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SBL FUND
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SEMI-ANNUAL REPORT
JUNE 30, 1998
- 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)
- Series V
(Value Series)
- Series X
(Small Cap Series)
[LOGO] SECURITY DISTRIBUTORS, INC.
A Member of The Security Benefit
Group of Companies
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PRESIDENT'S LETTER
August 15, 1998
[ A PHOTO ]
John Cleland
President
TO OUR CONTRACTHOLDERS:
The past six months have been especially rewarding for investors in large-cap
equities, as evidenced by the 14.14% return for the Dow Jones Industrial Average
and 17.71% increase in the S&P 500 Stock Index. The returns in mid-cap and small
cap stocks and in fixed income instruments have also been positive, although
closer to historical norms. The S&P Midcap 400 Index rose 8.01% and the Russell
2000, representing small stocks, was up 5.27%. The bellwether thirty-year U.S.
Treasury Bond generated a total return of 7.1% over the period, rewarding fixed
income investors as well.
TWO FACTORS HELPING MARKET PERFORMANCE
Two principal dynamics have been at work in the financial markets throughout the
first half of 1998, pushing up stock and bond prices and reinforcing the high
levels of consumer confidence. The first of these is the continued absence of
any inflationary pressures and the accompanying positive impact that absence has
had on the Federal Reserve Open Market Committee as policymakers deliberate the
future direction of interest rates. The second is the continuation of incredible
money flows into the financial markets.
The ongoing financial crisis in Pacific Rim countries has played a major role in
the low inflation rate in the U.S. As many of these countries try to export
their way out of their problems, the cheap imports flooding U.S. markets keep
prices on U.S.-manufactured goods from rising. If U.S. goods are to sell, they
must remain price-competitive. Additionally, increased productivity on the part
of U.S. manufacturers is helping to offset the potentially inflationary
pressures of rising nominal wages.
SUPPLY AND DEMAND AT WORK
One of the oldest economic laws in existence, the law of supply and demand, is
supporting equity markets now. The universe of equity shares outstanding is
shrinking because of continuing strong merger and acquisition activity and
through buybacks by corporations of their own stock. Despite a record number of
initial public offerings, the overall number of shares of stock available to the
public continues to decline.
Keep in mind, however, that the "raging bull" markets we have been experiencing
for over three years can't continue forever. Although we remain positive in our
market outlook, we advise our shareholders to ratchet down their expections to
more normal historical levels of return. We believe it is highly unlikely that
we will experience another six months of 20%-plus annualized growth.
SYSTEMATIC INVESTING A WISE PLAN
A sound investment strategy in periods such as these, in which volatility and
the potential for market corrections rule, is to dollar-cost average. Investing
on a regular, systematic basis helps to even out the effects of market
fluctuations and increases the likelihood of meeting long-term investment
goals.*
As always, we appreciate your continuing investments in Security products. We
invite your questions and comments at any time.
Sincerely,
/s/ John Cleland
John Cleland, President
Security Funds
*Dollar cost averaging does not assure profits or protect against loss in a
declining market.
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SERIES A (GROWTH SERIES)
August 15, 1998
[ A PHOTO ]
Terry Milberger
Senior Portfolio Manager
TO OUR CONTRACTHOLDERS:
Performance was strong in the Growth Series in the first half of 1998. The
portfolio returned 18.06%, comparing favorably with the 17.71% return of the
benchmark Standard and Poor's 500 Stock Index and with the Lipper peer group
average return of 16.23%.(1) The six-month period strongly favored large-cap
growth stocks, which make up the major portion of the portfolio.
CONTRIBUTORS TO STRONG PERFORMANCE
Although the technology sector underperformed the overall market, we were
underweighted in technology issues and so were damaged less by their weakness.
Two of the companies we did own, however, did very well. Cisco Systems, Inc. and
Microsoft Corporation both increased over 60% in value during the period on
strong earnings outlooks and new product development.
We sought strong exposure to the financial sector, believing that low interest
rates would benefit companies in this area. Insurance companies generally
presented better relative value than banks, since many bank stocks had run up
dramatically in price in previous months. Our holdings in American General
Corporation rose 32%, American International Group, Inc., was up 30%, and The
Equitable Companies, Inc., performed best, rising over 46%.
The consumer cyclicals were a mixed group. The weakest was Sunbeam Corporation,
which reported inventory problems and weak sales in their appliance business.
The stock declined over 60%, culminating in the company's firing of its chief
executive officer. In direct contrast, Chrysler Corporation in the automobile
portion of the consumer cyclicals group rose over 64% in the first half after
reporting better-than-expected earnings and the announcement of a buyout by
Mercedes.
AVOIDING ECONOMICALLY SENSITIVE COMPANIES
Like many others, we have been expecting an economic slowdown for some time and
consequently have sought out less economically sensitive companies. This
strategy led us to the health care sector. Two of our holdings in this group
have performed well not only because of their low economic sensitivity, but also
due to good new product outlooks. Schering-Plough Corporation increased 50% in
the past six months, and Bristol-Myers Squibb Company was up about 24% in the
same period.
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SERIES A (GROWTH SERIES)
August 15, 1998
We also benefited from an underweighting in the energy sector. This group has
been a poor performer for some time as oil and gas prices continue to decline.
Given the weak demand from Asian markets and the tendency of oil-producing
companies to be unwilling to cut output, we will continue to stay away from
these stocks.
STAYING THE COURSE FOR THE COMING MONTHS
At this point we see no reason to change investment strategy in the coming
months. Although there is evidence of some slowing in the industrial sector of
the economy, we still believe that overall there will be moderate growth. We
expect to continue our strategy of avoiding economically sensitive companies and
seeking those firms which exhibit high quality, above average earnings growth.
Terry Milberger
Senior Portfolio Manager
TOP 5 EQUITY HOLDINGS**
SERIES A - GROWTH SERIES
Microsoft Corporation............................... 1.9%
Tyco International, Ltd............................. 1.9%
Omnicom Group, Inc.................................. 1.7%
Schering-Plough Corporation......................... 1.6%
Bristol-Myers Squibb Company........................ 1.6%
** At June 30, 1998
AVERAGE ANNUAL TOTAL RETURN
AS OF JUNE 30, 1998(1)
1 Year 5 Years 10 Years
Series A 30.12% 22.37% 17.80%
(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 B (GROWTH-INCOME SERIES)
August 15, 1998
[ A PHOTO ]
Mike A. Petersen
Senior Portfolio Manager
TO OUR CONTRACTHOLDERS:
In a period which did not favor the traditional income-oriented holdings of
growth and income portfolios, the Growth/Income Series returned 7.74% compared
with the benchmark Standard & Poor's 500 Stock Index return of 17.71%.(1) It
also lagged the Lipper peer group average return of 12.26%.
GOALS FOR PORTFOLIO STRUCTURE
We began the year with three overall goals for the Growth/Income Series. These
included a targeted portfolio yield of 150% of that of the S&P 500 Index,
earnings per share growth equal to or greater than those of the S&P 500, and a
lower overall portfolio risk than the index. Because valuations of large-cap
stocks had run up to unprecedented highs, the more attractive values and higher
dividends were available in midcap issues. Historically, the growth potential of
such midcap stocks has been similar to that of large cap issues. Although this
strategy is sound for the longer term, as yet in 1998 the market movements have
been concentrated in larger-cap companies.
STRONG PERFORMERS IN THE PORTFOLIO
Nonetheless, we have had some strong performers in the portfolio in the first
half. The best known of all, Microsoft Corporation, rose nearly 61% over the six
months. Health care company Humana, Inc., moved up 52% after announcement of a
takeover by United HealthCare Corporation. Another well-known favorite,
McDonald's Corporation, climbed 47% on improving store sales growth
(particularly in their overseas operations) and after introducing a program to
cut costs and simplify product lines.
The economic weakness in Asia damaged performance of Sawtek Inc., a company
which manufactures components for cellular phones and the cellular
infrastructure. Although we purchased the issue after its initial round of
Asia-related price decline, a major customer canceled an order subsequent to our
purchase, causing the price to drop further. We also experienced a sharp loss in
our Sunbeam Corporation holding after the company reported inventory problems
and weak sales in its appliance business.
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SERIES B (GROWTH-INCOME SERIES)
August 15, 1998
PLANS FOR THE REST OF 1998
Going forward, we believe that the sizes of returns we have experienced in the
broad markets will in all likelihood begin to slow. Many large cap growth
companies have earnings multiples of thirty to sixty times; these companies
would have to increase earnings at very high rates to maintain these levels.
This will be harder to accomplish in light of the slowdown resulting from the
Pacific Rim economic crisis.
Our emphasis on the importance of income as a portion of total return will be a
plus in a slower growth, lower return environment. The attractiveness of income
in a traditional growth and income portfolio could draw investors if the economy
slows as we expect it to. In the months ahead we plan to actively seek those
stocks that exhibit strong growth potential and pay higher than average
dividends.
Michael A. Petersen
Senior Portfolio Manager
TOP 5 EQUITY HOLDINGS**
SERIES B - GROWTH-INCOME SERIES
Texaco, Inc......................................... 1.7%
SBC Communications, Inc............................. 1.5%
PepsiCo, Inc........................................ 1.5%
Amoco Corporation................................... 1.4%
Mobil Corporation................................... 1.4%
** At June 30, 1998
AVERAGE ANNUAL TOTAL RETURN
AS OF JUNE 30, 1998(1)
1 Year 5 Years 10 Years
Series B 18.04% 16.19% 15.11%
(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 C (MONEY MARKET SERIES)
August 15, 1998
TO OUR CONTRACTHOLDERS:
Short-term interest rates on U.S. Treasury Bills generally declined about 0.25%
between the beginning of the year and the end of June, although the descent was
not a smooth one. The Money Market Series has held its yield well despite the
volatility, generating a 2.54% return for the six-month period.1 This is in line
with the 2.54% average of its Lipper peer group.
CHARACTERISTICS OF THE PORTFOLIO
As usual, during the period we bought only investments which are rated in the
top tier by the major rating agencies, or which are Federal government or
government agency issues. We target an average maturity for the portfolio which
is within approximately ten days of that of the benchmark Money Fund Report
published by IBC Donoghue. At June 30, 1998, that benchmark maturity was 58
days, while the Series had an average of 47 days. We believe that the best
strategy is not to try to outguess the markets by dramatically lengthening or
shortening the average maturity. Instead, we maintain a "laddered" structure,
with holdings maturing at regular intervals over the life of the portfolio. This
allows us to adjust quickly should short-term interest rates change quickly.
ASSET SECTORS REPRESENTED IN THE PORTFOLIO
At June 30, 1998, the assets in the Money Market Series consisted of 83.8%
commercial paper, 8.6% Small Business Administration issues, and 7.6% Federal
agency securities. We have received approval from the Board of Directors of the
SBL Fund to purchase securities known as "funding agreements" (also known as
guaranteed investment contracts). These agreements are contracts which are
issued by insurance companies, and are liabilities backed by the issuing
company's general account assets. These contracts are ranked on the same level
as insurance policies. The Series will only purchase funding agreements which
are in the top tier of ratings by major rating agencies. The advantage to these
agreements is that their yields generally will be from ten to thirteen basis
points (0.10% to 0.13%) higher than those of commercial paper. We believe that
their high quality and favorable yield will be advantageous for use in the
portfolio.
AVERAGE ANNUAL TOTAL RETURN
AS OF JUNE 30, 1998(1)
1 Year 5 Years 10 Years
Series C 5.17% 3.97% 5.08%
(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.
OUTLOOK FOR THE SECOND HALF
We expect interest rates on short-term investments to remain close to their
present levels for the coming months. We believe the Federal Reserve Open Market
Committee will be reluctant to raise rates because of the still-weak Asian
economies, but we feel that the U.S. economy remains too strong to allow rates
to go down. As usual, we will continue to monitor market conditions carefully,
and will remain ready to adjust portfolio holdings should economic conditions
warrant.
Fixed Income Team
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SERIES D (WORLDWIDE EQUITY SERIES)
August 15, 1998
[LOGO] SUBADVISOR, LEXINGTON MANAGEMENT CORPORATION
PORTFOLIO MANAGERS, RICHARD SALER AND ALAN WAPNICK
[ A PHOTO ] [ A PHOTO ]
Richard Saler Alan Wapnick
Portfolio Manager Portfolio Manager
TO OUR CONTRACTHOLDERS:
The Worldwide Equity Series advanced an attractive 13.49% through the first half
of 1998, although it underperformed the Lipper peer group average of 15.44%.(1)
The benchmark Morgan Stanley World Index increased 15.92% in the same time
period.
SECOND QUARTER DIFFICULTIES
The Series performed well in the first quarter of the year, but lost ground in
the second quarter due to three primary factors. First, the portfolio is
overweight versus the benchmark index in the United Kingdom, which declined
1.01% in the second quarter as earnings disappointments accelerated and
inflation fears forced the Bank of England to raise base interest rates. Second,
on a relative basis versus the benchmark the portfolio is underweight in U.S.
stocks, which as measured by the Standard and Poor's 500 Stock Index rose 3.30%
during the three months. Finally, large company stocks continued to outperform
midsized and small company equities despite the better value offered by smaller
stocks.
EFFECTS OF THE ASIAN CRISIS
Shock waves from Asia are still being felt around the world. The U.S. economy is
beginning to show signs of slowing, particularly in the manufacturing sector.
However, due to low unemployment, rising stock prices and low interest rates the
American consumer remains strong. Corporate earnings growth has weakened and is
now growing at a low rate. U.S. profits are likely to remain under pressure due
to a strong dollar, rising wage pressures, and weakening demand overseas.
European economies have generally improved, although Europe remains a mixed bag.
The U.K. appears headed for a recession. The yield curve there is inverted due
to continued interest rate hikes by the Bank of England. A strong currency has
damaged the manufacturing sector, which is now in recession. Recent retail sales
reports suggest that consumer spending may be slowing as well.
On the European continent the news is somewhat better. Unemployment remains high
but is finally showing signs of improving. Consumption has also picked up,
perhaps due to rising stock prices and falling unemployment. The export sector,
however, which has been the driver of most of the growth, may now be catching
the Asian flu. Continental Europe is likely to have its growth recovery muted
due to weakening demand elsewhere.
We expect that Asia will continue to be the primary trouble spot. Many Asian
economies have seen demand collapse. Certainly Japan remains an important
variable, but is currently suffering its worst recession since World War II. The
economy is fundamentally sick due to the massive bad loans held by Japanese
banks. Signs of greater political resolve to address the economic problems are
emerging, but the problems will not be resolved overnight. World growth is
decelerating and this trend is likely to continue, with interest rates staying
low and corporate profits facing increasing pressure.
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SERIES D (WORLDWIDE EQUITY SERIES)
August 15, 1998
THE PORTFOLIO FOCUS
Our stock selection process remains focused on companies which are able to meet
investor earnings expectations. Defensive issues such as drugs and food will be
less affected by global economic slowing than manufacturing-related stocks.
Europe remains attractive due to corporate restructuring; however, given strong
price moves and potentially slower economic activity the risk is rising. Because
of our belief in a poor profit outlook for U.S. equities, we will maintain an
underweight position there.
Finally, despite Japan's economic woes, the best values currently can be found
in Japanese markets. Our focus in Japan remains on cash-rich companies which are
trading at deep discounts to book value. Although the Japanese economy is
unlikely to recover soon, current prices of some equities suggest much of the
bad news is already discounted. Further positive political developments or news
of serious corporate restructuring could provide substantial returns in selected
cheap Japanese stocks.
Richard Saler
Portfolio Manager
Alan Wapnick
Portfolio Manager
Investing in foreign countries may involve risks, such as currency fluctuations
and political instability, not associated with investing exclusively in the U.S.
TOP 5 EQUITY HOLDINGS**
SERIES D - WORLDWIDE EQUITY SERIES
Wienerberger Baustoffindustrie AG.................. 2.0%
Imax Corporation................................... 1.9%
Novartis AG........................................ 1.8%
Elan Corporation PLC ADR........................... 1.8%
Yogen Fruz World-Wide, Inc......................... 1.6%
** At June 30, 1998
AVERAGE ANNUAL TOTAL RETURN
AS OF JUNE 30, 1998(1)
1 Year 5 Years 10 Years
Series D 7.20% 12.84% 5.10%
(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 E (HIGH GRADE INCOME SERIES)
August 15, 1998
[ A PHOTO ]
Steven M. Bowser
Portfolio Manager
TO OUR SHAREHOLDERS:
Interest rates during the first half of the year traded in a fairly narrow
range, with the bellwether thirty-year Treasury bond beginning the year at 5.92%
and ending June at 5.63%. Within the time period, however, volatility reigned as
rates rose and fell frequently depending on whether the news story of the moment
related to Asian-induced economic weakness or to consumer-led strength in our
economy. The High Grade Income Series returned 3.83% for the six months,
slightly underperforming the Lipper peer group average of 3.97%.(1) The
benchmark Lehman Brothers Corporate Bond Index rose 4.15% over the same time
period.
MORTGAGE-BACKED SECURITIES HOLDINGS INCREASED
In the second quarter we increased the percentage of mortgage-backed securities
in the portfolio to 16%. These bonds generally will lose less of their value in
periods of rising interest rates than Treasury or corporate issues, because in
periods of higher rates fewer homeowners are inclined to refinance their
mortgages. As the risk of prepayment on the securities falls, their prices
become more stable. The mortgage-backed pools we select for the portfolio
generally have been outstanding for five years or more (so-called "seasoned
collateral" pools), which also tends to lower their prepayment speeds.
CORPORATE SECTOR PERFORMANCE
Performance of the investment grade corporate bonds, which make up over half of
the portfolio, was mixed. Industrial issues performed well because of the
strength in the U.S. economy. Our U.S. West bonds were added in this sector when
the company tendered for the bonds at a premium over our cost as a part of
reorganization of their corporate structure.
On the negative side, our gaming sector bonds issued by MGM Grand, Inc. and by
Mirage Resorts, Inc., weakened because of the "Asian effect"--part of their
revenue, especially in their casino operations, comes from guests from Asian
countries. The Asian crisis also forced spreads on Yankee bonds to widen. We
felt this primarily in our banks with Asian exposure, including ABN Amro Bank NV
and Santander Financial Issuances, Ltd. A third, Banco Central Hispanoamericano,
was also a negative as the emerging market countries felt the pain of the Asian
situation. Overall, however, we believe all of these companies provide good long
term potential for the portfolio.
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SERIES E (HIGH GRADE INCOME SERIES)
August 15, 1998
During the period we added some railroad bonds, issued by such companies as
Burlington Northern and Norfolk Southern. The railroad sector was beaten down by
Union Pacific's operating problems, and many of these issues were unfairly
undervalued in our estimation.
THE HIGH YIELD HOLDINGS
The high yield corporate bonds, at nearly 20% of portfolio assets, performed
well in three of the six months, and were neutral in the remaining months. The
additional yield provided by this sector makes it attractive for inclusion in
the portfolio.
LOOKING AHEAD
With interest rates on U.S. Treasury notes and bonds being at historic low
levels, we expect to look to other sectors such as corporate bonds and
mortgage-backed securities for their additional incremental return. We continue
to keep our average duration close to that of the benchmark index, refraining
from making interest rate bets with our maturity structure at this time.
Steven M. Bowser
Portfolio Manager
ASSET MIX**
SERIES E - HIGH GRADE INCOME SERIES
U.S. Government & Agencies......................... 4.5%
Mortgage Backed Securities......................... 16.0%
Corporate Bonds.................................... 78.0%
Cash & Equivalents................................. 1.5%
** At June 30, 1998
AVERAGE ANNUAL TOTAL RETURN
AS OF JUNE 30, 1998(1)
1 Year 5 Years 10 Years
Series E 11.19% 5.17% 8.13%
(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 J (EMERGING GROWTH SERIES)
August 15, 1998
[ A PHOTO ]
James P. Schier
Portfolio Manager
TO OUR CONTRACTHOLDERS:
In the first six months of 1998 the Emerging Growth Series rose 8.84%,
outperforming its benchmark S&P 400 Midcap Index which returned 8.01% over the
period.(1) The Series, however, underperformed its Lipper peer group average of
13.40%. Those funds in the peer group which included more large-cap companies
led as stocks of the larger firms benefited from investors' search for
liquidity.
SECTORS WITH FAVORABLE PERFORMANCE
One of our strongest performing sectors was technology, led by America Online,
Inc. stock which rose over 135% in the first half of the year. This internet and
interactive services company was a direct beneficiary of the "internet mania"
which swept through the markets in recent months. Solid advances in our other
computer services and software names were offset by negative performance among
the semiconductors, which are more economically sensitive and also rely on Asian
markets for growth.
Our health care holdings were also very favorable overall, although with mixed
results within the sector. Mylan Laboratories, Inc., a manufacturer and marketer
of generic drugs, rose about 45% on strong earnings reports. Unfortunately, part
of this positive result in the portfolio was offset by declines in Dentsply
International, Inc., and Dura Pharmaceuticals, Inc., as both companies reported
disappointing earnings.
Positive performance also came from Quaker State Corporation in the energy
sector, which rose 41% on news of a buyout by Pennzoil Company. Within the
consumer staples group, three companies--Cardinal Health, Inc., The Cheesecake
Factory Inc., and Dial Corporation--all rose over 40%.
WEAKER PERFORMING ISSUES
On the negative side of the performance coin, Callaway Golf Company, a leading
manufacturer of golf clubs, dropped about 25% and hotel/casino operator Circus
Circus Enterprises, Inc. lost nearly 17% as a result of disappointing earnings
announcements. Other weak performers included SCI Systems, Inc., a contract
manufacturer of personal computers, and Sealed Air Corporation, which
manufactures and sells specialty packaging products. In the technology sector,
Transcrypt International, Inc., (a manufacturer of information security products
which prevent unauthorized access to sensitive data), lost over three-quarters
of its value because of alleged improper accounting practices.
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SERIES J (EMERGING GROWTH SERIES)
August 15, 1998
NO MAJOR CHANGES PLANNED
Looking forward, we expect to keep our sector weightings close to their current
levels for the next few months. Midcap and small-cap stocks continue to offer
very good risk/reward potential since their prices in general have not
experienced the outsized runups seen in the large capitalization issues. Studies
have shown that historically when the valuation spread between large-cap and
smaller-cap issues is as wide as it is now, the smaller issues have about a 75%
chance of outperforming over the following six months to one year.
James P. Schier
Portfolio Manager
TOP 5 INDUSTRIES**
SERIES J - EMERGING GROWTH SERIES
Computer Software/Services......................... 13.0%
Pharmaceuticals.................................... 8.7%
Communication Equipment............................ 6.0%
Medical Products & Supplies........................ 5.3%
Foods.............................................. 4.6%
** At June 30, 1998
AVERAGE ANNUAL TOTAL RETURN
AS OF JUNE 30, 1998(1)
1 Year 5 Years Since
Inception
(10-1-92)
Series J 23.19% 13.79% 17.09%
(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 K (GLOBAL AGGRESSIVE BOND SERIES)
August 15, 1998
[LOGO] SUBADVISORS, MFR ADVISORS, INC., AND LEXINGTON MANAGEMENT
CORPORATION
PORTFOLIO MANAGERS, MARIA FIORINI RAMIREZ AND DENIS JAMISON
[ A PHOTO ]
Maria Ramirez
Portfolio Manager
TO OUR CONTRACTHOLDERS:
In general the first six months of 1998 produced mediocre returns for global
bond funds. The Global Aggressive Bond Series returned 3.48%, comparing
favorably with its Lipper peer group average of 2.31%.(1) However, the fund
underperformed the benchmark Lehman Global Bond Index, which returned 3.54% over
the period.
The difference in the relative performance of the Series and the peer group
versus the index is telling. Both the Series and the majority of portfolios in
the peer group have substantially more invested in emerging market debt than the
index. With financial turmoil continuing in Asia and spreading to Russia, most
emerging market debt (even that of fundamentally sound countries) performed
poorly on a relative basis.
INTEREST RATES AROUND THE WORLD
Interest rates in developed countries continued their downward path, basically
declining a quarter to half a percent in ten-year maturities. Ten year rates are
now near historic lows in many developed countries and do not appear to have a
lot of room to move down further from current levels. Some examples of ten year
government bond levels at June 30, 1998 were:
United States 5.45%
Germany 4.78%
United Kingdom 5.86%
Japan 1.62%
Strong economic growth in many developed countries combined with declining
levels of unemployed workers, especially in the bellwether U.S., is enough to
keep many bond market participants nervous. However, the prevailing worldwide
low level of inflation remains a constant and allays much of the fear of the
need for higher interest rates.
EVENTS OF THE PAST SIX MONTHS
Looking back at our forecasts for the first half of 1998, we were correct on two
of three calls. First, we predicted that the U.S. dollar's rise against
non-Asian currencies was nearing an end. In fact, the dollar was basically
unchanged against continental European currencies. Second, we expected inflation
to continue at low levels due to the Asian crisis. This also proved correct and
is evidenced by the drop in many commodity prices during the six months.
Unfortunately, our third prediction has not yet happened except on a limited
basis: we thought that the markets would begin to differentiate "good" emerging
market countries and companies from the "bad" ones.
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<PAGE> 15
SERIES K (GLOBAL AGGRESSIVE BOND SERIES)
August 15, 1998
COUNTRY FAVORITES FOR THE MONTHS AHEAD
We believe that the best value in global bonds remains in fundamentally sound
emerging market countries and companies. Our favorite countries at this time are
Poland, Greece, and Hungary. While we are somewhat disappointed with our first
half performance, we believe that as emerging markets start to settle down our
performance for the full year will be rewarding.
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.
TOP 5 COUNTRIES*
SERIES K - GLOBAL AGRESSIVE BOND SERIES
United States...................................... 24.6%
Denmark............................................ 11.5%
Greece............................................. 6.9%
Argentina.......................................... 6.6%
Poland............................................. 6.5%
* At June 30, 1998
AVERAGE ANNUAL TOTAL RETURN
AS OF JUNE 30, 1998(1)
1 Year Since Inception
(6-1-95)
Series K -1.2% 9.80%
(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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<PAGE> 16
SERIES M (SPECIALIZED ASSET ALLOCATION SERIES)
August 15, 1998
[LOGO] MERIDIAN MANAGED BY SECURITY MANAGEMENT COMPANY
INVESTMENT SUBADVISOR, MERIDIAN INVESTMENT MANAGEMENT CORPORATION
MANAGEMENT
[ A PHOTO ] [ A PHOTO ]
Patrick S. Boyle Steven M. Bowser
Portfolio Manager Portfolio Manager
TO OUR CONTRACTHOLDERS:
In the first half of 1998, the Specialized Asset Allocation Series reaped the
benefits of international investing. Year to date the portfolio has appreciated
10.97%, ahead of its Lipper peer group average return of 9.24%.(1)
EUROPEAN MARKETS SET THE PACE
European equity markets have led the global securities rally. Equities in
Germany, Italy, and Belgium have far outpaced the returns of the U.S. stock
market. For the first six months of 1998 these three European markets were all
up in excess of 30%. Including Denmark, European markets have comprised
approximately 25% of the portfolio. Italian equities, which have been a part of
the allocation since May 1996, were sold during the second quarter just prior to
a market correction. Profit taking in these stocks, which doubled in value since
their initial purchase, was dictated by their lofty valuations.
Currency markets have been more neutral so far in 1998 than in the previous few
years. This has been a positive for the foreign equity holdings in the
portfolio, which were adversely affected by the strong dollar in 1996 and 1997.
U.S. STOCK APPRECIATION LED BY LARGE COMPANIES
For much of the last three and a half years, the U.S. market's advance has been
led by a narrow group of large capitalization stocks as global investors sought
the safety of highly liquid investments. As a result many of these large stocks
now appear very expensive. Microsoft Corporation and Coca-Cola Company, with
market capitalizations in excess of $200 billion, have price/earnings ratios
above fifty. We find their recent outperformance temporary and believe value,
and not liquidity, will drive investment performance in the long run. In times
of market volatility we advocate asset allocation as the preferred alternative
to buying expensive, liquid stocks.
SECTOR EMPHASIS
The Specialized Asset Allocation Series has emphasized three domestic sectors
this year: technology, leisure, and health care. Technology stocks, leaders of
the markets in the first quarter, were poor performers in the second quarter as
fears of the Asian impact on U.S. technology company earnings hurt their share
prices. The sell-off in these stocks, however, has once again created a very
attractive buying opportunity.
According to our valuation measures, many of the industries we own within the
technology sector are selling at twenty to thirty percent below their fair
value. We expect these stocks to rebound and to contribute positively to
performance in the remainder of 1998.
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15
<PAGE> 17
SERIES M (SPECIALIZED ASSET ALLOCATION SERIES)
August 15, 1998
A second area of emphasis in the domestic market has been the leisure sector.
Entertainment stocks, including Time Warner, Inc. and Viacom, Inc., have been
market leaders recently. Time Warner has been helped by the market's resurrected
belief in cable related shares. Viacom, out of favor for much of the recent bull
market, has posted a well documented turnaround, nearly doubling thus far in
1998. Restaurant stocks, the largest holding in the leisure sector, have
benefited from a rebound at McDonald's Corporation and improving macroeconomic
trends within the industry. In the health care sector we favor long term care
stocks, which generally have excellent valuations and are participating in the
market's advance.
CAUTIOUS OPTIMISM
Despite the extended global securities rally, we believe investment
opportunities still exist and we remain cautiously optimistic for the remainder
of 1998. With the bond market rally in the second quarter, lower interest rates
have improved the potential for both domestic and foreign stock markets. Other
asset categories, including U.S. bonds, provide additional return potential as
well as the benefit of diversification.
Patrick S. Boyle
Portfolio Manager--Equity component
and Sector Allocation
Steven M. Bowser
Portfolio Manager--Fixed income portion
MERIDIAN TARGET ALLOCATION*
SERIES M - SPECIALIZED ASSET ALLOCATION SERIES
U.S. Equities...................................... 31.0%
International Equities............................. 34.0%
U.S. Bonds......................................... 20.0%
International Bonds................................ 0.0%
Gold............................................... 4.0%
Real Estate........................................ 5.0%
Cash............................................... 6.0%
* At June 30, 1998
AVERAGE ANNUAL TOTAL RETURN
AS OF JUNE 30, 1998(1)
1 Year Since Inception
(6-1-95)
Series M 9.70% 12.59%
(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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16
<PAGE> 18
SERIES N (MANAGED ASSET ALLOCATION SERIES)
August 15, 1998
T. ROWE PRICE [LOGO] SUBADVISOR, T. ROWE PRICE ASSOCIATES, INC.
Invest With Confidence PORTFOLIO MANAGER, NED NOTZON
[ A PHOTO ]
Edmund M. Notzon
Portfolio Manager
TO OUR CONTRACTHOLDERS:
The Managed Asset Allocation Series had an excellent first half of 1998,
increasing 11.25% in value and outperforming its peer group average of 9.61%.(1)
Because of the defensive nature of the portfolio it lagged its benchmark, which
is made up of 60% S&P 500 Stock Index and 40% Lehman Brothers Government/
Corporate Bond Index and returned 12.30% over the period.
SOLID GLOBAL MARKET RETURNS
After enjoying strong returns in the first three months of 1998, global markets
faltered a bit in the second quarter but still managed to end the first half
with solid returns. The domestic market soared in the first quarter and
international markets began to rebound, but again the economic crisis in Asia
spoiled the party. International markets suffered and domestic stocks stalled
due to lower demand for American products. Still, the 17.7% gain of large-cap
stocks in the first half, as measured by the S&P 500 Stock Index, was nothing
short of blistering. International stocks as a group rose 15.92% in the half, as
measured by the MSCI World Index in U.S. dollar terms.
PORTFOLIO STRATEGY
The sector exposures of the fund have changed slightly from year end. We
maintained our defensive posture by underweighting stocks. The equity market is
at the higher end of several valuation measures, and we expected the stock
market to moderate and earnings growth to slow. We also expected the
international exposure to add value to the fund, since many foreign securities
are undervalued. We invested about 2% of the cash equivalents in the bond
component and another 1% in the stock component. At the end of June, the
portfolio's allocation was about 4% in cash equivalents, 40% in bonds, and 56%
in stocks.
OUTLOOK FOR THE COMING MONTHS
The economy seems to be slowing a bit but remains healthy. The Federal Reserve
is likely to keep rates unchanged, especially with the continuation of the Asian
crisis. This environment is very favorable for the bond market. The U.S. equity
market may stall a bit if the decrease in demand results in lower corporate
earnings. We continue to expect the U.S. stock market to deliver positive
returns, though not at the pace of the last few years.
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17
<PAGE> 19
SERIES N (MANAGED ASSET ALLOCATION SERIES)
August 15, 1998
Overseas, market returns have been highly volatile and region-specific. We still
believe, however, that foreign markets provide a good opportunity to find
undervalued securities. The diversified strategy available through the Managed
Asset Allocation Series should continue to deliver attractive returns over the
long term.
Edmund M. Notzon
Portfolio Manager
Investing in foreign countries may involve risks, such as currency fluctuations
and political instability, not associated with investing exclusively in the U.S.
TOP 5 EQUITY SECTORS*
SERIES N - MANAGED ASSET ALLOCATION SERIES
Financial.......................................... 9.1%
Consumer Staples................................... 7.5%
Technology......................................... 7.5%
Health Care........................................ 5.8%
Consumer Cyclicals................................. 4.9%
* At June 30, 1998
AVERAGE ANNUAL TOTAL RETURN
AS OF JUNE 30, 1998(1)
1 Year Since Inception
(6-1-95)
Series N 18.01% 16.35%
(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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18
<PAGE> 20
SERIES O (EQUITY INCOME SERIES)
August 15, 1998
T. ROWE PRICE [LOGO] SUBADVISOR, T. ROWE PRICE ASSOCIATES, INC.
Invest With Confidence PORTFOLIO MANAGER, BRIAN C. ROGERS
[ A PHOTO ]
Brian C. Rogers
Portfolio Manager
TO OUR CONTRACTHOLDERS:
The equity markets performed very well in the first half of 1998 as low
inflation, a benign interest rate environment, and generally healthy corporate
earnings provided fuel for the advance. As the first half progressed and signs
of a deceleration in economic growth became visible, the environment grew
increasingly challenging for value funds. The Equity Income Series rose 6.23%
over the six months, compared with the Lipper peer group average of 10.64% and
the S&P 500 Stock Index return of 17.71%.(1)
THE STRUGGLES OF EQUITY INCOME FUNDS
During the first half of the year, company size and the predictability of
earnings growth emerged as critical requirements of investment success.
Characteristics such as low stock valuations and above-average yield were viewed
as something to avoid rather than to seek. As the above figures reflect, the
Equity Income Series' results lagged the broad market because of its focus on
precisely the type of investment approach that has recently been out of favor.
Equity income funds in general struggled during the period, and we struggled
more than most for reasons explained below. Given the conservative nature of the
fund, it is difficult to keep up with the broad market in times of powerful
market advances.
PORTFOLIO STRATEGY
In light of the portfolio's first half performance, it helps to review exactly
how we invest and why. We follow a value approach, meaning that we invest in
companies that our analysis suggests are undervalued on the basis of earnings,
dividends, cash flow, asset value, or some combination of these measures. There
is a contrarian element to this approach in that many companies carrying these
measures of undervaluation are often out of favor for a variety of company- or
industry-related reasons. We invest in them in the belief that the market's
short-term sentiment is often too negative, and that investors will view our
companies more favorably in the future. Generally, this is a relatively
conservative style of equity investing with reasonable return potential and an
emphasis on risk control.
Without doubt we have been out of sync with the market even though we did
nothing differently in the last six months than we have been doing since the
inception of the fund. We made our investment decisions for the same reasons we
always have over the years. However, despite the consistency of our investment
approach, several factors combined to hurt results so far in 1998. First, the
fund had little exposure to the strong technology sector and too much exposure
to the weaker energy and utility sectors. We deliberately avoided many of the
fifty or so S&P 500 stocks that have accounted for so much of the broad market
advance, since many had very high price/earnings ratios and low or nonexistent
dividend yields. Some individual holdings impaired the first half return as
well, including Union Pacific Corporation, with its well-publicized problems,
and more cyclical stocks such as Dow Chemical Company and Norfolk Southern
Corporation, all of which were among our largest positions.
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19
<PAGE> 21
SERIES O (EQUITY INCOME SERIES)
August 15, 1998
SUMMARY AND OUTLOOK
In short, some unfortunate short-term sector decisions, a handful of laggards
among our major stocks, and our avoidance of many large-capitalization growth
companies that do not meet our investment criteria restrained results during the
first six months. Since our focus has always been on the long term, we remain
confident that our investment approach will continue to reward shareholders over
time.
At some point stock market returns should begin to moderate from their
unsustainable levels. Investor expectations are currently very high, signs of
speculative activity are rising, and investors appear more focused on return
than on risk. Nevertheless, despite lofty valuations and the volatile twists and
turns that are likely to occur along the way, we are confident that our
investment approach will continue to reward investors over time.
Brian C. Rogers
Portfolio Manager
TOP 5 EQUITY HOLDINGS*
SERIES O - EQUITY INCOME SERIES
Mellon Bank Corporation............................. 1.8%
American Home Products Corporation.................. 1.5%
Exxon Corporation................................... 1.4%
Alltel Corporation.................................. 1.4%
Amoco Corporation................................... 1.3%
* At June 30, 1998
AVERAGE ANNUAL TOTAL RETURN
AS OF JUNE 30, 1998(1)
1 Year Since Inception
(6-1-95)
Series O 19.14% 23.48%
(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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20
<PAGE> 22
SERIES P (HIGH YIELD SERIES)
August 15, 1998
[ A PHOTO ]
David Eshnaur
Portfolio Manager
TO OUR SHAREHOLDERS:
High yield bonds were the best performing sector of the U.S. fixed income
markets in the first half of 1998. The strong upward movement relative to other
sectors was largely a result of an inflow of $11.5 billion in new cash. This is
27% more than in the same period last year, which was a record year. The high
yield market has now topped the $400 billion level, 33% above the 1997 year end
total.
PORTFOLIO PERFORMANCE
The High Yield Series performed in line with its peers, returning 4.57% over the
six months versus the Lipper peer group average of 4.58%.(1) The benchmark
Lehman Brothers High Yield Index rose 4.50% in the same period. We maintain an
emphasis on higher quality BB and upper B rated issues in our portfolio. In
periods of declining interest rates lower-quality issues often outperform, but
when rates rise the higher-rated bonds are expected to hold their value better.
POSITIVE CONTRIBUTORS TO TOTAL RETURN
Our overweighting in sectors which performed well worked in our favor. In the
capital goods sector our Plastic Containers, Inc., bonds rose in price when the
company tendered for them as part of their overall refinancing process. Knoll,
Inc., a manufacturer of office furniture, saw its bond prices climb as the
company benefited from a strong business environment.
The cable industry also fared well in the first half. We hold bonds issued by
Cablevision Systems, Comcast Corporation, Adelphia Communications Corporation,
and Diamond Cable U.S. in this sector. These companies, many of which have heavy
borrowings, gain when interest rates fall. Mergers and acquisitions such as the
AT&T/Telecommunications, Inc. union also drive up the sector as a whole.
AVERAGE ANNUAL TOTAL RETURN
AS OF JUNE 30, 1998(1)
1 Year Since Inception
(8-5-96)
Series P 11.64% 13.04%
(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. Fee waivers reduced expenses of the Series
and in the absence of such waivers, the performance quoted would be reduced.
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.
WHAT WE DIDN'T OWN HELPED, TOO
The High Yield Series was helped overall by having only small positions in some
sectors. Energy-related securities generally underperformed as oil prices
continued to fall. Some telecommunications bonds lost value, along with their
corresponding stock issues, as a result of the weak Asian economies. Many
chemicals declined as well, in sympathy with the closely-related energy sector.
THE HIGH YIELD MARKET OUTLOOK
We believe that the high yield market will continue to be volatile, since it
reacts to swings in both the bond and stock markets. Adding to the wide
fluctuations in the high yield arena as a whole is the volatility in emerging
markets-related issues, as world economies suffer the effects of the Asian
crisis. Fortunately, our portfolio has no exposure to emerging markets at this
time.
We plan to maintain our emphasis on the higher-quality issues. We note that
defaults on high yield issues moved up to 0.85% of total market value in the
first half, compared with 0.80% at the end of 1997. We believe the risk that
this implies justifies our somewhat more conservative approach to high yield
investing.
David Eshnaur
Portfolio Manager
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21
<PAGE> 23
SERIES S (SOCIAL AWARENESS SERIES)
August 15, 1998
[ A PHOTO ]
Cindy L. Shields
Portfolio Manager
TO OUR CONTRACTHOLDERS:
The Social Awareness Series returned 15.79% in the first half of 1998, strongly
outperforming its Lipper peer group average of 10.43%.(1) Large capitalization
stocks dominated performance in the period, and with its large-cap orientation
the benchmark Domini Social 400 Index rose an even greater 18.93%.
ADDING MID-CAP ISSUES TO THE PORTFOLIO
Because the large-cap sector of the stock market has outperformed for many
months, we believe there are better values to be found in the mid-cap arena. In
our view, the medium sized companies have potential for greater appreciation and
accordingly we have been purchasing some midcap companies in recent months.
Although they have lagged the overall market to date, we expect them to return
to favor when investors realize that valuations in many large-cap companies have
reached unreasonably high levels. The portfolio still maintains an average
large-cap orientation, although less than that of the benchmark index. We note
that in the Domini Social 400 Index, Microsoft Corporation makes up nearly 5% of
the total and other large companies such as Coca-Cola Company, Merck & Conpany,
Inc., Intel Corporation, IBM, and Procter & Gamble Company are also large
positions.
CONTRIBUTORS TO TOTAL RETURN IN THE FIRST HALF
The strongest-performing sector in the portfolio in the first half of the year
was technology, with performance led by Microsoft Corporation and Cisco Systems,
Inc. Both of these companies returned over 60% for the period because of strong
earnings outlooks and excellent prospects for new product development. Our
holdings in Peoplesoft, Inc. and Tellabs, Inc., also did very well, each rising
over 30%.
The second-best sector was consumer staples. McDonald's Corporation led in this
area, climbing 45% on improving store sales growth (especially in overseas
operations) and after introducing a program to cut costs and simplify product
lines. Consumer staples sector performance was followed closely by health care.
Schering-Plough Corporation was the leader, rising 48% on promising new
products.
On the negative side, Corporate Express, a company which markets office goods
and furniture to corporations and organizations, lost 34% after announcing early
in the year that it expected profit growth to slow over the next two years.
Developer and marketer of prescription pharmaceutical products Dura
Pharmaceuticals, Inc. fell sharply in February when it announced that profits
would be well below expectations this year because of disappointing antibiotic
sales and higher costs.
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22
<PAGE> 24
SERIES S (SOCIAL AWARENESS SERIES)
August 15, 1998
A SOCIAL INVESTMENT NEWS UPDATE
As many socially-oriented investors are aware, last September the Securities and
Exchange Commission (SEC) proposed new rules which would have made it much more
difficult for shareholders to place resolutions on proxy ballots. A large
coalition of over 400 socially concerned businesses, investment companies,
religious organizations, and other groups united to protest these proposed
rules. We are pleased to report that the two top advisers on shareholder issues
appointed to make recommendations to the SEC on the proposals essentially sided
with the coalition and recommended reverting to the existing rules. It is widely
expected that the SEC will adopt these recommendations in the near future.
Cindy L. Shields
Portfolio Manager
TOP 5 EQUITY HOLDINGS*
SERIES S - SOCIAL AWARENESS SERIES
Microsoft Corporation............................... 3.6%
Coca-Cola Company................................... 3.1%
Merck & Company, Inc................................ 2.6%
International Business
Machines Corporation............................. 2.3%
Procter & Gamble Company............................ 2.2%
* At June 30, 1998
AVERAGE ANNUAL TOTAL RETURN
AS OF JUNE 30, 1998(1)
1 Year 5 Year Since Inception
(10-1-92)
Series S 27.94% 17.86% 15.72%
(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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23
<PAGE> 25
SERIES V (VALUE SERIES)
August 15, 1998
[ A PHOTO ]
James P. Schier
Portfolio Manager
TO OUR CONTRACTHOLDERS:
In the first half of 1998 the Value Series continued the pattern of strong
performance it has exhibited since its inception in May of last year. The total
return for the past six months was 14.09% compared with the Lipper peer group of
funds' average 12.26% return.(1) The benchmark S&P 500/Barra Value Index rose
12.13% over the same period.
STOCK SELECTION OUTSTANDING
The greatest factor contributing to strong performance was outstanding stock
selection in the technology sector. Two stocks in the software and services
areas of the sector, Antec Corporation and Computer Sciences Corporation, both
increased approximately 50% in value during the six-month period. Antec, which
provides equipment to the cable industry, rose on expectations that the business
of one of its major customers, Telecommunications, Inc. (TCI), would accelerate.
This perception was reinforced when AT&T announced a buyout of TCI. Computer
Sciences was also a takeover story, receiving a bid from Computer Associates
which it then successfully blocked. Its stock is now trading higher than the
proposed takeover price.
Several other sectors in the portfolio outperformed their parallel sectors in
the benchmark index. In health care, our position in Mylan Laboratories, Inc.,
rose about 45% on evidence of strong earnings for the generic drug manufacturer
and marketer. Within the transportation sector Monaco Coach Corporation, a
manufacturer of recreational vehicles and motor homes, climbed 66% on strong
earnings reports as well.
Also helping the portfolio outperform the benchmark index was positive stock
selection within the raw materials sector, a group which generally performed
poorly over the six months. Our positions in Cleveland-Cliffs, Inc., a producer
of iron ore in the U.S. and Canada, and in Engelhard Corporation, which provides
products and services to the mining industry, beat the sector trends by
increasing between 15% and 20% in value.
A FEW NEGATIVES
On the negative side, two stocks in the consumer cyclicals sector hurt
performance. Callaway Golf Company, a leading manufacturer of golf clubs,
dropped about 25% and hotel/casino operator Circus Circus Enterprises, Inc.,
lost nearly 17% after reporting disappointing earnings.
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<PAGE> 26
SERIES V (VALUE SERIES)
August 15, 1998
BETTER VALUES IN MEDIUM AND SMALL COMPANIES
Overall market performance so far this year has been dominated by the large-cap
companies. The S&P 500/Barra Value Index, as we mentioned earlier, rose 12.13%
while the S&P 500 Stock Index rose 17.71%. The value of highly liquid large-cap
growth names has been pushed to unprecedented levels. Medium- and small-cap
companies have lagged; we believe that they represent better values for purchase
now than their larger counterparts.
The markets continue to be worried about a possible economic slowdown, a concern
which we share. For this reason we plan to focus on companies which are less
economically sensitive as we move through the next few months.
James P. Schier
Portfolio Manager
TOP 5 EQUITY HOLDINGS*
SERIES V - VALUE SERIES
Mylan Laboratories, Inc............................. 3.3%
Comverse Technology, Inc............................ 3.1%
Hasbro, Inc......................................... 2.9%
Angelica Corporation................................ 2.7%
Pinkerton's, Inc.................................... 2.7%
* At June 30, 1998
AVERAGE ANNUAL TOTAL RETURN
AS OF JUNE 30, 1998(1)
1 Year Since Inception
(5-1-97)
Series V 34.47% 41.38%
(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. Fee waivers reduced expenses of the Series
and in the absence of such waivers, the performance quoted would be reduced.
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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25
<PAGE> 27
SERIES X (SMALL CAP SERIES)
August 15, 1998
[ A PHOTO ]
Ronald C. Ognar
Portfolio Manager
TO OUR CONTRACTHOLDERS:
The Small Cap Series returned 8.61% in the first half of 1998, outperforming its
Lipper peer group average of 7.06%.(1) The Standard and Poor's Midcap 400 Index
returned 8.01% over the six-month period, while our benchmark Russell 2000
Growth Index of small-cap growth stocks rose only 5.46%.
MARKET MOVEMENTS IN THE FIRST HALF
The year began with negative sentiment as the markets became pessimistic about
the effects of the Asian slowdown on the domestic economy. When the results of
fourth quarter earnings reports generally met expectations, buyers returned to
the market and propelled the major indexes to new highs. Worries about profit
margin squeezes abounded in an environment of tight labor markets and increased
price competition from Asian imports. However, these concerns were offset by
strong cash flows into equities and the absence of inflation at both the
producer and consumer levels.
The rally lasted until mid-April, when investors began to worry about the Fed
tightening and the Japanese recession. Investors shunned small- and mid-cap
stocks and fled to the relative safety and liquidity of the blue-chip "mega-cap"
stocks. Thus, the gap which began in 1995 between the performance of the
largest-cap stocks and the rest of the market widened further.
Returns during the period were also remarkable in their wide disparity across
the value-growth spectrum. Despite the already stretched valuations in the
market, money flows strongly favored growth stocks for their ability to sustain
earnings momentum in the face of a slowing economy. Higher market volatility was
also evident, with swings of 1% or more on two-thirds of the trading days.
PORTFOLIO PERFORMANCE FOR THE SIX MONTHS
The Small Cap Series outperformed the benchmark Russell 2000 Growth Index both
in the second quarter and for the first half of the year. The portfolio
benefited from an emphasis on commercial service stocks, which make up a large
portion of our capital equipment sector holdings. Specialty retailers gained on
strong consumer spending due to low inflation and increased real wages. Software
and data networking companies continued to advance as a result of the Internet
explosion and the consolidation of the telecommunications hardware and
networking industries. Food stocks also contributed to positive results. Poor
performance came from energy holdings due to depressed oil prices, and from
semiconductor and telecom service issues.
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26
<PAGE> 28
SERIES X (SMALL CAP SERIES)
August 15, 1998
Since January specialty retail holdings have been increased significantly to
capture growth in this strong consumer environment. We believe technology is
driving productivity enhancement and have increased holdings of software and
telecommunications equipment stocks. Financial stocks were trimmed as the market
digested the latest round of mega-mergers. Media stocks and underperforming real
estate holdings were also reduced.
OUR OUTLOOK FOR THE MARKET
Over the long term we believe the bull market is sustainable, although earnings
growth is decelerating. We continue to monitor the Asian situation for potential
negative impact on our holdings. The drive for expanded computer capabilities
and the Internet will likely cause technology and telecommunications companies
to dominate over the next few years. As the baby boom generation nears
retirement, we expect holdings in healthcare to outperform. We remain committed
to finding the best capably managed long term small-cap growth companies selling
at reasonable valuations.
Ronald C. Ognar
Portfolio Manager
TOP 5 EQUITY HOLDINGS*
SERIES X - SMALL CAP SERIES
Romac International, Inc............................ 2.8%
American Italian Pasta Company (Cl.A)............... 2.7%
Lamar Advertising Company........................... 2.6%
Metris Companies, Inc............................... 2.5%
International Telecommunication Data
Systems, Inc..................................... 2.3%
* At June 30, 1998
AVERAGE ANNUAL TOTAL RETURN
AS OF JUNE 30, 1998(1)
Since Inception
(10-15-97)
Series X 4.05%*
(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. Fee waivers reduced expenses of the Series
and in the absence of such waivers, the performance quoted would be reduced.
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.
* The return has not been annualized.
- --------------------------------------------------------------------------------
27
<PAGE> 29
SCHEDULE OF INVESTMENTS
JUNE 30, 1998
(UNAUDITED)
SERIES A (GROWTH)
NUMBER MARKET
COMMON STOCKS OF SHARES VALUE
- ------------------------------------------------------------------
AUTOMOBILES - 1.0%
Chrysler Corporation.................... 200,000 $ 11,275,000
BANKS - MAJOR REGIONAL - 3.9%
BankAmerica Corporation................. 100,000 8,643,750
Bank of New York Company, Inc........... 200,000 12,137,500
Northern Trust Corporation.............. 200,000 15,250,000
Norwest Corporation..................... 240,000 8,970,000
------------
45,001,250
BANKS - MONEY CENTER - 1.6%
Chase Manhattan Corporation............. 240,000 18,120,000
BEVERAGES - SOFT DRINK - 1.4%
Coca-Cola Enterprises, Inc.............. 110,000 4,317,500
PepsiCo, Inc............................ 300,000 12,356,250
------------
16,673,750
BROADCAST MEDIA - 0.7%
Chancellor Media Corporation*........... 160,000 7,945,000
CHEMICALS - BASIC - 0.9%
Praxair, Inc............................ 225,000 10,532,813
CHEMICALS - DIVERSIFED - 0.9%
B.F. Goodrich Company................... 200,000 9,925,000
CHEMICALS - SPECIALTY - 0.8%
Imperial Chemical Industries PLC ADR.... 140,000 9,030,000
COMPUTER HARDWARE - 1.6%
Compaq Computer Corporation............. 90,000 2,553,750
International Business Machines
Corporation.......................... 100,000 11,481,250
Sun Microsystems, Inc.*................. 50,000 2,171,875
------------
16,206,875
COMPUTERS - NETWORKING - 1.2%
Cisco Systems, Inc.*.................... 150,000 13,809,375
COMPUTER SOFTWARE/SERVICES - 3.9%
BMC Software, Inc.*..................... 300,000 15,581,250
Computer Sciences Corporation*.......... 120,000 7,680,000
Microsoft Corporation*.................. 200,000 21,675,000
Wang Laboratories, Inc. Warrants........ 639 5,591
------------
44,941,841
ELECTRICAL EQUIPMENT - 3.3%
Emerson Electric Company................ 180,000 10,856,250
General Electric Company................ 200,000 18,200,000
Honeywell, Inc.......................... 100,000 8,356,250
------------
37,412,500
ENTERTAINMENT - 0.5%
Time Warner, Inc........................ 65,000 5,553,437
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
- ------------------------------------------------------------------
FINANCIAL - DIVERSE - 3.3%
American General Corporation............ 125,000 $ 8,898,438
Fannie Mae.............................. 240,000 14,580,000
Federal Home Loan Mortgage
Corporation.......................... 300,000 14,118,750
------------
37,597,188
FOODS - 3.1%
Bestfoods............................... 240,000 13,935,000
ConAgra, Inc............................ 360,000 11,407,500
Ralston-Ralston Purina Group............ 85,000 9,929,062
------------
35,271,562
HEALTH CARE - DIVERSE - 2.9%
American Home Products
Corporation.......................... 300,000 15,525,000
Bristol-Myers Squibb Company............ 160,000 18,390,000
------------
33,915,000
HEALTH CARE - MANAGED CARE - 0.3%
MedPartners, Inc.*...................... 400,000 3,200,000
HOUSEHOLD FURNISHINGS &
APPLIANCES - 1.1%
Leggett & Platt, Inc.................... 520,000 13,000,000
HOUSEHOLD PRODUCTS - 4.7%
Colgate-Palmolive Company............... 150,000 13,200,000
Dial Corporation........................ 600,000 15,562,500
Fort James Corporation.................. 250,000 11,125,000
Procter & Gamble Company, The........... 150,000 13,659,375
------------
53,546,875
INSURANCE - LIFE/HEALTH - 1.6%
Equitable Companies, Inc................ 160,000 11,990,000
Unum Corporation........................ 115,000 6,382,500
------------
18,372,500
INSURANCE - MULTILINE - 3.6%
American International Group, Inc....... 112,500 16,425,000
Hartford Financial Services Group, Inc.. 100,000 11,437,500
Lincoln National Corporation............ 150,000 13,706,250
------------
41,568,750
INSURANCE - PROPERTY - 1.3%
Allstate Corporation.................... 160,000 14,650,000
LEISURE TIME PRODUCTS - 1.0%
Hasbro, Inc............................. 300,000 11,793,750
LODGING - HOTELS - 1.5%
Carnival Corporation.................... 440,000 17,435,000
MACHINERY - DIVERSE - 0.2%
Cooper Industries, Inc.................. 40,000 2,197,500
MANUFACTURING - DIVERSIFIED - 7.2%
AlliedSignal, Inc....................... 320,000 14,200,000
Crane Company........................... 225,000 10,926,563
Textron, Inc............................ 165,000 11,828,437
- --------------------------------------------------------------------------------
28 See accompanying notes.
<PAGE> 30
SCHEDULE OF INVESTMENTS
JUNE 30, 1998
(UNAUDITED)
SERIES A (GROWTH) (CONTINUED)
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
- ----------------------------------------------------------------------
MANUFACTURING - DIVERSIFIED (CONTINUED)
Tyco International, Ltd...................... 340,000 $21,420,000
U.S. Industries, Inc......................... 500,000 12,375,000
United Technologies Corporation.............. 130,000 12,025,000
-------------
82,775,000
MEDICAL PRODUCTS & SUPPLIES - 4.8%
Baxter International, Inc.................... 200,000 10,762,500
Becton, Dickinson & Company.................. 200,000 15,525,000
Boston Scientific Corporation*............... 100,000 7,162,500
Medtronic, Inc............................... 200,000 12,750,000
Stryker Corporation.......................... 250,000 9,593,750
-------------
55,793,750
NATURAL GAS - 1.0%
Coastal Corporation.......................... 170,000 11,868,125
OIL & GAS - DRILLING & EQUIPMENT - 0.4%
Schlumberger, Ltd............................ 75,000 5,123,438
OIL & GAS - EXPLORATION & PRODUCTION - 1.8%
Burlington Resources, Inc.................... 300,000 12,918,750
Enron Corporation............................ 70,000 3,784,375
YPF Sociedad Anonima ADR..................... 150,000 4,509,375
-------------
21,212,500
OIL & GAS - REFINING & MARKETING - 0.8%
Williams Companies, Inc...................... 260,000 8,775,000
OIL - INTERNATIONAL - 4.2%
Chevron Corporation.......................... 90,000 7,475,625
Mobil Corporation............................ 160,000 12,260,000
Royal Dutch Petroleum Company................ 200,000 10,962,500
Texaco, Inc.................................. 200,000 11,937,500
USX-Marathon Group........................... 175,000 6,004,687
-------------
48,640,312
PAPER & FOREST PRODUCTS - 0.6%
Bowater, Inc................................. 140,000 6,615,000
PERSONAL CARE - 1.0%
Gillette Company............................. 200,000 11,337,500
PHARMACEUTICALS - 5.2%
Elan Corporation PLC ADR*.................... 200,000 12,862,500
Forest Laboratories, Inc.*................... 180,000 6,435,000
Schering-Plough Corporation.................. 205,000 18,783,125
SmithKline Beecham PLC ADR................... 200,000 12,100,000
Watson Pharmaceuticals, Inc.*................ 200,000 9,337,500
-------------
59,518,125
PHOTOGRAPHY/IMAGING - 1.1%
Xerox Corporation............................ 125,000 12,703,125
PUBLISHING - 1.0%
McGraw-Hill Companies, Inc................... 140,000 11,418,750
PUBLISHING - NEWSPAPER - 2.1%
Gannett Company, Inc......................... 180,000 12,791,250
Tribune Company.............................. 170,000 11,698,125
-------------
24,489,375
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
- ----------------------------------------------------------------------
RAILROADS - 0.7%
Canadian Pacific, Ltd........................ 300,000 $ 8,512,500
RETAIL - APPAREL - 1.1%
TJX Companies, Inc........................... 540,000 13,027,500
RETAIL - BUILDING SUPPLIES - 1.0%
Sherwin-Williams Company..................... 350,000 11,593,750
RETAIL DEPARTMENT STORES - 2.3%
Federated Department Stores, Inc.*........... 200,000 10,762,500
Proffitt's, Inc.*............................ 400,000 16,150,000
-------------
26,912,500
RETAIL - DRUG STORES - 2.4%
Rite Aid Corporation......................... 400,000 15,025,000
Walgreen Company............................. 320,000 13,220,000
-------------
28,245,000
RETAIL - FOOD CHAINS - 1.9%
Kroger Company*.............................. 200,000 8,575,000
Safeway, Inc.*............................... 340,000 13,833,750
-------------
22,408,750
RETAIL - GENERAL MERCHANDISE - 0.7%
Dayton Hudson Corporation.................... 160,000 7,760,000
RETAIL - SPECIALTY - 2.4%
Payless ShoeSource, Inc.*.................... 225,000 16,579,688
Staples, Inc.*............................... 400,000 11,575,000
-------------
28,154,688
SERVICES - ADVERTISING/MARKETING - 1.6%
Omnicom Group, Inc........................... 380,000 18,952,500
SERVICES - COMMERCIAL & CONSUMER - 0.9%
Viad Corporation............................. 380,000 10,545,000
TELECOMMUNICATIONS - LONG DISTANCE - 2.8%
AT&T Corporation............................. 60,000 3,427,500
GTE Corporation.............................. 80,000 4,450,000
Sprint Corporation........................... 175,000 12,337,500
WorldCom, Inc.*.............................. 250,000 12,109,375
-------------
32,324,375
WASTE MANAGEMENT - 0.7%
U.S.A. Waste Service, Inc.*.................. 160,000 7,900,000
-------------
Total common stocks - 96.0%........................ 1,105,581,529
Cash and other assets,
less liabilities - 4.0%............................ 45,508,458
-------------
Total net assets - 100.0%.......................... $1,151,089,987
=============
- --------------------------------------------------------------------------------
29 See accompanying notes.
<PAGE> 31
SCHEDULE OF INVESTMENTS
JUNE 30, 1998
(UNAUDITED)
SERIES B (GROWTH-INCOME)
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT OR
NUMBER MARKET
PREFERRED STOCKS OF SHARES VALUE
- --------------------------------------------------------------------------------
<S> <C> <C>
MEDIA - NONCABLE - 0.2%
Primedia, Inc. ............................. 30,000 $ 3,165,000
CORPORATE BONDS
AEROSPACE - 0.2%
Sequa Corporation, 9.375% - 2003 ........... $ 3,000,000 3,123,750
BANKING - 0.1%
Homeside, Inc., 11.25% - 2003 .............. $ 1,335,000 1,581,975
BROKERAGE - 0.3%
S I Financing, Inc., 9.50% - 2026(1)........ 134,000 3,609,625
CHEMICALS - 0.1%
Envirodyne Industries, Inc.,
12.00% - 2000 ........................... $ 600,000 637,500
FINANCIAL COMPANIES - 0.1%
Dollar Financial Group, Inc.,
10.875% - 2006 ......................... $ 1,550,000 1,670,125
FOODS - 0.4%
Carrols Corporation, 11.50% - 2003 ......... $ 3,050,000 3,198,688
Foodmaker Corporation,
9.75% - 2003 ............................ $ 2,000,000 2,105,000
-----------
5,303,688
MEDIA - CABLE - 0.3%
CF Cable TV, Inc., 11.625% - 2005 .......... $ 1,390,000 1,577,650
Rogers Cablesystems Ltd.,
9.625% - 2002 ........................... $ 1,500,000 1,601,250
-----------
3,178,900
MEDIA - NONCABLE - 0.2%
Golden Books Publishing, Inc.,
7.65% - 2002 ............................ $ 3,500,000 2,730,000
METALS - 0.1%
Wheeling-Pittsburgh Corporation
9.25% - 2007 ............................ $ 1,000,000 1,025,000
TOBACCO - 0.0%
Standard Commercial Tobacco,
8.875% - 2005 ........................... $ 350,000 350,000
-----------
Total corporate bonds - 1.8% .................................... 23,210,563
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
COMMON STOCKS OF SHARES VALUE
- --------------------------------------------------------------------------------
<S> <C> <C>
AGRICULTURAL PRODUCTS - 0.9%
Archer-Daniels-Midland Company ............. 600,000 $11,625,000
ALUMINUM - 0.8%
Aluminum Company of America ................ 160,000 10,550,000
AUTO PARTS & EQUIPMENT - 1.1%
Genuine Parts Company ...................... 250,000 8,640,625
TRW, Inc. .................................. 94,000 5,134,750
-----------
13,775,375
AUTOMOBILES - 0.9%
General Motors Corporation ................. 163,000 10,890,438
BANKS - MAJOR REGIONAL - 2.4%
Banc One Corporation ....................... 143,000 7,981,187
J.P. Morgan & Company, Inc. ................ 125,000 14,640,625
Wells Fargo & Company ...................... 20,000 7,380,000
-----------
30,001,812
BEVERAGES - ALCOHOLIC - 0.9%
Anheuser-Busch Companies, Inc. ............. 250,000 11,796,875
BEVERAGES - SOFT DRINK - 1.5%
PepsiCo, Inc. .............................. 450,000 18,534,375
CHEMICALS - BASIC - 0.9%
Praxair, Inc. .............................. 240,000 11,235,000
COMMUNICATION EQUIPMENT - 1.0%
Motorola, Inc. ............................. 250,000 13,140,625
COMPUTER HARDWARE - 0.5%
Sequent Computer Systems, Inc.* ............ 500,000 6,031,250
COMPUTER SOFTWARE/SERVICES - 0.4%
Microsoft Corporation* ..................... 50,000 5,418,750
CONTAINERS & PACKAGING - 1.2%
Crown Cork & Seal Company, Inc. ............ 225,000 10,687,500
Union Camp Corporation ..................... 100,000 4,962,500
-----------
15,650,000
ELECTRIC COMPANIES - 7.0%
Allegheny Energy, Inc. ..................... 171,000 5,151,375
American Electric Power
Company, Inc. ........................... 250,000 11,343,750
Baltimore Gas & Electric Company ........... 250,000 7,765,625
Carolina Power & Light Company ............. 68,000 2,949,500
Dominion Resources, Inc. ................... 64,500 2,628,375
GPU, Inc. .................................. 64,100 2,423,781
Kansas City Power & Light Company .......... 223,000 6,467,000
LG&E Energy Corporation .................... 100,000 2,706,250
MidAmerican Energy Holdings
Company ................................. 131,600 2,845,850
Northern States Power Company .............. 92,200 2,639,225
Peco Energy Company ........................ 340,000 9,923,750
- --------------------------------------------------------------------------------
</TABLE>
30 See accompanying notes.
<PAGE> 32
SCHEDULE OF INVESTMENTS
JUNE 30, 1998
(UNAUDITED)
SERIES B (GROWTH-INCOME)(CONTINUED)
<TABLE>
<CAPTION>
NUMBER MARKET
COMMON STOCKS(CONTINUED) OF SHARES VALUE
- --------------------------------------------------------------------------------
<S> <C> <C>
ELECTRIC COMPANIES (CONTINUED)
Potomac Electric Power Company ............... 250,000 $ 6,265,625
Public Service Enterprise Group, Inc. ........ 170,000 5,854,375
Southern Company ............................. 310,000 8,583,125
Texas Utilities Company ...................... 275,000 11,446,875
-----------
88,994,481
ELECTRICAL EQUIPMENT - 2.8%
AMP, Inc. .................................... 250,000 8,593,750
Emerson Electric Company ..................... 220,000 13,268,750
General Electric Company ..................... 70,000 6,370,000
Hubbell, Inc. (Cl.B) ......................... 180,000 7,492,500
-----------
35,725,000
ELECTRONICS - DEFENSE - 1.0%
Raytheon Company (Cl.A) ...................... 9,565 551,183
Raytheon Company (Cl.B) ...................... 200,000 11,825,000
-----------
12,376,183
ELECTRONICS - DISTRIBUTION - 0.7%
W.W. Grainger, Inc. .......................... 188,800 9,404,600
ELECTRONICS - INSTRUMENTATION - 0.5%
Sawtek, Inc.* ................................ 400,000 5,900,000
ELECTRONICS - SEMICONDUCTORS - 0.4%
Intel Corporation ............................ 70,000 5,188,750
FINANCIAL - DIVERSE - 0.5%
Federal Home Loan Mortgage
Corporation ............................... 100,000 6,075,000
FOODS - 3.6%
Bestfoods, Inc. .............................. 100,000 5,806,250
Chiquita Brands International, Inc. .......... 500,000 7,031,250
ConAgra, Inc. ................................ 400,000 12,675,000
General Mills, Inc. .......................... 160,000 10,940,000
Tyson Foods, Inc. (Cl.A) ..................... 400,000 8,675,000
-----------
45,127,500
FOOTWEAR - 0.2%
Nike, Inc. (Cl.B) ............................ 50,000 2,434,375
GAMING & LOTTERY - 0.7%
Circus Circus Enterprises, Inc.* ............. 500,000 8,468,750
GOLD & PRECIOUS METALS MINING - 1.5%
Barrick Gold Corporation ..................... 600,000 11,512,500
Newmont Mining Corporation ................... 308,600 7,290,675
-----------
18,803,175
HEALTH CARE - LONG TERM CARE - 0.2%
Integrated Health Services, Inc. ............. 67,800 2,542,500
HEALTH CARE - MANAGED CARE - 1.9%
Humana, Inc.* ................................ 150,000 4,678,125
Oxford Health Plans, Inc.* ................... 500,000 7,656,250
United Healthcare Corporation ................ 190,000 12,065,000
-----------
24,399,375
- --------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
COMMON STOCKS(CONTINUED) OF SHARES VALUE
- --------------------------------------------------------------------------------
<S> <C> <C>
HOUSEHOLD FURNISHINGS & APPLIANCES - 0.9%
Sunbeam Corporation .......................... 500,000 $ 5,187,500
Whirlpool Corporation ........................ 88,000 6,050,000
-----------
11,237,500
HOUSEHOLD PRODUCTS - 0.8%
Kimberly-Clark Corporation ................... 230,000 10,551,250
INSURANCE - LIFE/HEALTH - 0.6%
Aetna, Inc. .................................. 100,000 7,612,500
INSURANCE - PROPERTY - 2.7%
Chubb Corporation ............................ 125,000 10,046,875
Safeco Corporation ........................... 250,000 11,359,375
St. Paul Companies, Inc. ..................... 310,000 13,039,375
-----------
34,445,625
LEISURE TIME PRODUCTS - 0.7%
Callaway Golf Company ........................ 450,000 8,859,375
MACHINERY - DIVERSE - 0.4%
Cincinnati Milacron, Inc. .................... 200,000 4,862,500
MANUFACTURING - DIVERSIFIED - 1.7%
AlliedSignal, Inc. ........................... 150,000 6,656,250
Tenneco, Inc. ................................ 400,000 15,225,000
-----------
21,881,250
MEDICAL PRODUCTS & SUPPLIES - 2.6%
Baxter International, Inc. ................... 300,000 16,143,750
Dentsply International, Inc. ................. 100,000 2,500,000
St. Jude Medical, Inc.* ...................... 300,000 11,043,750
Stryker Corporation .......................... 70,000 2,686,250
-----------
32,373,750
NATURAL GAS - 2.7%
Consolidated Natural Gas Company ............. 200,000 11,775,000
Equitable Resources, Inc. .................... 300,000 9,150,000
People's Energy Corporation .................. 350,000 13,518,750
-----------
34,443,750
OFFICE EQUIPMENT & SUPPLIES - 0.6%
Corporate Express, Inc.* ..................... 560,000 7,105,000
OIL - DOMESTIC - 0.6%
Unocal Corporation ........................... 200,000 7,150,000
OIL - INTERNATIONAL - 6.5%
Amoco Corporation ............................ 430,000 17,898,750
Chevron Corporation .......................... 180,000 14,951,250
Mobil Corporation ............................ 230,000 17,623,750
Royal Dutch Petroleum Company ................ 200,000 10,962,500
Texaco, Inc. ................................. 350,000 20,890,625
-----------
82,326,875
OIL & GAS DRILLING & EQUIPMENT - 1.1%
Halliburton Company .......................... 160,000 7,130,000
Schlumberger, Ltd. ........................... 100,000 6,831,250
-----------
13,961,250
- --------------------------------------------------------------------------------
</TABLE>
31 See accompanying notes.
<PAGE> 33
SCHEDULE OF INVESTMENTS
JUNE 30, 1998
(UNAUDITED)
SERIES B (GROWTH-INCOME)(CONTINUED)
<TABLE>
<CAPTION>
NUMBER MARKET
COMMON STOCKS(CONTINUED) OF SHARES VALUE
- --------------------------------------------------------------------------------
<S> <C> <C>
OIL & GAS EXPLORATION & PRODUCTION - 4.0%
Burlington Resources, Inc. ................... 150,000 $ 6,459,375
Enron Oil & Gas Company ...................... 500,000 10,125,000
Forcenergy, Inc. ............................. 250,000 4,453,125
Kerr-McGee Corporation ....................... 175,000 10,128,125
MCN Energy Group, Inc. ....................... 300,000 7,462,500
Phillips Petroleum Company ................... 250,000 12,046,875
-----------
50,675,000
OIL & GAS REFINING & MARKETING - 0.8%
Ashland, Inc. ................................ 200,000 10,325,000
PAPER & FOREST PRODUCTS - 2.9%
Champion International Corporation ........... 150,000 7,378,125
International Paper Company .................. 325,000 13,975,000
Louisiana-Pacific Corporation ................ 500,000 9,125,000
Rayonier, Inc. ............................... 130,000 5,980,000
-----------
36,458,125
PHARMACEUTICALS - 1.3%
Mylan Laboratories, Inc. ..................... 100,000 3,006,250
Pharmacia & Upjohn, Inc. ..................... 100,000 4,612,500
Teva Pharmaceutical
Industries, Ltd., ADR ..................... 250,000 8,796,875
-----------
16,415,625
PHOTOGRAPHY / IMAGING - 0.9%
Eastman Kodak Company ........................ 150,000 10,959,375
PUBLISHING - 1.4%
Dow Jones & Company, Inc. .................... 200,000 11,150,000
McGraw-Hill Companies, Inc. .................. 80,000 6,525,000
-----------
17,675,000
RAILROADS - 2.3%
Burlington Northern Santa Fe
Corporation ............................... 90,000 8,836,875
Canadian Pacific, Ltd. ....................... 300,000 8,512,500
Norfolk Southern Corporation ................. 100,000 2,981,250
Union Pacific Corporation .................... 200,000 8,825,000
-----------
29,155,625
REAL ESTATE INVESTMENT TRUSTS - 3.4%
Camden Property Trust ........................ 200,000 5,950,000
Health And Retirement Property Trust.......... 300,000 5,643,750
Highwoods Properties, Inc. ................... 120,000 3,877,500
Hospitality Properties Trust ................. 300,000 9,637,500
Liberty Property Trust ....................... 310,000 7,924,375
Simon DeBartolo Group, Inc. .................. 137,800 4,478,500
United Dominion Realty Trust, Inc. ........... 400,000 5,550,000
-----------
43,061,625
RESTAURANTS - 2.0%
Landry's Seafood Restaurants, Inc.* .......... 375,000 6,785,156
McDonald's Corporation ....................... 135,000 9,315,000
Wendy's International, Inc. .................. 400,000 9,400,000
-----------
25,500,156
- --------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT OR
NUMBER MARKET
COMMON STOCKS(CONTINUED) OF SHARES VALUE
- --------------------------------------------------------------------------------
<S> <C> <C>
RETAIL - DEPARTMENT STORES - 1.0%
Dillard's Inc. ............................. 210,000 $ 8,701,875
Federated Department Stores, Inc.* ......... 70,000 3,766,875
--------------
12,468,750
RETAIL - FOOD CHAINS - 0.8%
Giant Food, Inc. (Cl.A) .................... 250,000 10,765,625
RETAIL SPECIALTY - 1.1%
Toys "R" Us, Inc.* ......................... 330,000 7,775,625
Venator Group, Inc.* ....................... 300,000 5,737,500
--------------
13,513,125
SERVICES - COMMERCIAL & CONSUMER - 0.8%
Angelica Corporation ....................... 80,000 1,680,000
Laidlaw, Inc. .............................. 650,000 7,921,875
--------------
9,601,875
SERVICES - DATA PROCESSING - 1.7%
Electronic Data Systems Corporation ........ 250,000 10,000,000
First Data Corporation ..................... 350,000 11,659,375
--------------
21,659,375
TELECOMMUNICATIONS - 5.2%
AT&T Corporation ........................... 200,000 11,425,000
ALLTEL Corporation ......................... 300,000 13,950,000
Bell Atlantic Corporation .................. 360,000 16,425,000
GTE Corporation ............................ 100,000 5,562,500
SBC Communications, Inc. ................... 470,000 18,800,000
--------------
66,162,500
TOBACCO - 1.9%
Philip Morris Corporation .................. 400,000 15,750,000
UST, Inc. .................................. 300,000 8,100,000
--------------
23,850,000
TRUCKING - 0.4%
Werner Enterprises, Inc. ................... 275,000 5,242,188
WASTE MANAGEMENT - 0.8%
Browning-Ferris Industries ................. 300,000 10,425,000
--------------
Total common stocks - 88.1% ................................ 1,114,813,783
--------------
COMMERCIAL PAPER
COMPUTER SYSTEMS - 0.1%
International Business Machines
Corporation, 5.525% - 7-13-98 ........... $ 1,300,000 1,298,407
ELECTRIC UTILITIES - 0.0%
Florida Power Corporation,
5.515% - 7-9-98 ......................... $ 300,000 299,447
--------------
Total commercial paper - 0.1% .............................. 1,597,854
--------------
Total investments - 90.2% .................................. 1,142,787,200
Cash and other assets,
less liabilities - 9.8% ................................. 124,030,958
--------------
Total net assets - 100.0% .................................. $1,266,818,158
==============
- --------------------------------------------------------------------------------
</TABLE>
32 See accompanying notes.
<PAGE> 34
SCHEDULE OF INVESTMENTS
JUNE 30, 1998
(UNAUDITED)
SERIES C (MONEY MARKET)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
COMMERCIAL PAPER AMOUNT VALUE
- --------------------------------------------------------------------------------
<S> <C> <C>
AEROSPACE/DEFENSE - 0.6%
Rockwell International Corporation,
5.50% - 7-31-98 ........................... $ 1,100,000 $ 1,094,958
BROKERAGE - 5.7%
Bear Stearns, Inc.,
5.50% - 9-10-98 ........................... 3,700,000 3,659,633
Merrill Lynch & Company, Inc., 7,000,000
5.51% - 9-30-98 ........................... 986,140
5.51% - 10-30-98 .......................... 2,954,736
5.52% - 10-30-98 .......................... 1,266,316
5.52% - 11-20-98 .......................... 1,663,382
-----------
10,530,207
BUSINESS SERVICES - 4.7%
General Electric Capital Corporation, 8,732,000
5.53% - 7-7-98 ............................ 532,509
5.53% - 7-22-98 ........................... 697,711
5.54% - 7-30-98 ........................... 2,289,735
5.50% - 8-18-98 ........................... 3,830,675
5.50% - 9-2-98 ............................ 336,726
5.51% - 9-18-98 ........................... 987,970
-----------
8,675,326
COMPUTER SYSTEMS - 4.7%
International Business Machines
Corporation, 8,741,000
5.49% - 7-13-98 ........................... 7,186,824
5.50% - 7-21-98 ........................... 1,536,291
-----------
8,723,115
ELECTRIC UTILITIES - 18.9%
Carolina Power & Light Company, 7,250,000
5.51% - 7-6-98 ............................ 1,998,420
5.49% - 7-24-98 ........................... 5,231,100
Duke Energy Corporation,
5.50% - 7-30-98 ........................... 1,300,000 1,294,240
Florida Power Corporation, 9,260,000
5.50% - 7-9-98 ............................ 6,651,860
5.50% - 7-17-98 ........................... 1,197,066
5.52% - 8-11-98 ........................... 1,391,199
Georgia Power Company,
5.52% - 7-20-98 ........................... 4,000,000 3,988,347
Idaho Power Company,
5.51% - 7-2-98 ............................ 1,085,000 1,084,834
New England Power Company, 3,680,000
5.53% - 7-10-98 ........................... 2,196,959
5.52% - 7-17-98 ........................... 1,476,369
Progress Capital Holdings, Inc., 8,509,000
5.52% - 7-7-98 ............................ 3,505,772
5.52% - 7-16-98 ........................... 1,795,849
5.54% - 7-16-98 ........................... 3,192,624
-----------
35,004,639
- --------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL MARKET
COMMERCIAL PAPER (CONTINUED) AMOUNT VALUE
- --------------------------------------------------------------------------------
<S> <C> <C>
ELECTRONICS - 6.0%
Avent, Inc., $7,645,000
5.50% - 7-8-98 .......................... $ 251,271
5.54% - 7-8-98 .......................... 393,013
5.53% - 7-23-98 ......................... 996,621
5.52% - 8-14-98 ......................... 4,767,263
5.53% - 8-21-98 ......................... 1,190,592
Emerson Electric Company,
5.50% - 7-29-98 ......................... 3,500,000 3,485,028
----------
11,083,788
HARDWARE & TOOLS - 9.5%
Sherwin-Williams Company (PP), 9,050,000
5.51% - 7-2-98 .......................... 349,946
5.51% - 7-6-98 .......................... 5,095,971
5.50% - 8-14-98 ......................... 3,575,448
Stanley Works, 8,505,000
5.50% - 7-7-98 .......................... 2,997,150
5.50% - 7-28-98 ......................... 2,688,687
5.51% - 8-13-98 ......................... 2,289,626
5.50% - 8-20-98 ......................... 495,390
----------
17,492,218
MANUFACTURING - 2.7%
Eaton Corporation (PP),
5.51% - 7-8-98 .......................... 4,900,000 4,894,561
METALS & MINERALS - 3.3%
Aluminum Company of America,
5.52% - 8-26-98 ......................... 6,200,000 6,146,618
NATURAL GAS - 4.1%
Laclede Gas Company,
5.55% - 7-22-98 ......................... 1,000,000 996,763
Questar Corporation, 6,600,000
5.55% - 7-14-98 ......................... 4,989,979
5.60% - 7-21-98 ......................... 1,595,022
----------
7,581,764
NUCLEAR - 4.7%
Bayshore Fuel Company, 8,670,000
5.50% - 7-17-98 ......................... 3,001,645
5.54% - 7-21-98 ......................... 2,084,564
5.52% - 8-12-98 ......................... 1,291,537
5.51% - 8-27-98 ......................... 2,250,115
----------
8,627,861
PETROLEUM - 0.5%
Atlantic Richfield Company,
5.53% - 8-7-98 .......................... 950,000 944,601
PHOTOGRAPH/IMAGING - 5.3%
Eastman Kodak Company, 9,750,000
5.50% - 7-30-98 ......................... 3,832,752
5.50% - 8-3-98 .......................... 3,084,221
5.51% - 8-3-98 .......................... 1,392,929
5.50% - 8-20-98 ......................... 1,389,304
----------
9,699,206
- --------------------------------------------------------------------------------
33 See accompanying notes.
</TABLE>
<PAGE> 35
SCHEDULE OF INVESTMENTS
JUNE 30, 1998
(UNAUDITED)
SERIES C (MONEY MARKET) (CONTINUED)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
COMMERCIAL PAPER (CONTINUED) AMOUNT VALUE
- --------------------------------------------------------------------------------
<S> <C> <C>
RECREATION - 2.1%
Carnival Corporation,
5.53% - 7-27-98 ........................... $ 3,850,000 $ 3,834,624
RETAIL - GROCERY - 5.1%
Winn-Dixie Stores, Inc., 9,482,000
5.52% - 7-14-98 ........................... 798,360
5.50% - 7-28-98 ........................... 4,572,321
5.51% - 7-28-98 ........................... 936,500
5.50% - 8-11-98 ........................... 3,129,966
------------
9,437,147
TELECOMMUNICATIONS - 2.2%
Bell Atlantic Network Funding
Corporation, 5.52% - 7-10-98 .............. 4,000,000 3,994,480
TOYS & SPORTING GOODS - 3.7%
Toys "R" Us, Inc., 6,800,000
5.50% - 7-2-98 ............................ 3,999,389
5.50% - 8-4-98 ............................ 2,785,244
------------
6,784,633
------------
Total commercial paper - 83.8% ............ 154,549,746
U.S. GOVERNMENT & AGENCIES
FEDERAL HOME LOAN MORTGAGES - 6.0%
Federal Home Loan Bank, 11,000,000
5.53% - 2-26-99 ........................... 2,999,610
5.625% - 3-12-99 .......................... 1,999,180
5.70% - 4-15-99 ........................... 3,001,290
5.76% - 5-6-99 ............................ 2,996,520
------------
10,996,600
FEDERAL FARM CREDIT BANKS - 1.6%
Federal Farm Credit Bank,
5.50% -9-1-98 ............................. 3,000,000 2,999,550
SMALL BUSINESS ASSOCIATION POOLS - 8.6%
#502406, 6.25% - 2006(2) .................. 394,584 394,584
#502163, 6.50% - 2012(2) .................. 770,073 770,073
#502353, 6.25% - 2018(2) .................. 99,172 99,172
#503176, 6.125% - 2020(2) ................. 682,825 686,239
#503459, 6.00% - 2021(2) .................. 1,818,162 1,811,343
#503283, 6.00% - 2021(2) .................. 1,817,410 1,809,744
#503295, 6.00% - 2021(2) .................. 1,255,025 1,261,300
#503303, 6.00% - 2021(2) .................. 1,370,337 1,377,188
#503308, 6.00% - 2021(3) .................. 1,196,702 1,196,702
#503343, 6.125% - 2021(2) ................. 1,612,451 1,612,451
#503347, 6.125% - 2021(2) ................. 4,856,306 4,856,306
------------
15,875,102
- --------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- ----------------------------------------------------------------------------------------
<S> <C> <C>
Total U.S. government & agencies - 16.2% ......................... $ 29,871,252
-------------
Total investments - 100.0% ....................................... 184,420,998
Liabilities, less cash and other assets - 0.00%................... (49,425)
-------------
Total net assets - 100.0% ........................................ $ 184,371,573
=============
SERIES D (WORLDWIDE EQUITY)
COMMON STOCKS
AUSTRALIa - 1.0%
Foster's Brewing Group, Ltd. .......................... 1,336,000 $ 3,143,795
AUSTRIA - 3.1%
Boehler - Uddeholm AG ................................. 53,060 3,505,575
Wienerberger Baustoffindustrie AG ..................... 26,900 6,507,342
-------------
10,012,917
CANADA - 4.9%
Hudson's Bay Company .................................. 96,500 2,211,463
Imax Corporation ADR* ................................. 268,300 6,120,594
Lowen Group, Inc., The ................................ 92,500 2,497,500
Yogen Fruz World-Wide, Inc.* .......................... 599,250 5,338,287
-------------
16,167,844
FRANCE - 8.5%
Alcatel Alsthom ....................................... 16,940 3,449,064
AXA-UAP ............................................... 23,200 2,609,316
Banque Nationale De Paris ............................. 31,000 2,532,902
Bouygues Offshore S.A ................................. 58,500 2,515,701
Elf Aquitaine S.A. ADR ................................ 68,100 4,835,100
GrandVision S.A ....................................... 80,800 2,686,193
Sidel S.A ............................................. 53,160 3,868,721
Vivendi ............................................... 24,690 5,272,020
-------------
27,769,017
GERMANY - 4.1%
Allianz AG ............................................ 7,020 2,314,029
Deutsche Bank AG ...................................... 19,900 1,685,129
Hoechst AG ............................................ 58,600 2,925,076
Rhoen-Klinikum AG ..................................... 43,930 4,259,062
VEBA AG ............................................... 32,300 2,201,011
-------------
13,384,307
GREECE - 3.3%
Alpha Credit Bank ..................................... 25,700 2,083,247
Athens Medical Care S.A ............................... 77,600 1,527,619
Commercial Bank of Greece S.A ......................... 40,300 2,989,257
Hellenic Telecommunications
Organization S.A ................................... 117,755 3,018,565
Michaniki S.A ......................................... 210,690 1,107,874
-------------
10,726,562
- ----------------------------------------------------------------------------------------
</TABLE>
34 See accompanying notes.
<PAGE> 36
SCHEDULE OF INVESTMENTS
JUNE 30, 1998
(UNAUDITED)
SERIES D (WORLDWIDE EQUITY)(CONTINUED)
<TABLE>
<CAPTION>
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
- --------------------------------------------------------------------------------
<S> <C> <C>
HONG KONG - 0.3%
JCG Holdings, Ltd. ....................... 3,552,000 $ 985,575
IRELAND - 3.3%
Allied Irish Banks PLC ................... 204,500 2,952,270
Elan Corporation PLC ADR ................. 88,700 5,704,519
Ryanair Holdings PLC ..................... 297,610 2,075,582
-----------
10,732,371
ISRAEL - 0.8%
Bank Hapoalim Ltd.* ...................... 905,000 2,736,566
ITALY - 1.6%
Fiat Spa* ................................ 823,000 2,048,761
Telecom Italia Spa ....................... 434,900 3,201,410
-----------
5,250,171
JAPAN - 5.1%
Amway Japan, Ltd. ........................ 99,100 1,049,660
Asahi Diamond Industry
Company, Ltd. ......................... 269,000 1,211,406
Benesse Corporation ...................... 20,500 716,396
Bunka Shutter Company, Ltd. .............. 378,000 1,048,600
Doutor Coffee Company, Ltd. .............. 68,000 1,734,481
Mos Food Service, Inc. ................... 169,000 2,009,223
National House Industrial
Company, Ltd. ......................... 401,000 3,071,391
Paris Miki, Inc. ......................... 39,600 519,592
Sakura Bank, Ltd., The ................... 509,000 1,320,316
Snow Brand Milk Products
Company, Ltd. ......................... 569,000 1,721,944
Tiemco, Ltd. ............................. 27,900 261,339
York-Benimaru Company, Ltd. .............. 102,600 1,929,502
-----------
16,593,850
LUXEMBOURG - 0.7%
Espirito Santo Financial Group ADR ....... 98,500 2,400,938
NORWAY - 2.3%
Saga Petroleum ASA "A" ................... 292,200 4,493,312
Storebrand ASA* .......................... 357,700 3,169,802
-----------
7,663,114
PHILIPPINES - 0.2%
C&P Homes, Inc. .......................... 11,450,150 576,625
SINGAPORE - 0.7%
Cerebos Pacific, Ltd. .................... 582,000 757,866
Keppek Fels, Ltd. ........................ 398,000 1,189,655
Mandarin Oriental International, Ltd. .... 776,000 442,320
-----------
2,389,841
SWEDEN - 3.7%
Castellum AB* ............................ 437,200 5,153,238
Skandinaviska Enskilda Banken ............ 116,500 1,994,026
Swedish Match AB ......................... 1,472,308 4,892,341
-----------
12,039,605
- --------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
COMMON STOCKS(CONTINUED) OF SHARES VALUE
- --------------------------------------------------------------------------------
<S> <C> <C>
SWITZERLAND - 5.6%
Nestle S.A .................................. 1,842 $ 3,941,909
Novartis AG ................................. 3,500 5,824,060
Roche Holdings AB ........................... 265 2,602,285
Saurer AG ................................... 2,525 2,580,248
Schweizerische Lebensversicherungs-
und Rentenstalt .......................... 3,830 3,242,143
-----------
18,190,645
UNITED KINGDOM - 15.5%
Aegis Group PLC ............................. 2,763,000 4,448,714
British Steel PLC ........................... 637,000 1,408,256
Cadbury Schweppes PLC ....................... 211,300 3,271,702
Capita Group PLC ............................ 355,500 3,057,698
D.F.S. Furniture Company PLC ................ 426,200 1,404,452
George Wimpey PLC ........................... 1,502,100 2,919,786
Glaxo Wellcome PLC .......................... 95,300 2,868,505
Harvey Nichols PLC .......................... 196,200 770,932
J.D. Wetherspoon PLC ........................ 139,500 670,337
Oriflame International S.A .................. 105,000 779,607
PizzaExpress PLC ............................ 106,400 1,521,418
Polypipe PLC ................................ 945,000 2,325,681
Provident Financial PLC ..................... 277,798 4,391,719
Regent Inns PLC ............................. 517,600 1,666,778
Rio Tinto PLC ............................... 430,100 4,847,536
Royal Bank of Scotland Group PLC ............ 148,000 2,565,686
SmithKline Beecham PLC ...................... 429,900 5,232,618
Tomkins PLC ................................. 568,000 3,099,005
Vodafone Group PLC .......................... 275,200 3,494,293
-----------
50,744,723
UNITED STATES - 24.6%
Ace Ltd. .................................... 51,000 1,989,000
B.J. Services Company* ...................... 41,600 1,209,000
BMC Software, Inc.* ......................... 29,900 1,552,931
Bristol-Myers Squibb Company ................ 16,800 1,930,950
Cardinal Health, Inc. ....................... 24,900 2,334,375
Caribiner International, Inc.* .............. 52,400 917,000
Comcast Corporation ......................... 55,500 2,252,953
Computer Associates International, Inc. ..... 25,600 1,422,400
Costco Companies, Inc.* ..................... 22,200 1,399,988
Cymer, Inc.* ................................ 81,900 1,320,637
Ecolab, Inc. ................................ 58,300 1,807,300
EMC Corporation* ............................ 52,000 2,330,250
Emerson Electric Company .................... 17,800 1,073,563
EXEL, Ltd. .................................. 17,000 1,322,812
Exxon Corporation ........................... 27,000 1,925,438
Federal National Mortgage
Association .............................. 29,900 1,816,425
Federal-Mogul Corporation ................... 20,800 1,404,000
Fort James Corporation ...................... 30,800 1,370,600
Gannett Company, Inc. ....................... 21,800 1,549,162
Gap, Inc. ................................... 28,300 1,743,988
- --------------------------------------------------------------------------------
</TABLE>
35 See accompanying notes.
<PAGE> 37
SCHEDULE OF INVESTMENTS
JUNE 30, 1998
(UNAUDITED)
SERIES D (WORLDWIDE EQUITY)(CONTINUED)
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT OR
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
- --------------------------------------------------------------------------------
<S> <C> <C>
UNITED STATES (CONTINUED)
Global Industries, Ltd.* ........................ 74,600 $ 1,258,875
HBO & Company ................................... 36,900 1,300,725
Home Depot, Inc. ................................ 20,800 1,727,700
Ingersoll-Rand Company .......................... 8,100 356,906
Lucent Technologies, Inc. ....................... 14,400 1,197,900
Marsh and McLennan Companies, Inc. .............. 33,750 2,039,766
Martin Marietta Materials, Inc. ................. 29,100 1,309,500
Medtronic, Inc. ................................. 24,600 1,568,250
Merrill Lynch & Company, Inc. ................... 14,700 1,356,075
NAC Re Corporation .............................. 32,400 1,729,350
NationsBank Corporation ......................... 25,100 1,920,150
Network Associates, Inc.* ....................... 27,900 1,335,712
PepsiCo, Inc. ................................... 32,000 1,318,000
Pfizer, Inc. .................................... 11,200 1,217,300
Philip Morris Companies, Inc. ................... 32,000 1,260,000
Pitney-Bowes, Inc. .............................. 29,400 1,414,875
Procter & Gamble Company, The ................... 17,200 1,566,275
Republic Services, Inc. ......................... 35,500 852,000
Rubbermaid, Inc. ................................ 41,000 1,360,688
Safeway, Inc.* .................................. 40,800 1,660,050
Sara Lee Corporation ............................ 24,000 1,342,500
Sungard Data Systems, Inc.* ..................... 43,600 1,673,150
Teva Pharmaceutical Industries, Ltd. ............ 133,300 4,690,494
Texaco, Inc. .................................... 19,400 1,157,937
TJX Companies, Inc. ............................. 55,600 1,341,350
Tyco International, Ltd. ........................ 49,500 3,118,500
Unilever NV ..................................... 20,900 1,649,794
Union Planters Corporation ...................... 21,800 1,282,112
Walt Disney Company, The ........................ 15,400 1,617,963
Williams Companies, Inc., The ................... 66,300 2,237,625
------------
80,534,294
------------
Total common stocks - 89.3% .................................. 292,042,760
PREFERRED STOCKS
GERMANY - 1.6%
Fielman AG ...................................... 78,500 2,722,442
Sto Ag Vorzug ................................... 6,990 2,617,813
------------
Total preferred stocks - 1.6% ................................ 5,340,255
U.S. GOVERNMENT SECURITIES
U.S. Treasury Strip, 0.00% - 2023 ............... $ 25,820,000 6,378,315
U.S. Treasury Strip, 0.00% - 2023 ............... $ 70,000,000 17,048,500
------------
Total U.S. governments - 7.2% ................................ 23,426,815
------------
Total investments - 98.1% .................................... 320,809,830
Cash and other assets, less liabilities - 1.9% ............... 6,077,976
------------
Total net assets - 100.0% .................................... $326,887,806
============
- --------------------------------------------------------------------------------
</TABLE>
<TABLE>
- --------------------------------------------------------------------------------
At June 30, 1998, Series D's investment concentration by industry was as
follows:
<S> <C>
Banking.......................................... 8.4%
Building Materials............................... 9.2%
Chemicals........................................ 1.1%
Computer Software/Services....................... 3.5%
Electric Equipment............................... 1.8%
Entertainment.................................... 4.8%
Financial Services............................... 2.6%
Foods/Beverages.................................. 10.8%
Government....................................... 7.3%
Health Care/Drugs................................ 12.0%
Household Products............................... 2.9%
Machinery........................................ 2.1%
Manufacturing.................................... 4.9%
Oil & Gas........................................ 6.6%
Retail........................................... 9.4%
Telecommunications............................... 4.1%
Transportation................................... 1.3%
Utilities........................................ 5.3%
Cash, short-term instruments and other assets,
less liabilities........................... 1.9%
------
Total net assets................................. 100.0%
======
</TABLE>
SERIES E (HIGH GRADE INCOME)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
CORPORATE BONDS AMOUNT VALUE
- --------------------------------------------------------------------------------
<S> <C> <C>
AUTOMOTIVE - 2.7%
Chrysler Corporation,
7.45% - 2027 .................... $2,375,000 $2,621,406
Ford Motor Company,
7.25% - 2008 .................... $1,000,000 1,075,000
----------
3,696,406
BANKING - 3.6%
Bank of New York, Inc.,
6.50% - 2003 .................... $ 325,000 329,875
Homeside, Inc., 11.25% - 2003 ...... $1,250,000 1,481,250
PNC Funding Corporation,
7.75% - 2004 .................... $ 800,000 860,000
Washington Mutual Capital,
8.375% - 2002(1)................. $2,000,000 2,242,500
----------
4,913,625
BEVERAGE - 1.9%
Anheuser-Busch Companies, Inc.,
7.10% - 2007 .................... $2,425,000 2,543,219
- --------------------------------------------------------------------------------
</TABLE>
36 See accompanying notes.
<PAGE> 38
SCHEDULE OF INVESTMENTS
JUNE 30, 1998
(UNAUDITED)
SERIES E(HIGH GRADE INCOME)(CONTINUED)
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT OR
NUMBER MARKET
CORPORATE BONDS(CONTINUED) OF SHARES VALUE
- --------------------------------------------------------------------------------
<S> <C> <C>
BROKERAGE - 7.3%
Lehman Brothers, Inc., 7.25% - 2003 .......... $ 2,000,000 $ 2,077,500
Merrill Lynch Company, Inc.,
7.375% - 2006 ............................. $ 2,500,000 2,668,750
Morgan Stanley Group, Inc.,
7.25% - 2004 .............................. $ 2,500,000 2,550,000
SI Financing, Inc., 9.50% - 2026(1)........... 102,610 2,764,057
-----------
10,060,307
CAPITAL GOODS - BUILDING MACHINERY - 0.7%
AGCO Corporation, 8.5% - 2006 ................ $ 500,000 514,375
Columbus McKinnon Corporation,
8.5% - 2008 ............................... $ 500,000 492,500
-----------
1,006,875
CAPITAL GOODS - BUILDING MATERIALS - 0.7%
International Comfort Products,
8.625% - 2008 ............................. $ 500,000 497,500
Titan Wheel International, Inc. ..............
8.75% - 2007 .............................. $ 500,000 516,250
-----------
1,013,750
CONSUMER CYCLICALS - OTHER - 0.4%
American ECO Corporation,
9.625% - 2008 ............................. $ 500,000 502,500
CONSUMER PRODUCTS - 0.4%
Chattem, Inc., 8.875% - 2008 ................. $ 500,000 497,500
ENERGY - INDEPENDENT - 0.6%
Seagull Energy Corporation,
8.625% - 2005 ............................. $ 800,000 821,000
ENERGY - INTEGRATED - 0.8%
Union Pacific Resources,
7.50% - 2026 .............................. $ 1,000,000 1,041,250
ENERGY - OIL FIELD SERVICES - 1.7%
Transocean Offshore, Inc.,
8.00% - 2027 .............................. $ 2,000,000 2,310,000
ENERGY - OTHER - 0.2%
P&L Coal Holdings Corporation,
8.875% - 2008 ............................. $ 300,000 308,625
ENTERTAINMENT - 0.7%
Paramount Communications,
7.5% - 2023 ............................... $ 1,000,000 971,250
FINANCIAL COMPANIES - 4.3%
American RE Capital, 8.5% - 2025(1)........... 46,000 1,190,250
Associates Corporation, N.A.,
7.55% - 2007 .............................. $ 1,000,000 1,081,250
CB Richard Ellis Service,
8.875% - 2006 ............................. $ 500,000 493,750
Countrywide Capital Industries, Inc.,
8.00% - 2026 .............................. $ 1,000,000 1,063,750
General Electric Capital Corporation,
8.625% - 2008 ............................. $ 1,750,000 2,073,750
-----------
5,902,750
- --------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL MARKET
CORPORATE BONDS(CONTINUED) AMOUNT VALUE
- --------------------------------------------------------------------------------
<S> <C> <C>
FINANCE - OTHER - 1.7%
B.F. Saul REIT, 9.75% - 2008 ............. $ 250,000 $ 246,875
EOP Operating LP, REIT,
6.625% - 2005 ......................... 2,050,000 2,057,688
----------
2,304,563
FOOD - 5.3%
Archer-Daniels-Midland Company,
8.875% - 2011 ......................... 2,000,000 2,447,500
Cargill Corporation, 6.15% - 2008 ........ 2,000,000 1,992,500
Carrols Corporation, Inc.,
11.50% - 2003 ......................... 1,750,000 1,835,313
Chiquita Brands International, Inc.,
10.25% - 2006 ......................... 500,000 542,500
Nash Finch Company, 8.50% - 2008 ......... 500,000 496,250
----------
7,314,063
GAMING - 2.7%
Boyd Gaming Corporation,
9.50% - 2007 .......................... 500,000 522,500
Empress Entertainment, 8.125% - 2006 ..... 500,000 501,250
MGM Grand, Inc., 6.95% - 2005 ............ 1,400,000 1,391,250
Mirage Resorts, Inc., 6.625% - 2007 ...... 1,250,000 1,240,625
----------
3,655,625
HEALTHCARE - 0.4%
Tenet Healthcare Corporation,
8.125% - 2008 ......................... 500,000 502,500
HOME CONSTRUCTION - 0.4%
MDC Holdings, 8.375% - 2008 .............. 250,000 250,000
Toll Corporation, 7.75% - 2008 ........... 250,000 246,250
----------
496,250
MEDIA - CABLE - 5.6%
Adelphia Communications, Inc.,
8.375% - 2008 ......................... 500,000 502,500
Century Communications
Corporation, 8.375% - 2007 ............ 125,000 128,750
Comcast Corporation, 9.125% - 2006 ....... 500,000 536,250
CSC Holdings, Inc., 7.875% - 2018 ........ 500,000 528,750
Jones Intercable, Inc., 7.625% - 2008 .... 500,000 507,500
Lenfest Communications, Inc.,
10.50% - 2006 ......................... 500,000 582,500
Rogers Cablesystems, 9.625% - 2002 ....... 675,000 720,563
Rogers Communications, Inc.,
9.125% - 2006 ......................... 665,000 673,313
Time Warner Entertainment,
10.15% - 2012 ......................... 1,790,000 2,378,463
Westinghouse Electric Company,
8.375% - 2002 ......................... 1,050,000 1,094,625
----------
7,653,214
MEDIA - NONCABLE - 1.7%
Big Flower Press Holdings, Inc.,
8.875% - 2007 ......................... 500,000 508,750
KIII Communications Corporation,
10.25% - 2004 ......................... 555,000 597,319
- --------------------------------------------------------------------------------
</TABLE>
37 See accompanying notes.
<PAGE> 39
SCHEDULE OF INVESTMENTS
JUNE 30, 1998
(UNAUDITED)
SERIES E (HIGH GRADE INCOME)(CONTINUED)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
CORPORATE BONDS (CONTINUED) AMOUNT VALUE
- --------------------------------------------------------------------------------
<S> <C> <C>
MEDIA - NONCABlE (CONTINUED)
News American Holdings,
6.625% - 2003 ........................... $ 475,000 $ 517,750
Valassis Communications,
9.55% - 2003 ............................ 650,000 728,000
----------
2,351,819
METALS - 0.9%
AK Steel, 10.75% - 2004 .................... 500,000 531,250
Ameristeel Corporation, 8.75% - 2008 ....... 500,000 500,000
WHX Corporation, 8.5% - 2006 ............... 250,000 254,375
----------
1,285,625
RETAILERS - 2.2%
Lowe's Companies, Inc.,
6.70% - 2007 ............................ 1,600,000 1,648,000
Sears Roebuck & Company,
6.41% - 2001 ............................ 350,000 352,625
Specialty Retailers, Inc., 8.50% - 2005 .... 250,000 257,500
Zale's Corporation, 8.50% - 2007 ........... 750,000 766,875
----------
3,025,000
SERVICES - 0.6%
Loewen Group International, Inc.,
8.25% - 2003 ............................ 850,000 878,687
TECHNOLOGY - 0.7%
Dell Computer Corporation,
6.55% - 2008 ............................ 1,000,000 1,012,500
TELECOMMUNICATIONS - 3.6%
Centennial Cellular, 8.875% - 2001 ......... 800,000 832,000
Comcast Cellular Holdings, Inc.,
9.50% - 2007 ............................ 250,000 260,938
GTE Corporation, 6.46% - 2008 .............. 1,500,000 1,507,500
Mastec, Inc., 7.75% - 2008 ................. 250,000 238,750
New Jersey Bell, 6.625% - 2008 ............. 1,000,000 1,006,250
Southwestern Bell, 6.625% - 2007 ........... 1,000,000 1,033,750
----------
4,879,188
TEXTILES - 0.2%
Westpoint Stevens, Inc.,
7.875% - 2008 ........................... 300,000 299,250
TOBACCO - 0.7%
Dimon, Inc., 8.875% - 2006 ................. 400,000 409,500
Standard Commercial Tobacco
Corporation, 8.875% - 2005 .............. 500,000 500,000
----------
909,500
TRANSPORTATION - AIRLINES - 3.9%
Southwest Airlines Company,
7.875% - 2007 ........................... 2,475,000 2,741,063
United Airlines, 11.21% - 2014 ............. 1,825,000 2,582,375
----------
5,323,438
- --------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL MARKET
CORPORATE BONDS (CONTINUED) AMOUNT VALUE
- --------------------------------------------------------------------------------
<S> <C> <C>
TRANSPORTATION - RAILROADS - 2.9%
ROCS Series Burlington Northern
Santa Fe 1998-1, 6.5% - 2017 ............ $ 1,500,000 $ 1,497,641
ROCS Series NSC, 6.375% - 2017 ............. 2,466,794 2,439,613
------------
3,937,254
TRANSPORTATION - OTHER - 0.4%
Allied Holdings, Inc.,
8.625% - 2007 ........................... 500,000 511,250
UTILITIES - ELECTRIC - 0.8%
Cal Energy Company, Inc.,
9.50% -2006 ............................. 1,000,000 1,081,250
UTILITIES - NATURAL GAS - 1.3%
Tennessee Gas Pipeline,
7.50% - 2017 ............................ 1,700,000 1,844,500
YANKEE - CORPORATE - 13.5%
ABN AMRO Bank NV,
7.55% - 2006 ............................ 1,475,000 1,598,531
7.30% - 2026 ............................ 1,500,000 1,571,250
Abbey National PLC, 6.69% - 2005 ........... 2,375,000 2,431,406
Argentaria Capital Funding,
6.375% - 2026 ........................... 2,000,000 1,974,669
Bank of Austria AG, 7.25% - 2017 ........... 160,000 174,400
BCH Cayman Islands, 7.70% - 2006 ........... 2,500,000 2,675,000
Den Danske Bank, 7.40% - 2010 .............. 2,175,000 2,319,094
Panamerican Beverages, Inc.,
8.125% - 2003 ........................... 2,050,000 2,132,000
Petroleum Geo-Services,
7.50% - 2007 ............................ 2,050,000 2,180,688
Santander Financial Issuances, Ltd.,
7.00% - 2006 ............................ 1,400,000 1,454,250
------------
18,511,288
YANKEE - CANADIAN - 2.5%
Agrium, Inc., 7.00% - 2004 ................. 1,000,000 1,017,500
Quebecor Printing Capital,
7.25% - 2007 ............................ 2,350,000 2,464,563
------------
3,482,063
------------
Total corporate bonds -78.0% ............... 106,847,884
MORTGAGE BACKED SECURITIES
- --------------------------
U.S. GOVERNMENT AGENCIES - 6.2%
Federal Home Loan Mortgage Corporation,
FHR 1339 C, 8.00% - 2006 CMO ............ 1,000,000 1,048,430
FHR 112 H, 8.80% - 2020 CMO ............. 450,589 456,572
FHR 1311 J, 7.50% - 2021 CMO ............ 3,325,000 3,414,509
FHR 1930 AB, 7.50% - 2023 CMO ........... 1,765,826 1,791,536
Federal National Mortgage Association,
FNR 1994-79 B,
7.00% - 2019 CMO ........................ 1,700,000 1,727,557
------------
8,438,604
- --------------------------------------------------------------------------------
</TABLE>
38 See accompanying notes.
<PAGE> 40
SCHEDULE OF INVESTMENTS
JUNE 30, 1998
(UNAUDITED)
SERIES E(HIGH GRADE INCOME)(CONTINUED)
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT OR
MORTGAGE BACKED NUMBER OF MARKET
SECURITIES(CONTINUED) SHARES VALUE
- --------------------------------------------------------------------------------
<S> <C> <C>
U.S. GOVERNMENT SECURITIES - 7.9%
Government National Mortgage Association,
GNMA 39238, 9.50% - 2009 ..................... $ 292,657 $ 313,895
GNMA II 181907, 9.50% - 2020 ................. $ 232,493 248,048
GNMA 305617, 9.00% - 2021 .................... $ 228,627 243,469
GNMA 301465, 9.00% - 2021 .................... $ 189,463 201,787
GNMA 313107, 7.00% - 2022 .................... $ 1,577,030 1,606,931
GNMA 352022, 7.00% - 2023 .................... $ 1,743,418 1,770,354
GNMA 369303, 7.00% - 2023 .................... $ 1,925,175 1,954,784
GNMA II 2445, 8.00% - 2027 ................... $ 1,921,276 1,981,276
GNR 1997-10B, 7.5% - 2019 .................... $ 2,500,000 2,544,600
------------
10,865,144
NON-AGENCY SECURITIES - 1.9%
Chase Capital Mortgage Securities
Company, 1997-1B,
7.37% - 2007 CMO ............................. $ 1,500,000 1,597,968
Securitized Multiple Assets Rated Trust,
1998-1, 7.45% - 2006 ......................... $ 927,086 928,534
------------
2,526,502
------------
Total mortgage backed securities - 16.0% .................... 21,830,250
GOVERNMENT SECURITIES
- ---------------------
U.S. GOVERNMENT SECURITIES - 4.5%
U.S. Treasury Note,
5.75% - 2003 ................................. $ 1,600,000 1,614,240
U.S. Treasury Bond,
6.625% - 2027 ................................ $ 500,000 564,535
U.S. Department of Housing and
Urban Development Bond,
6.93% - 2013 ................................. $ 3,800,000 4,019,541
------------
Total government securities - 4.5% .......................... 6,198,316
------------
Total investments - 98.5% ................................... 134,876,450
Cash and other assets, less liabilities - 1.5% .............. 2,119,065
------------
Total net assets - 100.0% ................................... $136,995,515
============
SERIES J (EMERGING GROWTH)
COMMON STOCKS
- -------------
AIR FREIGHT - 1.7%
Expeditors International of
Washington, Inc. .............................. 90,000 $ 3,960,000
BANKS - MAJOR REGIONAL - 3.1%
Northern Trust Corporation ...................... 60,000 4,575,000
State Street Corporation ........................ 40,500 2,814,750
------------
7,389,750
- -------------------------------------------------------------------------------
</TABLE>
SERIES J (EMERGING GROWTH)(CONTINUED)
<TABLE>
<CAPTION>
NUMBER OF MARKET
COMMON STOCKS(CONTINUED) SHARES VALUE
- -------------------------------------------------------------------------------
<S> <C> <C>
BIOTECHNOLGY - 1.3%
Ligand Pharmaceuticals Inc. (Cl.B)* ............ 246,000 $ 3,167,250
CHEMICALS - BASIC - 1.1%
Praxair, Inc. ................................... 55,500 2,598,094
CHEMICALS - DIVERSIFIED - 0.6%
Engelhard Corporation ........................... 75,000 1,518,750
CHEMICALS - SPECIALTY - 2.5%
Bush Boake Allen, Inc.* ......................... 81,000 2,374,312
M.A. Hanna Company .............................. 53,100 972,394
Sigma-Aldrich Corporation ....................... 71,000 2,493,875
-----------
5,840,581
COMMUNICATION EQUIPMENT - 6.0%
Comverse Technology, Inc.* ...................... 245,000 12,709,375
Transcrypt International, Inc.* ................. 419,700 1,414,389
-----------
14,123,764
COMPUTER HARDWARE - 1.4%
CHS Electronics, Inc.* .......................... 184,000 3,289,000
COMPUTER SOFTWARE/SERVICES -13.0%
America OnLine,Inc.* ............................ 60,600 6,423,600
American Management
Systems, Inc.* ............................... 230,000 6,885,625
Computer Sciences Corporation ................... 58,000 3,712,000
Electronic Processing, Inc.* .................... 90,000 1,080,000
Electronics For Imaging, Inc.* .................. 95,000 2,006,875
Network Associates, Inc.* ....................... 91,500 4,380,563
Rational Software Corporation* .................. 420,000 6,405,000
-----------
30,893,663
CONTAINERS & PACKAGING - 2.8%
Bemis Company, Inc. ............................. 60,400 2,468,850
Crown Cork & Seal Company, Inc. ................. 87,500 4,156,250
-----------
6,625,100
ELECTRICAL EQUIPMENT - 2.5%
Honeywell, Inc. ................................ 32,000 2,674,000
Maxwell Technologies, Inc.* .................... 135,900 3,159,675
-----------
................................................ 5,833,675
ELECTRONICS - INSTRUMENTATION - 3.1%
EG & G, Inc. ................................... 120,000 3,600,000
The Perkin-Elmer Corporation ................... 36,000 2,238,750
Sawtek, Inc.* .................................. 110,000 1,622,500
-----------
................................................ 7,461,250
ENTERTAINMENT - 1.1%
Metromedia International Group, Inc.* .......... 220,000 2,626,250
FOODS - 4.6%
Chiquita Brands International, Inc. ............ 350,000 4,921,875
Dean Foods Company ............................. 80,000 4,395,000
Dole Food Company, Inc. ........................ 33,200 1,649,625
-----------
10,966,500
- -------------------------------------------------------------------------------
</TABLE>
39 See accompanying notes.
<PAGE> 41
SCHEDULE OF INVESTMENTS
JUNE 30, 1998
(UNAUDITED)
SERIES J(EMERGING GROWTH)(CONTINUED)
<TABLE>
<CAPTION>
NUMBER MARKET
COMMON STOCKS(CONTINUED) OF SHARES VALUE
- --------------------------------------------------------------------------------
<S> <C> <C>
GAMING & LOTTERY - 0.9%
Circus Circus Enterprises, Inc.* ............. 125,400 $ 2,123,962
HEALTH CARE - LONG TERM CARE - 2.5%
Integrated Health Services, Inc. ............. 159,000 5,962,500
HEALTH CARE - SPECIALIZED SERVICES - 0.9%
Quintiles Transnational Corporation* ......... 43,800 2,154,413
HOUSEHOLD FURNISHINGS & APPLIANCES - 1.1%
Leggett & Platt, Inc. ........................ 102,600 2,565,000
HOUSEHOLD PRODUCTS - 0.6%
Dial Corporation ............................. 50,000 1,296,875
INSURANCE - LIFE/HEALTH - 2.7%
AFLAC, Inc. .................................. 210,000 6,365,625
INVESTMENT BANK/BROKERAGE - 1.6%
Franklin Resources, Inc. ..................... 70,000 3,780,000
LEISURE TIME PRODUCTS - 1.7%
Hasbro, Inc. ................................. 104,000 4,088,500
MANUFACTURING - SPECIALIZED - 1.5%
Ionics, Inc.* ................................ 56,000 2,065,000
Sealed Air Corporation* ...................... 39,700 1,458,975
-----------
3,523,975
MEDICAL PRODUCTS & SUPPLIES - 5.3%
ATL Ultrasound, Inc.* ........................ 81,000 3,695,625
Dentsply International, Inc. ................. 77,000 1,925,000
Depuy, Inc. .................................. 123,000 3,474,750
Sonosight, Inc.* ............................. 27,000 197,438
Stryker Corporation .......................... 58,000 2,225,750
Sunrise Medical, Inc.* ....................... 75,000 1,125,000
-----------
12,643,563
OFFICE EQUIPMENT & SUPPLIES - 2.0%
Corporate Express, Inc.* ..................... 380,000 4,821,250
OIL - INTERNATIONAL - 1.4%
Tesoro Petroleum Corporation* ................ 206,000 3,270,250
OIL & GAS EXPLORATION & PRODUCTION - 3.6%
Apache Corporation ........................... 135,000 4,252,500
Forcenergy, Inc.* ............................ 107,800 1,920,188
MCN Energy Group, Inc. ....................... 93,000 2,313,375
-----------
8,486,063
PHARMACEUTICALS - 8.7%
Dura Pharmaceuticals, Inc.* .................. 95,400 2,134,575
Mylan Laboratories, Inc. ..................... 450,000 13,528,125
R.P. Scherer Corporation* .................... 26,000 2,304,250
Teva Pharmaceutical
Industries, Ltd. ADR ...................... 75,000 2,639,062
-----------
20,606,012
PUBLISHING - NEWSPAPER - 2.1%
E.W. Scripps Company (Cl.A) .................. 91,000 4,987,937
- --------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT OR
NUMBER MARKET
COMMON STOCKS(CONTINUED) OF SHARES VALUE
- --------------------------------------------------------------------------------------
<S> <C> <C>
RESTAURANTS - 1.0%
The Cheesecake Factory* .............................. 106,500 $ 2,409,563
RETAIL - APPAREL - 0.7%
Stage Stores, Inc.* .................................. 34,000 1,538,500
RETAIL - DEPARTMENT STORES - 1.1%
Family Dollar Stores, Inc. ........................... 62,000 1,147,000
Saks Holdings, Inc.* ................................. 55,000 1,519,375
------------
2,666,375
RETAIL - FOOD CHAINS - 0.5%
American Stores Company .............................. 49,000 1,185,188
RETAIL - GENERAL MERCHANDISE - 3.2%
Consolidated Stores Corporation* ..................... 95,000 3,443,750
Dollar Tree Stores, Inc.* ............................ 101,250 4,113,281
------------
7,557,031
RETAIL - SPECIALTY - 1.4%
Keystone Automotive Industries, Inc.* ................ 20,000 462,500
Payless ShoeSource, Inc.* ............................ 39,000 2,873,812
------------
3,336,312
SERVICES - ADVERTISING/MARKETING - 3.3%
Acxiom Corporation* .................................. 145,000 3,615,937
Omnicom Group, Inc. .................................. 85,000 4,239,375
------------
7,855,312
SERVICES - COMMERCIAL & CONSUMER - 1.5%
Angelica Corporation ................................. 51,500 1,081,500
Pinkerton's, Inc.* ................................... 116,000 2,407,000
------------
3,488,500
SERVICES - COMPUTER SYSTEMS - 0.7%
Sungard Data Systems, Inc.* .......................... 45,000 1,726,875
SERVICES - DATA PROCESSING - 1.5%
Paychex, Inc. ........................................ 84,150 3,423,853
------------
Total common stocks - 96.3% ...................................... 228,157,061
Cash and other assets, less liabilities - 3.7% ................... 8,748,928
------------
Total net assets - 100.0% ........................................ $236,905,989
============
SERIES K (GLOBAL AGGRESSIVE BOND)
GOVERNMENT OBLIGATIONS
- ----------------------
ARGENTINA - 5.0%
Republic of Argentina,
5.50% - 2023(5) .................................... $ 1,000,000 $ 743,750
BRAZIL - 2.9%
Government of Brazil C,
4.50% - 2014(6) .................................... $ 580,105 426,739
- ------------------------------------------------------------------------------------
</TABLE>
40 See accompanying notes.
<PAGE> 42
SCHEDULE OF INVESTMENTS
JUNE 30, 1998
(UNAUDITED)
SERIES K(GLOBAL AGGRESSIVE BOND)(CONTINUED)
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT OR
GOVERNMENT NUMBER MARKET
OBLIGATIONS(CONTINUED) OF SHARES VALUE
- -----------------------------------------------------------------------------------
<S> <C> <C>
COSTA RICA - 2.7%
Banco Costa Rica, 6.25% - 2010 ................. $ 459,015 $ 401,638
DOMINICAN REPUBLIC - 4.4%
Central Bank of Dominican Republic,
6.875% - 2024(7) ............................ $ 850,000 654,500
ECUADOR - 2.3%
Republic of Ecuador,
6.6875% - 2025(7) ........................... $ 500,000 344,185
GREECE - 6.9%
Hellenic Republic,
11.00% - 2003(4)............................. 310,000,000 1,030,413
HUNGARY - 5.5%
Government of Hungary,
23.00% - 1999(4) ............................ 130,000,000 621,716
Government of Hungary,
21.00% - 1999(4) ............................ 40,000,000 192,431
------------
................................................ 814,147
MEXICO - 2.8%
United Mexican States,
6.25% - 2019 ................................ $ 500,000 413,750
PHILIPPINES - 3.4%
Central Bank Philippines,
6.00% - 2008 ................................ $ 600,000 504,537
POLAND - 6.4%
Government of Poland,
12.00% - 2003(4)............................. 2,000,000 491,823
Government of Poland,
16.00% - 1998(4) ............................ 1,675,000 471,082
------------
................................................ 962,905
SOUTH AFRICA - 4.8%
Electricity Supply Commission,
11.00% - 2008(4)............................. 2,600,000 343,190
Republic of South Africa,
12.00% - 2005(4)............................. 2,500,000 369,957
------------
................................................ 713,147
------------
Total government obligations - 47.1% ........ 7,009,711
CORPORATE BONDS
- ---------------
ARGENTINA - 1.6%
CIA Radiocomunic Moviles,
9.25% - 2008 ................................ $ 250,000 238,276
CANADA - 6.2%
CHC Helicopter, 11.50% - 2002 .................. $ 500,000 535,000
Roger's Communication, Inc.,
10.50% - 2006(4)............................. 500,000 380,482
------------
915,482
- --------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT OR
CORPORATE NUMBER MARKET
BONDS(CONTINUED) OF SHARES VALUE
- ------------------------------------------------------------------------------------
<S> <C> <C>
CZECH REPUBLIC - 2.6%
CEZ, a.s., 11.30% - 2005(4) ..................... 13,000,000 $ 383,799
DENMARK - 11.5%
Nykredit, 7.00% - 2026(4)........................ 3,364,000 500,417
Realkredit Danmark, 7.00% - 2026(4).............. 3,367,000 501,842
Unikredit Realkredit, 7.00% - 2026(4)............ 4,813,000 716,664
------------
1,718,923
MEXICO - 2.0%
Cemex SA, 12.75% - 2006 ......................... $ 250,000 294,377
UNITED STATES - 20.7%
Archibald Candy Corporation,
10.25% - 2004(4).............................. 500,000 531,250
BA Mortgage Securities 1997-2 B4,
7.25% - 2027 ................................. $ 496,747 363,712
Chiquita Brands International, Inc.,
10.25% - 2006 ................................ $ 250,000 271,250
Citicorp Mortgage Securities, Inc.,
7.25% - 2027 ................................. $ 406,488 300,928
Clark Materials Handling,
10.75% - 2006 ................................ $ 500,000 540,000
Countrywide Home Loans,
7.50% - 2027 ................................. $ 627,690 589,481
PNC Mortgage Securities
Corporation, 6.625% - 2028 ................... $ 415,276 295,624
Residential Asset Securization Trust,
7.50% - 2011 ................................. $ 225,830 184,123
------------
3,076,368
------------
Total corporate bonds - 44.6% ................ 6,627,225
SHORT-TERM INVESTMENTS
- ----------------------
TURKEY - 2.2%
Government of Turkey Treasury
Bill, 0% - 9-2-98(4).......................... 100,000,000,000 331,604
UNITED STATES - 4.0%
U.S. Treasury Bill,
0% - 11-12-98 ................................ $ 400,000 392,492
U.S. Treasury Bill,
0% - 11-27-98 ................................ $ 200,000 195,844
------------
588,336
------------
Total short-term investments - 6.2% .............................. 919,940
------------
Total investments - 97.9% ........................................ 14,556,876
Cash and other assets, less liabilities - 2.1% ................... 319,535
------------
Total net assets - 100.0% ........................................ $ 14,876,411
============
- -------------------------------------------------------------------------------------
</TABLE>
41 See accompanying notes.
<PAGE> 43
SCHEDULE OF INVESTMENTS
JUNE 30, 1998
(UNAUDITED)
SERIES M)(SPECIALIZED ASSET ALLOCATION)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
CORPORATE BONDS AMOUNT VALUE
- --------------------------------------------------------------------------------
<S> <C> <C>
BANKING - 5.7%
Abbey National Place, 6.69% - 2005 ..... $ 175,000 $ 179,156
ABN Amro Bank, 7.55% - 2006 ............ 100,000 108,375
Citicorp, 7.125% - 2003 ................ 1,000,000 1,041,250
Bank of New York, Inc.,
6.50% - 2003 ........................ 185,000 187,775
Star Bank Cincinnati,
6.375% - 2004 ....................... 1,000,000 1,013,750
Washington Mutual Capital,
8.375% - 2027(1)..................... 175,000 196,219
----------
2,726,525
BROKERAGE - 1.0%
Merrill Lynch & Company, Inc.,
8.00% - 2007 ........................ 225,000 250,594
SI Financing, 9.50% - 2026(1)........... 7,420 199,876
----------
450,470
CONSUMER CYCLICAL - 2.0%
Lowe's Companies, Inc.,
6.70% - 2007 ........................ 125,000 128,750
MGM Grand, Inc., 6.95% - 2005 .......... 100,000 99,375
Mirage Resorts, Inc., 6.625% - 2005 .... 100,000 99,250
News American Holdings,
8.625% - 2003 ....................... 200,000 218,000
Rite Aid Corporation, 6.70% - 2001 ..... 400,000 408,000
----------
953,375
CONSUMER NONCYCLICAL - 0.7%
Archer-Daniels-Midland Company,
8.875% - 2011 ....................... 175,000 214,156
Cargill, Inc., 6.15% - 2008 ............ 100,000 99,625
----------
313,781
ENERGY - 0.2%
Occidental Petroleum Corporation,
6.24% - 2000 ........................ 110,000 110,413
INSURANCE - 0.4%
Hartford Life, Inc., 7.10% - 2007 ...... 200,000 208,250
NATURAL GAS - 0.3%
MCN Investment Corporation,
6.32% - 2003 ........................ 125,000 124,844
REAL ESTATE INVESTMENT TRUST - 0.3%
EOP Operating LP, 6.625% - 2005 ........ 150,000 150,562
TECHNOLOGY - 0.3%
Dell Computer Corporation,
6.55% - 2008 ........................ 150,000 151,875
TELECOMMUNICATIONS - 0.8%
GTE Corporation, 6.46% - 2008 .......... 200,000 201,000
SBC Communications Capital
Corporation, 6.625% - 2007 .......... 175,000 180,906
----------
381,906
- --------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT OR
NUMBER MARKET
CORPORATE BONDS(CONTINUED) OF SHARES VALUE
- --------------------------------------------------------------------------------
<S> <C> <C>
TRANSPORTATION - 3.5%
Airborn Freight Corporation,
7.35% - 2005 ........................ $ 500,000 $ 519,375
Hertz Corporation, 7.00% - 2004 ........ 1,100,000 1,137,125
----------
1,656,500
----------
Total corporate bonds - 15.2% ................... 7,228,501
COMMON STOCKS
- -------------
ALUMINUM - 1.1%
Alcan Aluminum, Ltd. ................... 4,300 118,787
Alumax, Inc. ........................... 3,800 176,225
Aluminum Company of America ............ 1,800 118,688
Reynolds Metals Company ................ 2,100 117,469
----------
531,169
BIOTECHNOLOGY - 1.4%
Amgen, Inc.* ........................... 2,800 183,050
Centocor, Inc.* ........................ 3,300 119,625
Chiron Corporation* .................... 7,400 116,087
Genome Therapeutics Corporation* ....... 16,800 75,600
Genzyme Corporation* ................... 2,600 66,463
Intercardia, Inc.* ..................... 3,100 31,000
Millennium Pharmaceutical, Inc.* ....... 3,400 48,025
NeXstar Pharmaceuticals, Inc.* ......... 5,100 50,841
----------
690,691
COMMUNICATION EQUIPMENT - 2.6%
ADC Telecommunications, Inc.* .......... 7,100 259,372
Allen Telecom, Inc.* ................... 6,600 76,725
Andrew Corporation* .................... 4,200 75,862
Lucent Technologies, Inc. .............. 2,800 232,925
Motorola, Inc. ......................... 2,500 131,406
Northern Telecom, Ltd. ................. 2,800 158,900
QUALCOMM, Inc.* ........................ 2,300 129,231
Tellabs, Inc.* ......................... 2,500 179,063
----------
1,243,484
COMPUTERS - NETWORKING - 2.3%
Bay Networks, Inc.* .................... 9,400 303,150
Cabletron Systems, Inc.* ............... 9,800 131,688
Cisco Systems, Inc.* ................... 4,950 455,709
3Com Corporation* ...................... 6,600 202,537
----------
1,093,084
COMPUTERS - PERIPHERALS - 2.6%
EMC Corporation* ....................... 6,000 268,875
Iomega Corporation* .................... 12,600 74,025
Lexmark International Group, Inc.* ..... 4,900 298,900
Quantum Corporation* ................... 7,000 145,250
Read-Rite Corporation* ................. 4,200 38,063
Seagate Technology, Inc.* .............. 5,400 128,587
Storage Technology Corporation* ........ 6,600 286,275
----------
1,239,975
- --------------------------------------------------------------------------------
</TABLE>
42 See accompanying notes.
<PAGE> 44
SCHEDULE OF INVESTMENTS
JUNE 30, 1998
(UNAUDITED)
SERIES M (SPECIALIZED ASSET ALLOCATION)(CONTINUED)
<TABLE>
<CAPTION>
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
- --------------------------------------------------------------------------------
<S> <C> <C>
CONSUMER FINANCE - 1.7%
Capital One Financial Corporation .... 1,200 $ 149,025
Contifinancial Corporation* .......... 4,200 97,125
Greentree Financial Corporation ...... 5,800 248,312
Household International, Inc. ........ 3,300 164,175
MBNA Corporation ..................... 4,500 148,500
----------
807,137
ENTERTAINMENT - 1.7%
Time Warner, Inc. .................... 4,000 341,750
Viacom, Inc.* ........................ 6,000 351,000
The Walt Disney Company .............. 1,200 126,075
----------
818,825
EQUIPMENT - SEMICONDUCTORS - 1.1%
Applied Materials, Inc.* ............. 4,800 141,600
KLA-Tencor Corporation* .............. 4,100 113,519
Novellus Systems, Inc.* .............. 4,500 160,594
Teradyne, Inc.* ...................... 4,000 107,000
----------
522,713
FOOTWEAR - 1.3%
Nike, Inc. ........................... 3,600 175,275
Nine West Group, Inc.* ............... 5,400 144,788
Reebok International, Ltd.* .......... 5,700 157,819
Wolverine World Wide, Inc. ........... 5,900 127,956
----------
605,838
GAMING & LOTTERY - 2.2%
Circus Circus Enterprises, Inc.* ..... 8,900 150,744
Harrah's Entertainment, Inc.* ........ 13,300 309,225
International Game Technology ........ 14,400 349,200
Mirage Resorts, Inc.* ................ 10,900 232,306
----------
1,041,475
GOLD - 3.9%
Barrick Gold Corporation ............. 16,400 314,675
Battle Mountain Gold Company ......... 55,600 330,125
Hecla Mining Company* ................ 24,500 130,156
Homestake Mining Company ............. 33,700 349,638
Newmont Mining Corporation ........... 12,300 290,587
Placer Dome, Inc. .................... 25,700 301,975
Stillwater Mining Company* ........... 4,900 132,913
----------
1,850,069
LEISURE TIME PRODUCTS - 0.5%
Brunswick Corporation ................ 6,400 158,400
Callaway Golf Company ................ 5,300 104,344
----------
262,744
LONG-TERM HEALTH CARE - 2.0%
Beverly Enterprises, Inc.* ........... 6,900 95,306
Genesis Health Ventures, Inc.* ....... 6,400 160,000
HEALTHSOUTH Corporation* ............. 9,675 258,202
- --------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
- --------------------------------------------------------------------------------
<S> <C> <C>
LONG-TERM HEALTH CARE (CONTINUED)
Health Care and Retirements
Corporation* ...................... 3,100 $ 122,256
Integrated Health Services, Inc. ..... 4,300 161,250
Mariner Health Group, Inc.* .......... 9,000 149,625
----------
946,639
MANAGED HEALTH CARE - 1.6%
Express Scripts, Inc.* ............... 3,100 249,938
First Health Group Corporation* ...... 6,200 176,700
Oxford Health Plans* ................. 2,100 32,156
Pacificare Health Systems,Inc.* ...... 1,600 141,400
United Healthcare Corporation ........ 2,600 165,100
----------
765,294
RESTAURANTS - 2.0%
Applebees International, Inc. ........ 3,000 67,125
Brinker International, Inc.* ......... 6,000 115,500
CKE Restaurants, Inc. ................ 3,025 124,781
Cracker Barrel Old Country
Store, Inc. ....................... 5,000 158,750
McDonald's Corporation ............... 2,500 172,500
Outback Steakhouse, Inc.* ............ 2,600 101,400
Ryan's Family Steak House, Inc.* ..... 10,000 102,500
Wendy's International, Inc. .......... 5,000 117,500
----------
960,056
RETAIL - SPECIALTY - 1.6%
AutoZone, Inc.* ...................... 3,500 111,781
Claire's Stores, Inc. ................ 4,100 84,050
OfficeMax, Inc.* ..................... 7,200 118,800
The Pep Boys - Manny, Moe & Jack ..... 3,800 71,963
Staples, Inc.* ....................... 5,400 156,262
Toys "R" Us, Inc.* ................... 2,900 68,331
Viking Office Products, Inc.* ........ 4,300 134,913
----------
746,100
TELECOMMUNICATIONS - 1.0%
Ameritech Corporation ................ 2,000 89,750
Bell Atlantic Corporation ............ 2,008 91,615
Bellsouth Corporation ................ 1,500 100,687
GTE Corporation ...................... 1,600 89,000
SBC Communication, Inc. .............. 2,220 88,800
----------
459,852
TRUCKING - 1.3%
Rollins Truck Leasing Corporation .... 14,250 179,016
Ryder System, Inc. ................... 4,000 126,250
USFreightways Corporation ............ 4,800 157,650
Werner Enterprises, Inc. ............. 8,250 157,265
----------
620,181
----------
Total common stocks - 31.9% .................... 15,205,326
- --------------------------------------------------------------------------------
</TABLE>
43 See accompanying notes.
<PAGE> 45
SCHEDULE OF INVESTMENTS
JUNE 30, 1998
(UNAUDITED)
SERIES M(SPECIALIZED ASSET ALLOCATION)(CONTINUED)
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT OF
NUMBER MARKET
U.S. GOVERNMENT AGENCIES OF SHARES VALUE
- --------------------------------------------------------------------------------
<S> <C> <C>
FEDERAL HOME LOAN MORTGAGES - 0.8%
6.00% - 2006 .......................... $ 55,069 $ 54,862
7.00% - 2020 .......................... $ 250,000 251,085
7.00% - 2021 .......................... $ 88,716 89,121
----------
395,068
FEDERAL NATIONAL MORTGAGE
ASSOCIATION - 2.0%
7.17% - 2007 .......................... $ 500,000 510,320
6.50% - 2018 .......................... $ 140,000 139,423
6.95% - 2020 .......................... $ 170,000 171,877
7.50% - 2020 .......................... $ 147,823 150,695
----------
972,315
U.S. TREASURY BONDS - 2.1%
6.00% - 2026 .......................... $ 950,000 988,741
U.S. TREASURY NOTES - 0.3%
6.875% - 1999 ......................... $ 50,000 50,755
6.50% - 2006 .......................... $ 100,000 106,100
----------
156,855
----------
Total U.S. government & government
agencies - 5.2% .................................. 2,512,979
REAL ESTATE INVESTMENT TRUSTS
- -----------------------------
American Health Properties, Inc. ......... 4,600 115,000
Avalon Bay Communities, Inc. ............. 3,073 116,013
CBL & Associates Properties, Inc. ........ 4,600 111,550
Duke Realty Investment, Inc. ............. 5,700 135,019
Equity Residential Properties, Inc. ...... 2,300 109,106
Federal Realty Investment Trust .......... 4,350 104,672
General Growth Property, Inc. ............ 3,550 132,681
Glimcher Realty Trust .................... 5,550 107,878
Health Care Property Investors, Inc. ..... 3,200 115,400
Kimco Realty Corporation ................. 3,600 147,600
Merry Land & Investment Company .......... 5,200 109,525
New Plan Realty Trust .................... 5,100 124,950
Post Properties, Inc. .................... 2,850 109,725
Public Storage, Inc. ..................... 3,800 106,400
Security Capital Pacific Trust ........... 5,100 114,750
Simon Debartolo Group, Inc. .............. 3,700 120,250
Spieker Properties, Inc. ................. 3,200 124,000
United Dominion Realty Trust , Inc. ...... 7,700 106,838
Washington Real Estate Investment
Trust ................................. 6,400 111,200
Weingarten Realty Investors .............. 2,700 112,894
----------
Total real estate investment trusts - 4.9% ............ 2,335,451
- --------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
FOREIGN STOCKS OF SHARES VALUE
- --------------------------------------------------------------------------------
<S> <C> <C>
BELGIUM - 5.7%
Bekaert SA .............................. 50 $ 41,521
Cementbedrijven Cimenteries ............. 600 67,240
Delhaize - Le Lion ...................... 1,550 108,304
Electrabel .............................. 1,400 396,936
Fortis AG ............................... 850 217,012
Gevaert NV .............................. 900 59,500
Groupe Bruxelles Lambert ................ 700 141,279
KBC Bancassurance Holding ............... 5,500 492,206
Petrofina SA ............................ 850 348,932
Royale Belgium .......................... 650 247,178
Solvay SA ............................... 3,100 245,767
Tractebel Investment International ...... 2,100 307,579
Union Miniere ........................... 500 30,906
----------
2,704,360
DENMARK - 5.9%
A/S Dampskibssellskabet Svendborg ....... 20 244,292
A/S Forsikringsselskabet Codan .......... 514 71,005
Aktieselskabet Potagua .................. 1,605 44,343
Bang & Olufsen Holding A/S .............. 927 66,724
BG Bank A/S ............................. 1,515 93,832
Carlsberg A/S ........................... 2,240 162,861
Cheminova Holding A/S ................... 2,433 52,074
Danisco A/S ............................. 2,768 185,955
Danske Traelast ......................... 616 58,581
Den Danske Bank ......................... 2,779 333,382
D/S Norden A/S .......................... 398 37,618
Finansierings Instituttet for
Industri og Handvaerk A/S ............ 2,146 54,609
Finansieringsselskabet Gefion A/S ....... 2,728 50,776
FLS Industries A/S ...................... 2,409 61,302
ISS International Service System A/S .... 1,682 97,833
J. Lauritzen Holdings A/S ............... 1,007 99,133
Jyske Bank A/S .......................... 692 81,628
Korn-OG Foderstof Kompangniet A/S ....... 1,736 40,943
Novo Nordisk A/S ........................ 2,989 412,035
Radiometer A/S .......................... 1,067 42,629
Ratin A/S ............................... 996 210,728
Sophus Berendsen A/S .................... 996 41,277
Sydbank A/S ............................. 1,224 68,168
Tele Danmark A/S ........................ 1,073 102,978
Topdanmark A/S .......................... 345 57,225
Tryg-Baltica Forsikring A/S ............. 1,449 39,401
----------
2,811,332
GERMANY - 10.7%
Allianz AG .............................. 2,140 705,416
BASF AG ................................. 7,919 375,104
Bayer AG ................................ 5,365 276,716
Bayerische Motoren Werke
(BMW) AG ............................. 300 302,654
Bayerische Motoren Werke
(BMW) AG- Bonus ...................... 60 59,666
- --------------------------------------------------------------------------------
</TABLE>
44 See accompanying notes.
<PAGE> 46
SCHEDULE OF INVESTMENTS
JUNE 30, 1998
(UNAUDITED)
SERIES M(SPECIALIZED ASSET ALLOCATION)(CONTINUED)
<TABLE>
<CAPTION>
NUMBER MARKET
FOREIGN STOCKS(CONTINUED) OF SHARES VALUE
- --------------------------------------------------------------------------------
<S> <C> <C>
GERMANY (CONTINUED)
Bayerische Motoren Werke
(BMW) AG- Rights ................... 360 $ 10,311
Continental AG ........................ 1,198 37,300
Daimler-Benz AG ....................... 2,850 279,468
Daimler-Benz AG-Rights ................ 2,850 3,158
Degussa AG ............................ 860 52,933
Deutsche Bank AG ...................... 5,108 432,545
Deutsche Telekom AG ................... 18,700 504,528
Dresdner Bank AG ...................... 4,589 247,369
Friedrich Grohe AG- Vorzugsak ......... 43 14,651
Heidelberger Zement AG ................ 518 49,073
Hochtief AG ........................... 1,070 51,276
Linde AG .............................. 86 60,270
Merck KGAA ............................ 1,113 49,760
Muenchener Rueckversicherungs-
Gesellschaft AG .................... 430 213,209
Preussag AG ........................... 428 152,702
SAP AG ................................ 728 441,632
Siemens AG ............................ 7,662 466,079
Veba AG ............................... 4,766 324,768
----------
5,110,588
JAPAN - 11.7%
All Nippon Airways Company, Ltd.* ..... 16,000 52,686
Asahi Glass Company, Ltd. ............. 16,000 86,465
Bank of Tokyo-Mitsubishi, Ltd. ........ 16,000 169,355
Bank of Yokohama, Ltd. ................ 9,000 22,048
Bridgestone Corporation ............... 4,000 94,535
Canon, Inc. ........................... 4,000 90,788
Chubu Electric Power Company, Inc. .... 4,800 71,593
Daiei, Inc. ........................... 8,000 18,734
Dai Nippon Printing Company, Ltd. ..... 5,000 79,800
East Japan Railway Company ............ 10 46,979
Fanuc, Ltd. ........................... 900 31,127
Fuji Bank, Ltd. ....................... 15,000 66,902
Fuji Photo Film Company ............... 2,000 69,604
Fujitsu, Ltd. ......................... 9,000 94,679
Hitachi, Ltd. ......................... 17,000 110,855
Honda Motor Company, Ltd. ............. 5,000 177,973
Industrial Bank of Japan, Ltd. ........ 13,000 81,493
Ito-Yokado Company, Ltd. .............. 1,000 47,051
Japan Airlines Company, Ltd.* ......... 16,000 44,500
Kansai Electric Power Company ......... 5,000 86,825
Kawasaki Heavy Industries ............. 16,000 32,280
Kawasaki Steel Corporation ............ 49,000 88,266
Kinki Nippon Railway Company, Ltd. .... 20,000 93,670
Kirin Brewery Company, Ltd. ........... 10,000 94,391
Komatsu, Ltd. ......................... 8,000 38,851
Kyocera Corporation ................... 2,000 97,705
Marubeni Corporation .................. 24,000 47,901
Marui Company, Ltd. ................... 3,000 44,745
Matsushita Electric Industrial
Company, Ltd. ...................... 12,000 192,816
- --------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT OR
NUMBER MARKET
FOREIGN STOCKS(CONTINUED) OF SHARES VALUE
- ----------------------------------------------------------------------------------
<S> <C> <C>
JAPAN (CONTINUED)
Mitsubishi Corporation ............................... 21,000 $ 130,129
Mitsubishi Estate Company, Ltd. ...................... 8,000 70,325
Mitsubishi Heavy Industrial, Ltd. .................... 26,000 98,166
Mitsubishi Motors Corporation ........................ 17,000 40,790
Mitsui Fudosan Company, Ltd. ......................... 9,000 71,074
NEC Corporation ...................................... 10,000 93,166
Nippondenso Company, Ltd. ............................ 5,000 82,862
Nippon Oil Company, Ltd. ............................. 16,000 51,648
Nippon Steel Corporation ............................. 47,000 82,631
Nippon Telegraph &
Telephone Corporation ............................. 30 248,586
Nissan Motor Company, Ltd. ........................... 16,000 50,380
Normura Securities Company,Ltd ....................... 12,000 139,640
Sankyo Company, Ltd. ................................. 3,000 68,307
Secom Company, Ltd. .................................. 1,000 57,715
Seibu Railway, Ltd. .................................. 4,000 121,627
Sekisui House, Ltd. .................................. 18,000 139,424
Seven-Eleven Japan Company, Ltd. ..................... 2,000 119,033
Sharp Corporation .................................... 8,000 64,791
Shin-Etsu Chemical Company ........................... 5,000 86,465
Sony Corporation ..................................... 1,600 137,767
Sumitomo Bank, Ltd. .................................. 20,000 194,546
Sumitomo Chemical Company ............................ 23,000 70,930
Taisho Pharmaceutical Company, Ltd. .................. 3,000 55,986
Takeda Chemical Industries ........................... 4,000 106,352
Tokai Bank, Ltd. ..................................... 9,000 49,544
Tokio Marine & Fire Insurance Company ................ 10,000 102,749
Tokyo Electric Power Company ......................... 14,500 284,181
Tokyu Corporation .................................... 25,000 75,837
Toshiba Corporation .................................. 17,000 69,453
Toyoda Automatic Loom Works, Ltd. .................... 3,000 52,960
Toyota Motor Corporation ............................. 10,000 258,674
-----------
5,550,355
-----------
Total foreign stocks - 34.0% .................................... 16,176,635
TEMPORARY CASH INVESTMENTS
- --------------------------
MONEY MARKET FUNDS - 2.1%
Vista Federal Money
Market Fund ....................................... $ 1,013,000 1,013,000
FEDERAL NATIONAL MORTGAGE ASSOCIATION
DISCOUNT NOTES - 6.3%
5.38% - 7-2-98 .................................... $ 2,000,000 1,999,701
5.43% - 7-15-98 ................................... $ 1,000,000 997,888
-----------
2,997,589
Total temporary cash investments - 8.4% ......................... 4,010,589
-----------
Total investments - 99.6% ....................................... 47,469,481
Cash and other assets, less liabilities - 0.4% .................. 169,404
-----------
Total net assets - 100% ......................................... $47,638,885
===========
- ----------------------------------------------------------------------------------
</TABLE>
45 See accompanying notes.
<PAGE> 47
SCHEDULE OF INVESTMENTS
JUNE 30, 1998
(UNAUDITED)
SERIES N (MANAGED ASSET ALLOCATION)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
CORPORATE BONDS AMOUNT VALUE
- --------------------------------------------------------------------------------
<S> <C> <C>
AUTOMOTIVE - 0.2%
Federal-Mogul Corporation,
7.75% - 2006 ........................ $100,000 $101,125
BANKING - 1.1%
Bankers Trust - NY, 7.25% - 2003 ....... 100,000 103,875
Banque Paribas - NY, 6.875% - 2009 ..... 500,000 511,250
--------
615,125
BUILDING MATERIALS - 0.4%
ABC Supply Company (Series B)
10.625% - 2007 ...................... 50,000 51,688
Associated Materials, Inc.,
9.25% - 2008 ....................... 50,000 51,375
Synthetic Industries, 9.25% - 2007 ..... 50,000 51,625
Werner Holdings Company, Inc.,
10.00% - 2007 ....................... 50,000 52,250
--------
206,938
CAPITAL GOODS - OTHER - 0.2%
International Wire Group,
11.75% - 2005 ....................... 100,000 110,000
CHEMICALS - 0.2%
Agricultural Minerals & Chemicals,
10.75% - 2003 ....................... 50,000 53,063
Furon Company, 8.125% - 2008 ........... 50,000 49,937
--------
103,000
CONSTRUCTION MATERIALS - 0.1%
Columbus McKinnon Corporation,
8.50% - 2008 ........................ 50,000 49,250
CONSUMER CYCLICAL - OTHER - 0.9%
EOP Operating, 6.75% - 2008 ............ 500,000 505,000
CONSUMER NONCYCLICAL - OTHER - 0.2%
APCOA, Inc., 9.25% - 2008 .............. 50,000 49,875
Coinmach Corporation, (Series B),
11.75% - 2005 ....................... 50,000 55,750
--------
105,625
CONSUMER PRODUCTS - 0.8%
American Safety Razor Company,
9.875% - 2005 ....................... 100,000 107,625
Chattem, Inc., 12.75% - 2004 ........... 50,000 56,375
Doane Products Company,
10.625% - 2006 ...................... 50,000 53,875
Holmes Products Corporation,
9.875% - 2007 ....................... 50,000 51,625
Purina Mills, Inc., 9.00% - 2010 ....... 75,000 77,063
Revlon Consumer Products Company,
10.50% - 2003 ....................... 50,000 50,125
Windy Hill Pet Food Company,
9.75% - 2007 ........................ 50,000 52,875
--------
449,563
- --------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL MARKET
CORPORATE BONDS (CONTINUED) AMOUNT VALUE
- --------------------------------------------------------------------------------
<S> <C> <C>
DEFENSE - 0.2%
Raytheon Company, 6.50% - 2005 ......... $100,000 $101,375
ENTERTAINMENT - 0.9%
AMC Entertainment, Inc.,
9.50% - 2009 ........................ 50,000 51,187
Bally Total Fitness Holding,
9.875% - 2007 ....................... 100,000 103,000
Empress Entertainment,
8.125% - 2006 ....................... 100,000 100,250
Six Flags Entertainment,
8.875% - 2006 ....................... 50,000 51,000
Six Flags Theme Parks,
12.25% - 2005 ....................... 75,000 84,469
Time Warner Entertainment,
7.25% - 2008 ........................ 100,000 106,750
--------
496,656
ENVIRONMENTAL - 0.1%
Allied Waste North America,
10.25% - 2006 ....................... 50,000 55,062
FINANCE - 1.4%
Intertek Finance PLC, 10.25% - 2006 50,000 53,000
Lehman Brothers, Inc., 7.25% - 2003 350,000 363,563
Ocwen Capital Trust,
10.875% - 2027 ...................... 100,000 109,000
Penske Truck Leasing, 6.65% - 2000 100,000 101,625
Salomon, Inc., 6.75% - 2003 ............ 100,000 101,375
--------
728,563
FOOD - 0.5%
Archibald Candy Corporation,
10.25% - 2004 ....................... 50,000 53,125
Aurora Foods, Inc., 9.875% - 2007 ...... 50,000 52,625
B&G Foods, Inc., 9.625% - 2007 ......... 25,000 25,375
McDonald's Corporation,
6.625% - 2005 ....................... 50,000 51,875
Price/Costco, Inc., 7.125% - 2005 ...... 100,000 106,000
--------
289,000
GAMING - 0.4%
Grand Casinos, 10.125% - 2003 .......... 50,000 54,563
Horseshoe Gaming LLC,
9.375% - 2007 ....................... 100,000 105,500
Rio Hotel & Casino, Inc.,
10.625% - 2005 ...................... 30,000 32,625
Rio Hotel & Casino, Inc.,
9.50% - 2007 ........................ 25,000 26,375
--------
219,063
HEALTHCARE - 0.1%
Owens & Minor, Inc.,
10.875% - 2006 ...................... 25,000 27,250
Quest Diagnostic, Inc.,
10.75% - 2006 ....................... 25,000 27,875
--------
55,125
- --------------------------------------------------------------------------------
</TABLE>
46 See accompanying notes.
<PAGE> 48
SCHEDULE OF INVESTMENTS
JUNE 30, 1998
(UNAUDITED)
SERIES N (MANAGED ASSET ALLOCATION)(CONTINUED)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
CORPORATE BONDS(CONTINUED) AMOUNT VALUE
- --------------------------------------------------------------------------------
<S> <C> <C>
INSURANCE - 0.2%
New York Life Insurance,
7.50% - 2023 ..................... $100,000 $101,250
LODGING - 0.4%
Courtyard by Marriott,
10.75% - 2008 .................... 100,000 110,125
Host Marriott Travel Plaza,
9.50% - 2005 ..................... 100,000 106,000
--------
216,125
MEDIA - CABLE - 0.7%
Comcast Cable Communications,
8.125% - 2004 .................... 100,000 108,375
Frontiervision, 11.00% - 2006 ....... 50,000 55,375
Fundy Cable, Ltd., 11.00% - 2005 .... 50,000 54,875
Marcus Cable Operating Company,
0.00% - 2004 ..................... 50,000 48,625
Northland Cable Television,
10.25% - 2007 .................... 100,000 106,750
--------
374,000
MEDIA - NONCABLE - 0.4%
American Radio Systems,
9.00% - 2006 ..................... 50,000 53,125
Chancellor Media Corporation
8.125% - 2007 .................... 100,000 101,375
Mediacom LLC, 8.50% - 2008 .......... 25,000 24,937
Sun Media Corporation,
9.50% - 2007 ..................... 32,000 33,920
--------
213,357
METALS - 0.3%
AEI Holdings, 10.00% - 2007 ......... 50,000 49,375
Freeport McMoran Resources,
7.00% - 2008 ..................... 50,000 51,000
Maxxam Group, Inc.,
11.25% - 2003 .................... 50,000 52,875
--------
153,250
OIL FIELD SERVICES - 0.1%
Pride Petroleum Services, Inc.,
9.375% - 2007 .................... 50,000 52,687
OTHER 0.1%
Herff Jones, Inc., (Series B),
11.00% - 2005 .................... 50,000 55,063
Paragon Corporate Holdings,
9.625% - 2008 .................... 25,000 22,937
--------
78,000
- --------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL MARKET
CORPORATE BONDS(CONTINUED) AMOUNT VALUE
- --------------------------------------------------------------------------------
<S> <C> <C>
PACKAGING - 0.4%
Bway Corporation, (Series B)
10.25% - 2007 ..................... $ 50,000 $ 54,250
Container Corporation of America,
10.75% - 2002 ..................... 100,000 110,000
Plastic Containers, Inc.,
10.00% - 2006 ..................... 25,000 26,875
U.S. Can Corporation,
10.125% - 2006 .................... 50,000 52,813
----------
243,938
RETAILERS - 0.5%
Eye Care Center of America,
9.125% - 2008 ..................... 50,000 49,375
Finlay Fine Jewelry Corporation,
8.375% - 2008 ..................... 100,000 100,250
Safelite Glass Corporation,
9.875% - 2006 ..................... 49,693 52,550
Specialty Retailers, 8.50% - 2005 .... 50,000 51,500
----------
253,675
SERVICES - 0.1%
Dyncorp, Inc., 9.50% - 2007 .......... 50,000 51,375
TECHNOLOGY - 0.4%
Celestica International,
10.50% - 2006 ..................... 50,000 55,125
Communications & Power Industry,
12.00% - 2005 ..................... 100,000 111,375
Fairchild Semiconductor,
10.125% - 2007 .................... 50,000 51,500
----------
218,000
TELECOMMUNICATIONS - 1.9%
Flag, Ltd., 8.25% - 2008 ............. 25,000 25,219
Intermedia Communications
(Series B), 8.50% - 2008 .......... 50,000 50,000
Lucent Technologies, Inc.,
6.90% - 2001 ...................... 100,000 102,750
Nextel Communications,
0.00% - 2007 ...................... 75,000 48,844
Price Communications,
9.125% - 2006 ..................... 100,000 99,750
Qwest Communications
International, 0.00% - 2007 ....... 50,000 37,562
Sprint Spectrum LP, 11.00% - 2006 .... 100,000 115,000
Worldcom, Inc., 7.75% - 2007 ......... 500,000 541,875
----------
1,021,000
TEXTILES - 0.2%
Dan River, Inc., 10.125% - 2003 ...... 50,000 53,375
Westpoint Stevens, Inc.,
7.875% - 2008 ..................... 50,000 49,875
----------
103,250
- --------------------------------------------------------------------------------
</TABLE>
47 See accompanying notes.
<PAGE> 49
SCHEDULE OF INVESTMENTS
JUNE 30, 1998
(UNAUDITED)
SERIES N (MANAGED ASSET ALLOCATION)(CONTINUED)
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT OR
NUMBER MARKET
CORPORATE BONDS (CONTINUED) OF SHARES VALUE
- --------------------------------------------------------------------------------
<S> <C> <C>
TRANSPORTATION - OTHER - 0.2%
Sea Containers, Ltd.,
12.50% - 2004 .................. $ 30,000 $ 33,862
Stena AB, 10.50% - 2005 ........... $ 50,000 54,500
----------
88,362
UTILITY - ELECTRIC - 1.6%
Energy Louisiana, Inc.,
6.50% - 2008 ................... $ 500,000 502,500
Midwest Power System,
7.125% - 2003 .................. $ 140,000 146,125
Niagra Mohawk Power,
0.00% - 2010 ................... $ 200,000 138,750
Southern California Edison,
6.50% - 2001 ................... $ 50,000 50,687
----------
838,062
UTILITY - NATURAL GAS - 0.2%
Energy Corporation of America,
9.50% - 2007 ................... $ 100,000 98,500
----------
Total corporate bonds - 15.4% .................. 8,295,301
COMMON STOCKS
- -------------
AEROSPACE/DEFENSE - 0.4%
Boeing Company .................... 2,814 125,399
Lockheed Martin Corporation ....... 600 63,525
Northrop Grumman Corporation ...... 300 30,937
----------
219,861
AGRICULTURAL PRODUCTS - 0.1%
Archer-Daniels Midland Company .... 2,401 46,519
AIRLINES - 0.3%
AMR Corporation* .................. 800 66,600
Delta Air Lines, Inc. ............. 400 51,700
KLM Royal Dutch Air Lines
NV ADR ......................... 800 32,750
Southwest Airlines ................ 700 20,738
----------
171,788
ALUMINUM - 0.1%
Aluminum Company of America ....... 800 52,750
AMERICAN GOLD - 0.1%
Barrick Gold Corporation .......... 1,600 30,700
Placer Dome, Inc. ................. 1,500 17,625
----------
48,325
AUTO PARTS & EQUIPMENT - 0.2%
Eaton Corporation ................. 400 31,100
Genuine Parts Company ............. 1,150 39,747
TRW, Inc. ......................... 700 38,237
----------
109,084
- --------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
- --------------------------------------------------------------------------------
<S> <C> <C>
AUTOMOBILES - 1.0%
Chrysler Corporation .............. 1,700 $ 95,838
Echlin, Inc. ...................... 800 39,250
Ford Motor Company ................ 3,700 218,300
General Motors Corporation ........ 2,300 153,669
Honda Motor Company, Ltd. ADR ..... 700 50,006
----------
557,063
BANKS - MAJOR REGIONAL - 4.0%
BB&T Corporation .................. 500 33,812
Banc One Corporation .............. 1,760 98,230
Banco Frances Del Rio De
La Plata ADR ................... 805 18,465
Bank of New York Company, Inc. .... 900 54,619
BankBoston Corporation ............ 800 44,500
BankAmerica Corporation ........... 2,300 198,806
Bankers Trust Corporation ......... 200 23,212
Citicorp .......................... 1,300 194,025
Comerica, Inc. .................... 650 43,062
Fifth Third Bancorp ............... 1,125 70,875
First Chicago NBD Corporation ..... 1,000 88,625
First Union Corporation ........... 3,058 178,129
Fleet Financial Group, Inc. ....... 1,100 91,850
Huntington Bancshares, Inc. ....... 700 23,450
KeyCorp ........................... 1,800 64,125
Mellon Bank Corporation ........... 900 62,663
Mercantile Bancorporation ......... 400 20,150
J.P. Morgan & Company, Inc. ....... 600 70,275
National City Corporation ......... 900 63,900
Nationsbank Corporation ........... 2,300 175,950
Northern Trust Corporation ........ 600 45,750
Norwest Corporation ............... 2,700 100,913
PNCBank Corporation ............... 1,115 60,001
State Street Boston ............... 600 41,700
Suntrust Banks, Inc. .............. 900 73,181
U.S. Bancorp ...................... 2,331 100,233
Wells Fargo & Company ............. 300 110,700
----------
2,151,201
BANKS - MONEY CENTER - 0.4%
Chase Manhattan Corporation ....... 2,424 183,012
Summit Bancorp .................... 500 23,750
----------
206,762
BEVERAGES - ALCOHOLIC - 0.3%
Anheuser-Busch Companies, Inc. .... 1,200 56,625
Diageo PLC ADR .................... 777 37,442
LVMH Moet Hennessy Lou ADR ........ 1,000 39,500
Seagram Company, Ltd. ............. 1,000 40,937
----------
174,504
BEVERAGES - SOFT DRINK - 1.5%
Coca-Cola Company ................. 7,000 598,500
Pepsico, Inc. ..................... 4,700 193,581
----------
792,081
- --------------------------------------------------------------------------------
</TABLE>
48 See accompanying notes.
<PAGE> 50
SCHEDULE OF INVESTMENTS
JUNE 30, 1998
(UNAUDITED)
SERIES N (MANAGED ASSET ALLOCATION)(CONTINUED)
<TABLE>
<CAPTION>
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
- -----------------------------------------------------------------------------
<S> <C> <C>
BIOTECHNOLOGY - 0.1%
Amgen, Inc.* ................................ 1,000 $ 65,375
BROADCAST MEDIA - 0.5%
Clear Channel Communications, Inc.* ......... 600 65,475
Comcast Corporation (Cl. A) ................. 1,100 44,653
MediaOne Group, Inc.* ....................... 1,800 79,088
Viacom, Inc. (Cl. B)* ....................... 1,400 81,550
----------
270,766
BUILDING MATERIALS - 0.1%
Armstrong World Industries, Inc. ............ 300 20,212
Masco Corporation ........................... 700 42,350
----------
62,562
CHEMICALS - BASIC - 1.1%
Air Products and Chemicals, Inc. ............ 1,000 40,000
Akzo Nobel NV ADR ........................... 1,300 144,138
Dow Chemical Company ........................ 800 77,350
(E.I.) du Pont de Nemours & Company ......... 3,500 261,188
FMC Corporation* ............................ 300 20,456
Great Lakes Chemical Company ................ 700 27,606
Morton International, Inc. .................. 900 22,500
Solutia, Inc. ............................... 680 19,507
----------
612,745
CHEMICALS - DIVERSIFIED - 0.2%
Monsanto Company ............................ 2,200 122,925
CHEMICALS - SPECIALTY - 0.3%
Minnesota Mining & Manufacturing
Company .................................. 1,300 106,844
Rohm & Haas Company ......................... 400 41,575
----------
148,419
COMMUNICATIONS EQUIPMENT - 1.1%
Lucent Technologies ......................... 3,672 305,465
Motorola, Inc. .............................. 1,800 94,613
Oy Nokia AB Corporation ADR ................. 600 43,537
Northern Telecom, Ltd. ...................... 1,800 102,150
Tellabs, Inc.* .............................. 700 50,137
----------
595,902
COMPUTER HARDWARE - 1.6%
Compaq Computer Company ..................... 5,256 149,139
Dell Computer Corporation* .................. 2,400 222,750
Hewlett-Packard Company ..................... 2,600 155,675
International Business Machines
Corporation .............................. 2,600 298,513
Sun Microsystems, Inc.* ..................... 1,400 60,812
----------
886,889
- -----------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
COMMON STOCKS)(CONTINUED) OF SHARES VALUE
- -----------------------------------------------------------------------------
<S> <C> <C>
COMPUTER SOFTWARE/SERVICES - 2.1%
Adobe Systems, Inc. ......................... 700 $ 29,706
Ceridian Corporation* ....................... 600 35,250
Computer Associates International,
Inc ...................................... 1,700 94,456
HBO & Company ............................... 1,400 49,350
Microsoft Corporation* ...................... 7,200 780,300
Novell, Inc.* ............................... 3,000 38,250
Oracle Corporation* ......................... 2,850 70,003
Parametric Technology Company* .............. 1,200 32,550
----------
............................................. 1,129,865
COMPUTERS - NETWORKING - 0.6%
Bay Networks, Inc.* ......................... 1,200 38,700
Cisco Systems, Inc.* ........................ 2,800 257,775
3COM Corporation* ........................... 1,000 30,688
----------
............................................. 327,163
COMPUTERS - PERIPHERALS - 0.2%
EMC Corporation* ............................ 1,500 67,219
Seagate Technology* ......................... 1,100 26,194
----------
............................................. 93,413
CONSUMER FINANCE - 0.3%
Greentree Financial Corporation ............. 600 25,688
Household International, Inc. ............... 1,500 74,625
MBNA Corporation ............................ 1,500 49,500
----------
............................................. 149,813
CONTAINERS & PACKAGING - 0.1%
Bemis Company, Inc. ......................... 500 20,437
Owens-Illinois, Inc.* ....................... 900 40,275
----------
............................................. 60,712
DISTRIBUTION - FOOD & HEALTH - 0.1%
Cardinal Health, Inc. ....................... 500 46,875
Sysco Corporation ........................... 1,000 25,625
----------
............................................. 72,500
ELECTRIC COMPANIES - 1.2%
American Electric Power
Company, Inc. ............................ 500 22,687
Baltimore Gas & Electric Company ............ 800 24,850
Consolidated Edison, Inc. ................... 700 32,244
Dominion Resources, Inc. .................... 1,100 44,825
Duke Energy Corporation ..................... 1,300 77,025
Edison International ........................ 1,700 50,256
Empresa Nacional Electricidad
Chile S.A. ADR ........................... 500 7,125
Empresa Nacional De Electricidad
S.A. ADR ................................. 2,400 51,900
Entergy Corporation ......................... 1,100 31,625
FPL Group, Inc. ............................. 900 56,700
FirstEnergy Corporation ..................... 800 24,600
Niagra Mohawk Power Corporation* ............ 2,400 35,850
- -----------------------------------------------------------------------------
</TABLE>
49 See accompanying notes.
<PAGE> 51
SCHEDULE OF INVESTMENTS
JUNE 30, 1998
(UNAUDITED)
SERIES N(MANAGED ASSET ALLOCATION)(CONTINUED)
<TABLE>
<CAPTION>
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
- --------------------------------------------------------------------------------
<S> <C> <C>
ELECTRIC COMPANIES (CONTINUED)
P G & E Corporation ..................... 1,600 $ 50,500
Southern Company ........................ 2,300 63,681
Texas Utilities Company ................. 1,300 54,113
Unicom Corporation ...................... 1,100 38,569
----------
666,550
ELECTRICAL EQUIPMENT - 1.9%
Emerson Electric Company ................ 1,500 90,469
General Electric Company ................ 9,200 837,200
Honeywell, Inc. ......................... 700 58,494
Rockwell International Corporation ...... 900 43,256
----------
1,029,419
ELECTRONIC EQUIPMENT - 0.3%
Hitachi, Ltd. ADR ....................... 300 19,350
Philips Electronics NV ADR .............. 2,000 170,000
----------
189,350
ELECTRONICS - DEFENSE - 0.1%
Raytheon Company (Cl. A) ................ 421 24,260
Raytheon Company (Cl. B) ................ 500 29,563
----------
53,823
ELECTRONICS - SEMI-CONDUCTORS - 0.9%
Altera Corporation* ..................... 600 17,738
Analog Devices, Inc.* ................... 667 16,383
Intel Corporation ....................... 4,600 340,975
Texas Instruments, Inc. ................. 1,300 75,806
Xilinx, Inc.* ........................... 400 13,600
----------
464,502
ENTERTAINMENT - 0.7%
The Walt Disney Company ................. 1,914 201,090
Time Warner, Inc. ....................... 1,900 162,331
----------
363,421
EQUIPMENT - SEMICONDUCTORS - 0.1%
Applied Materials, Inc.* ................ 1,300 38,350
FINANCIAL - DIVERSE - 2.3%
American Express Company ................ 1,400 159,600
American General Corporation ............ 800 56,950
Associates First Capital Corporation .... 864 66,420
Banco Bilbao Viz ADR .................... 3,000 153,000
Fannie Mae .............................. 2,700 164,025
Federal Home Loan Mortgage
Corporation .......................... 2,600 122,363
H & R Block, Inc. ....................... 500 21,062
Merrill Lynch & Company, Inc. ........... 1,100 101,475
Morgan Stanley, Dean Witter
and Company .......................... 1,630 148,941
SunAmerica, Inc. ........................ 800 45,950
Travelers Group, Inc. ................... 3,347 202,912
----------
1,242,698
- --------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
COMMON STOCKS)(CONTINUED) OF SHARES VALUE
- --------------------------------------------------------------------------------
<S> <C> <C>
FOODS - 1.2%
BestFoods .............................. 1,000 $ 58,062
Conagra, Inc. .......................... 1,900 60,206
Earthgrains Company .................... 64 3,576
General Mills .......................... 700 47,862
Heinz (H.J.) Company ................... 1,100 61,738
Hershey Foods Corporation .............. 400 27,600
Kellogg Company ........................ 1,500 56,344
Ralston - Ralston Purina Group ......... 400 46,725
Sara Lee Corporation ................... 1,700 95,094
Unilever NY ADR ........................ 2,000 157,875
William Wrigley, Jr. Company ........... 400 39,200
----------
654,282
FOOTWEAR - 0.1%
Nike, Inc. (Cl. B) ..................... 800 38,950
GAMING & LOTTERY - 0.1%
Mirage Resorts, Inc.* .................. 1,400 29,837
HARDWARE & TOOLS - 0.1%
Black & Decker Corporation ............. 500 30,500
HEALTH CARE - DIVERSE - 1.8%
Abbott Laboratories .................... 4,200 171,675
American Home Products Corporation ..... 3,600 186,300
Bristol-Myers Squibb Company ........... 2,800 321,825
Johnson & Johnson ...................... 3,700 272,875
----------
952,675
HEALTH CARE - LONG TERM CARE - 0.1%
HEALTHSOUTH Corporation* ............... 1,400 37,362
HEALTH CARE - MANAGED CARE - 0.1%
United Healthcare Corporation .......... 700 44,450
HEALTH CARE - PHARMACEUTICALS - 3.0%
Glaxo Wellcome Plc ADR ................. 900 53,831
Eli Lilly & Company .................... 2,900 191,581
Merck & Company, Inc. .................. 3,500 468,125
Pfizer, Inc. ........................... 3,900 423,881
Pharmacia & Upjohn, Inc. ............... 1,900 87,638
Schering-Plough Corporation ............ 2,400 219,900
Warner Lambert Company ................. 2,200 152,625
----------
1,597,581
HOMEBUILDING - 0.1%
PPG Industries, Inc. ................... 700 48,694
HOSPITAL MANAGEMENT - 0.1%
Columbia/HCA Healthcare
Corporation ......................... 2,400 69,900
HOUSEHOLD PRODUCTS - 1.2%
Clorox Company ......................... 600 57,225
Colgate-Palmolive Company .............. 1,100 96,800
Fort James Corporation ................. 900 40,050
Kimberly-Clark Corporation ............. 1,900 87,162
Procter & Gamble Company, The .......... 3,900 355,144
----------
636,381
- --------------------------------------------------------------------------------
</TABLE>
50 See accompanying notes.
<PAGE> 52
SCHEDULE OF INVESTMENTS
JUNE 30, 1998
(UNAUDITED)
SERIES N (MANAGED ASSET ALLOCATION) (CONTINUED)
<TABLE>
<CAPTION>
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
- --------------------------------------------------------------------------------
<S> <C> <C>
INSURANCE - BROKERS - 0.1%
Conseco, Inc. ............................... 600 $ 28,050
MGIC Investment Corporation ................. 300 17,119
Marsh & McLennan Companies, Inc. ............ 600 36,262
--------
81,431
INSURANCE - LIFE/HEALTH - 0.2%
Aetna, Inc. ................................. 544 41,412
Torchmark Corporation ....................... 600 27,450
Unum Corporation ............................ 800 44,400
--------
113,262
INSURANCE - MULTILINE - 1.0%
American International Group, Inc. .......... 1,900 277,400
Cigna Corporation ........................... 900 62,100
General Re Corporation ...................... 300 76,050
Hartford Financial Services Group, Inc. ..... 400 45,750
Lincoln National Corporation ................ 500 45,688
Loews Corporation ........................... 400 34,850
--------
541,838
INSURANCE - PROPERTY - 0.5%
Allstate Corporation ........................ 1,200 109,875
Chubb Corporation ........................... 800 64,300
Progressive Corporation ..................... 400 56,400
Selective Insurance Group ................... 800 17,925
--------
248,500
INVESTMENT BANK/BROKERAGE - 0.1%
Franklin Resources, Inc. .................... 700 37,800
Schwab (Charles) Corporation ................ 1,150 37,375
--------
75,175
IRON & STEEL - 0.0%
Nucor Corporation ........................... 500 23,000
LEISURE TIME PrODUCTS - 0.1%
Brunswick Corporation ....................... 900 22,275
Mattel, Inc. ................................ 600 25,387
--------
47,662
LODGING - HOTELS - 0.1%
Marriott International, Inc. (Cl.A) ......... 1,000 32,375
MACHINERY - DIVERSE - 0.3%
Caterpillar, Inc. ........................... 1,300 68,738
Deere & Company ............................. 800 42,300
Dover Corporation ........................... 900 30,825
Ingersoll-Rand Company ...................... 500 22,031
--------
163,894
MANUFACTURING - DIVERSIFIED - 0.8%
AlliedSignal, Inc. .......................... 2,000 88,750
Corning, Inc. ............................... 1,000 34,750
Illinois Tool Works, Inc. ................... 800 53,350
Textron, Inc. ............................... 600 43,013
Tyco International, Ltd. .................... 1,900 119,700
United Technologies Corporation ............. 900 83,250
--------
422,813
- --------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
- --------------------------------------------------------------------------------
<S> <C> <C>
MANUFACTURING - SPECIALIZED - 0.4%
CBS Corporation ............................. 2,000 $ 63,500
Goodyear Tire & Rubber Company .............. 500 32,219
Pall Corporation ............................ 1,300 26,650
Sealed Air Corporation* ..................... 300 11,025
Thermo Electron Corporation* ................ 1,200 41,025
Tomkins Plc ADR ............................. 2,000 45,750
----------
220,169
MEDICAL PRODUCTS & SUPPLIES - 0.6%
Baxter International, Inc. .................. 1,000 53,812
Becton, Dickinson & Company ................. 700 54,338
Boston Scientific Corporation* .............. 800 57,300
Guidant Corporation ......................... 800 57,050
Medtronic, Inc. ............................. 1,600 102,000
----------
324,500
MISCELLANEOUS BUSINESS SERVICES - 0.1%
Equifax, Inc. ............................... 800 29,050
NATURAL GAS - 0.1%
Sonat, Inc. ................................. 800 30,900
OFFICE EQUIPMENT & SUPPLIES - 0.1%
Ikon Office Solutions, Inc. ................. 1,100 16,019
Pitney-Bowes, Inc. .......................... 1,200 57,750
----------
73,769
OIL - DOMESTIC - 0.1%
Atlantic-Richfield Company .................. 600 46,875
Unocal Corporation .......................... 700 25,025
----------
71,900
OIL - INTERNATIONAL - 3.0%
Amoco Corporation ........................... 3,300 137,362
British Petroleum PLC ADR ................... 600 52,950
Chevron Corporation ......................... 2,100 174,431
Exxon Corporation ........................... 6,800 484,925
Mobil Corporation ........................... 2,100 160,913
Occidental Petroleum Corporation ............ 1,700 45,900
Royal Dutch Petroleum Company
NY Shares ................................ 7,100 389,169
Texaco, Inc. ................................ 1,700 101,469
USX Marathon Group .......................... 1,300 44,606
----------
1,591,725
OIL & GAS - DRILLING & EQUIPMENT - 0.5%
B.J. Services Company* ...................... 1,400 40,687
Halliburton Company ......................... 1,100 49,019
Repsol S.A. ADR ............................. 400 22,000
Schlumberger, Ltd. .......................... 1,500 102,469
Union Pacific Resources Group, Inc. ......... 1,738 30,524
----------
244,699
- --------------------------------------------------------------------------------
</TABLE>
51 See accompanying notes.
<PAGE> 53
SCHEDULE OF INVESTMENTS
JUNE 30, 1998
(UNAUDITED)
SERIES N (MANAGED ASSET ALLOCATION)(CONTINUED)
<TABLE>
<CAPTION>
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
- -------------------------------------------------------------------------------
<S> <C> <C>
OIL & GAS - EXPLORATION & PRODUCTION - 0.6%
Amerada Hess Corporation ....................... 1,000 $ 54,313
Anadarko Petroleum Corporation ................. 100 6,719
Apache Corporation ............................. 500 15,750
Burlington Resources, Inc. ..................... 800 34,450
Enron Corporation .............................. 1,100 59,469
Ente Nazionale Idroncarburi S.p.a. ADR ......... 400 26,000
Helmerich & Payne, Inc. ........................ 400 8,900
Phillips Petroleum Company ..................... 800 38,550
Shell Transport & Trading Company .............. 900 38,137
Total S.A. ADR ................................. 1,000 65,375
--------
347,663
OIL & GAS - REFINING & MARKETING - 0.1%
The Williams Companies, Inc. ................... 1,600 54,000
PAPER & FOREST PRODUCTS - 0.2%
Georgia-Pacific Corporation
(GP Group) .................................. 400 23,575
Georgia-Pacific Corporation
(Timber Group) .............................. 400 9,200
International Paper Company .................... 1,400 60,200
Weyerhaeuser Company ........................... 400 18,475
--------
111,450
PERSONAL CARE - 0.5%
Avon Products, Inc. ............................ 700 54,250
Gillette Company ............................... 3,000 170,063
International Flavors &
Fragrances, Inc. ............................ 800 34,750
--------
259,063
PHOTOGRAPHY/IMAGING - 0.3%
Eastman Kodak Company .......................... 900 65,756
Xerox Corporation .............................. 800 81,300
--------
147,056
PUBLISHING - 0.2%
R.R. Donnelley & Sons Company .................. 600 27,450
Dun & Bradstreet Corporation ................... 400 14,450
McGraw-Hill Companies, Inc. .................... 600 48,937
--------
90,837
PUBLISHING - NEWSPAPER - 0.2%
Gannett Company, Inc. .......................... 1,000 71,063
Tribune Company ................................ 600 41,287
--------
112,350
RAILROADS - 0.2%
Burlington Northern Santa Fe
Corporation ................................. 400 39,275
CSX Corporation ................................ 800 36,400
Norfolk Southern Corporation ................... 1,100 32,794
Union Pacific Corporation ...................... 600 26,475
--------
134,944
- --------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
- -------------------------------------------------------------------------------
<S> <C> <C>
RESTAURANTS - 0.4%
Brinker International, Inc.* ................... 1,500 $ 28,875
Darden Restaurants, Inc. ....................... 1,400 22,225
McDonald's Corporation ......................... 1,900 131,100
Tricon Global Restaurants* ..................... 740 23,449
--------
205,649
RETAIL - APPAREL - 0.2%
GAP, Inc. ...................................... 1,050 64,706
Nordstrom, Inc. ................................ 300 23,175
TJX Companies, Inc. ............................ 800 19,300
--------
107,181
RETAIL - DEPARTMENT STORES - 0.3%
Federated Department Stores, Inc.* ............. 800 43,050
May Department Stores Company .................. 1,100 72,050
J.C. Penney Company, Inc. ...................... 1,000 72,313
--------
187,413
RETAIL - DRUG STORES - 0.2%
CVS Corporation ................................ 1,200 46,725
Rite Aid Corporation ........................... 600 22,537
Walgreen Company ............................... 1,600 66,100
--------
135,362
RETAIL - FOOD CHAINS - 0.2%
Albertson's, Inc. .............................. 900 46,631
American Stores Company ........................ 600 14,513
Kroger Company* ................................ 1,000 42,875
--------
104,019
RETAIL - GENERAL MERCHANDISE - 1.1%
Costco Companies, Inc.* ........................ 1,000 63,063
Dayton Hudson Corporation ...................... 1,400 67,900
Sears Roebuck .................................. 1,200 73,275
Wal-Mart Stores, Inc. .......................... 6,100 370,575
--------
574,813
RETAIL - SPECIALTY - 0.6%
Circuit City Stores -
Circuit City Group .......................... 700 32,812
Home Depot, Inc. ............................... 2,300 191,044
Payless Shoesource, Inc.* ...................... 144 10,611
Tandy Corporation .............................. 600 31,837
Toys "R" Us, Inc.* ............................. 1,400 32,988
--------
299,292
SAVINGS & LOANS - 0.1%
Golden West Financial .......................... 300 31,894
Washington Mutual, Inc. ........................ 900 39,094
--------
70,988
SERVICES - ADVERTISING/MARKETING - 0.1%
Omnicom Group, Inc. ............................ 700 34,912
- --------------------------------------------------------------------------------
</TABLE>
52 See accompanying notes.
<PAGE> 54
STATEMENTS OF NET ASSETS
JUNE 30, 1998
(UNAUDITED)
SERIES N (MANAGED ASSET ALLOCATION)(CONTINUED)
<TABLE>
<CAPTION>
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
- -------------------------------------------------------------------------------
<S> <C> <C>
SERVICES - COMMERCIAL & CONSUMER - 0.3%
Cendant Corporation* ........................ 2,591 $ 54,087
Cognizant Corporation ....................... 800 50,400
Service Corporation International ........... 1,300 55,738
Sodexho Marriott Services ................... 75 2,175
----------
162,400
SERVICES - DATA PROCESSING - 0.2%
Automatic Data Processing ................... 1,100 80,163
First Data Corporation ...................... 1,300 43,306
----------
123,469
TELECOMMUNICATION - CELLULAR - 0.2%
Sprint Corporation .......................... 1,500 105,750
TELECOMMUNICATION - LONG DISTANCE - 0.5%
AT&T Corporation ............................ 4,600 262,775
TELECOMMUNICATIONS - 3.1%
Airtouch Communications, Inc.* .............. 1,500 87,656
Alltel Corporation .......................... 800 37,200
Ameritech Corporation ....................... 2,800 125,650
Bell Atlantic Corporation ................... 4,274 195,001
BellSouth Corporation ....................... 2,900 194,663
British Telecom Plc ADR ..................... 400 49,400
Ericsson (L.M.) Telecom Company
ADR (Cl. B) .............................. 2,400 68,700
GTE Corporation ............................. 2,800 155,750
Hong Kong Telecommunications, Ltd. .......... 800 15,100
MCI Communications Corporation .............. 2,200 127,875
SBC Communications, Inc. .................... 5,654 226,160
Telecom Braxileiras S.A. ADR ................ 700 76,431
Telecom New Zealand ADR ..................... 400 13,100
Telefonica De Espana ADR .................... 400 55,625
Vodafone Group Plc ADR ...................... 500 63,031
Worldcom, Inc. .............................. 3,400 164,688
----------
1,656,030
TELEPHONE - 0.3%
Cia De Telecomunicaciones De
Chile S.A. ADR ........................... 425 8,633
Telefonos De Mexico ADR ..................... 1,800 86,512
US WEST, Inc. ............................... 1,449 68,110
----------
163,255
TEXTILES - APPAREL - 0.2%
Benetton Group S.p.a. ADR ................... 2,080 86,580
Springs Industries, Inc. (Cl. A) ............ 300 13,837
----------
100,417
TOBACCO - 0.6%
Fortune Brands, Inc. ........................ 900 34,594
Gallaher Group PLC ADR ...................... 500 10,937
Philip Morris Companies, Inc. ............... 6,800 267,750
----------
313,281
- --------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT OR
U.S. GOVERNMENT & NUMBER MARKET
GOVERNMENT AGENCY SECURITIES OF SHARES VALUE
- --------------------------------------------------------------------------------
<S> <C> <C>
WASTE MANAGEMENT - 0.1%
Browning-Ferris Industries ........................ 374 $ 12,996
Waste Management, Inc. ............................ 1,396 48,860
-----------
61,856
-----------
Total common stocks - 51.3% ..................................... 27,580,599
U.S. GOVERNMENT & GOVERNMENT AGENCY SECURITIES
- ----------------------------------------------
U.S. GOVERNMENT AGENCIES - 6.4%
Federal Home Loan Banks,
5.55% - 7-1-98 ................................. $ 693,000 693,000
Federal Home Loan Mortgage
Corporation, 5.97% - 2001 ...................... $ 600,000 600,090
Government National Mortgage Association,
#67365, 11.50% - 2013 .......................... $ 28,661 32,187
#353937, 6.00% - 2023 .......................... $ 298,194 292,737
#410777, 7.00% - 2025 .......................... $ 115,269 117,094
#780057, 7.50% - 2025 .......................... $ 68,983 71,070
#2102, 8.00% - 2025 ............................ $ 38,119 39,290
#412429, 8.50% - 2025 .......................... $ 44,661 46,895
#410891, 7.00% - 2026 .......................... $ 244,855 248,707
#426384, 7.00% - 2026 .......................... $ 333,667 338,946
#424476, 7.50% - 2026 .......................... $ 389,782 400,469
#432891, 7.50% - 2026 .......................... $ 83,423 85,679
#402684, 8.00% - 2026 .......................... $ 172,315 178,361
#427029, 8.50% - 2026 .......................... $ 178,309 187,763
#435589, 8.50% - 2026 .......................... $ 95,903 100,991
-----------
2,140,189
U.S. GOVERNMENT SECURITIES - 17.8%
U.S. Treasury Bonds,
6.875% - 2025 .................................. $ 35,000 40,511
6.75% - 2026 ................................... $ 1,740,000 1,990,612
6.625% - 2027 .................................. $ 550,000 620,989
-----------
2,652,112
U.S. Treasury Notes,
6.00% - 1999 ................................... $ 175,000 175,835
6.375% - 1999 .................................. $ 300,000 302,100
5.625% - 2000 .................................. $ 75,000 75,138
6.25% - 2000 ................................... $ 475,000 481,104
5.625% - 2001 .................................. $ 700,000 702,233
6.25% - 2002 ................................... $ 380,000 389,276
5.50% - 2003 ................................... $ 1,000,000 999,300
5.875% - 2005 .................................. $ 75,000 76,359
6.50% - 2005 ................................... $ 100,000 105,530
5.625% - 2006 .................................. $ 100,000 100,330
6.50% - 2006 ................................... $ 175,000 185,675
6.25% - 2007 ................................... $ 1,000,000 1,046,750
6.125% - 2007 .................................. $ 900,000 936,018
5.625% - 2008 .................................. $ 1,300,000 1,317,251
-----------
6,892,899
-----------
Total U.S. government & government
agency securities - 24.2% .................................. 12,978,290
- --------------------------------------------------------------------------------
</TABLE>
53 See accompanying notes.
<PAGE> 55
SCHEDULE OF INVESTMENTS
JUNE 30, 1998
(UNAUDITED)
SERIES N (MANAGED ASSET ALLOCATION)(CONTINUED)
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT OR
NUMBER MARKET
MISCELLANEOUS ASSETS OF SHARES VALUE
- --------------------------------------------------------------------------------
<S> <C> <C>
ASSET-BACKED SECURITIES - 0.4%
Advanta Home Equity Loan Trust
(Cl. A2), 5.95% - 2009 .................... $ 180,159 $ 177,198
Airplanes Pass-Through Trust
(Cl. D), 10.875% - 2019 ................... $ 50,000 56,477
-----------
233,675
REAL ESTATE INVESTMENT TRUSTS - 0.0%
Starwood Hotels & Resorts .................... 367 17,731
-----------
Total miscellaneous assets - 0.4% ........................ 251,406
FOREIGN CORPORATE BONDS
- -----------------------
JAPAN - 0.5%
European Investment Bank,
3.00% - 2006(4)............................ 7,000,000 56,238
European Investment Bank,
4.625% - 2003(4) .......................... 17,000,000 142,397
Interamerican Development Bank,
6.00% - 2001(4) ........................... 5,000,000 42,106
KFW International Finance,
6.00% - 1999(4) ........................... 3,000,000 23,264
-----------
Total foreign bonds - 0.5% ............................... 264,005
FOREIGN GOVERNMENT ISSUES
- -------------------------
CANADA - 0.2%
Government Bond,
8.50% - 2002 .............................. 60,000 45,130
6.50% - 2004 .............................. 60,000 43,170
-----------
88,300
FRANCE - 0.2%
O.A.T. Government Bond,
8.50% - 2002(4) ........................... 430,000 83,048
5.50% - 2007(4) ........................... 214,000 37,250
-----------
120,298
GERMANY - 0.4%
Bundersrepub Deutschland,
8.375% - 2001(4) .......................... 130,000 80,102
7.375% - 2005(4) .......................... 125,000 79,798
Deutschland Republic Government
Bond, 6.00% - 20074 ....................... 62,000 37,381
-----------
197,281
UNITED KINGDOM - 0.1%
Treasury Bond, 8.00% - 2003 .................. 29,000 51,728
Treasury Bond, 7.50% - 2006 .................. 12,000 22,005
-----------
73,733
-----------
Total foreign government issues - 0.9% ................... 479,612
- --------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
FOREIGN STOCKS OF SHARES VALUE
- -------------------------------------------------------------------------------
<S> <C> <C>
AUSTRALIA - 0.0%
Rio Tinto, Ltd. ...................... 1,000 $ 11,890
BELGIUM - 0.2%
Electrabel ........................... 50 14,176
KBC Bancassurance Holdings ........... 1,000 89,492
--------
103,668
DENMARK - 0.1%
Danisco A/S .......................... 1,000 67,180
FRANCE - 0.6%
Axa .................................. 500 56,235
Eridania Beghin-Say S.A .............. 200 44,161
L'Air Liquide ........................ 236 39,075
Pinault-Printemps-Redoute S.A ........ 100 83,691
Societe Generale De Paris ............ 308 64,035
Societe Technip ...................... 400 48,892
--------
336,089
GERMANY - 0.7%
Altana AG ............................ 300 22,853
Bank of Berlin ....................... 2,000 41,883
Bayer AG ............................. 2,000 103,156
Ckag Colonia Konzern AG .............. 300 37,146
Deutsche Bank AG ..................... 500 42,340
M.A.N. AG ............................ 200 77,782
Siemens AG ........................... 400 24,332
Veba AG .............................. 600 40,886
--------
390,378
HONG KONG - 0.2%
Cheung Kong Holdings ................. 5,000 24,585
Hong Kong Electric Holdings, Ltd. .... 9,000 27,876
Hutchinson Whampoa, Ltd. ............. 14,000 73,898
--------
126,359
ITALY - 0.2%
Banco Commerciale Italiane ........... 13,000 77,742
Telecom Italia S.p.a ................. 5,555 40,892
--------
118,634
JAPAN - 0.7%
Bridgestone Corporation .............. 3,000 70,901
Canon, Inc. .......................... 1,000 22,697
Dai Nippon Printing, Ltd. ............ 2,000 31,920
Kao Corporation ...................... 4,000 61,678
Kuraray Company, Ltd. ................ 3,000 25,485
Marui Company, Ltd. .................. 2,000 29,830
Mitsubishi Electric Corporation ...... 4,000 9,194
Mitsubishi Heavy Industries, Ltd. .... 4,000 15,103
Ricoh Corporation, Ltd. .............. 4,000 42,108
Sharp Corporation .................... 2,000 16,198
Takeda Chemical Industries ........... 2,000 53,176
--------
378,290
- -------------------------------------------------------------------------------
</TABLE>
54 See accompanying notes.
<PAGE> 56
SCHEDULE OF INVESTMENTS
JUNE 30, 1998
(UNAUDITED)
SERIES N (MANAGED ASSET ALLOCATION)(CONTINUED)
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT OR
NUMBER MARKET
FOREIGN STOCKS (CONTINUED) OF SHARES VALUE
- ----------------------------------------------------------------------------------
<S> <C> <C>
MALAYSIA - 0.0%
Malayan Cement Berhad ................................ 12,500 $ 4,069
Sime Darby Berhad .................................... 8,000 5,517
-----------
9,586
NETHERLANDS - 0.3%
CSM NV ............................................... 600 28,817
Ing Groep NV ......................................... 1,500 98,219
Oce NV ............................................... 1,200 51,086
-----------
178,122
NEW ZEALAND - 0.1%
Lion Nathan, Ltd. .................................... 10,000 22,217
SINGAPORE - 0.0%
Cycle & Carriage, Ltd. ............................... 3,000 7,316
SOUTH AFRICA - 0.1%
Anglo American Platinum .............................. 2,000 21,901
SWEDEN - 0.1%
Astra AB -B .......................................... 3,200 63,800
SWITZERLAND - 0.7%
ABB AG-Bearer ........................................ 20 29,536
Nestle S.A ........................................... 20 42,800
Novartis AG .......................................... 26 43,264
Sig Schweizland ...................................... 120 97,705
UBS-Bearer (Union Bank of
Switzerland) ...................................... 400 148,733
-----------
362,038
UNITED KINGDOM - 0.9%
Abbey National PLC ................................... 3,600 64,150
BAA PLC .............................................. 2,300 24,887
Barclays PLC ......................................... 3,000 86,645
Blue Circle Industries PLC ........................... 3,845 21,620
GKN PLC .............................................. 4,000 50,656
HSBC Holdings PLC .................................... 3,000 76,134
Lonrho PLC ........................................... 5,500 25,878
Lonrho Africa PLC* ................................... 3,700 4,537
Tesco PLC ............................................ 10,000 97,524
-----------
452,031
-----------
Total foreign stocks - 4.9% ..................................... 2,649,499
TEMPORARY CASH INVESTMENTS
- --------------------------
MONEY MARKET FUNDS - 1.9%
Vista Treasury International Money
Market Fund ....................................... $ 991,815 991,815
-----------
Total investments - 99.5% ....................................... 53,490,527
Cash and other assets, less liabilities - 0.5% .................. 244,855
-----------
Total net assets - 100.0% ....................................... $53,735,382
===========
- ----------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
SERIES O (EQUITY INCOME)
NUMBER MARKET
COMMON STOCKS OF SHARES VALUE
- ------------------------------------------------------------------------------------
<S> <C> <C>
ALUMINUM - 0.5%
Reynolds Metals Company ................................ 15,600 $ 872,625
AMERICAN GOLD - 0.5%
Newmont Mining Corporation ............................. 38,800 916,650
AUTO PARTS & EQUIPMENT - 1.4%
Genuine Parts Company .................................. 42,100 1,455,081
TRW, Inc. .............................................. 23,000 1,256,375
-----------
2,711,456
AUTOMOBILES - 0.8%
General Motors Corporation ............................. 23,800 1,590,137
BANKS - MAJOR REGIONAL - 8.2%
Banc One Corporation ................................... 29,567 1,650,208
BankBoston Corporation ................................. 19,400 1,079,125
Bankers Trust Corporation .............................. 11,700 1,357,932
First Union Corporation ................................ 23,280 1,356,060
Fleet Financial Group, Inc. ............................ 17,300 1,444,550
Mellon Bank Corporation ................................ 49,400 3,439,475
Mercantile Bankshares Corporation ...................... 18,100 630,106
J.P. Morgan & Company, Inc. ............................ 18,000 2,108,250
National City Corporation .............................. 14,200 1,008,200
PNC Bank Corporation ................................... 14,500 780,281
Wells Fargo & Company .................................. 3,300 1,217,700
-----------
16,071,887
BANKS - MONEY CENTER - 0.8%
Chase Manhattan Corporation ............................ 20,816 1,571,608
BEVERAGES - ALCOHOLIC - 1.7%
Anheuser-Busch Companies, Inc. ......................... 42,700 2,014,906
Brown-Forman Corporation (Cl. B) ....................... 19,000 1,220,750
-----------
3,235,656
BIOTECHNOLOGY - 0.3%
Amgen, Inc.* ........................................... 8,800 575,300
BUILDING MATERIALS - 0.4%
Armstrong World Industries, Inc. ....................... 12,400 835,450
CHEMICALS - BASIC - 3.5%
Dow Chemical Company ................................... 26,600 2,571,888
(E.I.) du Pont de Nemours & Company..................... 25,600 1,910,400
Great Lakes Chemical Company ........................... 31,300 1,234,394
Olin Corporation ....................................... 27,800 1,158,912
-----------
6,875,594
CHEMICALS - DIVERSIFIED - 0.9%
Hercules, Inc. ......................................... 36,800 1,513,400
Octel Corporation* ..................................... 7,825 155,522
-----------
1,668,922
- -------------------------------------------------------------------------------------
</TABLE>
55 See accompanying notes.
<PAGE> 57
SCHEDULE OF INVESTMENTS
JUNE 30, 1998
(UNAUDITED)
SERIES O (EQUITY INCOME) (CONTINUED)
<TABLE>
<CAPTION>
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
- -------------------------------------------------------------------------------
<S> <C> <C>
CHEMICALS - SPECIALTY - 2.9%
Eastman Chemical Company ..................... 7,100 $ 441,975
Imperial Chemical Industries
PLC ADR ................................... 14,600 941,700
Lubrizol Corporation ......................... 17,700 535,425
Minnesota Mining & Manufacturing
Company ................................... 19,700 1,619,094
Nalco Chemical Company ....................... 27,300 958,912
Witco Corporation ............................ 37,300 1,091,025
-----------
.............................................. 5,588,131
COMPUTER HARDWARE - 0.4%
Hewlett-Packard Company ...................... 14,100 844,237
CONTAINERS & PACKAGING - 0.7%
Union Camp Corporation ....................... 27,700 1,374,612
ELECTRIC COMPANIES - 7.0%
Baltimore Gas & Electric Company ............. 18,400 571,550
Central & Southwest Corporation .............. 18,200 489,125
DQE, Inc. .................................... 24,600 885,600
Dominion Resources, Inc. ..................... 24,400 994,300
Duke Energy Corporation ...................... 29,500 1,747,875
Entergy Corporation .......................... 23,200 667,000
FirstEnergy Corporation ...................... 44,757 1,376,278
GPU, Inc. .................................... 16,900 639,031
Houston Industries, Inc. ..................... 38,900 1,201,037
Peco Energy Corporation ...................... 34,500 1,006,969
Pacificorp ................................... 33,800 764,725
Southern Company ............................. 51,000 1,412,062
Teco Energy, Inc. ............................ 23,600 632,775
Unicom Corporation ........................... 41,000 1,437,563
-----------
.............................................. 13,825,890
ELECTRICAL EQUIPMENT - 2.6%
Amp, Inc. .................................... 36,100 1,240,938
Cooper Industries, Inc. ...................... 17,888 982,722
General Electric Company ..................... 22,100 2,011,100
Hubbell, Inc. (Cl. B) ........................ 18,400 765,900
-----------
.............................................. 5,000,660
FINANCIAL - DIVERSE - 3.7%
American General Corporation ................. 25,700 1,829,519
Fannie Mae ................................... 28,900 1,755,675
H & R Block, Inc. ............................ 28,900 1,217,413
Transamerica Corporation ..................... 9,900 1,139,737
Travelers Group, Inc. ........................ 22,600 1,370,125
-----------
.............................................. 7,312,469
FOODS - 3.8%
General Mills, Inc. .......................... 29,200 1,996,550
Heinz (H.J.) Company ......................... 22,350 1,254,394
Kellogg Company .............................. 20,500 770,031
McCormick & Company, Inc.
(Non-Voting) .............................. 44,200 1,578,769
Quaker Oats Company .......................... 26,600 1,461,338
Sara Lee Corporation ......................... 7,000 391,562
-----------
7,452,644
- --------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
COMMON STOCKS(CONTINUED) OF SHARES VALUE
- -------------------------------------------------------------------------------
<S> <C> <C>
HEALTH CARE - DIVERSE - 2.4%
Abbott Laboratories .......................... 29,200 $1,193,550
American Home Products Corporation ........... 56,400 2,918,700
Johnson & Johnson ............................ 8,000 590,000
----------
4,702,250
HEALTH CARE - PHARMACEUTICALS - 1.2%
Pharmacia & Upjohn, Inc. ..................... 51,795 2,389,044
HOMEBUILDING - 0.7%
PPG Industries, Inc. ......................... 20,700 1,439,944
HOUSEHOLD FURNISHINGS & APPLIANCES - 0.7%
Whirlpool Corporation ........................ 20,800 1,430,000
HOUSEHOLD PRODUCTS - 1.2%
Kimberly-Clark Corporation ................... 32,600 1,495,525
Tupperware Corporation ....................... 27,900 784,688
----------
2,280,213
INSURANCE - BROKERS - 0.3%
Hilb, Rogal & Hamilton Company ............... 700 10,937
Willis Corroon Group PLC ADR ................. 49,500 621,844
----------
632,781
INSURANCE - MULTILINE - 0.5%
Lincoln National Corporation ................. 11,200 1,023,400
INSURANCE - PROPERTY - 2.7%
Exel Limited ................................. 16,200 1,260,562
Safeco Corporation ........................... 36,800 1,672,100
St. Paul Companies, Inc. ..................... 55,304 2,326,225
----------
5,258,887
IRON & STEEL - 0.3%
USX - U.S. Steel Group, Inc. ................. 19,300 636,900
LODGING - HOTELS - 0.4%
Hilton Hotels Corporation .................... 26,400 752,400
MACHINERY - DIVERSE - 0.3%
GATX Corporation ............................. 15,200 666,900
MANUFACTURING - SPECIALIZED - 0.5%
Pall Corporation ............................. 50,900 1,043,450
MANUFACTURING - DIVERSIFIED - 0.5%
AlliedSignal, Inc. ........................... 24,000 1,065,000
MEDICAL PRODUCTS & SUPPLIES - 1.8%
Bausch & Lomb, Inc. .......................... 20,300 1,017,538
Baxter International, Inc. ................... 12,000 645,750
United States Surgical Corporation ........... 42,400 1,934,500
----------
3,597,788
METALS & MINING - 0.2%
Inco, Ltd. ................................... 32,000 436,000
MISCELLANEOUS - 0.4%
Phelps Dodge Corporation ..................... 14,300 817,781
- --------------------------------------------------------------------------------
</TABLE>
56 See accompanying notes.
<PAGE> 58
SCHEDULE OF INVESTMENTS
JUNE 30, 1998
(UNAUDITED)
SERIES O (EQUITY INCOME)(CONTINUED)
<TABLE>
<CAPTION>
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
- --------------------------------------------------------------------------------
<S> <C> <C>
OIL - DOMESTIC - 1.6%
Atlantic-Richfield Company ......................... 32,900 $ 2,570,313
Unocal Corporation ................................. 16,200 579,150
-----------
3,149,463
OIL - INTERNATIONAL - 8.5%
Amoco Corporation .................................. 63,200 2,630,700
British Petroleum PLC ADR .......................... 14,100 1,244,325
Chevron Corporation ................................ 29,400 2,442,038
Exxon Corporation .................................. 39,800 2,838,238
Mobil Corporation .................................. 25,900 1,984,587
Occidental Petroleum Corporation ................... 41,300 1,115,100
Royal Dutch Petroleum
Company NY Shares ............................... 24,300 1,331,944
Texaco, Inc. ....................................... 36,400 2,172,625
USX Marathon Group ................................. 26,600 912,712
-----------
16,672,269
OIL & GAS - EXPLORATION & PRODUCTION - 1.2%
Amerada Hess Corporation ........................... 27,300 1,482,731
Phillips Petroleum Company ......................... 16,600 799,913
-----------
2,282,644
PAPER & FOREST PRODUCTS - 1.3%
Consolidated Papers, Inc. .......................... 33,800 921,050
Georgia-Pacific Corporation
(GP Group) ...................................... 9,700 571,694
Georgia-Pacific Corporation
(Timber Group) .................................. 7,200 165,600
International Paper Company ........................ 22,100 950,300
-----------
2,608,644
PERSONAL CARE - 0.9%
International Flavors & Fragrances, Inc. ........... 42,600 1,850,437
PHOTOGRAPHY/IMAGING - 1.0%
Eastman Kodak Company .............................. 26,600 1,943,462
PUBLISHING - 3.2%
R.R. Donnelley & Sons Company ...................... 32,500 1,486,875
Dow Jones & Company, Inc. .......................... 22,100 1,232,075
Dun & Bradstreet Corporation ....................... 31,500 1,137,938
Knight-Ridder, Inc. ................................ 29,000 1,596,813
Readers Digest Association, Inc. (Cl. A) ........... 31,500 854,437
-----------
6,308,138
RAILROADS - 2.6%
Burlington Northern Santa Fe
Corporation ..................................... 10,300 1,011,331
Norfolk Southern Corporation ....................... 74,200 2,212,088
Union Pacific Corporation .......................... 43,800 1,932,675
-----------
5,156,094
REAL ESTATE - 0.2%
Rouse Company ...................................... 10,800 339,525
- --------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT OR
NUMBER MARKET
COMMON STOCKS(CONTINUED) OF SHARES VALUE
- ---------------------------------------------------------------------------------------
<S> <C> <C>
RETAIL - DEPARTMENT STORES - 1.3%
May Department Stores Company ........................... 14,400 $ 943,200
J.C. Penney Company, Inc. ............................... 21,200 1,533,025
------------
2,476,225
TELECOMMUNICATIONS - LONG DISTANCE - 0.9%
AT&T Corporation ........................................ 32,400 1,850,850
TELECOMMUNICATIONS - 6.6%
Alltel Corporation ...................................... 59,000 2,743,500
BCE, Inc. ............................................... 27,100 1,156,831
Bell Atlantic Corporation ............................... 36,000 1,642,500
Bellsouth Corporation ................................... 19,300 1,295,512
Frontier Corporation .................................... 30,400 957,600
GTE Corporation ......................................... 36,100 2,008,063
SBC Communications, Inc. ................................ 52,638 2,105,520
Southern New England
Telecommunications ................................... 16,800 1,100,400
------------
13,009,926
TELEPHONE - 0.5%
US WEST, Inc. ........................................... 19,300 907,100
TEXTILES - APPAREL - 0.1%
Unifi, Inc. ............................................. 4,700 160,975
TOBACCO - 3.0%
Fortune Brands, Inc. .................................... 33,000 1,268,437
Philip Morris Companies, Inc. ........................... 58,100 2,287,688
RJR Nabisco Holdings Corporation ........................ 38,100 904,875
UST, Inc. ............................................... 54,300 1,466,100
------------
5,927,100
TRANSPORTATION - MISCELLANEOUS (BUS/TRUCKING) - 0.2%
Alexander & Baldwin, Inc. ............................... 12,600 366,975
WASTE MANAGEMENT - 1.4%
Browning-Ferris Industries .............................. 34,200 1,188,450
Waste Management, Inc. .................................. 42,100 1,473,500
------------
2,661,950
------------
Total common stocks - 88.7% ......................................... 174,168,443
U.S. GOVERNMENT & GOVERNMENT AGENCY SECURITIES
- ----------------------------------------------
U.S. GOVERNMENT SECURITIES - 0.9%
U.S. Treasury Bonds, 6.00% - 2026 ....................... $ 400,000 416,312
U.S. Treasury Notes,
5.875% - 1999 ........................................ $ 100,000 100,454
6.25% - 2000 ......................................... $ 100,000 101,285
6.50% - 2001 ......................................... $ 400,000 410,076
5.75% - 2003 ......................................... $ 400,000 404,124
5.625% - 2006 ........................................ $ 200,000 200,660
7.00% - 2006 ......................................... $ 100,000 109,168
------------
Total U.S. government & government
agency securities - 0.9% ............................. .............. 1,742,079
- ---------------------------------------------------------------------------------------
</TABLE>
57 See accompanying notes.
<PAGE> 59
SCHEDULE OF INVESTMENTS
JUNE 30, 1998
(UNAUDITED)
SERIES O (EQUITY INCOME)(CONTINUED)
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT OR
NUMBER MARKET
REAL ESTATE INVESTMENT TRUSTS OF SHARES VALUE
- -----------------------------------------------------------------------------------
<S> <C> <C>
REAL ESTATE - 2.9%
Crescent Real Estate
Equities Company .............................. 31,100 $ 1,045,737
Security Capital Pacific Trust ................... 18,900 425,250
Simon DeBartolo Group, Inc. ...................... 49,436 1,606,670
Starwood Hotels & Resorts ........................ 44,749 2,161,936
Weingarten Realty Investors ...................... 11,500 480,844
-------------
Total real estate investment trusts - 2.9% .................... 5,720,437
FOREIGN STOCKS
- --------------
UNITED KINGDOM - 1.0%
Lonrho PLC ....................................... 36,300 170,798
Lonrho Africa PLC* ............................... 24,200 29,678
Smith & Nephew PLC ............................... 215,100 537,444
Tomkins PLC ...................................... 235,400 1,284,341
-------------
Total foreign stocks - 1.0% ................................... 2,022,261
TEMPORARY CASH INVESTMENTS
- --------------------------
MONEY MARKET FUNDS - 0.6%
Vista Treasury Institutional
Money Market Fund - 0.6% ...................... $1,198,568 1,198,568
COMMERCIAL PAPER
- ----------------
BEVERAGES - 0.4%
Coca-Cola Company,
5.50% - 7-8-98 ................................ $ 700,000 699,252
FINANCIAL SERVICES - 5.8%
Associates Financial Services,
5.52% - 7-28-98 ............................... $4,000,000 3,983,320
IBM Credit Corporation,
5.50% - 7-8-98 ................................ $7,500,000 7,491,979
-------------
11,475,299
-------------
Total commercial paper - 6.2% ................................. 12,174,551
-------------
Total investments - 100.3% .................................... 197,026,339
Liabilities, less cash
and other assets - (0.3%) .................................. (602,436)
-------------
Total net assets - 100.0% ..................................... $ 196,423,903
=============
- -----------------------------------------------------------------------------------
</TABLE>
SERIES P (HIGH YIELD)
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT OR
NUMBER MARKET
CORPORATE BONDS OF SHARES VALUE
- -----------------------------------------------------------------------------------
<S> <C> <C>
AEROSPACE/DEFENSE - 1.6%
Burke Industries, Inc.,
10.0% - 2007 .................................. $ 125,000 $ 126,562
Sequa Industries, Inc.,
9.375% - 2003 ................................. $ 50,000 52,063
-------------
178,625
AUTOMOTIVE - 3.1%
Breed Technologies, Inc.,
9.25% - 2008 .................................. $ 175,000 172,813
Federal-Mogul Corporation,
7.875% - 2010 ................................. $ 175,000 175,437
-------------
348,250
BANKING - 2.8%
Bay View Capital Corporation,
9.125% - 2007 ................................. $ 100,000 102,750
FCB/NC Capital Trust, Inc.,
8.05% - 2028 .................................. $ 150,000 155,625
Homeside, Inc., 11.25% - 2003 .................... $ 50,000 59,250
-------------
317,625
BEVERAGES - 0.5%
Delta Beverage Group,
9.75% - 2003 .................................. $ 50,000 52,375
BROKERAGE - 0.8%
SI Financing, Inc., 9.50% - 2026(1) .............. 3,500 94,281
BUILDING MATERIALS - 2.4%
International Comfort Products,
8.625% - 2008 ................................. $ 200,000 199,000
Knoll, Inc., 10.875% - 2006 ...................... $ 63,000 71,662
-------------
270,662
CHEMICALS - 0.5%
Envirodyne Industries, Inc.,
12.00% - 2000 ................................. $ 50,000 53,125
CONSUMER CYCLICAL - OTHER - 1.8%
American ECO Corporation,
9.625% - 2008 ................................. $ 200,000 201,000
CONSUMER PRODUCTS - 4.0%
AMF Bowling Worldwide, Inc.,
10.875% - 2006 ................................ $ 50,000 54,375
Chattem, Inc., 8.875% - 2008 ..................... $ 175,000 174,125
Revlon Consumer Products,
8.125% - 2006 ................................. $ 150,000 149,062
Shop Vac Corporation,
10.625% - 2003 ................................ $ 50,000 54,750
-------------
432,312
CONSTRUCTION MACHINERY - 2.7%
AGCO Corporation, 8.50% - 2006 ................... $ 100,000 102,875
Columbus McKinnon Corporation,
8.50% - 2008 .................................. $ 175,000 172,375
Titan Wheel International, Inc.,
8.75% - 2007 .................................. $ 25,000 25,812
-------------
301,062
- -----------------------------------------------------------------------------------
</TABLE>
58 See accompanying notes.
<PAGE> 60
SCHEDULE OF INVESTMENTS
JUNE 30, 1998
(UNAUDITED)
SERIES P (HIGH YIELD)(CONTINUED)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
CORPORATE BONDS (CONTINUED) AMOUNT VALUE
- --------------------------------------------------------------------------------
<S> <C> <C>
ELECTRIC - 1.9%
AES Corporation, 10.25% - 2006 .......... $100,000 $ 108,750
Cal Energy Company, Inc.,
9.50% - 2006 ......................... 100,000 108,125
----------
216,875
ENERGY - INDEPENDENT - 2.1%
COHO Energy, Inc., 8.875% - 2007 ........ 100,000 95,000
Seagull Energy Corporation,
8.625% - 2005 ........................ 50,000 51,313
Southwest Royalties, Inc.,
10.50% - 2004 ........................ 100,000 83,000
----------
229,313
ENERGY - OTHER - 2.0%
AEI Holding Company, 10.0% - 2007 ....... 100,000 98,750
P&L Coal Holdings Corporation,
8.875% - 2008 ........................ 125,000 128,594
----------
227,344
ENTERTAINMENT - 1.7%
Premier Parks, 9.75% - 2007 ............. 175,000 190,313
FINANCE - OTHER - 1.5%
B.F. Saul REIT, 9.75% - 2008 ............ 175,000 172,812
FINANCIAL COMPANIES - 0.5%
Dollar Financial Group, Inc.,
10.875% - 2006 ....................... 50,000 53,875
FOOD - 3.4%
Carrols Corporation, 11.50% - 2003 ...... 100,000 104,875
Chiquita Brands International, Inc.,
10.25% - 2006 ........................ 25,000 27,125
Nash Finch Company, 8.50% - 2008 ........ 150,000 148,875
Pilgrims Pride Corporation,
10.875% - 2003 ....................... 100,000 104,125
----------
385,000
GAMING - 7.5%
Boyd Gaming Corporation,
9.50% - 2007 ......................... 100,000 103,000
Empress Entertainment,
8.125% - 2006 ........................ 200,000 200,500
Hard Rock Hotel, Inc., 9.25% - 2005 ..... 100,000 102,000
MGM Grand, Inc., 6.95% - 2005 ........... 125,000 124,219
Mirage Resorts, Inc., 6.625% - 2005 ..... 150,000 148,875
Rio Hotel & Casino, Inc.,
9.50% - 2007 ......................... 150,000 158,250
----------
836,844
- --------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL MARKET
CORPORATE BONDS (CONTINUED) AMOUNT VALUE
- --------------------------------------------------------------------------------
<S> <C> <C>
HEALTHCARE 4.4%
Multicare Companies, Inc.,
9.0% - 2007 ......................... $150,000 $ 147,375
Packard Bioscience Company,
9.375% - 2007 ........................ 75,000 73,125
Prime Medical Services,
8.75% - 2008 ......................... 100,000 97,875
Tenet Healthcare Corporation,
8.125% - 2008 ........................ 175,000 175,875
----------
494,250
HOME CONSTRUCTION - 2.0%
Hovnanian Enterprise, 9.75% - 2005 ...... 100,000 99,000
Toll Corporation, 7.75% - 2007 .......... 125,000 123,125
----------
222,125
INDUSTRIAL SERVICES - 0.5%
Iron Mountain, Inc.,
10.125% - 2006 ....................... 50,000 54,125
MEDIA - CABLE - 9.4%
Adelphia Communications,
8.375% - 2008 ........................ 100,000 100,500
Century Communications,
8.375% - 2007 ........................ 75,000 77,250
Century Communications,
9.50% -2005 .......................... 125,000 135,313
CF Cable TV, Inc., 11.625% - 2005 ....... 100,000 113,500
Comcast Corporation,
9.125% - 2006 ........................ 50,000 53,625
CSC Holdings, Inc., 7.875% -2018 ........ 25,000 26,437
Diamond Holdings, 9.125% - 2008 ......... 150,000 156,000
Jones Intercable, Inc.,
7.625% -2008 ......................... 100,000 101,500
Lenfest Communications,
10.50% - 2006 ........................ 175,000 203,875
Rogers Cablesystems, 9.625% - 2002 ...... 50,000 53,375
Rogers Communications, Inc.,
9.125% - 2006 ........................ 30,000 30,375
----------
1,051,750
MEDIA - NONCABLE - 5.2%
Allbritton Communications,
9.75% - 2007 ......................... 100,000 110,000
Big Flower Press Holdings, Inc.,
8.875% - 2007 ........................ 125,000 127,187
Golden Books Publishing,
7.65% - 2002 ......................... 50,000 39,000
Heritage Media Corporation,
8.75% - 2006 ......................... 50,000 53,375
Hollinger International Publishing,
8.625% - 2005 ........................ 50,000 52,125
- --------------------------------------------------------------------------------
</TABLE>
59 See accompanying notes.
<PAGE> 61
SCHEDULE OF INVESTMENTS
JUNE 30, 1998
(UNAUDITED)
SERIES P (HIGH YIELD)(CONTINUED)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
CORPORATE BONDS (CONTINUED) AMOUNT VALUE
- ----------------------------------------------------------------------------------
<S> <C> <C>
MEDIA - NONCABlE (CONTINUED)
K-III Communications Corporation,
10.25% - 2004 .................................... $ 20,000 $ 21,525
Valassis Communications,
9.55% - 2003 ..................................... 40,000 44,800
Viacom, Inc., 8.0% - 2006 ........................... 125,000 128,750
----------
576,762
METALS - 3.8%
AK Steel Corporation, 9.125% - 2006.................. 50,000 52,250
Ameristeel Corporation,
8.75% - 2008 ..................................... 100,000 100,000
Simcala, Inc., 9.625% - 2006 ........................ 100,000 99,000
Wheeling Pittsburgh Corporation,
9.25% - 2007 ..................................... 100,000 102,500
WHX Corporation, 10.50% - 2005 ...................... 75,000 76,313
----------
430,063
PACKAGING & CONTAINERS - 4.2%
Huntsman Packaging Corporation,
9.125 - 2007 ..................................... 125,000 124,375
Indesco International, Inc.,
9.75% - 2008 ..................................... 175,000 172,375
Packaged Ice, Inc., 9.75% - 2005 .................... 125,000 126,250
Plastic Containers, Inc.,
10.00% - 2006 .................................... 50,000 53,750
----------
476,750
REFINING - 2.1%
Crown Central Petroleum,
10.875% - 2005 ................................... 125,000 132,500
Giant Industries, Inc., 9.0% - 2007 ................. 100,000 102,250
----------
234,750
RETAILERS - 2.1%
Cole National Group, 9.875% - 2006 .................. 25,000 27,000
Specialty Retailers, Inc., 8.50% - 2005 ............. 150,000 154,500
Zale's Corporation, 8.50% - 2007 .................... 50,000 51,125
----------
232,625
TELECOMMUNICATIONS - 9.7%
Centennial Cellular, 8.875% - 2001 .................. 100,000 104,000
Comcast Cellular Holdings, Inc.,
9.50% - 2007 ..................................... 150,000 156,562
Intermedia Communications,
8.50% - 2008 ..................................... 125,000 125,000
Mastec, Inc., 7.75% - 2008 .......................... 125,000 119,375
Mcleodusa, Inc., 8.375% - 2008 ...................... 175,000 175,438
MJD Communications, Inc.,
9.50% - 2008 ..................................... 175,000 179,156
RCN Corporation, 10.0% - 2007 ....................... 100,000 102,750
Satelites Mexicanos, Inc.,
10.125% - 2004 ................................... 125,000 122,187
----------
1,084,468
- --------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT OR
NUMBER MARKET
CORPORATE BONDS (CONTINUED) OF SHARES VALUE
- ----------------------------------------------------------------------------------
<S> <C> <C>
TEXTILES - 1.8%
Delta Mills, Inc., 9.625% - 2007 ...................... $ 100,000 $ 98,375
Westpoint Stevens, 7.875% - 2008 ...................... $ 100,000 99,750
-----------
198,125
TOBACCO - 0.5%
Dimon, Inc., 8.875% - 2006 ............................ $ 25,000 25,594
Standard Commercial Tobacco
Corporation, 8.875% - 2005 ......................... $ 25,000 25,000
-----------
50,594
TRANSPORTATION - OTHER - 1.5%
Allied Holdings, Inc., 8.625% - 2007 .................. $ 100,000 102,250
Teekay Shipping Corporation,
8.32% - 2008 ....................................... $ 65,000 67,113
-----------
169,363
-----------
Total corporate bonds - 88.0% ................................... 9,837,443
PREFERRED STOCKS
- ----------------
BANKS & CREDIT - 1.6%
California Federal Bank, 9.125% ....................... 6,500 177,125
MEDIA - CABLE - 1.9%
CSC Holdings, Inc., 11.125% ........................... 827 93,702
Time Warner, Inc. ..................................... 108 120,150
-----------
213,852
MEDIA - NONCABLE - 0.7%
Primedia, Inc., 10.0% - 2008 .......................... 800 84,400
-----------
Total preferred stocks - 4.2% ................................... 475,377
-----------
Total investments- 92.2% ........................................ 10,312,820
Cash and other assets, less liabilities - 7.8% .................. 870,489
-----------
Total net assets - 100.0% ....................................... $11,183,309
===========
SERIES S(SOCIAL AWARENESS)
COMMON STOCKS
- --------------
AUTO PARTS & EQUIPMENT - 0.8%
Snap-On Tools ......................................... 25,500 924,375
BANKS - MAJOR REGIONAL - 4.8%
Banc One Corporation .................................. 22,600 1,264,711
Bank of New York Company, Inc. ........................ 24,600 1,492,913
First Chicago NBD Corporation ......................... 11,000 974,875
Northern Trust Corporation ............................ 22,200 1,692,750
-----------
5,425,249
- ------------------------------------------------------------------------------------
</TABLE>
60 See accompanying notes.
<PAGE> 62
SCHEDULE OF INVESTMENTS
JUNE 30, 1998
(UNAUDITED)
SERIES S (SOCIAL AWARENESS)(CONTINUED)
<TABLE>
<CAPTION>
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
- --------------------------------------------------------------------------------
<S> <C> <C>
BANKS - MONEY CENTER - 1.6%
Chase Manhattan Corporation ................... 23,600 $1,781,800
BEVERAGES - SOFT DRINK - 4.7%
Coca-Cola Company ............................. 40,200 3,437,100
PepsiCo, Inc. ................................. 31,900 1,313,881
Whitman Corporation ........................... 22,000 504,625
----------
5,255,606
BROADCAST MEDIA - 2.9%
Comcast Corporation (Cl. A) ................... 20,600 836,231
Tele-Communications, Inc.* .................... 22,700 872,531
Viacom, Inc. (Cl. B)* ......................... 26,900 1,566,925
----------
3,275,687
CHEMICALS - BASIC - 0.8%
Praxair, Inc. ................................. 18,800 880,075
CHEMICALS - SPECIALTY - 0.7%
Fuller (H.B.) Company ......................... 7,600 421,325
Nalco Chemical Company ........................ 10,300 361,788
----------
783,113
COMMUNICATION EQUIPMENT - 1.0%
ADC Telecommunications, Inc.* ................. 11,800 431,069
Tellabs, Inc.* ................................ 10,100 723,412
----------
1,154,481
COMPUTER HARDWARE - 3.6%
Compaq Computer Corporation ................... 17,000 482,375
Hewlett-Packard Company ....................... 17,600 1,053,800
International Business Machines
Corporation ................................ 22,200 2,548,837
----------
4,085,012
COMPUTER SOFTWARE/SERVICES - 5.5%
Affiliated Computer Services, Inc. - A* ....... 25,900 997,150
American Management Systems, Inc.* ............ 37,900 1,134,631
Microsoft Corporation* ........................ 37,200 4,031,550
----------
6,163,331
COMPUTERS - NETWORKING - 1.8%
Cisco Systems, Inc.* .......................... 22,350 2,057,597
CONTAINERS & PACKAGING - 0.2%
Crown Cork & Seal Company, Inc. ............... 5,500 261,250
DISTRIBUTION - FOOD & HEALTH - 1.1%
Cardinal Health, Inc. ......................... 13,800 1,293,750
ELECTRIC COMPANIES - 0.3%
New Century Energies, Inc. .................... 8,300 377,131
ELECTRICAL EQUIPMENT - 0.5%
Hubbell, Inc. (Cl. B) ......................... 12,500 520,313
ELECTRONICS - DISTRIBUTION - 0.6%
W.W. Grainger, Inc. ........................... 13,000 647,562
- --------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
- --------------------------------------------------------------------------------
<S> <C> <C>
ELECTRONICS - SEMICONDUCTORS - 2.8%
Analog Devices, Inc.* ......................... 33,000 $ 810,563
Intel Corporation ............................. 31,200 2,312,700
----------
3,123,263
ENTERTAINMENT - 1.1%
Time Warner, Inc. ............................. 14,300 1,221,756
FINANCIAL - DIVERSE - 7.7%
American Express Company ...................... 13,400 1,527,600
American General Corporation .................. 21,100 1,502,056
Federal Home Loan Mortgage
Corporation ................................ 28,800 1,355,400
Federal National Mortgage Corporation ......... 22,000 1,336,500
Finova Group,Inc., ............................ 24,400 1,381,650
SunAmerica, Inc. .............................. 27,600 1,585,275
----------
8,688,481
FOODS - 1.7%
General Mills, Inc. ........................... 12,500 854,688
Interstate Bakeries ........................... 33,400 1,108,462
----------
1,963,150
HEALTH CARE - DIVERSE - 2.0%
Johnson & Johnson ............................. 30,332 2,236,985
HEALTH CARE - LONG TERM CARE - 0.6%
HEALTHSOUTH Corporation* ...................... 25,000 667,188
HOUSEHOLD FURNISHING & APPLIANCES - 1.2%
Leggett & Platt, Inc. ......................... 56,200 1,405,000
HOUSEHOLD PRODUCTS - 4.1%
Colgate-Palmolive Company ..................... 16,000 1,408,000
Kimberly-Clark Corporation .................... 16,000 734,000
Procter & Gamble Company, The ................. 27,400 2,495,113
----------
4,637,113
INSURANCE - LIFE/HEALTH - 1.2%
Unum Corporation .............................. 23,800 1,320,900
INSURANCE - MULTI-LINE - 2.0%
American International Group, Inc. ............ 15,450 2,255,700
INSURANCE - PROPERTY - 1.2%
Chubb Corporation ............................. 17,000 1,366,375
INVESTMENT BANK/BROKERAGE - 0.5%
Edwards (A.G.), Inc. .......................... 11,700 499,444
LEISURE TIME PRODUCTS - 0.9%
Mattel, Inc. .................................. 24,000 1,015,500
MACHINERY - DIVERSE - 0.9%
Deere & Company ............................... 19,200 1,015,200
MANUFACTURING - DIVERSIFIED - 1.0%
Illinois Tool Works, Inc. ..................... 17,200 1,147,025
MEDICAL PRODUCTS & SUPPLIES - 0.8%
ATL Ultrasound, Inc.* ......................... 9,500 433,437
Guidant Corporation ........................... 7,200 513,450
----------
946,887
- --------------------------------------------------------------------------------
</TABLE>
61 See accompanying notes.
<PAGE> 63
SCHEDULE OF INVESTMENTS
JUNE 30, 1998
(UNAUDITED)
SERIES S (SOCIAL AWARENESS)
<TABLE>
<CAPTION>
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
- --------------------------------------------------------------------------------------
<S> <C> <C>
NATURAL GAS - 0.4%
Consolidated Natural Gas Company ...................... 8,000 $ 471,000
OIL - INTERNATIONAL - 1.2%
Amoco Corporation ..................................... 31,800 1,323,675
OIL & GAS - DRILLING & EQUIPMENT - 0.3%
Ensco International, Inc. ............................. 9,600 166,800
Smith International, Inc.* ............................ 4,800 167,100
------------
333,900
OIL & GAS - EXPLORATION/PRODUCTION - 1.3%
Anadarko Petroleum Corporation ........................ 12,000 806,250
Apache Corporation .................................... 22,000 693,000
------------
1,499,250
PAPER & FOREST PRODUCTS 0.2%
Mead Corporation ...................................... 6,700 212,725
PHARMACEUTICALS - 5.3%
Forest Laboratories, Inc.* ............................ 15,600 557,700
Merck & Company, Inc. ................................. 21,800 2,915,750
Schering-Plough Corporation ........................... 26,600 2,437,225
------------
5,910,675
PHOTOGRAPHY / IMAGING - 0.9%
Xerox Corporation ..................................... 9,900 1,006,088
PUBLISHING - 0.5%
McGraw-Hill Companies, Inc. ........................... 7,100 579,094
RAILROADS - 0.4%
Norfolk Southern Corporation .......................... 14,300 426,319
RESTAURANTS - 1.8%
McDonald's Corporation ................................ 15,200 1,048,800
Starbucks Corporation* ................................ 18,500 988,594
------------
2,037,394
RETAIL - APPAREL - 0.6%
Talbots, Inc. ......................................... 23,500 615,406
RETAIL - DEPARTMENT STORES - 3.0%
Dollar General Corporation ............................ 30,468 1,205,390
Kohl's Corporation* ................................... 13,200 684,750
Proffitt's, Inc.* ..................................... 38,000 1,534,250
------------
3,424,390
RETAIL - DRUG STORES - 1.5%
Rite Aid Corporation .................................. 45,400 1,705,337
RETAIL - FOOD CHAINS - 1.6%
American Stores Company ............................... 30,500 737,719
Kroger Company* ....................................... 24,500 1,050,437
------------
1,788,156
RETAIL - GENERAL MERCHANDISE - 2.4%
Consolidated Stores Corporation* ...................... 17,300 627,125
Dayton Hudson Corporation ............................. 42,800 2,075,800
------------
2,702,925
- --------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
- --------------------------------------------------------------------------------------
<S> <C> <C>
SAVINGS & LOAN - 0.6%
Ahmanson (H.F.) & Company ............................. 9,000 $ 639,000
SERVICES - ADVERTISING/MARKETING - 1.6%
Omnicom Group, Inc. ................................... 35,000 1,745,625
SERVICES - COMMERCIAL & CONSUMER - 0.9%
Service Corporation International ..................... 23,800 1,020,425
SERVICES - COMPUTER SYSTEMS - 1.0%
Sungard Data Systems, Inc.* ........................... 28,500 1,093,687
TELECOMMUNICATIONS - 5.9%
Ameritech Corporation ................................. 24,000 1,077,000
Bell Atlantic Corporation ............................. 10,100 1,569,500
Bellsouth Corporation ................................. 22,600 1,517,025
SBC Communications, Inc. .............................. 38,200 1,528,000
WorldCom, Inc.* ....................................... 20,500 992,969
------------
6,684,494
TELECOMMUNICATIONS - CELLULAR - 1.2%
Sprint Corporation .................................... 19,500 1,374,750
TELECOMMUNICATIONS - LONG DISTANCE - 1.9%
AT&T Corporation ...................................... 37,100 2,119,338
TRUCKING - 0.5%
Consolidated Freightways Corporation* ................. 20,000 278,750
FDX Corporation* ...................................... 4,500 282,375
------------
561,125
------------
Total common stocks - 95.6% ...................................... 107,671,077
Cash and other assets, less liabilities - 4.4% ................... 5,008,722
------------
Total net assets - 100.0% ........................................ $112,679,799
============
SERIES V (VALUE)
COMMON STOCKS
- --------------
AEROSPACE/DEFENSE - 1.6%
Lockheed Martin Corporation ........................... 2,000 $ 211,750
AGRICULTURAL PRODUCTS - 2.0%
Agribrands International, Inc.* ....................... 2,200 66,550
Archer-Daniels-Midland Company ........................ 10,600 205,375
------------
271,295
AIRFREIGHT - 3.0%
Air Express International Corporation ................. 7,500 200,625
Monaco Coach Corporation* ............................. 7,200 210,600
------------
411,225
ALUMINUM - 1.1%
Aluminum Company of America ........................... 1,600 105,500
Easco, Inc. ........................................... 4,000 40,250
------------
145,750
- --------------------------------------------------------------------------------------
</TABLE>
62 See accompanying notes.
<PAGE> 64
SCHEDULE OF INVESTMENTS
JUNE 30, 1998
(UNAUDITED)
SERIES V (VALUE)(CONTINUED)
<TABLE>
<CAPTION>
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
- -----------------------------------------------------------------------------
<S> <C> <C>
BUILDING MATERIALS - 0.6%
American Standard Companies, Inc.* ....... 1,700 $ 75,969
CHEMICALS - BASIC - 2.2%
Praxair, Inc. ............................ 2,000 93,625
Solutia, Inc. ............................ 6,900 197,944
--------
291,569
CHEMICALS - DIVERSIFIED - 1.2%
Engelhard Corporation .................... 8,000 162,000
CHEMICALS - SPECIALTY - 3.1%
Buch Boake Allen, Inc.* .................. 5,700 167,081
Material Sciences Corporation* ........... 22,000 255,750
--------
422,831
COMMUNICATION EQUIPMENT - 5.2%
Antec Corporation* ....................... 10,000 231,875
Comverse Technology, Inc.* ............... 8,000 415,000
Transcrypt International, Inc.* .......... 17,800 59,986
--------
706,861
COMPUTER HARDWARE - 2.9%
CHS Electronics, Inc.* ................... 5,800 103,675
International Business Machines
Corporation ........................... 2,500 287,031
--------
390,706
COMPUTER SOFTWARE/SERVICES - 7.1%
American Management Systems, Inc.* ....... 5,800 173,637
Computer Sciences Corporation* ........... 4,800 307,200
DST Systems, Inc.* ....................... 3,000 168,000
Electronics For Imaging, Inc.* ........... 6,400 135,200
Rational Software Corporation* ........... 12,000 183,000
--------
967,037
CONTAINER - METAL & GLASS - 1.9%
Ball Corporation ......................... 6,500 261,219
CONTAINERS & PACKAGING - 1.8%
Bemis Company, Inc. ...................... 3,600 147,150
Crown Cork & Seal Company, Inc. .......... 2,000 95,000
--------
242,150
ELECTRICAL EQUIPMENT - 2.1%
Honeywell, Inc. .......................... 2,000 167,125
Hubbell, Inc. (Cl.B) ..................... 2,900 120,712
--------
287,837
ELECTRONICS - INSTRUMENTATION - 2.3%
E G & G, Inc. ............................ 10,500 315,000
ENTERTAINMENT - 0.7%
Metromedia International Group, Inc.* .... 8,000 95,500
FOODS - 4.3%
Chiquita Brands International, Inc. ...... 15,000 210,937
Dean Foods Company ....................... 4,000 219,750
Hormel Foods Corporation ................. 4,200 145,163
--------
575,850
- --------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
- -----------------------------------------------------------------------------
<S> <C> <C>
GAMING & LOTTERY - 0.7%
Circus Circus Enterprises, Inc.* ............... 5,500 $ 93,156
HEALTH CARE - LONG TERM CARE - 1.7%
Integrated Health Services, Inc. ............... 6,000 225,000
HEALTH CARE - SPECIALIZED SERVICES - 0.9%
Allegiance Corporation ......................... 2,300 117,875
HOUSEHOLD FURNISHINGS & APPLIANCES - 2.5%
Meadowcraft, Inc.* ............................. 6,500 71,500
O'Sullivan Industries Holdings, Inc.* .......... 19,200 268,800
--------
340,300
HOUSEHOLD PRODUCTS - 1.3%
Kimberly-Clark Corporation ..................... 3,900 178,913
INSURANCE - LIFE/HEALTH - 2.5%
Aflac, Inc. .................................... 6,000 181,875
Unum Corporation ............................... 2,800 155,400
--------
337,275
IRON & STEEL - 0.7%
Cleveland-Cliffs, Inc. ......................... 1,700 91,163
LEISURE TIME PRODUCTS - 2.9%
Hasbro, Inc. ................................... 10,000 393,125
MANUFACTURING - DIVERSIFIED - 0.8%
AEP Industries, Inc.* .......................... 4,800 103,800
MEDICAL PRODUCTS & SUPPLIES - 3.8%
ATL Ultrasound, Inc.* .......................... 3,000 136,875
Dentsply International, Inc. ................... 5,300 132,500
SonoSight, Inc.* ............................... 1,000 7,312
Sunrise Medical, Inc.* ......................... 16,000 240,000
--------
516,687
NATURAL GAS - 2.1%
Equitable Resources, Inc. ...................... 9,500 289,750
OFFICE EQUIPMENT & SUPPLIES - 1.1%
Corporate Express, Inc.* ....................... 12,000 152,250
OIL & GAS - DRILLING & EQUIPMENT - 1.2%
Tuboscope, Inc.* ............................... 8,000 158,000
OIL & GAS - EXPLORATION & PRODUCTION - 6.3%
Apache Corporation ............................. 4,000 126,000
Chieftain International, Inc.* ................. 7,600 180,025
Enron Corporation .............................. 3,300 178,406
MCN Energy Group, Inc. ......................... 5,500 136,813
YFP Sociedad Anomima ADR ....................... 7,500 225,469
--------
846,713
OIL & GAS - INTERNATIONAL - 1.8%
Tesoro Petroleum Corporation* .................. 15,000 238,125
- --------------------------------------------------------------------------------
</TABLE>
63 See accompanying notes.
<PAGE> 65
SCHEDULE OF INVESTMENTS
JUNE 30, 1998
(UNAUDITED)
SERIES V (VALUE)(CONTINUED)
<TABLE>
<CAPTION>
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
PHARMACEUTICALS - 5.5%
Dura Pharmaceuticals, Inc.* ........................... 8,700 $ 194,662
Mylan Laboratories, Inc. .............................. 15,000 450,937
Teva Pharmaceutical Industries,
Ltd. ADR ........................................... 2,800 98,525
-----------
744,124
PUBLISHING - NEWSPAPER - 3.1%
E.W. Scripps Company .................................. 4,200 230,213
News Corporation, Ltd. ADR ............................ 6,000 192,750
-----------
422,963
RAILROADS - 2.0%
RailAmerica, Inc.* .................................... 45,000 275,625
RESTAURANTS - 2.3%
Morrison Health Care, Inc. ............................ 5,600 103,600
Sonic Corporation* .................................... 9,400 210,325
-----------
313,925
RETAIL - APPAREL - 1.9%
Talbots, Inc. ......................................... 10,000 261,875
RETAIL - DEPARTMENT STORES - 0.6%
Saks Holdings, Inc.* .................................. 3,000 82,875
RETAIL - FOOD CHAINS - 2.0%
American Stores Corporation* .......................... 11,400 275,738
RETAIL - GENERAL MERCHANDISE - 1.3%
Consolidated Stores Corporation* ...................... 5,000 181,250
RETAIL - SPECIALTY - 0.8%
Payless ShoeSource, Inc. .............................. 1,500 110,531
SERVICES - COMMERCIAL & CONSUMER - 5.4%
Angelica Corporation .................................. 17,300 363,300
Pinkerton's, Inc.* .................................... 17,400 361,050
-----------
724,350
-----------
Total common stocks - 98.3% ...................................... 13,310,567
Cash and other assets, less liabilities - 1.7% ................... 228,068
-----------
Total net assets - 100.0% ........................................ $13,538,635
===========
SERIES X (SMALL CAP)
COMMON STOCKS
- -------------
AEROSPACE/DEFENSE - 0.8%
Triumph Group, Inc.* .................................. 800 $ 33,600
AIRLINES - 1.8%
Midwest Express Holdings, Inc.* ....................... 2,000 72,375
BEVERAGES - ALCOHOLIC - 0.8%
Beringer Wine Estates Holdings, Inc. (Cl.B)* .......... 700 30,844
- -------------------------------------------------------------------------------------
</TABLE>
SERIES X (SMALL CAP)(CONTINUED)
<TABLE>
<CAPTION>
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
BROADCAST MEDIA - 1.7%
Cox Radio, Inc. (Cl. A)* ............................. 1,600 $ 69,200
BUILDING MATERIALS - 1.4%
Centex Construction Products, Inc. ................... 1,500 57,750
COMMUNICATION EQUIPMENT - 1.8%
Com21, Inc.* ......................................... 2,000 42,500
ICG Communications, Inc.* ............................ 900 32,906
--------
...................................................... 75,406
COMPUTER SOFTWARE/SERVICES - 10.4%
Amdocs Limited* ...................................... 1,500 22,688
CBT Group Limited Company
PLC ADR* .......................................... 1,000 53,500
Dendrite International, Inc.* ........................ 900 33,862
Documentum, Inc.* .................................... 400 19,200
Legato Systems, Inc.* ................................ 1,200 46,800
Mercury Interactive Corporation* ..................... 700 31,237
NOVA Corporation* .................................... 1,400 50,050
Sykes Enterprises, Inc.* ............................. 900 18,056
Systems & Computer Technology
Corporation* ...................................... 2,500 67,500
Unigraphics Solutions, Inc.* ......................... 700 9,800
Visio Corporation* ................................... 1,500 71,625
--------
...................................................... 424,318
DISTRIBUTION - FOOD/HEALTH - 1.5%
Hain Food Group, Inc.* ............................... 2,500 64,687
ELECTRONICS - SEMICONDUCTORS - 1.8%
MMC Networks, Inc.* .................................. 1,300 41,438
Sipex Corporation* ................................... 900 19,350
Uniphase Corporation* ................................ 200 12,556
--------
...................................................... 73,344
ENTERTAINMENT - 1.0%
Engineering Animation, Inc.* ......................... 700 42,700
FINANCIAL - DIVERSE - 1.8%
ARM Financial Group, Inc. (Cl.A) ..................... 1,300 28,762
LandAmerica Financial Group, Inc. .................... 800 45,800
--------
...................................................... 74,562
FOODS - 2.7%
American Italian Pasta
Company (Cl.A)* ................................... 3,000 111,750
FOOTWEAR - 0.9%
Maxwell Shoe Company, Inc. (Cl.A)* ................... 1,800 35,775
HEALTH CARE - DIVERSE - 0.6%
Ocular Sciences, Inc.* ............................... 700 22,750
- -------------------------------------------------------------------------------------
</TABLE>
64 See accompanying notes.
<PAGE> 66
SCHEDULE OF INVESTMENTS
JUNE 30, 1998
(UNAUDITED)
SERIES X (SMALL CAP)(CONTINUED)
<TABLE>
<CAPTION>
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
- --------------------------------------------------------------------------------
<S> <C> <C>
HEALTH CARE - LONG TERM CARE - 1.6%
Hanger Orthopedic Group, Inc.* ............... 3,200 $ 65,200
HEALTH CARE - SPECIALIZED SERVICES - 4.1%
Advance Paradigm, Inc.* ...................... 1,400 51,450
Medical Manager Corporation* ................. 1,000 27,625
Parexel International* ....................... 1,200 43,650
Renal Care Group, Inc.* ...................... 1,000 44,062
--------
166,787
HOSPITAL MANAGEMENT - 0.7%
Province Healthcare Company* ................. 1,000 27,688
IRON & STEEL - 0.5%
Oregon Steel Mills, Inc. ..................... 1,000 18,625
LEISURE TIME PRODUCTS - 0.4%
Family Golf Centers, Inc.* ................... 600 15,187
LODGING - HOTELS - 1.7%
ResortQuest International, Inc.* ............. 4,200 68,513
MANUFACTURING - DIVERSIFIED - 1.2%
MSC Industrial Direct
Company, Inc., (Cl.A)* .................... 1,700 48,450
OIL & GAS - DRILLING & EQUIPMENT - 0.6%
Camco International, Inc. .................... 300 23,362
PHARMACEUTICALS - 0.7%
Schein Pharmaceutical, Inc.* ................. 1,000 26,625
REAL ESTATE INVESTMENT TRUST - 0.5%
Glenborough Realty Trust, Inc. ............... 700 18,463
RESTAURANTS - 0.8%
Au Bon Pain Company, Inc. (Cl.A)* ............ 3,000 33,000
RETAIL - APPAREL - 7.1%
American Eagle Outfitters, Inc.* ............. 700 26,994
Goody's Family Clothing, Inc.* ............... 400 21,950
K & G Men's Center, Inc.* .................... 1,700 38,463
Pacific Sunwear of California, Inc.* ......... 1,800 63,000
Stage Stores, Inc.* .......................... 700 31,675
The Finish Line, Inc. (Cl.A)* ................ 2,100 59,063
The Men's Wearhouse, Inc.* ................... 1,500 49,500
--------
290,645
RETAIL - BUILDING SUPPLIES - 1.6%
Rental Service Corporation* .................. 1,900 63,888
RETAIL - DEPARTMENT STORES - 1.7%
99 Cents Only Stores* ........................ 1,700 70,550
RETAIL - DRUG STORES - 0.5%
Duane Reade, Inc.* ........................... 700 21,000
RETAIL - GENERAL MERCHANDISE - 1.6%
Linens 'N Things, Inc.* ...................... 2,200 67,237
- --------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
COMMON STOCKS(CONTINUED) OF SHARES VALUE
- --------------------------------------------------------------------------------
<S> <C> <C>
RETAIL - SPECIALTY - 3.7%
Michaels Stores, Inc.* ....................... 1,500 $ 52,922
School Specialty, Inc.* ...................... 1,300 21,287
Sunglass Hut International, Inc.* ............ 3,200 35,400
United Auto Group, Inc.* ..................... 1,900 41,563
--------
151,172
SAVINGS & LOANS - 1.0%
Sterling Financial Corporation* .............. 1,800 40,950
SERVICES - ADVERTISING/MARKETING - 8.5%
Acxiom Corporation* .......................... 1,800 44,888
Boron, LePore & Associates, Inc.* ............ 2,000 76,000
HA-LO Industries, Inc.* ...................... 600 18,675
Lamar Advertising Company* ................... 3,000 107,625
Metris Companies, Inc. ....................... 1,600 102,000
--------
349,188
SERVICES - COMMERCIAL & CONSUMER - 13.8%
Adminstaff, Inc.* ............................ 700 32,288
Bright Horizons, Inc.* ....................... 1,000 28,000
First Consulting Group, Inc.* ................ 800 21,000
Integrated Electrical Services, Inc.* ........ 2,000 40,250
International Telecommunication
Data Systems, Inc.* ....................... 3,300 95,700
Profit Recovery Group International, Inc.*.... 2,500 69,844
Rent-Way, Inc.* .............................. 2,900 88,450
Romac International, Inc.* ................... 3,800 115,425
Sylvan Learning Systems, Inc.* ............... 1,200 39,300
Travel Services International, Inc.* ......... 1,000 32,875
--------
563,132
SERVICES - DATA PROCESSING - 2.6%
Envoy Corporation* ........................... 1,100 52,113
Lason, Inc.* ................................. 1,000 54,550
--------
106,613
SERVICES - FACILITIES/ENVIRONMENTAL - 0.8%
Metzler Group, Inc.* ......................... 900 32,962
TELECOMMUNICATION - LONG DISTANCE - 4.1%
IDT Corporation* ............................. 2,100 63,131
Lycos, Inc.* ................................. 600 45,225
Saville Systems Ireland PLC-ADR* ............. 1,200 60,150
--------
168,506
TELEPHONE - 1.0%
Intermedia Communications, Inc.* ............. 600 25,162
McLeodUSA, Inc. (Cl.A)* ...................... 400 15,550
--------
40,712
TEXTILES - APPAREL - 1.4%
Columbia Sportswear* ......................... 2,000 38,000
Russell Corporation .......................... 700 21,131
--------
59,131
- --------------------------------------------------------------------------------
</TABLE>
65 See accompanying notes.
<PAGE> 67
SCHEDULE OF INVESTMENTS
JUNE 30, 1998
(UNAUDITED)
SERIES X (SMALL CAP)(CONTINUED)
<TABLE>
<CAPTION>
NUMBER MARKET
COMMON STOCKS(CONTINUED) OF SHARES VALUE
- --------------------------------------------------------------------------------
<S> <C> <C>
WASTE MANAGEMENT - 2.2%
Eastern Environmental Services, Inc.* ........... 600 $ 20,400
Superior Services, Inc.* ........................ 2,300 69,144
----------
89,544
----------
Total common stocks - 93.4% .................. 3,816,191
----------
Cash and other assets, less liabilities - 6.6% 269,774
----------
Total net assets - 100.0% .................... $4,085,965
==========
</TABLE>
The identified cost of investments owned at June 30, 1998, 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 Depository Receipt)
PP (Private Placement)
(1) Trust preferred securities - Securities issued by financial institutions to
augment their tier 1 capital base. Issued on a subordinate basis relative to
senior rates or debentures. Institutions may defer cash payments for up to 10
pay periods.
(2) Variable rate security which may be reset the first of each month.
(3) Variable rate security which may be reset the first of each quarter.
(4) Principal amount on foreign bond is reflected in local currency
(e.g., Danish krone) while market value is reflected in U.S. dollars.
(5) Step rate security in which rate may change over the life of the bond.
(6) Variable rate security which may be reset the first of each semi-annual
payment.
(7) Floating rate security which may be reset the first of each semi-annual
payment.
- --------------------------------------------------------------------------------
66 See accompanying notes.
<PAGE> 68
BALANCE SHEETS
JUNE 30, 1998
(UNAUDITED)
<TABLE>
<CAPTION>
SERIES B SERIES C SERIES D SERIES E
SERIES A (GROWTH- (MONEY (WORLDWIDE (HIGH GRADE
(GROWTH) INCOME) MARKET) EQUITY) INCOME)
-------- ------- ------- ------- -------
<S> <C> <C> <C> <C> <C>
ASSETS
Investments, at value (identified cost $636,717,801,
$1,090,338,016, $29,863,617, $288,903,879
and $130,839,390 respectively) ....................... $1,105,581,529 $1,141,189,346 $ 29,871,252 $320,809,830 $ 134,876,450
Short-term commercial paper, at market or at
amortized cost which approximates market
value (identified cost $0, $1,597,854, $154,553,205,
$0 and $0, respectively) ........................... -- 1,597,854 154,549,746 -- --
Cash ................................................. 39,420,724 125,420,925 117,013 6,286,058 114,879
Receivables:
Fund shares sold .................................... 1,655,164 908,878 277,273 445,907 125,150
Securities sold ..................................... 7,758,822 -- 269,384 16,501,365 60,300
Interest ............................................ 108,345 962,748 349,051 17,642 2,085,928
Dividends ........................................... 996,489 2,086,598 -- 558,824 --
Prepaid expenses ..................................... 23,326 2,170 4,815 -- 3,900
Foreign taxes recoverable ............................ -- -- -- 259,418 --
-------------- -------------- ------------ ------------ -------------
Total assets ...................................... $1,155,544,399 $1,272,168,519 $185,438,534 $344,879,044 $ 137,266,607
============== ============== ============ ============ =============
LIABILITIES AND NET ASSETS
Liabilities:
Payable for:
Securities purchased ............................... $ 778,640 $ 1,732,640 $ 965,695 $ 16,335,634 $ --
Fund shares redeemed ............................... 2,851,964 2,591,492 -- 595,992 139,436
Forward foreign exchange contracts ................... -- -- -- 528,855 --
Other liabilities:
Management fees .................................... 732,698 837,075 85,225 286,296 91,436
Custodian fees ..................................... 8,173 7,661 1,068 114,748 3,138
Transfer and administration fees ................... 44,276 50,517 8,017 13,155 5,720
Professional fees .................................. 13,807 19,027 3,265 35,632 9,543
Miscellaneous ...................................... 24,854 111,949 3,691 80,926 21,819
-------------- -------------- ------------ ------------ -------------
Total liabilities ................................. 4,454,412 5,350,361 1,066,961 17,991,238 271,092
Net Assets:
Paid in capital ...................................... 661,990,365 862,661,369 181,258,423 277,656,736 141,520,964
Undistributed net investment income .................. 2,560,396 10,753,900 3,108,974 1,431,577 4,194,170
Accumulated undistributed net realized
gain (loss) on sale of investments
and foreign currency transactions .................. 17,675,498 342,551,559 -- 16,443,946 (12,756,679)
Net unrealized appreciation
in value of investments, futures and translation
of assets and liabilities in foreign currency ....... 468,863,728 50,851,330 4,176 31,355,547 4,037,060
-------------- -------------- ------------ ------------ -------------
Net assets ......................................... 1,151,089,987 1,266,818,158 184,371,573 326,887,806 136,995,515
-------------- -------------- ------------ ------------ -------------
Total liabilities and net assets .................. $1,155,544,399 $1,272,168,519 $185,438,534 $344,879,044 $ 137,266,607
============== ============== ============ ============ =============
Capital shares authorized ............................ Indefinite Indefinite Indefinite Indefinite Indefinite
Capital shares outstanding ........................... 35,680,020 31,866,124 15,083,819 51,298,262 11,471,364
Net asset value per share (net assets
divided by shares outstanding) ..................... $32.26 $39.75 $12.22 $6.37 $11.94
============== ============== ============ ============ =============
</TABLE>
See accompanying notes.
- --------------------------------------------------------------------------------
67
<PAGE> 69
BALANCE SHEETS (CONTINUED)
JUNE 30, 1998
(UNAUDITED)
<TABLE>
<CAPTION>
SERIES K SERIES M SERIES N
SERIES J (GLOBAL (SPECIALIZED (MANAGED SERIES O
(EMERGING AGGRESSIVE ASSET ASSET (EQUITY
GROWTH) BOND) ALLOCATION) ALLOCATION) INCOME)
------- ----- ----------- ----------- -------
<S> <C> <C> <C> <C> <C>
ASSETS
Investments, at value (identified cost $188,063,093,
$15,225,467, $44,668,750, $44,303,379,
and $157,958,253, respectively) .................. $ 228,157,061 $ 14,556,876 $47,469,481 $53,490,527 $184,851,788
Short-term commercial paper, at market or at
amortized cost which approximates market
value (identified cost $0, $0, $0, $0
and $12,174,671, respectively) .................... -- -- -- -- 12,174,551
Cash ............................................... 9,283,804 -- 208 -- --
Receivables:
Fund shares sold .................................. 281,441 14,690 45,846 46,152 359,330
Securities sold ................................... 1,802,533 303 3,783 -- 18,573
Interest .......................................... 13,224 397,952 160,470 340,707 32,997
Dividends ......................................... 94,879 -- 22,123 32,825 394,494
Prepaid expenses ................................... 4,700 1,154 285 2,669 4,047
Foreign taxes recoverable .......................... -- 8,477 25,447 2,560 3,797
------------- ------------ ----------- ----------- ------------
Total assets ..................................... $ 239,637,642 $ 14,979,452 $47,727,643 $53,915,440 $197,839,577
============= ============ =========== =========== ============
LIABILITIES AND NET ASSETS
Liabilities:
Payable for:
Securities purchased ............................. $ 2,347,701 $ -- $ -- $ -- $ 899,417
Fund shares redeemed ............................. 213,830 8,023 32,575 122,675 328,007
Other liabilities:
Management fees .................................. 152,884 9,783 41,117 45,769 169,770
Custodian fees ................................... 4,577 5,013 1,445 1,542 4,804
Transfer and administration fees ................. 9,462 5,826 7,045 7,253 7,946
Professional fees ................................ 704 501 2,313 630 --
Miscellaneous .................................... 2,495 7,834 4,263 2,189 5,730
Cash overdraft ................................... -- 66,061 -- -- --
------------- ------------ ----------- ----------- ------------
Total liabilities ............................... 2,731,653 103,041 88,758 180,058 1,415,674
Net Assets:
Paid in capital .................................... 174,983,557 14,745,027 41,535,600 43,913,425 163,127,999
Undistributed net investment income (loss) ......... (284,934) 859,619 173,965 579,161 1,632,362
Accumulated undistributed net realized
gain (loss) on sale of investments, futures
and foreign currency transactions ................ 22,113,398 (52,137) 3,128,934 56,051 4,769,897
Net unrealized appreciation (depreciation)
in value of investments, futures and
translation of assets and liabilities in
foreign currency .................................. 40,093,968 (676,098) 2,800,386 9,186,745 26,893,645
------------- ------------ ----------- ----------- ------------
Net assets ....................................... 236,905,989 14,876,411 47,638,885 53,735,382 196,423,903
------------- ------------ ----------- ----------- ------------
Total liabilities and net assets ................ $ 239,637,642 $ 14,979,452 $47,727,643 $53,915,440 $197,839,577
============= ============ =========== =========== ============
Capital shares authorized .......................... Indefinite Indefinite Indefinite Indefinite Indefinite
Capital shares outstanding ......................... 11,401,329 1,429,756 3,755,705 3,572,304 10,983,565
Net asset value per share (net assets
divided by shares outstanding) .................... $20.78 $10.40 $12.68 $15.04 $17.88
============= ============ =========== =========== ============
</TABLE>
See accompanying notes.
- --------------------------------------------------------------------------------
68
<PAGE> 70
BALANCE SHEETS (CONTINUED)
JUNE 30, 1998
(UNAUDITED)
<TABLE>
<CAPTION>
SERIES S
SERIES P (SOCIAL- SERIES V SERIES X
(HIGH YIELD) AWARENESS) (VALUE) (SMALL CAP)
------------ ---------- ------- -----------
<S> <C> <C> <C> <C>
ASSETS
Investments, at value
(identified cost $10,211,207, $76,527,428,
$12,004,999 and $3,371,904, respectively) ...... $10,312,820 $107,671,077 $13,310,567 $ 3,816,191
Cash ........................................... 614,379 5,632,618 524,619 419,226
Receivables:
Fund shares sold .............................. 31,767 137,710 20,115 30,009
Securities sold ............................... -- 954,697 -- 37,677
Interest ...................................... 231,262 18,377 2,825 2,201
Dividends ..................................... -- 90,496 12,277 369
Prepaid expenses ............................... 233 1,857 118 33
----------- ------------ ----------- -----------
Total assets ................................. $11,190,461 $114,506,832 $13,870,521 $ 4,305,706
=========== ============ =========== ===========
LIABILITIES AND NET ASSETS
Liabilities:
Payable for:
Securities purchased ......................... $ 2,166 $ 1,621,408 $ 310,592 $ 209,564
Fund shares redeemed ......................... -- 110,065 4,456 2,972
Other liabilities:
Management fees .............................. -- 71,208 8,471 --
Custodian fees ............................... 650 992 100 1,464
Transfer and administration fees ............. 483 4,522 570 --
Professional fees ............................ 184 17,585 7,128 4,162
Miscellaneous ................................ 3,669 1,253 569 1,579
----------- ------------ ----------- -----------
Total liabilities ........................... 7,152 1,827,033 331,886 219,741
Net Assets:
Paid in capital ................................ 10,687,787 74,914,770 12,025,103 3,915,463
Undistributed net investment income (loss) ..... 368,523 176,583 38,194 (235)
Accumulated undistributed net realized
gain (loss) on sale of investments, futures and
foreign currency transactions ................ 25,386 6,444,797 169,770 (273,550)
Net unrealized appreciation in value
of investments ................................ 101,613 31,143,649 1,305,568 444,287
----------- ------------ ----------- -----------
Net assets ................................... 11,183,309 112,679,799 13,538,635 4,085,965
----------- ------------ ----------- -----------
Total liabilities and net assets ............ $11,190,461 $114,506,832 $13,870,521 $ 4,305,706
=========== ============ =========== ===========
Capital shares authorized ...................... Indefinite Indefinite Indefinite Indefinite
Capital shares outstanding ..................... 633,513 4,504,229 919,772 393,180
Net asset value per share (net assets
divided by shares outstanding) ............... $17.65 $25.02 $14.72 $10.39
=========== ============ =========== ===========
</TABLE>
See accompanying notes.
- --------------------------------------------------------------------------------
69
<PAGE> 71
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 1998
(UNAUDITED)
<TABLE>
<CAPTION>
SERIES B SERIES C SERIES D SERIES E
SERIES A (GROWTH- (MONEY (WORLDWIDE (HIGH GRADE
(GROWTH) INCOME) MARKET) EQUITY) INCOME)
-------- ------- ------- ------- -------
<S> <C> <C> <C> <C> <C>
INVESTMENT INCOME:
Dividends ..................................... $ 6,140,252 $ 12,183,288 $ -- $ 3,839,313 $ --
Interest ...................................... 1,174,267 3,810,122 3,758,259 971,882 5,001,756
------------ ------------- ---------- ------------ -----------
7,314,519 15,993,410 3,758,259 4,811,195 5,001,756
Less foreign tax expense ...................... -- -- -- (342,967) --
------------ ------------- ---------- ------------ -----------
Total investment income ................... 7,314,519 15,993,410 3,758,259 4,468,228 5,001,756
EXPENSES:
Management fees ............................... 4,078,904 4,745,239 331,076 1,580,314 515,694
Custodian fees ................................ 16,625 16,990 -- 238,015 6,203
Transfer/maintenance fees ..................... 3,312 3,024 3,498 2,966 2,513
Administration fees ........................... 244,734 284,714 29,844 229,146 31,847
Directors' fees ............................... 7,644 -- -- 3,982 5,997
Professional fees ............................. 15,861 20,900 3,942 7,964 5,371
Reports to shareholders ....................... 39,454 25,722 5,626 21,358 7,191
Registration fees ............................. 756 906 -- 10,498 107
Other expenses ................................ 18,104 19,200 -- 23,763 15,191
------------ ------------- ---------- ------------ -----------
Total expenses ............................ 4,425,394 5,116,695 373,986 2,118,006 590,114
------------ ------------- ---------- ------------ -----------
Net investment income ..................... 2,889,125 10,876,715 3,384,273 2,350,222 4,411,642
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain during the period on:
Investments .................................. 17,919,373 342,824,994 -- 19,797,647 1,059,918
Foreign currency transactions ................ -- -- -- 470,878 --
------------ ------------- ---------- ------------ -----------
Net realized gain ......................... 17,919,373 342,824,994 -- 20,268,525 1,059,918
Net change in unrealized appreciation
(depreciation) during the period on:
Investments .................................. 160,174,111 (260,775,913) 8,006 17,574,680 (305,361)
Translation of assets and liabilities
in foreign currencies ..................... -- -- -- (1,429,413) --
------------ ------------- ---------- ------------ -----------
Net unrealized appreciation (depreciation) 160,174,111 (260,775,913) 8,006 16,145,267 (305,361)
------------ ------------- ---------- ------------ -----------
Net gain .................................. 178,093,484 82,049,081 8,006 36,413,792 754,557
------------ ------------- ---------- ------------ -----------
Net increase in net assets resulting
from operations ........................ $180,982,609 $ 92,925,796 $3,392,279 $ 38,764,014 $ 5,166,199
============ ============= ========== ============ ===========
</TABLE>
See accompanying notes.
- --------------------------------------------------------------------------------
70
<PAGE> 72
STATEMENTS OF OPERATIONS (CONTINUED)
FOR THE SIX MONTHS ENDED JUNE 30, 1998
(UNAUDITED)
<TABLE>
<CAPTION>
SERIES K SERIES M SERIES N
SERIES J (GLOBAL (SPECIALIZED (MANAGED SERIES O
(EMERGING AGGRESSIVE ASSET ASSET (EQUITY
GROWTH) BOND) ALLOCATION) ALLOCATION) INCOME)
------- ----- ----------- ----------- -------
<S> <C> <C> <C> <C> <C>
INVESTMENT INCOME:
Dividends .................................... $ 576,731 $ -- $ 349,818 $ 213,995 $ 2,237,712
Interest ..................................... 144,756 981,781 378,305 678,221 428,715
------------ --------- ----------- ----------- -----------
721,487 981,781 728,123 892,216 2,666,427
Less foreign tax expense ..................... -- (21,871) (29,943) (5,332) (3,023)
------------ --------- ----------- ----------- -----------
Total investment income .................. 721,487 959,910 698,180 886,884 2,663,404
EXPENSES:
Management fees .......................... 883,240 57,707 238,822 230,162 888,633
Custodian fees ........................... 5,111 9,313 8,836 8,759 23,958
Transfer/maintenance fees ................ 2,799 2,414 2,067 1,957 3,199
Administration fees ...................... 52,995 33,462 40,747 40,357 39,988
Directors' fees .......................... 2,053 109 351 291 1,504
Professional fees ........................ 1,522 3,260 2,855 1,160 --
Reports to shareholders .................. 8,291 543 4,866 2,805 8,379
Registration fees ........................ 17 701 47 -- 56
Other expenses ........................... 6,151 423 1,447 584 2,069
------------ --------- ----------- ----------- -----------
Total expenses ........................... 962,179 107,932 300,038 286,075 967,786
Reimbursement of expenses ................ -- (38,300) -- -- --
------------ --------- ----------- ----------- -----------
Net expenses ................................. 962,179 69,632 300,038 286,075 967,786
------------ --------- ----------- ----------- -----------
Net investment income (loss) ............. (240,692) 890,278 398,142 600,809 1,695,618
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) during the period on:
Investments ................................. 22,214,260 115,341 3,143,254 91,093 4,879,038
Foreign currency transactions ............... (192,736) 5,679 (2,333) (1,558)
------------ --------- ----------- ----------- -----------
Net realized gain (loss) .................. 22,214,260 (77,395) 3,148,933 88,760 4,877,480
Net change in unrealized appreciation
(depreciation) during the period on:
Investments ................................. (1,213,133) (28,152) 1,464,613 4,128,035 3,344,466
Translation of assets and liabilities
in foreign currencies .................... -- (231,536) 185 (19,359) 192
------------ --------- ----------- ----------- -----------
Net unrealized appreciation
(depreciation) ........................ (1,213,133) (259,688) 1,464,798 4,108,676 3,344,658
------------ --------- ----------- ----------- -----------
Net gain (loss) .......................... 21,001,127 (337,083) 4,613,731 4,197,436 8,222,138
------------ --------- ----------- ----------- -----------
Net increase in net assets resulting
from operations ....................... $ 20,760,435 $ 553,195 $ 5,011,873 $ 4,798,245 $ 9,917,756
============ ========= =========== =========== ===========
</TABLE>
See accompanying notes.
- --------------------------------------------------------------------------------
71
<PAGE> 73
STATEMENTS OF OPERATIONS (CONTINUED)
FOR THE SIX MONTHS ENDED JUNE 30, 1998
(UNAUDITED)
<TABLE>
<CAPTION>
SERIES S
SERIES P (SOCIAL- SERIES V SERIES X
(HIGH YIELD) AWARENESS) (VALUE) (SMALL CAP)
------------ ---------- ------- -----------
<S> <C> <C> <C> <C>
INVESTMENT INCOME:
Dividends .................................... $ 719 $ 499,258 $ 54,631 $ 4,638
Interest ..................................... 384,666 105,127 12,359 11,188
--------- ----------- ----------- ---------
Total investment income .................. 385,385 604,385 66,990 15,826
EXPENSES:
Management fees .............................. 34,146 377,657 38,444 16,779
Custodian fees ............................... 3,763 2,583 1,521 5,464
Transfer/maintenance fees .................... 632 2,610 614 470
Administration fees .......................... 2,049 22,659 2,306 1,510
Directors' fees .............................. 181 842 219 25
Professional fees ............................ 3,037 15,697 7,307 6,303
Reports to shareholders ...................... 693 3,147 186 98
Registration fees ............................ 86 6 5 187
Other expenses ............................... -- 2,623 268 594
--------- ----------- ----------- ---------
Total expenses ........................... 44,587 427,824 50,870 31,430
Reimbursement of expenses ................... (34,146) -- (22,594) (16,779)
--------- ----------- ----------- ---------
Net expenses ................................. 10,441 427,824 28,276 14,651
--------- ----------- ----------- ---------
Net investment income .................... 374,944 176,561 38,714 1,175
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) during the period on:
Investments ................................. 27,356 6,778,245 173,863 (53,051)
--------- ----------- ----------- ---------
Net realized gain (loss) ................. 27,356 6,778,245 173,863 (53,051)
Net change in unrealized appreciation
(depreciation) during the period on
investments ................................. (28,426) 7,626,840 960,131 325,355
--------- ----------- ----------- ---------
Net unrealized appreciation (depreciation) (28,426) 7,626,840 960,131 325,355
--------- ----------- ----------- ---------
Net gain (loss) .......................... (1,070) 14,405,085 1,133,994 272,304
--------- ----------- ----------- ---------
Net increase in net assets
resulting from operations .............. $ 373,874 $14,581,646 $ 1,172,708 $ 273,479
========= =========== =========== =========
</TABLE>
See accompanying notes.
- --------------------------------------------------------------------------------
72
<PAGE> 74
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE SIX MONTHS ENDED JUNE 30, 1998
(UNAUDITED)
<TABLE>
<CAPTION>
SERIES B SERIES C SERIES D SERIES E
SERIES A (GROWTH- (MONEY (WORLDWIDE) (HIGH GRADE
(GROWTH) INCOME) MARKET) EQUITY) INCOME)
-------- ------- ------- ------- -------
<S> <C> <C> <C> <C> <C>
INCREASE IN NET ASSETS FROM OPERATIONS:
Net investment income ...................... $ 2,889,125 $ 10,876,715 $ 3,384,273 $ 2,350,222 $ 4,411,642
Net realized gain .......................... 17,919,373 342,824,994 -- 20,268,525 1,059,918
Unrealized appreciation (depreciation)
during the period ....................... 160,174,111 (260,775,913) 8,006 16,145,267 (305,361)
--------------- --------------- ------------- ------------- -------------
Net increase in net assets resulting
from operations ........................ 180,982,609 92,925,796 3,392,279 38,764,014 5,166,199
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income ...................... (5,787,007) (20,380,168) (6,397,306) (4,184,565) (8,568,936)
Net realized gain .......................... (73,869,447) (129,457,129) -- (23,945,010) --
--------------- --------------- ------------- ------------- -------------
Total distributions to shareholders ...... (79,656,454) (149,837,297) (6,397,306) (28,129,575) (8,568,936)
CAPITAL SHARE TRANSACTIONS (a):
Proceeds from sale of shares ............... 157,726,309 115,829,732 219,716,250 66,010,886 41,537,247
Dividends reinvested ....................... 79,656,454 149,837,297 6,397,306 28,129,575 8,568,936
Shares redeemed ............................ (187,547,898) (140,239,791) (136,751,786) (63,668,755) (50,616,466)
--------------- --------------- ------------- ------------- -------------
Net increase (decrease) from capital share
transactions ............................ 49,834,865 125,427,238 89,361,770 30,471,706 (510,283)
--------------- --------------- ------------- ------------- -------------
Total increase (decrease) in net assets 151,161,020 68,515,737 86,356,743 41,106,145 (3,913,020)
NET ASSETS:
Beginning of period ........................ 999,928,967 1,198,302,421 98,014,830 285,781,661 140,908,535
--------------- --------------- ------------- ------------- -------------
End of period .............................. $ 1,151,089,987 $ 1,266,818,158 $ 184,371,573 $ 326,887,806 $ 136,995,515
=============== =============== ============= ============= =============
Undistributed net investment income at
end of period ............................ $2,560,396 $10,753,900 $3,108,974 $1,431,577 $4,194,170
=============== =============== ============= ============= =============
(a) Shares issued and redeemed
Shares sold ............................. 5,064,048 2,762,960 17,804,708 10,136,334 3,436,602
Dividends reinvested .................... 2,571,222 3,659,924 530,017 4,367,946 736,162
Shares redeemed ......................... (5,975,879) (3,362,055) (11,072,668) (9,750,080) (4,208,269)
--------------- --------------- ------------- ------------- -------------
Net increase (decrease) ............. 1,659,391 3,060,829 7,262,057 4,754,200 (35,505)
=============== =============== ============= ============= =============
</TABLE>
See accompanying notes.
- --------------------------------------------------------------------------------
73
<PAGE> 75
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
FOR THE SIX MONTHS ENDED JUNE 30, 1998
(UNAUDITED)
<TABLE>
<CAPTION>
SERIES K SERIES M SERIES N
SERIES J (GLOBAL (SPECIALIZED (MANAGED SERIES O
(EMERGING AGGRESSIVE ASSET ASSET (EQUITY
GROWTH) BOND) ALLOCATION) ALLOCATION) INCOME)
------- ----- ----------- ----------- -------
<S> <C> <C> <C> <C> <C>
INCREASE IN NET ASSETS FROM OPERATIONS:
Net investment income (loss) ................ $ (240,692) $ 890,278 $ 398,142 $ 600,809 $ 1,695,618
Net realized gain (loss) .................... 22,214,260 (77,395) 3,148,933 88,760 4,877,480
Unrealized appreciation (depreciation)
during the period ........................ (1,213,133) (259,688) 1,464,798 4,108,676 3,344,658
------------- ------------ ------------ ------------ -------------
Net increase in net assets resulting
from operations ......................... 20,760,435 553,195 5,011,873 4,798,245 9,917,756
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income ....................... (1,431,865) (30,659) (959,469) (745,652) (2,449,984)
Net realized gain ........................... (23,830,326) -- (2,398,671) (466,032) (5,928,963)
------------- ------------ ------------ ------------ -------------
Total distributions to shareholders ....... (25,262,191) (30,659) (3,358,140) (1,211,684) (8,378,947)
CAPITAL SHARE TRANSACTION (a):
Proceeds from sale of shares ................ 38,904,067 5,230,355 6,495,451 16,664,867 62,047,625
Dividends reinvested ........................ 25,262,191 30,659 3,358,140 1,211,684 8,378,947
Shares redeemed ............................. (49,055,953) (5,585,810) (12,247,249) (5,909,532) (25,932,781)
------------- ------------ ------------ ------------ -------------
Net increase (decrease) from capital share
transactions ............................. 15,110,305 (324,796) (2,393,658) 11,967,019 44,493,791
------------- ------------ ------------ ------------ -------------
Total increase (decrease) in net assets . 10,608,549 197,740 (739,925) 15,553,580 46,032,600
NET ASSETS:
Beginning of period ......................... 226,297,440 14,678,671 48,378,810 38,181,802 150,391,303
------------- ------------ ------------ ------------ -------------
End of period ............................... $ 236,905,989 $ 14,876,411 $ 47,638,885 $ 53,735,382 $ 196,423,903
============= ============ ============ ============ =============
Undistributed net investment income (loss) at
end of period ............................. ($284,934) $859,619 $173,965 $579,161 $1,632,362
============= ============ ============ ============ =============
(a) Shares issued and redeemed
Shares sold .............................. 1,818,112 508,127 507,985 1,144,115 3,423,374
Dividends reinvested ..................... 1,198,396 2,977 268,437 82,992 458,869
Shares redeemed .......................... (2,223,270) (540,430) (955,644) (404,876) (1,432,287)
------------- ------------ ------------ ------------ -------------
Net increase (decrease) ............... 793,238 (29,326) (179,222) 822,231 2,449,956
============= ============ ============ ============ =============
</TABLE>
See accompanying notes.
- --------------------------------------------------------------------------------
74
<PAGE> 76
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
FOR THE SIX MONTHS ENDED JUNE 30, 1998
(UNAUDITED)
<TABLE>
<CAPTION>
SERIES S
SERIES P (SOCIAL- SERIES V SERIES X
(HIGH YIELD) AWARENESS) (VALUE) (SMALL CAP)
------------ ---------- ------- -----------
<S> <C> <C> <C> <C>
INCREASE IN NET ASSETS FROM OPERATIONS:
Net investment income ....................... $ 374,944 $ 176,561 $ 38,714 $ 1,175
Net realized gain (loss) .................... 27,356 6,778,245 173,863 (53,051)
Unrealized appreciation (depreciation)
during the period ......................... (28,426) 7,626,840 960,131 325,355
------------ ------------- ------------ -----------
Net increase in net assets
resulting from operations ............... 373,874 14,581,646 1,172,708 273,479
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income ....................... (309,157) (252,822) (28,626) (5,176)
Net realized gain ........................... (68,420) (2,781,038) (157,440) --
------------ ------------- ------------ -----------
Total distributions to shareholders ....... (377,577) (3,033,860) (186,066) (5,176)
CAPITAL SHARE TRANSACTION (a):
Proceeds from sale of shares ................ 5,688,242 17,670,518 6,689,355 1,305,676
Dividends reinvested ........................ 377,577 3,033,860 186,066 5,176
Shares redeemed ............................. (1,645,974) (8,904,023) (814,425) (133,174)
------------ ------------- ------------ -----------
Net increase from capital share
transactions ............................. 4,419,845 11,800,355 6,060,996 1,177,678
------------ ------------- ------------ -----------
Total increase in net assets ............ 4,416,142 23,348,141 7,047,638 1,445,981
NET ASSETS:
Beginning of period ......................... 6,767,167 89,331,658 6,490,997 2,639,984
------------ ------------- ------------ -----------
End of period ............................... $ 11,183,309 $ 112,679,799 $ 13,538,635 $ 4,085,965
============ ============= ============ ===========
Undistributed net investment income (loss) at
end of period ............................. $368,523 $176,583 $38,194 ($235)
============ ============= ============ ===========
(a) Shares issued and redeemed
Shares sold .............................. 320,629 738,411 469,335 130,410
Dividends reinvested ..................... 21,650 125,263 12,649 489
Shares redeemed .......................... (93,191) (373,832) (56,434) (12,838)
------------ ------------- ------------ -----------
Net increase .......................... 249,088 489,842 425,550 118,061
============ ============= ============ ===========
</TABLE>
See accompanying notes.
- --------------------------------------------------------------------------------
75
<PAGE> 77
STATEMENT OF CHANGES IN NET ASSETS
FOR THE YEAR ENDED DECEMBER 31, 1997
<TABLE>
<CAPTION>
SERIES B SERIES C SERIES D SERIES E
SERIES A (GROWTH- (MONEY (WORLDWIDE) (HIGH GRADE
(GROWTH) INCOME) MARKET) EQUITY) INCOME)
-------- ------- ------- ------- -------
<S> <C> <C> <C> <C> <C>
INCREASE IN NET ASSETS FROM OPERATIONS:
Net investment income ...................... $ 5,613,118 $ 20,496,929 $ 6,337,336 $ 2,126,880 $ 8,403,103
Net realized gain (loss) ................... 74,245,595 129,262,529 -- 22,460,775 (1,539,646)
Unrealized appreciation (depreciation)
during the period ....................... 126,638,845 101,905,973 49,687 (8,322,309) 4,991,204
------------- --------------- ------------- ------------- -------------
Net increase in net assets resulting
from operations ........................ 206,497,558 251,665,431 6,387,023 16,265,346 11,854,661
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income ...................... (5,518,886) (23,074,486) (6,976,237) (5,800,374) (8,745,211)
Net realized gain .......................... (51,595,242) (57,256,924) -- (12,516,597) --
------------- --------------- ------------- ------------- -------------
Total distributions to shareholders ...... (57,114,128) (80,331,410) (6,976,237) (18,316,971) (8,745,211)
CAPITAL SHARE TRANSACTIONS (a):
Proceeds from sale of shares ............... 349,498,897 206,586,968 334,627,234 104,379,832 66,408,884
Dividends reinvested ....................... 57,114,128 80,331,410 6,976,237 18,316,971 8,745,211
Shares redeemed ............................ (270,658,046) (216,536,285) (371,671,540) (81,889,098) (71,396,121)
------------- --------------- ------------- ------------- -------------
Net increase (decrease) from capital share
transactions ............................ 135,954,979 70,382,093 (30,068,069) 40,807,705 3,757,974
------------- --------------- ------------- ------------- -------------
Total increase (decrease) in net assets 285,338,409 241,716,114 (30,657,283) 38,756,080 6,867,424
NET ASSETS:
Beginning of year .......................... 714,590,558 956,586,307 128,672,113 247,025,581 134,041,111
------------- --------------- ------------- ------------- -------------
End of year ................................ $ 999,928,967 $ 1,198,302,421 $ 98,014,830 $ 285,781,661 $ 140,908,535
============= =============== ============= ============= =============
Undistributed net investment income at
end of year .............................. $5,458,278 $20,257,353 $6,122,007 $3,265,920 $8,351,464
============= =============== ============= ============= =============
(a) Shares issued and redeemed
Shares sold ............................. 12,677,122 5,260,534 26,333,439 16,054,895 5,467,675
Dividends reinvested .................... 1,995,844 2,051,364 565,336 2,813,667 744,273
Shares redeemed ......................... (10,042,899) (5,527,086) (29,322,870) (12,578,379) (5,876,034)
------------- --------------- ------------- ------------- -------------
Net increase (decrease) ............. 4,630,067 1,784,812 (2,424,095) 6,290,183 335,914
============= =============== ============= ============= =============
</TABLE>
See accompanying notes.
- --------------------------------------------------------------------------------
76
<PAGE> 78
STATEMENT OF CHANGES IN NET ASSETS (CONTINUED)
FOR THE YEAR ENDED DECEMBER 31, 1997
<TABLE>
<CAPTION>
SERIES K SERIES M SERIES N
SERIES J (GLOBAL (SPECIALIZED (MANAGED SERIES O
(EMERGING AGGRESSIVE ASSET ASSET (EQUITY
GROWTH) BOND) ALLOCATION) ALLOCATION) INCOME)
------- ----- ----------- ----------- -------
<S> <C> <C> <C> <C> <C>
INCREASE IN NET ASSETS FROM OPERATIONS:
Net investment income (loss) ......... $ (218,416) $ 1,447,951 $ 787,888 $ 737,856 $ 2,406,342
Net realized gain .................... 25,352,614 96,313 2,392,722 431,789 5,852,343
Unrealized appreciation (depreciation)
during the period ................. 13,543,690 (737,317) (609,025) 3,226,105 17,563,989
------------- ------------ ------------ ------------ -------------
Net increase in net assets resulting
from operations .................. 38,677,888 806,947 2,571,585 4,395,750 25,822,674
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income ................ (549,249) (1,187,593) (989,376) (463,492) (1,036,083)
Net realized gain .................... (4,737,130) (360,640) (951,614) (302,277) (1,478,050)
------------- ------------ ------------ ------------ -------------
Total distributions to shareholders (5,286,379) (1,548,233) (1,940,990) (765,769) (2,514,133)
CAPITAL SHARE TRANSACTIONS (a):
Proceeds from sale of shares ......... 133,668,974 12,401,810 20,640,318 22,521,114 89,058,294
Dividends reinvested ................. 5,286,379 1,548,233 1,940,990 765,769 2,514,133
Shares redeemed ...................... (94,470,710) (11,249,981) (13,229,016) (12,079,640) (26,866,727)
------------- ------------ ------------ ------------ -------------
Net increase from capital share
transactions ...................... 44,484,643 2,700,062 9,352,292 11,207,243 64,705,700
------------- ------------ ------------ ------------ -------------
Total increase in net assets ..... 77,876,152 1,958,776 9,982,887 14,837,224 88,014,241
NET ASSETS:
Beginning of year .................... 148,421,288 12,719,895 38,395,923 23,344,578 62,377,062
------------- ------------ ------------ ------------ -------------
End of year .......................... $ 226,297,440 $ 14,678,671 $ 48,378,810 $ 38,181,802 $ 150,391,303
============= ============ ============ ============ =============
Undistributed net investment income at
end of year ........................ $1,387,623 $-- $735,292 $724,004 $2,386,728
============= ============ ============ ============ =============
(a) Shares issued and redeemed
Shares sold ....................... 6,939,060 1,143,221 1,648,855 1,701,526 5,601,731
Dividends reinvested .............. 248,954 153,633 154,292 57,361 151,820
Shares redeemed ................... (4,713,562) (1,023,875) (1,055,108) (951,637) (1,670,956)
------------- ------------ ------------ ------------ -------------
Net increase ................... 2,474,452 272,979 748,039 807,250 4,082,595
============= ============ ============ ============ =============
</TABLE>
See accompanying notes.
- --------------------------------------------------------------------------------
77
<PAGE> 79
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
FOR THE YEAR ENDED DECEMBER 31, 1997
<TABLE>
<CAPTION>
SERIES S
SERIES P (SOCIAL- SERIES V* SERIES X**
(HIGH YIELD) AWARENESS) (VALUE) (SMALL CAP)
------------ ---------- ------- -----------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income ........................... $ 303,160 $ 255,356 $ 28,106 $ 3,766
Net realized gain (loss) ........................ 66,450 2,451,272 153,347 (220,499)
Unrealized appreciation during the period ....... 67,808 12,331,938 345,437 118,932
----------- ------------ ----------- -----------
Net increase (decrease) in net assets
resulting from operations ................... 437,418 15,038,566 526,890 (97,801)
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income ........................... (86,463) (140,591) -- --
Net realized gain ............................... (16,835) (3,817,588) -- --
----------- ------------ ----------- -----------
Total distributions to shareholders ........... (103,298) (3,958,179) -- --
CAPITAL SHARE TRANSACTION (a):
Proceeds from sale of shares .................... 5,106,583 31,437,717 6,530,970 2,739,040
Dividends reinvested ............................ 103,298 3,958,179 -- --
Shares redeemed ................................. (1,441,939) (14,641,340) (566,863) (1,255)
----------- ------------ ----------- -----------
Net increase from capital share
transactions ................................. 3,767,942 20,754,556 5,964,107 2,737,785
----------- ------------ ----------- -----------
Total increase in net assets ................ 4,102,062 31,834,943 6,490,997 2,639,984
NET ASSETS:
Beginning of period ............................. 2,665,105 57,496,715 -- --
----------- ------------ ----------- -----------
End of period ................................... $ 6,767,167 $ 89,331,658 $ 6,490,997 $ 2,639,984
=========== ============ =========== ===========
Undistributed net investment income at
end of period ................................. $302,736 $252,844 $28,106 $3,766
=========== ============ =========== ===========
(a) Shares issued and redeemed
Shares sold .................................. 294,241 1,523,304 538,647 275,255
Dividends reinvested ......................... 6,087 186,619 -- --
Shares redeemed .............................. (82,570) (708,502) (44,425) (136)
----------- ------------ ----------- -----------
Net increase .............................. 217,758 1,001,421 494,222 275,119
=========== ============ =========== ===========
</TABLE>
* Period May 1, 1997 (inception) through December 31, 1997.
** Period October 15, 1997 (inception) through December 31, 1997.
See accompanying notes.
- --------------------------------------------------------------------------------
78
<PAGE> 80
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
FISCAL PERIOD ENDED DECEMBER 31
SERIES A (GROWTH) -------------------------------------------------------------------------------------
1998(j) 1997(e) 1996(e) 1995(e) 1994 1993
---------- -------- -------- -------- ------- --------
<S> <C> <C> <C> <C> <C> <C>
PER SHARE DATA
NET ASSET VALUE BEGINNING OF PERIOD $ 29.39 $ 24.31 $ 21.03 $ 16.00 $ 19.82 $ 18.33
INCOME FROM INVESTMENT OPERATIONS:
Net Investment Income ............... 0.08 0.16 0.18 0.18 0.20 0.39
Net Gain (Loss) on Securities
(realized and unrealized) .......... 5.13 6.75 4.50 5.65 (0.44) 2.08
---------- -------- -------- -------- -------- --------
Total from investment operations .... 5.21 6.91 4.68 5.83 (0.20) 2.47
LESS DISTRIBUTIONS
Dividends (from Net
Investment Income) ................ (0.17) (0.18) (0.20) (0.15) (0.38) (0.23)
Distributions (from Capital Gains)... (2.17) (1.65) (1.20) (0.65) (3.20) (0.75)
---------- -------- -------- -------- -------- --------
Total Distributions .............. (2.34) (1.83) (1.40) (0.80) (3.58) (0.98)
---------- -------- -------- -------- -------- --------
NET ASSET VALUE END OF PERIOD ....... $ 32.26 $ 29.39 $ 24.31 $ 21.03 $ 16.00 $ 19.82
========== ======== ======== ======== ======== ========
TOTAL RETURN (b) .................... 18.1% 28.7% 22.7% 36.8% (1.7%) 13.7%
RATIOS/SUPPLEMENTAL DATA
Net Assets End of Period
(thousands) ....................... $1,151,090 $999,929 $714,591 $519,891 $332,288 $317,407
Ratio of Expenses to
Average Net Assets ................ 0.81% 0.81% 0.83% 0.83% 0.84% 0.86%
Ratio of Net Investment
Income (Loss) to
Average Net Assets ................ 0.53% 0.66% 0.90% 1.21% 1.13% 2.01%
Portfolio Turnover Rate ............. 42% 61% 57% 83% 90% 108%
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
FISCAL PERIOD ENDED DECEMBER 31
SERIES B (GROWTH) ----------------------------------------------------------------------------------
1998(j) 1997(e) 1996(e) 1995(e) 1994 1993
---------- ---------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
PER SHARE DATA
NET ASSET VALUE BEGINNING OF PERIOD .... $ 41.60 $ 35.40 $ 33.95 $ 26.54 $ 29.73 $ 27.76
INCOME FROM INVESTMENT OPERATIONS:
Net Investment Income .................. 0.35 0.72 0.83 0.79 0.51 0.64
Net Gain (Loss) on Securities
(realized and unrealized) ............. 3.02 8.47 5.16 7.16 (1.34) 2.01
---------- ---------- -------- -------- -------- --------
Total from investment operations ....... 3.37 9.19 5.99 7.95 (0.83) 2.65
LESS DISTRIBUTIONS
Dividends (from Net
Investment Income) ................... (0.71) (0.86) (0.78) (0.54) (0.68) (0.68)
Distributions (from Capital Gains) ..... (4.51) (2.13) (3.76) -- (1.68) --
---------- ---------- -------- -------- -------- --------
Total Distributions ................. (5.22) (2.99) (4.54) (0.54) (2.36) (0.68)
---------- ---------- -------- -------- -------- --------
NET ASSET VALUE END OF PERIOD .......... $ 39.75 $ 41.60 $ 35.40 $ 33.95 $ 26.54 $ 29.73
========== ========== ======== ======== ======== ========
TOTAL RETURN (b) ....................... 7.7% 26.5% 18.3% 30.1% (3.0%) 9.6%
RATIOS/SUPPLEMENTAL DATA
Net Assets End of Period
(thousands) .......................... $1,266,818 $1,198,302 $956,586 $795,113 $595,154 $583,599
Ratio of Expenses to
Average Net Assets ................... 0.81% 0.83% 0.84% 0.83% 0.84% 0.86%
Ratio of Net Investment Income (Loss)
to Average Net Assets ................ 1.72% 1.89% 2.56% 2.70% 2.07% 2.63%
Portfolio Turnover Rate ................ 129% 62% 58% 94% 43% 95%
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
79
<PAGE> 81
FINANCIAL HIGHLIGHTS (CONTINUED)
<TABLE>
<CAPTION>
FISCAL PERIOD ENDED DECEMBER 31
SERIES C (MONEY MARKET) ----------------------------------------------------------------------------------
1998(j) 1997(e) 1996(a)(e) 1995(e) 1994 1993
-------- ------- ---------- -------- -------- -------
<S> <C> <C> <C> <C> <C> <C>
PER SHARE DATA
NET ASSET VALUE BEGINNING OF PERIOD ....... $ 12.53 $ 12.56 $ 12.34 $ 12.27 $ 12.09 $ 12.21
INCOME FROM INVESTMENT OPERATIONS:
Net Investment Income ..................... 0.29 0.79 0.61 0.74 0.41 0.29
Net Gain (Loss) on Securities
(realized and unrealized) ................ 0.02 (0.15) 0.01 (0.08) 0.04 0.03
-------- ------- -------- -------- -------- -------
Total from investment operations .......... 0.31 0.64 0.62 0.66 0.45 0.32
LESS DISTRIBUTIONS
Dividends (from Net Investment Income) .... (0.62) (0.67) (0.40) (0.59) (0.27) (0.44)
Distributions (from Capital Gains) ........ -- -- -- -- -- --
-------- ------- -------- -------- -------- -------
Total Distributions .................... (0.62) (0.67) (0.40) (0.59) (0.27) (0.44)
-------- ------- -------- -------- -------- -------
NET ASSET VALUE END OF PERIOD ............. $ 12.22 $ 12.53 $ 12.56 $ 12.34 $ 12.27 $ 12.09
======== ======= ======== ======== ======== =======
TOTAL RETURN (b) .......................... 2.5% 5.2% 5.1% 5.4% 3.7% 2.6%
RATIOS/SUPPLEMENTAL DATA
Net Assets End of Period (thousands) ...... $184,372 $98,015 $128,672 $105,436 $118,668 $99,092
Ratio of Expenses to Average Net Assets ... 0.56% 0.58% 0.58% 0.60% 0.61% 0.61%
Ratio of Net Investment Income (Loss)
to Average Net Assets ................... 5.10% 5.04% 4.89% 5.27% 3.70% 2.65%
Portfolio Turnover Rate ................... -- -- -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
FINANCIAL HIGHLIGHTS(CONTINUED)
<TABLE>
<CAPTION>
FISCAL PERIOD ENDED DECEMBER 31
SERIES D (WORLDWIDE EQUITY) -------------------------------------------------------------------------------------
1998(j) 1997 1996 1995 1994 1993
--------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
PER SHARE DATA
NET ASSET VALUE BEGINNING OF PERIOD ........ $ 6.14 $ 6.14 $ 5.56 $ 5.07 $ 4.94 $ 3.76
INCOME FROM INVESTMENT OPERATIONS:
Net Investment Income ...................... 0.05 0.04 0.03 0.05 0.02 0.02
Net Gain (Loss) on Securities
(realized and unrealized) ................. 0.78 0.38 0.93 0.50 0.12 1.17
-------- -------- -------- -------- -------- -------
Total from investment operations ........... 0.83 0.42 0.96 0.55 0.14 1.19
LESS DISTRIBUTIONS
Dividends (from Net Investment Income) ..... (0.09) (0.13) (0.20) -- (0.01) (0.01)
Distributions (from Capital Gains) ......... (0.51) (0.29) (0.18) (0.06) -- --
-------- -------- -------- -------- -------- -------
Total Distributions ..................... (0.60) (0.42) (0.38) (0.06) (0.01) (0.01)
-------- -------- -------- -------- -------- -------
NET ASSET VALUE END OF PERIOD .............. $ 6.37 $ 6.14 $ 6.14 $ 5.56 $ 5.07 $ 4.94
======== ======== ======== ======== ======== =======
TOTAL RETURN (b) ........................... 13.5% 6.5% 17.5% 10.9% 2.7% 31.6%
RATIOS/SUPPLEMENTAL DATA
Net Assets End of Period (thousands) ....... $326,888 $285,782 $247,026 $177,781 $147,033 $98,252
Ratio of Expenses to Average Net Assets .... 1.34% 1.24% 1.30% 1.31% 1.34% 1.42%
Ratio of Net Investment Income (Loss)
to Average Net Assets .................... 1.49% 0.74% 0.74% 0.90% 0.50% 0.38%
Portfolio Turnover Rate .................... 107% 129% 115% 169% 82% 70%
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
80
<PAGE> 82
FINANCIAL HIGHLIGHTS (CONTINUED)
<TABLE>
<CAPTION>
FISCAL PERIOD ENDED DECEMBER 31
SERIES E (HIGH GRADE INCOME) -----------------------------------------------------------------------------------
1998(j) 1997(e) 1996(e) 1995(e) 1994 1993
-------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
PER SHARE DATA
NET ASSET VALUE BEGINNING OF PERIOD ........ $ 12.25 $ 12.00 $ 12.86 $ 11.52 $ 13.78 $ 13.02
INCOME FROM INVESTMENT OPERATIONS:
Net Investment Income ...................... 0.40 0.86 0.75 0.74 0.76 0.64
Net Gain (Loss) on Securities
(realized and unrealized) ................. 0.05 0.31 (0.85) 1.36 (1.71) 1.02
-------- -------- -------- -------- -------- --------
Total from investment operations ........... 0.45 1.17 (0.10) 2.10 (0.95) 1.66
LESS DISTRIBUTIONS
Dividends (from Net Investment Income) ..... (0.76) (0.92) (0.76) (0.76) (0.69) (0.79)
Distributions (from Capital Gains) ......... -- -- -- -- (0.62) (0.11)
-------- -------- -------- -------- -------- --------
Total Distributions ..................... (0.76) (0.92) (0.76) (0.76) (1.31) (0.90)
-------- -------- -------- -------- -------- --------
NET ASSET VALUE END OF PERIOD .............. $ 11.94 $ 12.25 $ 12.00 $ 12.86 $ 11.52 $ 13.78
======== ======== ======== ======== ======== = =======
TOTAL RETURN (b) ........................... 3.8% 10.0% (0.7%) 18.6% (6.9%) 12.6%
RATIOS/SUPPLEMENTAL DATA
Net Assets End of Period (thousands) ....... $136,996 $140,909 $134,041 $125,652 $107,078 $ 112,900
Ratio of Expenses to Average Net Assets .... 0.86% 0.83% 0.83% 0.85% 0.85% 0.86%
Ratio of Net Investment Income (Loss)
to Average Net Assets .................... 6.42% 6.67% 6.77% 6.60% 6.74% 6.21%
Portfolio Turnover Rate .................... 103% 106% 232% 180% 185% 151%
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
FISCAL PERIOD ENDED DECEMBER 31
SERIES J (EMERGING GROWTH) ------------------------------------------------------------------------------
1998(j) 1997(e) 1996(e) 1995(e) 1994 1993
-------- -------- -------- ------- ------- -------
<S> <C> <C> <C> <C> <C> <C>
PER SHARE DATA
NET ASSET VALUE BEGINNING OF PERIOD ....... $ 21.33 $ 18.25 $ 16.06 $ 13.44 14.17 $ 12.47
INCOME FROM INVESTMENT OPERATIONS:
Net Investment Income ..................... (0.02) (0.03) (0.04) 0.04 (0.01) (0.01)
Net Gain (Loss) on Securities
(realized and unrealized) ................ 1.94 3.67 2.93 2.58 (0.71) 1.71
-------- -------- -------- ------- ------- -------
Total from investment operations .......... 1.92 3.64 2.89 2.62 (0.72) 1.70
LESS DISTRIBUTIONS
Dividends (from Net Investment Income) .... (0.14) (0.06) (0.03) -- -- (0.00)
Distributions (from Capital Gains) ........ (2.33) (0.50) (0.67) -- (0.01) --
-------- -------- -------- ------- ------- -------
Total Distributions .................... (2.47) (0.56) (0.70) -- (0.01) (0.00)
-------- -------- -------- ------- ------- -------
NET ASSET VALUE END OF PERIOD ............. $ 20.78 $ 21.33 $ 18.25 $ 16.06 $ 13.44 $ 14.17
======== ======== ======== ======= ======= =======
TOTAL RETURN (b) .......................... 8.8% 20.0% 18.0% 19.5% (5.1%) 13.6%
RATIOS/SUPPLEMENTAL DATA
Net Assets End of Period (thousands) ...... $236,906 $226,297 $148,421 $93,379 $76,940 $42,096
Ratio of Expenses to Average
Net Assets .............................. 0.82% 0.82% 0.84% 0.84% 0.88% 0.91%
Ratio of Net Investment Income (Loss)
to Average Net Assets ................... (0.20%) (0.11%) (0.21%) 0.26% (0.11%) (0.14%)
Portfolio Turnover Rate ................... 111% 107% 123% 202% 91% 117%
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
81
<PAGE> 83
FINANCIAL HIGHLIGHTS (CONTINUED)
<TABLE>
<CAPTION>
FISCAL PERIOD ENDED DECEMBER 31
SERIES K (GLOBAL AGGRESSIVE) -----------------------------------------------------------
1998(j) 1997(d) 1996(d) 1995(a)(c)(d)
------- ------- ------- --------------
<S> <C> <C> <C> <C>
PER SHARE DATA
NET ASSET VALUE BEGINNING OF PERIOD ................. $ 10.06 $ 10.72 $ 10.22 $10.00
INCOME FROM INVESTMENT OPERATIONS:
Net Investment Income ............................... 0.60 1.12 0.90 0.54
Net Gain (Loss) on Securities
(realized and unrealized) .......................... (0.24) (0.56) 0.50 0.22
------- ------- ------- ------
Total from investment operations .................... 0.36 0.56 1.40 0.76
LESS DISTRIBUTIONS
Dividends (from Net Investment Income) .............. (0.02) (.94) (0.77) (0.47)
Distributions (from Capital Gains) .................. -- (.28) (0.13) (0.04)
Return of Capital ................................... -- -- -- (0.03)
------- ------- ------- ------
Total Distributions .............................. (0.02) (1.22) (0.90) (0.54)
------- ------- ------- ------
NET ASSET VALUE END OF PERIOD ....................... $ 10.40 $ 10.06 $ 10.72 $10.22
======= ======= ======= ======
TOTAL RETURN (b) .................................... 3.5% 5.4% 13.7% 7.6%
RATIOS/SUPPLEMENTAL DATA
Net Assets End of Period (thousands) ................ $14,876 $14,679 $12,720 $5,678
Ratio of Expenses to Average Net Assets ............. 0.77% 0.64% 0.84% 1.63%
Ratio of Net Investment Income (Loss) to Average
Net Assets ........................................ 9.81% 9.81% 10.79% 11.03%
Portfolio Turnover Rate ............................. 39% 85% 86% 127%
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
FISCAL PERIOD ENDED DECEMBER 31
SERIES M (SPECIALIZED ASSET ALLOCATION) --------------------------------------------------------
1998(j) 1997(i) 1996 1995(a)(c)
------- ------- ------- ----------
<S> <C> <C> <C> <C>
PER SHARE DATA
NET ASSET VALUE BEGINNING OF PERIOD ................. $ 12.29 $ 12.05 $ 10.71 $ 10.00
INCOME FROM INVESTMENT OPERATIONS:
Net Investment Income ............................... 0.13 0.16 0.15 0.17
Net Gain (Loss) on Securities
(realized and unrealized) .......................... 1.21 0.59 1.36 0.54
------- ------- ------- -------
Total from investment operations .................... 1.34 0.75 1.51 0.71
LESS DISTRIBUTIONS
Dividends (from Net Investment Income) .............. (0.27) (0.26) (0.12) --
Distributions (from Capital Gains) .................. (0.68) (0.25) (0.05) --
------- ------- ------- -------
Total Distributions .............................. (0.95) (0.51) (0.17) --
------- ------- ------- -------
NET ASSET VALUE END OF PERIOD ....................... $ 12.68 $ 12.29 $ 12.05 $ 10.71
======= ======= ======= =======
TOTAL RETURN (b) .................................... 11.0% 6.2% 14.2% 7.1%
RATIOS/SUPPLEMENTAL DATA
Net Assets End of Period (thousands) ................ $47,639 $48,379 $38,396 $15,976
Ratio of Expenses to Average Net Assets ............. 1.26% 1.26% 1.34% 1.94%
Ratio of Net Investment Income (Loss) to Average
Net Assets ........................................ 1.67% 1.71% 2.73% 3.20%
Portfolio Turnover Rate ............................. 31% 64% 40% 181%
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
82
<PAGE> 84
FINANCIAL HIGHLIGHTS (CONTINUED)
<TABLE>
<CAPTION>
FISCAL PERIOD ENDED DECEMBER 31
SERIES N (MANAGED ASSET ALLOCATION) ---------------------------------------------------
1998(j) 1997 1996 1995(a)(c)
------- ------- ------- -----------
<S> <C> <C> <C> <C>
PER SHARE DATA
NET ASSET VALUE BEGINNING OF PERIOD ................. $ 13.88 $ 12.02 $ 10.73 $ 10.00
INCOME FROM INVESTMENT OPERATIONS:
Net Investment Income ............................... 0.14 0.24 0.19 0.16
Net Gain (Loss) on Securities
(realized and unrealized) .......................... 1.41 1.96 1.18 0.57
------- ------- ------- -------
Total from investment operations .................... 1.55 2.20 1.37 0.73
LESS DISTRIBUTIONS
Dividends (from Net Investment Income) .............. (0.24) (0.21) (0.07) --
Distributions (from Capital Gains) .................. (0.15) (0.13) (0.01) --
------- ------- ------- -------
Total Distributions .............................. (0.39) (0.34) (0.08) --
------- ------- ------- -------
NET ASSET VALUE END OF PERIOD ....................... $ 15.04 $ 13.88 $ 12.02 $ 10.73
======= ======= ======= =======
TOTAL RETURN (b) .................................... 11.3% 18.4% 12.8% 7.3%
RATIOS/SUPPLEMENTAL DATA
Net Assets End of Period (thousands) ................ $53,735 $38,182 $23,345 $10,580
Ratio of Expenses to Average Net Assets ............. 1.24% 1.35% 1.45% 1.90%
Ratio of Net Investment Income (Loss) to Average
Net Assets ........................................ 2.61% 2.71% 2.67% 2.80%
Portfolio Turnover Rate ............................. 13% 28% 41% 26%
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
FISCAL PERIOD ENDED DECEMBER 31
SERIES O (EQUITY INCOME) -------------------------------------------
1998(j) 1997 1996 1995(a)(c)
-------- -------- -------- ----------
<S> <C> <C> <C> <C>
PER SHARE DATA
NET ASSET VALUE BEGINNING OF PERIOD $17.62 $14.01 $11.70 $10.00
INCOME FROM INVESTMENT OPERATIONS:
Net Investment Income 0.12 0.19 0.17 0.17
Net Gain (Loss) on Securities
(realized and unrealized) 1.00 3.77 2.17 1.53
-------- -------- -------- --------
Total from investment operations 1.12 3.96 2.34 1.70
LESS DISTRIBUTIONS
Dividends (from Net Investment Income) (0.25) (0.14) (0.03) --
Distributions (from Capital Gains) (0.61) (0.21) -- --
-------- -------- -------- --------
Total Distributions (0.86) (0.35) (0.03) --
-------- -------- -------- --------
NET ASSET VALUE END OF PERIOD $17.88 $17.62 $14.01 $11.70
======== ======== ======== ========
TOTAL RETURN (b) 6.2% 28.4% 20.0% 17.0%
RATIOS/SUPPLEMENTAL DATA
Net Assets End of Period (thousands) $196,424 $150,391 $62,377 $13,528
Ratio of Expenses to Average Net Assets 1.09% 1.09% 1.15% 1.40%
Ratio of Net Investment Income (Loss) to Average
Net Assets 1.91% 2.31% 2.62% 3.00%
Portfolio Turnover Rate 20% 21% 22% 3%
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
83
<PAGE> 85
FINANCIAL HIGHLIGHTS (CONTINUED)
<TABLE>
<CAPTION>
FISCAL PERIOD ENDED DECEMBER 31
SERIES P (HIGH YIELD) --------------------------------------
1998(j) 1997(d) 1996(d)(f)
---------- ---------- -----------
<S> <C> <C> <C>
PER SHARE DATA
NET ASSET VALUE BEGINNING OF PERIOD ................. $ 17.60 $ 15.99 $ 15.00
INCOME FROM INVESTMENT OPERATIONS:
Net Investment Income ............................... 0.59 0.68 0.51
Net Gain (Loss) on Securities
(realized and unrealized) .......................... 0.21 1.43 0.48
---------- ---------- --------
Total from investment operations .................... 0.80 2.11 0.99
LESS DISTRIBUTIONS
Dividends (from Net Investment Income) .............. (0.61) (0.42) --
Distributions (from Capital Gains) .................. (0.14) (0.08) --
---------- ---------- --------
Total Distributions .............................. (0.75) (0.50) --
---------- ---------- --------
NET ASSET VALUE END OF PERIOD ....................... $ 17.65 $ 17.60 $ 15.99
========== ========== ========
TOTAL RETURN (b) .................................... 4.6% 13.4% 6.6%
RATIOS/SUPPLEMENTAL DATA
Net Assets End of Period (thousands) ................ $ 11,183 $ 6,767 $ 2,665
Ratio of Expenses to Average Net Assets ............. 0.23% 0.31% 0.28%
Ratio of Net Investment Income (Loss) to Average
Net Assets ........................................ 8.24% 8.58% 8.24%
Portfolio Turnover Rate ............................. 108% 77% 151%
- --------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
FISCAL PERIOD ENDED DECEMBER 31
SERIES S (SOCIAL AWARENESS) ------------------------------------------------------------------------
1998(j) 1997(e) 1996(e) 1995(e) 1994 1993
-------- ------- ------- ------- ------- -------
<S> <C> <C> <C> <C> <C> <C>
PER SHARE DATA
NET ASSET VALUE BEGINNING OF PERIOD ................ $ 22.25 $ 19.08 $ 16.49 $ 12.97 $ 13.69 $ 12.25
INCOME FROM INVESTMENT OPERATIONS:
Net Investment Income .............................. 0.04 0.06 0.03 0.09 0.08 0.02
Net Gain (Loss) on Securities
(realized and unrealized) ......................... 3.45 4.21 3.07 3.51 (0.59) 1.43
-------- ------- ------- ------- ------- -------
Total from investment operations ................... 3.49 4.27 3.10 3.60 (0.51) 1.45
LESS DISTRIBUTIONS
Dividends (from Net Investment Income) ............. (0.06) (0.04) (0.08) (0.08) (0.02) (0.01)
Distributions (from Capital Gains) ................. (0.66) (1.06) (0.43) -- (0.19) --
-------- ------- ------- ------- ------- -------
Total Distributions ............................. (0.72) (1.10) (0.51) (0.08) (0.21) (0.01)
-------- ------- ------- ------- ------- -------
NET ASSET VALUE END OF PERIOD ...................... $ 25.02 $ 22.25 $ 19.08 $ 16.49 $ 12.97 $ 13.69
======== ======= ======= ======= ======= =======
TOTAL RETURN (b) ................................... 15.8% 22.7% 18.8% 27.7% (3.7%) 11.9%
RATIOS/SUPPLEMENTAL DATA
Net Assets End of Period (thousands) ............... $112,680 $89,332 $57,497 $36,830 $24,539 $19,490
Ratio of Expenses to Average Net Assets ............ 0.85% 0.83% 0.84% 0.86% 0.90% 0.90%
Ratio of Net Investment Income (Loss) to Average
Net Assets ....................................... 0.35% 0.35% 0.30% 0.75% 0.75% 0.23%
Portfolio Turnover Rate ............................ 42% 49% 67% 122% 67% 105%
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
84
<PAGE> 86
FINANCIAL HIGHLIGHTS (CONTINUED)
<TABLE>
<CAPTION>
FISCAL PERIOD ENDED
DECEMBER 31
SERIES V (VALUE) -----------------------
1998(j) 1997(a)(d)(g)
------- -------------
<S> <C> <C>
PER SHARE DATA
NET ASSET VALUE BEGINNING OF PERIOD ................. $ 13.13 $ 10.00
INCOME FROM INVESTMENT OPERATIONS:
Net Investment Income ............................... 0.17 0.12
Net Gain (Loss) on Securities
(realized and unrealized) .......................... 1.68 3.01
-------- -------
Total from investment operations .................... 1.85 3.13
LESS DISTRIBUTIONS
Dividends (from Net Investment Income) .............. (0.04) --
Distributions (from Capital Gains) .................. (0.22) --
--------- -------
Total Distributions .............................. (0.26) --
NET ASSET VALUE END OF PERIOD ....................... $ 14.72 $ 13.13
======== =======
TOTAL RETURN (b) .................................... 14.1% 31.3%
RATIOS/SUPPLEMENTAL DATA
Net Assets End of Period (thousands) ................ $ 13,539 $ 6,491
Ratio of Expenses to Average Net Assets ............. 0.55% 0.40%
Ratio of Net Investment Income (Loss) to Average
Net Assets ........................................ 0.76% 1.55%
Portfolio Turnover Rate ............................. 57% 79%
- --------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
FISCAL PERIOD ENDED
DECEMBER 31
SERIES X (SMALL CAP) -------------------------
1998(j) 1997(d)(h)
--------- ----------
<S> <C> <C>
PER SHARE DATA
NET ASSET VALUE BEGINNING OF PERIOD ................. $ 9.60 $ 10.00
INCOME FROM INVESTMENT OPERATIONS:
Net Investment Income ............................... -- 0.01
Net Gain (Loss) on Securities
(realized and unrealized) .......................... 0.81 (0.41)
--------- ---------
Total from investment operations .................... 0.81 (0.40)
LESS DISTRIBUTIONS
Dividends (from Net Investment Income) .............. (0.02) --
Distributions (from Capital Gains) .................. -- --
--------- ---------
Total Distributions .............................. (0.02) --
--------- ---------
NET ASSET VALUE END OF PERIOD ....................... $ 10.39 $ 9.60
========= =========
TOTAL RETURN (b) .................................... 8.6% (4.0%)
RATIOS/SUPPLEMENTAL DATA
Net Assets End of Period (thousands) ................ $ 4,086 $ 2,640
Ratio of Expenses to Average Net Assets ............. 0.87% 0.98%
Ratio of Net Investment Income (Loss) to Average
Net Assets ........................................ 0.07% 0.73%
Portfolio Turnover Rate ............................. 333% 402%
- --------------------------------------------------------------------------------
</TABLE>
(a)Net investment income per share has been calculated using the weighted
monthly average number of capital shares outstanding.
(b)Total return does not take into account any of the 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.
(c)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.
(d)Fund expenses for Series K, P, V and X were reduced by the Investment
Manager during the period. Expense ratios absent such reimbursement would
have been as follows:
1995 1996 1997 1998
----- ------- ------ ------
Series K 2.03% 1.59% 1.39% 1.19%
Series P -- 1.11% 1.14% 0.98%
Series V -- -- 1.14% 0.99%
Series X -- -- 1.98% 1.87%
(e)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% 0.83%
(f)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.
(g)Series V was initially capitalized on May 1, 1997, with a net asset value
of $10 per share. Percentage amounts for the period have been annualized,
except for total return.
(h)Series X was initially capitalized on October 15, 1997, with a net asset
value of $10 per share. Percentage amounts for the period have been
annualized, except for total return.
(i)Meridian Investment Management Corporation (Meridian) became the
sub-advisor of Series M (Specialized Asset Allocation) effective August 1,
1997. Prior to August 1, 1997, SMC paid Templeton/Franklin Investment
Services, Inc. and Meridian for research services provided to Series M.
(j)Unaudited figures for the six months ended June 30, 1998. Percentage
amounts for the period, except total return, have been annualized.
- --------------------------------------------------------------------------------
85
<PAGE> 87
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 1998
(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 on 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 securities 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.
Except for Series K, the funds which invest in foreign securities and
currencies do not isolate that portion of the results of operations resulting
from changes in the foreign exchange rates on investments from the fluctuation
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 its 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, O and X
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 the effect
of 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 counter party 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 securities
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 on their quoted daily
settlement prices. Upon entering into a futures contract, the Series is required
to deposit 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, 1998.
- --------------------------------------------------------------------------------
86
<PAGE> 88
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 1998
(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,
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.
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, S and V and 1.00% for Series D, M, N, O and X. 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 management fees for
Series P and X through December 31, 1998. SMC waived all of the management fees
for Series V through April 30, 1998. SMC & LMC waived all of the management fees
for Series K through April 30, 1998. 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 Strong Capital Management, Inc. ("Strong") with
respect to Series X, an annual fee based on the combined average net assets of
the Series and another fund within the Security Funds to which Strong provides
advisory services. The fee is equal to .50% of the combined average net assets
under $150,000,000, .45% of the combined average net assets at or above
$150,000,000 but less than $500,000,000, and .40% of the combined average net
assets at or above $500,000,000. Meridian Investment Management Corporation
furnishes investment advisory, statistical and research facilities, supervises
and arranges for the purchase and sale of securities on behalf of Series M, and
for such services receives an annual fee equal to the following schedule:
Average Daily Net Assets of the Series Annual Fees
Less Than $100 Million . ........................... .40%, plus
$100 Million but less than $200 Million ............ .35%, plus
$200 Million but less than $400 Million ............ .30%, plus
$400 Million or more ............................... .25%
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 six month period ended June 30, 1998, SMC agreed to limit the
total expenses for Series K, M, P, V and X 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
- --------------------------------------------------------------------------------
87
<PAGE> 89
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 1998
(UNAUDITED)
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 (except Series X), plus the greater of .10% of the
average net assets of Series D, K, M and N, or $60,000. with respect to Series
X, SMC receives a fee at the annual rate of .09% of the average daily net assets
of the Series.
Certain officers and directors of the Fund are also officers and/or
directors of SBL and its subsidiaries, which include SMC.
3. FEDERAL INCOME TAX MATTERS
The amounts of unrealized appreciation (depreciation) for income tax
purposes at June 30, 1998, for all securities and foreign currency holdings
(including foreign currency receivables and payables) were as follows:
<TABLE>
<CAPTION>
Aggregate gross Aggregate gross Net unrealized
unrealized unrealized appreciation
appreciation depreciation (depreciation)
---------------- --------------- ---------------
<S> <C> <C> <C>
SERIES A
(Growth) .............. $ 472,101,407 $ (3,237,679) $ 468,863,728
SERIES B
(Growth Income) ....... 107,507,331 (56,656,001) 50,851,330
SERIES C
(Money Market) ........ 14,033 (9,857) 4,176
SERIES D
(Worldwide Equity) .... 52,634,044 (21,278,497) 31,355,547
SERIES E
(High Grade Income) ... 4,202,856 (165,796) 4,037,060
SERIES J
(Emerging Growth) ..... 51,786,301 (11,692,333) 40,093,968
SERIES K
(Global Aggressive) ... 482,211 (1,158,309) (676,098)
SERIES M
(Specialized Asset
Allocation) .......... 6,950,688 (4,150,302) 2,800,386
SERIES N
(Managed Asset
Allocation) .......... 9,798,169 (611,424) 9,186,745
SERIES O
(Equity Income) ....... 31,050,447 (4,156,802) 26,893,645
SERIES P
(High Yield) .......... 177,106 (75,493) 101,613
SERIES S
(Social Awareness) .... 32,202,500 (1,058,851) 31,143,649
SERIES V
(Value) ............... 1,821,866 (516,298) 1,305,568
SERIES X
(Small Cap) ........... 486,011 (41,724) 444,287
</TABLE>
4. INVESTMENT TRANSACTIONS
Investment transactions for the six month period ended June 30, 1998,
(excluding overnight investments and short-term debt securities) are as follows:
<TABLE>
<CAPTION>
Proceeds
Purchases from sales
------------- -------------
<S> <C> <C>
SERIES A
(Growth) .............. $233,866,234 $218,458,973
SERIES B
(Growth Income) ....... 754,200,255 878,819,119
SERIES C
(Money Market) ........ -- --
SERIES D
(Worldwide Equity) .... 190,880,174 159,608,786
SERIES E
(High Grade Income) ... 54,891,149 60,243,942
SERIES J
(Emerging Growth) ..... 126,416,469 129,707,994
SERIES K
(Global Aggressive) ... 3,382,118 2,629,950
SERIES M
(Specialized Asset
Allocation) .......... 6,938,871 14,067,761
SERIES N
(Managed Asset
Allocation) .......... 14,953,443 2,711,270
SERIES O
(Equity Income) ....... 52,832,389 16,541,803
SERIES P
(High Yield) .......... 8,919,031 4,604,853
SERIES S
(Social Awareness) .... 27,639,918 20,313,766
SERIES V
(Value) ............... 8,877,001 2,824,309
SERIES X
(Small Cap) ........... 6,045,010 5,002,305
- --------------------------------------------------------------------------------
</TABLE>
88
<PAGE> 90
NOTES TO FINANCIAL STATEMENTS
JUNE 30,1998
(UNAUDITED)
5. FORWARD FOREIGN EXCHANGE CONTRACTS
At June 30, 1998, Series D had the following open forward foreign exchange
contracts to sell currency (excluding foreign currency contracts used for
purchase and sale settlements):
<TABLE>
<CAPTION>
CURRENCY TYPE SETTLEMENT DATE FOREIGN AMOUNT U. S. AMOUNT UNREALIZED GAIN(LOSS)
-------- ---- --------------- -------------- ------------ ---------------------
SERIES D
- --------
<S> <C> <C> <C> <C> <C>
Australian Dollar Sell 11/05/98 8,755,241 5,697,911 $ 273,863
Australian Dollar Buy 11/05/98 2,538,782 1,515,856 56,970
Australian Dollar Buy 11/05/98 1,968,277 1,154,985 64,402
Canadian Dollar Sell 11/30/98 13,590,071 9,353,755 66,327
Canadian Dollar Buy 11/30/98 5,967,259 4,128,734 (50,721)
German Deutsche Mark Sell 10/01/98 18,120,396 9,907,811 (171,410)
German Deutsche Mark Buy 10/01/98 18,120,396 10,184,718 (105,497)
British Pound Sell 10/06/98 9,955,400 16,440,846 (74,372)
Japanese Yen Sell 07/08/98 1,493,003,200 11,456,000 689,693
Japanese Yen Buy 07/08/98 1,493,003,200 11,879,402 (1,113,094)
Swedish Krona Sell 10/01/98 52,220,767 6,605,207 45,919
Swedish Krona Buy 10/01/98 52,220,767 6,770,224 (210,935)
------------
$ (528,855)
============
</TABLE>
6. TRANSACTIONS IN WRITTEN CALL OPTIONS
Transactions in written covered call options for Series K were as follows:
<TABLE>
<CAPTION>
SERIES K
----------------------------
NUMBER OF
PREMIUM CONTRACTS
---------- -----------
<S> <C> <C>
Balance at December 31, 1997 $ 19,300 912,208
Options written 42,368 3,304,521
Exercised (34,193) (2,524,416)
Expiration (27,475) (1,692,313)
--------- ----------
Balance at June 30, 1998 $ -- --
========= ==========
- --------------------------------------------------------------------------------
</TABLE>
89
<PAGE> 91
SECURITY FUNDS
OFFICERS AND DIRECTORS
- --------------------------
DIRECTORS
Donald A. Chubb, Jr.
John D. Cleland
Penny A. Lumpkin
Mark L. Morris, Jr., D.V.M.
Maynard F. Oliverius
James R. Schmank
OFFICERS
John D. Cleland, President
James R. Schmank, Vice President
Terry A. Milberger, Vice President
Jane A. Tedder, Vice President
Mark E. Young, Vice President
Cindy L. Shields, Vice President
Steven M. Bowser, Vice President
David Eshnaur, Vice President
Michael A. Petersen, Vice President
James P. Schier, Vice President
Thomas A. Swank, Vice President and Chief Investment Officer
Amy J. Lee, Secretary
Christopher D. Swickard, Assistant Secretary
Brenda M. Harwood,Treasurer
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.
BULK RATE
U.S. POSTAGE PAID
PERMIT NO. 941
CHICAGO, IL
- -------------------------------------
[LOGO] SECURITY DISTRIBUTORS, INC.
- -------------------------------------
700 SW Harrison St.
Topeka, KS 66636-0001
(785) 431-3112
(800) 888-2461
