, and in our opinion good upside potential and
moderate downside risk. We purchased smaller positions in a number of other
electric utilities, one of the few groups not to participate in the market's
advance.
19
<PAGE>
SERIES O (EQUITY INCOME SERIES)
August 15, 1997
SUMMARY AND OUTLOOK
As we entered 1997, the last thing we expected was a market advance as sharp as
that which we experienced in the first half. At year end we encountered a
"delinkage" which occurred as stock prices surged at a much faster rate than did
corporate earnings and dividends. This "delinkage" is even more true today after
the first half's strong advance. We will continue to follow our conservative
investment approach because there are always interesting investment
opportunities in any market environment. From an expectations standpoint,
however, we believe that the going is likely to get tougher sometime between now
and the end of the year.
Brian C. Rogers
Portfolio Manager
AVERAGE ANNUAL TOTAL RETURN
AS OF JUNE 30, 1997(1)
1 Year Since Inception
(6-1-95)
Series O 27.3% 26.0%
(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.
TOP 5 EQUITY HOLDINGS*
SERIES O - EQUITY INCOME SERIES
Mellon Bank Company .............. 1.6%
Dow Chemical Company ............. 1.6%
Atlantic-Richfield Company ....... 1.5%
Exxon Corporation ................ 1.4%
General Electric Company ......... 1.3%
* At June 30, 1997
20
<PAGE>
SERIES S (SOCIAL AWARENESS SERIES)
August 15, 1997
Performance of the Social Awareness Series in the first half of 1997 lagged that
of the benchmark Domini Social 400 Index. The Series had a very respectable
six-month return of 11.01%, while the large-cap oriented Domini Index returned
21.83%(1). The greatest part of the shortfall occurred in the first quarter,
when the Series had some exposure to small and mid-cap stocks. In March we
decided to move up the capitalization ladder toward the larger companies. As a
result, in the second quarter our 15.49% return outperformed the peer group
average of 14.25%, although still slightly underperforming the benchmark's
17.82% return for the quarter.
CONTRIBUTORS TO IMPROVING PERFORMANCE
Because of the small size of the Series, changes can be made fairly quickly when
prudent to do so. The average market capitalization after making adjustments
beginning in March and continuing into the second quarter now stands at about
$33 billion. Many of the larger company stocks have contributed strongly to
total return. For example, Microsoft rose 53% in the first half of 1997, Procter
& Gamble increased 32%, and Coca-Cola was up 30% in the same period. Other
stocks in the portfolio increased by greater percentages, but made up a smaller
portion of total assets so had less impact. Many major pharmaceutical companies
such as Schering-Plough and Merck & Company were also outstanding performers.
CURRENT EVENTS IN THE SOCIAL AWARENESS INVESTING ARENA
As always, we vote our proxies in accordance with the dictates of our social
screens. The leading issues throughout "proxy season" in 1997 were the
environment, tobacco, workplace diversity, and human rights. A major event is
taking place as the settlement nears completion between the tobacco companies
and states suing for recovery of health costs related to smoking (we have no
exposure to tobacco in our portfolio.) The American Medical Association has
encouraged its physician members to check their holdings carefully in order to
be fully aware of what they are supporting with their investment dollars. We are
pleased that our publicly offered Security Social Awareness Fund has been
included on the AMA's list of approved funds for investment by its members.
21
<PAGE>
SERIES S (SOCIAL AWARENESS SERIES)
August 15, 1997
LOOKING TO THE NEXT SIX MONTHS
Our plans for the balance of 1997 are to continue to focus on the larger
capitalized companies whose earnings have shown consistent growth. We will
continue to closely monitor our social screens and to follow the happenings in
the social investing industry, watching for new developments and resolution of
continuing issues.
Cindy Shields
Portfolio Manager
AVERAGE ANNUAL TOTAL RETURN
AS OF JUNE 30, 1997(1)
1 Year 5 Year Since Inception
(5-1-91)
Series S 15.0% 17.2% 14.0%
(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.
TOP 5 EQUITY HOLDINGS*
SERIES S - SOCIAL AWARENESS SERIES
Coca-Cola Company .............. 3.5%
Microsoft Corporation .......... 3.2%
Merck & Company, Inc. .......... 3.0%
Intel Corporation .............. 3.0%
Procter & Gamble Company ....... 2.6%
* At June 30, 1997
22
<PAGE>
STATEMENTS OF NET ASSETS
JUNE 30, 1997
(UNAUDITED)
SERIES A (GROWTH)
NUMBER MARKET
COMMON STOCKS OF SHARES VALUE
- --------------------------------------------------------------------------------
ADVERTISING - 1.5%
Omnicom Group, Inc. ........................... 200,000 $ 12,325,000
AEROSPACE & DEFENSE - 1.5%
McDonnell Douglas Corporation ................. 180,000 12,330,000
BROADCAST MEDIA - 1.1%
Tribune Company ............................... 200,000 9,612,500
BANKING & FINANCE - 4.2%
Bank of New York Company, Inc. ................ 200,000 8,700,000
Chase Manhattan Corporation ................... 120,000 11,647,500
Northern Trust Corporation .................... 200,000 9,675,000
Norwest Corporation ........................... 100,000 5,625,000
-------------
35,647,500
CHEMICALS - BASIC - 1.1%
Monsanto Company .............................. 225,000 9,689,063
CHEMICALS - SPECIALTY - 2.2%
Nalco Chemical Company ........................ 200,000 7,725,000
Praxair, Inc. ................................. 200,000 11,200,000
-------------
18,925,000
COMPUTER SERVICES - 0.9%
Computer Sciences Corporation* ................ 100,000 7,212,500
COMPUTER SOFTWARE - 2.5%
BMC Software, Inc.* ........................... 130,000 7,198,750
Microsoft Corporation* 110,000 13,901,250
.............................................. -------------
21,100,000
COMPUTER SYSTEMS - 2.0%
Compaq Computer Corporation* .................. 80,000 7,940,000
International Business Machines Corporation ... 100,000 9,018,750
-------------
16,958,750
CONGLOMERATE - 6.8%
AlliedSignal, Inc. ............................ 160,000 13,440,000
Canadian Pacific, Ltd. ........................ 400,000 11,375,000
Rockwell International Corporation ............ 150,000 8,850,000
U.S. Industries, Inc.* ........................ 350,000 12,468,750
United Technologies Corporation ............... 130,000 10,790,000
-------------
56,923,750
CONSUMER SERVICES - 1.6%
ADT, Ltd.* .................................... 400,000 13,200,000
DATA NETWORKING - 1.1%
3Com Corporation* ............................. 60,000 2,700,000
Cisco Systems, Inc.* .......................... 100,000 6,712,500
-------------
9,412,500
ELECTRIC MACHINERY & ELECTRONIC
COMPONENTS - 1.6%
General Electric Company ...................... 200,000 13,075,000
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
- --------------------------------------------------------------------------------
ELECTRONICS - INSTRUMENTATION - 1.7%
Perkin-Elmer Corporation ...................... 120,000 $ 9,547,500
Teradyne, Inc.* ............................... 125,000 4,906,250
-------------
14,453,750
ENERGY EXPLORATION - PRODUCTION - 1.2%
Louisiana Land & Exploration Company .......... 170,000 9,711,250
ENERGY SERVICES - 1.1%
Halliburton Company ........................... 115,000 9,113,750
ENTERTAINMENT - 1.2%
Carnival Corporation (Cl. A) .................. 240,000 9,900,000
FINANCIAL SERVICES - 2.0%
Federal Home Loan Mortgage Corporation ........ 180,000 6,187,500
Federal National Mortgage Association ......... 240,000 10,470,000
-------------
16,657,500
FOOD & BEVERAGES - 5.0%
CPC International, Inc. ....................... 120,000 11,077,500
ConAgra, Inc. ................................. 180,000 11,542,500
PepsiCo, Inc. ................................. 300,000 11,268,750
Sara Lee Corporation .......................... 200,000 8,325,000
-------------
42,213,750
FOOD PROCESSING - 0.6%
Archer-Daniels-Midland Company ................ 200,000 4,700,000
HOUSEHOLD PRODUCTS - 4.8%
Colgate-Palmolive Company ..................... 150,000 9,787,500
Dial Corporation .............................. 290,000 4,531,250
Gillette Company .............................. 100,000 9,475,000
Kimberly-Clark Corporation .................... 120,000 5,970,000
Procter & Gamble Company ...................... 75,000 10,593,750
-------------
40,357,500
INSURANCE - 9.0%
Aetna, Inc. ................................... 120,000 12,285,000
Allstate Corporation .......................... 175,000 12,775,000
American International Group, Inc. ............ 75,000 11,203,125
Chubb Corporation ............................. 160,000 10,700,000
General Re Corporation ........................ 50,000 9,100,000
Hartford Financial Services Group, Inc. ....... 100,000 8,275,000
St. Paul Companies, Inc. ...................... 150,000 11,437,500
-------------
75,775,625
MANUFACTURING - 2.4%
Corning, Inc. ................................. 170,000 9,456,250
Leggett & Platt, Inc. ......................... 250,000 10,750,000
-------------
20,206,250
See accompanying notes.
23
<PAGE>
STATEMENTS OF NET ASSETS
JUNE 30, 1997
(UNAUDITED)
SERIES A (GROWTH) (CONTINUED)
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
- --------------------------------------------------------------------------------
MEDICAL INSTRUMENTS & SUPPLIES - 4.4%
Baxter International, Inc. .................... 200,000 $ 10,450,000
Becton, Dickinson & Company ................... 200,000 10,125,000
Boston Scientific Corporation* ................ 120,000 7,372,500
Medtronic, Inc. ............................... 110,000 8,910,000
-------------
36,857,500
MINING & METALS - 1.0%
Aluminum Company Of America ................... 110,000 8,291,250
NATURAL GAS - 1.1%
Coastal Corporation ........................... 170,000 9,041,875
OIL & GAS COMPANIES - 1.0%
Noble Affiliates, Inc. ........................ 200,000 7,737,500
Sonat, Inc. ................................... 20,000 1,025,000
-------------
8,762,500
PAPER & FORESTRY PRODUCTS - 1.2%
Fort Howard Corporation* ...................... 50,000 2,531,250
James River Corporation of Virginia ........... 200,000 7,400,000
-------------
9,931,250
PAINT & ALLIED PRODUCTS - 1.0%
Sherwin-Williams Company ...................... 280,000 8,645,000
PETROLEUM REFINING - 4.9%
Amoco Corporation ............................. 100,000 8,693,750
Mobil Corporation ............................. 160,000 11,180,000
Royal Dutch Petroleum Company - NY Shares ..... 200,000 10,800,000
Texaco, Inc. .................................. 100,000 10,875,000
-------------
41,548,750
PHARMACEUTICALS - 8.0%
American Home Products Corporation ............ 150,000 11,475,000
Bristol-Myers Squibb Company .................. 200,000 16,200,000
Elan Corporation PLC ADR* ..................... 200,000 9,050,000
Merck & Company, Inc. ......................... 100,000 10,350,000
Schering-Plough Corporation ................... 240,000 11,490,000
SmithKline Beecham PLC ADR .................... 100,000 9,162,500
-------------
67,727,500
PHOTOGRAPHIC EQUIPMENT & SUPPLIES - 1.9%
Eastman Kodak Company ......................... 100,000 7,675,000
Xerox Corporation ............................. 110,000 8,676,250
-------------
16,351,250
PUBLISHING & PRINTING - 2.4%
Gannett Company, Inc. ......................... 100,000 9,875,000
McGraw-Hill Companies, Inc. ................... 170,000 9,998,125
-------------
19,873,125
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
- --------------------------------------------------------------------------------
RETAIL TRADE - 9.9%
Dayton Hudson Corporation ..................... 150,000 $ 7,978,125
Federated Department Stores, Inc.* ............ 235,000 8,166,250
Payless ShoeSource, Inc.* ..................... 225,000 12,304,687
Rite Aid Corporation .......................... 90,000 4,488,750
Safeway, Inc.* ................................ 170,000 7,841,250
TJX Companies, Inc. ........................... 350,000 9,231,250
Toys "R" Us, Inc.* ............................ 350,000 12,250,000
Walgreen Company .............................. 200,000 10,725,000
Woolworth Corporation* ........................ 450,000 10,800,000
-------------
83,785,312
SEMICONDUCTORS - 1.7%
Intel Corporation ............................. 50,000 7,090,625
Linear Technology Corporation ................. 70,000 3,622,500
Xilinx, Inc.* ................................. 70,000 3,434,375
-------------
14,147,500
TRANSPORTATION - 0.8%
Union Pacific Corporation ..................... 100,000 7,050,000
-------------
Total common stocks- Series A - 96.4% ....... 811,513,750
Cash and other assets, less liabilities -
Series A - 3.6% ........................... 30,395,934
-------------
Total net assets - Series A - 100.0% ........ $ 841,909,684
=============
SERIES B (GROWTH-INCOME)
PREFERRED STOCKS
- ----------------
BANKING AND CREDIT - 0.6%
California Federal Bank ....................... 60,000 $ 6,660,000
CABLE TELEVISION - 0.2%
Cablevision Systems Corporation ............... 19,629 2,002,220
ENTERTAINMENT - 0.3%
Time Warner, Inc. ............................. 3,391 3,772,176
PUBLISHING & PRINTING - 0.3%
K-III Communications Corporation .............. 30,000 3,052,500
-------------
Total preferred stocks - Series B - 1.4% .... 15,486,896
TRUST PREFERRED SECURITIES(9)
- -----------------------------
FINANCE - 0.3%
S I Financing, Inc., 9.50% - 2026 ............. 134,000 3,542,625
-------------
Total trust preferred securities -
Series B - 0.3% ........................... 3,542,625
See accompanying notes.
24
<PAGE>
STATEMENTS OF NET ASSETS
JUNE 30, 1997
(UNAUDITED)
SERIES B (GROWTH-INCOME) (CONTINUED)
PRINCIPAL MARKET
CORPORATE BONDS AMOUNT VALUE
- --------------------------------------------------------------------------------
AIR TRANSPORTATION - 0.4%
Atlas Air, Inc., 12.25% - 2002 ................ $4,275,000 $ 4,745,250
CHEMICALS - 0.3%
Envirodyne Industries, Inc., 12.00% - 2000 .... 3,500,000 3,828,125
COMMUNICATIONS - 2.2%
Allbritton Communications Company,
11.50% - 2004 ............................... 2,975,000 2,952,687
CF Cable TV, Inc., 11.625% - 2005 ............. 1,390,000 1,591,550
Century Communications Corporation,
9.50% - 2005 ................................ 4,000,000 4,110,000
Comcast Corporation, 9.125% - 2006 ............ 3,500,000 3,666,250
Heritage Media Corporation, 8.75% - 2006 ...... 3,200,000 3,320,000
Rogers Cablesystems Ltd., 9.625% - 2002 ....... 2,000,000 2,112,500
Rogers Communications, Inc. 9.125% - 2006 ..... 2,500,000 2,531,250
Valassis Communications, Inc. 9.55% - 2003 .... 3,150,000 3,398,063
-------------
23,682,300
CONSUMER GOODS & SERVICES - 0.4%
Pillowtex Corporation, 10.00% - 2006 .......... 1,125,000 1,191,094
Westpoint Stevens, Inc., 9.375% - 2005 ........ 3,000,000 3,146,250
-------------
4,337,344
DIVERSIFIED - 0.3%
Sequa Corporation, 9.375% - 2003 .............. 3,000,000 3,063,750
ELECTRIC & GAS COMPANIES - 0.6%
AES Corporation, 10.25% - 2006 ................ 4,500,000 4,905,000
Cal Energy Company, Inc., 9.50% - 2006 ........ 2,000,000 2,140,000
-------------
7,045,000
ENTERTAINMENT - 0.8%
AMF Group, Inc., 10.875% - 2006 ............... 2,725,000 2,943,000
Showboat, Inc., 9.25% - 2008 .................. 4,500,000 4,612,500
Station Casinos, Inc., 10.125% - 2006 ......... 1,300,000 1,293,500
-------------
8,849,000
FINANCE - 0.8%
Dime Bancorp, Inc., 10.50% - 2005 ............. 4,000,000 4,340,000
Dollar Financial Group, Inc., 10.875% - 2006 .. 1,550,000 1,658,500
Homeside, Inc., 11.25% - 2003 ................. 2,585,000 3,001,831
-------------
9,000,331
PRINCIPAL MARKET
CORPORATE BONDS (CONTINUED) AMOUNT VALUE
- --------------------------------------------------------------------------------
FOOD & BEVERAGE TRADE - 1.3%
Cott Corporation, 9.375% - 2005 ............... $4,025,000 $ 4,216,187
Delta Beverage Group, 9.75% - 2003 ............ 2,600,000 2,713,750
Southland Corporation,
5.00% - 2003 ................................ 4,000,000 3,385,000
4.50% - 2004 ................................ 900,000 708,750
TLC Beatrice International Holdings, Inc.,
11.50% - 2005 ............................... 3,300,000 3,708,375
-------------
14,732,062
HOSPITAL MANAGEMENT - 0.7%
Regency Health Services, Inc., 9.875% - 2002 .. 2,000,000 2,065,000
Tenet Healthcare Corporation, 10.125% - 2005 .. 4,750,000 5,189,375
-------------
7,254,375
HOTEL & RECREATION - 0.4%
Four Seasons Hotels, Inc., 9.125% - 2000 ...... 3,600,000 3,879,000
INDUSTRIAL PRODUCT - 0.3%
Shop Vac Corporation, 10.625% - 2003 .......... 3,175,000 3,373,438
MANUFACTURING - 0.9%
AGCO Corporation, 8.50% - 2006 ................ 2,200,000 2,257,750
Johns Manville International Group, Inc.,
10.875% - 2004 .............................. 3,970,000 4,416,625
Titan Wheel International, Inc., 8.75% - 2007 . 2,650,000 2,696,375
-------------
9,370,750
OIL & GAS COMPANIES - 0.4%
Seagull Energy Corporation, 8.625% - 2005 ..... 4,800,000 4,884,000
PUBLISHING & PRINTING - 0.6%
Golden Books Publishing, Inc., 7.65% - 2002 ... 3,500,000 3,298,750
Hollinger International Publishing, Inc.,
8.625% - 2005 ............................... 2,825,000 2,874,438
-------------
6,173,188
REAL ESTATE - 0.3%
BF Saul REIT, 11.625% - 2002 .................. 3,100,000 3,332,500
REFINERY - 0.3%
Crown Central Petroleum Corporation,
10.875% - 2005 .............................. 3,665,000 3,839,087
RESTAURANTS - 0.5%
Carrols Corporation, 11.50% - 2003 ............ 4,800,000 5,142,000
See accompanying notes.
25
<PAGE>
STATEMENTS OF NET ASSETS
JUNE 30, 1997
(UNAUDITED)
SERIES B (GROWTH-INCOME) (CONTINUED)
PRINCIPAL
AMOUNT OR
NUMBER MARKET
CORPORATE BONDS (CONTINUED) OF SHARES VALUE
- --------------------------------------------------------------------------------
STEEL & METAL PRODUCTS - 0.1%
AK Steel Corporation, 9.125% - 2006 ........... $1,400,000 $ 1,438,500
TOBACCO PRODUCTS - 0.4%
Dimon, Inc., 8.875% - 2006 .................... $4,300,000 4,482,750
TRANSPORTATION - 0.4%
Teekay Shipping Corporation, 8.32% - 2008 ..... $4,000,000 4,040,000
-------------
Total corporate bonds - Series B - 12.4% .... 136,492,750
COMMON STOCKS
- -------------
ADVERTISING - 1.6%
Omnicom Group, Inc. ........................... 280,000 17,255,000
AEROSPACE & DEFENSE - 2.9%
Boeing Company ................................ 110,000 5,836,875
Lockheed Martin Corporation ................... 105,000 10,874,062
McDonnell Douglas Corporation ................. 220,000 15,070,000
-------------
31,780,937
BANKING & FINANCE - 4.4%
Banc One Corporation .......................... 200,000 9,687,500
Bank of New York Company, Inc. ................ 300,000 13,050,000
Chase Manhattan Corporation ................... 150,000 14,559,375
Northern Trust Corporation .................... 225,000 10,884,375
-------------
48,181,250
BROADCAST MEDIA - 1.3%
Tribune Company ............................... 300,000 14,418,750
CHEMICALS - BASIC - 1.2%
Monsanto Company .............................. 300,000 12,918,750
CHEMICALS - SPECIALTY - 1.5%
Praxair, Inc. ................................. 300,000 16,800,000
COMMUNICATION EQUIPMENT - 0.8%
Corning,Inc. .................................. 150,000 8,343,750
COMPUTER SERVICES - 0.4%
Computer Sciences Corporation* ................ 60,000 4,327,500
COMPUTER SOFTWARE - 2.4%
BMC Software, Inc.* ........................... 130,000 7,198,750
Microsoft Corporation* ........................ 150,000 18,956,250
-------------
26,155,000
COMPUTER SYSTEMS - 2.0%
Compaq Computer Corporation* .................. 80,000 7,940,000
International Business Systems Corporation .... 150,000 13,528,125
-------------
21,468,125
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
- --------------------------------------------------------------------------------
CONGLOMERATE - 4.9%
AlliedSignal, Inc. ............................ 200,000 $ 16,800,000
Canadian Pacific, Ltd. ........................ 500,000 14,218,750
Rockwell International Corporation ............ 170,000 10,030,000
United Technologies Corporation ............... 150,000 12,450,000
-------------
53,498,750
CONSUMER SERVICES - 1.5%
ADT, Ltd.* .................................... 500,000 16,500,000
DATA NETWORKING - 1.0%
3Com Corporation* ............................. 60,000 2,700,000
Cisco Systems, Inc.* .......................... 130,000 8,726,250
-------------
11,426,250
ELECTRICAL MACHINERY & ELECTRONIC
COMPONENTS - 1.7%
General Electric Company ...................... 280,000 18,305,000
ENERGY SERVICES - 0.9%
Halliburton Company ........................... 120,000 9,510,000
ENTERTAINMENT - 0.9%
The Walt Disney Company ....................... 120,000 9,630,000
FINANCIAL SERVICES - 1.8%
Federal Home Loan Mortgage Corporation ........ 200,000 6,875,000
Federal National Mortgage Association ......... 300,000 13,087,500
-------------
19,962,500
FOOD & BEVERAGES - 5.4%
Archer-Daniels-Midland Company ................ 100,000 2,350,000
CPC International, Inc. ....................... 150,000 13,846,875
Coca-Cola Company ............................. 260,000 18,135,000
ConAgra, Inc. ................................. 200,000 12,825,000
Sara Lee Corporation .......................... 300,000 12,487,500
-------------
59,644,375
HOSPITAL MANAGEMENT & SERVICES - 0.9%
Columbia/HCA Healthcare Corporation ........... 240,000 9,435,000
HOUSEHOLD PRODUCTS - 5.1%
Colgate-Palmolive Company ..................... 150,000 9,787,500
Gillette Company .............................. 200,000 18,950,000
Kimberly-Clark Corporation .................... 120,000 5,970,000
Procter & Gamble Company ...................... 150,000 21,187,500
-------------
55,895,000
INSURANCE - 6.2%
Aetna, Inc. ................................... 115,000 11,773,125
Allstate Corporation .......................... 175,000 12,775,000
Chubb Corporation ............................. 200,000 13,375,000
General Re Corporation ........................ 40,000 7,280,000
Hartford Financial Services Group, Inc. ....... 120,000 9,930,000
St. Paul Companies, Inc. ...................... 175,000 13,343,750
-------------
68,476,875
See accompanying notes.
26
<PAGE>
STATEMENTS OF NET ASSETS
JUNE 30, 1997
(UNAUDITED)
SERIES B (GROWTH-INCOME) (CONTINUED)
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
- --------------------------------------------------------------------------------
MEDICAL INSTRUMENTS & SUPPLIES - 3.1%
Baxter International, Inc. .................... 250,000 $ 13,062,500
Boston Scientific Corporation* ................ 170,000 10,444,375
Medtronic, Inc. ............................... 135,000 10,935,000
-------------
34,441,875
MINING & METALS - 1.0%
Aluminum Company of America ................... 150,000 11,306,250
NATURAL GAS - 2.5%
Coastal Corporation ........................... 225,000 112,967,188
El Paso Natural Gas Company ................... 280,000 15,400,000
-------------
27,367,188
OIL & GAS COMPANIES - 0.4%
Noble Affiliates, Inc. ........................ 120,000 4,642,500
OIL & GAS PIPELINES - 1.0%
MAPCO, Inc. ................................... 340,000 10,710,000
PAPER & FORESTRY PRODUCTS - 1.3%
James River Corporation of Virginia ........... 400,000 14,800,000
PETROLEUM REFINING - 4.4%
Amoco Corporation ............................. 140,000 12,171,250
Chevron Corporation ........................... 150,000 11,090,625
Mobil Corporation ............................. 200,000 13,975,000
Texaco, Inc. .................................. 110,000 11,962,500
-------------
49,199,375
PHARMACEUTICALS - 7.9%
American Home Products Corporation ............ 175,000 13,387,500
Bristol-Myers Squibb Company .................. 250,000 20,250,000
Elan Corporation PLC ADR* ..................... 200,000 9,050,000
Merck & Company, Inc. ......................... 150,000 15,525,000
Schering-Plough Corporation ................... 300,000 14,362,500
SmithKline Beecham PLC ADR .................... 150,000 13,743,750
-------------
86,318,750
PHOTOGRAPHIC EQUIPMENT & SUPPLIES - 1.9%
Eastman Kodak Company ......................... 140,000 10,745,000
Xerox Corporation ............................. 125,000 9,859,375
-------------
20,604,375
PUBLISHING & PRINTING - 2.0%
Gannett Company, Inc. ......................... 100,000 9,875,000
McGraw-Hill Companies, Inc. ................... 200,000 11,762,500
-------------
21,637,500
RESTAURANTS & FOOD SERVICE - 1.0%
Wendy's International, Inc. ................... 450,000 11,671,875
PRINCIPAL
AMOUNT OR
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
- --------------------------------------------------------------------------------
RETAIL TRADE - 4.1%
Dayton Hudson Corporation ..................... 100,000 $ 5,318,750
Federated Department Stores, Inc.* ............ 330,000 11,467,500
Toys "R" Us, Inc.* ............................ 450,000 15,750,000
Woolworth Corporation* ........................ 500,000 12,000,000
-------------
44,536,250
SEMICONDUCTORS - 0.8%
Intel Corporation ............................. 60,000 8,508,750
TOYS & SPORTING GOODS - 1.1%
Mattel, Inc. .................................. 360,000 12,195,000
TRANSPORTATION - 0.6%
Union Pacific Corporation ..................... 100,000 7,050,000
-------------
Total common stocks - Series B - 81.9% ...... 898,922,500
COMMERCIAL PAPER
- ----------------
AIG Funding, Inc., 5.725%, 7-03-97 ............ $ 900,000 899,714
Avnet, Inc., 5.57%, 8-11-97 ................... $2,300,000 2,285,073
Merrill Lynch & Company, Inc., ................ $5,000,000
5.55%, 7-02-97 .............................. 999,846
5.55%, 7-03-97 .............................. 3,998,766
-------------
Total commercial paper - Series B - 0.8% .... 8,183,399
-------------
Total investments - Series B - 96.8% ........ 1,062,628,170
Cash and other assets, less liabilities -
Series B - 3.2% ........................... 34,785,481
-------------
Total net assets - Series B - 100.0% ........ $1,097,413,651
=============
SERIES C (MONEY MARKET)
COMMERCIAL PAPER
- ----------------
AEROSPACE & DEFENSE - 1.4%
Allied Signal, Inc. (PP), 5.52%, 7-2-97 ....... $2,000,000 $ 1,999,693
BEVERAGES - 0.6%
PepsiCo, Inc., ................................ $ 845,000
5.50%, 7-1-97 ............................... 424,156
5.50%, 7-14-97 .............................. 420,000
-------------
844,156
See accompanying notes.
27
<PAGE>
STATEMENTS OF NET ASSETS
JUNE 30, 1997
(UNAUDITED)
SERIES C (MONEY MARKET) (CONTINUED)
PRINCIPAL MARKET
COMMERCIAL PAPER (CONTINUED) AMOUNT VALUE
- --------------------------------------------------------------------------------
BROKERAGE - 6.2%
Credit Suisse First Boston, 5.60%, 7-9-97 ..... $2,000,000 $ 1,997,220
Merrill Lynch & Company, Inc., ................ 6,640,000
5.57%, 7-10-97 .............................. 499,304
5.53%, 7-2-97 ............................... 2,499,616
5.58%, 8-18-97 .............................. 337,440
5.57%, 8-29-97 .............................. 1,981,560
5.57%, 8-5-97 ............................... 1,292,960
-------------
8,608,100
BUSINESS SERVICES - 2.9%
AI Credit Corporation, 5.475%, 7-7-97 ......... 1,400,000 1,398,722
General Electric Capital Corporation,
5.52%, 8-6-97 ................................. 2,600,000 2,585,648
-------------
3,984,370
COMBINATION GAS & ELECTRIC - 7.3%
Central Illinois Light Company, 5.57%, 8-12-97. 2,400,000 2,384,404
Dayton Power & Light Company, 5.56%, 7-15-97 .. 4,300,000 4,290,702
Pacific Gas & Electric Company, ............... 3,500,000
5.56%, 7-21-97 .............................. 2,990,733
5.56%, 7-24-97 .............................. 498,224
-------------
10,164,063
COMPUTER SYSTEMS - 4.8%
International Business Machines Corporation, .. 6,600,000
5.50%, 7-14-97 .............................. 2,395,233
5.52%, 7-25-97 .............................. 3,188,224
5.50%, 7-8-97 ............................... 998,931
-------------
6,582,388
ELECTRIC UTILITIES - 15.7%
Carolina Power & Light Company, ............... 4,310,000
5.53%, 7-29-97 .............................. 1,593,118
5.53%, 7-30-97 .............................. 2,697,928
Georgia Power Company, 5.53%, 7-7-97 .......... 138,000 137,873
Idaho Power Company, .......................... 3,996,000
5.52%, 7-10-97 .............................. 2,995,860
5.60%, 7-31-97 .............................. 991,352
New England Power Company, .................... 6,745,000
5.57%, 7-10-97 .............................. 3,919,534
5.57%, 7-14-97 .............................. 1,816,339
5.62%, 7-17-97 .............................. 997,502
Progress Capital Holdings, Inc., .............. 6,500,000
5.54%, 7-11-97 .............................. 2,496,153
5.57%, 7-25-97 .............................. 3,985,147
-------------
21,630,806
PRINCIPAL MARKET
COMMERCIAL PAPER (CONTINUED) AMOUNT VALUE
- --------------------------------------------------------------------------------
ELECTRICAL EQUIPMENT - 2.5%
General Electric Company, ..................... $3,500,000
5.56%, 7-28-97 .............................. $ 497,915
5.51%, 7-7-97 ............................... 2,997,245
-------------
3,495,160
ELECTRONICS - 4.7%
Avent, Inc., .................................. 6,450,000
5.55%, 7-18-97 .............................. 997,379
5.57%, 7-1-97 ............................... 3,500,000
5.55%, 8-1-97 ............................... 1,940,681
-------------
6,438,060
ENGINEERING - 0.2%
Fluor Corporation, 5.56%, 7-31-97 ............. 225,000 223,957
ENTERTAINMENT - 0.2%
Walt Disney Company, The, 5.55%, 7-3-97 ....... 248,000 247,924
HARDWARE & TOOLS - 3.2%
Sherwin-Williams Company (PP), 5.55%, 8-4-97 .. 4,500,000 4,476,413
INDUSTRIAL SERVICES - 2.7%
PPG Industries, Inc., 5.50%, 7-7-97 ........... 3,700,000 3,696,608
MANUFACTURING - 1.3%
Eaton Corporation, 5.55%, 7-24-97 ............. 1,870,000 1,863,369
NATURAL GAS - 4.7%
Laclede Gas Company, .......................... 6,500,000
5.52%, 7-10-97 .............................. 2,995,860
5.55%, 7-31-97 .............................. 3,483,813
-------------
6,479,673
PHARMACEUTICALS - 4.9%
Allergan, Inc., ............................... 6,875,000
5.56%, 7-22-97 .............................. 1,669,567
5.52%, 7-8-97 ............................... 1,997,853
5.56%, 8-19-97 .............................. 2,481,081
5.57%, 9-16-97 .............................. 691,537
-------------
6,840,038
POLLUTION CONTROL - 2.4%
Engelhard Corporation, ........................ 3,350,000
5.60%, 8-11-97 .............................. 332,826
5.70%, 8-11-97 .............................. 2,995,433
-------------
3,328,259
PHOTOGRAPH/IMAGING - 4.6%
Eastman Kodak Company, ........................ 6,400,000
5.50%, 7-11-97 .............................. 3,993,889
5.50%, 7-9-97 ............................... 2,397,067
-------------
6,390,956
RETAIL - GROCERY - 2.7%
Winn-Dixie Stores, Inc., 5.55%, 8-19-97 ....... 3,700,000 3,672,050
See accompanying notes.
28
<PAGE>
STATEMENTS OF NET ASSETS
JUNE 30, 1997
(UNAUDITED)
SERIES C (MONEY MARKET) (CONTINUED)
PRINCIPAL MARKET
COMMERCIAL PAPER (CONTINUED) AMOUNT VALUE
- --------------------------------------------------------------------------------
RETAIL TRADE - 2.4%
Toys "R" Us, Inc., 5.52%, 7-2-97 .............. $3,325,000 $ 3,324,490
TELECOMMUNICATIONS - 1.7%
Pacific Bell, 5.60%, 7-11-97 .................. 2,300,000 2,296,422
-------------
Total commercial paper - Series C- 77.1% .... 106,586,955
U.S. GOVERNMENT & AGENCIES
- --------------------------
FEDERAL HOME LOAN BANK - 10.1%
5.63%, 12-17-97 ............................. 3,000,000 3,001,590
5.87%, 1-30-98 .............................. 2,000,000 2,004,040
5.70%, 3-4-98 ............................... 2,000,000 2,000,100
5.885%, 3-30-98 ............................. 2,000,000 2,002,000
6.13%, 4-17-98 .............................. 2,000,000 2,002,100
5.90%, 7-8-98 ............................... 3,000,000 3,000,000
-------------
14,009,830
SMALL BUSINESS ASSOCIATION POOLS - 13.4%
#502406, 6.25%, 2006(3)...................... 459,862 459,862
#502163, 6.50%, 2012(3)...................... 801,337 801,337
#502353, 6.25%, 2018(3)...................... 130,799 130,799
#503176, 6.125%, 2020(3)..................... 777,355 781,242
#503459, 6.00%, 2021(3)...................... 1,974,570 1,967,166
#503283, 6.00%, 2021(3)...................... 2,398,175 2,388,057
#503295, 6.00%, 2021(3)...................... 1,626,572 1,618,439
#503303, 6.00%, 2021(4)...................... 1,722,266 1,713,655
#503308, 6.00%, 2021(4)...................... 1,345,639 1,345,639
#503343, 6.125%, 2021(3)..................... 2,023,887 2,023,887
#503347, 6.125%, 2021(3)..................... 5,325,098 5,325,098
-------------
18,555,181
Total U.S. government & agencies -
Series C - 23.5% .......................... 32,565,011
-------------
Total investments - Series C - 100.6% ....... 139,151,966
Liabilities in excess of cash and other
assets - Series C - (0.6%) ................ (776,050)
-------------
Total net assets - Series C - 100.0% ........ $ 138,375,916
=============
SERIES D (WORLDWIDE EQUITY)
NUMBER MARKET
COMMON STOCKS OF SHARES VALUE
- --------------------------------------------------------------------------------
ARGENTINA - 1.5%
Perez Companc S.A. ............................ 300,400 $ 2,412,504
Transportadora de Gas del Sur, S.A. ADR ....... 159,100 1,988,750
-------------
4,401,254
AUSTRALIA - 2.5%
Foster's Brewing Group, Ltd. .................. 2,266,000 4,175,998
QBE Insurance Group, Ltd. ..................... 578,350 3,466,139
-------------
7,642,137
AUSTRIA - 4.2%
Boehler - Uddeholm AG ......................... 97,100 7,531,362
Wienerberger Baustoffindustrie AG ............. 26,000 5,341,648
-------------
12,873,010
BRAZIL - 1.3%
Aracruz Celulose S.A. ADR ..................... 197,450 4,023,044
CANADA - 6.7%
Bombardier, Inc. "B" .......................... 196,600 4,460,545
Hudson's Bay Company .......................... 112,100 2,518,995
Imax Corporation* ............................. 244,000 6,023,750
Jetform Corporation* .......................... 89,800 1,184,238
Noranda Forest, Inc. .......................... 312,000 2,295,518
Tarragon Oil & Gas, Ltd. ...................... 88,900 1,043,943
Yogen Fruz Wor ................................ 607,000 2,661,975
-------------
20,188,964
CHILE - 1.6%
Antofagasta Holdings PLC ...................... 249,000 1,900,073
Banco Santander ADR ........................... 93,700 1,382,075
Maderas y Sinteticos Sociedad ................. 90,500 1,504,563
-------------
4,786,711
FRANCE - 3.8%
Alcatel Alsthom ............................... 21,900 2,745,457
Elf Aquitaine S.A. ADR ........................ 68,100 3,707,194
Lafarge ....................................... 38,000 2,365,722
Sidel ......................................... 25,960 2,011,911
Unisor Sacilor ................................ 46,600 841,365
-------------
11,671,649
GERMANY - 3.1%
Continental AG ................................ 103,300 2,566,888
Deutsche Bank AG .............................. 64,300 3,760,139
Hoechst AG .................................... 26,300 1,116,577
Rofin - Sinar Technologies* ................... 95,900 1,834,087
-------------
9,277,691
See accompanying notes.
29
<PAGE>
STATEMENTS OF NET ASSETS
JUNE 30, 1997
(UNAUDITED)
SERIES D (WORLDWIDE EQUITY) (CONTINUED)
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
- --------------------------------------------------------------------------------
GREECE - 0.4%
Hellenic Tellecommunication Organization S.A.
Rights* ..................................... 7,158 $ 11,736
Michaniki S.A. ................................ 170,100 1,289,059
-------------
1,300,795
HONG KONG - 4.1%
HSBC Holdings PLC ............................. 80,000 2,406,005
JCG Holdings, Ltd. ............................ 2,732,000 2,203,999
National Mutual Asia, Ltd. .................... 2,479,000 2,751,856
Nu Skin Asia Pacific, Inc.* ................... 52,800 1,399,200
Peregrine Investment Holdings, Ltd. ........... 1,723,000 3,547,290
-------------
12,308,350
INDONESIA - 0.6%
PT Tambang Timah .............................. 1,258,500 1,953,871
IRELAND - 3.1%
Allied Irish Banks PLC ........................ 330,400 2,528,363
Elan Corporation PLC .......................... 31,700 1,434,425
Jefferson Smurfit Group ....................... 1,784,700 5,169,443
Rynair Holdings ............................... 25,000 132,757
-------------
9,264,988
ITALY - 1.6%
Industrie Natuzzi Spa ADR ..................... 95,400 2,444,625
Stet Societa' Finanziaria Telefonica S.p.A. ... 434,900 2,530,676
-------------
4,975,301
JAPAN - 12.4%
Acorn Company, Ltd. ........................... 38,300 1,847,556
Amway Japan, Ltd. ............................. 117,800 3,994,266
Doutor Coffee Company, Ltd. ................... 38,200 1,552,302
Fuji Bank, Ltd. ............................... 156,000 2,344,839
Fujitsu, Ltd. ................................. 84,000 1,167,176
Kubota Corporation ............................ 237,000 1,161,907
Maruco Company, Ltd. .......................... 20,500 170,908
Matsushita Electric Industrial Company, Ltd. .. 88,000 1,776,457
Mitsubishi Estate Company ..................... 169,000 2,451,629
NEC Corporation ............................... 82,000 1,146,552
Nippon Steel Corporation ...................... 1,004,000 3,211,255
Omron Corporation ............................. 58,000 1,211,395
Sony Corporation .............................. 54,000 4,714,322
Sumitomo Electric Industries .................. 74,000 1,241,632
The Bank of Tokyo - Mitsubishi, Ltd. .......... 119,000 2,391,855
Timco, Ltd. ................................... 27,900 1,243,467
Tokyo Electron, Ltd. .......................... 54,000 2,586,034
Toshiba Corporation ........................... 265,000 1,706,763
Yamato Kogyo Company, Ltd. .................... 184,000 1,817,006
-------------
37,737,321
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
- --------------------------------------------------------------------------------
MALAYSIA - 1.3%
Tanjong PLC ................................... 1,182,000 $ 4,074,241
MEXICO - 1.7%
Cemex S.A. de C.V. "B" ........................ 1,064,000 5,176,532
NETHERLANDS - 0.8%
Phillips Electronics N.V. ..................... 33,640 2,413,990
NEW ZEALAND - 2.6%
Brierley Investments, Ltd. .................... 2,029,100 1,980,259
Carter Holt Harvey, Ltd. ...................... 1,205,900 3,113,812
Fletcher Challenge Building ................... 908,900 2,728,826
Fletcher Challenge Forests* ................... 36,356 52,729
-------------
7,875,626
NORWAY - 1.5%
Saga Petroleum AS ............................. 235,700 4,475,238
PHILIPPINES - 0.5%
C & P Homes, Inc. ............................. 4,034,150 1,514,182
POLAND - 1.4%
Debica S.A.* .................................. 37,383 767,853
Elektrim Towarzystwo Handlowe S.A. ............ 148,233 1,290,063
Wedel S.A. .................................... 40,359 2,173,770
-------------
4,231,686
SINGAPORE - 1.8%
Clipsal Industries, Ltd. ...................... 357,000 1,263,780
Jardine Strategic Holdings, Ltd. .............. 438,000 1,655,640
Jardine Strategic Holdings, Ltd. (Warrants)* .. 21,900 986
Want Want Holdings* ........................... 762,000 2,529,840
-------------
5,450,246
SPAIN - 2.2%
Adolfo Dominguez S.A. ......................... 57,600 2,271,570
Banco Popular Espanol S.A. .................... 10,800 2,650,981
Tele Pizza, S.A. .............................. 28,900 1,705,663
-------------
6,628,214
SWEDEN - 1.3%
Industrial & Financial Systems,
IFS AB ...................................... 464,500 2,252,703
Skandinaviska Enskilda ...................... 163,500 1,765,595
-------------
4,018,298
SWITZERLAND - 5.8%
ABB AG ........................................ 2,520 3,820,146
Nestle S.A. ................................... 2,870 3,791,625
Novartis AG ................................... 2,200 3,522,173
Saurer AG ..................................... 5,390 3,575,217
Winterthur Schweizerlsche
Versicherungs - Gesellschaft ................ 3,350 2,955,105
-------------
17,664,266
See accompanying notes.
30
<PAGE>
STATEMENTS OF NET ASSETS
JUNE 30, 1997
(UNAUDITED)
SERIES D (WORLDWIDE EQUITY) (CONTINUED)
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
- --------------------------------------------------------------------------------
THAILAND - 0.4%
BEC World Public Company ...................... 125,000 $ 1,071,222
UNITED KINGDOM - 8.7%
Aegis Group PLC ............................... 1,695,000 1,770,170
Blacks Leisure Group PLC ...................... 48,100 364,240
D.F.S. Furniture Company PLC .................. 214,500 2,006,297
George Wimpey PLC ............................. 671,500 1,508,730
Grand Metropolitan PLC ........................ 240,800 2,330,439
Harvey Nichols PLC ............................ 196,200 920,831
Inchcape PLC .................................. 1,019,000 4,799,458
Norwich Union PLC ............................. 90,000 478,569
Oriflame International S.A .................... 105,000 847,545
PizzaExpress PLC .............................. 215,400 2,254,903
Provident Financial PLC ....................... 107,100 992,833
RTZ Corporation PLC ........................... 131,800 2,295,547
SmithKline Beecham PLC ADR .................... 11,200 1,026,200
Tomkins PLC ................................... 573,800 2,482,936
Vodafone Group PLC ............................ 477,600 2,324,994
-------------
26,403,692
UNITED STATES - 17.7%
Ace Ltd. ...................................... 17,000 1,255,875
Adaptec, Inc.* ................................ 28,000 973,000
AlliedSignal, Inc. ............................ 13,500 1,134,000
BJ Services Company* .......................... 16,600 890,175
Boeing Company ................................ 20,200 1,071,862
Borders Group, Inc.* .......................... 50,600 1,220,725
Bristol-Myers Squibb Company .................. 13,000 1,053,000
Citicorp ...................................... 10,300 1,241,794
Conseco, Inc. ................................. 31,200 1,154,400
Crown Cork & Seal Company, Inc. ............... 17,100 913,781
Data General Corporation* ..................... 44,500 1,157,000
Diamond Offshore Drilling, Inc.* .............. 27,700 2,164,063
Dover Corporation ............................. 16,600 1,020,900
Equity Residential Properties Trust ........... 22,000 1,045,000
Federal National Mortgage Association ......... 23,200 1,012,100
Gap, Inc. ..................................... 26,800 1,041,850
Georgia Pacific Corporation ................... 13,600 1,161,100
Honeywell, Inc. ............................... 15,700 1,191,237
Ingersoll-Rand Company ........................ 27,300 1,685,775
James River Corporation of Virginia ........... 25,400 939,800
Johnson & Johnson ............................. 18,400 1,184,500
Kimberly-Clark Corporation .................... 22,600 1,124,350
Medtronic, Inc. ............................... 12,300 996,300
Mobil Corporation ............................. 14,000 978,250
Monsanto Company .............................. 33,500 1,442,594
NAC Re Corporation ............................ 32,400 1,567,350
NationsBank Corporation ....................... 15,500 999,750
Norwest Corporation ........................... 27,300 1,535,625
Perkin-Elmer Corporation ...................... 11,900 946,794
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
- --------------------------------------------------------------------------------
UNITED STATES (CONTINUED)
Procter & Gamble Company ...................... 8,600 $ 1,214,750
Reynolds Metals Company ....................... 13,200 940,500
Rite Aid Corporation .......................... 19,900 992,513
Safeway, Inc.* ................................ 20,400 940,950
Schlumberger, Ltd. ............................ 9,900 1,237,500
Seagate Technology, Inc.* ..................... 27,000 950,063
Sealed Air Corporation ........................ 21,000 997,500
Service Corporation ........................... 37,000 1,216,375
St. Paul Companies, Inc. ...................... 14,700 1,120,875
Structural Dynamics Research Corporation* ..... 40,300 1,059,134
Tosco Corporation ............................. 32,700 978,956
Tyco International, Ltd. ...................... 17,500 1,217,344
Union Pacific Corporation ..................... 12,700 895,350
Union Planters Corporation .................... 21,800 1,130,875
United Healthcare Corporation ................. 20,400 1,060,800
Warner-Lambert Company ........................ 11,200 1,391,600
Waste Management, Inc. ........................ 27,200 873,800
Williams Companies, Inc. ...................... 28,400 1,242,500
-------------
53,564,335
-------------
Total common stocks - Series D - 94.6% ...... 286,966,854
PREFERRED STOCKS
- ----------------
BRAZIL - 0.8%
Companhia Cervejaria Brahma ................... 3,070,000 2,352,659
GERMANY - 0.7%
Sto AG ........................................ 5,390 2,254,940
-------------
Total preferred stocks - Series D - 1.5% .... 4,607,599
-------------
Total investments - Series D - 96.1% ........ 291,574,453
Cash and other assets less liabilities -
Series D - 3.9% ........................... 11,804,135
-------------
Total net assets - Series D - 100.0% ........ $ 303,378,588
=============
See accompanying notes.
31
<PAGE>
STATEMENTS OF NET ASSETS
JUNE 30, 1997
(UNAUDITED)
SERIES D (WORLDWIDE EQUITY) (CONTINUED)
At June 30, 1997, the composition of the Fund's net assets by industry
concentration was as follows
Banking ..................................................... 7.1%
Capital Equipment ........................................... 11.6%
Chemicals ................................................... 0.5%
Construction & Housing ...................................... 1.4%
Consumer Durables ........................................... 4.8%
Consumer Nondurables ........................................ 11.0%
Electrical and Electronics .................................. 3.9%
Energy Sources .............................................. 5.8%
Financial Services .......................................... 9.8%
Health & Personal Care ...................................... 4.5%
Materials ................................................... 16.8%
Merchandising ............................................... 5.3%
Multi-industry .............................................. 4.2%
Real Estate ................................................. 1.2%
Services .................................................... 4.3%
Telecommunications .......................................... 1.6%
Trade ....................................................... 2.0%
Transportation .............................................. 0.3%
Cash and other assets less liabilities ...................... 3.9%
------
Total net assets ............................................ 100.0%
======
SERIES E (HIGH GRADE INCOME)
PRINCIPAL MARKET
CORPORATE BONDS AMOUNT VALUE
- --------------------------------------------------------------------------------
AIR TRANSPORTATION - 4.2%
Southwest Airlines Company, 7.875% - 2007 ..... $2,500,000 $ 2,621,875
United Airlines, 11.21% - 2014 ................ 1,800,000 2,355,750
-------------
4,977,625
BANKS - 15.0%
ABN AMRO Bank NV,
7.55% - 2006 ................................ 1,000,000 1,030,000
7.30% - 2026 ................................ 3,000,000 2,842,500
Abbey National PLC, 6.69% - 2005 .............. 2,750,000 2,695,000
BCH Cayman Islands, Ltd., 7.70% - 2006 ........ 2,500,000 2,562,500
Bank of New York, Inc., 6.50% - 2003 .......... 3,500,000 3,416,875
Malayan Bank of New York, 7.125% - 2005 ....... 2,750,000 2,719,063
Santander Financial Issuances, Ltd.,
7.00% - 2006 ................................ 2,800,000 2,765,000
-------------
18,030,938
BROKERS, DEALERS & SERVICES - 7.2%
Lehman Brothers, Inc., 7.25% - 2003 ........... 3,250,000 3,262,188
Morgan Stanley Group, Inc., 7.25% - 2023 ...... 5,000,000 4,693,750
Salomon Inc., 7.30% - 2002 .................... 700,000 704,375
-------------
8,660,313
SERIES E (HIGH GRADE INCOME) (CONTINUED)
PRINCIPAL MARKET
CORPORATE BONDS (CONTINUED) AMOUNT VALUE
- --------------------------------------------------------------------------------
COMMUNICATIONS - 5.5%
Comcast Corporation, 9.125% - 2006 ............ $1,000,000 $ 1,047,500
Paramount Communications, 7.50% - 2023 ........ 1,000,000 878,750
Rogers Cablesystems, Ltd., 9.625% - 2002 ...... 1,100,000 1,161,875
Rogers Communication, Inc., 9.125% - 2006 ..... 900,000 911,250
Valassis Communications, Inc., 9.55% - 2003 ... 2,375,000 2,562,031
-------------
6,561,406
CONSUMER GOODS & SERVICES - 5.1%
Nike, Inc., 6.375% - 2003 ..................... 3,180,000 3,096,525
Sears Roebuck Acceptance Corporation,
6.41% - 2001 ................................ 3,000,000 2,962,500
-------------
6,059,025
ELECTRONICS - 1.7%
Pioneer Standard Electronics, Inc.,
8.50% - 2006 ................................ 1,900,000 1,980,750
FINANCE - 5.0%
Argentaria Capital Funding, 6.375% - 2026 ..... 2,000,000 1,875,627
Countrywide Capital Industries, Inc.,
8.00% - 2026 ................................ 1,000,000 997,500
PNC Funding Corporation, 7.75% - 2004 ......... 3,000,000 3,105,000
-------------
5,978,127
FOOD & BEVERAGES - 6.5%
Chiquita Brands International, Inc.,
10.25% - 2006 ............................... 1,750,000 1,863,750
Coca-Cola Enterprises, Inc., 6.70% - 2036(5) .. 3,500,000 3,500,000
FEMSA Fomento Economico Mexicano SA,
9.50% - 1997 ................................ 400,000 400,500
Panamerican Beverage, Inc., 8.125% - 2003 ..... 2,000,000 2,035,000
-------------
7,799,250
FUNERAL HOMES - 1.9%
Loewen Group International, Inc., 8.25% - 2003. 2,250,000 2,286,563
HOSPITAL MANAGEMENT - 0.9%
Tenet Healthcare, 10.125% - 2005 .............. 1,000,000 1,092,500
INSURANCE - 1.4%
Travelers Capital Trust, 7.75% - 2036 ......... 1,650,000 1,600,500
See accompanying notes.
32
<PAGE>
STATEMENTS OF NET ASSETS
JUNE 30, 1997
(UNAUDITED)
SERIES E (HIGH GRADE INCOME) (CONTINUED)
PRINCIPAL MARKET
CORPORATE BONDS (CONTINUED) AMOUNT VALUE
- --------------------------------------------------------------------------------
MEDIA - 3.7%
Time Warner Entertainment, 10.15% - 2012 ...... $1,750,000 $ 2,115,313
Turner Broadcasting, 8.375% - 2013 ............ 2,250,000 2,328,750
-------------
4,444,063
MANUFACTURING - 0.8%
Agrium, Inc., 7.00% - 2004 .................... 1,000,000 995,000
MOTOR VEHICLES & EQUIPMENT - 4.1%
Chrysler Corporation, 7.45% - 2027 ............ 4,000,000 3,945,000
Ford Motor Company, 7.25% - 2008 .............. 1,000,000 1,007,500
-------------
4,952,500
OIL & GAS COMPANIES - 6.1%
Petroleum Geo-Services, 7.50% - 2007 .......... 2,000,000 2,012,500
Petroleum Nasional Berhad, 7.125% - 2006 ...... 1,750,000 1,745,625
Seagull Energy Corporation, 8.625% - 2005 ..... 1,500,000 1,526,250
Transocean Offshore, Inc., 8.00% - 2027 ....... 2,000,000 2,067,500
-------------
7,351,875
PAPER & LUMBER PRODUCTS - 1.5%
Domtar, Inc., 9.50% - 2016 .................... 1,750,000 1,767,500
PUBLISHING & PRINTING - 1.3%
K-III Communications Corporation, 10.25% - 2004 555,000 585,525
Quebecor Printing Capital, 7.25% - 2007 ....... 1,000,000 1,007,500
-------------
1,593,025
STEEL & METAL PRODUCTS - 1.1%
AK Steel, 10.75% - 2004 ....................... 1,250,000 1,346,875
TOBACCO PRODUCTS - 0.6%
Dimon, Inc., 8.875% - 2006 .................... 675,000 703,688
UTILITIES - 2.3%
Tennessee Gas Pipeline, 7.50% - 2017 .......... 1,700,000 1,697,875
Westinghouse Electric Company, 8.375% - 2002 .. 1,050,000 1,089,375
-------------
2,787,250
TRANSPORTATION - 0.8%
Union Pacific Resources Group, Inc.,
7.50% - 2026 ................................ 1,000,000 986,250
-------------
Total corporate bonds - Series E - 76.7% .... 91,955,023
PRINCIPAL
AMOUNT OR
NUMBER MARKET
TRUST PREFERRED SECURITIES(9) OF SHARES VALUE
- --------------------------------------------------------------------------------
FINANCE - 4.8%
Chase Capital Trust, 6.1047% - 2027(4) ........ $2,500,000 $ 2,450,725
Washington Mutual Capital, 8.375% - 2002 ...... $1,000,000 1,016,250
SI Financing, Inc., 9.50% - 2026 .............. 87,140 2,303,764
-------------
Total trust preferred securities -
Series E - 4.8% ........................... 5,770,739
MORTGAGE BACKED SECURITIES
- --------------------------
U.S. GOVERNMENT AGENCIES - 8.0%
Federal Home Loan Mortgage Corporation,
#1339 C, 8.00% - 2006 CMO ................... $1,000,000 1,043,268
#112 H, 8.80% - 2020 CMO .................... $ 969,041 988,630
#1311 J, 7.50% - 2021 CMO ................... $3,350,000 3,380,615
#1468 U, 7.00% - 2022 CMO ................... $ 711,037 669,825
#1930 AB, 7.50% - 2023 CMO .................. $2,442,959 2,473,679
Federal National Mortgage Association,
#1992-88 L, 8.00% - 2021 CMO ............... $1,000,000 1,022,877
-------------
9,578,894
U.S. GOVERNMENT SECURITIES - 3.2%
Government National Mortgage Association,
#39238, 9.50% - 2009 ........................ $ 365,281 391,323
#181907, 9.50% - 2020 ....................... $ 376,963 402,022
#305617, 9.00% - 2021 ....................... $ 294,271 309,837
#301465, 9.00% - 2021 ....................... $ 226,213 238,180
#2445, 8.00% - 2027 ......................... $2,400,000 2,444,250
-------------
3,785,612
NON-AGENCY SECURITIES - 3.4%
Chase Capital Mortgage Securities Company,
1997-1B, 7.37% - 2007 CMO ................... $1,500,000 1,526,250
Chase Mortgage 1994-G A13, 7.00% - 2025, CMO .. $2,840,191 2,596,677
-------------
4,122,927
-------------
Total mortgage backed securities -
Series E - 14.6% .......................... 17,487,433
GOVERNMENT SECURITIES
- ---------------------
CANADIAN GOVERNMENT AGENCIES - 0.4%
British Columbia Province, 6.50% - 2026 ....... $ 500,000 453,750
-------------
Total investments - Series E - 96.5% ........ 115,666,945
Cash & other assets, less liabilities -
Series E - 3.5% ........................... 4,267,053
-------------
Total net assets - Series E - 100.0% ........ $ 119,933,998
=============
See accompanying notes.
33
<PAGE>
STATEMENTS OF NET ASSETS
JUNE 30, 1997
(UNAUDITED)
SERIES J (EMERGING GROWTH)
NUMBER MARKET
COMMON STOCKS OF SHARES VALUE
- --------------------------------------------------------------------------------
ADVERTISING - 1.5%
Omnicom Group, Inc. ........................... 49,000 $ 3,019,625
BANKS & TRUST - 3.2%
Northern Trust Corporation .................... 60,000 2,902,500
State Street Corporation ...................... 79,000 3,653,750
-------------
6,556,250
BEVERAGES - 2.4%
Coca-Cola Enterprises, Inc. ................... 210,200 4,834,600
BIOTECHNOLOGY - 2.5%
Amgen, Inc. ................................... 24,000 1,395,000
BioChem Pharma, Inc.* ......................... 62,500 1,390,625
Biogen, Inc.* ................................. 32,800 1,111,100
Centocor, Inc.* ............................... 39,000 1,211,437
-------------
5,108,162
BROKERAGE - 1.8%
Charles Schwab Corporation .................... 88,500 3,600,844
BUSINESS SERVICES - 7.4%
CBT Group PLC ADR* ............................ 10,000 631,250
Cambridge Technology Partners, Inc.* .......... 49,000 1,568,000
Cintas Corporation ............................ 26,000 1,787,500
Equifax, Inc. ................................. 80,800 3,004,750
Fiserv, Inc.* ................................. 25,500 1,137,937
Manpower, Inc. ................................ 43,000 1,913,500
Paychex, Inc. ................................. 60,600 2,302,800
Robert Half International, Inc.* .............. 31,500 1,482,469
Sungard Data Systems, Inc.* ................... 22,500 1,046,250
-------------
14,874,456
CHEMICALS - SPECIALTY - 2.5%
Praxair, Inc. ................................. 55,500 3,108,000
Sigma-Aldrich Corporation ..................... 59,000 2,068,687
-------------
5,176,687
COMMUNICATIONS - EQUIPMENT - 2.0%
ADC Telecommunications, Inc.* ................. 70,500 2,352,938
Tellabs, Inc.* ................................ 30,500 1,704,187
-------------
4,057,125
COMPUTER SOFTWARE - 7.6%
America OnLine,Inc.* .......................... 52,500 2,920,313
Ascend Communications, Inc.* .................. 35,000 1,378,125
BMC Software, Inc.* ........................... 56,000 3,101,000
Compuware Corporation* ........................ 47,700 2,277,675
McAfee Associates, Inc.* ...................... 31,000 1,956,875
PeopleSoft, Inc.* ............................. 42,000 2,215,500
Viasoft, Inc.* ................................ 31,000 1,573,250
-------------
15,422,738
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
- --------------------------------------------------------------------------------
COMPUTER SYSTEMS - 6.0%
Dell Computer Corporation* .................... 26,500 $ 3,112,094
Electronics for Imaging, Inc.* ................ 47,500 2,244,375
ENCAD, Inc.* .................................. 62,000 2,573,000
Sanmina Corporation* .......................... 33,000 2,095,500
SCI Systems, Inc.* ............................ 33,000 2,103,750
-------------
12,128,719
CONSUMER SERVICES - 1.8%
Apollo Group, Inc.* ........................... 56,000 1,974,000
Stewart Enterprises, Inc. ..................... 38,500 1,617,000
-------------
3,591,000
ELECTRIC UTILITIES - 1.0%
AES Corporation* .............................. 29,000 2,051,750
ELECTRONICS - 0.7%
Perkin-Elmer Corporation ...................... 18,700 1,487,819
FOOD - 0.7%
Dole Food Company, Inc. ....................... 33,200 1,419,300
HEALTH CARE - 2.4%
Cardinal Health, Inc. ......................... 30,900 1,769,025
Parexel International Corporation* ............ 49,000 1,555,750
Quintiles Transnational Corporation* .......... 21,900 1,524,787
-------------
4,849,562
HEALTH CARE - HMO - 1.6%
Oxford Health Plans, Inc.* .................... 44,400 3,185,700
HOSPITAL SUPPLIES/MANAGEMENT - 3.0%
Advanced Technology Labs, Inc.* ............... 25,000 1,075,000
Health Management Associates, Inc.* ........... 70,000 1,995,000
HEALTHSOUTH Corporation* ...................... 118,000 2,942,625
-------------
6,012,625
HOTEL/MOTEL - 0.5%
Promus Hotel Corporation* ..................... 27,500 1,065,625
HOUSEHOLD FURNISHINGS & APPLIANCES - 1.1%
Leggett & Platt, Inc. ......................... 51,300 2,205,900
HOUSEHOLD PRODUCTS - 0.4%
Dial Corporation .............................. 50,000 781,250
INSURANCE - 4.2%
AFLAC, Inc. ................................... 75,950 3,588,637
Progressive Corporation ....................... 19,500 1,696,500
SunAmerica, Inc. .............................. 66,000 3,217,500
-------------
8,502,637
INVESTMENT MANAGEMENT - 3.3%
Franklin Resources, Inc. ...................... 69,500 5,043,094
T. Rowe Price Associates, Inc. ................ 30,800 1,590,050
-------------
6,633,144
See accompanying notes.
34
<PAGE>
STATEMENTS OF NET ASSETS
JUNE 30, 1997
(UNAUDITED)
SERIES J (EMERGING GROWTH) (CONTINUED)
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
- --------------------------------------------------------------------------------
LEISURE TIME - 1.9%
Callaway Golf Company ......................... 41,200 $ 1,462,600
Mirage Resorts, Inc.* ......................... 98,500 2,487,125
-------------
3,949,725
MANUFACTURING - 1.4%
Illinois Tool Works, Inc. ..................... 57,000 2,846,437
MEDICAL INSTRUMENTS - 1.5%
Guidant Corporation ........................... 35,300 3,000,500
OFFICE EQUIPMENT & SUPPLIES - 0.5%
Corporate Express, Inc.* ...................... 70,500 1,017,844
OIL & GAS EQUIPMENT & SERVICES - 4.3%
BJ Services Company* .......................... 21,000 1,126,125
ENSCO International, Inc.* .................... 38,500 2,030,875
Global Marine, Inc.* .......................... 96,000 2,232,000
Smith International, Inc.* .................... 21,000 1,275,750
Tidewater, Inc. ............................... 33,000 1,452,000
Varco International, Inc.* .................... 17,500 564,375
-------------
8,681,125
OIL & GAS EXPLORATION - 2.8%
Anadarko Petroleum Corporation ................ 32,600 1,956,000
Apache Corporation ............................ 50,000 1,625,000
Sonat, Inc. ................................... 42,000 2,152,500
-------------
5,733,500
PACKAGING & CONTAINERS - 0.6%
Sealed Air Corporation* ....................... 24,000 1,140,000
PHARMACEUTICALS - 2.5%
Dura Pharmaceuticals, Inc.* ................... 77,500 3,090,312
Jones Medical Industries, Inc. ................ 40,000 1,900,000
-------------
4,990,312
POLLUTION CONTROL - 1.4%
United States Filter Corporation* ............. 49,750 1,355,688
United Waste Systems, Inc.* ................... 36,000 1,476,000
-------------
2,831,688
RESTAURANTS - 1.7%
Papa John's International, Inc.* .............. 46,250 1,699,688
Starbucks Corporation* ........................ 43,500 1,693,781
-------------
3,393,469
RETAIL TRADE - 8.5%
Bed Bath & Beyond, Inc.* ...................... 32,500 987,187
Consolidated Stores Corporation* .............. 44,688 1,552,891
Dollar General Corporation .................... 68,375 2,564,062
Dollar Tree Stores, Inc.* ..................... 45,000 2,266,875
General Nutrition Companies, Inc.* ............ 77,000 2,156,000
Kohl's Corporation* ........................... 52,500 2,779,219
Payless ShoeSource, Inc.* ..................... 22,000 1,203,125
Staples, Inc.* ................................ 119,250 2,772,563
Tiffany & Company ............................. 19,500 900,656
-------------
17,182,578
PRINCIPAL
AMOUNT OR
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
- --------------------------------------------------------------------------------
SEMICONDUCTORS - 6.3%
Altera Corporation* ........................... 47,000 $ 2,373,500
ANADIGICS, Inc.* .............................. 45,000 1,395,000
Analog Devices, Inc.* ......................... 80,500 2,138,281
Atmel Corporation* ............................ 55,500 1,554,000
Cymer, Inc.* .................................. 27,500 1,340,625
Linear Technology Corporation ................. 41,000 2,121,750
Xilinx, Inc.* ................................. 37,000 1,815,313
-------------
12,738,469
TEXTILES - 0.8%
Jones Apparel Group,Inc.* ..................... 34,500 1,647,375
TOOLS - 1.0%
Snap-On, Inc. ................................. 50,300 1,980,563
TRANSPORTATION - 0.6%
Illinois Central Corporation .................. 32,500 1,135,469
-------------
Total common stocks - Series J - 93.4% ...... 188,834,572
Cash & other assets, less liabilities -
Series J - 6.6% ........................... 13,385,529
-------------
Total net assets - Series J - 100.0% ........ $ 202,220,101
=============
SERIES K (GLOBAL AGGRESSIVE BOND)
GOVERNMENT OBLIGATIONS
- ----------------------
ARGENTINA - 4.4%
Republic of Argentina, 5.50% - 2023(6) ........ $1,000,000 $692,500
AUSTRALIA - 3.2%
New South Wales Treasury Corporation,
6.50% - 2006(2) ............................. 700,000 501,848
BRAZIL - 4.8%
Government of Brazil "C", 4.50% - 2014(7) ..... $ 952,553 765,019
CANADA - 2.6%
Canadian Government, 8.00% - 2023(2) .......... 500,000 410,684
COSTA RICA - 2.4%
Banco Costa Rica, 6.25% - 2010 ................ $ 459,015 387,868
DOMINICAN REPUBLIC - 4.5%
Central Bank of Dominican Republic,
6.875% - 2024(8) ............................ $ 850,000 709,750
ECUADOR - 2.3%
Republic of Ecuador, 6.4375% - 2025(8) ........ $ 500,000 358,128
See accompanying notes.
35
<PAGE>
STATEMENTS OF NET ASSETS
JUNE 30, 1997
(UNAUDITED)
SERIES K (GLOBAL AGGRESSIVE BOND) (CONTINUED)
PRINCIPAL MARKET
GOVERNMENT OBLIGATIONS (CONTINUED) AMOUNT VALUE
- --------------------------------------------------------------------------------
GREECE - 7.4%
Hellenic Republic, 14.00% - 2003(2) ........... 310,000,000 $1,172,933
HUNGARY - 6.2%
Government of Hungary, 23.00% - 1999(2) ....... 130,000,000 743,303
Government of Hungary, 21.00% - 1999(2) ....... 40,000,000 229,906
-------------
973,209
JORDAN - 4.1%
Kingdom of Jordan, 4.00% - 2023(6) ............ $1,000,000 650,000
MEXICO - 2.4%
United Mexican States, 6.25% - 2019 ........... $ 500,000 386,563
NEW ZEALAND - 2.8%
New Zealand Government, 6.50% - 2000(2) ....... 650,000 438,785
POLAND - 3.0%
Government of Poland, 16.00% - 1998(2) ........ 1,675,000 474,531
SOUTH AFRICA - 3.8%
Electricity Supply Commission, 11.00% - 2008(2) 600,000 106,694
Republic of South Africa, 12.00% - 2005(2) .... 2,500,000 491,454
-------------
598,148
SPAIN - 2.2%
Bonos u Oblig Del Estado, 10.15% - 2006(2) .... 40,000,000 341,212
VENEZUELA - 4.4%
Venezuela - DCB, 6.75% - 2007(8) .............. $ 750,000 695,625
-------------
Total government obligations -
Series K - 60.5% .......................... 9,556,802
CORPORATE BONDS
- ---------------
CANADA - 7.0%
CHC Helicopter, 11.50% - 2002 ................. $ 500,000 520,000
Roger's Communication, Inc., 10.50% - 2006(2) . 500,000 400,643
Stelco, Inc., 10.40% - 2009(2) ................ 200,000 178,790
-------------
1,099,433
PRINCIPAL MARKET
CORPORATE BONDS (CONTINUED) AMOUNT VALUE
- --------------------------------------------------------------------------------
CZECH REPUBLIC - 3.8%
CEZ, a.s., 11.30% - 2005(2) ................... 13,000,000 $ 381,149
Skofin, S.R.O., a.s., 11.625% - 1998(2) ....... 7,700,000 228,134
-------------
609,283
DENMARK - 9.3%
Nykredit, 7.00% - 2026(2) ..................... 3,479,501 514,155
Realkredit Danmark, 7.00% - 2026(2) ........... 3,479,001 514,606
Unikredit Realkredit, 7.00% - 2026(2) ......... 3,000,000 442,033
-------------
1,470,794
UNITED STATES - 11.6%
Archibald Candy Corporation, 10.25% - 2004 .... $ 500,000 508,750
Chiquita Brands International, Inc.,
10.25% - 2006 ............................... $ 250,000 266,250
Citicorp Mortgage Securities, Inc.,
7.25% - 2027 ................................ $ 410,315 274,798
Countrywide Home Loans, 7.05% - 2027 .......... $ 704,837 593,402
Residential Asset Securization Trust,
7.50% - 2011 ................................ $ 235,751 182,265
-------------
1,825,465
-------------
Total corporate bonds - Series K - 31.7% .... 5,004,975
SHORT-TERM INVESTMENTS
- ----------------------
MEXICO - 2.8%
Mexican Cetes, 0% - 7-24-97(2) ................ 3,600,000 446,815
SLOVAKIA - 2.8%
European Bank Research & Development,
12.50% - 8-19-97(2) ......................... 215,000,000 434,515
-------------
Total short-term investments -
Series K - 5.6% ........................... 881,330
-------------
Total investments - Series K - 97.8% ........ 15,443,107
WRITTEN OPTIONS
- ---------------
Call option on Government of Brazil "C" Bond,
strike price 80.5 USD - July 1997
(premium $9,586) ............................ $ 952,553 (8,143)
Call option on United Mexican States, strike
price 78.4375 USD - July 1997
(premium $4,250) ............................ $ 500,000 (2,306)
-------------
Total written options - Series K - 0.0% ..... (10,449)
Cash and other assets, less liabilities -
Series K - 2.2% ........................... 352,104
-------------
Total net assets - Series K - 100% .......... $ 15,784,762
=============
See accompanying notes.
36
<PAGE>
STATEMENTS OF NET ASSETS
JUNE 30, 1997
(UNAUDITED)
SERIES M (SPECIALIZED ASSET ALLOCATION)
PRINCIPAL
AMOUNT OR
NUMBER MARKET
CORPORATE BONDS OF SHARES VALUE
- --------------------------------------------------------------------------------
BANKS & CREDITS - 4.1%
Citicorp 7.125% - 2003 ........................ $1,000,000 $ 1,010,000
Star Bank Cincinnati, 6.375% - 2004 ........... $1,000,000 962,500
-------------
1,972,500
BROKERAGE - .6%
Merrill Lynch & Company, Inc., 8.00% - 2007 ... $ 250,000 265,000
COMMUNICATIONS - .1%
News America Holdings, 8.625% - 2003 .......... $ 40,000 43,050
FINANCIAL SERVICES - .3%
MCN Investment Corporation, 6.32% - 2003 ...... $ 125,000 121,875
INDUSTRIAL SERVICES - 4.1%
Black & Decker, 7.50% - 2003 .................. $1,000,000 1,025,000
Rite Aid Corporation, 6.70% - 2001 ............ $ 400,000 397,500
Xerox Corporation, 8.125% - 2002 .............. $ 500,000 525,625
-------------
1,948,125
PETROLEUM - .2%
Occidental Petroleum Corporation, 6.24% - 2000. $ 110,000 108,763
TRANSPORTATION - NON-RAIL - 1.0%
Airborn Freight Corporation, 7.35% - 2005 ..... $ 500,000 490,000
-------------
Total corporate bonds - Series M - 10.4% .... 4,949,313
COMMON STOCKS
- -------------
AMERICAN GOLD - 8.9%
Barrick Gold Corporation ...................... 38,000 836,000
Battle Mountain Gold Company .................. 90,000 511,875
Echo Bay Mines, Ltd. .......................... 99,000 556,875
Hecla Mining Company* ......................... 24,500 131,687
Homestake Mining Company ...................... 39,000 509,437
Newmont Mining Corporation .................... 19,500 760,500
Placer Dome, Inc. ............................. 49,000 802,375
Stillwater Mining Company* .................... 6,600 141,488
-------------
4,250,237
BROADCAST MEDIA - 1.2%
A.H. Belo Corporation ......................... 1,500 62,437
Chris-Craft Industries, Inc.* ................. 2,000 96,500
TCI Satellite Entertainment, Inc.* ............ 1,200 9,450
Tele-Communications, Inc.* .................... 12,000 178,500
U.S. West Media Group* ........................ 10,000 202,500
-------------
549,387
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
- --------------------------------------------------------------------------------
ENTERTAINMENT - 1.4%
King World Productions, Inc. .................. 4,300 $ 150,500
Time Warner, Inc. ............................. 5,000 241,250
Viacom, Inc.* ................................. 6,000 178,125
The Walt Disney Company ....................... 1,200 96,300
-------------
666,175
GAMING - 2.1%
Circus Circus Enterprises, Inc.* .............. 8,900 219,163
Harrah's Entertainment, Inc.* ................. 13,300 242,725
International Game Technology ................. 14,400 255,600
Mirage Resorts, Inc.* ......................... 10,900 275,225
-------------
992,713
HOSPITAL MANAGEMENT - 1.7%
Columbia/HCA Healthcare Corporation ........... 8,400 330,225
Tenet Healthcare Corporation* ................. 11,600 342,925
Universal Health Services, Inc.* .............. 4,000 154,000
-------------
827,150
LEISURE TIME - .8%
Brunswick Corporation ......................... 6,400 200,000
Callaway Golf Company ......................... 5,300 188,150
-------------
388,150
LONG-TERM CARE - 2.1%
Beverly Enterprises* .......................... 6,900 112,125
Genesis Health Ventures, Inc.* ................ 6,400 216,000
HEALTHSOUTH Corporation* ...................... 4,700 117,206
Health Care and Retirements Corporation* ...... 3,100 103,463
Horizon/CMS Healthcare Corporation* ........... 5,900 118,369
Integrated Health Services, Inc. .............. 4,300 165,550
Mariner Health Group, Inc.* ................... 9,000 138,937
-------------
971,650
MANAGED CARE - 1.4%
Express Scripts, Inc.* ........................ 3,100 129,425
Healthcare Compare Corporation* ............... 3,100 162,362
Oxford Health Plans* .......................... 2,100 150,675
Pacificare Health Systems,Inc.* ............... 1,600 102,200
United Healthcare Corporation ................. 2,600 135,200
-------------
679,862
MISCELLANEOUS - .1%
Ameron International Corporation .............. 1,100 62,288
NETWORKING - 2.2%
Bay Networks, Inc.* ........................... 9,400 249,688
3Com Corporation* ............................. 6,600 297,000
Cabletron Systems, Inc.* ...................... 9,800 277,462
Cisco Systems, Inc.* .......................... 3,300 221,513
-------------
1,045,663
See accompanying notes.
37
<PAGE>
STATEMENTS OF NET ASSETS
JUNE 30, 1997
(UNAUDITED)
SERIES M (SPECIALIZED ASSET ALLOCATION) (CONTINUED)
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
- --------------------------------------------------------------------------------
PERIPHERALS - 1.7%
EMC Corporation* .............................. 3,000 $ 117,000
Iomega Corporation* ........................... 4,300 85,463
Lexmark International Group, Inc.* ............ 4,900 148,837
Quantum Corporation* .......................... 7,000 142,625
Read-Rite Corporation* ........................ 4,200 87,675
Seagate Technology, Inc.* ..................... 2,400 84,450
Storage Technology Corporation* ............... 3,300 146,850
-------------
812,900
RESTAURANTS - 2.5%
Applebees International, Inc. ................. 3,000 80,250
Brinker International, Inc.* .................. 12,000 171,000
CKE Restaurants, Inc. ......................... 9,750 308,344
Cracker Barrel Old Country Store, Inc. ........ 5,000 132,500
McDonalds Corporation ......................... 2,500 120,781
Outback Steakhouse, Inc.* ..................... 7,000 169,312
Ryan's Family Steak House, Inc.* .............. 10,000 85,625
Wendy's International, Inc. ................... 5,000 129,688
-------------
1,197,500
STEEL - 1.8%
Allegheny Teledyne, Inc. ...................... 3,500 94,500
Carpenter Technology .......................... 2,600 118,950
Cleveland Cliffs, Inc. ........................ 6,600 268,950
Quanex Corporation ............................ 10,200 313,013
Steel Technologies, Inc. ...................... 5,200 55,575
-------------
850,988
TELECOMMUNICATIONS - 2.3%
Ameritech Corporation ......................... 3,700 251,369
Bell Atlantic Corporation ..................... 2,000 151,750
Bellsouth Corporation ......................... 2,900 134,488
GTE Corporation ............................... 3,100 136,012
Nynex Corporation ............................. 3,000 172,875
SBC Communication, Inc. ....................... 2,560 158,400
Southern New England Telecommunications
Corporation ................................. 2,500 97,187
-------------
1,102,081
TRUCKING - 1.4%
Caliber System, Inc. .......................... 4,200 156,450
Rollings Truck Leasing Corporation ............ 9,500 141,312
Ryder System, Inc. ............................ 4,000 132,000
US Freightways Corporation .................... 4,800 124,200
Werner Enterprises, Inc. ...................... 6,600 127,875
-------------
681,837
TRUCKING PARTS & SUPPLIES - 1.9%
Cummins Engine Company, Inc. .................. 3,700 261,081
Navistar International Corporation* ........... 18,900 326,025
PACCAR, Inc. .................................. 6,200 287,913
-------------
875,019
-------------
PRINCIPAL
AMOUNT OR
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
- --------------------------------------------------------------------------------
Total common stocks - Series M - 33.5% ...... $ 15,953,600
U.S. GOVERNMENT AGENCIES
- ------------------------
FEDERAL HOME LOAN MORTGAGE CORPORATION - .9%
6.00% - 2006 ................................ $ 60,574 58,503
7.00% - 2020 ................................ $ 250,000 247,575
7.00% - 2021 ................................ $ 100,000 98,068
FEDERAL NATIONAL MORTGAGE ASSOCIATION - 2.0%
7.17% - 2007 ................................ $ 500,000 494,805
6.50% - 2018 ................................ $ 140,000 135,065
6.95% - 2020 ................................ $ 170,000 165,854
7.50% - 2020 ................................ $ 160,000 160,206
U.S. TREASURY NOTES - 1.7%
6.875% - 1999 ............................... $ 800,000 811,800
-------------
Total U.S. government & government agencies -
Series M - 4.6% ........................... 2,171,876
FOREIGN STOCKS
- --------------
BELGIUM - 5.8%
Bekaert SA .................................... 50 33,901
Cementbedrijven Cimenteries ................... 600 55,077
Delhaize-Le Lion .............................. 1,550 81,488
Electrabel .................................... 1,900 407,483
Fortis AG ..................................... 1,750 361,683
Gevaert Photo Productions ..................... 900 84,617
Groupe Bruxelles Lambert ...................... 700 117,413
Kredietbank ................................... 1,050 423,505
Petrofina SA .................................. 1,050 397,949
Royale Belgium ................................ 650 188,943
Solvay SA ..................................... 500 294,854
Tractebel Investment International ............ 700 292,072
Union Miniere* ................................ 500 46,871
-------------
2,785,856
GERMANY - 7.1%
Allianz AG Holding ............................ 2,140 457,466
BASF AG ....................................... 7,919 292,440
Bayer AG ...................................... 5,365 206,899
Continental AG ................................ 1,198 29,769
Daimler-Benz AG ............................... 5,050 411,237
Degussa AG .................................... 860 45,504
Deutsche Bank AG .............................. 5,108 300,172
Dresdner Bank AG .............................. 8,689 304,670
Friedrich Grohe AG-Vorzugsak .................. 43 13,449
Heidelberger Zement AG ........................ 471 45,680
Hochtief AG ................................... 1,070 47,896
Linde AG ...................................... 86 66,874
Merck KGAA .................................... 1,113 48,543
See accompanying notes.
38
<PAGE>
STATEMENTS OF NET ASSETS
JUNE 30, 1997
(UNAUDITED)
SERIES M (SPECIALIZED ASSET ALLOCATION) (CONTINUED)
NUMBER MARKET
FOREIGN STOCKS (CONTINUED) OF SHARES VALUE
- --------------------------------------------------------------------------------
GERMANY (CONTINUED)
Muenchener Rueckversicherungs-Gesellschaft AG . 43 $ 121,903
Preussag AG ................................... 428 126,003
SAP AG ........................................ 728 146,140
Siemens AG .................................... 7,662 459,271
Veba AG ....................................... 4,766 269,407
-------------
3,393,323
ITALY - 5.4%
Assicurazioni Gererali ........................ 12,650 229,730
Banco Ambrosiano Vento ........................ 9,000 25,918
Banco Commerciale Italiane .................... 37,000 76,544
Benetton Group SPA ............................ 2,600 41,487
Credito Italiano .............................. 37,500 68,543
Edison SPA .................................... 19,000 94,414
Fiat SPA ...................................... 70,000 251,778
Fiat SPA - Private ............................ 14,000 25,836
Ina-Instituto Naz Assicuraz ................... 115,977 176,539
Instituto Banc San Paolo Tori ................. 12,500 91,023
Instituto Mobiliare Italiano .................. 11,441 102,878
Mediobanca .................................... 23,000 139,500
Montedison SPA* ............................... 51,800 34,158
Olivetti Group* ............................... 42,500 12,027
Pirelli SPA ................................... 85,000 210,314
Ras-Riun Adriat Di Sicurta .................... 4,500 35,572
Sirti SPA ..................................... 4,000 23,050
Telecom Italia Mobile SPA ..................... 138,200 446,723
Telecom Italia Mobile-DRNC .................... 27,614 49,337
Telecom Italia-RNC ............................ 20,000 39,553
Telecom Italia-SPA ............................ 130,000 388,892
-------------
2,563,816
JAPAN - 11.2%
Bank of Yokohama Limited ...................... 9,000 50,730
Daiei, Inc. ................................... 8,000 51,385
East Japan Railway Company .................... 10 51,385
Fanuc ......................................... 900 34,606
Fuji Bank, Ltd. ............................... 15,000 225,465
Fuji Photo Film ............................... 1,000 40,287
Fujitsu, Ltd. ................................. 7,000 97,265
Furukawa Electric Company ..................... 8,000 50,966
Hitachi, Ltd. (Hit. Seisakusho) ............... 10,000 111,859
Hokuriku Bank ................................. 8,000 27,475
Honda Motor Company, Ltd. ..................... 2,000 60,299
Industrial Bank Of Japan ...................... 13,000 202,220
Ito-Yokado Company, Ltd. ...................... 1,000 58,114
Itoham Foods .................................. 3,000 16,569
Japan Airlines* ............................... 16,000 72,848
Japan Energy Corporation ...................... 8,000 20,973
Kawasaki Heavy Industries ..................... 16,000 74,526
KOA Corporation ............................... 1,000 13,895
Komatsu, Ltd. ................................. 8,000 65,018
NUMBER MARKET
FOREIGN STOCKS (CONTINUED) OF SHARES VALUE
- --------------------------------------------------------------------------------
JAPAN (CONTINUED)
Komori Corporation ............................ 3,000 $ 71,310
Marui Company, Ltd. ........................... 3,000 55,842
Matsushita Electric Industrial Company, Ltd. .. 11,000 222,057
Mitsubishi Corporation ........................ 16,000 199,948
Mitsubishi Heavy Industrial, Ltd. ............. 20,000 153,631
Mitsubishi Materials Corporation .............. 15,000 60,037
Mori Seiki .................................... 3,000 48,239
NEC Corporation ............................... 3,000 41,947
Nippon Comsys Corporation ..................... 3,000 44,569
Nippon Oil Company, Ltd. ...................... 16,000 87,669
Nippon Shokubai K.K. Company .................. 4,000 31,810
Nippondenso Company, Ltd. ..................... 4,000 95,779
Normura Securities Company,Ltd. ............... 8,000 110,460
NSK Limited ................................... 16,000 103,050
Onward Kashiyama Company, Ltd. ................ 3,000 49,812
Oyo Corporation ............................... 1,400 54,444
Sakura Bank, Ltd. ............................. 3,000 23,018
Sankyo Company, Ltd. .......................... 1,000 33,645
Secom ......................................... 1,000 73,495
Sega Enterprises .............................. 500 16,604
Sekisui House, Ltd. ........................... 18,000 182,470
Shimizu Corporation ........................... 21,000 126,077
Shin-Etsu Chemical Company .................... 5,000 132,832
Sumitomo Bank ................................. 20,000 328,585
Sumitomo Chemical Company ..................... 23,000 104,317
Sumitomo Heavy Industries ..................... 9,000 36,415
Sumitomo Marine & Fire ........................ 4,000 32,858
Taisho Pharmaceutical ......................... 3,000 81,010
The Bank of Tokyo-Mitsubishi .................. 16,000 321,594
Tokai Bank .................................... 9,000 92,808
Tokyo Dome Corporation ........................ 4,000 53,832
Tokyo Electric Power .......................... 14,500 305,383
Tokyo Style ................................... 3,000 41,685
Tokyu Corporation ............................. 25,000 155,335
Tostem Corporation ............................ 1,000 27,702
Toyoda Automatic Loom Works ................... 3,000 68,164
Toyota Motor Corporation ...................... 10,000 295,377
Yamaichi Securities ........................... 15,000 44,700
-------------
5,334,395
-------------
Total foreign stocks - Series M - 29.5% ..... 14,077,390
FOREIGN WARRANTS
- ----------------
Tractebel Warrants - 1999 ..................... 600 6,442
See accompanying notes.
39
<PAGE>
STATEMENTS OF NET ASSETS
JUNE 30, 1997
(UNAUDITED)
SERIES M (SPECIALIZED ASSET ALLOCATION) (CONTINUED)
PRINCIPAL
AMOUNT OR
NUMBER MARKET
TEMPORARY CASH INVESTMENTS OF SHARES VALUE
- --------------------------------------------------------------------------------
MONEY MARKET FUNDS - 2.3%
Vista Federal Money Market Fund ............... 1,073,000 $ 1,073,000
FEDERAL HOME LOAN BANK - 1.0%
5.21% - 7-3-97 .............................. $ 500,000 499,855
FEDERAL NATIONAL MORTGAGE ASSOCIATION - 17.1%
5.26% - 7-9-97 .............................. $2,000,000 1,997,662
5.26% - 7-10-97 ............................. $1,200,000 1,198,421
5.33% - 8-4-97 .............................. $5,000,000 4,975,112
-------------
8,171,195
-------------
Total temporary cash - Series M - 20.4% ..... 9,744,050
-------------
Total investments - Series M - 98.4% ........ 46,902,671
Cash & other assets, less liabilities -
Series M - 1.6% ........................... 776,885
-------------
Total net assets - Series M - 100% .......... $ 47,679,556
=============
SERIES N (MANAGED ASSET ALLOCATION)
CORPORATE BONDS
- ---------------
AEROSPACE & DEFENSE - 0.6%
B.E. AeroSpace, 9.875% - 2006 ................. $ 35,000 $ 36,181
K & F Industries, 10.375% - 2004 .............. $ 25,000 26,406
Raytheon Company, 6.50% - 2005 ................ $ 100,000 96,125
-------------
158,712
BANKS & CREDIT - 0.6%
B.F. Saul Reit, 11.625% - 2002 ................ $ 50,000 53,750
Bankers Trust - NY, 7.25% - 2003 .............. $ 100,000 s 101,000
-------------
154,750
BEVERAGES - 0.2%
Dr. Pepper Bottling Holdings, 0.00% - 2003 .... $ 50,000 49,625
BROADCAST MEDIA - 0.4%
Chancellor Radio Broadcasting, 9.375% - 2004 .. $ 50,000 51,875
American Radio Systems, 9.00% - 2006 .......... $ 50,000 51,000
-------------
102,875
BUILDING/CONSTRUCTION - 0.2%
Synthetic Industries, 9.25% - 2007 ............ $ 50,000 51,000
SERIES N (MANAGED ASSET ALLOCATION) (CONTINUED)
PRINCIPAL MARKET
CORPORATE BONDS (CONTINUED) AMOUNT VALUE
- --------------------------------------------------------------------------------
CABLE SYSTEMS - 0.8%
Comcast Cable Communications, 8.125% - 2004 ... $ 100,000 $ 104,500
Fundy Cable, Ltd., 11.00% - 2005 .............. 50,000 54,188
Marcus Cable Operating Company, 0.00% - 2004 .. 50,000 43,500
-------------
202,188
CHEMICALS - SPECIALTY - 0.2%
Agricultural Minerals & Chemicals, 10.75% - 2003 50,000 53,188
COMMERCIAL SERVICES - 0.2%
Dyncorp, Inc., 9.50% - 2007 ................... 50,000 50,500
CONSUMER GOODS & SERVICES - 0.6%
Coinmach Corporation, 11.75% - 2005 ........... 50,000 55,313
Doane Products Company, 10.625% - 2006 ........ 50,000 52,750
Windy Hill Pet Food Company, 9.75% - 2007 ..... 50,000 50,750
-------------
158,813
COSMETICS - 0.6%
American Safety Razor Company, 9.875% - 2005 .. 100,000 104,500
Revlon Consumer Products Company, 10.50% - 2003 50,000 53,375
-------------
157,875
ELECTRIC UTILITIES - 2.1%
Florida Power & Light Company, 5.70% - 1998 ... 100,000 99,750
Midwest Power System, 7.125% - 2003 ........... 140,000 141,575
Monongahela Power, 8.50% - 2022 ............... 100,000 105,375
Southern California Edison, 6.50% - 2001 ...... 50,000 49,562
Texas Utilities, 5.875% - 1998 ................ 110,000 109,863
Wisconsin Electric Power, 5.875% - 1997 ....... 50,000 50,000
-------------
556,125
ELECTRONICS - 0.4%
Communications & Power Industry, 12.00% - 2005. 50,000 54,875
Fairchild Semiconductor, 10.125% - 2007 ....... 50,000 52,875
-------------
107,750
See accompanying notes.
40
<PAGE>
STATEMENTS OF NET ASSETS
JUNE 30, 1997
(UNAUDITED)
SERIES N (MANAGED ASSET ALLOCATION) (CONTINUED)
PRINCIPAL MARKET
CORPORATE BONDS (CONTINUED) AMOUNT VALUE
- --------------------------------------------------------------------------------
ENTERTAINMENT - 0.8%
AMC Entertainment, Inc., 9.50% - 2009 ......... $ 50,000 $ 51,750
Six Flags Theme Parks, 0.00% - 2005 ........... 25,000 25,469
Time Warner Entertainment, 7.25% - 2008 ....... 100,000 98,125
United Artists Theatre, 9.30% - 2015 .......... 49,157 47,129
-------------
222,473
ENVIRONMENTAL - 0.2%
Allied Waste North America, 10.25% - 2006 ..... 50,000 53,875
FINANCIAL SERVICES - 1.5%
Conseco, Inc., 8.125% - 2003 .................. 100,000 103,375
Intertek Finance PLC, 10.25% - 2006 ........... 50,000 51,750
New York Life Insurance, 7.50% - 2023 ......... 100,000 95,375
Salomon, Inc., 6.75% - 2003 ................... 100,000 97,750
Trump Atlantic City, 11.25% - 2006 ............ 50,000 48,875
-------------
397,125
FOOD PROCESSING - 0.2%
TLC Beatrice International Holdings,
11.50% - 2005 ............................... 50,000 56,188
FOOD WHOLESALERS - 0.4%
Price/Costco, Inc., 7.125% - 2005 ............. 100,000 99,750
HOSPITAL MANAGEMENT - 0.3%
Columbia/HCA Healthcare, 8.85% - 2007 ......... 80,000 89,500
HOTEL/MOTEL - 0.6%
Grand Casinos, 10.125% - 2003 ................. 50,000 52,000
Host Marriott Travel Plaza, 9.50% - 2005 ...... 50,000 52,250
Rio Hotel & Casino, Inc.,
10.625% - 2005 .............................. 30,000 32,287
9.50% - 2007 ................................ 25,000 25,812
-------------
162,349
LEASING - 0.4%
Penske Truck Leasing, 6.65% - 2000 ............ 100,000 100,375
MANUFACTURING - 0.2%
International Wire Group, 11.75% - 2005 ....... 50,000 54,562
MEDICAL - 0.3%
Owens & Minor, Inc., 10.875% - 2006 ........... 25,000 27,750
Quest Diagnostics, Inc., 10.75% - 2006 ........ 50,000 54,000
-------------
81,750
PRINCIPAL MARKET
CORPORATE BONDS (CONTINUED) AMOUNT VALUE
- --------------------------------------------------------------------------------
METALS & MINERALS - 0.6%
Freeport McMoran Resources, 7.00% - 2008 ...... $ 50,000 $ 47,687
Haynes International, Inc., 11.625% - 2004 .... 50,000 53,938
Maxxam Group, Inc., 11.25% - 2003 ............. 50,000 51,813
-------------
153,438
MISCELLANEOUS - 0.2%
McDonald's Corporation, 6.625% - 2005 ......... 50,000 48,875
OIL - 0.2%
Pride Petroleum Services, Inc., 9.375% - 2007 . 50,000 51,875
PACKAGING & CONTAINERS - 0.8%
Bway Corporation, 10.25% - 2007 ............... 50,000 53,500
Gaylord Container Corporation, 12.75% - 2005 .. 25,000 27,531
Plastic Containers, Inc., 10.00% - 2006 ....... 25,000 25,938
Silgan Corporation, 11.75% - 2002 ............. 50,000 53,000
U.S. Can Corporation, 10.125% - 2006 .......... 50,000 53,250
-------------
213,219
RETAIL - SPECIALTY - 0.4%
Safelite Glass Corporation, 9.875% - 2006 ..... 50,000 52,750
Specialty Retailers, 8.50% - 2005 ............. 50,000 50,250
-------------
103,000
SECURITY - 0.2%
Loomis Fargo & Company, 10.00% - 2004 ......... 50,000 50,875
TELECOMMUNICATIONS - 0.5%
Lucent Technologies, Inc., 6.90% - 2001 ....... 100,000 100,500
Telewest Communication PLC, 0.00% - 2007(1) ... 50,000 36,125
-------------
136,625
TEXTILES - 0.4%
Dan River, Inc., 10.125% - 2003 ............... 50,000 52,625
Dominion Textile USA, 9.25% - 2006 ............ 50,000 52,125
-------------
104,750
TRANSPORTATION - MISCELLANEOUS - 0.1%
Sea Containers, Ltd., 12.50% - 2004 ........... 30,000 33,675
-------------
Total corporate bonds - Series N - 15.2% .... 4,017,680
See accompanying notes.
41
<PAGE>
STATEMENTS OF NET ASSETS
JUNE 30, 1997
(UNAUDITED)
SERIES N (MANAGED ASSET ALLOCATION) (CONTINUED)
NUMBER MARKET
COMMON STOCKS OF SHARES VALUE
- --------------------------------------------------------------------------------
AEROSPACE & DEFENSE - 0.4%
Northrop Grumman Corporation .................. 200 $ 17,563
Raytheon Company .............................. 300 15,300
Rockwell International Corporation ............ 600 35,400
United Technologies Corporation ............... 500 41,500
-------------
109,763
AIRLINES - 0.2%
AMR Corporation* .............................. 300 27,750
KLM Royal Dutch Air Lines NV ADR .............. 800 24,700
-------------
52,450
AMERICAN GOLD - 0.1%
Barrick Gold Corporation ...................... 1,300 28,600
Placer Dome, Inc. ............................. 500 8,187
-------------
36,787
APPLIANCES - 0.0%
Black & Decker Corporation .................... 300 11,156
AUTOMOBILES - 0.9%
Echlin, Inc. .................................. 600 21,600
Ford Motor Company ............................ 2,100 79,275
General Motors Corporation .................... 1,400 77,963
Genuine Parts Company ......................... 750 25,406
Honda Motor Company, Ltd. ADR ................. 700 42,131
-------------
246,375
AUTO PARTS & SUPPLIES - 0.1%
TRW, Inc. ..................................... 400 22,725
BANKS & TRUST - 2.7%
Banc One Corporation .......................... 800 38,750
Chase Manhattan Corporation ................... 612 59,402
Citicorp ...................................... 1,000 120,563
Corestates Financial Corporation .............. 900 48,375
Fifth Third Bancorp ........................... 500 41,016
First Chicago NBD Corporation ................. 500 30,250
First Union Corporation ....................... 700 64,750
Keycorp ....................................... 600 33,525
Mellon Bank Corporation ....................... 600 27,075
J.P. Morgan & Company, Inc. ................... 400 41,750
Nationsbank Corporation ....................... 1,400 90,300
PNCBank Corporation ........................... 915 38,087
U.S. Bancorp Oregon ........................... 500 32,062
Wells Fargo & Company ......................... 200 53,900
-------------
719,805
BEVERAGES - 1.5%
Anheuser-Busch Companies, Inc. ................ 1,000 41,938
Coca-Cola Company ............................. 3,600 251,100
Pepsico, Inc. ................................. 2,500 93,906
-------------
386,944
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
- --------------------------------------------------------------------------------
BROADCAST MEDIA - 0.3%
Comcast Corporation (Cl. A) ................... 800 $ 17,100
U.S. West Media Group* ........................ 1,200 24,300
Viacom, Inc. (Cl. B)* ......................... 1,000 30,000
-------------
71,400
BROKERAGE - 0.1%
Charles Schwab Corporation .................... 300 12,206
Salomon, Inc. ................................. 500 27,813
-------------
40,019
BUILDING & REAL ESTATE - 0.1%
Masco Corporation ............................. 700 29,225
CHEMICALS - BASIC - 1.1%
Akzo Nobel NV ADR ............................. 1,300 89,863
Dow Chemical Company .......................... 500 43,563
du Pont (E.I.) de Nemours & Company ........... 1,800 113,175
FMC Corporation* .............................. 200 15,887
Great Lakes Chemical Corporation .............. 400 20,950
Morton International, Inc. .................... 600 18,112
-------------
301,550
CHEMICALS - DIVERSIFIED - 0.2%
Monsanto Company .............................. 1,000 43,062
CHEMICALS - SPECIALTY - 0.4%
Minnesota Mining & Manufacturing Company ...... 800 81,600
Rohm & Haas Company ........................... 300 27,019
-------------
108,619
COMMUNICATIONS EQUIPMENT - 0.1%
Tellabs, Inc.* ................................ 400 22,350
COMPUTER SOFTWARE - 1.6%
Adobe Systems, Inc. ........................... 100 3,506
Automatic Data Processing, Inc. ............... 500 23,500
Ceridian Corporation* ......................... 200 8,450
Computer Associates International, Inc. ....... 700 38,981
First Data Corporation ........................ 900 39,544
Microsoft Corporation* ........................ 1,900 240,113
Novell, Inc.* ................................. 2,100 14,569
Oracle Corporation* ........................... 1100 55,413
Parametric Technology Company* ................ 200 8,512
-------------
432,588
COMPUTER SYSTEMS - 1.3%
Compaq Computer Corporation* .................. 400 39,700
Dell Computer Corporation* .................... 600 70,462
Digital Equipment Corporation* ................ 200 7,087
Hewlett Packard Company ....................... 1,200 67,200
International Business Machines Corporation ... 1,400 126,263
Sun Microsystems, Inc.* ....................... 900 33,497
-------------
344,209
See accompanying notes.
42
<PAGE>
STATEMENTS OF NET ASSETS
JUNE 30, 1997
(UNAUDITED)
SERIES N (MANAGED ASSET ALLOCATION) (CONTINUED)
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
- --------------------------------------------------------------------------------
COSMETICS - 0.4%
Gillette Company .............................. 800 $ 75,800
International Flavors & Fragrances, Inc. ...... 500 25,250
-------------
101,050
DRUGS - 0.6%
Amgen, Inc. ................................... 500 29,062
Johnson & Johnson ............................. 1,900 122,313
-------------
151,375
ELECTRICAL EQUIPMENT - 1.6%
Emerson Electric Company ...................... 1,000 55,062
General Electric Company ...................... 5,500 359,563
-------------
414,625
ELECTRIC UTILITIES - 1.2%
Duke Energy Corporation ....................... 900 43,144
Edison International .......................... 1,700 42,288
Empresa Nacional Electricidad Chile S.A. ADR .. 500 11,281
Empresa Nacional de Electricidad S.A. ADR ..... 600 51,038
Entergy Corporation ........................... 600 16,425
FPL Group, Inc. ............................... 500 23,031
Niagra Mohawk Power Corporation* .............. 1,600 13,700
P G & E Corporation ........................... 1,000 24,250
Southern Company .............................. 1,700 37,187
Texas Utilities Company ....................... 1,000 34,437
Unicom Corporation ............................ 800 17,800
-------------
314,581
ELECTRONICS - 1.1%
Analog Devices, Inc.* ......................... 667 17,717
Hitachi, Ltd. ADR ............................. 300 33,900
Motorola, Inc. ................................ 900 68,400
Phillips Electronics NV ADR ................... 2,000 143,750
Thermo Electron Corporation* .................. 300 10,200
Xilinx, Inc.* ................................. 400 19,625
-------------
293,592
ELECTRONIC SYSTEMS - 0.2%
Honeywell, Inc. ............................... 300 22,763
Oy Nokia AB Corporation ADR ................... 300 22,125
-------------
44,888
ENERGY SERVICES - 0.1%
Halliburton Company ........................... 200 15,850
ENTERTAINMENT - 0.5%
The Walt Disney Company ....................... 1,114 89,398
Time Warner, Inc. ............................. 1,100 53,075
-------------
142,473
ENVRIONMENTAL - 0.1%
Waste Technologies, Inc. ...................... 796 25,571
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
- --------------------------------------------------------------------------------
FINANCIAL - BANKS, COMMERCIAL - 0.5%
Banco Frances Del Rio De La Plata ADR ......... 805 $ 26,163
First Bank Systems, Inc. ...................... 300 25,612
Fleet Financial Group, Inc. ................... 500 31,625
Norwest Corporation ........................... 800 45,000
-------------
128,400
FINANCIAL SERVICES - 1.5%
American Express Company ...................... 800 59,600
Banco Bilbao Viz ADR .......................... 1,000 80,875
Block (H & R.), Inc. .......................... 300 9,675
Federal Home Loan Mortgage Corporation ........ 1,200 41,250
Federal National Mortgage Association ......... 1,700 74,163
Greentree Financial Corporation ............... 400 14,250
Household International, Inc. ................. 300 35,231
Merrill Lynch & Company, Inc. ................. 400 23,850
Travelers Group, Inc. ......................... 1,000 63,062
-------------
401,956
FOOD PROCESSING - 1.5%
Archer-Daniels-Midland Company ................ 1,716 40,326
CPC International, Inc. ....................... 300 27,694
Conagra, Inc. ................................. 700 44,888
General Mills ................................. 600 39,075
Grand Metropolitan PLC ADR .................... 900 35,269
Heinz (H.J.) Company .......................... 700 32,287
Kellogg Company ............................... 500 42,812
Ralston Purina Group .......................... 300 24,656
Sara Lee Corporation .......................... 1,100 45,788
Unilever NY ADR ............................... 300 64,219
-------------
397,014
FOOD WHOLESALERS - 0.0%
Earthgrains Company ........................... 32 2,098
GENERAL MERCHANDISERS - 0.6%
Costco Companies, Inc.* ....................... 1,000 32,875
Wal-Mart Stores, Inc. ......................... 3,500 118,344
-------------
151,219
HOSPITAL SUPPLIES/HOSPITAL MANAGEMENT - 0.1%
Becton Dickinson & Company .................... 400 20,250
HOSPITAL MANAGEMENT - 0.2%
Columbia/HCA Healthcare Corporation ........... 1,300 51,106
HOTEL/MOTEL - 0.2%
HFS, Inc.* .................................... 500 29,000
ITT Corporation* .............................. 200 12,212
-------------
41,212
See accompanying notes.
43
<PAGE>
STATEMENTS OF NET ASSETS
JUNE 30, 1997
(UNAUDITED)
SERIES N (MANAGED ASSET ALLOCATION) (CONTINUED)
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
- --------------------------------------------------------------------------------
HOUSEHOLD - PRODUCTS - 0.7%
Colgate-Palmolive Company ..................... 800 $ 52,200
Procter & Gamble Company ...................... 1,000 141,250
-------------
193,450
HOUSING - HOME BUILDING - 0.1%
PPG Industries, Inc. .......................... 700 40,687
INSURANCE - 1.7%
Aetna, Inc. ................................... 344 35,217
Allstate Corporation .......................... 700 51,100
American General Corporation .................. 600 28,650
American International Group, Inc. ............ 800 119,500
Cigna Corporation ............................. 200 35,500
Chubb Corporation ............................. 800 53,500
General Re Corporation ........................ 200 36,400
Loews Corporation ............................. 300 30,038
Selective Insurance Group ..................... 200 9,687
Torchmark Corporation ......................... 300 21,375
Unum Corporation .............................. 600 25,200
-------------
446,167
INTEGRATED PETROLEUM - DOMESTIC - 0.6%
Atlantic-Richfield Company .................... 600 42,300
British Petroleum PLC ADR ..................... 600 44,925
Occidental Petroleum Corporation .............. 800 20,050
USX Marathon Group ............................ 800 23,100
Unocal Corporation ............................ 700 27,169
-------------
157,544
INTEGRATED PETROLEUM - INTERNATIONAL - 2.8%
Chevron Corporation ........................... 1,000 73,938
Ente Nazionale Idrocarburi S.p.a. ADR ......... 400 22,750
Exxon Corporation ............................. 3,400 209,100
Mobil Corporation ............................. 1,400 97,825
Royal Dutch Petroleum Company - NY Shares ..... 3,600 194,400
Shell Transport & Trading Company ADR ......... 300 37,725
Texaco, Inc. .................................. 600 65,250
Total S.A. ADR ................................ 1,000 50,750
-------------
751,738
INVESTMENT MANAGEMENT - 0.1%
Morgan Stanley, Dean Witter, Discover & Company 930 40,048
LEISURE TIME - 0.1%
Brunswick Corporation ......................... 400 12,500
LONG-TERM CARE - 0.1%
HEALTHSOUTH Corporation* ...................... 600 14,962
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
- --------------------------------------------------------------------------------
MACHINERY - 0.3%
Caterpillar, Inc. ............................. 400 $ 42,950
Deere & Company ............................... 600 32,925
-------------
75,875
MANAGED CARE - 0.1%
United Healthcare Corporation ................. 300 15,600
MANUFACTURING - 1.0%
AlliedSignal, Inc. ............................ 600 50,400
Boeing Company ................................ 1,225 65,012
Illinois Tool Works, Inc. ..................... 600 29,963
Lockheed Martin Corporation ................... 400 41,425
McDonnell Douglas Corporation ................. 300 20,550
Pall Corporation .............................. 700 16,275
Tomkins PLC ADR ............................... 2,000 35,750
-------------
259,375
MEDICAL - 0.0%
Guidant Corporation ........................... 100 8,500
MEDICAL SUPPLIES - 0.3%
Baxter International .......................... 700 36,575
Boston Scientific Corporation* ................ 400 24,575
Medtronic, Inc. ............................... 300 24,300
-------------
85,450
MINING & METALS - 0.1%
Aluminum Company of America ................... 500 37,687
MISCELLANEOUS BUSINESS SERVICES - 0.1%
Browning-Ferris Industries .................... 500 16,625
Cognizant Corporation ......................... 400 16,200
-------------
32,825
MISCELLANEOUS CONSUMER CYCLICALS - 0.1%
Mattel, Inc. .................................. 400 13,550
MISCELLANEOUS CONSUMER DURABLES - 0.3%
Corning,Inc. .................................. 600 33,375
Eastman Kodak Company ......................... 500 38,375
Tandy Corporation ............................. 200 11,200
-------------
82,950
MISCELLANEOUS CONSUMER PRODUCTS - 0.7%
Philip Morris Companies, Inc. ................. 3,900 173,063
Spring Industries, Inc. (Cl. A) ............... 300 15,825
-------------
188,888
MISCELLANEOUS CONSUMER SERVICES - 0.1%
CUC International, Inc.* ...................... 750 19,359
Service Corporation International ............. 600 19,725
-------------
39,084
NATURAL GAS - 0.1%
Enron Corporation ............................. 900 36,731
See accompanying notes.
44
<PAGE>
STATEMENTS OF NET ASSETS
JUNE 30, 1997
(UNAUDITED)
SERIES N (MANAGED ASSET ALLOCATION) (CONTINUED)
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
- --------------------------------------------------------------------------------
NETWORKING - 0.4%
Bay Networks, Inc.* ........................... 400 $ 10,625
3Com Corporation* ............................. 500 22,500
Cisco Systems, Inc.* .......................... 900 60,413
-------------
93,538
OFFICE EQUIPMENT & SUPPLIES - 0.3%
Ikon Office Solutions, Inc. ................... 600 14,963
Pitney-Bowes, Inc. ............................ 400 28,500
Xerox Corporation ............................. 600 47,325
-------------
90,788
OIL - 0.7%
Amerada Hess Corporation ...................... 1,000 55,563
B.J. Services Company* ........................ 700 37,537
Helmerich & Payne, Inc. ....................... 200 11,525
Schlumberger, Ltd. ............................ 400 50,000
Sonat, Inc. ................................... 500 25,625
-------------
180,250
OIL & GAS DRILLING - 0.2%
Repsol S.A. ADR ............................... 400 16,975
Union Pacific Resources Group, Inc. ........... 1,138 28,308
-------------
45,283
PACKAGING & CONTAINERS - 0.1%
Bemis Company, Inc. ........................... 500 21,687
PAPER & FOREST PRODUCTS - 0.4%
Georgia-Pacific Corporation ................... 300 25,612
Kimberly-Clark Corporation .................... 1,000 49,750
Weyerhaeuser Company .......................... 400 20,800
-------------
96,162
PAPER & PAPER PRODUCTS - 0.2%
International Paper Company ................... 900 43,706
PERIPHERALS - 0.1%
Seagate Technology,Inc.* ...................... 800 28,150
PETROLEUM - 0.1%
Phillips Petroleum Company .................... 800 35,000
PHARMACEUTICALS - 3.3%
Abbott Laboratories ........................... 1,100 73,425
American Home Products Corporation ............ 1,300 99,450
Bristol-Myers Squibb Company .................. 1,400 113,400
Glaxo Wellcome PLC ADR ........................ 900 37,631
Eli Lilly & Company ........................... 900 98,381
Merck & Company Inc. .......................... 1,900 196,650
Pharmacia & Upjohn, Inc. ...................... 1,000 34,750
Pfizer, Inc. .................................. 900 107,550
Schering-Plough Corporation ................... 1,200 57,450
Warner Lambert Company ........................ 400 49,700
-------------
868,387
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
- --------------------------------------------------------------------------------
PUBLISHING - 0.3%
Dun & Bradstreet Corporation .................. 400 $ 10,500
Gannett Company, Inc. ......................... 400 39,500
McGraw-Hill Companies, Inc. ................... 500 29,406
-------------
79,406
RAILROADS - 0.4%
Burlington Northern Santa Fe Corporation ...... 300 26,963
CSX Corporation ............................... 600 33,300
Norfolk Southern Corporation .................. 200 20,150
Union Pacific Corporation ..................... 400 28,200
-------------
108,613
RESTAURANTS - 0.3%
Brinker International, Inc.* .................. 1,500 21,375
Darden Restaurants, Inc. ...................... 1,400 12,688
McDonald's Corporation ........................ 900 43,481
-------------
77,544
RETAIL - APPAREL - 0.1%
Gap, Inc. ..................................... 500 19,438
TJX Companies, Inc. ........................... 400 10,550
-------------
29,988
RETAIL - DEPARTMENT STORES - 0.3%
Federated Department Stores, Inc.* ............ 300 10,425
May Department Stores Company ................. 700 33,075
J.C. Penney Company, Inc. ..................... 700 36,531
-------------
80,031
RETAIL - DRUG STORES - 0.2%
Walgreen Company .............................. 800 42,900
RETAIL - GENERAL MERCHANDISING - 0.1%
Dayton Hudson Corporation 600 31,912
RETAIL - GROCERY - 0.2%
Albertsons, Inc. .............................. 900 32,850
Kroger Company* ............................... 1,000 29,000
-------------
61,850
RETAIL - SPECIALTY - 0.4%
Circuit City Stores, Inc. ..................... 200 7,113
Home Depot, Inc. .............................. 800 55,150
Toys "R" Us, Inc.* ............................ 900 31,500
-------------
93,763
SEMICONDUCTORS - 0.9%
Altera Corporation* ........................... 600 30,300
Applied Materials, Inc.* ...................... 300 21,244
Intel Corporation ............................. 1,300 184,356
-------------
235,900
See accompanying notes.
45
<PAGE>
STATEMENTS OF NET ASSETS
JUNE 30, 1997
(UNAUDITED)
SERIES N (MANAGED ASSET ALLOCATION) (CONTINUED)
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
- --------------------------------------------------------------------------------
SHOES - 0.1%
Nike, Inc. .................................... 400 $ 23,350
Payless ShoeSource, Inc.* ..................... 144 7,875
-------------
31,225
SPECIALTY MERCHANDISERS - 0.2%
LVMH Moet Hennessylou ADR ..................... 1,000 53,875
STEEL - 0.1%
Nucor Corporation ............................. 300 17,175
TELECOMMUNICATIONS - 3.9%
AT&T Corporation .............................. 2,400 84,150
Airtouch Communications, Inc.* ................ 900 24,637
Ameritech Corporation ......................... 900 61,144
Bell Atlantic Corporation ..................... 800 60,700
Bellsouth Corporation ......................... 1,300 60,288
British Telecom PLC ADR ....................... 400 29,700
Ericsson (L.M.) Telecom Company ADR ........... 1,200 47,250
GTE Corporation ............................... 1,200 52,650
Hong Kong Telecommunications, Ltd. ADR ........ 800 18,700
Lucent Technologies, Inc. ..................... 986 71,054
MCI Communications Corporation ................ 1,200 45,938
Northern Telecom, Ltd. ........................ 500 45,500
Nynex Corporation ............................. 700 40,337
SBC Communications, Inc. ...................... 1,977 122,327
Sprint Corporation ............................ 700 36,837
Telecom New Zealand ADR ....................... 400 16,300
Telecom Braxileiras S.A. ADR .................. 700 106,225
Telefonica De Espana ADR ...................... 400 34,500
Vodafone Group PLC ADR ........................ 500 24,219
Worldcom, Inc.* ............................... 1,400 44,800
-------------
1,027,256
TELEPHONE - 0.5%
Cia De Telecomunicaciones De Chile S.A. ADR ... 425 14,025
Telefonos De Mexico ADR ....................... 1,800 85,950
U.S. West Communications Group ................ 600 22,613
-------------
122,588
TEXTILES - 0.2%
Benetton Group S.p.a. ADR ..................... 2,000 64,750
TIRE & RUBBER - 0.1%
Goodyear Tire & Rubber Company ................ 300 18,994
TOBACCO - 0.1%
Fortune Brands, Inc. .......................... 500 18,656
Gallaher Group PLC ADR* ....................... 500 9,219
-------------
27,875
-------------
Total common stocks - Series N - 45.1% ...... 11,918,494
PRINCIPAL MARKET
U.S. GOVERNMENT & GOVERNMENT AGENCY SECURITIES AMOUNT VALUE
- --------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCIES - 8.4%
Government National Mortgage Association,
#67365, 11.50% - 2013 ....................... $ 38,692 $ 42,987
#410777, 7.00% - 2025 ....................... 120,508 118,386
#780057, 7.50% - 2025 ....................... 81,439 81,988
#2102, 8.00% - 2025 ......................... 53,031 53,997
#412429, 8.50% - 2025 ....................... 189,578 196,767
#426834, 7.00% - 2026 ....................... 339,672 333,833
#410891, 7.00% - 2026 ....................... 266,007 261,434
#432891, 7.50% - 2026 ....................... 99,306 99,616
#424476, 7.50% - 2026 ....................... 395,340 396,573
#402684, 8.00% - 2026 ....................... 249,901 255,594
#427029, 8.50% - 2026 ....................... 243,876 253,431
#435589, 8.50% - 2026 ....................... 122,397 127,166
-------------
2,221,772
U.S. GOVERNMENT SECURITIES - 10.3%
U.S. Treasury Bonds,
6.875% - 2025 ............................... 35,000 35,127
6.75% - 2026 ................................ 525,000 519,330
6.625% - 2027 ............................... 250,000 244,585
-------------
799,042
U.S. Treasury Notes,
5.75% - 1997 ................................ 225,000 225,182
6.375% - 1999 ............................... 300,000 301,458
5.625% - 2000 ............................... 75,000 73,440
6.25% - 2000 ................................ 100,000 100,019
5.875% - 2005 ............................... 75,000 71,723
6.50% - 2005 ................................ 100,000 99,743
5.625% - 2006 ............................... 100,000 93,849
6.50% - 2006 ................................ 175,000 174,143
6.25% - 2007 ................................ 800,000 782,504
-------------
1,922,061
-------------
Total U.S. government & government agency
securities - Series N - 18.7% ............. 4,942,875
MISCELLANEOUS ASSETS
- --------------------
ASSET-BACKED SECURITIES - 0.2%
Airplanes Pass Through Trust (Cl. D),
10.875% - 2019 .............................. 50,000 57,521
See accompanying notes.
46
<PAGE>
STATEMENTS OF NET ASSETS
JUNE 30, 1997
(UNAUDITED)
SERIES N (MANAGED ASSET ALLOCATION) (CONTINUED)
PRINCIPAL
AMOUNT OR
NUMBER MARKET
FOREIGN CORPORATE BONDS OF SHARES VALUE
- --------------------------------------------------------------------------------
JAPAN - 1.2%
European Investment Bank, 4.625% - 2003(2) .... 17,000,000 $ 169,082
European Investment Bank, 3.00% - 2006(2) ..... 7,000,000 63,811
Interamer Development Bank, 6.00% - 2001(2) ... 5,000,000 51,451
KFW International Finance, 6.00% - 1999(2) .... 3,000,000 29,199
-------------
Total foreign bonds - Series N - 1.2% ....... 313,543
FOREIGN GOVERNMENT ISSUES
- -------------------------
CANADA - 0.3%
Government Bond, 8.50% - 2002(2) .............. 60,000 48,419
Government Bond, 6.50% - 2004(2) .............. 60,000 44,486
-------------
92,905
FRANCE - 0.4%
O.A.T. Government Bond, 8.50% - 2002(2) ....... 430,000 86,257
O.A.T. Government Bond, 5.50% - 2007(2) ....... 214,000 36,210
-------------
122,467
GERMANY - 0.8%
Bundersrepub Deutschland, 8.375% - 2001(2) .... 130,000 85,377
Bundersrepub Deutschland, 7.375% - 2005(2) .... 125,000 80,608
Deutschland Republic Government Bond,
6.00% - 2007(2) ............................. 62,000 36,481
-------------
202,466
UNITED KINGDOM - 0.3%
Treasury Bond, 8.00% - 2003(2) ................ 29,000 50,301
Treasury Bond, 7.50% - 2006(2) ................ 12,000 20,489
-------------
70,790
-------------
Total foreign government issues -
Series N - 1.8% ........................... 488,628
FOREIGN STOCKS
- --------------
AUSTRALIA - 0.1%
Rio Tinto, Ltd. ............................... 1,000 16,916
BELGIUM - 0.3%
Electrabel .................................... 50 10,723
Kredietbank ................................... 100 40,334
Societe Generale de Belgique .................. 200 18,693
-------------
69,750
DENMARK - 0.2%
Danisco A/S ................................... 1,000 61,230
NUMBER MARKET
FOREIGN STOCKS (CONTINUED) OF SHARES VALUE
- --------------------------------------------------------------------------------
FRANCE - 0.8%
Axa ........................................... 500 $ 31,128
Eridania Beghin-Say S.A. ...................... 200 29,978
L'Air Liquide ................................. 211 33,532
Pinault-Printemps-Redoute S.A. ................ 100 48,101
Societe Generale De Paris ..................... 308 34,415
Societe Technip ............................... 400 46,466
-------------
223,620
GERMANY - 1.3%
Altana AG ..................................... 30 32,195
Bank of Berlin ................................ 2,000 42,214
Bayer AG ...................................... 2,000 77,129
Ckag Colonia Konzern AG ....................... 300 28,407
Deutsche Bank AG .............................. 500 29,382
M.A.N. AG ..................................... 200 62,323
Siemens AG .................................... 400 23,977
Veba AG ....................................... 600 33,916
-------------
329,543
HONG KONG - 0.8%
Cheung Kong Holdings .......................... 5,000 49,372
Hong Kong Electric Holdings, Ltd. ............. 9,000 36,245
Hutchinson Whampoa, Ltd. ...................... 14,000 121,075
-------------
206,692
ITALY - 0.2%
Banco Commerciale Italiane .................... 13,000 26,894
Telecom Italia S.p.a. ......................... 10,000 29,915
-------------
56,809
JAPAN - 1.7%
Bridgestone Corporation ....................... 3,000 69,737
Canon, Inc. ................................... 1,000 27,265
Dia Nippon Printing, Ltd. ..................... 2,000 45,268
Kao Corp ...................................... 4,000 55,580
Kuraray Company, Ltd. ......................... 3,000 29,887
Marui Company, Ltd. ........................... 2,000 37,228
Mitsubishi Electric Corporation ............... 4,000 22,407
Mitsubishi Heavy Inds., Ltd. .................. 4,000 30,726
Ricoh Corp, Ltd. .............................. 4,000 52,434
Sharp Corp .................................... 2,000 27,615
Takeda Chemical Inds. ......................... 2,000 56,279
-------------
454,426
MALAYSIA - 0.3%
Malayan Cement Berhad ......................... 12,500 20,899
Sime Darby Berhad ............................. 8,000 26,624
United Engineers (Malaysia), Ltd. ............. 3,000 21,632
-------------
69,155
See accompanying notes.
47
<PAGE>
STATEMENTS OF NET ASSETS
JUNE 30, 1997
(UNAUDITED)
SERIES N (MANAGED ASSET ALLOCATION) (CONTINUED)
NUMBER MARKET
FOREIGN STOCKS (CONTINUED) OF SHARES VALUE
- --------------------------------------------------------------------------------
NETHERLANDS - 0.5%
CSM NV ........................................ 600 $ 30,133
Ing Groep NV .................................. 1,500 69,284
Oce NV ........................................ 300 38,769
-------------
138,186
NEW ZEALAND - 0.1%
Lion Nathan, Ltd. ............................. 10,000 25,279
SINGAPORE - 0.3%
Cycle & Carriage, Ltd. ........................ 3,000 31,052
Development Bank of Singapore ................. 2,000 25,178
Singapore Airlines, Ltd. ...................... 3,000 26,856
-------------
83,086
SOUTH AFRICA - 0.1%
Rustenburg Platinum ........................... 2,000 36,600
SWEDEN - 0.2%
Astra AB (Cl. B) .............................. 3,200 56,904
SWITZERLAND - 1.1%
ABB AG-Bearer ................................. 20 30,318
Nestle S.A. ................................... 20 26,422
Novartis AG ................................... 26 41,626
Sig Schweizland ............................... 30 91,059
UBS-Bearer (Union Bank of Switzerland) ........ 80 91,642
-------------
281,067
UNITED KINGDOM - 1.5%
Abbey National PLC ............................ 3,600 49,130
BAA PLC ....................................... 2,300 21,188
Barclays PLC .................................. 3,000 59,515
Blue Circle Industries PLC .................... 3,800 27,068
GKN PLC ....................................... 2,000 34,434
HSBC Holdings PLC ............................. 3,000 92,294
Lonrho, Ltd. .................................. 22,000 46,684
Texco PLC ..................................... 10,000 61,496
____________
391,809
Total foreign stocks - Series N - 9.5% ...... 2,501,072
TEMPORARY CASH INVESTMENTS
- --------------------------
MONEY MARKET FUNDS - 0.7%
Vista Treasury Plus International Fund ........ 173,005 173,005
PRINCIPAL
AMOUNT OR
NUMBER MARKET
COMMERICAL PAPER OF SHARES VALUE
- --------------------------------------------------------------------------------
FINANCIAL SERVICES - 8.1%
Bell Atlantic Network Funding, 5.50%, 7-02-97 . $ 390,000 $ 389,940
Ciesco L.P., 6.20%, 7-01-97 ................... $1,751,000 1,751,000
-------------
Total commercial paper - Series N - 8.1% .... 2,140,940
-------------
Total investments - Series N - 100.5% ....... 26,553,758
Liabilities in excess of cash & other
assets - Series N - (0.5%) ................ (125,394 )
-------------
Total net assets - Series N - 100.0% ........ $ 26,428,364
=============
SERIES O (EQUITY INCOME)
COMMON STOCKS
- -------------
AMERICAN GOLD - 0.8%
Newmont Mining Corporation .................... 20,900 $ 815,100
APPLIANCES - 0.6%
Whirlpool Corporation ......................... 11,800 643,838
AUTO PARTS & SUPPLIES - 0.4%
Eaton Corporation ............................. 5,300 462,756
AUTOMOBILES - 1.4%
Ford Motor Company ............................ 8,000 302,000
General Motors Corporation .................... 11,800 657,113
Genuine Parts Company ......................... 14,400 487,800
-------------
1,446,913
BANKS & TRUST - 7.1%
Banc One Corporation .......................... 17,870 865,578
Bankers Trust New York Corporation ............ 9,500 826,500
Chase Manhattan Corporation ................... 12,708 1,233,470
Great Western Financial Corporation ........... 3,100 166,625
Mellon Bank Corporation ....................... 37,300 1,683,163
J.P. Morgan & Company, Inc. ................... 9,500 991,562
National City Corporation ..................... 9,700 509,250
PNC Bank Corporation .......................... 9,800 407,925
Wells Fargo & Company ......................... 3,000 808,500
-------------
7,492,573
BEVERAGES - 1.3%
Anheuser-Busch Companies, Inc. ................ 19,500 817,781
Brown-Forman Corporation (Cl. B) .............. 10,400 546,700
-------------
1,364,481
BUILDING MATERIALS - 0.4%
Armstrong World Industries, Inc. .............. 6,400 469,600
See accompanying notes.
48
<PAGE>
STATEMENTS OF NET ASSETS
JUNE 30, 1997
(UNAUDITED)
SERIES O (EQUITY INCOME) (CONTINUED)
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
- --------------------------------------------------------------------------------
CHEMICALS - BASIC - 3.8%
Dow Chemical Company .......................... 18,800 $ 1,637,950
du Pont (E.I.) de Nemours & Company ........... 19,200 1,207,200
FMC Corporation* .............................. 2,900 230,369
Great Lakes Chemical Company .................. 17,600 921,800
-------------
3,997,319
CHEMICALS - SPECIALTY - 4.1%
Betzdearborn, Inc. ............................ 9,600 633,600
Eastman Chemical Company ...................... 7,800 495,300
Imperial Chemical Industries PLC ADR .......... 9,400 534,625
Lubrizol Corporation .......................... 11,500 482,281
Minnesota Mining & Manufacturing Company ...... 7,200 734,400
Nalco Chemical Company ........................ 11,600 448,050
Witco Corporation ............................. 25,900 982,581
-------------
4,310,837
COSMETICS - 1.2%
International Flavors & Fragrances, Inc. ...... 23,100 1,217,050
ELECTRICAL EQUIPMENT - 2.3%
Cooper Industries, Inc. ....................... 11,488 571,528
General Electric Company ...................... 20,800 1,359,800
Hubbell, Inc. (Cl. B) ......................... 11,400 501,600
-------------
2,432,928
ELECTRIC UTILITIES - 7.2%
Baltimore Gas & Electric Company .............. 14,700 392,306
Centerior Energy Corporation .................. 23,600 264,025
Central & South West Corporation .............. 13,400 284,750
DQE, Inc. ..................................... 15,600 440,700
Dominion Resources, Inc. ...................... 15,300 560,363
Duke Energy Corporation ....................... 19,300 925,194
Edison International .......................... 10,900 271,137
Entergy Corporation ........................... 14,300 391,463
Florida Progress Corporation .................. 5,300 165,956
GPU, Inc. ..................................... 5,100 182,962
Ohio Edison Company ........................... 16,600 362,087
Peco Energy Corporation ....................... 22,600 474,600
P G & E Corporation ........................... 13,600 329,800
Pacificorp .................................... 25,200 554,400
Public Service Enterprise Group, Inc. ......... 13,000 325,000
Southern Company .............................. 26,800 586,250
Unicom Corporation ............................ 26,700 594,075
Western Resources, Inc. ....................... 13,000 421,688
-------------
7,526,756
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
- --------------------------------------------------------------------------------
ELECTRONICS - 0.8%
AMP, Inc. ..................................... 19,500 $ 814,125
FINANCIAL - BANKS, COMMERCIAL - 2.2%
BankBoston Corporation ........................ 7,700 554,881
Fleet Financial Group, Inc. ................... 12,000 759,000
Mercantile Bankshares Corporation ............. 9,800 392,000
Signet Banking Corporation .................... 16,600 597,600
-------------
2,303,481
FINANCIAL SERVICES - 2.8%
American Express Company ...................... 8,400 685,400
Federal National Mortgage Association ......... 19,900 868,138
Block (H. & R.), Inc. ......................... 20,100 648,225
Travelers Group, Inc. ......................... 11,200 706,300
-------------
2,908,063
FOOD PROCESSING - 4.4%
General Mills ................................. 16,400 1,068,050
Grand Metropolitan PLC ADR .................... 5,000 195,937
Heinz (H.J.) Company .......................... 15,150 698,794
Kellogg Company ............................... 6,700 573,688
Quaker Oats Company ........................... 20,600 924,425
Sara Lee Corporation .......................... 8,700 362,137
Unilever NY ADR ............................... 3,900 834,844
-------------
4,657,875
FOOD WHOLESALERS - 0.6%
McCormick & Company, Inc. ..................... 24,400 616,100
HOSPITAL SUPPLIES/HOSPITAL MANAGEMENT - 0.7%
Bausch & Lomb, Inc. ........................... 15,000 706,875
HOTEL/MOTEL - 0.7%
ITTCorporation* ............................... 11,600 708,325
INSURANCE - 4.1%
Exel Limited .................................. 11,700 617,175
American General Corporation .................. 18,200 869,050
Hilb, Rogal & Hamilton Company ................ 5,600 95,200
Lincoln National Corporation .................. 7,200 463,500
Safeco Corporation ............................ 13,600 630,281
St. Paul Companies, Inc. ...................... 13,900 1,059,875
USF& G Corporation ............................ 14,100 338,400
Willis Corroon Group PLC ADR .................. 20,600 233,819
-------------
4,307,300
INTEGRATED PETROLEUM - DOMESTIC - 3.6%
Amoco Corporation ............................. 9,700 843,294
Atlantic-Richfield Company .................... 21,400 1,536,900
British Petroleum PLCADR ...................... 10,200 763,725
USX Marathon Group ............................ 21,400 617,925
-------------
3,761,844
See accompanying notes.
49
<PAGE>
STATEMENTS OF NET ASSETS
JUNE 30, 1997
(UNAUDITED)
SERIES O (EQUITY INCOME) (CONTINUED)
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
- --------------------------------------------------------------------------------
INTEGRATED PETROLEUM - INTERNATIONAL - 5.1%
Chevron Corporation ........................... 13,300 $ 983,369
Exxon Corporation ............................. 22,300 1,420,650
Mobil Corporation ............................. 13,200 922,350
Royal Dutch Petroleum Company - NY Shares ..... 16,400 896,400
Texaco, Inc. .................................. 10,600 1,152,750
-------------
5,375,519
MACHINERY - 0.2%
Gatx Corporation .............................. 2,600 190,575
MANUFACTURING - 0.5%
Pall Corporation .............................. 21,000 488,250
MEDIA & COMMUNICATIONS - 0.7%
R.R. Donnelley & Sons Company ................. 18,800 725,175
MEDICAL SUPPLIES - 0.9%
Bard (C.R.), Inc. ............................. 11,500 417,594
Baxter International .......................... 10,500 548,625
-------------
966,219
MINING & METALS - 0.7%
Reynolds Metals Company ....................... 10,400 741,000
MISCELLANEOUS CONSUMER PRODUCTS - 1.6%
Philip Morris Companies, Inc. ................. 14,700 714,437
Tambrands, Inc. ............................... 19,300 962,588
-------------
1,677,025
MISCELLANEOUS - 0.1%
Rouse Company ................................. 5,000 147,500
OIL - 0.5%
Amerada Hess Corporation ...................... 8,500 522,287
OIL & GAS DRILLING - 0.4%
Repsol S.A. ADR ............................... 10,600 449,837
Union Pacific Resources Group, Inc. ........... 1 8
-------------
449,845
PAPER & PAPER PRODUCTS - 0.7%
International Paper Company ................... 15,900 772,144
PAPER & FOREST PRODUCTS - 2.6%
Consolidated Papers, Inc. ..................... 11,700 685,800
Georgia-Pacific Corporation ................... 11,800 1,007,425
Union Camp Corporation ........................ 20,200 1,010,000
-------------
2,703,225
PETROLEUM - 0.5%$
Phillips Petroleum Company .................... 11,900 520,625
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
- --------------------------------------------------------------------------------
PHARMACEUTICALS - 2.6%
Abbott Laboratories ........................... 12,600 $ 841,050
American Home Products Corporation ............ 12,700 971,550
Pharmacia & Upjohn, Inc. ...................... 24,795 903,326
-------------
2,715,926
PUBLISHING - 3.8%
Deluxe Corporation ............................ 7,700 262,762
Dow Jones & Company, Inc. ..................... 17,000 683,187
Dun & Bradstreet Corporation .................. 21,000 551,250
Gannett Company, Inc. ......................... 4,600 454,250
Knight-Ridder, Inc. ........................... 18,000 932,188
McGraw-Hill Companies, Inc. ................... 9,500 558,719
Readers Digest Association, Inc. (Cl. A) ...... 16,300 467,606
Readers Digest Association, Inc. (Cl. B) ...... 1,300 35,994
-------------
3,945,956
RAILROADS - 1.5%
Burlington Northern Santa Fe Corporation ...... 8,700 781,913
Union Pacific Corporation ..................... 11,900 838,950
-------------
1,620,863
RETAIL - DEPARTMENT STORES - 1.5%
May Department Stores Company ................. 11,100 524,475
J.C. Penney Company, Inc. ..................... 21,000 1,095,938
-------------
1,620,413
SPECIALTY MERCHANDISERS - 0.2%
The Limited,Inc. .............................. 13,100 265,275
TELECOMMUNICATIONS - 6.6%
AT & T Corporation ............................ 28,300 992,269
Alltel Corporation ............................ 31,400 1,100,094
BCE, Inc. ..................................... 17,800 498,400
Bell Atlantic Corporation ..................... 11,900 902,912
Bellsouth Corporation ......................... 15,000 695,625
Frontier Corporation .......................... 18,900 376,819
GTE Corporation ............................... 16,000 789,750
SBC Communications, Inc. ...................... 13,119 811,738
Southern New England Telecommunications
Corporation ................................. 9,400 365,425
Sprint Corporation ............................ 7,200 426,262
-------------
6,959,294
TELEPHONE - 0.4%
U.S. West Communications Group ................ 12,000 452,250
TOBACCO - 1.6%
Fortune Brands, Inc. .......................... 13,600 507,450
Gallaher Group PLC ADR* ....................... 13,600 250,750
UST, Inc. ..................................... 31,300 868,575
-------------
1,626,775
See accompanying notes.
50
<PAGE>
STATEMENTS OF NET ASSETS
JUNE 30, 1997
(UNAUDITED)
SERIES O (EQUITY INCOME) (CONTINUED)
PRINCIPAL
AMOUNT OR
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
- --------------------------------------------------------------------------------
TRANSPORTATION - MISCELLANEOUS - 0.2%
Alexander & Baldwin, Inc. ..................... 7,400 $ 193,325
-------------
Total common stocks - Series O - 83.4% ...... 87,643,605
U.S. GOVERNMENT & GOVERNMENT AGENCY SECURITIES
- ----------------------------------------------
U.S. GOVERNMENT SECURITIES - 1.7%
U.S. Treasury Notes,
6.125% - 1998 ............................... $ 100,000 100,311
5.875% - 1999 ............................... $ 100,000 99,328
6.25% - 2000 ................................ $ 100,000 100,019
6.50% - 2001 ................................ $ 400,000 402,016
5.75% - 2003 ................................ $ 400,000 386,132
5.625% - 2006 ............................... $ 200,000 187,698
7.00% - 2006 ................................ $ 100,000 102,827
-------------
1,378,331
U.S. Treasury Bonds, 6.00% - 2026 ............. $ 400,000 357,760
-------------
Total U.S. government & government agency
securities - Series O - 1.7% .............. 1,736,091
REAL ESTATE INVESTMENT TRUSTS
- -----------------------------
REAL ESTATE - 1.3%
Security Capital Pacific Trust ................ 6,800 173,850
Weingarten Realty Investors ................... 5,700 240,825
Simon Debartolo Group, Inc. ................... 29,536 945,152
-------------
1,359,827
FOREIGN STOCKS
- --------------
SWITZERLAND - 0.8%
Novartis AG ................................... 491 850,125
UNITED KINGDOM - 1.0%
Cadbury Schweppes PLC ......................... 5,100 169,334
Lonrho, Ltd. .................................. 148,200 314,478
Smith & Nephew PLC ............................ 21,800 60,591
Tomkins PLC ................................... 111,400 520,992
-------------
1,065,395
-------------
Total foreign stocks - Series O - 1.8% ...... 1,915,520
PRINCIPAL
AMOUNT OR
NUMBER MARKET
TEMPORARY CASH INVESTMENTS OF SHARES VALUE
- --------------------------------------------------------------------------------
MONEY MARKET FUNDS - 1.3%
Vista Treasury Institutional Money Market Fund. 1,390,904 $ 1,390,904
COMMERCIAL PAPER
- ----------------
FINANCIAL SERVICES - 10.0%
Bell Atlantic Network Funding 5.55%, 7-01-97 .. $ 400,000 400,000
Ciesco L.P., 5.55%, 7-01-97 ................... $2,000,000 2,000,000
Corporate Asset Funding, 5.55%, 7-22-97 ....... $1,400,000 1,395,468
Motorola Credit Corporation, 5.50%, 7-17-97 ... $4,000,000 3,990,222
Preferred Receivables Funding, 5.58%, 8-04-97 . $ 800,000 795,784
Progress Capital Holdings, 5.53%, 7-07-97 ..... $1,950,000 1,948,203
-------------
10,529,677
PHARMACEUTICALS - 1.0%
Warner-Lambert Company, 5.52%, 8-05-97 ........ $1,000,000 994,633
-------------
Total commercial paper - Series O - 11.0% ... 11,524,310
-------------
Total investments - Series O - 100.5% ....... 105,570,257
Liabilities in excess of cash & other
assets - Series O - (0.5%) ................ (482,870)
-------------
Total net assets - Series O - 100.0% ........ $ 105,087,387
=============
SERIES P (HIGH YIELD)
CORPORATE BONDS
- ---------------
APPAREL - 1.9%
Tultex Corporation, 10.625% - 2005 ............ $ 50,000 $ 54,875
BANKS & CREDIT - 1.9%
B.F. Saul REIT, 11.625% - 2002 ................ $ 50,000 53,750
BEVERAGES - 3.7%
Cott Corporation, 9.375% - 2005 ............... $ 50,000 52,375
Delta Beverage Group, 9.75% - 2003 ............ $ 50,000 52,187
-------------
104,562
BROADCAST MEDIA - 3.6%
Allbritton Communications Company, 9.75% - 2007 $ 65,000 49,625
Heritage Media Corporation, 8.75% - 2006 ...... $ 50,000 51,875
-------------
101,500
See accompanying notes.
51
<PAGE>
STATEMENTS OF NET ASSETS
JUNE 30, 1997
(UNAUDITED)
SERIES P (HIGH YIELD) (CONTINUED)
PRINCIPAL MARKET
CORPORATE BONDS (CONTINUED) AMOUNT VALUE
- --------------------------------------------------------------------------------
CABLE SYSTEMS - 1.9%
Rogers Cablesystems, 9.625% - 2002 ............ $ 50,000 $ 52,812
CHEMICALS - 3.1%
Envirodyne Industries, Inc., 12.00% - 2000 .... 80,000 87,500
COMMUNICATIONS - 3.3%
K-IIICommunications Corporation, 10.25% - 2004 20,000 21,100
Rogers Communications, Inc., 9.125% - 2006 .... 30,000 30,375
Valassis Communications, Inc., 9.55% - 2003 ... 40,000 43,150
-------------
94,625
COMMUNICATION SERVICES - 7.5%
CF Cable TV, Inc., 11.625% - 2005 ............. 35,000 40,075
Cablevision Systems Corporation, 10.75% - 2004 50,000 51,812
Century Communications Corporation, 9.50% - 2005 50,000 51,375
Comcast Corporation, 9.125% - 2006 ............ 65,000 68,087
-------------
211,349
CONSUMER GOODS & SERVICES - 4.3%
Pillowtex Corporation, 10.00% - 2006 .......... 50,000 52,937
Westpoint Stevens, Inc., 9.375% - 2005 ........ 65,000 68,169
-------------
121,106
ELECTRIC - 4.4%
AES Corporation, 10.25% - 2006 ................ 65,000 70,850
Cal Energy Company, Inc., 9.50% - 2006 ........ 50,000 53,500
-------------
124,350
ENTERTAINMENT - 2.7%
Showboat, Inc., 9.25% - 2008 .................. 50,000 51,250
Station Casinos, Inc., 9.625% - 2003 .......... 25,000 24,875
-------------
76,125
FINANCIAL SERVICES - 3.9%
Dollar Financial Group, Inc., 10.875% - 2006 .. 50,000 53,500
Homeside, Inc., 11.25% - 2003 ................. 50,000 58,062
-------------
111,562
FOOD & BEVERAGES - 2.9%
Chiquita Brands International, Inc.,
10.25% - 2006 ............................... 25,000 26,625
TLC Beatrice International Holdings, Inc.,
11.50% - 2005 ............................... 50,000 56,187
-------------
82,812
PRINCIPAL MARKET
CORPORATE BONDS (CONTINUED) AMOUNT VALUE
- --------------------------------------------------------------------------------
HOSPITAL MANAGEMENT - 4.5%
Regency Health Services, Inc., 9.875% - 2002 .. $ 50,000 $ 51,625
Tenet Healthcare Corporation, 10.125% - 2005 .. 70,000 76,475
-------------
128,100
HOTEL & RECREATION - 1.9%
Four Seasons Hotels, Inc., 9.125% - 2000 ...... 50,000 53,875
INDUSTRIAL SERVICES - 1.9%
Iron Mountain, Inc., 10.125% - 2006 ........... 50,000 53,375
MANUFACTURING -10.0%
AAF-McQuay, Inc., 8.875% - 2003 ............... 50,000 50,125
AGCO Corporation, 8.50% - 2006 ................ 50,000 51,313
Johns Manville International Group, Inc.,
10.875% - 2004 .............................. 35,000 38,938
Sequa Corporation, 9.375% - 2003 .............. 50,000 51,063
Shop Vac Corporation, 10.625% - 2003 .......... 50,000 53,125
Titan Wheel International, Inc., 8.75% - 2007 . 25,000 25,437
-------------
270,001
MISCELLANEOUS - 1.0%
Packard Bioscience Company, 9.375% - 2007 ..... 40,000 40,600
OIL - 2.4%
Maxus Energy Corporation, 9.50% - 2003 ........ 65,000 68,169
PACKAGING & CONTAINERS - 1.8%
Plastic Containers, Inc., 10.00% - 2006 ....... 50,000 51,875
PUBLISHING - 2.7%
Golden Books Publishing, Inc., 7.65% - 2002 ... 80,000 75,400
RECREATION - 1.9%
AMF Group, Inc., 10.875% - 2006 ............... 50,000 54,000
REFINERY - 1.9%
Crown Central Petroleum, 10.875% - 2005 ....... 50,000 52,375
RESTAURANTS - 2.5%
Carrols Corporation, 11.50% - 2003 ............ 65,000 69,631
RETAIL - GENERAL MERCHANDISING - 0.9%
Cole National Group, 9.875% - 2006 ............ 25,000 26,313
See accompanying notes.
52
<PAGE>
STATEMENTS OF NET ASSETS
JUNE 30, 1997
(UNAUDITED)
SERIES P (HIGH YIELD) (CONTINUED)
PRINCIPAL
AMOUNT OR
NUMBER MARKET
CORPORATE BONDS (CONTINUED) OF SHARES VALUE
- --------------------------------------------------------------------------------
STEEL & METAL PRODUCTS - 0.9%
AK Steel Corporation, 9.125% - 2006 ........... $ 25,000 $ 25,688
TELECOMMUNICATIONS - 1.8%
Centennial Cellular, 8.875% - 2001 ............ $ 50,000 50,000
TOBACCO PRODUCTS - 2.4%
Dimon, Inc., 8.875% - 2006 .................... $ 65,000 67,763
TRANSPORTATION - 5.3%
Atlas Air, Inc., 12.25% - 2002 ................ $ 75,000 83,250
Teekay Shipping Corporation, 8.32% - 2003 ..... $ 65,000 65,650
-------------
148,900
-------------
Total corporate bonds - Series P - 88.8% .... 2,512,993
TRUST PREFERRED SECURITIES(9)
- -----------------------------
FINANCE - 1.9%
S I Financing, Inc., 9.50% - 2026 ............. 2,000 52,875
PREFERRED STOCKS
- ----------------
COMMUNICATIONS - 2.0%
Cablevision Systems Corporation, 11.25% ....... 257 30,525
K-III Communications Corporation, 10.00% - 2008 300 26,206
-------------
56,731
-------------
Total investments - Series P - 92.7% ........ 2,622,599
Cash and other assets, less liabilities -
Series P - 7.3% ........................... 207,554
-------------
Total net assets - Series P - 100.0% ........ $ 2,830,153
=============
SERIES S (SOCIAL AWARENESS)
COMMON STOCKS
- -------------
ADVERTISING - 1.5%
Omnicom Group, Inc. ........................... 17,500 1,078,437
BANKS & TRUST - 3.4%
Banc One Corporation .......................... 15,400 745,938
Bank of New York Company, Inc. ................ 19,200 835,200
Northern Trust Corporation .................... 19,200 928,800
-------------
2,509,938
SERIES S (SOCIAL AWARENESS) (CONTINUED)
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
- --------------------------------------------------------------------------------
BEVERAGES - 5.1%
Coca-Cola Company ............................. 37,200 $ 2,594,700
PepsiCo, Inc. ................................. 31,900 1,198,244
-------------
3,792,944
BIOTECHNOLOGY - 0.7%
Amgen, Inc. ................................... 9,500 552,187
BUSINESS SERVICES - 1.1%
Automatic Data Processing, Inc. ............... 17,000 799,000
CHEMICALS - SPECIALTY - 3.1%
Nalco Chemical Company ........................ 16,400 633,450
Praxair, Inc. ................................. 18,800 1,052,800
Sigma-Aldrich Corporation ..................... 18,000 631,125
-------------
2,317,375
COMMUNICATIONS - EQUIPMENT - 1.1%
Tellabs, Inc.* ................................ 14,300 799,012
COMPUTER SOFTWARE - 5.2%
McAfee Associates, Inc.* ...................... 10,000 631,250
Microsoft Corporation* ........................ 18,600 2,350,575
PeopleSoft, Inc.* ............................. 16,400 865,100
-------------
3,846,925
COMPUTER SYSTEMS - 7.3%
3Com Corporation* ............................. 7,500 337,500
Ascend Communications, Inc.* .................. 12,500 492,188
Cisco Systems, Inc.* .......................... 14,900 1,000,163
Compaq Computer Corporation* .................. 7,000 694,750
Electronics for Imaging, Inc.* ................ 12,000 567,000
Hewlett-Packard Company ....................... 17,600 985,600
Sanmina Corporation* .......................... 12,000 762,000
Sun Microsystems, Inc.* ....................... 16,000 595,500
-------------
5,434,701
CONSUMER SERVICES - 3.4%
Apollo Group, Inc.* ........................... 26,000 916,500
Service Corporation International ............. 23,800 782,425
Sylvan Learning Systems, Inc.* ................ 24,500 833,000
-------------
2,531,925
ELECTRONICS - 1.0%
Perkin-Elmer Corporation ...................... 9,100 724,019
FINANCIAL SERVICES - 3.6%
Federal Home Loan Mortgage Corporation ........ 28,800 990,000
Federal National Mortgage Corporation ......... 22,000 959,750
Finova Group,Inc. ............................. 9,500 726,750
-------------
2,676,500
HEALTH CARE - 2.9%
Cardinal Health, Inc. ......................... 13,800 790,050
Omnicare, Inc. ................................ 25,000 784,375
Quintiles Transnational Corporation* .......... 8,500 591,812
-------------
2,166,237
See accompanying notes.
53
<PAGE>
STATEMENTS OF NET ASSETS
JUNE 30, 1997
(UNAUDITED)
SERIES S (SOCIAL AWARENESS) (CONTINUED)
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
- --------------------------------------------------------------------------------
HOSPITAL SUPPLIES/MANAGEMENT - 2.2%
Boston Scientific Corporation* ................ 16,900 $ 1,038,294
HEALTHSOUTH Corporation* ...................... 25,000 623,437
-------------
1,661,731
HOUSEHOLD FURNISHING & APPLIANCES - 1.5%
Leggett & Platt, Inc. ......................... 26,100 1,122,300
HOUSEHOLD PRODUCTS - 4.8%
Colgate-Palmolive Company ..................... 16,000 1,044,000
Kimberly-Clark Corporation .................... 11,800 587,050
Procter & Gamble Company ...................... 13,700 1,935,125
-------------
3,566,175
INSURANCE - 6.0%
Aetna, Inc. ................................... 10,600 1,085,175
American International Group, Inc. ............ 10,300 1,538,563
Chubb Corporation ............................. 13,900 929,562
SunAmerica, Inc. .............................. 18,400 897,000
-------------
4,450,300
MACHINERY - 1.4%
Deere & Company ............................... 19,200 1,053,600
MANUFACTURING - 1.5%
Illinois Tool Works, Inc. ..................... 22,200 1,108,612
MEDICAL INSTRUMENTS - 1.5%
Guidant Corporation ........................... 12,900 1,096,500
OIL & GAS EXPLORATION - 2.7%
Anadarko Petroleum Corporation ................ 12,000 720,000
Apache Corporation ............................ 15,500 503,750
Sonat, Inc. ................................... 14,900 763,625
-------------
1,987,375
PACKAGING & CONTAINERS - 1.0%
Sealed Air Corporation* ....................... 15,400 731,500
PHARMACEUTICALS - 7.7%
Dura Pharmaceuticals, Inc.* ................... 14,500 578,188
Johnson & Johnson ............................. 24,832 1,598,560
Merck & Company, Inc. ......................... 21,800 2,256,300
Schering-Plough Corporation ................... 26,600 1,273,475
-------------
5,706,523
POLLUTION CONTROL - 1.0%
United States Filter Corporation* ............. 26,250 715,312
RESTAURANTS - 2.8%
Papa John's International, Inc.* .............. 19,000 698,250
Starbucks Corporation* ........................ 18,500 720,344
Wendy's International, Inc. ................... 24,000 622,500
-------------
2,041,094
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
- --------------------------------------------------------------------------------
RETAIL TRADE - 8.9%
Dayton Hudson Corporation ..................... 21,400 $ 1,138,213
Dollar General Corporation .................... 15,000 562,500
Kohl's Corporation* ........................... 13,500 714,656
Nine West Group, Inc.* ........................ 5,000 190,937
Staples, Inc.* ................................ 33,075 768,994
TJX Companies, Inc. ........................... 29,600 780,700
Tiffany & Company ............................. 15,100 697,431
Walgreen Company .............................. 21,300 1,142,213
Woolworth Corporation* ........................ 25,000 600,000
-------------
6,595,644
SAVINGS & LOAN - 1.1%
Ahmanson (H.F.) & Company ..................... 18,200 782,600
SEMICONDUCTORS - 5.0%
Analog Devices, Inc.* ......................... 33,000 876,563
Intel Corporation ............................. 15,600 2,212,275
Xilinx, Inc.* ................................. 13,000 637,812
-------------
3,726,650
TELECOMMUNICATIONS - 0.6%
Sprint Corporation ............................ 9,000 473,625
TOOLS - 1.4%
Snap-On, Inc. ................................. 25,500 1,004,063
TOYS & SPORTING GOODS - 1.1%
Mattel, Inc. .................................. 24,000 813,000
TRANSPORTATION - 0.8%
Illinois Central Corporation .................. 16,500 576,469
-------------
Total common stocks - Series S - 92.4% ...... 68,442,273
Cash and other assets, less liabilities -
Series S - 7.6% ........................... 5,636,995
-------------
Total net assets - Series S - 100.0% ........ $ 74,079,268
=============
The identified cost of investments owned at June 30, 1997, 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)
PP (Private Placement)
(1) Deferred interest obligation; currently zero coupon under terms of initial
offering.
(2) Principal amount on foreign bond is reflected in local currency (e.g.,
Danish krone) while market value is reflected in U.S. dollars.
(3) Variable rate security which may be reset the first of each month.
(4) Variable rate security which may be reset the first of each quarter.
(5) Put bond - a type of specialty bond that gives the holder the right to
redeem to the issuer at certain specified times before maturing.
(6) Step rate security in which the coupon rate will increase over the life of
the bond.
(7) Variable rate security which may be reset over the life of the bond.
(8) Floating rate security which may be reset the first of each semi-annual
payment.
(9) Trust preferred securities - Securities issued by financial institutions to
augment their Tier 1 capital base. Issued on a subordinate basis relative
to senior notes or debentures. Institution may defer cash payments for up
to 10 pay periods.
See accompanying notes.
54
<PAGE>
BALANCE SHEETS
JUNE 30, 1997
(UNAUDITED)
<TABLE>
<CAPTION>
SERIES B SERIES C SERIES D SERIES E SERIES J
SERIES A (GROWTH- (MONEY (WORLDWIDE (HIGH GRADE (EMERGING
(GROWTH) INCOME) MARKET) EQUITY) INCOME) GROWTH
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
ASSETS
Investments, at value (identified
cost $537,055,658, $739,683,085,
$32,574,018, $254,120,632,
$115,285,760 and $148,295,727
respectively) ........................ $811,513,750 $1,054,444,771 $ 32,565,011 $291,574,453 $115,666,945 $188,834,572
Short-term commercial paper, at
market or at amortized cost which
approximates market value (identified
cost $0, $8,183,736, $106,587,617,
$0, $0 and $0, respectively) ......... --- 8,183,399 106,586,955 --- --- ---
Cash ................................... 31,798,225 32,356,017 168,924 16,284,953 903,282 18,403,654
Receivables:
Fund shares sold ..................... 1,479,557 1,402,132 1,464,603 733,487 328,923 259,451
Securities sold ...................... --- 2,273,924 552,664 5,356,234 1,509,414 618,482
Forward foreign exchange contracts ... --- --- --- 341,702 --- ---
Interest ............................. 133,283 3,286,255 541,293 57,726 1,896,304 79,524
Dividends ............................ 743,999 1,043,474 --- 623,853 --- 70,176
Prepaid Expenses ..................... 18,693 19,717 2,437 --- 2,568 1,941
Miscellaneous ........................ 4,014 --- --- --- --- ---
Foreign taxes recoverable ............ --- --- --- 330,437 --- ---
------------- ------------- ------------- ------------- ------------- -------------
Total assets ....................... $845,691,521 $1,103,009,689 $141,881,887 $315,302,845 $120,307,436 $208,267,800
============= ============= ============= ============= ============= =============
LIABILITIES AND NET ASSETS
Liabilities:
Payable for:
Securities purchased ................. $ 2,094,081 $ 3,598,164 $ 3,000,000 $ 11,007,975 $ --- $ 5,678,562
Fund shares redeemed ................. 1,039,986 1,113,232 428,835 429,549 275,633 225,963
Other liabilities:
Management fees ...................... 529,698 694,189 57,338 252,444 76,881 127,726
Custodian fees ....................... 5,699 6,266 4,118 86,282 --- 1,574
Transfer and administration fees ..... 32,072 41,918 5,412 11,468 4,833 7,924
Professional fees .................... 53,021 31,748 5,163 --- 5,268 2,373
Miscellaneous ........................ 27,280 110,521 5,105 136,539 10,823 3,577
------------- ------------- ------------- ------------- ------------- -------------
Total liabilities .................. 3,781,837 5,596,038 3,505,971 11,924,257 373,438 6,047,699
Net Assets:
Paid in capital ........................ 484,290,025 660,817,938 128,345,278 229,253,305 120,877,958 156,784,544
Undistributed net investment income .... 8,083,501 33,603,862 10,040,307 7,681,530 12,903,738 501,538
Accumulated undistributed net realized
gain (loss) on sale of investments,
futures and foreign currency
transactions ......................... 75,078,066 88,230,502 --- 28,673,337 (14,228,883) 4,395,174
Net unrealized appreciation
(depreciation) in value of investments,
futures and translation of assets and
liabilities in foreign currency ...... 274,458,092 314,761,349 (9,669) 37,770,416 381,185 40,538,845
------------- ------------- ------------- ------------- ------------- -------------
Net assets ............................ 841,909,684 1,097,413,651 138,375,916 303,378,588 119,933,998 202,220,101
------------- ------------- ------------- ------------- ------------- -------------
Total liabilities and net assets .... $845,691,521 $1,103,009,689 $141,881,887 $315,302,845 $120,307,436 $208,267,800
============= ============= ============= ============= ============= =============
Capital shares authorized .............. 1,000,000,000 1,000,000,000 1,000,000,000 1,000,000,000 250,000,000 250,000,000
Capital shares outstanding ............. 29,650,037 26,848,422 10,745,951 43,813,340 9,726,483 10,454,362
Net asset value per share (net assets
divided by shares outstanding) ....... $28.39 $40.87 $12.88 $6.92 $12.33 $19.34
============= ============= ============= ============= ============= =============
</TABLE>
See accompanying notes.
55
<PAGE>
BALANCE SHEETS (CONTINUED)
JUNE 30, 1997
(UNAUDITED)
<TABLE>
<CAPTION>
SERIES K SERIES M SERIES N
(GLOBAL (SPECIALIZED (MANAGED SERIES O SERIES P SERIES S
AGGRESSIVE ASSET ASSET (EQUITY (HIGH (SOCIAL
BOND) ALLOCATION) ALLOCATION) INCOME) YIELD) AWARENESS)
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
ASSETS
Investments, at value (identified
cost $15,533,498, $44,723,748,
$20,759,127, $80,390,897, $2,528,580
and $52,040,883, respectively) ....... $15,443,107 $46,902,671 $24,412,818 $ 94,045,947 $2,622,599 $68,442,273
Short-term commercial paper, at market
or at amortized cost which approximates
market value (identified cost $0, $0,
$2,140,940, $11,524,310, $0 and $0,
respectively) ........................ --- --- 2,140,940 11,524,310 --- ---
Cash ................................... (348,955) 16,517 2,286 --- 150,547 5,604,959
Receivables:
Fund shares sold ..................... 81,474 239,463 281,920 847,741 --- 290,506
Securities sold ...................... 1,373,001 555,000 --- 69,930 --- ---
Forward foreign exchange contracts ... 4,786 --- --- --- --- ---
Interest ............................. 482,058 104,360 166,785 33,788 55,321 29,953
Dividends ............................ --- 5,157 17,334 198,430 --- 46,656
Prepaid Expenses ..................... 524 --- 234 21,802 2,171 3,705
Foreign taxes recoverable ............ 15,288 17,177 5,045 1,237 --- ---
------------- ------------- ------------- ------------- ------------- -------------
Total assets ....................... $17,051,283 $47,840,345 $27,027,362 $106,743,185 $2,830,638 $74,418,052
============= ============= ============= ============= ============= =============
LIABILITIES AND NET ASSETS
Liabilities:
Payable for:
Securities purchased ................. $ 1,189,968 $ --- $ 533,737 $ 1,131,649 $ --- $ 95,621
Fund shares redeemed ................. 35,750 100,737 20,312 399,607 --- 191,498
Written call options outstanding ..... 10,449 --- --- --- --- ---
Other liabilities:
Management fees ...................... --- 39,869 21,118 85,517 --- 46,588
Custodian fees ....................... 16,782 7,357 11,436 23,159 --- ---
Transfer and administration fees ..... 5,815 6,985 6,126 4,054 108 3,002
Professional fees .................... 1,791 2,672 3,180 9,073 --- ---
Miscellaneous ........................ 5,966 3,169 3,089 2,739 377 2,075
------------- ------------- ------------- ------------- ------------- -------------
Total liabilities .................. 1,266,521 160,789 598,998 1,655,798 485 338,784
Net Assets:
Paid in capital ........................ 15,042,250 40,700,906 21,275,194 85,281,929 2,500,000 51,932,892
Undistributed net investment income .... 690,287 1,399,176 756,098 2,024,650 204,813 294,141
Accumulated undistributed net realized
gain on sale of investments, futures
and foreign currency transactions .... 140,219 3,401,157 743,666 4,125,681 31,321 5,450,845
Net unrealized appreciation
(depreciation) in value of investments,
futures and translation of assets and
liabilities in foreign currency ...... (87,994) 2,178,317 3,653,406 13,655,127 94,019 16,401,390
------------- ------------- ------------- ------------- ------------- -------------
Net assets ........................... 15,784,762 47,679,556 26,428,364 105,087,387 2,830,153 74,079,268
------------- ------------- ------------- ------------- ------------- -------------
Total liabilities and net assets ... $17,051,283 $47,840,345 $27,027,362 $106,743,185 $2,830,638 $74,418,052
============= ============= ============= ============= ============= =============
Capital shares authorized .............. 50,000,000 50,000,000 50,000,000 50,000,000 Indefinite 250,000,000
Capital shares outstanding ............. 1,437,941 3,684,006 1,969,832 6,553,124 166,667 3,497,996
Net asset value per share (net assets
divided by shares outstanding) $10.98 $12.94 $13.42 $16.04 $16.98 $21.18
============= ============= ============= ============= ============= =============
</TABLE>
See accompanying notes.
56
<PAGE>
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 1997
(UNAUDITED)
<TABLE>
<CAPTION>
SERIES B SERIES C SERIES D SERIES E SERIES J
SERIES A (GROWTH- (MONEY (WORLDWIDE (HIGH GRADE (EMERGING
(GROWTH) INCOME) MARKET) EQUITY) INCOME) GROWTH
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME:
Dividends ............................ $ 4,857,455 $ 6,342,523 $ --- $ 3,656,509 $ --- $ 238,039
Interest ............................. 988,472 8,819,254 3,658,759 402,105 4,790,487 418,542
------------- ------------- ------------- ------------- ------------- -------------
5,845,927 15,161,777 3,658,759 4,058,614 4,790,487 656,581
Less foreign tax expense ............. (5,335) --- --- (367,753) --- ---
------------- ------------- ------------- ------------- ------------- -------------
Total investment income ............ 5,840,592 15,161,777 3,658,759 3,690,861 4,790,487 656,581
EXPENSES:
Management fees ...................... 2,841,075 3,758,591 328,145 1,345,446 464,915 634,511
Custodian fees ....................... 13,074 18,867 6,015 38,915 6,071 5,156
Transfer/maintenance fees ............ 1,786 1,676 1,629 2,534 1,412 1,551
Administration fees .................. 170,464 225,515 29,533 222,902 27,895 38,071
Directors' fees ...................... 9,509 32,942 2,092 4,887 1,372 1,629
Professional fees .................... 42,593 27,748 4,463 8,688 4,029 5,373
Reports to shareholders .............. 30,111 90,169 2,724 30,046 4,443 6,026
Registration fees .................... 708 947 147 15,204 133 199
Other expenses ....................... 11,892 22,820 4,612 5,973 5,922 3,918
------------- ------------- ------------- ------------- ------------- -------------
Total expenses ..................... 3,121,212 4,179,275 379,360 1,674,595 516,192 696,434
Less earnings credits ................ (75) (745) --- --- --- (106)
------------- ------------- ------------- ------------- ------------- -------------
Net expenses ......................... 3,121,137 4,178,530 379,360 1,674,595 516,192 696,328
------------- ------------- ------------- ------------- ------------- -------------
Net investment income (loss) ....... 2,719,455 10,983,247 3,279,399 2,016,266 4,274,295 (39,747)
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) during the
period on:
Investments ........................ 24,102,847 30,838,118 --- 17,015,874 (2,016,061) (1,946,813)
Foreign currency transactions ...... --- --- --- 207,060 --- ---
Futures contract ................... --- --- --- --- --- 1,614,004
------------- ------------- ------------- ------------- ------------- -------------
Net realized gain (loss) ........... 24,102,847 30,838,118 --- 17,222,934 (2,016,061) (332,809)
Net change in unrealized appreciation
during the period on:
Investments: ....................... 92,407,320 105,040,079 43,848 13,801,912 1,029,968 12,775,434
Translation of assets and liabilities
in foreign currencies ............ --- --- --- 435,915 --- ---
------------- ------------- ------------- ------------- ------------- -------------
Net unrealized appreciation .......... 92,407,320 105,040,079 43,848 14,237,827 1,029,968 12,775,434
------------- ------------- ------------- ------------- ------------- -------------
Net gain (loss) .................... 116,510,167 135,878,197 43,848 31,460,761 (986,093) 12,442,625
------------- ------------- ------------- ------------- ------------- -------------
Net increase in net assets
resulting from operations ...... $119,229,622 $146,861,444 $3,323,247 $33,477,027 $3,288,202 $12,402,878
============= ============= ============= ============= ============= =============
</TABLE>
See accompanying notes.
57
<PAGE>
STATEMENTS OF OPERATIONS (CONTINUED)
FOR THE SIX MONTHS ENDED JUNE 30, 1997
(UNAUDITED)
<TABLE>
<CAPTION>
SERIES K SERIES M SERIES N
(GLOBAL (SPECIALIZED (MANAGED SERIES O SERIES P SERIES S
AGGRESSIVE ASSET ASSET (EQUITY (HIGH (SOCIAL
BOND) ALLOCATION) ALLOCATION) INCOME) YIELD) AWARENESS)
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME:
Dividends ............................ $ --- $ 317,354 $ 136,105 $ 1,090,527 $ 2,375 $ 251,016
Interest ............................. 741,417 455,157 330,910 345,035 120,584 170,870
------------- ------------- ------------- ------------- ------------- -------------
741,417 772,511 467,015 1,435,562 122,959 421,886
Less foreign tax expense ............. (7,610) (27,835) (7,158) (1,388) --- ---
------------- ------------- ------------- ------------- ------------- -------------
Total investment income ............ 733,807 744,676 459,857 1,434,174 122,959 421,886
EXPENSES:
Management fees ...................... 54,166 212,341 108,499 400,272 12,956 242,060
Custodian fees ....................... 9,955 15,786 16,522 9,385 534 1,367
Transfer/maintenance fees ............ 949 1,133 1,076 1,255 5 1,233
Administration fees .................. 26,966 33,366 28,632 18,012 610 14,524
Directors' fees ...................... 43 300 418 594 5 500
Professional fees .................... 3,077 3,922 3,680 6,072 2,380 1,955
Reports to shareholders .............. 543 1,596 1,055 1,516 29 2,349
Registration fees .................... 1,237 150 --- --- 34 78
Other expenses ....................... 750 2,113 (124) 671 348 1,758
------------- ------------- ------------- ------------- ------------- -------------
Total expenses ..................... 97,686 270,707 159,758 437,777 16,901 265,824
Less earnings credits
Reimbursement of expenses .......... (54,166) --- --- --- (12,956) ---
------------- ------------- ------------- ------------- ------------- -------------
Net expenses ......................... 43,520 270,707 159,758 437,777 3,945 265,824
------------- ------------- ------------- ------------- ------------- -------------
Net investment income .............. 690,287 473,969 300,099 996,397 119,014 156,062
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) during the
period on:
Investments ........................ 205,203 2,456,570 450,729 2,691,953 14,246 1,636,939
Foreign currency transactions ...... (94,211) (4,550) (4,515) (1,575) --- ---
Futures contract ................... --- --- --- --- --- ---
------------- ------------- ------------- ------------- ------------- -------------
Net realized gain ................ 110,992 2,452,020 446,214 2,690,378 14,246 1,636,939
Change in unrealized appreciation
(depreciation) during the period on:
Investments: ....................... (400,144) 234,171 1,801,089 7,669,967 31,788 5,216,519
Translation of assets and liabilities
in foreign currencies ............ (8,757) (467) 353 162 --- ---
------------- ------------- ------------- ------------- ------------- -------------
Net unrealized appreciation
(depreciation) ..................... (408,901) 233,704 1,801,442 7,670,129 31,788 5,216,519
------------- ------------- ------------- ------------- ------------- -------------
Net gain (loss) .................... (297,909) 2,685,724 2,247,656 10,360,507 46,034 6,853,458
------------- ------------- ------------- ------------- ------------- -------------
Net increase in net assets
resulting from operations ...... $392,378 $3,159,693 $2,547,755 $11,356,904 $165,048 $7,009,520
============= ============= ============= ============= ============= =============
</TABLE>
See accompanying notes.
58
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE SIX MONTHS ENDED JUNE 30, 1997
(UNAUDITED)
<TABLE>
<CAPTION>
SERIES B SERIES C SERIES D SERIES E SERIES J
SERIES A (GROWTH- (MONEY (WORLDWIDE (HIGH GRADE (EMERGING
(GROWTH) INCOME) MARKET) EQUITY) INCOME) GROWTH
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
INCREASE IN NET ASSETS FROM OPERATIONS:
Net investment income (loss) ......... $ 2,719,455 $ 10,983,247 $ 3,279,399 $ 2,016,266 $ 4,274,295 $ (39,747)
Net realized gain (loss) ............. 24,102,847 30,838,118 --- 17,222,934 (2,016,061) (332,809)
Unrealized appreciation during the
period ............................. 92,407,320 105,040,079 43,848 14,237,827 1,029,968 12,775,434
------------- ------------- ------------- ------------- ------------- -------------
Net increase in net assets resulting
from operations .................. 119,229,622 146,861,444 3,323,247 33,477,027 3,288,202 12,402,878
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income ................ --- --- --- --- --- ---
Net realized gain .................... --- --- --- --- --- ---
------------- ------------- ------------- ------------- ------------- -------------
Total distributions to shareholders --- --- --- --- --- ---
CAPITAL SHARE TRANSACTION (A):
Proceeds from sale of shares ......... 153,438,304 101,254,815 173,709,558 53,884,223 24,674,244 76,587,478
Dividends reinvested ................. --- --- --- --- --- ---
Shares redeemed ...................... (145,348,800) (107,288,915) (167,329,002) (31,008,243) (42,069,559) (35,191,543)
------------- ------------- ------------- ------------- ------------- -------------
Net increase (decrease) from capital
share transactions ............... 8,089,504 (6,034,100) 6,380,556 22,875,980 (17,395,315) 41,395,935
------------- ------------- ------------- ------------- ------------- -------------
Total increase (decrease) in net
assets ......................... 127,319,126 140,827,344 9,703,803 56,353,007 (14,107,113) 53,798,813
NET ASSETS:
Beginning of period .................. 714,590,558 956,586,307 128,672,113 247,025,581 134,041,111 148,421,288
------------- ------------- ------------- ------------- ------------- -------------
End of period ........................ $841,909,684 $1,097,413,651 $138,375,916 $303,378,588 $119,933,998 $202,220,101
============= ============= ============= ============= ============= =============
Undistributed net investment income at
end of period ...................... $ 8,083,501 $ 33,603,862 $ 10,040,307 $ 7,681,530 $ 12,903,738 $ 501,538
============= ============= ============= ============= ============= =============
(a) Shares issued and redeemed
Shares sold ...................... 6,013,952 2,705,271 13,653,674 8,395,268 2,045,973 4,238,882
Dividends reinvested ............. --- --- --- --- --- ---
Shares redeemed .................. (5,754,477) (2,877,332) (13,153,580) (4,835,807) (3,490,445) (1,918,159)
------------- ------------- ------------- ------------- ------------- -------------
Net increase (decrease) ........ 259,475 (172,061) 500,094 3,559,461 (1,444,472) 2,320,723
============= ============= ============= ============= ============= =============
</TABLE>
See accompanying notes.
59
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
FOR THE SIX MONTHS ENDED JUNE 30, 1997
(UNAUDITED)
<TABLE>
<CAPTION>
SERIES K SERIES M SERIES N
(GLOBAL (SPECIALIZED (MANAGED SERIES O SERIES P SERIES S
AGGRESSIVE ASSET ASSET (EQUITY (HIGH (SOCIAL
BOND) ALLOCATION) ALLOCATION) INCOME) YIELD) AWARENESS)
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
INCREASE IN NET ASSETS FROM OPERATIONS:
Net investment income ................ $ 690,287 $ 473,969 $ 300,099 $ 996,397 $ 119,014 $ 156,062
Net realized gain .................... 110,992 2,452,020 446,214 2,690,378 14,246 1,636,939
Unrealized appreciation during the
period ............................. (408,901) 233,704 1,801,442 7,670,129 31,788 5,216,519
------------- ------------- ------------- ------------- ------------- -------------
Net increase in net assets resulting
from operations .................. 392,378 3,159,693 2,547,755 11,356,904 165,048 7,009,520
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income ................ --- --- --- --- --- ---
Net realized gain .................... --- --- --- --- --- ---
------------- ------------- ------------- ------------- ------------- -------------
Total distributions to shareholders --- --- --- --- --- ---
CAPITAL SHARE TRANSACTIONS (A):
Proceeds from sale of shares ......... 7,063,300 11,541,278 9,149,341 41,228,629 --- 17,036,988
Dividends reinvested ................. --- --- --- --- --- ---
Shares redeemed ...................... (4,390,811) (5,417,338) (8,613,310) (9,875,208) --- (7,463,955)
------------- ------------- ------------- ------------- ------------- -------------
Net increase from capital share
transactions ..................... 2,672,489 6,123,940 536,031 31,353,421 --- 9,573,033
------------- ------------- ------------- ------------- ------------- -------------
Total increase in net assets ..... 3,064,867 9,283,633 3,083,786 42,710,325 165,048 16,582,553
NET ASSETS:
Beginning of period .................. 12,719,895 38,395,923 23,344,578 62,377,062 2,665,105 57,496,715
------------- ------------- ------------- ------------- ------------- -------------
End of period ........................ $15,784,762 $47,679,556 $26,428,364 $105,087,387 $2,830,153 $74,079,268
============= ============= ============= ============= ============= =============
Undistributed net investment income at
end of period ...................... $ 690,287 $ 1,399,176 $ 756,098 $ 2,024,650 $ 204,813 $ 294,141
============= ============= ============= ============= ============= =============
(a) Shares issued and redeemed
Shares sold ...................... 657,534 937,936 725,455 2,767,321 --- 864,896
Dividends reinvested ............. --- --- --- --- --- ---
Shares redeemed .................. (405,696) (440,818) (698,446) (665,211) --- (379,866)
------------- ------------- ------------- ------------- ------------- -------------
Net increase ................... 251,838 497,118 27,009 2,102,110 --- 485,030
============= ============= ============= ============= ============= =============
</TABLE>
See accompanying notes.
60
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE YEAR ENDED DECEMBER 31, 1996
<TABLE>
<CAPTION>
SERIES B SERIES C SERIES D SERIES E SERIES J
SERIES A (GROWTH- (MONEY (WORLDWIDE (HIGH GRADE (EMERGING
(GROWTH) INCOME) MARKET) EQUITY) INCOME) GROWTH
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS:
Net investment income ................ $ 5,466,761 $ 22,733,680 $ 6,921,208 $ 1,588,321 $ 8,664,351 $ (270,043)
Net realized gain (loss) ............. 51,089,074 57,472,747 --- 18,196,752 (2,164,110) 5,574,826
Unrealized appreciation (depreciation)
during the period .................. 62,940,793 65,772,214 (41,770) 13,347,522 (7,551,691) 16,151,675
------------- ------------- ------------- ------------- ------------- -------------
Net increase (decrease) in net
assets resulting from operations 119,496,628 145,978,641 6,879,438 33,132,595 (1,051,450) 21,456,458
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income ................ (4,858,702) (18,421,256) (5,014,558) (6,982,410) (7,686,321) (236,747)
Net realized gain .................... (30,078,874) (89,075,535) --- (6,588,531) --- (5,477,835)
------------- ------------- ------------- ------------- ------------- -------------
Total distributions to shareholders (34,937,576) (107,496,791) (5,014,558) (13,570,941) (7,686,321) (5,714,582)
CAPITAL SHARE TRANSACTIONS (A):
Proceeds from sale of shares ......... 272,735,836 195,756,138 300,770,030 95,984,267 71,870,139 93,417,694
Dividends reinvested ................. 34,937,576 107,496,791 5,014,558 13,570,941 7,686,321 5,714,582
Shares redeemed ...................... (197,533,006) (180,261,174) (284,413,035) (59,872,380) (62,429,363) (59,832,305)
------------- ------------- ------------- ------------- ------------- -------------
Net increase from capital share
transactions ..................... 110,140,406 122,991,755 21,371,553 49,682,828 17,127,097 39,299,971
------------- ------------- ------------- ------------- ------------- -------------
Total increase in net assets ..... 194,699,458 161,473,605 23,236,433 69,244,482 8,389,326 55,041,847
NET ASSETS:
Beginning of year .................... 519,891,100 795,112,702 105,435,680 177,781,099 125,651,785 93,379,441
------------- ------------- ------------- ------------- ------------- -------------
End of year .......................... $714,590,558 $956,586,307 $128,672,113 $247,025,581 $134,041,111 $148,421,288
============= ============= ============= ============= ============= =============
Undistributed net investment
income at end of year .............. $ 5,364,046 $ 22,620,615 $ 6,760,908 $ 5,665,264 $ 8,629,443 $ 541,285
============= ============= ============= ============= ============= =============
(a) Shares issued and redeemed
Shares sold .................. 11,815,669 5,479,920 23,991,955 15,951,967 5,820,235 5,392,420
Dividends reinvested ......... 1,535,718 3,174,743 405,053 2,280,830 649,731 316,597
Shares redeemed .............. (8,682,010) (5,055,630) (22,692,246) (9,930,879) (5,068,479) (3,388,952)
------------- ------------- ------------- ------------- ------------- -------------
Net increase ............... 4,669,377 3,599,033 1,704,762 8,301,918 1,401,487 2,320,065
============= ============= ============= ============= ============= =============
</TABLE>
See accompanying notes.
61
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
FOR THE YEAR ENDED DECEMBER 31, 1996
<TABLE>
<CAPTION>
SERIES K SERIES M SERIES N
(GLOBAL (SPECIALIZED (MANAGED SERIES O SERIES P SERIES S
AGGRESSIVE ASSET ASSET (EQUITY (HIGH (SOCIAL
BOND) ALLOCATION) ALLOCATION) INCOME) YIELD) AWARENESS)
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
INCREASE IN NET ASSETS FROM OPERATIONS:
Net investment income (loss) ......... $ 995,530 $ 785,362 $ 467,411 $ 1,031,187 $ 85,799 $ 142,884
Net realized gain .................... 34,262 1,112,952 290,614 1,435,648 17,075 3,818,240
Unrealized appreciation during the
period ............................. 236,546 1,834,039 1,466,480 4,978,876 62,231 3,541,342
------------- ------------- ------------- ------------- ------------- -------------
Net increase in net assets resulting
from operations .................. 1,266,338 3,732,353 2,224,505 7,445,711 165,105 7,502,466
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income ................ (844,106) (332,910) (112,833) (108,567) --- (217,556)
Net realized gain .................... (141,415) (154,426) (22,914) (7,238) --- (1,127,096)
------------- ------------- ------------- ------------- ------------- -------------
Total distribution to shareholders . (985,521) (487,336) (135,747) (115,805) --- (1,344,652)
CAPITAL SHARE TRANSACTIONS (A):
Proceeds from sale of shares ......... 10,501,775 27,932,031 14,703,728 54,553,040 2,500,000 20,989,370
Dividends reinvested ................. 985,521 487,336 135,747 115,805 --- 1,344,652
Shares redeemed ...................... (4,726,579) (9,244,884) (4,163,794) (13,149,311) --- (7,825,379)
------------- ------------- ------------- ------------- ------------- -------------
Net increase from capital share
transactions ..................... 6,760,717 19,174,483 10,675,681 41,519,534 2,500,000 14,508,643
------------- ------------- ------------- ------------- ------------- -------------
Total increase in net assets ..... 7,041,534 22,419,500 12,764,439 48,849,440 2,665,105 20,666,457
NET ASSETS:
Beginning of year .................... 5,678,361 15,976,423 10,580,139 13,527,622 --- 36,830,258
------------- ------------- ------------- ------------- ------------- -------------
End of year .......................... $12,719,895 $38,395,923 $23,344,578 $62,377,062 $2,665,105 $57,496,715
============= ============= ============= ============= ============= =============
Undistributed net investment income at
end of year ........................ $ --- $ 925,207 $ 455,499 $ 1,028,253 $ 85,799 $ 138,079
============= ============= ============= ============= ============= =============
(a) Shares issued and redeemed
Shares sold .................. 968,131 2,471,114 1,317,755 4,318,273 166,667 1,144,145
Dividends reinvested ......... 91,933 42,899 12,013 8,922 --- 70,585
Shares redeemed .............. (429,302) (818,625) (372,924) (1,032,400) --- (435,648)
------------- ------------- ------------- ------------- ------------- -------------
Net increase ............... 630,762 1,695,388 956,844 3,294,795 166,667 779,082
============= ============= ============= ============= ============= =============
</TABLE>
62
<PAGE>
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
SERIES A (GROWTH) FISCAL PERIOD ENDED DECEMBER 31
---------------------------------------------------------------------------------------------
1997(F)(H) 1996(F) 1995(F) 1994 1993 1992
------------- ------------- ------------- ------------- ------------- -------------
<S> <C> <C> <C> <C> <C> <C>
PER SHARE DATA
NET ASSET VALUE BEGINNING OF PERIOD $24.31 $21.03 $16.00 $19.82 $18.33 $17.26
INCOME FROM INVESTMENT OPERATIONS:
Net Investment Income .............. 0.090 0.180 0.180 0.200 0.390 0.230
Net Gain (Loss) on Securities
(realized and unrealized) ........ 3.990 4.495 5.648 (0.442) 2.076 1.615
------------- ------------- ------------- ------------- ------------- -------------
Total from investment operations ... 4.080 4.675 5.828 (0.242) 2.466 1.845
LESS DISTRIBUTIONS
Dividends (from Net Investment
Income) .......................... --- (0.194) (0.153) (0.380) (0.224) (0.242)
Distributions (from Capital Gains) . --- (1.201) (0.645) (3.198) (0.752) (0.533)
------------- ------------- ------------- ------------- ------------- -------------
Total Distributions .............. --- (1.395) (0.798) (3.578) (0.976) (0.775)
------------- ------------- ------------- ------------- ------------- -------------
NET ASSET VALUE END OF PERIOD ...... $28.39 $24.31 $21.03 $16.00 $19.82 $18.33
============= ============= ============= ============= ============= =============
TOTAL RETURN (C) ................... 16.8% 22.7% 36.8% (1.7%) 13.7% 11.1%
RATIOS/SUPPLEMENTAL DATA
Net Assets End of Period (thousands) $841,910 $714,591 $519,891 $332,288 $317,407 $296,548
Ratio of Expenses to Average Net
Assets ........................... 0.81% 0.83% 0.83% 0.84% 0.86% 0.86%
Ratio of Net Income (Loss) to
Average Net Assets ............... 0.71% 0.90% 1.13% 1.13% 2.01% 1.46%
Portfolio Turnover Rate ............ 69% 57% 83% 90% 108% 77%
Average Commission Paid Per Equity
Share Traded ..................... $0.0600 $0.0598 N/A N/A N/A N/A
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
SERIES B (GROWTH & INCOME) FISCAL PERIOD ENDED DECEMBER 31
---------------------------------------------------------------------------------------------
1997(F)(H) 1996(F) 1995(F) 1994 1993 1992
------------- ------------- ------------- ------------- ------------- -------------
<S> <C> <C> <C> <C> <C> <C>
PER SHARE DATA
NET ASSET VALUE BEGINNING OF PERIOD $35.40 $33.95 $26.54 $29.73 $27.76 $26.85
INCOME FROM INVESTMENT OPERATIONS:
Net Investment Income .............. 0.410 0.830 0.790 0.510 0.640 0.650
Net Gain (Loss) on Securities
(realized and unrealized) ........ 5.060 5.160 7.160 (1.34) 2.009 0.999
------------- ------------- ------------- ------------- ------------- -------------
Total from investment operations . 5.470 5.990 7.950 (0.830) 2.649 1.649
LESS DISTRIBUTIONS
Dividends (from Net Investment
Income) .......................... --- (0.778) (0.540) (0.680) (0.679) (0.583)
Distributions (from Capital Gains) . --- (3.762) --- (1.680) --- (0.156)
------------- ------------- ------------- ------------- ------------- -------------
Total Distributions ............. --- (4.540) (0.540) (2.360) (0.679) (0.739)
------------- ------------- ------------- ------------- ------------- -------------
NET ASSET VALUE END OF PERIOD ...... $40.87 $35.40 $33.95 $26.54 $29.73 $27.76
============= ============= ============= ============= ============= =============
TOTAL RETURN (C) ................... 15.5% 18.3% 30.1% (3.0%) 9.6% 6.3%
RATIOS/SUPPLEMENTAL DATA
Net Assets End of Period (thousands) $1,097,414 $956,586 $795,113 $595,154 $583,599 $467,208
Ratio of Expenses to Average Net
Assets ........................... 0.83% 0.84% 0.83% 0.84% 0.86% 0.86%
Ratio of Net Income (Loss) to
Average Net Assets ............... 2.19% 2.56% 2.70% 2.07% 2.63% 3.22%
Portfolio Turnover Rate ............ 54% 58% 94% 43% 95% 56%
Average Commission Paid Per Equity
Share Traded ..................... $.0600 $0.0602 N/A N/A N/A N/A
</TABLE>
63
<PAGE>
FINANCIAL HIGHLIGHTS (CONTINUED)
<TABLE>
<CAPTION>
SERIES C (MONEY MARKET) FISCAL PERIOD ENDED DECEMBER 31
---------------------------------------------------------------------------------------------
1997(E)(F)(H) 1996(A)(F) 1995(F) 1994 1993 1992
------------- ------------- ------------- ------------- ------------- -------------
<S> <C> <C> <C> <C> <C> <C>
PER SHARE DATA
NET ASSET VALUE BEGINNING OF PERIOD $12.56 $12.34 $12.27 $12.09 $12.21 $12.52
INCOME FROM INVESTMENT OPERATIONS:
Net Investment Income .............. 0.316 0.610 0.740 0.410 0.290 0.430
Net Gain (Loss) on Securities
(realized and unrealized) ........ 0.004 0.010 (0.085) 0.035 0.027 (0.030)
------------- ------------- ------------- ------------- ------------- -------------
Total from investment operations . 0.320 0.620 0.655 0.445 0.317 0.400
LESS DISTRIBUTIONS
Dividends (from Net Investment
Income) .......................... --- (0.400) (0.585) (0.265) (0.437) (0.710)
Distributions (from Capital Gains) . --- --- --- --- --- ---
------------- ------------- ------------- ------------- ------------- -------------
Total Distributions .............. --- (0.400) (0.585) (0.265) (0.437) (0.710)
------------- ------------- ------------- ------------- ------------- -------------
NET ASSET VALUE END OF PERIOD ...... $12.88 $12.56 $12.34 $12.27 $12.09 $12.21
============= ============= ============= ============= ============= =============
TOTAL RETURN (C) ................... 2.5% 5.1% 5.4% 3.7% 2.6% 3.2%
RATIOS/SUPPLEMENTAL DATA
Net Assets End of Period (thousands) $138,376 $128,672 $105,436 $118,668 $99,092 $87,246
Ratio of Expenses to Average Net
Assets ........................... 0.58% 0.58% 0.60% 0.61% 0.61% 0.61%
Ratio of Net Income (Loss) to
Average Net Assets ............... 5.00% 4.89% 5.27% 3.70% 2.65% 3.19%
Portfolio Turnover Rate ............ --- --- --- --- --- ---
Average Commission Paid Per Equity
Share Traded ..................... N/A N/A N/A N/A N/A N/A
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
SERIES D (WORLDWIDE EQUITY) FISCAL PERIOD ENDED DECEMBER 31
---------------------------------------------------------------------------------------------
1997(H) 1996 1995 1994(A) 1993(A) 1992(A)
------------- ------------- ------------- ------------- ------------- -------------
<S> <C> <C> <C> <C> <C> <C>
PER SHARE DATA
NET ASSET VALUE BEGINNING OF PERIOD $6.14 $5.56 $5.07 $4.94 $3.76 $3.91
INCOME FROM INVESTMENT OPERATIONS:
Net Investment Income .............. 0.040 0.030 0.050 0.020 0.020 0.020
Net Gain (Loss) on Securities
(realized and unrealized) ........ 0.740 0.930 0.4989 0.115 1.166 (0.1220)
------------- ------------- ------------- ------------- ------------- -------------
Total from investment operations . 0.780 0.960 0.5489 0.135 1.186 (0.1020)
LESS DISTRIBUTIONS
Dividends (from Net Investment
Income) .......................... --- (0.200) (0.0009) (0.005) (0.0060) (0.0480)
Distributions (from Capital Gains) --- (0.180) (0.0580) --- --- ---
------------- ------------- ------------- ------------- ------------- -------------
Total Distributions .............. --- (0.380) (0.0589) (0.005) (0.0060) (0.0480)
------------- ------------- ------------- ------------- ------------- -------------
NET ASSET VALUE END OF PERIOD ...... $6.92 $6.14 $5.56 $5.07 $4.94 $3.76
============= ============= ============= ============= ============= =============
TOTAL RETURN (C) ................... 12.7% 17.5% 10.9% 2.7% 31.6% (2.6%)
RATIOS/SUPPLEMENTAL DATA
Net Assets End of Period (thousands) $303,379 $247,026 $177,781 $147,033 $98,252 $25,183
Ratio of Expenses to Average Net
Assets ........................... 1.24% 1.30% 1.31% 1.34% 1.42% 1.62%
Ratio of Net Income (Loss) to
Average Net Assets ............... 1.50% 0.74% 0.90% 0.50% 0.38% 0.50%
Portfolio Turnover Rate ............ 141% 115% 169% 82% 70% 81%
Average Commission Paid Per Equity
Share Traded ..................... $0.0100 $0.0276 N/A N/A N/A N/A
</TABLE>
64
<PAGE>
FINANCIAL HIGHLIGHTS (CONTINUED)
<TABLE>
<CAPTION>
SERIES E (HIGH GRADE INCOME) FISCAL PERIOD ENDED DECEMBER 31
---------------------------------------------------------------------------------------------
1997(F)(H) 1996(F) 1995(F) 1994 1993 1992
------------- ------------- ------------- ------------- ------------- -------------
<S> <C> <C> <C> <C> <C> <C>
PER SHARE DATA
NET ASSET VALUE BEGINNING OF PERIOD $12.00 $12.86 $11.52 $13.78 $13.02 $12.82
INCOME FROM INVESTMENT OPERATIONS:
Net Investment Income .............. 0.550 0.750 0.740 0.760 0.640 0.780
Net Gain (Loss) on Securities
(realized and unrealized) ........ (0.220) (0.853) 1.360 (1.713) 1.020 0.168
------------- ------------- ------------- ------------- ------------- -------------
Total from investment operations . 0.330 (0.103) 2.100 (0.953) 1.660 0.948
LESS DISTRIBUTIONS
Dividends (from Net Investment
Income) .......................... --- (0.757) (0.760) (0.690) (0.790) (0.748)
Distributions (from Capital Gains) . --- --- --- (0.617) (0.110) ---
------------- ------------- ------------- ------------- ------------- -------------
Total Distributions .............. --- (0.757) (0.760) (1.307) (0.900) (0.748)
------------- ------------- ------------- ------------- ------------- -------------
NET ASSET VALUE END OF PERIOD ...... $12.33 $12.00 $12.86 $11.52 $13.78 $13.02
============= ============= ============= ============= ============= =============
TOTAL RETURN (C) ................... 2.8% (0.7%) 18.6% 6.9% 12.6% 7.4%
RATIOS/SUPPLEMENTAL DATA
Net Assets End of Period (thousands) $119,934 $134,041 $125,652 $107,078 $112,900 $81,440
Ratio of Expenses to Average Net
Assets ........................... 0.83% 0.83% 0.85% 0.85% 0.86% 0.86%
Ratio of Net Income (Loss) to
Average Net Assets ............... 6.90% 6.77% 6.60% 6.74% 6.21% 7.41%
Portfolio Turnover Rate ............ 151% 232% 180% 185% 151% 76%
Average Commission Paid Per Equity
Share Traded ..................... N/A N/A N/A N/A N/A N/A
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
SERIES J (EMERGING GROWTH) FISCAL PERIOD ENDED DECEMBER 31
---------------------------------------------------------------------------------------------
1997(F)(H) 1996(F) 1995(F) 1994 1993 1992(B)
------------- ------------- ------------- ------------- ------------- -------------
<S> <C> <C> <C> <C> <C> <C>
PER SHARE DATA
NET ASSET VALUE BEGINNING OF PERIOD $18.25 $16.06 $13.44 $14.17 $12.47 $10.00
INCOME FROM INVESTMENT OPERATIONS:
Net Investment Income .............. (0.020) (0.040) 0.040 (0.010) (0.010) 0.010
Net Gain (Loss) on Securities
(realized and unrealized) ........ 1.110 2.930 2.580 (0.713) 1.711 2.460
------------- ------------- ------------- ------------- ------------- -------------
Total from investment operations . 1.090 2.890 2.620 (0.723) 1.701 2.470
LESS DISTRIBUTIONS
Dividends (from Net Investment
Income) .......................... --- (0.029) --- --- (0.001) ---
Distributions (from Capital Gains) . --- (0.671) --- (0.007) --- ---
------------- ------------- ------------- ------------- ------------- -------------
Total Distributions .............. --- (0.700) --- (0.007) (0.001) ---
------------- ------------- ------------- ------------- ------------- -------------
NET ASSET VALUE END OF PERIOD ..... $19.34 $18.25 $16.06 $13.44 $14.17 $12.47
============= ============= ============= ============= ============= =============
TOTAL RETURN (C) ................... 6.0% 18.0% 19.5% (5.1%) 13.6% 24.7%
RATIOS/SUPPLEMENTAL DATA
Net Assets End of Period (thousands) $202,220 $148,421 $93,379 $76,940 $42,096 $7,113
Ratio of Expenses to Average Net
Assets ........................... 0.82% 0.84% 0.84% 0.88% 0.91% 1.06%
Ratio of Net Income (Loss) to
Average Net Assets ............... (0.05%) (0.21%) 0.26% (0.11%) (0.14%) 0.22%
Portfolio Turnover Rate ............ 79% 123% 202% 91% 117% 4%
Average Commission Paid Per Equity
Share Traded ..................... $0.0600 $0.0601 N/A N/A N/A N/A
</TABLE>
65
<PAGE>
FINANCIAL HIGHLIGHTS (CONTINUED)
<TABLE>
<CAPTION>
SERIES K (GLOBAL AGGRESSIVE) FISCAL PERIOD ENDED DECEMBER 31
---------------------------------------------
1997(E)(H) 1996(E) 1995(A)(D)(E)
------------- ------------- -------------
<S> <C> <C> <C>
PER SHARE DATA
NET ASSET VALUE BEGINNING OF PERIOD $10.72 $10.22 10.00
INCOME FROM INVESTMENT OPERATIONS:
Net Investment Income .............. 0.480 0.900 0.540
Net Gain (Loss) on Securities
(realized and unrealized) ........ (0.220) 0.500 0.220
------------- ------------- -------------
Total from investment operations . 0.260 1.400 0.760
LESS DISTRIBUTIONS
Dividends (from Net Investment
Income) .......................... --- (0.770) (0.466)
Distributions (from Capital Gains) . --- (0.130) (0.044)
Return of Capital .................. --- --- (0.030)
------------- ------------- -------------
Total Distributions .............. --- (0.900) (0.540)
------------- ------------- -------------
NET ASSET VALUE END OF PERIOD ...... $10.98 $10.72 $10.22
============= ============= =============
TOTAL RETURN (C) ................... 2.4% 13.7% 7.6%
RATIOS/SUPPLEMENTAL DATA
Net Assets End of Period (thousands) $15,785 $12,720 $5,678
Ratio of Expenses to Average Net
Assets ........................... .60% 0.84% 1.63%
Ratio of Net Income (Loss) to
Average Net Assets ............... 9.56% 10.79% 11.03%
Portfolio Turnover Rate ............ 107% 86% 127%
Average Commission Paid Per Equity
Share Traded ..................... N/A N/A N/A
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
SERIES M (SPECIALIZED ASSET ALLOCATION) FISCAL PERIOD ENDED DECEMBER 31
---------------------------------------------
1997(H) 1996 1995(A)(D)
------------- ------------- -------------
<S> <C> <C> <C>
PER SHARE DATA
NET ASSET VALUE BEGINNING OF PERIOD $12.05 $10.71 $10.00
INCOME FROM INVESTMENT OPERATIONS:
Net Investment Income .............. 0.090 0.150 0.169
Net Gain (Loss) on Securities
(realized and unrealized) ........ 0.800 1.364 0.541
------------- ------------- -------------
Total from investment operations ... 0.890 1.514 0.710
LESS DISTRIBUTIONS
Dividends (from Net Investment
Income) .......................... --- (0.119) ---
Distributions (from Capital Gains) . --- (0.055) ---
------------- ------------- -------------
Total Distributions .............. --- (0.174) ---
------------- ------------- -------------
NET ASSET VALUE END OF PERIOD ...... $12.94 $12.05 $10.71
============= ============= =============
TOTAL RETURN (C) ................... 7.4% 14.2% 7.1%
RATIOS/SUPPLEMENTAL DATA
Net Assets End of Period (thousands) $47,680 $38,396 $15,976
Ratio of Expenses to Average Net
Assets ........................... 1.27% 1.34% 1.94%
Ratio of Net Income (Loss) to
Average Net Assets ............... 2.23% 2.73% 3.20%
Portfolio Turnover Rate ............ 123% 40% 181%
Average Commission Paid Per Equity
Share Traded ..................... $0.0452 $0.0266 N/A
</TABLE>
66
<PAGE>
FINANCIAL HIGHLIGHTS (CONTINUED)
<TABLE>
<CAPTION>
SERIES N (MANAGED ASSET ALLOCATION) FISCAL PERIOD ENDED DECEMBER 31
---------------------------------------------
1997(H) 1996 1995(A)(D)
------------- ------------- -------------
<S> <C> <C> <C>
PER SHARE DATA
NET ASSET VALUE BEGINNING OF PERIOD $12.02 $10.73 $10.00
INCOME FROM INVESTMENT OPERATIONS:
Net Investment Income .............. 0.150 0.193 0.156
Net Gain (Loss) on Securities
(realized and unrealized) ........ 1.250 1.175 0.574
------------- ------------- -------------
Total from investment operations ... 1.400 1.368 0.730
LESS DISTRIBUTIONS
Dividends (from Net Investment
Income) .......................... --- (0.065) ---
Distributions (from Capital Gains) . --- (0.013) ---
------------- ------------- -------------
Total Distributions .............. --- (0.078) ---
------------- ------------- -------------
NET ASSET VALUE END OF PERIOD ...... $13.42 $12.02 $10.73
============= ============= =============
TOTAL RETURN (C) ................... 11.7% 12.8% 7.3%
RATIOS/SUPPLEMENTAL DATA
Net Assets End of Period (thousands) $26,428 $23,345 $10,580
Ratio of Expenses to Average Net
Assets ........................... 1.47% 1.45% 1.90%
Ratio of Net Income (Loss) to
Average Net Assets ............... 2.77% 2.67% 2.80%
Portfolio Turnover Rate ............ 64% 41% 26%
Average Commission Paid Per Equity
Share Traded ..................... $0.0296 $0.0393 N/A
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
SERIES O (EQUITY INCOME) FISCAL PERIOD ENDED DECEMBER 31
---------------------------------------------
1997(H) 1996 1995(A)(D)
------------- ------------- -------------
<S> <C> <C> <C>
PER SHARE DATA
NET ASSET VALUE BEGINNING OF PERIOD $14.01 $11.70 $10.00
INCOME FROM INVESTMENT OPERATIONS:
Net Investment Income .............. .080 0.169 0.166
Net Gain (Loss) on Securities
(realized and unrealized) ........ 1.950 2.173 1.534
------------- ------------- -------------
Total from investment operations ... 2.030 2.342 1.700
LESS DISTRIBUTIONS
Dividends (from Net Investment
Income) .......................... --- (0.030) ---
Distributions (from Capital Gains) . --- (0.002) ---
------------- ------------- -------------
Total Distributions .............. --- (0.032) ---
------------- ------------- -------------
NET ASSET VALUE END OF PERIOD ...... $16.04 $14.01 $11.70
============= ============= =============
TOTAL RETURN (C) ................... 14.5% 20.0% 17.0%
RATIOS/SUPPLEMENTAL DATA
Net Assets End of Period (thousands) $105,087 $62,377 $13,528
Ratio of Expenses to Average Net
Assets ........................... 1.09% 1.15% 1.40%
Ratio of Net Income (Loss) to
Average Net Assets ............... 2.49% 2.62% 3.00%
Portfolio Turnover Rate ............ 49% 22% 3%
Average Commission Paid Per Equity
Share Traded ..................... $0.0314 $0.0385 N/A
</TABLE>
67
<PAGE>
FINANCIAL HIGHLIGHTS (CONTINUED)
<TABLE>
<CAPTION>
FISCAL PERIOD ENDED
SERIES P (HIGH YIELD) DECEMBER 31
-----------------------------
1997(H) 1996(G)
------------- -------------
<S> <C> <C>
PER SHARE DATA
NET ASSET VALUE BEGINNING OF PERIOD $15.99 $15.00
INCOME FROM INVESTMENT OPERATIONS:
Net Investment Income .............. 0.714 0.510
Net Gain (Loss) on Securities
(realized and unrealized) ........ 0.276 0.480
------------- -------------
Total from investment operations . 0.990 0.990
LESS DISTRIBUTIONS
Dividends (from Net Investment
Income) .......................... --- ---
Distributions (from Capital Gains) . --- ---
------------- -------------
Total Distributions .............. --- ---
------------- -------------
NET ASSET VALUE END OF PERIOD ...... $16.98 $15.99
============= =============
TOTAL RETURN (C) ................... 6.2% 6.6%
RATIOS/SUPPLEMENTAL DATA
Net Assets End of Period (thousands) $2,830 $2,665
Ratio of Expenses to Average Net
Assets ........................... 0.29% 0.28%
Ratio of Net Income (Loss) to
Average Net Assets ............... 8.78% 8.24%
Portfolio Turnover Rate ............ 59% 151%
Average Commission Paid Per Equity
Share Traded ..................... N/A N/A
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
SERIES S (SOCIAL AWARENESS) FISCAL PERIOD ENDED DECEMBER 31
---------------------------------------------------------------------------------------------
1997(F)(C)(H) 1996(F) 1995(F) 1994 1993 1992(A)
------------- ------------- ------------- ------------- ------------- -------------
<S> <C> <C> <C> <C> <C> <C>
PER SHARE DATA
NET ASSET VALUE BEGINNING OF PERIOD $19.08 $16.49 $12.97 $13.69 $12.25 $10.55
INCOME FROM INVESTMENT OPERATIONS:
Net Investment Income .............. 0.100 0.030 0.090 0.080 0.020 0.030
Net Gain (Loss) on Securities
(realized and unrealized) ........ 2.000 3.073 3.507 (0.595) 1.432 1.691
------------- ------------- ------------- ------------- ------------- -------------
Total from investment operations . 2.100 3.103 3.597 (0.515) 1.452 1.721
LESS DISTRIBUTIONS
Dividends (from Net Investment
Income) .......................... --- (0.083) (0.077) (0.020) (0.012) (0.021)
Distributions (from Capital Gains) . --- (0.430) --- (0.185) --- ---
------------- ------------- ------------- ------------- ------------- -------------
Total Distributions .............. --- (0.513) (0.077) (0.205) (0.012) (0.021)
------------- ------------- ------------- ------------- ------------- -------------
NET ASSET VALUE END OF PERIOD ...... $21.18 $19.08 $16.49 $12.97 $13.69 $12.25
============= ============= ============= ============= ============= =============
TOTAL RETURN (C) ................... 11.0% 18.8% 27.7% (3.7%) 11.9% 16.4%
RATIOS/SUPPLEMENTAL DATA
Net Assets End of Period (thousands) $74,079 $57,497 $36,830 $24,539 $19,490 $9,653
Ratio of Expenses to Average Net
Assets ........................... 0.82% 0.84% 0.86% 0.90% 0.90% 0.92%
Ratio of Net Income (Loss) to
Average Net Assets ............... 0.48% 0.30% 0.75% 0.75% 0.23% 0.24%
Portfolio Turnover Rate ............ 57% 67% 122% 67% 105% 110%
Average Commission Paid Per Equity
Share Traded ..................... $0.0600 $0.0602 N/A N/A N/A N/A
</TABLE>
(a) Net investment income per share has been calculated using the weighted
monthly average number of capital shares outstanding.
(b) Series J was initially capitalized on October 1, 1992, with a net asset
value of $10.00 per share. Percentage amounts for the period have been
annualized, except for total return.
(c) Total return does not take into account any charges paid at the time of
purchase.
(d) 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.
(e) Fund expenses for Series K and P were reduced by the Investment Manager
during the period. Expense ratios absent such reimbursement would have been
as follows:
1995 1996 1997
---- ---- ----
Series K 2.03% 1.59% 1.35%
Series P --- 1.11% 1.25%
(f) Expense ratios were calculated without the reduction for custodian fees
earnings credits beginning February 1, 1995. Expense ratios with such
reductions would have been as follows:
1995 1996 1997
---- ---- ----
Series A 0.83% 0.83% 0.81%
Series B 0.83% 0.84% 0.83%
Series C 0.60% 0.58% 0.58%
Series E 0.85% 0.83% 0.83%
Series J 0.83% 0.84% 0.82%
Series S 0.84% 0.84% 0.82%
(g) Series P was initially capitalized on August 5, 1996, with a net asset
value of $15 per share. Percentage amounts for the period have been
annualized, except for total return.
(h) Unaudited figures for the six months ended June 30, 1997. Percentage
amounts for the period, except total return, have been annualized.
68
<PAGE>
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 1997
(UNAUDITED)
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. Each series, in effect, represents 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 Insurance
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. These policies are in conformity with generally accepted accounting
principles.
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 Fund. Foreign
investments may also subject the Fund 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 from 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, N and O
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 - The Fund may utilize 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 Jand 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. 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 their quoted daily
settlement prices. Upon entering into a futures contract, the Series is required
to deposit either cash or liquid 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. There
were no futures contracts held by the Fund at June 30, 1997.
69
<PAGE>
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 1997
(UNAUDITED)
E. OPTIONS WRITTEN - The Fund may purchase put and call options and write
such options on a covered basis on securities that are traded on recognized
securities exchanges and over-the-counter markets. Call and put options on
securities give the holder the right to purchase or sell respectively, (and the
writer the obligation to sell or purchase) a security at a specified price, on
or until a certain date. The primary risks associated with the use of options
are an imperfect correlation between the change in market value of the
securities held by the Series and the price of the option, the possibility of an
illiquid market, and the inability of the counter-party to meet the terms of the
contract.
The premium received for a written option is recorded as an asset with an
equal liability which is marked to market based on the option's quoted daily
settlement price. Fluctuations in the value of such instruments are recorded as
unrealized appreciation (depreciation) until terminated, at which time realized
gains and losses are recognized. Series K wrote covered call options during 1997
and received $92,746 in premiums.
F. 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, except for
Series K, which does amortize premiums and discounts on debt securities.
G. 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.
H. 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.
I. 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 fees disclosed in
the Statement of Operations do 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, LLC (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, P 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 has agreed to waive all of the manageme nt fees for Series P
through December 31, 1997. SMC & LMC have agreed to waive all of the management
fees for Series K through December 31, 1997. 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
average assets in excess of $20,000,000 for management services provided to
Series O. The Investment Manager pays Templeton Franklin Investment Services,
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.
On August 1, 1997, shareholders of Series M voted to approve a new
subadvisory agreement with Meridian Investment Management Corporation, which
replaced all existing subadvisory agreements. Under this agreement, Meridian
furnishes investment advisory, statistical and research facilities, supervises
and arranges for the purchase and sale of securities on behalf of Series M. This
new contract was effective August 1, 1997.
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, 1997, SMCagreed to limit the total expenses
for Series K, M and P 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, 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 SMC.
70
<PAGE>
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 1997
(UNAUDITED)
3. FEDERAL INCOME TAX MATTERS
The amounts of unrealized appreciation (depreciation) for income tax
purposes at June 30, 1997, for all securities and foreign currency holdings
(including foreign currency receivables and payables) were as follows:
<TABLE>
<CAPTION>
SERIES A SERIES B SERIES C SERIES D SERIES E SERIES J
(Growth) (Growth Income) (Money Market) (Worldwide Equity) (High Grade Income) (Emerging Growth)
---------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Gross unrealized
appreciation .... $276,241,681 $316,598,930 $ 9,830 $43,673,349 $1,141,852 $41,953,529
Gross unrealized
depreciation .... (1,783,589) (1,837,581) (19,499) (5,902,933) (760,667) (1,414,684)
----------- ----------- ------- ---------- --------- ----------
Net unrealized
appreciation
(depreciation) .. $274,458,092 $314,761,349 $ (9,669) $37,770,416 $ 381,185 $40,538,845
=========== =========== ======= ========== ========= ==========
</TABLE>
<TABLE>
<CAPTION>
SERIES M SERIES N
SERIES K (Specialized Asset (Managed Asset SHARES O SERIES P SERIES S
(Global Aggressive) Allocation) Allocation) (Equity Income) (High Yield) (Social Awareness)
---------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Gross unrealized
appreciation ...... $ 556,027 $ 3,280,438 $3,925,902 $14,352,578 $96,263 $16,863,851
Gross unrealized
depreciation ...... (644,021) (1,102,121) (272,496) (697,451) (2,244) (462,461)
-------- ---------- --------- ---------- ------ ----------
Net unrealized
appreciation
(depreciation) .... $ (87,994) $ 2,178,317 $3,653,406 $13,655,127 $94,019 $16,401,390
======== ========== ========= ========== ====== ==========
</TABLE>
4. INVESTMENT TRANSACTIONS
Investment transactions for the period ended June 30, 1997, (excluding
overnight investments and short-term debt securities) are as follows:
<TABLE>
<CAPTION>
SERIES A SERIES B SERIES D SERIES E SERIES J
(Growth) (Growth Income) (Worldwide Equity) (High Grade Income) (Emerging Growth)
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Purchases $282,476,088 $286,304,738 $195,963,609 $84,001,822 $97,532,630
Proceeds from sales $246,217,231 $254,464,606 $177,947,821 $89,772,434 $55,724,439
</TABLE>
<TABLE>
<CAPTION>
SERIES M SERIES N
SERIES K (Specialized Asset (Managed Asset SHARES O SERIES P SERIES S
(Global Aggressive) Allocation) Allocation) (Equity Income) (High Yield) (Social Awareness)
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Purchases $11,520,812 $21,464,770 $5,783,930 $33,756,480 $1,056,557 $26,139,369
Proceeds from sales $ 7,075,401 $20,747,453 $5,918,096 $ 8,519,182 $ 729,338 $16,545,986
</TABLE>
5. FORWARD FOREIGN EXCHANGE CONTRACTS
At June 30, 1997, 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>
Currency Settlement Date Contract Amount Contract Rate Current Rate Unrealized Gain
<S> <C> <C> <C> <C> <C> <C>
Series D French Franc 12/02/97 $5,316,058 5.6747 5.8215 $134,054
Italian Lira 12/02/97 $1,792,482 1,699.2200 1710.7000 12,029
New Zealand Dollar 10/03/97 $5,305,047 0.6900 0.6783 89,844
Spanish Peseta 12/02/97 $4,351,143 143.4850 147.0600 105,775
-------
$341,702
=======
Series K Australian Dollar 7/31/97 $1,051,820 1.331026 1.336154 $4,036
Australian Dollar 7/31/97 $ 561,300 1.336184 1.336154 13
Canadian Dollar 7/09/97 $ 943,396 1.378000 1.379077 737
-----
$4,786
=====
</TABLE>
71
<PAGE>
THIS PAGE LEFT BLANK INTENTIONALLY
72
<PAGE>
SECURITY FUNDS
OFFICERS AND DIRECTORS
DIRECTORS
- ---------
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
Cindy L. Shields, Assistant Vice President
Thomas A. Swank, Assistant Vice President
Amy J. Lee, Secretary
Christopher D. Swickard, Assistant Secretary
Brenda M. Harwood, 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]
SECURITY DISTRIBUTORS, INC. BULK RATE
700 SW Harrison St. U.S. POSTAGE
Topeka, KS 66636-0001 PAID
(785) 431-3112 SECURITY BENEFIT
(800) 888-2461
