SBL FUND
SEMI-ANNUAL REPORT
JUNE 30, 1999
o Series A (Growth Series)
o Series B (Growth-Income Series)
o Series C (Money Market Series)
o Series D (Worldwide Equity Series)
o Series E (High Grade Income Series)
o Series H (Enhanced Index Series)
o Series I (International Series)
o Series J (Mid Cap Series)
o Series K (Global Strategic Income Series)
o Series M (Global Total Return Series)
o Series N (Managed Asset Allocation Series)
o Series O (Equity Income Series)
o Series P (High Yield Series)
o Series S (Social Awareness Series)
o Series V (Value Series)
o Series X (Small Cap Series)
o Series Y ( Select 25 Series)
[SECURITY Security Distributors,
DISTRIBUTORS A Member of The Security Benefit
LOGO] Group of Companies
<PAGE>
PRESIDENT'S LETTER
August 15, 1999
[PICTURE OF JOHN CLELAND]
John Cleland
President
TO OUR CONTRACTHOLDERS:
The past six months have represented a dramatic change in the equity markets
from the experience of the last several years. While the market as represented
by the Dow Jones Industrial Average ended the six months up 20.45%, for the
first time in several years we have seen the market broaden with a shift from
the large cap highly visible growth stocks to an emphasis on the value sector,
and to some extent small and midcap stocks as well.
GLOBAL ECONOMIC GROWTH PLAYS A PART
To some extent we believe this shift is a result of the recognition that global
economic growth is resuming. In this climate of recovering economic growth
worldwide, earnings gains across a broader market spectrum coupled with a
dramatic difference in valuations among equity market sectors will lead to a
continuation of this broadening in the market. We also believe this to be a very
healthy event in its contribution to the great bull market of the nineties.
We expect this continued pattern of earnings growth to be the driving force for
the balance of the year and believe it holds the potential for the market to
reach new high ground over the course of the year as the broadening continues.
This broadening market is best seen in the outstanding performance of our Value
Series and Mid Cap Series in the SBL Fund. Under the management of Jim Schier
these portfolios have exhibited outstanding performance in the six month period
just completed.
FIXED INCOME MARKETS HAVE NOT FARED AS WELL
The rise in interest rates from 5.09% at the beginning of the year to a high of
6.16% on June 24 was a result of investors' concerns about potential
inflationary pressures stemming from the same global economic recovery that
caused the equity markets to perform so well. The expectation that the Federal
Open Market Committee (FOMC), the policy-making arm of the Federal Reserve Bank,
would have to raise short-term interest rates to slow economic growth
contributed to negative market psychology. These fears were confirmed when the
Committee raised its Federal Funds interest rate target by 25 basis points at
their June 30 meeting.
The rate hike was accompanied by an announcement that the FOMC was at the same
time moving from a bias toward raising interest rates to a neutral position on
further rate hikes. We believe this action has for the time being improved the
psychological climate in the fixed income markets and that the thirty-year
Treasury bond has settled in a range of 5.50% to 6% for the remainder of the
year, absent any unexpected exogenous shocks to the financial system.
WELCOME TO TWO NEW SUBADVISOR GROUPS
With this report we welcome two new subadvisors to our family of investment
managers. Bankers Trust/Deutche Bank is managing our new Enhanced Index Series
and International Series, and Wellington Management Company LLP is managing the
Global Total Return Series and the Global Strategic Income Series. We invite you
to read their comments in the portfolio managers' letters that follow. We have
also added the Select 25 Series under the expert guidance of our own Terry
Milberger.
We thank you for your continued confidence you have expressed in us as
represented by your investment in the SBL Fund. We assure you we will remain
diligent in the stewardship of your assets. As always, we invite your questions
or comments at any time.
/s/ John Cleland
John Cleland, President
The Security Funds
1
<PAGE>
SERIES A (GROWTH SERIES)
August 15, 1999
[PICTURE OF TERRY MILBERGER]
Terry Milberger
Senior Portfolio Manager
TO OUR CONTRACTHOLDERS:
The first half of 1999 was difficult for the Growth Series. The portfolio gained
6.96% during the period, lagging its Lipper peer group average of 12.62% and the
benchmark S&P 500 Stock Index's 12.38%.1 The three primary contributors to
underperformance were an underweighting in the strong-performing technology
sector, an underweighting in energy companies at a time when oil prices moved up
sharply, and an overweighting in the weakened health care industry.
THE TECHNOLOGY SECTOR LED THE MARKETS
We owned several good stocks within the technology sector, but were underweight
the benchmark index in the technology area as a whole. Those tech companies we
owned did very well: Sun Microsystems, Inc. rose 58%, Microsoft Corporation
gained 26%, and Cisco Systems, Inc. was up 34%. In hindsight, we only wish we
had owned more of these outstanding technology firms in this period of strong
performance.
HEALTH CARE STOCKS HAD A DIFFICULT PERIOD
The health care industry has been hurt by concerns about legislation which could
negatively impact the industry. Congress's recent Balanced Budget Amendment Act
changed the way in which nursing homes and service providers were reimbursed for
their services. Additional legislation now pending in Congress could negatively
impact drug manufacturers' ability to price their own products.
Our portfolio contained a number of stocks in the health care group which did
well, but we also held three weak performers. Retail drug store operator Rite
Aid Corporation lost 49%, healthcare services company McKesson HBOC, Inc. slid
57.5%, and medical supply manufacturer Becton, Dickinson and Company fell 29%,
in reaction to disappointing earnings announcements.
SOME POSITIVES AMID THE CLOUDS
Still, despite the negatives during the period we owned some stocks which were
strong performers. In addition to the technology stocks mentioned above,
cellular telecommunications company Sprint Corporation (PCS Group) rose an
amazing 177%, primarily because of reports of exceptional subscriber growth. The
company is also frequently mentioned as a potential takeover candidate.
Stock prices of some firms in the financial sector, most prominently insurance
companies, have risen because of the possibility of buyouts if legislation now
pending in Congress which would allow banks to buy insurance companies is
passed. Separate bills dealing with the issue have passed the House and the
Senate; now differences in the bills must be ironed out before a final vote is
taken. The final version is widely expected to be passed. Among the holdings in
our portfolio which have benefited are American General Corporation and Lincoln
National Corporation.
2
<PAGE>
SERIES A (GROWTH SERIES)
August 15, 1999
A HOSPITABLE ENVIRONMENT AHEAD FOR EQUITIES
We believe that economic growth over the next six months will moderate a bit,
but will still be positive. We expect interest rates to trade in a narrow range.
These factors in combination should create a positive environment for stocks.
Year 2000 problems may cause a temporary slowdown in the markets at some point,
but we would view such a pause as a potential buying opportunity.
Terry Milberger
Senior Portfolio Manager
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.
PERFORMANCE
TOP 5 EQUITY HOLDINGS*
% OF
NET ASSETS
----------
Microsoft Corporation ......................................... 2.5%
Tyco International, Ltd. ...................................... 2.0%
Omnicom Group, Inc. ........................................... 1.8%
General Electric Company ...................................... 1.6%
Dial Corporation .............................................. 1.6%
*At June 30, 1999
AVERAGE ANNUAL TOTAL RETURN
AS OF JUNE 30, 1999(1)
1 YEAR 5 YEARS 10 YEARS
------ ------- --------
Series A 13.62% 24.58% 17.25%
(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.
3
<PAGE>
SERIES B (GROWTH-INCOME SERIES)
August 15, 1999
[PICTURE OF MIKE A. PETERSEN]
MIKE A. PETERSEN
Senior Portfolio Manager
TO OUR CONTRACTHOLDERS:
The Growth-Income Series of SBL Fund performed very well in the first six months
of 1999, generating a +14.52% return compared with its Lipper peer group average
of +10.93%.1 The Series also outperformed its benchmark S&P 500 Stock Index,
which rose 12.38% over the period.
GROWTH AND INCOME FUNDS GET THEIR TURN
The first half of 1999 has been a good environment overall for stocks. Low
interest rates are helping spur recoveries in overseas economies. This should
aid the U.S. manufacturing sector in gaining some of the ground it lost when
export orders dropped dramatically in late 1997 and 1998.
After an extended period in which large-cap growth funds were the outstanding
performers and more defensive styles of portfolio management lagged the
benchmarks, the second quarter of 1999 finally saw investors broadening their
choices and lessening their exposure to the small group of stocks which had led
the market advances the past two years.
In January and June investors were strongly growth-oriented. Their money flowed
primarily toward nondefensive stocks. February and March favored energy stocks,
as oil prices moved up roughly 50% from their lows. During April and May the
value, small cap, and midcap sectors of the markets were the favorites. Nearly
all equity investors had their turn to cheer at some point in the first half.
STRONG PERFORMANCE FROM THE ENERGY AND BASIC MATERIALS SECTORS
The best-performing sector in the Growth-Income Series in the first half was
energy. During the fall months of 1998 we added to our energy holdings when oil
was trading near $10 per barrel. Our holdings were skewed toward oil service
companies such as Halliburton Company, Baker Hughes, Inc., and Schlumberger
Ltd., and exploration and production companies including Apache Corporation and
Kerr-McGee Corporation. These issues in the first half of 1999 have risen in a
range from 30% to over 80% in value.
As value-oriented stocks gained favor in the second quarter our basic materials
holdings such as paper, forest products, and chemical companies also made strong
contributions to total return. Building materials and wood products manufacturer
Louisiana-Pacific Corporation rose 33% while integrated forest products company
Champion International Corporation climbed 29%. Praxair, Inc., which supplies
oxygen, nitrogen, carbon dioxide, helium, and other gases to industry, gained
47%, and diversified chemicals company E.I. du Pont de Nemours & Company was up
nearly 23% over the first half.
An unusually large number of takeovers during the six months also gave the
portfolio a performance boost. Natural gas pipeline companies Sonat, Inc. and
Columbia Energy Group, capital goods firms Browning-Ferris Industries, Inc. and
Honeywell, Inc., and computer systems provider Sequent Computer Systems, Inc.
were included in the "merger mania."
4
<PAGE>
SERIES B (GROWTH-INCOME SERIES)
August 15, 1999
A CAUTIOUS OUTLOOK FOR THE REMAINDER OF 1999
Looking to the remainder of the year, we anticipate continuing to favor
value-oriented stocks. We believe a recovery in foreign markets will help bring
manufacturing sector companies back to more typical performance. The high levels
of investor optimism and leverage tend to keep us on the defensive side of the
markets, since these are indicators that much of the buying has already been
done. We recognize, however, that market fundamentals remain solid. We are not
anticipating a large selloff, but more likely a slowdown in the rate of increase
of the major stock market indexes.
Michael A. Petersen
Senior Portfolio Manager
(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.Top 5 Equity Holdings*
PERFORMANCE
TOP 5 EQUITY HOLDINGS
% OF
NET ASSETS
----------
Royal Dutch Petroleum Company ADR ................................. 2.8%
Schlumberger, Ltd. ................................................ 2.0%
GTE Corporation ................................................... 1.8%
Boeing Company .................................................... 1.7%
Bank One Corporation .............................................. 1.7%
*At June 30, 1999
AVERAGE ANNUAL TOTAL RETURN
AS OF JUNE 30, 1999(1)
1 YEAR 5 YEARS 10 YEARS
------ ------- --------
Series B 14.69% 20.04% 14.73%
(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.
5
<PAGE>
SERIES C (MONEY MARKET SERIES)
August 15, 1999
TO OUR CONTRACTHOLDERS:
Money market funds enjoyed the benefits of higher interest rates in the first
half of 1999, unlike most sectors of the fixed income markets. The Money Market
Series of SBL Fund gained 2.05% over the six-month period, slightly lagging the
2.21% average return of its Lipper peer group.1
THE SPECTER OF HIGHER INTEREST RATES
The Federal Reserve Board's policy-making arm, the Federal Open Market Committee
(FOMC), elected to raise its short-term interest rate target twenty-five basis
points at its June 30 meeting. Fixed income and money market investors had been
expecting the increase for some time, however, and rates in short term
securities arenas such as the commercial paper markets had been rising for some
time in anticipation of the actual event.
After the rate adjustment by the FOMC, most major banks raised their prime
lending rates. This was followed immediately by a jump in rates on our holdings
such as those issued by the Small Business Administration which bear floating
interest rates based on the prime rate. Since the move was at the very end of
the first half of the year, the benefits of these increases will now be realized
in the months ahead.
INCREASING DIVERSIFICATION TO ADD YIELD
The portfolio holdings currently consist of over 17% in federal agency discount
securities, nearly 6% in funding agreements, and 8% in SBA issues. Commercial
paper still makes up the greatest portion of assets at 60%, but has been reduced
from prior months' size in order to gain the higher yields the other sectors
offer. U.S. government issues are about 9% of assets. All commercial paper and
funding agreements now in the portfolio bear the highest ratings issued by major
rating agencies.
The average maturity of portfolio holdings, at 66 days, is slightly longer than
the peer group average of 57 days. As interest rates began to rise in the early
months of 1999, rates on longer maturities--those in the six to nine month
range--were generally the most attractive. Over time, as shorter rates catch up
with the longer ones, the maturity structure will shorten correspondingly.
PERFORMANCE
AVERAGE ANNUAL TOTAL RETURN
as of June 30, 1999(1)
1 YEAR 5 YEARS 10 YEARS
------ ------- --------
Series C 4.64% 5.01% 5.02%
(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
THE POSSIBILITY OF MORE RATE INCREASES AHEAD
Federal Reserve Chairman Alan Greenspan has indicated his preference for
economic growth to be in the 3% range, rather than the 4%-plus levels of the
past several quarters. If he and the Federal Open Market Committee believe
growth is continuing at levels that will prompt a return of inflation, they
could increase rates again in coming months. Although most sectors of the fixed
income markets would respond negatively to such a move, money market funds would
continue to benefit. We will watch market changes carefully, and adjust
portfolio holdings accordingly.
Fixed Income Team
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.
An investment in Series C is not insured or guaranteed by the Federal
Deposit Insurance Corporation or any other government agency and does not
attempt to maintain a stable net asset value at $1.00 per share.
6
<PAGE>
SERIES D (WORLDWIDE EQUITY SERIES)
August 15, 1999
[OPPENHEIMER FUNDS LOGO]
SUBADVISOR, OPPENHEIMERFUNDS, INC.
PORTFOLIO MANAGER, WILLIAM L. WILBY
[PICTURE OF WILLIAM L. WILBY]
William L. Wilby
Portfolio Manager
TO OUR CONTRACTHOLDERS:
The Worldwide Equity Series of SBL Fund performed reasonably well over the six
month period ended June 30, 1999, considering our emphasis on Europe which
represented a substantial percentage of our portfolio. The Series returned
11.47% for the period, matching the Lipper peer group average of 11.47% and
outperforming the benchmark Morgan Stanley Capital International World Index
return of 7.90%.(1)
A WEAK PERIOD FOR EUROPEAN MARKETS
Over the past six months European economic statistics showed a slowdown in the
industrial sector, which caused some investors to lose confidence in the
region's potential for growth. We believed, however, that these statistics were
inconclusive as they failed to reflect income growth in Europe's robust consumer
sector.
The region also faced difficulties with the launch of the euro, partly because
of this lack of confidence in European growth and partly because of negative
reaction to the economic policies of the new German government and its finance
minister, Oskar Lafontaine. However, disagreements over policy led to
Lafontaine's resignation in March 1999, which shifted the balance in German
politics back toward the center. As a result, investor confidence began to
rebound.
BUT EUROPE REMAINS ATTRACTIVE FOR INVESTMENT
Despite these difficulties, we continued to view Europe as the most attractive
of international investment arenas during the period. From a macroeconomic
perspective, the advent of the euro has created a broad and deep capital market
for corporate debt that is allowing a wave of cross border mergers and
acquisitions. At the same time, Germany's move back toward the political center
and the European central bank's apparent independence from national politics
have improved investor confidence and created a more favorable market
environment.
Additionally, several European companies have established positions of global
leadership in important areas of technology. Others have undergone U.S.-style
corporate restructuring to sharpen their competitive edge. The work force is
very well educated, and the region's relatively wealthy, aging population has
created growing demand in the health care and financial sectors. All these
factors have opened a wide range of opportunities for European companies,
especially those benefiting from technology leadership or effective internal
restructuring, as well as those positioned to benefit from the continent's
changing demographics.
ASIA STILL FACES DIFFICULTIES, BUT LATIN AMERICA IMPROVES
Although Asian markets recovered substantially during the period from their
mid-1998 lows, the region continued to face considerable economic difficulties.
Massive debt, low levels of corporate profitability and Japan's lingering
recession led us to cap our Asian exposure at 10% of the portfolio.
On the other hand, Latin America offered a somewhat more hospitable investment
environment over the six months. The region's markets performed well despite a
decline in January precipitated by a currency devaluation in Brazil, the
region's largest economy. Although we believe Brazil's economy must undergo
additional fundamental reforms, many Brazilian companies feature solid
management teams and desirable products. In addition, while other Latin American
markets were negatively affected by Brazil's problems, many of the region's
economies remained fundamentally sound.
7
<PAGE>
SERIES D (WORLDWIDE EQUITY SERIES)
August 15, 1999
OUR STRATEGY FOR PORTFOLIO MANAGEMENT
With regard to our strategy for managing the portfolio, we have focused on our
four investment theme areas: Mass Affluence, New Technologies, Restructuring,
and Aging. In the technology sector we took advantage of foreign leadership in
the areas of cellular telephony and digital media. In addition to our holdings
among various cellular service providers, the Series benefited from investments
in the leading British and European satellite networks. Our largest position is
in the U.S. company QualcomM, Inc., which owns a large patent portfolio on the
Digital Cellular Telephony Standard known as CDMA, which will be used in all
third generation wireless systems.
Looking ahead, our view of the world's markets remains largely unchanged:
generally negative with regard to Asia, cautious with regard to Latin America,
and positive with regard to Europe. We also believe that the U.S. economy
remains fundamentally strong. In our opinion, the portfolio is well positioned
to benefit from global growth. We remain dedicated to our disciplined approach
of participating in that growth while striving to cushion the effects of global
volatility.
William L. Wilby
Portfolio Manager
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.
Investing in foreign countries may involve risks, such as currency
fluctuations and political instability, not associated with investing
exclusively in the U.S.
PERFORMANCE
TOP 5 EQUITY HOLDINGS
% OF
NET ASSETS
----------
QUALCOMM, Inc. ....................................................... 8.7%
Porsche AG ........................................................... 3.0%
Canal Plus ........................................................... 2.8%
Volkswagen AG ........................................................ 2.6%
National Semiconductor Corporation ................................... 2.4%
*At June 30, 1999
AVERAGE ANNUAL TOTAL RETURN
AS OF JUNE 30, 1999(1)
1 YEAR 5 YEARS 10 YEARS
------ ------- --------
Series D 17.95% 13.18% 6.84%
(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.
8
<PAGE>
SERIES E (HIGH GRADE INCOME SERIES)
August 15, 1999
[PICTURE OF STEVEN M. BOWSER]
Steven M. Bowser
Portfolio Manager
TO OUR CONTRACTHOLDERS:
The first six months of 1999 have been difficult for fixed income investors. The
High Grade Income Series returned -2.94% over the period, underperforming its
Lipper peer group average return of -2.20%.1 The benchmark Lehman Brothers
Corporate Bond Index lost 2.26% in the same time period.
FEBRUARY THE WORST MONTH
February of 1999 was the worst single month for the bond markets since 1990. The
bellwether thirty-year Treasury bond fell 7.2% in that month alone. The
continuing strength in the U.S. economy, combined with signs of recovery in the
global economies and higher prices in commodities such as oil, copper, and
aluminum, kept bond investors speculating that the Federal Reserve's
policy-making Open Market Committee would be forced to raise interest rates.
Investors believed such a rate hike would be necessary to keep inflation from
reemerging.
Other sectors of the fixed income markets have suffered along with Treasury
issues, but to a lesser extent. While the thirty-year Treasury bond fell 10.5%
over the six months, the Lehman Brothers Corporate Bond Index as noted above
only dropped 2.26% and the corresponding Federal agency index lost 1.29%.
MORTGAGE-BACKED BONDS AND HIGH YIELD ISSUES HAVE DONE WELL DESPITE RISING RATES
Our mortgage-backed securities, primarily issued by home-lending agencies Fannie
Mae and Freddie Mac, have served us well in this negative interest rate
environment. Rising rates generally favor these securities, as homeowners are
less likely to refinance their mortgages (and thus cause these securities to be
prematurely repaid) if rates are going up.
Our high yield bonds have also helped minimize the negative market impact on
overall portfolio return. Telecommunications issues such as Century
Communications Corporation and Comcast Corporation have gained because of the
potential for mergers and acquisitions in the sector as a whole. Gaming issues
such as MGM Grand, Inc. and Mirage Resorts, Inc. have been the exception, still
suffering from weaker revenues as a result of global economic crises, which keep
players away from the tables.
HEAVY SUPPLY ALSO HURTS PRICES
An abundance of new bond issues coming to market has swelled supply, which also
keeps prices from rising. Ford Motor Company's record-setting $8.6 billion
issue, as well as mega-sized deals from AT&T Corporation and MCI WorldCom, Inc.
have joined others in taking advantage of historically low corporate bond
yields. Although these issues have been well received, they nonetheless put
supply pressure on the markets.
WHAT'S AHEAD FOR BONDS
Although the Federal Reserve's Open Market Committee raised its short-term
interest rate target by twenty-five basis points at the June 30 meeting, the
fear of still-higher rates has not left bond investors. Chairman Alan Greenspan
has stated his wishes for economic growth to slow to about 3%, which hasn't
happened yet. We expect volatility to stay in the fixed income markets through
the summer, although we believe interest rates won't move far in either
direction from their current levels for the next few months.
9
<PAGE>
SERIES E (HIGH GRADE INCOME SERIES)
August 15, 1999
We plan to make use of instruments such as mortgage-backed securities, Federal
agency issues, and corporate bonds which trade at a spread over Treasury bond
rates to attempt to stabilize portfolio performance. We will continue to monitor
economic conditions and adjust portfolio duration as necessary if the
environment changes.
Steven M. Bowser
Portfolio Manager
(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.
PERFORMANCE
ASSET MIX
Cash & Equivalents ......................................... 4.0%
U.S. Government & Agencies ................................. 19.1%
Mortgage Backed Securities ................................. 2.0%
Corporate Bonds ............................................ 74.9%
*At June 30, 1999
AVERAGE ANNUAL TOTAL RETURN AS OF
JUNE 30, 1999(1)
1 YEAR 5 YEARS 10 YEARS
------ ------- --------
Series D 0.96% 6.42% 6.97%
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.
10
<PAGE>
SERIES H (ENHANCED INDEX SERIES)
August 15, 1999
[BANKERS TRUST LOGO]
TO OUR CONTRACTHOLDERS:
Bankers Trust Company is pleased to have been selected as the subadvisor for the
Enhanced Index Series, which joined the SBL Fund family on May 3, 1999. The core
portfolio is designed to contain at least 80% of the companies represented in
the Standard and Poor's 500 Stock Index. Through the use of Bankers Trust's
proprietary screening process we will select approximately one-fourth of these
core stocks which in our view have above-average potential for appreciation in
the coming months, and another one-fourth with less-than-average potential. We
will overweight or underweight these stocks accordingly, with the goal of adding
extra value above the return of the S&P 500 stock index itself.
THE SCREENS WE USE
We plan to overweight a stock in the portfolio relative to its weighting in the
benchmark index when one or more of the following shows up on our screens: the
company reports a positive earnings surprise, the company becomes an acquisition
target, it is announced that the company will be added to the S&P Index, the
stock has a high dividend yield or a zero dividend yield (if further research
shows that the company uses the funds for internal investment), or the stock's
price shows significant value based on options pricing techniques.
Conversely, we consider underweighting a stock if there is a negative earnings
surprise, if the company issues a seasoned equity offering (as opposed to an
initial public offering of stock), or if financials show downward momentum. If
none of these positive or negative screens applies, we will generally hold a
neutral position in the stock.
PERFORMANCE OF THE S&P 500 INDEX IN THE FIRST HALF
The S&P 500 Stock Index advanced in the first half of the year, closing above
the 1300 mark late in the first quarter. Index returns in January and February
were weaker due to underperformance in growth oriented stocks. Positive earnings
surprises and a rotation into cyclical stocks led to stronger returns in the
second quarter in sectors that had been out of favor. Technology stocks pushed
large growth stocks back on top for the month of June. The best performing
sectors year to date include technology, basic materials, and energy. Weaker
sectors were utilities, health care, and consumer staples.
11
<PAGE>
SERIES H (ENHANCED INDEX SERIES)
August 15, 1999
OUR VIEW OF THE MONTHS AHEAD
Going forward, we expect continued strong growth and some pickup in inflation to
prompt a modest degree of Federal Reserve tightening in addition to the 25 basis
point interest rate increase in the Fed's target Fed Funds rate announced at the
end of June. This backdrop might temper the equity markets' enthusiasm a bit,
but a serious correction is unlikely in our view unless the economy really
overheats, provoking aggressive Fed tightening and imperiling the expansion.
Bankers Trust Company
Enhanced Index Team
PERFORMANCE
TOP 5 EQUITY HOLDINGS*
% OF
NET ASSETS
----------
Microsoft Corporation ............................................... 3.2%
General Electric Company ............................................ 2.5%
International Business Machines Corporation ......................... 1.8%
Wal-Mart Stores, Inc. ............................................... 1.6%
Lucent Technologies, Inc. ........................................... 1.6%
*At June 30, 1999
AVERAGE ANNUAL TOTAL RETURN
AS OF JUNE 30, 1999(1)
SINCE INCEPTION
(5-3-99)
---------------
Series H 3.30%
(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 return has been
calculated from May 3, 1999, (date of inception) to June 30, 1999 and is
not annualized. 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.
12
<PAGE>
SERIES I (INTERNATIONAL SERIES)
August 15, 1999
[BANKERS TRUST LOGO]
[PICTURE OF MICHAEL LEVY]
Michael Levy
Portfolio Manager
[PICTURE OF ROBERT REINER]
Robert Reiner
Portfolio Manager
[PICTURE OF JULIE WANG]
Julie Wang
Portfolio Manager
TO OUR CONTRACTHOLDERS:
Bankers Trust Company is pleased to have been selected as the subadvisor for the
International Series of SBL Fund. The Series began operations May 3, 1999. The
portfolio managers will seek high quality, undervalued midcap and large cap
stocks of foreign issuers, both in developed and underdeveloped countries. The
managers will employ a bottom-up stock selection process, looking first at
individual companies. After attractively-valued, inefficiently priced issues are
chosen, the political and economic conditions of the country in which the
issuing company is located will be taken into consideration.
BUILDING OUR JAPANESE POSITION
We are building up our Japanese holdings by adding companies exposed to the
global economic recovery. We are underweight in Japan relative to the Morgan
Stanley EAFE index, however, as we are concerned about the economy falling back
into a recession later in the year. Despite this concern we believe growth in
the short- to medium-term is likely to surprise on the upside. In Japan we hold
globally competitive companies that are geared to benefit from world growth, as
well as defensive domestic names.
STRONG RECOVERY EXPECTED IN EUROPEAN EARNINGS
A combination of weak currency and low interest rates is likely to drive a
strong recovery in European companies' earnings over the next several quarters.
The benefits of restructurings of the past few years will come through as
economic growth picks up. Valuations are much more attractive than in the U.S.
or Japan. Consumer confidence is high, while business sentiment is showing signs
of turning up. Mergers and acquisitions are proceeding at a record pace. As
economic and earnings growth become more visible, we expect the market will
start rewarding the value in European stocks.
OTHER PARTS OF THE GLOBE
We are adding to our Asia exposure via South Korea, Indonesia and Hong Kong,
while lowering our Australia weighting. The recovery process is in place for the
Pacific Rim region despite the increase in U.S. interest rates. Earnings and
economic growth estimate revisions continue to trend positively, and domestic
liquidity conditions are still supportive.
Emerging markets are susceptible to corrections given the strong performance to
date, but should fare relatively well versus developed markets given the
recovery and restructuring potentials. Latin America is facing political and
fiscal headwinds. Emerging Europe will continue to be affected by western
Europe's economic outlook. At this point we believe markets that have further
room for local rate cuts, like Indonesia, Malaysia, Thailand, and South Africa,
will outperform.
Michael Levy, Robert Reiner, and Julie Wang
Portfolio Managers
Investing in foreign countries may involve risks, such as currency fluctuations
and political instability, not associated with investing exclusively in the U.S.
13
<PAGE>
SERIES I (INTERNATIONAL SERIES)
August 15, 1999
PERFORMANCE
TOP 5 EQUITY HOLDINGS*
% OF
NET ASSETS
----------
Nortel Networks Corporation ....................................... 2.4%
Total Fina S.A. (Cl.B) ............................................ 1.7%
Fujitsu, Ltd. ..................................................... 1.5%
Canal Plus ........................................................ 1.5%
Telecom Italia SpA ................................................ 1.4%
*At June 30, 1999
AVERAGE ANNUAL TOTAL RETURN
AS OF JUNE 30, 1999(1)
SINCE INCEPTION
(5-3-99)
---------------
Series I (2.30%)
(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
has been calculated from May 3, 1999 (date of inception) to June 30, 1999
and is not annualized. The investment return and principal value of an
investment will fluctuate so that an investor's shares, when redeemed, may
be worth more or less than their original cost.
14
<PAGE>
SERIES J (MID CAP SERIES)
August 15, 1999
[PICTURE OF JAMES P. SCHIER]
James P. Schier
Portfolio Manager
The Mid Cap Series (formerly the Emerging Growth Series) of SBL Fund had a
strong first half of 1999, advancing 15.66% compared with its Lipper peer group
average of 13.00%(1). The benchmark S&P Midcap 400 Stock Index rose just 6.22%
over the period.
FAVORABLE PERFORMANCE FROM TECHNOLOGY, CONSUMER CYCLICALS, AND ENERGY
Our overweighting in the technology sector, 38% in the portfolio versus 18% in
the benchmark index, served us very well in a technology-led market advance.
Additionally, our individual stock selection in this group was very favorable.
Electronic component manufacturer Sawtek, Inc. rose nearly 150% over the six
months, fiber optics producer Uniphase Corporation climbed 137%, and software
maker Aspect Development, Inc., which we bought after a sharp selloff, jumped
nearly 90% after our purchase. Other holdings in the portfolio which gained less
spectacularly, but still increased over 50% each, included Comverse Technology,
Inc., Safeguard Scientifics, Inc., and Veritas Software Corporation.
Our stock selection in the consumer cyclicals field also contributed positively.
Mandalay Resort Group, owner of Nevada properties including Mandalay Bay, Circus
Circus, Excalibur, and others, gained nearly 90% in the first half of 1999 after
losing ground through most of 1998 because of weak revenues.
The energy sector experienced a substantial recovery as oil prices, which had
fallen to lows near $10 per barrel, moved up sharply to nearly $20 after OPEC
countries agreed to cut back production. Our weighting in the portfolio, nearly
twice that of the benchmark index weighting, proved beneficial. We preferred
gas-related exploration and production companies as well as some oil service
companies, including Apache Corporation, Anadarko Petroleum Corporation,
Burlington Resources Inc., and Tesoro Petroleum Corporation.
A FEW NEGATIVES AMID THE GOOD RESULTS
Performance was held back by weakness of two of our capital goods stocks.
Maxwell Technologies, Inc. (classified in the benchmark as a capital goods
company despite its technology-related nature) fell nearly 39% and catalytic
technology developer Catalytica, Inc. lost 22%, with no apparent news
precipitating either downslide.
Our overweighting in the health care sector also hurt in a period when fears of
legislative changes cast a pall on the industry. Certain segments of the
industry are still reeling from legislation enacted in past sessions of Congress
which changed the system of reimbursements for medical services rendered.
15
<PAGE>
SERIES J (MID CAP SERIES)
August 15, 1999
NO MAJOR CHANGES PLANNED FOR THE SECOND HALF
The broadening of the markets which occurred in the first half of 1999 has
reduced the number of undervalued sectors, and hence the number of buying
opportunities. We took advantage of selloffs in the the energy sector in late
February and in the software and computer services portions of the technology
sector during its pullback in April to add to those portions of the portfolio.
Now we plan to monitor current holdings until another such buying opportunity
arises.
James P. Schier
Portfolio Manager
(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.
PERFORMANCE
TOP 5 EQUITY HOLDINGS*
% OF
NET ASSETS
----------
Comverse Technology, Inc. ............................................ 7.9%
Rational Software Corporation ........................................ 4.3%
AFLAC, Inc. .......................................................... 3.5%
Mylan Laboratories, Inc. ............................................. 3.2%
Apache Corporation ................................................... 2.7%
*At June 30, 1999
AVERAGE ANNUAL TOTAL RETURN
AS OF JUNE 30, 1999(1)
SINCE
INCEPTION
1 YEAR 5 YEARS (10-1-92)
------ ------- ---------
Series J 25.34% 20.71% 18.28%
(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.
16
<PAGE>
SERIES K (GLOBAL STRATEGIC INCOME SERIES)
August 15, 1999
[WELLINGTON MANAGEMENT LOGO]
MANAGED BY WELLINGTON MANAGEMENT COMPANY, LLP
[PICTURE OF L.T. HILL]
L.T. Hill
Portfolio Manager
TO OUR CONTRACTHOLDERS:
Wellington Management Company, LLP commenced portfolio management
responsibilities for the Global Strategic Income Series of SBL Fund, formerly
the Global Aggressive Bond Series, on March 30, 1999. Wellington Management is
one of America's oldest and largest independent investment management firms,
tracing its origin to 1928. The exclusive focus of the firm is on the investment
management of portfolios for variable annuities, mutual funds, corporate and
public retirement plans, insurance entities, endowments, and investment
partnerships. Wellington Management is responsible for over $200 billion in
client assets, of which approximately $90 billion is invested in fixed income
and money market securities.
AN INTRODUCTION TO THE PORTFOLIO MANAGER
The portfolio is managed by L.T. Hill, Vice President at Wellington Management.
L.T. is a fixed income portfolio manager whose clients include public funds,
endowments, and corporate pension plans. He is the Chair of the firm's Core Bond
Strategy Group and a member of the Strategic Total Return Strategy Group. L.T.
holds a BA in Economics and Political Science from Yale University (1983), and
received an MBA from Columbia Business School in 1993.
THE OBJECTIVE OF THE SERIES
The objective of the SBL Global Strategic Income Fund is to provide high current
income through investments in a portfolio of fixed income securities including
high quality bonds, mortgage-related securities, high yield issues and other
types of primarily fixed income securities.
PORTFOLIO COMPOSITION AT JUNE 30
As of June 30, 1999, the portfolio was invested 15% in U.S. high grade bonds,
20% in non-U.S. investment grade bonds, 35% in U.S. high yield bonds, and 30% in
emerging market bonds. This positioning reflects our belief that high yield and
emerging market debt issues are currently attractive relative to U.S. Treasury
securities, based on yield considerations and total return potential. We see
particular value in the external debt of Brazil and Mexico and the local
currency debt of Poland.
17
<PAGE>
SERIES K (GLOBAL STRATEGIC INCOME SERIES)
August 15, 1999
The duration of the portfolio, a measure of its sensitivity to interest rate
fluctuations, is currently slightly below that of its benchmark. This reflects
our view that strengthening overseas economies, resurgent commodity prices,
continued U.S. consumption growth and a hawkish tone from the Fed point in the
direction of somewhat higher U.S. interest rates over the coming months.
We are pleased to be managing the Global Strategic Income Series of SBL Fund,
and look forward to future communications with you regarding your portfolio.
L.T. Hill
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.
SHAREHOLDERS MEETING
A special meeting of the shareholders of Series K was held on May 14, 1999. At
this meeting the following matter was voted on by the shareholders:
o A new sub-advisory contract between Security Management Company, LLC and
Wellington Management Company, LLP was voted on. The total number of eligible
votes were 1,275,870. The result of the votes were 1,233,120 in favor and 42,750
votes against and no absentions.
PERFORMANCE
TOP 5 COUNTRIES*
% OF
NET ASSETS
----------
United States ........................................... 57.4%
Brazil .................................................. 7.6%
France .................................................. 6.5%
Mexico .................................................. 6.2%
Argentina ............................................... 6.2%
*At June 30, 1999
AVERAGE ANNUAL TOTAL RETURN
AS OF JUNE 30, 1999(1)
SINCE
INCEPTION
1 YEAR (6-1-95)
------ ---------
Series K 0.64% 7.47%
(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.
18
<PAGE>
SERIES M (GLOBAL TOTAL RETURN SERIES)
August 15, 1999
[WELLINGTON MANAGEMENT LOGO]
MANAGED BY WELLINGTON MANAGEMENT COMPANY, LLP
[PICTURE OF DAVID J. GOERZ, III]
David J. Goerz, III
Portfolio Manager
TO OUR CONTRACTHOLDERS:
Wellington Management Company, LLP commenced portfolio management
responsibilities for the Global Total Return Series of SBL Fund, formerly the
Specialized Asset Allocation Series, on May 1, 1999. Wellington Management is
one of America's oldest and largest independent investment management firms,
tracing its origin to 1928. The exclusive focus of the firm is on the investment
management of portfolios for variable annuities, mutual funds, corporate and
public retirement plans, insurance entities, endowments, and investment
partnerships. Wellington Management is responsible for over $200 billion in
client assets.
AN INTRODUCTION TO THE PORTFOLIO MANAGER
The portfolio is managed by David J. Goerz, III, Vice President at Wellington
Management. David heads up the firm's Tactical Asset Allocation research as a
member of the Quantitative Research Group. Using a variety of quantitative
modeling tools, he develops and implements tactical asset allocation strategies
which benefit many of the firm's U.S. and global accounts. David received his BS
in Applied Mathematics from the University of California, Los Angeles in 1986
and his MS in Operations Research from Stanford University in 1990.
THE OBJECTIVE OF THE SERIES
The objective of the SBL Global Total Return Series is high long-term total
return through investment in a portfolio of global equity and fixed income
securities. The portfolio offers investors participation in multiple asset
classes around the world, including stocks, bonds and cash, which are rebalanced
periodically by the portfolio manager based on investment conditions and
Wellington Management's outlook. As of June 30 the portfolio was invested 78.7%
in global equities, with an overweight position in continental European
equities, and an underweight in the Pacific Basin. The portfolio is invested
20.5% in bonds, with an overweight position in U.S. Treasury issues and an
underweight in Japanese bonds. The portfolio holds a modest allocation to cash.
19
<PAGE>
SERIES M (GLOBAL TOTAL RETURN SERIES)
August 15, 1999
OUR OUTLOOK FOR GLOBAL MARKETS
The portfolio's positioning reflects our view that fundamentals, such as global
economic expansion combined with low inflation, remain attractive for global
equities. Rising bond yields have increased the attractiveness of many global
bond markets, particularly in the U.S., where long Treasury bond yields soared
above 6% in spite of low inflation estimates for the foreseeable future. Given
the relatively equivalent outlook for global stocks and bonds, the portfolio has
an asset allocation similar to its benchmark of 80% global equities and 20%
global bonds. We expect European countries to reap the benefits of a weaker
currency, relatively improving valuations, and lower interest rates. We plan to
continue emphasizing the equities of this region in the months ahead.
We are pleased to be managing the Global Total Return Series of SBL Fund, and
look forward to future communications with you regarding your portfolio.
David J. Goerz, III
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.
SHAREHOLDERS MEETING
A special meeting of the shareholders of Series M was held on May 14 1999. At
this meeting the following matter was voted on by the shareholders:
o A new sub-advisory contract between Security Management Company, LLC and
Wellington Management Company, LLP was voted on. The total number of eligible
votes were 3,698,681. The result of the votes were 3,272,277 in favor and
426,404 votes against and absentions.
PERFORMANCE
TOP 5 EQUITY HOLDINGS*
% OF
NET ASSETS
----------
Microsoft Corporation ................................................ 2.9%
International Business Machines Corporation .......................... 1.9%
Wal-Mart Stores, Inc. ................................................ 1.9%
Hitachi, Ltd. ........................................................ 1.7%
SmithKline Beecham PLC ADR ........................................... 1.7%
*At June 30, 1999
AVERAGE ANNUAL TOTAL RETURN
AS OF JUNE 30, 1999(1)
SINCE
INCEPTION
1 YEAR (6-1-95)
------ ---------
Series M 8.14% 11.48%
(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.
20
<PAGE>
SERIES N (MANAGED ASSET ALLOCATION SERIES)
August 15, 1999
[T. ROWE PRICE LOGO]
SUBADVISOR, T. ROWE PRICE ASSOCIATES, INC.
PORTFOLIO MANAGER, NED NOTZON
[PICTURE OF EDMUND M. NOTZON]
Edmund M. Notzon
Portfolio Manager
TO OUR CONTRACTHOLDERS:
Large-cap U.S. stocks extended their surprisingly long and powerful winning
streak, closing the first half of 1999 at record levels despite a significant
rise in long term interest rates and a rate hike by the Federal Reserve Bank.
The second quarter witnessed a dramatic rotation in the market, however, as
highly cyclical stocks and small-cap companies finally joined the rally. The S&P
500 Stock Index rose 12.38% during the period. Bond market performance was poor.
U.S. Treasury a investment grade corporate bonds fell as their yields rose,
while high yield bonds held up better. European stocks were held back by weak
economies and a weak euro, while Latin American and Asian stocks posted
outstanding gains.
PERFORMANCE IN THE FIRST HALF
The Managed Asset Allocation Series gained 5.19% in the first half, trailing the
6.07% average of our Lipper peer group.1 Our blended benchmark, which consists
of 60% S&P 500 Stock Index and 40% Lehman Brothers Government/Corporate Bond
Index, gained 6.36% over the period. The Series' returns were limited by our
defensive posture, as we were overweight in bonds (42% of the portfolio), and by
our emphasis on Europe within the equity component (about 15% of the portfolio's
assets are invested overseas). Our overweighting in high yield bonds within the
fixed income segment of the portfolio was positive.
OUR EXPECTATIONS FOR THE COMING SIX MONTHS
We still expect the U.S. economy to slow over the next six to twelve months,
though growth and corporate profits are likely to remain healthy. The Federal
Reserve Bank stands ready to raise short-term interest rates again, though only
if growth continues at an unsustainable pace. The powerful rebound in emerging
markets and Japan has come mostly in anticipation of genuine economic recovery.
We remain more optimistic on Europe as we view the fundamental backdrop from a
shareholder perspective quite positively.
21
<PAGE>
SERIES N (MANAGED ASSET ALLOCATION SERIES)
August 15, 1999
The recent broadening of participation in the U.S. stock market rally is
encouraging, but we remain wary of the high valuations and volatility in the
equity markets. Taken together, these observations support our decision to
overweight bonds and international stocks, especially in Europe. Within the
fixed income component, however, we plan to shift some assets out of high yield
bonds and into higher quality sectors. With the Year 2000 approaching and all
the attendant uncertainties, lower-rated bonds are expected to experience some
selling pressure.
Edmund M. Notzon
Portfolio Manager
(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.
Investing in foreign countries may involve risks, such as currency
fluctuations and political instability, not associated with investing
exclusively in the U.S.
PERFORMANCE
TOP 5 EQUITY SECTORS*
% OF
NET ASSETS
----------
Technology ................................................ 10.3%
Financial ................................................. 7.5%
Consumer Staples .......................................... 5.8%
Health Care ............................................... 5.0%
Communication Services .................................... 4.9%
*At June 30, 1999
AVERAGE ANNUAL TOTAL RETURN
AS OF JUNE 30, 1999(1)
SINCE
INCEPTION
1 YEAR (6-1-95)
------ ---------
Series N 11.97% 15.26%
(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.
22
<PAGE>
SERIES O (EQUITY INCOME SERIES)
August 15, 1999
[T. ROWE PRICE LOGO]
SUBADVISOR, T. ROWE PRICE ASSOCIATES, INC.
PORTFOLIO MANAGER, BRIAN C. ROGERS
[PICTURE OF BRIAN C. ROGERS]
Brian C. Rogers
Portfolio Manager
TO OUR CONTRACTHOLDERS:
The broad stock market and the Equity Income Series both advanced strongly
during the first half of 1999. Continued corporate earnings growth and a
healthier global outlook, particularly among some of last year's weaker
economies, combined to offset the increase in interest rates we witnessed over
the last six months. Good overall economic news, high investor confidence, and
trust in the Federal Reserve Bank's ability to take the proper preemptive action
against potentially higher inflation provided solid support for equities. The
Series posted a gain of 11.98%, ahead of its Lipper peer group average of
10.66%.(1)
CYCLICAL AND COMMODITY-ORIENTED STOCKS FINALLY GAIN FAVOR
Companies with exposure to the cyclical nature of the economy or to commodities
suddenly sprang to life during the past six months. Stocks that recently did
well, such as Tyco International, Ltd. and AT&T Corporation, had been successful
for the portfolio over the last several years, and we sold all or part of these
positions when their prices rose to levels at which their valuations seemed
overly high. Our largest sale in the first half was electronic connector
manufacturer AMP, Inc., which was acquired by Tyco at a substantial premium to
our average cost.
Shares of cyclical companies with a large degree of exposure to economic cycles,
such as paper products company Georgia-Pacific Group, also advanced to levels
where we felt the upside potential was somewhat limited. We eliminated that
position and used the proceeds to take advantage of new investment
opportunities.
ADDITIONS TO THE PORTFOLIO
Among these new investments are Lockheed Martin Corporation, Campbell Soup
Company, Hershey Foods Corporation, Honeywell, Inc., paper products company Fort
James Corporation, and pharmaceutical manufacturer Merck & Company, Inc. We
believe all of these companies are successful enterprises that have hit
temporary stumbling blocks. Their share prices have plummeted to attractive
levels in our view, and their managements are working vigorously to improve
earnings performance. In the case of Honeywell, we benefited more quickly than
we anticipated when AlliedSignal, Inc. announced its intention in June to
acquire Honeywell at a significant premium to our purchase price.
23
<PAGE>
SERIES O (EQUITY INCOME SERIES)
August 15, 1999
OUR OUTLOOK FOR THE SECOND HALF OF 1999
So far this year we are pleasantly surprised by the durability of the stock
market's strength and resilience, particularly in the face of rising interest
rates. We believe it will be difficult, but not impossible, for stocks to post
such robust returns in the second half of 1999. Given historically high stock
valuations and unrealistic investor expectations, we would not be surprised to
see a bit of turbulence ahead. Nevertheless, whatever happens over the short
term, we expect our investment approach to remain constant. We will continue to
emphasize investments in sound companies that may be out of favor in the short
run but offer an attractive combination of good upside potential and relatively
limited downside risk.
Brian C. Rogers
Portfolio Manager
(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.
PERFORMANCE
TOP 5 EQUITY HOLDINGS*
% OF
NET ASSETS
----------
SBC Communications, Inc. ............................................. 2.2%
Alltel Corporation ................................................... 1.9%
Mellon Bank Corporation .............................................. 1.8%
BP Amoco PLC ADR ..................................................... 1.7%
Exxon Corporation .................................................... 1.6%
*At June 30, 1999
AVERAGE ANNUAL TOTAL RETURN
AS OF JUNE 30, 1999(1)
SINCE
INCEPTION
1 YEAR (6-1-95)
------ ---------
Series O 14.92% 21.33%
(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.
24
<PAGE>
SERIES P (HIGH YIELD SERIES)
August 15, 1999
[PICTURE OF DAVID ESHNAUR]
David Eshnaur
Portfolio Manager
TO OUR CONTRACTHOLDERS:
The first half of 1999 proved difficult for the fixed income markets. High yield
securities were the best performers in the bond universe, generating positive
returns in a period when most fixed income sectors lost ground. The High Yield
Series of SBL Fund returned +1.37% over the six months, lagging its Lipper peer
group average of 2.94% but outperforming the benchmark Lehman Brothers BB Bond
Index return of +0.40%.1
POSITIVE PERFORMANCE FROM SEVERAL SECTORS
We experienced strong performance from a number of our bonds in the cable,
gaming, and financial sectors of the market, and from our REIT common stock
positions. The cable industry is going through a period of consolidation, when
companies such as AT&T Corporation and Charter Communications are buying others
in order to expand their businesses and improve their profit margins. The
speculation surrounding which companies might be candidates for takeovers tends
to boost prices securities in the industry. Issues in our portfolio which
benefited from this upward price movement include Rogers Communications, Inc.,
Cablevision Systems Corporation, and Diamond Holdings PLC.
The telecommunications industry is also undergoing consolidation, and is seeing
usage rising as cellular telephone popularity rises and as households and
businesses add additional lines for computer use. We have experienced favorable
price changes in our holdings of bonds issued by RCN Corporation, Pacific West
Telecommunications, Inc., MJD Communications Inc., and Mexican
telecommunications company Satelites Mexicanos SA.
FINANCIALS AND REAL ESTATE INVESTMENT TRUSTS GAINED ON HIGHER RATES
The Real Estate Investment Trust (REIT) sector was one of 1998's poorest
performers when interest rates fell sharply. Dividend yields on these common
stocks were pushed up close to the 7% level as prices weakened, creating an
attractive buying opportunity. The REITs we hold in the portfolio are primarily
involved with business properties and have gained not only from rising interest
rates, which help cash flows, but from a slowdown in new industrial construction
activity in recent months.
Financial holdings have performed well also as higher interest rates boost their
income streams. Our bonds issued by California Federal Bank and CB Richard Ellis
Services, Inc., a real estate services and mortgage banking provider, were
beneficiaries of this favorable climate.
NEGATIVES INCLUDE SECTORS WE DIDN'T OWN
Commodity-based companies were strong performers in the first half.
Unfortunately, we were underweighted in industries such as chemical and paper
companies, which showed improvement in the second quarter of 1999 as global
economies began to improve. We also saw returns lower than some of our peers
because we maintain a primary emphasis on higher-quality BB and B rated high
yield bonds. During the past six months the lower quality issues in the CC and
CCC rating categories have experienced more price appreciation.
25
<PAGE>
SERIES P (HIGH YIELD SERIES)
August 15, 1999
The total return of the portfolio was also hurt by nonpayment of coupon interest
on a bond issued by oil exploration and production company Coho Energy, Inc. We
continue to hold the bond because our analysis shows that since oil prices have
nearly doubled in recent months the assets of the company are more than
sufficient to repay debts.
A POSITIVE OUTLOOK FOR THE SECOND HALF
Our outlook remains positive for the high yield bond markets. Many companies
which issue high yield debt are reporting better than expected earnings results.
We believe interest rates will trade in a narrow range close to current levels
in the coming months, and in that sort of rate environment fixed income
investors often look to the high yield markets to find additional yield.
David Eshnaur
Portfolio Manager
(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.
PERFORMANCE
AVERAGE ANNUAL TOTAL RETURN AS OF
JUNE 30, 1999(1)
SINCE
INCEPTION
1 YEAR (8-5-96)
------ ---------
Series P 2.60% 9.33%
(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 Investment Manager waived its
advisory fee for the period ended June 30,1999, and in the absence of such
waiver 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.
26
<PAGE>
SERIES S (SOCIAL AWARENESS SERIES)
August 15, 1999
[PICTURE OF CINDY SHIELDS]
Cindy L. Shields
Portfolio Manager
TO OUR CONTRACTHOLDERS:
The Social Awareness Series had a favorable first half of the year, gaining
10.50%, close to the Lipper peer group average increase of 10.84%.1 The
benchmark Domini Social Index rose 12.34% for the six month period. The majority
of the total return in the Series occurred in the second quarter, when our move
to add companies of a more cyclical nature proved to be favorable as signs of
improvement in the global economy led investors to recognize the undervalued
price levels of some of these stocks.
THREE SECTORS ADDED EXCEPTIONAL VALUE
During the first half we increased our holdings in the basic materials, capital
goods, and energy sectors of the markets. These issues were among our
best-performing companies during the second quarter of the year. We believed
these sectors would be the beneficiaries of a recovering global economy, and
that stronger orders from abroad would lead to an improving U.S. manufacturing
situation. The only negative was that we didn't add enough in these areas,
having underestimated how quickly global improvement would materialize.
In order to stay within the social guidelines for stock selection in the Social
Awareness Series we must choose carefully in sectors such as energy and basic
materials, using a "best of the industry" approach. Oilfield services provider
BJ Services Company gained over 95% in the first half as energy prices nearly
doubled. Nalco Chemical Company, which manufactures and markets specialty water
purification chemicals and services, jumped 76% when it was acquired by an
international corporation. Paper company Mead Corporation rose over 50% as signs
of a cyclical recovery in the paper industry emerged.
THE HEALTH CARE INDUSTRY SUFFERS THE PSYCHOLOGICAL IMPACT OF DRUG REIMBURSEMENT
Health care companies have come under pressure from recently enacted as well as
pending legislation in Congress. Drug companies have lost value as possibilities
of their losing some of their pricing independence have become more likely under
legislative proposals. Fortunately, our portfolio was less heavily weighted in
drug stocks than some of our competitors. We placed ore emphasis on medical
device manufacturers and healthcare service providers.
MCDONALD'S REMAINS AN OUTSTANDING SOCIAL SELECTION
McDonald's Corporation, one of our larger portfolio positions, continues to
excel as a socially conscious company. McDonald's makes significant efforts to
purchase supplies from and contract with women- and minority-owned businesses.
The company has a comprehensive program to promote employment of the disabled
and has provided Braille menus in its domestic restaurants. McDonald's
sixteen-member Board of Directors includes one woman and three minorities. We
are pleased to be able to own stock in companies who put into practice the
ideals of socially conscious investors.
27
<PAGE>
SERIES S (SOCIAL AWARENESS SERIES)
August 15, 1999
OUTLOOK FOCUSES ON EARNINGS OF CYCLICAL STOCKS, PRICES OF TECHNOLOGY ISSUES
We believe the outlook for cyclical stocks has improved. Earnings projections
for the group have risen, and we believe these strong earnings are not yet fully
reflected in their stock prices. We continue to monitor the global economic
recovery, because Latin America and China remain volatile spots in the global
picture. If Asia should slump again, commodity-based companies and international
firms would likely lose value accordingly. We are also carefully watching the
impact of Year 2000 concerns on technology stocks, and may see a buying
opportunity in that sector if prices drop sharply because of these concerns.
Cindy Shields
Portfolio Manager
(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.
PERFORMANCE
TOP 5 EQUITY HOLDINGS*
% OF
NET ASSETS
----------
Microsoft Corporation ................................................ 4.4%
Intel Corporation .................................................... 3.1%
Merck & Company, Inc. ................................................ 2.7%
AT&T Corporation ..................................................... 2.7%
International Business Machines Corporation .......................... 2.7%
*At June 30, 1999
AVERAGE ANNUAL TOTAL RETURN
AS OF JUNE 30, 1999(1)
SINCE
INCEPTION
1 YEAR 5 YEARS (5-1-91)
------ ------- ---------
Series S 24.42% 22.77% 16.87%
(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.
28
<PAGE>
SERIES V (Value Series)
August 15, 1999
[PICTURE OF JAMES P. SCHIER]
James P. Schier
Portfolio Manager
TO OUR CONTRACTHOLDERS:
The Value Series of SBL Fund had an exceptionally good first half of 1999,
gaining 19.55% compared with the average increase of 11.69% for its Lipper peer
group and 13.92% for the benchmark S&P/Barra Value Index.1 The greatest
percentage of the gain came in the second quarter of the year, when investors
decided to look past the largest of the large cap stocks and found greater
values in other segments of the equity markets.
THE BIGGEST GAINERS WERE THE ENERGY AND TECHNOLOGY SECTORS
The greatest contributor to the strong performance of the portfolio was our
energy holdings. Although our weighting in the sector was similar to that of the
benchmark, excellent stock selection led our energy component to a 41% gain
compared with the corresponding index sector's 19% increase.
We realized excellent results from our choices of small independent exploration
and production companies as well as from our oil service company holdings. These
groups included companies such as BJ Services Company, up 95%, Apache
Corporation, which gained 57%, Tesoro Petroleum Corporation, up 22%, and
Chieftain International, Inc. which rose 17%.
Our selection of technology stocks also served us well, with three companies
leading the group. Comdisco, Inc., a technology services company, gained 78%
during the period we owned the stock. Comverse Technology, Inc. maker of
computer and telecommunications systems and software for multimedia
communications applications, rose 59%, and the stock of JDA Software Group,
Inc., an integrated software product provider, climbed 41% after we purchased
it.
A FEW NEGATIVES AMID THE STRONG PERFORMERS
Total return was held back by weak performance of our health care stocks. The
health care services industry was hurt by Congress's recent balanced budget
amendment act, which altered the way service providers were reimbursed. Long
term care provider Integrated Health Services, Inc. fell over 60% while Sunrise
Medical, Inc., a supplier of medical equipment used by nursing homes, hospitals,
and home-care providers, lost 43% during the six months.
29
<PAGE>
SERIES V (VALUE SERIES)
August 15, 1999
TAKEOVERS ALSO ADDED TO TOTAL RETURN
We were helped as well by merger and acquisition activity which has been spurred
by the need to streamline companies and improve earnings. Oil exploration and
production company YPF Sociedad Anonima, represented in the portfolio by the
firm's ADR's, was taken over by Spanish energy company Repsol SA. Diversified
manufacturer Raychem Corporation was purchased by Tyco International, Ltd.
Security services firm Pinkerton's, Inc. was acquired by international company
Securitas AB, and Mercantile Bancorporation, Inc. is being purchased by Firstar
Corporation.
SECOND HALF WILL BE MORE DIFFICULT
Because of the sharp runup during the second quarter of 1999 in the value sector
of the equity markets, it is more difficult to find good buys in this area. We
expect some slowing of price growth in value stocks in the coming months, and
will monitor our current holdings during this period of consolidation. We have
no immediate plans to make major sector changes in the portfolio, but will watch
the markets and adjust as new buying opportunities arise.
James P. Schier
Portfolio Manager
(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.
PERFORMANCE
TOP 5 EQUITY HOLDINGS*
% OF
NET ASSETS
----------
Transocean Offshore, Inc. ............................................ 2.9%
Apache Corporation ................................................... 2.9%
Tesoro Petroleum Corporation ......................................... 2.7%
RailAmerica, Inc. .................................................... 2.7%
Mattel, Inc. ......................................................... 2.5%
*At June 30, 1999
AVERAGE ANNUAL TOTAL RETURN
AS OF JUNE 30, 1999(1)
SINCE
INCEPTION
1 YEAR (5-1-97)
------ ---------
Series P 22.16% 32.16%
(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.
30
<PAGE>
SERIES X (SMALL CAP SERIES)
August 15, 1999
[STRONG CAPITOL MANAGEMENT LOGO]
SUBADVISOR, STRONG CAPITOL MANAGEMENT, INC.
PORTFOLIO MANAGER, RONALD C. OGNAR
[PICTURE OF RONALD C. OGNAR]
Ronald C. Ognar
Portfolio Manager
TO OUR CONTRACTHOLDERS:
The year began with a continuation of the fourth quarter's broad rally in the
equity markets. Soon, however, positive economic releases prompted a large cap
run to new record highs. Investors didn't return in numbers to the midcap and
small cap sectors until the second quarter of the year. The Small Cap Series of
SBL Fund returned 6.72% during the first six months, lagging the Lipper peer
group average of 9.90% and the benchmark Russell 2000 Stock Index's 9.28% gain.1
MARKETS BROADEN TO INCLUDE SMALL CAPS AND MIDCAPS
A change in market leadership from the few large cap names that had been driving
the advance unfolded early in the second quarter of 1999. Continued strength in
the U.S. economy, along with hints of recovery in global economies, drove this
shift in sentiment as investors saw value in small cap and midcap stocks.
Heightening fears of impending inflation, however, drove interest rates in the
U.S. up through the 6% barrier. Rising interest rates created volatility in many
high-growth and high-multiple market sectors such as pharmaceuticals,
technology, and consumer growth stocks. But when May economic data showed a
benign inflation environment, investors began a quarter-end rally in stocks and
bonds, despite indications from the Federal Reserve Bank that they would
increase short-term interest rates at their June 30 meeting.
LEGISLATIVE CHANGES HARM THE HEALTH CARE SECTOR
We experienced strong performance during the period from our selections in
telecommunications, electronics, computer workstations, and energy. Conversely,
our medical supply and health care product stocks suffered as the sector came
under pressure from proposed legislative changes to the Medicare system. These
two groups, along with commercial service stocks, hindered the performance of
the Small Cap Series relative to the benchmark Russell 2000 Index.
FEW MAJOR REALLOCATIONS
Other than a slight decrease in health care exposure, there were no major
reallocations among sectors during the period. Technology stocks remain heavily
favored in the portfolio. As the Internet grows in depth and scope, e-commerce
software enablers and companies involved in the expansion of the Internet
infrastructure are likely to prosper. After a difficult 1998 the prospects for
leading semiconductor companies are beginning to improve, driven by the rapid
build-out of the Internet, the demand for service companies to provide improved
transmission capacity (bandwidth), and signs of stabilization in Asian demand.
THE MARKETS LOOK FAVORABLE GOING FORWARD
The market's broader-based advance during the second quarter has healthy
implications for the market in the months ahead. Although Year 2000 fears will
likely resurface in some form as we approach the new year,
31
<PAGE>
SERIES X (SMALL CAP SERIES)
August 15, 1999
more and more companies are declaring themselves compliant. Demand patterns in
technology spending will be impacted, but the questions of how much and to what
extent have yet to be answered. We will monitor the situation closely and hope
to capitalize on opportunitie when they present themselves.
Ronald C. Ognar
Portfolio Manager
(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.
PERFORMANCE
TOP 5 EQUITY HOLDINGS*
% OF
NET ASSETS
----------
Optical Coating Laboratory, Inc. ..................................... 2.5%
Verity, Inc. ......................................................... 2.2%
Transwitch Corporation ............................................... 2.2%
ANTEC Corporation .................................................... 2.1%
Computer Network Technology Corporation .............................. 2.0%
*At June 30, 1999
Average Annual Total Return
as of June 30, 1999(1)
SINCE
INCEPTION
1 YEAR (10-15-97)
------ ---------
Series X 9.60% 7.98%
(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.
32
<PAGE>
SERIES Y (SELECT 25 SERIES)
August 15, 1999
[PICTURE OF TERRY MILBERGER]
Terry Milberger
Portfolio Manager
TO OUR CONTRACTHOLDERS:
The Select 25 Series joins the SBL Fund with a very successful start. In the two
months of its existence since inception May 3, 1999 the Series gained 5.10%,
well above the performance of its benchmark index, the S&P 500 Stock Index,
which rose 3.06% over the same time period.(1)
HOW THE PORTFOLIO WAS CONSTRUCTED
Stock selection for the Select 25 Series was accomplished through a two-step
process. The first step was to determine what segments of the economy we
believed had the most growth potential, and the second was to select what we
believe to be the premier companies within these segments. We then built a
master list of firms which we expected to excel over time, trimming this list to
the twenty-five companies which we believed were the best in their respective
industries.
We had no specific targets for sector weightings of the stocks. After the final
determination of the original twenty-five holdings, the three largest groupings
in the resulting portfolio were technology at 31%, health care at 20%, and
consumer staples at 20%.
The twenty-five stocks in the portfolio are approximately equally weighted. They
are primarily large cap companies, and ones with which we can feel comfortable
in all economic environments.
NO CHANGES IN HOLDINGS SINCE INCEPTION
The turnover in the Select 25 Series is expected to be low. In general, we will
only sell a stock if we see a significant change in its actual or expected
growth rate. We do not use current valuation as a criterion; growth prospects
are more important in our choices.
Since the initial construction of the portfolio we have made no changes in the
holdings. We are closely monitoring the stocks, and have some moderate concern
about only one of the issues at this time. Dell Computer Corporation is heavily
dependent on the sale of personal computers, which are rapidly becoming just
another commodity. Prices on PC's have fallen sharply and rapidly, and it is
difficult to make money on their sales. Dell is a major player in the technology
industry, however, and its history as a well-managed company keeps us from being
overly concerned about its future.
33
<PAGE>
SERIES Y (SELECT 25 SERIES)
August 15, 1999
A GOOD PERFORMER IN UP MARKETS AND DOWN
As long as larger growth companies continue to carry the major stock indexes to
new heights, we believe the Select 25 Series should be an excellent performer.
Even when we move to a climate in which midcap and small cap issues outperform
large-caps, the companies selected for this portfolio should still hold value
because of their long histories of above-average growth. Although we plan to
keep turnover at a minimum, we will still be vigilant in our monitoring of the
stocks and the markets in our efforts to provide outstanding investment results.
Terry Milberger
Portfolio Manager
(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. Performance is based on the period
since inception and has not been annualized.
PERFORMANCE
TOP 5 EQUITY HOLDINGS*
% OF
NET ASSETS
----------
Omnicom Group, Inc. .................................................. 4.1%
Clear Channel Communications, Inc. ................................... 4.0%
Schering-Plough Corporation .......................................... 4.0%
Time Warner, Inc. .................................................... 4.0%
Medtronic, Inc. ...................................................... 4.0%
*At June 30, 1999
AVERAGE ANNUAL TOTAL RETURN
AS OF JUNE 30, 1999(1)
Since Inception
(5-3-99)
---------------
Series Y 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 return has been
calculated from May 3, 1999 (date of inception) to June 30, 1999 and is not
annualized. 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.
34
<PAGE>
SCHEDULE OF INVESTMENTS
JUNE 30, 1999
(UNAUDITED)
SERIES A (GROWTH)
NUMBER MARKET
PREFERRED STOCK OF SHARES VALUE
- --------------------------------------------------------------------------------
PUBLISHING - NEWSPAPER - 0.9%
News Corporation, Ltd. ADR 400,000 $12,625,000
COMMON STOCKS
Banks - Major Regional - 3.1%
Bank of New York Company, Inc. 400,000 14,675,000
Northern Trust Corporation 200,000 19,400,000
Wells Fargo Company 240,000 10,260,000
------------
44,335,000
BANKS - MONEY CENTER - 2.1%
Bank of America Corporation 180,000 13,196,250
Chase Manhattan Corporation 200,000 17,325,000
------------
30,521,250
BEVERAGES - ALCOHOLIC - 1.6%
Anheuser-Busch Companies, Inc. 185,000 13,123,438
Seagram Company, Ltd. 200,000 10,075,000
------------
23,198,438
BROADCAST MEDIA - 1.1%
Chancellor Media Corporation* 270,000 14,883,750
BUILDING MATERIALS - 0.7%
Masco Corporation 365,000 10,539,375
COMMUNICATION EQUIPMENT - 1.0%
Lucent Technologies, Inc. 210,000 14,161,875
COMPUTER HARDWARE - 2.9%
Compaq Computer Corporation 250,000 5,921,875
International Business Machines
Corporation 120,000 15,510,000
Sun Microsystems, Inc.* 290,000 19,973,750
------------
41,405,625
COMPUTER-NETWORKING - 1.6%
Cisco Systems, Inc.* 345,000 22,187,812
COMPUTER SOFTWARE/SERVICES - 4.6%
BMC Software, Inc.* 280,000 15,120,000
Computer Sciences Corporation* 220,000 15,221,250
Microsoft Corporation* 400,000 36,075,000
------------
66,416,250
CONSUMER FINANCE - 0.5%
Household International, Inc. 160,000 7,580,000
DISTRIBUTION - FOOD & HEALTH - 1.1%
Cardinal Health, Inc. 250,000 16,031,250
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
- --------------------------------------------------------------------------------
ELECTRICAL EQUIPMENT - 2.4%
Emerson Electric Company 180,000 $11,317,500
General Electric Company 200,000 22,600,000
------------
33,917,500
ELECTRONICS - SEMICONDUCTORS - 0.8%
Intel Corporation 200,000 11,900,000
ENTERTAINMENT - 1.6%
Time Warner, Inc. 130,000 9,360,000
Walt Disney Company 450,000 13,865,625
-------------
23,225,625
FINANCIAL - DIVERSE - 3.3%
American General Corporation 180,000 13,567,500
Fannie Mae 240,000 16,410,000
Freddie Mac 300,000 17,400,000
------------
47,377,500
FOODS - 1.5%
Bestfoods 240,000 11,880,000
ConAgra, Inc. 360,000 9,585,000
------------
21,465,000
HEALTH CARE - DIVERSE - 4.2%
Abbott Laboratories 225,000 10,237,500
American Home Products
Corporation 260,000 14,950,000
Bristol-Myers Squibb Company 300,000 21,131,250
Johnson & Johnson 140,000 13,720,000
------------
60,038,750
HOUSEHOLD FURNISHINGS &
APPLIANCES - 1.0%
Leggett & Platt, Inc. 520,000 14,462,500
HOUSEHOLD PRODUCTS - 3.4%
Colgate-Palmolive Company 130,000 12,837,500
Dial Corporation 600,000 22,312,500
Procter & Gamble Company 150,000 13,387,500
------------
48,537,500
INSURANCE - LIFE/HEALTH - 2.0%
Lincoln National Corporation 300,000 15,693,750
UNUM Corporation 225,000 12,318,750
------------
28,012,500
INSURANCE - MULTILINE - 2.2%
American International Group, Inc. 168,750 19,754,297
Hartford Financial Services Group, Inc. 200,000 11,662,500
------------
31,416,797
LEISURE TIME PRODUCTS - 0.9%
Hasbro, Inc. 450,000 12,571,875
35 SEE ACCOMPANYING NOTES.
<PAGE>
SCHEDULE OF INVESTMENTS
JUNE 30, 1999
(UNAUDITED)
SERIES A (GROWTH)(CONTINUED)
NUMBER MARKET
COMMON STOCKS OF SHARES VALUE
- --------------------------------------------------------------------------------
LODGING - HOTELS - 1.5%
Carnival Corporation (CI. A) 440,000 $21,340,000
MANUFACTURING - DIVERSIFIED - 6.7%
AlliedSignal, Inc. 320,000 20,160,000
Crane Company 500,000 15,718,750
Textron, Inc. 165,000 13,581,562
Tyco International, Ltd. 300,000 28,425,000
United Technologies Corporation 260,000 18,638,750
------------
96,524,062
MEDICAL PRODUCTS & SUPPLIES - 3.9%
Baxter International, Inc. 220,000 13,337,500
Becton, Dickinson & Company 340,000 10,200,000
Boston Scientific Corporation* 370,000 16,256,875
Medtronic, Inc. 200,000 15,575,000
------------
55,369,375
NATURAL GAS - 1.8%
Coastal Corporation 340,000 13,600,000
Williams Companies, Inc. 300,000 12,768,750
------------
26,368,750
OFFICE EQUIPMENT & SUPPLIES - 0.9%
Pitney Bowes, Inc. 200,000 12,850,000
OIL - INTERNATIONAL - 2.7%
Chevron Corporation 120,000 11,422,500
Mobil Corporation 160,000 15,840,000
Royal Dutch Petroleum
Company ADR 200,000 12,050,000
------------
39,312,500
PHARMACEUTICALS - 4.5%
Elan Corporation PLC ADR* 400,000 11,100,000
Schering-Plough Corporation 350,000 18,550,000
SmithKline Beecham PLC ADR 200,000 13,212,500
Warner-Lambert Company 175,000 12,140,625
Watson Pharmaceuticals, Inc.* 260,000 9,116,250
------------
64,119,375
PHOTOGRAPHY/IMAGING - 0.9%
Xerox Corporation 220,000 12,993,750
PUBLISHING - 1.1%
McGraw-Hill Companies, Inc. 280,000 15,102,500
PUBLISHING - NEWSPAPER - 2.0%
Gannett Company, Inc. 200,000 14,275,000
Tribune Company 170,000 14,811,250
------------
29,086,250
RESTAURANTS - 1.0%
McDonald's Corporation 350,000 14,459,375
RETAIL - APPAREL - 1.3%
TJX Companies, Inc. 540,000 17,988,750
RETAIL - BUILDING SUPPLIES - 0.5%
Lowe's Companies, Inc. 125,000 7,085,938
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
- --------------------------------------------------------------------------------
RETAIL - DEPARTMENT STORES - 1.0%
Saks, Inc.* 500,000 $14,437,500
RETAIL - DRUG STORES - 1.7%
Rite Aid Corporation 400,000 9,850,000
Walgreen Company 500,000 14,687,500
-------------
24,537,500
RETAIL - FOOD CHAINS - 3.1%
Albertson's Inc. 270,000 13,921,875
Kroger Company* 520,000 14,527,500
Safeway, Inc.* 320,000 15,840,000
-------------
44,289,375
RETAIL - GENERAL MERCHANDISE - 1.8%
Dayton Hudson Corporation 200,000 13,000,000
Wal-Mart Stores, Inc. 260,000 12,545,000
-------------
25,545,000
RETAIL - SPECIALTY - 1.3%
Staples, Inc.* 600,000 18,562,500
SERVICES - ADVERTISING/MARKETING - 1.8%
Omnicom Group, Inc. 320,000 25,600,000
SERVICES - COMMERCIAL & CONSUMER - 1.8%
Dun & Bradstreet Corporation 400,000 14,175,000
Viad Corporation 380,000 11,756,250
-------------
25,931,250
SERVICES - COMPUTER SYSTEMS - 0.7%
SunGard Data Systems, Inc.* 300,000 10,350,000
SERVICES - DATA PROCESSING - 1.7%
Ceridian Corporation* 350,000 11,440,625
First Data Corporation 250,000 12,234,375
-------------
23,675,000
TELECOMMUNICATION - CELLULAR - 1.3%
Sprint Corporation (PCS Group)* 330,000 18,851,250
TELECOMMUNICATION - LONG DISTANCE - 3.7%
AT & T Corporation 225,000 12,557,812
MCI WorldCom, Inc.* 250,000 21,562,500
Sprint Corporation (FON Group) 350,000 18,484,375
-------------
52,604,687
TELEPHONE - 2.1%
GTE Corporation 200,000 15,137,500
SBC Communications, Inc. 250,000 14,500,000
-------------
29,637,500
WASTE MANAGEMENT - 0.9%
Waste Management, Inc. 250,000 13,437,500
-------------
Total common stocks - 95.3% 1,364,245,859
36 SEE ACCOMPANYING NOTES.
<PAGE>
SCHEDULE OF INVESTMENTS
JUNE 30, 1999
(UNAUDITED)
SERIES A (GROWTH)(CONTINUED)
PRINCIPAL
AMOUNT OR
NUMBER MARKET
COMMERCIAL PAPER OF SHARES VALUE
- --------------------------------------------------------------------------------
ELECTRIC UTILITIES - 0.0%
Carolina Power & Light Company,
5.025% - 7-9-99 $600,000 $ 599,330
PHARMACEUTICALS - 0.1%
Schering Corporation,
5.055% - 7-21-99 $1,500,000 1,495,788
-------------
Total commercial paper - 0.1% 2,095,118
-------------
Total investments - 96.3% 1,378,965,977
Cash and other assets,
less liabilities - 3.7% 53,344,457
-------------
Total net assets - 100.0% $1,432,310,434
-------------
SERIES B (GROWTH-INCOME)
CORPORATE BONDS
BANKING - 0.1%
Homeside, Inc., 11.25% - 2003 $1,335,000 $ 1,531,913
FOODS - 0.1%
Foodmaker Corporation,
9.75% - 2003 $1,250,000 1,287,500
MEDIA - NONCABLE - 0.1%
Golden Books Publishing, Inc.,
7.65% - 2002 $3,500,000 1,426,250
TOBACCO - 0.0%
Standard Commercial Tobacco
Corporation, 8.875% - 2005 $350,000 287,000
------------
Total corporate bonds - 0.3% 4,532,663
COMMON STOCKS
Aerospace/Defense - 1.7%
Boeing Company 500,000 22,093,750
AGRICULTURAL PRODUCTS - 0.5%
Archer-Daniels-Midland Company 365,000 5,634,688
AUTO PARTS & EQUIPMENT - 1.7%
Dana Corporation 160,300 7,383,819
Genuine Parts Company 250,000 8,750,000
TRW, Inc. 100,000 5,487,500
------------
21,621,319
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
- --------------------------------------------------------------------------------
BANKS - MAJOR REGIONAL - 3.8%
Bank One Corporation 363,000 $21,621,188
Fleet Financial Group, Inc. 250,000 11,093,750
KeyCorp 400,000 12,850,000
PNC Bank Corporation 50,000 2,881,250
------------
48,446,188
BANKS - MONEY CENTER - 1.6%
Bank of America Corporation 150,000 10,996,875
J.P. Morgan & Company, Inc. 65,000 9,132,500
------------
20,129,375
BUILDING MATERIALS - 0.6%
Owens Corning Corporation 200,000 6,875,000
CHEMICALS - BASIC - 2.1%
E.I. du Pont de Nemours & Company 100,000 6,831,250
FMC Corporation* 150,000 10,246,875
Praxair, Inc. 200,000 9,787,500
------------
26,865,625
CHEMICALS - SPECIALTY - 0.7%
Minnesota Mining &
Manufacturing Company 100,000 8,693,750
COMPUTER HARDWARE - 1.8%
Compaq Computer Corporation 600,000 14,212,500
Sequent Computer Systems, Inc.* 500,000 8,875,000
------------
23,087,500
COMPUTER SOFTWARE/SERVICES - 0.5%
Autodesk, Inc. 200,000 5,912,500
CONTAINERS & PACKAGING - 0.6%
Crown Cork & Seal Company, Inc. 275,000 7,837,500
DISTRIBUTION - FOOD & HEALTH - 0.5%
SUPERVALU, Inc. 250,000 6,421,875
ELECTRIC COMPANIES - 5.3%
Allegheny Energy, Inc. 171,000 5,482,688
American Electric Power
Company, Inc. 250,000 9,390,625
Carolina Power & Light Company 68,000 2,911,250
Constellation Energy Group 250,000 7,406,250
GPU, Inc. 76,100 3,210,469
Kansas City Power & Light Company 303,200 7,731,600
LG&E Energy Corporation 100,000 2,100,000
Northern States Power Company 200,000 4,837,500
Potomac Electric Power Company 100,000 2,943,750
Southern Company 210,000 5,565,000
Texas Utilities Company 375,000 15,468,750
------------
67,047,882
ELECTRICAL EQUIPMENT - 1.7%
Emerson Electric Company 200,000 12,575,000
Hubbell, Inc. (Cl. B) 200,000 9,075,000
------------
21,650,000
37 SEE ACCOMPANYING NOTES.
<PAGE>
SCHEDULE OF INVESTMENTS
JUNE 30, 1999
(UNAUDITED)
SERIES B (GROWTH-INCOME)(CONTINUED)
NUMBER MARKET
COMMON STOCKS(CONITNUED) OF SHARES VALUE
- --------------------------------------------------------------------------------
ELECTRONICS - DEFENSE - 1.2%
Advanced Micro Devices, Inc.* 400,000 $ 7,225,000
Raytheon Company (Cl. A) 9,565 658,789
Raytheon Company (Cl. B) 100,000 7,037,500
------------
14,921,289
ELECTRONICS - DISTRIBUTION - 0.5%
W.W. Grainger, Inc. 125,000 6,726,563
ELECTRONICS - SEMICONDUCTOR - 1.0%
National Semiconductor Corporation* 500,000 12,656,250
ENGINEERING & CONSTRUCTION - 0.2%
Foster Wheeler Corporation 200,000 2,825,000
ENTERTAINMENT - 1.2%
Walt Disney Company 500,000 15,406,250
FINANCIAL - DIVERSE - 2.4%
American General Corporation 125,000 9,421,875
Fannie Mae 300,000 20,512,500
------------
29,934,375
FOODS - 3.4%
Bestfoods 100,000 4,950,000
Chiquita Brands International, Inc. 500,000 4,500,000
ConAgra, Inc. 400,000 10,650,000
General Mills, Inc. 107,000 8,600,125
Tyson Foods, Inc. (Cl. A) 443,900 9,987,750
Universal Foods Corporation 200,000 4,225,000
------------
42,912,875
GOLD & PRECIOUS METALS MINING - 2.1%
Barrick Gold Corporation 600,000 11,625,000
Newmont Mining Corporation 400,000 7,950,000
Placer Dome, Inc. 600,000 7,087,500
------------
26,662,500
HEALTH CARE - DIVERSE - 0.5%
Abbott Laboratories 150,000 6,825,000
HEALTH CARE - LONG TERM CARE - 0.4%
HEALTHSOUTH Corporation* 300,000 4,481,250
HEALTH CARE - MANAGED CARE - 1.1%
Humana, Inc.* 589,500 7,626,656
United Healthcare Corporation 100,000 6,262,500
------------
13,889,156
HOSPITAL MANAGEMENT - 0.6%
Columbia/HCA Healthcare
Corporation 318,400 7,263,500
HOUSEHOLD FURNISHINGS & APPLIANCES - 1.5%
Whirlpool Corporation 263,100 19,469,400
HOUSEHOLD PRODUCTS - 0.7%
Kimberly-Clark Corporation 150,000 8,550,000
INSURANCE - BROKERS - 0.4%
Conseco, Inc. 150,000 4,565,625
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
- --------------------------------------------------------------------------------
INSURANCE - LIFE & HEALTH - 1.8%
Aetna, Inc. 100,000 $ 8,943,750
UNUM Corporation 250,000 13,687,500
------------
22,631,250
INSURANCE - MULTILINE - 0.7%
Loews Corporation 115,700 9,154,762
INSURANCE - PROPERTY & CASUALTY - 2.4%
Chubb Corporation 125,000 8,687,500
Safeco Corporation 250,000 11,031,250
St. Paul Companies, Inc. 343,400 10,924,412
------------
30,643,162
IRON & STEEL - 0.8%
USX-U.S. Steel Group, Inc. 400,000 10,800,000
LEISURE TIME PRODUCTS - 0.6%
Callaway Golf Company 250,000 3,656,250
Mattel, Inc. 150,000 3,965,625
------------
7,621,875
LODGING - HOTELS - 0.1%
Hilton Hotels Corporation 100,000 1,418,750
MACHINERY - DIVERSE - 1.5%
Deere & Company 400,000 15,850,000
Milacron, Inc. 200,000 3,700,000
------------
19,550,000
MANUFACTURING - DIVERSIFIED - 0.9%
Tenneco, Inc. 500,000 11,937,500
MEDICAL PRODUCTS & SUPPLIES - 2.7%
Baxter International, Inc. 200,000 12,125,000
Dentsply International, Inc. 300,000 8,400,000
St. Jude Medical, Inc.* 400,000 14,250,000
------------
34,775,000
NATURAL GAS - 2.5%
Consolidated Natural Gas Company 200,000 12,150,000
People's Energy Corporation 350,000 13,190,625
Sonat, Inc. 200,000 6,625,000
------------
31,965,625
OIL - DOMESTIC - 1.9%
Atlantic Richfield Company 75,000 6,267,187
Phillips Petroleum Company 200,000 10,062,500
USX-Marathon Group 250,000 8,140,625
------------
24,470,312
OIL - INTERNATIONAL - 4.1%
Royal Dutch Petroleum
Company ADR 596,500 35,939,125
Texaco, Inc. 259,100 16,193,750
------------
52,132,875
38 SEE ACCOMPANYING NOTES.
<PAGE>
SCHEDULE OF INVESTMENTS
JUNE 30, 1999
(UNAUDITED)
SERIES B (GROWTH-INCOME)(CONTINUED)
NUMBER MARKET
COMMON STOCKS(CONITNUED) OF SHARES VALUE
- --------------------------------------------------------------------------------
OIL & GAS - DRILLING & EQUIPMENT - 3.5%
Halliburton Company 421,500 $19,072,875
Schlumberger, Ltd. 400,000 25,475,000
------------
44,547,875
OIL & GAS - EXPLORATION & PRODUCTION - 3.2%
Apache Corporation 216,900 8,459,100
Burlington Resources, Inc. 245,000 10,596,250
Enron Oil & Gas Company 500,000 10,125,000
Kerr-McGee Corporation 100,000 5,018,750
MCN Energy Group, Inc. 300,000 6,318,750
------------
40,517,850
OIL & GAS - REFINING & MARKETING - 0.8%
Ashland, Inc 250,000 10,031,250
PAPER & FOREST PRODUCTS - 1.9%
Champion International Corporation 150,000 7,181,250
International Paper Company 100,000 5,050,000
Louisiana-Pacific Corporation 500,000 11,875,000
------------
24,106,250
PHARMACEUTICALS - 1.9%
Elan Corporation plc ADR* 500,000 13,875,000
Teva Pharmaceutical
Industries, Ltd. ADR 200,000 9,800,000
------------
23,675,000
PHOTOGRAPHY / IMAGING - 1.2%
Eastman Kodak Company 150,000 10,162,500
Polaroid Corporation 200,000 5,525,000
------------
15,687,500
PUBLISHING - 1.3%
Dow Jones & Company, Inc. 200,000 10,612,500
R. R. Donnelley & Sons Company 150,000 5,559,375
------------
16,171,875
PUBLISHING - NEWSPAPER - 0.4%
Gannet Company, Inc. 80,000 5,710,000
RAILROADS - 1.4%
Norfolk Southern Corporation 207,300 6,244,912
Union Pacific Corporation 200,000 11,662,500
------------
17,907,412
REAL ESTATE INVESTMENT TRUSTS - 2.9%
Highwoods Properties, Inc. 220,000 6,036,250
Hospitality Properties Trust 300,000 8,137,500
HRPT Properties Trust 300,000 4,593,750
Liberty Property Trust 410,000 10,198,750
Simon Property Group, Inc. 137,800 3,496,675
United Dominion Realty Trust, Inc. 400,000 4,700,000
------------
37,162,925
RESTAURANTS - 0.3%
CBRL Group, Inc. 185,000 3,202,812
PRINCIPAL
AMOUNT OR
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
- --------------------------------------------------------------------------------
RETAIL - DEPARTMENT STORES - 2.3%
Dillard's Inc. 210,000 $ 7,376,250
Harcourt General, Inc. 150,000 7,734,375
J.C. Penney Company, Inc. 300,000 14,568,750
------------
29,679,375
RETAIL - DRUG STORES - 1.0%
Rite Aid Corporation 500,000 12,312,500
RETAIL - FOOD CHAINS - 0.9%
Albertson's Inc. 227,500 11,730,469
RETAIL SPECIALTY - 0.4%
Toys "R" Us, Inc.* 250,000 5,171,875
SERVICES - COMMERCIAL & CONSUMER - 0.4%
Laidlaw, Inc 650,000 4,793,750
SERVICES - DATA PROCESSING - 0.4%
Electronic Data Systems Corporation 100,000 5,656,250
TELECOMMUNICATIONS - LONG DISTANCE - 1.3%
AT&T Corporation 304,700 17,006,069
TELEPHONE - 3.2%
Bell Atlantic Corporation 272,000 17,782,000
GTE Corporation 300,000 22,706,250
------------
40,488,250
TEXTILES - APPAREL - 0.4%
Russell Corporation 233,300 4,549,350
TOBACCO - 2.7%
Fortune Brands, Inc. 100,000 4,137,500
Phillip Morris Companies, Inc. 527,100 21,182,831
UST, Inc. 300,000 8,775,000
------------
34,095,331
TRUCKING - 0.5%
Werner Enterprises, Inc. 300,000 6,225,000
WASTE MANAGEMENT - 1.4%
Allied Waste Industries, Inc.* 237,000 4,680,750
Browning-Ferris Industries, Inc. 300,000 12,900,000
------------
17,580,750
------------
Total common stocks - 94.0% 1,194,516,814
GOVERNMENT SECURITIES
U.S. GOVERNMENT SECURITIES - 4.0%
U.S. Treasury Notes,
6.50% - 2001 $50,000,000 50,870,000
------------
Total investments - 98.3% 1,249,919,477
Cash and other assets,
less liabilities - 1.7% 21,744,074
--------------
Total net assets - 100.0% $1,271,663,551
==============
39 SEE ACCOMPANYING NOTES.
<PAGE>
SCHEDULE OF INVESTMENTS
JUNE 30, 1999
(UNAUDITED)
SERIES C (MONEY MARKET)
PRINCIPAL MARKET
COMMERCIAL PAPER AMOUNT VALUE
- --------------------------------------------------------------------------------
AEROSPACE/DEFENSE - 0.9%
Allied Signal, Inc. PP,
4.80% - 7-9-99 $1,400,000 $ 1,398,362
BEVERAGES - 2.6%
Coca Cola Company,
4.80% - 7-2-99 1,500,000 1,499,800
4.92% - 8-9-99 1,000,000 994,670
4.86% - 8-16-99 1,500,000 1,490,145
------------
3,984,615
BROKERAGE - 3.0%
Merrill Lynch & Company, Inc.,
4.80% - 7-12-99 2,000,000 1,996,780
4.78% - 7-19-99 1,500,000 1,496,130
4.93% - 2-4-00 450,000 435,501
5.07% - 2-18-00 650,000 627,711
------------
4,556,122
BUSINESS SERVICES - 3.0%
General Electric Capital Corporation,
4.85% - 7-16-99 3,100,000 3,093,735
4.80% - 10-12-99 1,500,000 1,477,725
------------
4,571,460
CHEMICALS - 1.5%
DuPont (E.I.) De Nemours & Company,
5.0% - 10-18-99 2,300,000 2,263,844
Combination Gas & Electric - 4.0%
Baltimore Gas & Electric Company,
5.02% - 7-28-99 3,000,000 2,988,705
Dayton Power & Light Company,
4.90% - 7-6-99 3,130,000 3,127,870
------------
6,116,575
ELECTRIC UTILITIES - 13.3%
Alabama Power Company,
5.13% - 7-19-99 1,000,000 997,435
5.20% - 7-21-99 3,000,000 2,991,333
Allegheny Energy, Inc.,
4.83% - 8-3-99 1,800,000 1,800,887
4.84% - 8-3-99 550,000 536,434
4.84% - 8-3-99 1,500,000 1,494,353
4.88% - 8-5-99 450,000 447,727
CLECO Corporation,
4.84% - 8-3-99 4,000,000 3,980,960
Duke Energy Corporation,
4.93% - 7-23-99 4,000,000 3,987,949
Georgia Power Company,
4.86% - 7-15-99 3,600,000 3,593,196
Progress Capital Holdings, Inc.,
5.22% - 7-12-99 500,000 499,203
------------
20,329,477
PRINCIPAL MARKET
COMMERCIAL PAPER (CONTINUED) AMOUNT VALUE
- --------------------------------------------------------------------------------
ELECTRONICS - 2.1%
Avnet, Inc.,
4.83% - 7-7-99 $ 500,000 $ 499,597
4.93% - 8-2-99 1,100,000 1,095,180
4.96% - 8-13-99 1,100,000 1,093,224
Emerson Electric Company,
5.30% - 7-8-99 500,000 499,485
------------
3,187,486
ENTERTAINMENT - 3.1%
Walt Disney Company, The,
4.90% - 10-14-99 150,000 147,720
4.75% - 11-16-99 4,644,000 4,550,888
------------
4,698,608
FINANCIAL SERVICES - 2.3%
Toyota Motor Credit Corporation,
4.83% - 7-1-99 1,530,000 1,530,000
4.95% - 8-31-99 2,000,000 1,982,500
------------
3,512,500
FOOD PROCESSING - 5.8%
General Mills,
4.92% - 7-14-99 2,300,000 2,295,914
4.90% - 11-19-99 2,000,000 1,959,020
McCormick & Company, Inc.,
4.78% - 9-14-99 1,200,000 1,187,040
4.88% - 10-22-99 1,300,000 1,278,732
5.05% - 11-9-99 2,100,000 2,060,016
------------
8,780,722
LEASING - 2.6%
International Lease Finance Corporation,
4.78% - 7-6-99 1,500,000 1,499,004
4.78% - 7-6-99 2,100,000 2,098,467
4.79% - 7-21-99 300,000 299,139
------------
3,896,610
METALS & MINERALS - 2.6%
ALCOA, Inc.,
4.80% - 7-13-99 4,000,000 3,993,600
NUCLEAR - 0.3%
Bayshore Fuel Company,
4.86% - 7-29-99 448,000 446,221
PHARMACEUTICALS - 2.2%
Schering Corporation,
4.85% - 7-27-99 1,200,000 1,195,797
4.88% - 8-17-99 2,200,000 2,185,216
------------
3,381,013
PHOTOGRAPH/IMAGING - 3.1%
Eastman Kodak Company,
4.78% - 7-22-99 4,200,000 4,187,274
4.79% - 8-11-99 500,000 497,065
------------
4,684,339
40 SEE ACCOMPANYING NOTES.
<PAGE>
SCHEDULE OF INVESTMENTS
JUNE 30, 1999
(UNAUDITED)
SERIES C (MONEY MARKET)(CONTINUED)
PRINCIPAL MARKET
COMMERCIAL PAPER (CONTINUED) AMOUNT VALUE
- --------------------------------------------------------------------------------
PUBLISHING - 2.5%
McGraw-Hill Company, Inc.,
4.91% - 7-7-99 $1,000,000 $ 999,182
4.83% - 8-20-99 2,000,000 1,985,660
5.05% - 8-27-99 900,000 892,647
------------
3,877,489
TELECOMMUNICATIONS - 2.5%
Ameritech Corporation,
4.82% - 7-13-99 2,865,000 2,860,397
Bell Atlantic Network Funding Corporation,
4.83% - 7-8-99 1,000,000 999,061
------------
3,859,458
TOYS & SPORTING GOODS - 2.5%
Hasbro, Inc.,
4.86% - 8-24-99 675,000 669,775
4.93% - 9-7-99 1,300,000 1,287,273
5.15% - 12-3-99 1,100,000 1,075,085
5.05% - 1-21-00 787,000 763,406
------------
3,795,539
------------
Total commercial paper - 59.9% 91,334,040
U.S. GOVERNMENT & AGENCIES
FEDERAL MORTGAGE CORPORATION - 5.4%
Federal Mortgage Corporation,
4.64% - 8-10-99 3,000,000 2,983,230
5.05% - 10-27-99 1,000,000 983,310
5.07% - 3-31-00 4,470,000 4,291,692
------------
8,258,232
FEDERAL NATIONAL MORTGAGE ASSOCIATION - 12.0%
Federal National Mortgage Association,
4.70% - 11-19-99 5,000,000 4,900,100
4.66% - 12-13-99 5,100,000 4,980,048
4.70% - 12-17-99 5,000,000 4,879,550
4.86% - 4-12-00 3,700,000 3,545,673
------------
18,305,371
STUDENT LOAN MORTGAGE ASSOCIATION - 8.7%
Student Loan Mortgage Association,
5.33% - 4-25-08(2) 1,500,000 1,500,000
4.92% - 10-25-05(2) 5,426,112 5,400,677
5.15% - 10-28-06(2) 2,000,000 1,998,750
5.21% - 1-25-07(2) 4,302,921 4,294,181
------------
13,193,608
SMALL BUSINESS ASSOCIATION POOLS - 7.8%
#502406, 5.50% - 2006(2) 352,498 352,498
#502163, 5.75% - 2012(2) 695,111 695,111
#502353, 5.50% - 2018(2) 96,323 96,323
#503176, 5.375% - 2020(2) 437,076 439,261
U.S. GOVERNMENT PRINCIPAL MARKET
AGENCIES (CONTINUED) AMOUNT VALUE
- --------------------------------------------------------------------------------
SMALL BUSINESS ASSOCIATION POOLS (CONTINUED)
#503459, 5.25% - 2021(2) $1,560,947 $ 1,555,093
#503283, 5.25% - 2021(2) 1,279,387 1,273,990
#503295, 5.25% - 2021(2) 975,357 968,042
#503303, 5.25% - 2021(2) 1,046,683 1,038,832
#503308, 5.25% - 2021(2) 686,856 686,856
#503343, 5.375% - 2021(2) 1,190,301 1,190,302
#503347, 5.375% - 2021(2) 3,542,965 3,542,965
------------
11,839,273
------------
Total U.S. government & agencies - 33.9% 51,596,484
MISCELLANEOUS ASSETS
FUNDING AGREEMENTS - 5.9%
Security Life of Denver Insurance Company,
4.96% - 10-31-2001(2) 3,000,000 3,000,000
Travelers Insurance Company,
4.95% - 8-21-2001(2) 3,000,000 3,000,000
United of Omaha Life Insurance Company,
5.0299% - 1-21-02(2) 3,000,000 3,000,000
------------
9,000,000
------------
Total investments - 99.7% 151,930,524
Cash & other assets, liabilities - 0.3% 406,344
------------
Total net assets - 100.0% $152,336,868
============
SERIES D (WORLDWIDE EQUITY)
COMMON STOCKS
ARGENTINA - 0.2%
IRSA Inversiones y
Representaciones S.A 18,800 $ 580,450
AUSTRALIA - 1.0%
Telstra Corporation, Ltd. 679,400 3,893,008
BELGIUM - 0.9%
Lernout & Hauspie Speech
Products N.V.* 100,000 3,543,750
BRAZIL - 2.5%
Banco Bradesco S.A.* 320,325,000 1,607,948
Brazil Realty Empreendimente
e Participacoes* 197,000 2,455,625
Tele Norte Leste Participacoes S.A 122,054,000 2,237,312
Telecomunicacoes de
Sao Paulo S.A. 27,272,415 3,237,926
------------
9,538,811
41 SEE ACCOMPANYING NOTES.
<PAGE>
SCHEDULE OF INVESTMENTS
JUNE 30, 1999
(UNAUDITED)
SERIES D (WORLDWIDE EQUITY)(CONTINUED)
NUMBER MARKET
COMMON STOCKS(CONITNUED) OF SHARES VALUE
- --------------------------------------------------------------------------------
CROATIA - 1.0%
Pliva d.d.GDR 144-A 247,500 $ 3,681,340
FINLAND - 0.9%
Nokia Oyj ADR* 38,900 3,561,781
FRANCE- 11.2%
Alcatel 14,200 1,998,969
AXA-UAP 25,681 3,133,154
Canal Plus 37,900 10,635,374
Cap Gemini S.A 35,000 5,500,954
Carrefour S.A 7,950 1,168,334
Genset ADR* 200,000 3,125,000
Sidel S.A 15,500 1,884,649
Societe BIC S.A 89,300 4,710,664
Societe Industrielle de
Transports Automobiles S.A 8,000 1,810,138
Societe Television Francaise 1 20,000 4,661,476
Vivendi 50,468 4,088,343
-----------
42,717,055
GERMANY - 10.7%
Fresenius AG 38,000 6,880,163
Porsche AG 4,950 11,537,153
ProSieben Media AG 75,726 3,490,901
Rhoen-Klinikum AG 43,930 4,303,976
Volkswagen AG 155,100 9,933,183
Wella AG 6,500 4,625,381
-----------
40,770,757
GREECE - 0.9%
Hellenic Telecommunications
Organization S.A 154,275 3,306,733
HONG KONG - 0.6%
Dickson Concept
International, Ltd. 1,090,500 773,015
Television Broadcasts, Ltd. 310,000 1,454,330
-----------
2,227,345
INDIA - 1.3%
ICICI, Ltd. 144A GDR 236,000 2,430,800
Videsh Sabchar Nigam, Ltd. GDR 200,000 2,562,000
-----------
4,992,800
IRELAND - 1.0%
Elan Corporation PLC ADR* 136,700 3,793,425
ITALY - 2.7%
Bulgari SpA 301,600 2,027,981
Credito Italiano SpA* 390,900 1,717,356
Olivetti SpA* 745,200 1,790,663
Pirelli SpA 915,700 2,493,114
Telecom Italia SpA 377,000 2,251,153
-----------
10,280,267
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
- --------------------------------------------------------------------------------
JAPAN - 4.9%
Credit Saison Company, Ltd. 115,700 $ 2,418,382
Eisai Company, Ltd. 233,000 4,591,086
Hoya Corporation 26,000 1,467,118
Nichiei Company, Ltd. 11,600 1,015,862
Nintendo Company, Ltd. 15,400 2,164,194
Nippon Telegraph & Telephone
Corporation 425 4,950,843
Taisho Pharmaceutical
Company, Ltd. 65,000 2,148,050
----------
18,755,535
KOREA - 0.2%
SK Telecom Company, Ltd 680 928,795
MEXICO - 1.5%
Groupo Televisa S.A.* 128,000 5,736,000
NETHERLANDS - 4.1%
Getronics NV 101,300 3,896,757
Koninklijke (Royal) Philips
Electronics NV 64,400 6,352,663
STMicroelectronics NV* 75,200 5,217,000
----------
15,466,420
PORTUGAL - 0.4%
Sonae Investimentos - Sociedade
Gestora de Participacoes 44,200 1,503,343
SINGAPORE - 1.8%
Dairy Farm International
Holdings, Ltd. 2,850,000 3,420,000
Singapore Press Holdings, Ltd. 198,800 3,386,314
----------
6,806,314
SWEDEN - 0.7%
Autoliv, Inc. 93,400 2,845,283
SWITZERLAND - 1.6%
Adecco S.A 5,350 2,866,686
UBS AG 10,900 3,253,313
----------
6,119,999
UNITED KINGDOM - 9.6%
Allied Zurich PLC 282,100 3,524,043
British Petroleum
Company PLC ADR 15,500 1,681,750
Cadbury Schweppes PLC 722,400 4,611,813
Dixons Group PLC 162,700 3,046,792
Glaxo Wellcome PLC 38,600 2,185,725
Hanson PLC* 510,000 4,469,756
Reed International PLC 138,600 931,797
42 SEE ACCOMPANYING NOTES.
<PAGE>
SCHEDULE OF INVESTMENTS
JUNE 30, 1999
(UNAUDITED)
SERIES D (WORLDWIDE EQUITY)(CONTINUED)
NUMBER MARKET
COMMON STOCKS(CONITNUED) OF SHARES VALUE
- --------------------------------------------------------------------------------
UNITED KINGDOM (CONTINUED)
Rentokil Initial PLC 921,500 $ 3,602,350
Rolls-Royce PLC 603,900 2,563,065
Royal Bank of Scotland Group PLC 103,100 2,098,088
Telewest Communications PLC* 405,600 1,809,353
WPP Group PLC 727,500 6,152,358
-----------
36,676,890
UNITED STATES - 36.1%
Advanced Micro Devices, Inc. 77,100 1,392,619
Affymetrix, Inc.* 57,700 2,848,938
Allied Waste Industries, Inc.* 194,300 3,837,425
American Express Company 30,800 4,007,850
American International Group, Inc. 15,000 1,755,938
Amgen, Inc.* 45,700 2,781,987
Associates First Capital Corporation 42,700 1,892,144
AT&T Corporation 60,200 3,359,912
Bard (C.R.), Inc. 15,500 1,180,969
Cadence Design Systems, Inc.* 192,800 2,458,200
Cardinal Health, Inc. 27,850 1,785,881
Chubb Corporation 38,600 2,682,700
Circuit City Stores -
Circuit City Group 42,000 3,906,000
Cisco Systems, Inc.* 86,000 5,530,875
Fannie Mae 61,700 4,218,737
Genzyme Corporation* 54,100 2,623,850
Genzyme Surgical Products* 9,684 42,670
Gilead Sciences, Inc.* 71,100 3,714,975
Goldman Sachs Group, Inc. 4,800 346,800
Hasbro, Inc. 126,050 3,521,522
International Business Machines
Corporation6 51,200 6,617,600
International Flavors &
Fragrances, Inc. 116,800 5,222,937
International Game Technology 149,600 2,767,600
MCI WorldCom, Inc.* 40,600 3,501,750
Millennium Pharmaceuticals, Inc.* 60,200 2,167,200
Morgan Stanley Dean Witter
& Company 5,900 604,750
National Semiconductor
Corporation*(6) 358,800 9,082,125
QUALCOMM, Inc.*(6) 231,400 33,205,900
Quintiles Transnational
Corporation* 98,700 4,145,400
Scientific-Atlanta, Inc. 128,800 4,636,800
Sun Microsystems, Inc.*(6) 116,800 8,044,600
Waste Management, Inc. 63,400 3,407,751
-----------
137,294,405
-----------
Total common stocks - 95.8% 365,020,506
NUMBER MARKET
RIGHTS OF SHARES VALUE
- --------------------------------------------------------------------------------
ITALY - 0.2%
Olivetti SpA 745,200 $100,293
------------
Total investments - 96.0% 365,120,799
Cash and other assets, less liabilities - 4.0% 15,184,399
------------
Total net assets - 100.0% $380,305,198
============
At June 30, 1999, Series D's investment concentration by industry
was as follows:
Advertising 1.8%
Aerospace/Defense 0.7%
Apparel 0.5%
Auto Parts & Supplies 1.4%
Automobiles 5.6%
Banks & Credit 2.3%
Broadcast Media 6.8%
Building & Construction 1.2%
Communications 8.7%
Computer Software 0.6%
Computer Systems 6.8%
Cosmetics 1.2%
Electronics 4.0%
Entertainment 1.7%
Financial Services 4.8%
Food Wholesalers 1.7%
Health Care 5.1%
Household Products 1.4%
Industrial Services 1.1%
Insurance 2.9%
Machinery 0.5%
Medical 2.0%
Office Equipment 1.7%
Oil 0.4%
Pharmaceuticals 6.1%
Publishing 0.2%
Real Estate Development 0.8%
Retail 3.2%
Semiconductors 4.1%
Services 1.7%
Telecommunications 12.0%
Toys & Sporting Goods 0.6%
Waste Management Services 2.4%
Cash & other assets, less liabilities 4.0%
------------
100.0%
============
43 SEE ACCOMPANYING NOTES.
<PAGE>
SCHEDULE OF INVESTMENTS
JUNE 30, 1999
(UNAUDITED)
SERIES E (HIGH GRADE INCOME)
PRINCIPAL
AMOUNT OR
NUMBER MARKET
CORPORATE BONDS OF SHARES VALUE
- --------------------------------------------------------------------------------
AIRLINES - 3.2%
Southwest Airlines Company,
7.875% - 2007 $2,475,000 $2,614,219
United Airlines, 11.21% - 2014 $1,825,000 2,290,375
----------
4,904,594
AUTOMOTIVE - 3.0%
Federal-Mogul Corporation,
7.75% - 2006 $ 250,000 239,062
7.50% - 2009 $ 250,000 230,938
7.785% - 2010 $ 250,000 234,375
Ford Motor Company,
7.25% - 2008 $1,000,000 1,016,250
General Motors Corporation,
7.70% - 2016 $2,375,000 2,449,219
Mark IV Industries, 7.50% - 2007 $ 500,000 461,250
----------
4,631,094
BANKING - 2.4%
Bank of New York Company, Inc.,
6.50% - 2003 $ 25,000 24,812
B.F. Saul REIT, 9.75% - 2008 $ 250,000 237,188
Homeside, Inc., 11.25% - 2003 $1,250,000 1,434,375
Washington Mutual Capital,
8.375% - 20271 $2,025,000 2,032,594
----------
3,728,969
BASIC INDUSTRY - OTHER 1.0%
Pioneer Hi Bred International, Inc.,
5.75% - 2009 $1,650,000 1,536,562
BEVERAGE - 2.7%
Anheuser-Busch Companies, Inc.,
7.10% - 2007 $2,425,000 2,452,281
Pepsi Bottling Holdings, Inc.,
5.625% - 2009 $1,900,000 1,736,125
----------
4,188,406
BROKERAGE - 1.7%
SI Financing Trust, Inc.,
9.50% - 2026(1) 102,610 2,687,099
BUILDING MATERIALS - 3.4%
LaFarge Corporation, 6.375% - 2005 $1,025,000 989,125
Martin Marietta Material,
5.875% - 2008 $1,850,000 1,711,250
Nortek, Inc., 8.875% - 2008 $ 500,000 512,500
St. Paul Companies, Inc.,
6.38% - 2008 $1,000,000 942,500
Vulcan Materials Company,
5.75% - 2004 $1,100,000 1,073,875
----------
5,229,250
PRINCIPAL
AMOUNT OR
NUMBER MARKET
CORPORATE BONDS (CONTINUED) OF SHARES VALUE
- --------------------------------------------------------------------------------
CONSTRUCTION MACHINERY - 0.9%
AGCO Corporation, 8.50% - 2006 $ 500,000 $ 471,250
Columbus Mckinnon Corporation,
8.50% - 2008 $ 500,000 486,250
Titan Wheel International, Inc.,
8.75% - 2007 $ 500,000 478,125
-----------
1,435,625
CONSUMER CYCLICALS - OTHER - 0.2%
American ECO Corporation,
9.625% - 2008 $ 500,000 288,750
CONSUMER NONCYCLICAL - OTHER - 0.6%
AK Steel Corporation, 7.875% - 2009 $ 500,000 483,750
California Steel Industries,
8.50% - 2009 $ 500,000 488,750
-----------
972,500
ENERGY - OTHER - 0.2%
P&L Coal Holdings Corporation,
8.875% - 2008 $ 300,000 300,750
ENTERTAINMENT - 0.6%
Paramount Communications,
7.50% - 2023 $ 1,000,000 935,000
FINANCE - OTHER - 1.3%
EOP Operating LP, REIT,
6.625% - 2005 $ 2,050,000 1,973,125
FINANCIAL COMPANIES - 7.4%
American RE Capital, 8.50% - 2025(1) 46,000 1,170,125
Associates Corporation, N.A.,
7.55% - 2006 $ 1,000,000 1,037,500
CB Richard Ellis Service,
8.875% - 2006 $ 500,000 497,500
Countrywide Capital,
8.00% - 20261 $ 1,000,000 956,250
General Electric Capital Corporation,
8.625% - 2008 $ 1,750,000 1,966,562
Merrill Lynch & Company, Inc.,
7.375% - 2006 $ 2,500,000 2,575,000
Morgan Stanley Dean Witter Discover
& Company, 7.25% - 2023 $ 2,500,000 2,334,375
PNC Funding Corporation,
7.75% - 2004 $ 800,000 829,000
-----------
11,366,312
FINANCIAL COMPANIES - CAPTIVE - 0.6%
Bayer Corporation, 6.20% - 2008 $ 1,000,000 960,000
44 SEE ACCOMPANYING NOTES.
<PAGE>
SCHEDULE OF INVESTMENTS
JUNE 30, 1999
(UNAUDITED)
SERIES E (HIGH GRADE INCOME)(CONTINUED)
PRINCIPAL MARKET
CORPORATE BONDS(CONTINUED) AMOUNT VALUE
- --------------------------------------------------------------------------------
FOOD - 4.6%
Archer-Daniels-Midland Company,
8.875% - 2011 $2,025,000 $2,333,812
Cargill, Inc., 6.15% - 2008 1,850,000 1,778,313
Chiquita Brands International, Inc.,
10.25% - 2006 500,000 507,500
Conagra, Inc., 6.70% - 2027 2,000,000 1,995,000
Nash Finch Company, 8.50% - 2008 500,000 450,000
----------
7,064,625
GAMING - 2.4%
Boyd Gaming Corporation,
9.25% - 2003 500,000 508,750
Circus Circus Enterprise,
9.25% - 2005 250,000 253,750
MGM Grand, Inc., 6.95% - 2005 1,410,000 1,313,062
Mirage Resorts, Inc., 6.625% - 2005 1,160,000 1,103,450
Park Place Entertainment,
7.875% - 2005 500,000 475,000
----------
3,654,012
HEALTHCARE - 0.5%
Rural/Metro Corporation,
7.875% - 2008 250,000 226,250
Tenet Healthcare Corporation,
8.125% - 2008 500,000 481,250
----------
707,500
HOME CONSTRUCTION - 0.9%
D.R. Horton, Inc., 8.375% - 2004 125,000 124,375
MDC Holdings, 8.375% - 2008 250,000 242,500
Oakwood Homes Corporation,
8.125% - 2009 500,000 479,375
Standard Pacific Corporation,
8.50% - 2009 500,000 492,500
Toll Corporation, 7.75% - 2007 125,000 119,688
----------
1,458,438
INDEPENDENT ENERGY - 0.5%
Seagull Energy Corporation,
8.625% - 2005 800,000 789,000
INSURANCE - LIFE - 1.6%
Chubb Corporation, 6.15% - 2005 2,475,000 2,391,469
LODGING - 0.3%
HMH Properties, 7.875% - 2008 500,000 458,750
PRINCIPAL MARKET
CORPORATE BONDS (CONTINUED) AMOUNT VALUE
- --------------------------------------------------------------------------------
MEDIA - CABLE - 2.4%
Adelphia Communications, Inc.,
9.50% - 2004 $ 43,388 $ 45,395
8.375% - 2008 250,000 247,500
Century Communications
Corporation, 8.375% - 2007 125,000 122,187
Comcast Corporation, 9.125% - 2006 150,000 160,313
Jones Intercable, Inc., 7.625% - 2008 500,000 518,750
Lenfest communications, Inc.,
10.50% - 2006 500,000 573,750
Rogers Cablesystems, 9.625% - 2002 675,000 713,812
Rogers Communications, Inc.,
9.125% - 2006 450,000 457,875
Time Warner Entertainment Company,
10.15% - 2012 670,000 825,775
----------
3,665,357
MEDIA - NONCABLE - 1.3%
Big Flower Press Holdings, Inc.,
8.875% - 2007 500,000 473,750
Klll Communications Corporation,
10.25% - 2004 555,000 556,388
News American Holdings,
8.625% - 2003 500,000 525,000
USA Networks, 6.75% - 2005 500,000 483,125
----------
2,038,263
METALS - 0.5%
Ameristeel Corporation, 8.75% - 2008 500,000 497,500
WHX Corporation, 10.50% - 2005 250,000 236,875
----------
734,375
OIL FIELD SERVICES - 1.4%
Transocean Offshore, Inc.,
8.00% - 2027 2,000,000 2,090,000
RAILROADS - 2.4%
ROCS Series Burlington Northern
Santa Fe 1998-1, 6.50% - 2017 1,460,064 1,384,692
ROCS Series NSC 1998-1,
6.375% - 2017 2,397,174 2,244,883
----------
3,629,575
RETAILERS - 2.4%
Ames Department Stores,
10.00% - 2006 250,000 244,375
Lowe's Companies, Inc.,
6.70% - 2007 1,625,000 1,614,844
Mattel, Inc., 6.125% - 2005 700,000 674,625
Sears Roebuck & Company,
6.41% - 2001 350,000 350,875
Zale Corporation, 8.50% - 2007 750,000 765,937
----------
3,650,656
45 SEE ACCOMPANYING NOTES.
<PAGE>
SCHEDULE OF INVESTMENTS
JUNE 30, 1999
(UNAUDITED)
SERIES E (HIGH GRADE INCOME)(CONTINUED)
PRINCIPAL MARKET
CORPORATE BONDS(CONTINUED) AMOUNT VALUE
- --------------------------------------------------------------------------------
SERVICES - 0.7%
Loewen Group International, Inc.,
8.25% - 20035 $ 850,000 $ 541,875
Protection One Alarm,
7.375% - 2005 500,000 475,000
----------
1,016,875
SUPERMARKETS - 0.6%
Safeway, Inc., 6.50% - 2008 1,000,000 966,250
TECHNOLOGY - 0.6%
Dell Computer Corporation,
6.55% - 2008 1,025,000 994,250
TELECOMMUNICATIONS - 5.2%
Alestra, SA., 12.625% - 2009 500,000 473,750
AT&T Corporation, 7.00% - 2005 2,475,000 2,496,656
Cable & Wireless, PLC
6.75% - 2008 700,000 674,625
Call-Net Enterprises, Inc.,
9.375% - 2009 500,000 476,250
Comcast Cellular Holdings, Inc.,
9.50% - 2007 125,000 140,469
GTE Corporation, 7.51% - 2009 1,500,000 1,556,250
Mastec, Inc., 7.75% - 2008 500,000 489,375
MCI WorldCom, Inc., 6.40% - 2005 675,000 658,969
SBC Communications Capital
Corporation, 6.625% - 2007 1,025,000 1,016,031
----------
7,982,375
TEXTILES - 0.2%
Westpoint Stevens, Inc.,
7.875% - 2008 300,000 290,250
TOBACCO - 0.5%
Dimon, Inc., 8.875% - 2006 400,000 365,500
Standard Commercial Tobacco
Corporation, 8.875% - 2005 500,000 410,000
----------
775,500
TRANSPORTATION - OTHER - 0.3%
Allied Holdings, Inc.,
8.625% - 2007 500,000 486,875
TRANSPORTATION - SERVICES - 0.6%
ROCS Series FDX 1997 - 1,
7.00% - 2017 963,261 930,235
PRINCIPAL
AMOUNT OR
NUMBER MARKET
CORPORATE BONDS(CONTINUED) OF SHARES VALUE
- --------------------------------------------------------------------------------
UTILITIES - ELECTRIC - 2.2%
Calpine Corporation, 8.75% - 2007 $ 500,000 $ 502,500
Cinergy Global Resources,
6.20% - 2008 $1,000,000 947,500
CMS Energy Corporation,
6.75% - 2004 $ 500,000 475,625
East Coast Power LLC,
6.737% - 2008 $ 250,000 242,812
7.066% - 2012 $ 250,000 236,563
National Rural Utilities,
5.50% - 2005 $1,000,000 943,750
----------
3,348,750
UTILITIES - NATURAL GAS - 1.1%
National Fuel Gas Company,
6.303% - 2008 $ 1,750,000 1,688,750
YANKEE - CANADIANS - 1.5%
Quebecor Printing Capital,
7.25% - 2007 $ 2,350,000 2,300,062
YANKEE - CORPORATE - 10.4%
Abbey National PLC, 6.69% - 2005 $ 2,375,000 2,342,344
ABN AMRO Bank NV,
7.30% - 2026 $ 1,500,000 1,460,625
Agrium, Inc., 7.00% - 2004 $ 1,000,000 985,000
Argentaria Capital Funding,
6.375% - 2006 $ 2,000,000 1,908,032
BCH Cayman Islands, Ltd.,
7.70% - 2006 $ 2,500,000 2,540,625
Den Danske Bank, 7.40% - 2010 $ 2,175,000 2,210,344
PanAmerican Beverages, Inc.,
8.125% - 2003 $ 2,050,000 1,985,937
Petroleum Geo-Services,
7.50% - 2007 $ 1,200,000 1,198,500
Santander Financial Issuances, Ltd.,
7.00% - 2006 $ 1,400,000 1,387,750
------------
16,019,157
------------
Total corporate bonds - 74.3% 114,269,385
PREFERRED STOCK
BANKS & CREDIT - 0.6%
ABN AMRO Capital Fund II,
7.125% 40,000 937,500
46 SEE ACCOMPANYING NOTES.
<PAGE>
SCHEDULE OF INVESTMENTS
JUNE 30, 1999
(UNAUDITED)
SERIES E (HIGH GRADE INCOME)(CONTINUED)
PRINCIPAL MARKET
MORTGAGE BACKED SECURITIES AMOUNT VALUE
- --------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCIES - 5.6%
Federal Home Loan Bank,
5.19% - 2003 $1,000,000 $ 965,910
Federal Home Loan Mortgage Corporation,
FHR 1250 H, 7.00% - 2020 CMO 52,291 52,405
FHR 188 H, 7.00% - 2021 CMO 27,702 27,681
FHR 1311 J, 7.50% - 2021 CMO 3,325,000 3,320,910
FHR 1930 AB, 7.50% - 2023 CMO 545,070 553,535
FHLMC Series 1339 CLC,
8.00% - 2006 999,675 1,035,113
Federal National Mortgage Association,
FNR 1992-58 J, 6.50% - 2018 18,437 18,446
FNR 1990-68 J, 6.95% - 2020 112,437 111,944
FNR 1990-103 K, 7.50% - 2020 22,540 22,902
FNMA, 5.45% - 2003 1,500,000 1,463,625
FNMA, 6.00% - 2008 1,000,000 973,140
----------
8,545,611
U.S. GOVERNMENT SECURITIES - 7.1%
Government National Mortgage Association,
GNMA 39238, 9.50% - 2009 212,917 227,794
GNMA 305617, 9.00% - 2021 154,452 163,115
GNMA 301465, 9.00% - 2021 117,351 123,932
GNMA 313107, 7.00% - 2022 1,329,643 1,321,346
GNMA 352022, 7.00% - 2023 1,409,131 1,396,321
GNMA 369303, 7.00% - 2023 1,352,494 1,341,417
GNMA 780454, 7.00% - 2026 2,201,570 2,174,733
GNMA 462680, 7.00% - 2028 2,359,448 2,331,064
GNMA II 181907, 9.50% - 2020 165,638 175,455
GNMA II 2445, 8.00% - 2027 1,135,634 1,157,984
GNR 1997-10B, 7.50% - 2019 489,614 491,387
----------
10,904,548
Non-Agency Securities - 2.0%
Chase Capital Mortgage Securities
Company, 1997-1B,
7.37% - 2007 CMO 1,500,000 1,553,205
Chase Capital Mortgage
Securities Company, 1998-1B,
6.56% - 2008 CMO 1,000,000 988,270
Global Rated Eligible Asset Trust
7.33% - 2006 858,252 557,864
-----------
3,099,339
-----------
Total mortgage backed securities - 14.7% 22,549,498
PRINCIPAL
AMOUNT OR
NUMBER MARKET
GOVERNMENT SECURITIES OF SHARES VALUE
- --------------------------------------------------------------------------------
U.S. GOVERNMENT SECURITIES - 6.5%
U.S. Treasury Bonds,
6.00% - 2026 $ 1,750,000 $ 1,705,620
6.625% - 2027 $ 2,500,000 2,637,825
U.S. Treasury Notes,
5.75% - 2003 $1,400,000 1,396,472
6.50% - 2006 $ 250,000 257,997
Tennessee Valley Authority,
6.00% - 2013 $1,000,000 945,000
U.S. Department of Housing
and Urban Development,
6.93% - 2013 $3,000,000 2,990,754
----------
Total government securities - 6.5% 9,933,668
------------
Total investments - 96.1% 147,690,051
Cash and other assets, less liabilities - 3.9% 6,058,192
------------
Total net assets - 100.0% $153,748,243
============
SERIES H (ENHANCED INDEX)
COMMON STOCKS
AEROSPACE/DEFENSE - 0.8%
Boeing Company 100 $ 4,419
Gulfstream Aerospace Corporation* 300 20,269
Wyman-Gordon Company* 4,100 79,181
--------
103,869
AGRICULTURAL PRODUCTS - 0.1%
Archer-Daniels-Midland Company 100 1,544
Delta and Pine Land Company 200 6,300
Pioneer Hi-Bred International, Inc. 200 7,787
--------
15,631
AIRLINES - 0.3%
AMR Corporation* 200 13,650
Delta Air Lines, Inc. 300 17,288
Southwest Airlines Company 200 6,225
--------
37,163
ALUMINUM - 0.3%
Alcan Aluminum, Ltd. 100 3,194
ALCOA, Inc. 500 30,937
--------
34,131
AUTO PARTS & EQUIPMENT - 0.1%
Dana Corporation 100 4,606
Delphi Automotive
Systems Corporation 589 10,933
--------
15,539
47 SEE ACCOMPANYING NOTES.
<PAGE>
SCHEDULE OF INVESTMENTS
JUNE 30, 1999
(UNAUDITED)
SERIES H (ENHANCED INDEX)(CONTINUED)
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
- --------------------------------------------------------------------------------
AUTOMOBILES - 0.9%
Ford Motor Company 1,200 $ 67,725
General Motors Corporation 800 52,800
--------
120,525
BANKS - MAJOR REGIONAL - 3.2%
Amsouth Bancorporation 250 5,797
BB&T Corporation 300 11,006
Bank of New York Company, Inc. 700 25,681
Bank One Corporation 1,100 65,519
BankBoston Corporation 600 30,675
Comerica, Inc. 100 5,944
Fifth Third Bancorp 200 13,313
Huntington Bancshares, Inc. 100 3,500
KeyCorp 200 6,425
Mellon Bank Corporation 400 14,550
Mercantile Bancorporation, Inc. 400 22,850
National City Corporation 300 19,650
Northern Trust Corporation 100 9,700
PNC Bank Corporation 200 11,525
Regions Financial Corporation 100 3,844
Republic New York Corporation 100 6,819
Southtrust Corporation 100 3,837
State Street Boston 100 8,538
Summit Bancorp 100 4,181
Suntrust Banks, Inc. 300 20,831
U.S. Bancorp 400 13,600
Union Planters Corporation 500 22,344
Wachovia Corporation 200 17,112
Wells Fargo Company 1,400 59,850
Western Bancorp 200 8,700
--------
415,791
BANKS - MONEY CENTER - 2.2%
Bank of America Corporation(6) 1,700 124,631
Chase Manhattan Corporation 700 60,638
First Union Corporation 1,200 56,400
J.P. Morgan & Company, Inc. 300 42,150
--------
283,819
BEVERAGES - ALCOHOLIC - 0.3%
Anheuser-Busch Companies, Inc. 400 28,375
Seagram Company, Ltd. 300 15,112
--------
43,487
BEVERAGES - SOFT DRINK - 1.1%
Coca-Cola Company(6) 1,700 106,250
Coca-Cola Enterprises, Inc. 100 3,075
PepsiCo, Inc. 900 34,819
--------
144,144
BIOTECHNOLOGY - 0.2%
Amgen, Inc.* 500 30,438
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
- --------------------------------------------------------------------------------
BROADCAST MEDIA - 1.5%
Clear Channel
Communications, Inc.* 400 $ 27,575
Comcast Corporation (Cl. A) 1,200 46,125
MediaOne Group, Inc.* 1,300 96,688
Viacom, Inc. (Cl. B)* 700 30,800
--------
201,188
BUILDING MATERIALS - 0.1%
Masco Corporation 200 5,775
Vulcan Materials Company 100 4,775
--------
10,550
CHEMICALS - BASIC - 0.8%
Air Products & Chemicals, Inc. 100 4,025
Dow Chemical Company 300 38,062
E.I. du Pont de Nemours
& Company 800 54,650
FMC Corporation* 100 6,831
--------
103,568
CHEMICALS - DIVERSIFIED - 0.1%
Monsanto Company 200 7,887
CHEMICALS - SPECIALTY - 0.6%
Eastman Chemical Company 100 5,175
International Flavors &
Fragrances, Inc. 500 22,188
Minnesota Mining &
Manufacturing Company 400 34,775
Nalco Chemical Company 300 15,562
Rohm & Haas Company 100 4,288
W.R. Grace & Company* 100 1,837
--------
83,825
COMMUNICATION EQUIPMENT - 2.6%
Andrew Corporation* 100 1,894
General Instrument Corporation* 300 12,750
Lucent Technologies, Inc.6 3,015 203,324
Motorola, Inc. 500 47,375
Nortel Networks Corporation 500 43,406
Scientific-Atlanta, Inc. 100 3,600
Tellabs, Inc. 400 27,025
--------
339,374
48 SEE ACCOMPANYING NOTES.
<PAGE>
SCHEDULE OF INVESTMENTS
JUNE 30, 1999
(UNAUDITED)
SERIES H (ENHANCED INDEX)(CONTINUED)
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
- --------------------------------------------------------------------------------
COMPUTER HARDWARE - 4.1%
Apple Computer, Inc.* 300 $ 13,894
Compaq Computer Corporation 1,400 33,163
Data General Corporation* 100 1,456
Dell Computer Corporation* 2,400 88,800
Gateway, Inc.* 200 11,800
Hewlett-Packard Company 900 90,450
International Business Machines
Corporation6 1,800 232,650
Silicon Graphics, Inc.* 600 9,825
Sun Microsystems, Inc.* 800 55,100
--------
537,138
COMPUTER SOFTWARE/SERVICES - 5.0%
Adobe Systems, Inc. 200 16,431
America Online, Inc.* 1,000 110,500
BMC Software, Inc.* 100 5,400
Computer Sciences Corporation* 200 13,838
Compuware Corporation* 500 15,906
Microsoft Corporation*(6) 4,600 414,863
Novell, Inc.* 500 13,250
Oracle Corporation* 1,300 48,262
Unisys Corporation 400 15,575
--------
654,025
COMPUTERS - NETWORKING - 1.7%
Cabletron Systems, Inc.* 400 5,200
Cisco Sytems, Inc.*(6) 3,000 192,937
3COM Corporation* 400 10,675
Network Appliance, Inc.* 100 5,588
--------
214,400
COMPUTERS - PERIPHERALS - 0.5%
EMC Corporation* 900 49,500
Seagate Technology, Inc.* 500 12,813
--------
62,313
CONSUMER FINANCE - 0.4%
Capital One Financial
Corporation 100 5,569
Household International, Inc. 300 14,212
MBNA Corporation 600 18,375
Providian Financial Corporation 100 9,350
--------
47,506
CONSUMER MISCELLANEOUS - 0.2%
American Greetings
Corporation (Cl. A) 800 24,100
CONTAINERS & PACKAGING - 0.1%
Temple-Inland, Inc. 200 13,650
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
- --------------------------------------------------------------------------------
DISTRIBUTION - FOOD & HEALTH - 0.5%
Cardinal Health, Inc. 200 $ 12,825
McKesson HBOC, Inc. 200 6,425
Richland Holdings, Inc. 1,400 24,675
Supervalu, Inc. 400 10,275
Sysco Corporation 200 5,963
--------
60,163
ELECTRIC COMPANIES - 3.0%
American Electric Power Company, Inc. 400 15,025
Carolina Power & Light Company 100 4,281
CMS Energy Corporation 100 4,188
Consolidated Edison, Inc. 500 22,625
DTE Energy Company 400 16,000
Duke Energy Corporation 500 27,188
Edison International 1,100 29,425
Entergy Corporation 700 21,875
FirstEnergy Corporation 900 27,900
Florida Progress Corporation 200 8,262
FPL Group, Inc. 200 10,925
GPU, Inc. 400 16,875
Niagara Mohawk Holdings, Inc.* 1,500 24,094
Pacificorp 100 1,837
Peco Energy Company 100 4,206
PG&E Corporation 600 19,500
PP&L Resources, Inc. 700 21,525
Public Service Enterprise
Group, Inc. 500 20,438
Reliant Energy, Inc. 700 19,337
Southern Company 1,300 34,450
Texas Utilities Company 300 12,375
Unicom Corporation 600 23,138
--------
385,469
ELECTRICAL EQUIPMENT - 3.0%
Emerson Electric Company 300 18,862
General Electric Company(6) 2,900 327,700
Honeywell, Inc. 100 11,587
Rockwell International Company 100 6,075
Solectron Corporation* 300 20,006
--------
384,230
ELECTRONICS - DEFENSE - 0.2%
Advanced Micro Devices, Inc.* 300 5,419
Raytheon Company (Cl. B) 200 14,075
--------
19,494
ELECTRONICS - INSTRUMENTATION - 0.1%
EG & G, Inc. 200 7,125
49 SEE ACCOMPANYING NOTES.
<PAGE>
SCHEDULE OF INVESTMENTS
JUNE 30, 1999
(UNAUDITED)
SERIES H (ENHANCED INDEX)(CONTINUED)
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
- --------------------------------------------------------------------------------
ELECTRONICS - SEMICONDUCTORS - 1.8%
Intel Corporation6 2,600 $154,700
LSI Logic Corporation* 300 13,838
Micron Technology, Inc.* 300 12,094
National Semiconductor
Corporation* 400 10,125
Texas Instruments, Inc. 300 43,500
--------
234,257
ENGINEERING & CONSTRUCTION - 0.5%
Avondale Industries, Inc.* 1,500 58,500
ENTERTAINMENT - 1.1%
King World Productions, Inc.* 400 13,925
Time Warner, Inc. 1,100 79,200
Walt Disney Company 1,400 43,138
--------
136,263
EQUIPMENT - SEMICONDUCTORS - 0.4%
Applied Materials, Inc.* 700 51,712
FINANCIAL - DIVERSE - 3.4%
American Express Company 500 65,063
American General Corporation 200 15,075
Associates First Capital Corporation 600 26,588
Citigroup, Inc.(6) 3,500 166,250
Fannie Mae 900 61,537
Freddie Mac 600 34,800
H & R Block, Inc. 100 5,000
Morgan Stanley Dean Witter
& Company 600 61,500
SLM Holding Corporation 100 4,581
--------
440,394
FOODS - 0.7%
Bestfoods 100 4,950
Conagra, Inc. 300 7,987
General Mills, Inc. 100 8,038
Heinz (H.J.) Company 200 10,025
Nabisco Group Holdings
Corporation 300 5,869
Quaker Oats Company 100 6,637
Ralston Purina Group 100 3,044
Sara Lee Corporation 400 9,075
Unilever NY 500 34,875
--------
90,500
FOOTWEAR - 0.1%
Nike, Inc. (Cl. B) 200 12,662
Reebok International, Ltd.* 200 3,725
--------
16,387
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
- --------------------------------------------------------------------------------
GAMING & LOTTERY - 0.1%
Harrah's Entertainment, Inc.* 200 $ 4,400
Mirage Resorts, Inc.* 400 6,700
--------
11,100
GOLD & PRECIOUS METALS MINING - 0.0%
Barrick Gold Corporation 200 3,875
HEALTH CARE - DIVERSE - 2.9%
Abbott Laboratories 1,300 59,150
American Home Products
Corporation 1,200 69,000
Bristol-Myers Squibb Company(6) 1,800 126,788
Johnson & Johnson 1,200 117,600
--------
372,538
HEALTH CARE - LONG TERM CARE - 0.0%
HEALTHSOUTH Corporation* 200 2,987
HEALTH CARE - MANAGED CARE - 0.1%
Humana, Inc.* 200 2,587
United Healthcare Corporation 100 6,263
Wellpoint Health Networks, Inc.* 100 8,488
--------
17,338
HEALTH CARE - SPECIALIZED SERVICES - 0.6%
Alza Corporation* 200 10,175
VWR Scientific Products Corporation* 1,800 66,038
--------
76,213
HOMEBUILDING - 0.3%
Centex Corporation* 600 22,537
PPG Industries, Inc. 100 5,906
Pulte Corporation 500 11,563
--------
40,006
HOUSEHOLD FURNISHINGS & APPLIANCES - 0.3%
Maytag Corporation 200 13,937
Whirlpool Corporation 400 29,600
--------
43,537
HOUSEHOLD PRODUCTS - 1.5%
Clorox Company 100 10,681
Colgate-Palmolive Company 300 29,625
Kimberly-Clark Corporation 400 22,800
Newall Rubbermaid, Inc. 400 18,600
Procter & Gamble Company(6) 1,200 107,100
--------
188,806
INSURANCE - BROKERS - 0.2%
AON Corporation 100 4,125
Marsh & McLennan Companies, Inc. 200 15,100
--------
19,225
50 SEE ACCOMPANYING NOTES.
<PAGE>
SCHEDULE OF INVESTMENTS
JUNE 30, 1999
(UNAUDITED)
SERIES H (ENHANCED INDEX)(CONTINUED)
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
- --------------------------------------------------------------------------------
INSURANCE - LIFE & HEALTH - 0.2%
AFLAC, Inc. 200 $ 9,575
Lincoln National Corporation 200 10,463
TransAmerica Corporation 100 7,500
--------
27,538
INSURANCE - MULTILINE - 1.2%
American International
Group, Inc.(6) 1,200 140,475
Cigna Corporation 100 8,900
Hartford Financial Services
Group, Inc. 100 5,831
--------
155,206
INSURANCE - PROPERTY & CASUALTY - 0.3%
Allstate Corporation 400 14,350
Cincinnati Financial Corporation 100 3,756
Executive Risk, Inc. 100 8,506
St. Paul Companies, Inc. 200 6,363
--------
32,975
INVESTMENT BANK/BROKERAGE - 0.9%
Bear Stearns Companies, Inc. 500 23,375
Merrill Lynch & Company, Inc. 300 23,981
Paine Webber Group, Inc. 500 23,375
Schwab (Charles) Corporation 400 43,950
--------
114,681
IRON & STEEL - 0.2%
Bethlehem Steel Corporation* 2,100 16,144
Worthington Industries, Inc. 500 8,219
--------
24,363
LEISURE TIME - 0.0%
Mattel, Inc. 200 5,287
LODGING - HOTELS - 0.2%
Carnival Corporation (Cl. A) 500 24,250
Marriott International, Inc. (Cl. A) 100 3,737
--------
27,987
MACHINERY - DIVERSE - 1.0%
Briggs & Stratton 300 17,325
Case Corporation 1,400 67,375
Caterpillar, Inc. 500 30,000
Dover Corporation 100 3,825
Ingersoll-Rand Company 100 6,462
Timken Company 100 1,950
--------
126,937
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
- --------------------------------------------------------------------------------
MANUFACTURING - DIVERSIFIED - 1.4%
AlliedSignal, Inc. 400 $ 25,200
Corning, Inc. 100 7,012
Illinois Tool Works, Inc. 200 16,400
ITT Industries, Inc. 100 3,813
Tenneco, Inc. 200 4,775
Textron, Inc. 300 24,694
Tyco International, Ltd. 700 66,325
United Technologies Corporation 500 35,844
--------
184,063
MANUFACTURING - SPECIALIZED - 0.1%
CBS Corporation* 400 17,375
MEDICAL PRODUCTS & SUPPLIES - 0.8%
Baxter International, Inc. 200 12,125
Becton, Dickinson & Company 100 3,000
Boston Scientific Corporation* 800 35,150
Guidant Corporation 200 10,288
Medtronic, Inc. 500 38,937
St. Jude Medical, Inc.* 200 7,125
--------
106,625
METALS & MINING - 0.0%
Phelps Dodge Corporation 100 6,194
NATURAL GAS - 0.6%
Coastal Corporation 500 20,000
Enron Corporation 300 24,525
NICOR, Inc. 200 7,613
Sempra Energy 200 4,525
Sonat, Inc. 100 3,312
Williams Companies, Inc. 300 12,769
--------
72,744
OFFICE EQUIPMENT & SUPPLIES - 0.1%
Pitney Bowes, Inc. 200 12,850
OIL - DOMESTIC - 0.2%
Atlantic Richfield Company 100 8,356
Occidental Petroleum Corporation 200 4,225
Phillips Petroleum Company 200 10,062
USX-Marathon Group 200 6,512
--------
29,155
OIL - INTERNATIONAL - 3.5%
Chevron Corporation 800 76,150
Exxon Corporation(6) 2,300 177,388
Mobil Corporation 700 69,300
Royal Dutch Petroleum
Company ADR6 1,800 108,450
Texaco, Inc. 400 25,000
--------
456,288
51 SEE ACCOMPANYING NOTES.
<PAGE>
SCHEDULE OF INVESTMENTS
JUNE 30, 1999
(UNAUDITED)
SERIES H (ENHANCED INDEX)(CONTINUED)
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
- --------------------------------------------------------------------------------
OIL & GAS - DRILLING & EQUIPMENT - 0.1%
Halliburton Company 300 $ 13,575
OIL & GAS - EXPLORATION & PRODUCTION - 0.1%
Kerr-McGee Corporation 200 10,038
Unocal Corporation 100 3,963
--------
14,001
OIL & GAS - REFINING & MARKETING - 0.1%
Ashland, Inc. 200 8,025
PAPER & FOREST PRODUCTS - 0.4%
International Paper Company 200 10,100
Potlatch Corporation 400 17,575
Westvaco Corporation 100 2,900
Weyerhaeuser Company 400 27,500
--------
58,075
PERSONAL CARE - 0.2%
Avon Products, Inc. 100 5,550
Gillette Company 400 16,400
--------
21,950
PHARMACEUTICALS - 3.7%
Eli Lilly & Company 900 64,462
Merck & Company, Inc.(6) 2,100 155,400
Pfizer, Inc.6 1,200 131,700
Pharmacia & Upjohn, Inc. 300 17,044
Schering-Plough Corporation 1,200 63,600
Warner-Lambert Company 700 48,563
Watson Pharmaceuticals, Inc.* 100 3,506
--------
484,275
PHOTOGRAPHY/IMAGING - 0.4%
Eastman Kodak Company 400 27,100
Xerox Corporation 500 29,531
--------
56,631
PUBLISHING - 0.3%
Deluxe Corporation 600 23,362
Knight-Ridder, Inc. 200 10,987
McGraw-Hill Companies, Inc. 100 5,394
R.R. Donnelley & Sons Company 100 3,706
--------
43,449
PUBLISHING - NEWSPAPER - 0.1%
Gannett Company, Inc. 200 14,275
RAILROADS - 0.2%
Burlington Northern Sante Fe
Corporation 300 9,300
CSX Corporation 100 4,531
Norfolk Southern Corporation 300 9,038
Union Pacific Corporation 100 5,831
--------
28,700
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
- --------------------------------------------------------------------------------
RESTAURANTS - 0.4%
Darden Restaurants, Inc. 100 $ 2,181
McDonald's Corporation 1,100 45,444
Tricon Global Restaurants, Inc.* 200 10,825
--------
58,450
RETAIL - APPAREL - 0.4%
Gap, Inc. 750 37,781
TJX Companies, Inc. 200 6,663
The Limited, Inc. 96 4,356
--------
48,800
RETAIL - BUILDING SUPPLIES - 1.0%
Home Depot, Inc. 1,700 109,544
Lowe's Companies, Inc. 400 22,675
--------
132,219
RETAIL - DEPARTMENT STORES - 0.7%
Dillard's, Inc. 100 3,512
Federated Department Stores, Inc.* 300 15,881
J.C. Penney Company, Inc. 500 24,281
Kohl's Corporation* 400 30,875
May Department Stores Company 300 12,263
Nordstrom, Inc. 100 3,350
--------
90,162
RETAIL - DRUG STORES - 0.3%
CVS Corporation 300 15,338
Rite Aid Corporation 100 2,462
Walgreen Company 700 20,563
--------
38,363
RETAIL - FOOD CHAINS - 0.5%
Albertson's, Inc. 163 8,405
Great Atlantic & Pacific Tea
Company, Inc. 300 10,144
Kroger Company* 1,000 27,938
Safeway, Inc.* 500 24,750
--------
71,237
RETAIL - GENERAL MERCHANDISE - 2.1%
Consolidated Stores Corporation* 100 2,700
Costco Companies, Inc.* 300 24,019
Dayton Hudson Corporation 300 19,500
Dollar General Corporation 200 5,800
Kmart Corporation* 400 6,575
Wal-Mart Stores, Inc.(6) 4,400 212,300
--------
270,894
52 SEE ACCOMPANYING NOTES.
<PAGE>
SCHEDULE OF INVESTMENTS
JUNE 30, 1999
(UNAUDITED)
SERIES H (ENHANCED INDEX)(CONTINUED)
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
- --------------------------------------------------------------------------------
RETAIL - SPECIALTY - 0.5%
Autozone, Inc.* 300 $ 9,037
Circuit City Stores - Circuit City
Group 300 27,900
Office Depot, Inc.* 500 11,031
Staples, Inc.* 400 12,375
--------
60,343
SAVINGS & LOANS - 0.1%
Washington Mutual, Inc. 400 14,150
SERVICES - ADVERTISING & MARKETING - 0.1%
Interpublic Group of Companies, Inc. 100 8,662
Omnicom Group, Inc. 100 8,000
--------
16,662
SERVICES - COMMERCIAL & CONSUMER - 0.1%
IMS Health, Inc. 200 6,250
Laidlaw, Inc. 100 738
--------
6,988
SERVICES - DATA PROCESSING - 0.7%
Automatic Data Processing, Inc. 500 22,000
Ceridian Corporation* 300 9,806
Electronic Data Systems
Corporation 400 22,625
First Data Corporation 300 14,681
Paychex, Inc. 850 27,094
--------
96,206
TELECOMMUNICATION - CELLULAR - 0.2%
Nextel Communications, Inc. (Cl. A)* 400 20,075
Sprint Corporation (PSC Group)* 200 11,425
--------
31,500
TELECOMMUNICATION - LONG DISTANCE - 2.9%
AT&T Corporation 2,300 128,369
MCI WorldCom, Inc.*(6) 1,700 146,625
Sprint Corporation (Fon Group) 800 42,250
Vodafone Airtouch PLC ADR 300 59,100
--------
376,344
TELEPHONE - 3.5%
Aliant Communications, Inc. 200 9,237
Ameritech Corporation 900 66,150
Bell Atlantic Corporation 1,300 84,987
BellSouth Corporation 1,700 79,687
Centurytel, Inc. 100 3,975
Frontier Corporation 200 11,800
GTE Corporation 900 68,119
SBC Communications, Inc. 1,700 98,600
U S West, Inc. 500 29,375
-------
451,930
PRINCIPAL
AMOUNT OR
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
- --------------------------------------------------------------------------------
TEXTILES - APPAREL - 1.0%
Fruit of the Loom, Inc. (Cl. A)* 400 $ 3,900
St. John Knits, Inc. 4,200 122,850
-----------
126,750
TEXTILES - HOME FURNISHINGS - 0.1%
Spring Industries, Inc. (Cl. A) 200 8,725
TIRE & RUBBER PRODUCTS - 0.1%
Goodyear Tire & Rubber Company 300 17,644
TOBACCO - 1.0%
Philip Morris Companies, Inc. 2,700 108,506
R.J. Reynolds Tobacco Holdings, Inc.* 1 32
UST, Inc. 800 23,400
-----------
131,938
TRUCKING - 0.2%
FDX Corporation* 500 27,125
TRUCKING PARTS & SUPPLIES - 0.1%
Navistar International Corporation* 200 10,000
WASTE MANAGEMENT - 1.5%
Browning-Ferris Industries, Inc.(6) 3,800 163,400
Waste Management, Inc. 500 26,875
-----------
190,275
-----------
Total common stocks - 81.8% 10,624,109
U.S. GOVERNMENT & AGENCIES
U.S. TREASURY - 1.4%
U.S. Treasury Bill,
4.48% - 8/19/99(6) $ 180,000 178,918
-----------
Total investments - 83.2% 10,803,027
Cash and other assets,
less liabilities - 16.8% 2,188,297
-----------
Total net assets - 100.0% $12,991,324
===========
53 SEE ACCOMPANYING NOTES.
<PAGE>
SCHEDULE OF INVESTMENTS
JUNE 30, 1999
(UNAUDITED)
SERIES I (INTERNATIONAL)
NUMBER MARKET
COMMON STOCKS OF SHARES VALUE
- --------------------------------------------------------------------------------
AUSTRALIA - 2.7%
Brambles Industries, Ltd. 1,800 $ 47,419
Cable & Wireless Optus, Ltd.* 5,200 11,840
Tabcorp Holdings, Ltd. 3,600 24,257
Westpac Banking Corporation, Ltd. 5,300 34,379
WMC, Ltd. 6,000 25,774
-----------
143,669
AUSTRIA - 0.7%
Erste Bank der oesterreichischen
Sparkassen AG 700 39,915
BERMUDA - 0.5%
Global Crossing, Ltd.* 600 25,537
BOTSWANA - 0.2%
Sechaba Breweries, Ltd. 11,000 12,587
BRAZIL - 0.8%
Petroleo Brasileiro S.A. ADR 1,500 22,410
Telecomunicacoes Brasilerias
S.A. ADR 200 18,038
-----------
40,448
CANADA - 4.2%
BCE Emergis, Inc.* 420 10,939
Nortel Networks Corporation 1,500 127,694
Rogers Communications, Inc.(Cl. B)* 1,930 30,839
Toronto-Dominion Bank 1,200 54,118
-----------
223,590
FINLAND - 1.2%
Nokia Oyj ADR (Cl. A) 300 27,469
Stora Enso Oyj 2,300 24,669
UPM-Kymmene Oyj 400 11,468
-----------
63,606
FRANCE - 13.0%
Axa 500 61,001
Banque Nationale de Paris 410 34,165
Canal Plus 280 78,573
Carrefour S.A 322 47,321
Elf Aquitaine S.A 300 44,026
Danone S.A 100 25,783
Seita 700 40,427
Societe Generale - (Cl. A) 300 52,875
Societe Generale d'Enterprises S.A 1,100 53,318
Suez Lyonnaise des Eaux 400 72,150
Total Fina S.A. (Cl. B) 700 90,311
Union du Credit-Bail Immobilier 300 38,395
Vivendi 654 52,980
-----------
691,325
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
- --------------------------------------------------------------------------------
GERMANY - 7.5%
DaimlerChrysler AG* 570 $ 49,379
Deutsche Telekom AG 800 33,579
Hoechst AG 1,400 63,095
HypoVereinsbank 860 55,876
Intershop Communications AG* 100 24,081
Linde AG 46 27,562
Mannesmann AG 500 74,615
Metro AG 700 43,459
Software AG* 459 14,674
Stinnes AG* 710 11,056
--------
397,376
GREECE - 0.3%
Hellenic Telecommunications
Organization S.A 400 8,574
Panafon Hellenic Telecom S.A.* 400 9,647
--------
18,221
HONG KONG - 2.4%
China Telecom (Hong Kong), Ltd.* 14,000 38,884
Cosco Pacific, Ltd. 22,000 18,289
First Pacific Company, Ltd. 22,000 18,714
Hutchison Whampoa, Ltd. 2,000 18,108
New World Infrastructure, Ltd.* 8,600 16,183
Wharf Holdings, Ltd. 5,000 15,595
--------
125,773
INDONESIA - 1.1%
PT Hanjaya Mandala Sampoerna TBK* 6,600 15,146
PT Indah Kiat Pulp & Paper
Corporation TBK* 29,000 13,478
PT Telekomunikasi Indonesia 53,460 31,059
--------
59,683
IRELAND - 2.3%
Bank of Ireland 3,270 54,969
CRH PLC 3,700 65,632
--------
120,601
ITALY - 6.2%
Assicurazioni Generali 1,600 55,443
Banca Monte dei Paschi di Siena SpA* 2,700 12,062
Banca Popolare di Bergamo
Credito Varesino SpA 1,430 31,412
Banca Popolare di Milano 4,000 30,898
Banco Commerciale Italiana 6,500 47,461
Seat Pagine Gialle SpA 20,400 27,876
Telecom Italia SpA 7,270 75,575
Unicredito Italiano SpA 11,400 50,084
--------
330,811
54 SEE ACCOMPANYING NOTES.
<PAGE>
SCHEDULE OF INVESTMENTS
JUNE 30, 1999
(UNAUDITED)
SERIES I (INTERNATIONAL)(CONTINUED)
NUMBER MARKET
COMMON STOCKS OF SHARES VALUE
- --------------------------------------------------------------------------------
JAPAN - 9.9%
Bridgestone Corporation 1,000 $ 30,238
Canon, Inc. 1,000 28,751
Fuji Heavy Industries, Ltd. 9,000 69,448
Fujitsu, Ltd. 4,000 80,469
Murata Manufacturing
Company, Ltd. 1,000 65,763
Nippon Telegraph & Telephone
Corporation 4 46,596
NTT Mobile Communications
Network, Inc. 4 54,197
Sanrio Company, Ltd. 1,000 34,038
Softbank Corporation 100 20,250
Suzuki Motor Company 1,000 15,904
Takeda Chemical Industries 900 41,714
Yamanouchi Pharmaceutical
Company, Ltd. 1,000 38,252
--------
525,620
MEXICO - 1.3%
Grupo Financiero Bancomer
S.A. de C.V. (Cl. O) 65,300 23,499
Grupo Televisa S.A. GDR* 700 31,369
Telefonos de Mexico S.A. ADR 200 16,162
--------
71,030
NETHERLANDS - 8.0%
ASM Lithography Holding N.V.* 570 32,978
Benckiser N.V. (Cl. B) 700 37,359
Equant N.V.* 800 73,759
Ing Groep N.V 1,200 64,972
Koninklijke (Royal) Philips
Electronics N.V 460 45,376
Koninklijke Ahold N.V 1,900 65,446
Libertel N.V.* 1,050 20,574
Nutreco Holding N.V 1,100 39,024
United Pan-Europe
Communications N.V.* 550 29,836
Vedior N.V 1,110 18,888
--------
428,212
POLAND - 0.3%
Telekomunikacja Polska S.A. GDR 2,400 16,822
PORTUGAL - 1.1%
Banco Comercial Portugues S.A 1,210 31,359
BPI-SGPS S.A 1,304 27,367
--------
58,726
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
- --------------------------------------------------------------------------------
SINGAPORE - 1.5%
Natsteel Electronics, Ltd. 5,400 $ 23,630
Oversea-Chinese Banking
Corporation, Ltd. 4,500 37,533
Wing Tai Holdings, Ltd. 16,000 21,145
--------
82,308
SOUTH KOREA - 1.3%
Korea Electric Power Corporation ADR 1,300 26,650
Korea Telecom Corporation ADR* 500 20,000
Shinhan Bank GDR* 1,000 22,300
--------
68,950
SPAIN - 5.2%
Argentaria, Caja Postal y Banco
Hipotecario de Espana S.A 2,500 56,953
Banco Santander Central
Hispano S.A 3,412 35,540
Fomento de Construcciones y
Contratas S.A 1,300 74,408
Repsol S.A 2,110 43,086
Telefonia Publicidad e
Informacion S.A.* 200 3,991
Telefonica S.A 1,290 62,142
--------
276,120
SWEDEN - 4.9%
Atlas Copco AB (Cl. A) 1,600 43,566
Electrolux AB (Cl. B) 3,300 69,090
S.K.F. AB (Cl. B) 740 13,665
Sandvik AB (Cl. B) 1,590 35,159
Skandinaviska Enskilda
Banken (Cl .A) 4,200 48,906
Svenska Cellulosa AB (Cl. B) 500 12,938
Telefonaktiebolaget
LM Ericsson (Cl. B) 1,210 38,782
----------
262,106
SWITZERLAND - 2.8%
ABB Ltd.* 324 30,551
UBS AG 200 59,694
Zurich Allied AG 100 56,864
----------
147,109
TURKEY - 0.3%
Akbank T.A.S 526,900 7,741
Haci Omer Sabanci Holding AS 456,200 10,161
----------
17,902
55 SEE ACCOMPANYING NOTES.
<PAGE>
SCHEDULE OF INVESTMENTS
JUNE 30, 1999
(UNAUDITED)
SERIES I (INTERNATIONAL)(CONTINUED)
NUMBER MARKET
COMMON STOCKS OF SHARES VALUE
- --------------------------------------------------------------------------------
UNITED KINGDOM - 15.7%
Barclays PLC 2,000 $ 58,292
BP Amoco PLC ADR 500 54,250
British Land Company PLC 6,140 50,764
British Telecommunications PLC 2,440 40,769
Colt Telecom Group PLC* 3,330 69,918
Compass Group PLC 4,170 41,312
Glaxo Wellcome PLC 1,530 42,495
Hanson PLC 2,560 22,437
Invensys PLC 12,812 60,688
Marks & Spencer PLC 5,340 31,060
Next PLC 2,070 25,157
Orange PLC* 2,750 40,444
Pearson PLC 1,750 35,392
Peninsular & Oriental Steam
Navigation Company 3,120 46,869
Railtrack Group PLC 2,130 43,446
Sema Group PLC 3,460 33,351
Shell Transport & Trading Company 6,800 50,968
Telewest Communications PLC* 3,600 16,059
Vodafone AirTouch PLC 3,630 71,754
----------
835,425
UNITED STATES - 1.4%
Global Telesystems Group, Inc.* 700 56,700
MIH, Ltd.* 700 18,550
----------
75,250
----------
Total common stocks - 96.8% 5,158,722
----------
Cash and other assets,
less liabilities - 3.2% 171,322
----------
Total net assets - 100.0% $5,330,044
==========
INVESTMENT CONCENTRATION
At June 30, 1999, Series I's investment concentration, by industry, was as
follows:
Advertising 0.1%
Appliances 1.3%
Automobiles 2.5%
Banks & Credit 17.7%
Beverages 0.2%
Broadcast Media 2.4%
Building & Construction 5.7%
Chemicals 1.2%
Computer Software 1.9%
INVESTMENT CONCENTRATION (CONTINUED)
- --------------------------------------------------------------------------------
Computer Systems 3.5%
Electric Utilities 0.5%
Electronics 2.5%
Engineering 1.1%
Entertainment 1.1%
Financial Services 1.5%
Food Processing 2.0%
Food Wholesalers 1.2%
Household Products 0.7%
Industrial Services 1.0%
Insurance 3.3%
Machinery 1.4%
Manufacturing 2.6%
Medical 0.8%
Metals & Minerals 0.8%
Office Equipment 0.5%
Oil 5.7%
Paper & Forest Products 1.2%
Pharmaceuticals 1.5%
Publishing 0.5%
Real Estate Development 2.4%
Retail 2.8%
Services 0.7%
Telecommunications 19.5%
Tire & Rubber 0.6%
Tobacco 1.0%
Toys & Sporting Goods 0.6%
Transportation 2.8%
Cash and other assets, less liabilities 3.2%
----------
Total net assets 100.0%
==========
SERIES J (MID CAP)
NUMBER MARKET
COMMON STOCKS OF SHARES VALUE
- --------------------------------------------------------------------------------
BANKS - MAJOR REGIONAL - 3.2%
BankBoston Corporation 64,300 $ 3,287,338
Northern Trust Corporation 60,000 5,820,000
-----------
9,107,338
CHEMICALS - BASIC - 0.9%
Great Lakes Chemical Corporation 59,300 2,731,506
COMMUNICATION EQUIPMENT - 8.1%
Comverse Technology, Inc.* 300,000 22,650,000
Transcrypt International, Inc.* 419,700 577,088
-----------
23,227,088
56 SEE ACCOMPANYING NOTES.
<PAGE>
SCHEDULE OF INVESTMENTS
JUNE 30, 1999
(UNAUDITED)
SERIES J (MID CAP)(CONITNUED)
NUMBER MARKET
COMMON STOCKS(CONTINUED) OF SHARES VALUE
- --------------------------------------------------------------------------------
COMPUTER SOFTWARE/SERVICES -18.7%
American Management
Systems, Inc.* 140,000 $ 4,488,750
Aspect Development, Inc.* 92,000 1,702,000
AXENT Technologies, Inc.* 326,000 3,626,750
Computer Sciences Corporation* 88,000 6,088,500
DST Systems, Inc.* 45,700 2,873,387
Electronic Processing, Inc.* 90,000 933,750
Harbinger Corporation* 270,000 3,375,000
HNC Software, Inc.* 89,100 2,745,394
Rational Software Corporation* 372,000 12,252,750
Safeguard Scientifics, Inc.* 113,000 7,006,000
Sterling Commerce, Inc.* 60,000 2,190,000
VERITAS Software Corporation* 70,000 6,645,625
-----------
53,927,906
ELECTRICAL EQUIPMENT - 2.3%
Maxwell Technologies, Inc.* 280,600 6,751,937
ELECTRONIC EQUIPMENT - 2.5%
Lernout & Hauspie Speech
Products N.V.* 200,000 7,087,500
ELECTRONICS - INSTRUMENTATION - 5.3%
EG&G, Inc. 120,000 4,275,000
PE Corp - PE Biosystems Group 60,000 6,885,000
Sawtek, Inc.* 92,000 4,220,500
-----------
15,380,500
ELECTRONICS - SEMICONDUCTORS - 3.0%
S3, Inc.* 298,000 2,709,937
Uniphase Corporation* 36,000 5,976,000
-----------
8,685,937
ENTERTAINMENT - 2.2%
Cinar Corporation (Cl. B)* 112,300 2,751,350
Metromedia International Group, Inc.* 467,000 3,502,500
-----------
6,253,850
HEALTH CARE - BIOTECHNOLOGY - 4.3%
Celera Genomics* 90,000 1,456,875
Ligand Pharmaceuticals, Inc. (Cl. B)* 458,000 5,095,250
Millennium Pharmaceuticals, Inc.* 150,000 5,400,000
Trimeris, Inc.* 29,200 423,400
-----------
12,375,525
HEALTH CARE - MANAGED CARE - 1.0%
United Healthcare Corporation 44,000 2,755,500
Health Care - Specialized Services - 1.9%
Cryolife, Inc.* 93,000 1,139,250
Shire Pharmaceuticals Group, PLC* 169,000 4,394,000
-----------
5,533,250
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
- --------------------------------------------------------------------------------
HOSPITAL MANAGEMENT - 0.8%
Quorum Health Group, Inc.* 181,400 $ 2,278,838
Insurance - Life/Health - 4.5%
AFLAC, Inc. 210,000 10,053,750
UNUM Corporation 55,000 3,011,250
-----------
13,065,000
INSURANCE - PROPERTY & CASUALTY - 1.1%
Horace Mann Educators Corporation 114,000 3,099,375
Leisure Time Products - 1.5%
Hasbro, Inc. 156,000 4,358,250
Manufacturing - Specialized - 1.1%
Catalytica, Inc.* 228,000 3,192,000
MEDICAL PRODUCTS & SUPPLIES - 3.6%
CLOSURE Medical Corporation* 177,000 5,310,000
Stryker Corporation 58,000 3,487,250
Sunrise Medical, Inc.* 220,000 1,567,500
-----------
10,364,750
OIL - INTERNATIONAL - 1.7%
Tesoro Petroleum Corporation* 315,100 5,021,906
OIL & GAS - DRILLING & EQUIPMENT - 3.0%
ENSCO International, Inc. 186,000 3,708,375
Nabors Industries, Inc.* 140,000 3,421,250
Transocean Offshore, Inc. 60,000 1,575,000
-----------
8,704,625
OIL & GAS - EXPLORATION & PRODUCTION - 7.2%
Anadarko Petroleum Corporation 188,000 6,920,750
Apache Corporation 200,000 7,800,000
Burlington Resources, Inc. 140,000 6,055,000
-----------
20,775,750
PHARMACEUTICALS - 6.7%
Dura Pharmaceuticals, Inc.* 247,000 2,948,562
Mylan Laboratories, Inc. 348,700 9,240,550
Teva Pharmaceutical
Industries, Ltd. ADR 145,000 7,105,000
-----------
19,294,112
PUBLISHING - NEWSPAPER - 1.5%
E.W. Scripps Company (Cl. A) 91,000 4,328,188
RESTAURANTS - 1.1%
Cheesecake Factory, Inc.* 106,500 3,248,250
RETAIL - GENERAL MERCHANDISE - 1.5%
Dollar Tree Stores, Inc.* 101,250 4,455,000
RETAIL - SPECIALTY - 0.2%
Keystone Automotive Industries, Inc.* 25,000 434,375
57 SEE ACCOMPANYING NOTES.
<PAGE>
SCHEDULE OF INVESTMENTS
JUNE 30, 1999
(UNAUDITED)
SERIES J (MID CAP)(CONITNUED)
PRINCIPAL
AMOUNT OR
NUMBER MARKET
COMMON STOCKS(CONTINUED) OF SHARES VALUE
- --------------------------------------------------------------------------------
SERVICES - ADVERTISING & MARKETING - 3.2%
Acxiom Corporation* 220,000 $ 5,486,250
True North Communications, Inc. 120,000 3,600,000
-----------
9,086,250
SERVICES - COMMERCIAL & CONSUMER - 3.2%
Angelica Corporation 180,300 3,177,788
Cerner Corporation* 255,000 5,347,031
FTI Consulting, Inc.* 143,300 752,325
---------
9,277,144
SERVICES - COMPUTER SYSTEMS - 2.4%
Comdisco, Inc. 110,000 2,818,750
Complete Business Solutions, Inc.* 225,000 4,035,938
------------
6,854,688
TRANSPORTATION - 1.7%
Expeditors International of
Washington, Inc. 180,000 4,905,000
------------
Total common stocks - 99.4% 286,561,338
Cash and other assets,
less liabilities - 0.6% 1,724,149
------------
Total net assets - 100.0% $288,285,487
============
SERIES K (GLOBAL STRATEGIC INCOME)
CORPORATE BONDS
AIRLINES - 0.4%
Airtran Airlines, Inc.,
10.5% - 2001(6) $ 50,000 $ 48,625
AUTOMOTIVE - 1.6%
Accuride Corporation,
9.25% - 20086 50,000 47,875
Exide Corporation, 10% - 2005(6) 50,000 49,750
Federal Mogul Corporation,
7.25% - 2009(6) 50,000 46,187
Hayes Lemmerz International, Inc.,
8.25% - 2008(6) 50,000 47,125
------------
190,937
PRINCIPAL MARKET
CORPORATE BONDS(CONTINUED) AMNOUNT VALUE
- --------------------------------------------------------------------------------
BASIC INDUSTRY - 3.7%
Corning Consumer Product,
9.625% - 2008(6) $ 50,000 $ 45,438
Doman Industries Ltd.,
8.75% - 2004(6) 50,000 32,375
12.00% - 2004(6) 25,000 24,062
Fairfield Manufacturing
Company, Inc., 9.625% - 2008(6) 50,000 49,813
Grove Worldwide LLC/CAPL,
9.25% 2008(6) 50,000 42,875
Huntsman ICI Chemicals,
10.125% - 2009(6) 40,000 40,100
Integrated Circuit Systems,
11.5% - 2009(6) 50,000 50,000
Numatics, Inc., 9.625% - 2008(6) 50,000 45,312
Roller Bearing Company of
America, 9.625% - 2007(6) 50,000 47,375
Sweethart Cup Company, Inc.,
9.625% - 2000(6) 50,000 48,625
Vlasic Foods International, Inc.,
10.25% - 2009(6) 25,000 24,625
------------
450,600
BUILDING MATERIALS - 0.4%
Nortek, Inc., 9.25% - 2007(6) 50,000 50,125
CAPITAL GOODS - 2.2%
Advanced Micro Devices,
11% - 2003(6) 50,000 51,000
Amkor Technologies, Inc.,
9.25% - 2006(6) 50,000 48,562
Anthony Crane Rental LP,
10.375% - 2008(6) 50,000 50,188
Clark Material Handling,
10.75% - 2006(6) 50,000 44,375
Fonda Group, Inc., 9.25% - 2007(6) 25,000 21,750
Polaroid Corporation,
11.5% - 2006(6) 50,000 52,375
------------
268,250
CHEMICALS - 0.8%
Lyondell Chemical Company,
9.625% - 2007(6) 15,000 15,375
10.875% - 2009(6) 25,000 26,000
Sovereign Specialty Chemicals,
9.5% - 2007(6) 25,000 25,594
Terra Industries, 10.5% - 2005(6) 30,000 30,112
------------
97,081
58 SEE ACCOMPANYING NOTES.
<PAGE>
SCHEDULE OF INVESTMENTS
JUNE 30, 1999
(UNAUDITED)
SERIES K (GLOBAL STRATEGIC INCOME)(CONTINUED)
PRINCIPAL MARKET
CORPORATE BONDS(CONTINUED) AMOUNT VALUE
- --------------------------------------------------------------------------------
COMMUNICATIONS - 1.1%
Alaska Communications Systems,
9.375% - 2009(6) $ 40,000 $ 39,100
American Media Operation,
10.25% - 2009(6) 25,000 25,031
Covad Communications Group,
13.5% - 2008(2,6) 50,000 27,188
Loral Space and Communications,
Ltd., 9.25% - 2006(6) 50,000 43,625
--------
134,944
CONSTRUCTION MACHINERY - 1.2%
Argo-Tech Corporation,
8.625% - 2007(6) 50,000 48,125
Bucyrus International,
9.75% - 2007(6) 50,000 48,687
Henry Company, 10.00% - 2008(6) 50,000 47,375
--------
144,187
CONSUMER CYCLICAL - OTHER - 0.4%
Gaylord Container Corporation,
9.375% - 2007(6) 50,000 46,375
CONSUMER NONCYCLICAL - OTHER - 2.0%
Crown Castle International
Corporation, 9.00% - 2011(6) 40,000 39,200
Deutsche BK CAP FDG TR 1,
7.872% - 2049(2,6) 100,000 96,254
Von Hoffman Press, Inc.,
10.375% - 2007(6) 50,000 51,375
World Color Press, Inc.,
8.375% - 2008(6) 50,000 48,750
--------
235,579
CONSUMER PRODUCTS - 0.7%
Bell Sports, Inc., 11.00% - 2008(6) 50,000 50,313
Chattem, Inc., 8.875% - 2008(6) 20,000 19,750
Purina Mills, Inc., 9.00% - 2010(6) 25,000 19,687
--------
89,750
ENERGY - OTHER - 0.4%
Zilog, Inc., 9.25% - 2005(6) 50,000 43,875
ENERGY - REFINING - 0.4%
Clark Refining & Marketing, Inc.,
8.375% - 2007(6) 30,000 27,637
8.625% - 2008(6) 20,000 18,925
--------
46,562
ENTERTAINMENT - 1.2%
LDM Technologies, Inc.,
10.75% - 2007(6) 50,000 51,625
Loews Cineplex Entertainment,
8.875% - 2008(6) 50,000 48,500
True Temper Sports, Inc.,
10.875% - 2008(6) 50,000 42,625
--------
142,750
PRINCIPAL MARKET
CORPORATE BONDS (CONTINUED) AMOUNT VALUE
- --------------------------------------------------------------------------------
FINANCE - OTHER - 4.7%
APP International Finance,
11.75% - 2005(6) $ 50,000 $ 39,125
BNP US Funding LLC,
7.738% - 2049(2,6) 100,000 95,875
Conseco Finance TR III,
8.796% - 2027(6) 100,000 91,250
Natexis AMBS Company LLC,
8.44% - 2049(2,6) 100,000 95,453
RBF Finance Company,
11.00% - 2006(6) 50,000 50,875
Socgen Real Estate LLC,
7.64% - 2049(2,6) 100,000 93,875
Sun Life Can, 8.526% - 2049(6) 100,000 99,625
--------
566,078
FOOD - 0.8%
Aurora Foods, Inc., 8.75% - 2008(6) 50,000 50,375
B&G Foods, Inc., 9.625% - 2007(6) 50,000 46,875
------
97,250
GAMING - 0.6%
AMC Entertainment, Inc.,
9.50% - 2011(6) 50,000 47,625
Hollywood Casino Corporation,
11.25% - 2007(6) 25,000 25,062
------
72,687
HEALTHCARE - 1.4%
Alaris Medical, Inc.,
11.125% - 2008(2,6) 50,000 27,438
DJ Orthopedics LLC,
12.625% - 2009(6) 25,000 24,500
Lifepoint Hospitals Holding,
10.75% - 2009(6) 15,000 15,262
Mediq, Inc. / PRN Life Sup,
11.00% - 2008(6) 50,000 39,625
Triad Hospitals Holdings,
11.00% - 2009(6) 40,000 40,700
Universal Hospital Services,
10.25% - 2008(6) 25,000 22,187
--------
169,712
HOME CONSTRUCTION - 1.2%
Beazer Homes USA, 8.875% - 2008(6) 50,000 47,875
Engle Homes, Inc., 9.25% - 2008(6) 50,000 48,500
Standard Pacific Corporation,
8.50% - 2009(6) 50,000 49,250
--------
145,625
INSURANCE - PROPERTY & CASUALTY - 0.8%
American Financial Group,
7.125% - 2009(6) 100,000 93,625
LODGING - 0.4%
John Q. Hammons Hotels,
8.875% - 2004(6) 50,000 46,500
59 SEE ACCOMPANYING NOTES.
<PAGE>
SCHEDULE OF INVESTMENTS
JUNE 30, 1999
(UNAUDITED)
SERIES K (GLOBAL STRATEGIC INCOME)(CONTINUED)
PRINCIPAL MARKET
CORPORATE BONDS(CONTINUED) AMOUNT VALUE
- --------------------------------------------------------------------------------
MEDIA - 1.8%
Adelphia Communications,
8.375% - 2008(6) $ 50,000 $ 49,500
Cablevision SA, 13.75% - 2009(6) 25,000 23,062
Charter Communications
Holdings LLC, 8.25% - 2007(6) 50,000 47,875
Echostar DBS Corporation,
9.375% - 2009(6) 50,000 51,000
Granite Broadcasting,
8.875% - 2008(6) 50,000 48,125
--------
219,562
METALS - 2.6%
Acetex Corporation, 9.75% - 2003(6) 50,000 46,875
Armco, Inc., 9.00% - 2007(6) 50,000 50,875
Bayou Steel Corporation,
9.50% - 2008(6) 50,000 48,875
Bulong Operations PTY,
12.5% - 2008(6) 20,000 20,150
Neenah Corporation,
11.125% - 2007(6) 50,000 49,438
Silgan Holdings, Inc., 9.00% - 2009(6) 75,000 76,688
Wells Aluminum Corporation,
10.125% - 2005(6) 15,000 14,775
--------
307,676
OIL FIELD SERVICES - 2.1%
Abraxas Petro / CN Abraxas,
11.50% - 2004(6) 50,000 31,375
Cross Timbers Oil Company,
9.25% - 2007(6) 50,000 49,625
Husky Oil, Ltd., 7.55% - 2016(6) 80,000 75,100
Pride Petroleum Services, Inc.,
9.375% - 2007(6) 50,000 49,625
Tuboscope, Inc., 7.50% - 2008(6) 50,000 43,875
--------
249,600
PACKAGING - 0.7%
Container Corporation of America,
10.75% - 2002(6) 50,000 52,750
Packaging Corporation of America,
9.625% - 2009(6) 35,000 35,263
--------
88,013
PAPER - 0.4%
Consumers International,
10.25% - 2005(6) 50,000 50,875
PHARMACEUTICALS - 0.2%
Duane Reade, Inc., 9.25% - 2008(6) 25,000 25,000
REAL ESTATE INVESTMENT TRUSTS - 0.8%
Avalonbay Communities,
6.625% - 2005(6) 100,000 96,000
PRINCIPAL
AMOUNT OR
NUMBER MARKET
CORPORATE BONDS (CONTINUED) OF SHARES VALUE
- --------------------------------------------------------------------------------
TECHNOLOGY - 1.0%
Exodus Communications,
11.25% - 2008(6) $ 25,000 $ 26,000
Fisher Scientific International,
9.00% - 2008(6) $ 50,000 47,375
Verio, Inc., 11.25% - 2008(6) $ 50,000 52,375
--------
125,750
TELECOMMUNICATIONS - 2.4%
BTI Telecom Corporation,
10.50% - 2007(6) $ 50,000 44,875
Fairchild Semiconductor,
10.375% - 2007(6) $ 50,000 49,500
Intermedia Communication,
11.25% - 2007(2,6) $ 50,000 35,688
Iridium LLC/Capital Corporation,
14.00% - 2005(6) $ 50,000 12,375
Optel, Inc., 11.50% - 2008(6) $ 50,000 42,375
RSL Communications PLC,
9.875% - 2009(6) $ 50,000 47,375
Teligent, Inc., 11.50% - 2007(6) $ 50,000 51,250
----------
283,438
TEXTILES - 1.2%
Pillowtex Corporation,
9.00% - 2007(6) $ 50,000 48,125
Simmons Company,
10.25% - 2009(6) $ 50,000 50,875
Westpoint Stevens, Inc.,
7.875% - 2008(6) $ 50,000 48,375
----------
147,375
TRANSPORTATION - 0.4%
Iron Mountain, Inc.,
8.25% - 2011(6) $ 50,000 48,500
YANKEE - 0.2%
Hermes Europe Railtel BV,
10.375% - 2009(6) $ 25,000 25,313
----------
Total corporate bonds - 40.2% 4,848,219
U.S. GOVERNMENT & GOVERNMENT
AGENCY SECURITIES
U.S. GOVERNMENT SECURITES - 0.4%
U.S. Treasury Note,
7.00% - 2006(6) $ 50,000 52,950
FOREIGN BONDS
BRAZIL - 7.5%
Republic of Brazil,
5.9375% - 2012(2) $ 650,000 390,000
8.00% - 2014(2) $ 454,208 286,151
5.875% - 2024(2) 380,000 235,125
----------
911,276
60 SEE ACCOMPANYING NOTES.
<PAGE>
SCHEDULE OF INVESTMENTS
JUNE 30, 1999
(UNAUDITED)
SERIES K (GLOBAL STRATEGIC INCOME)(CONTINUED)
PRINCIPAL MARKET
CORPORATE BONDS(CONTINUED) AMNOUNT VALUE
- --------------------------------------------------------------------------------
COLOMBIA - 0.8%
Republic of Colombia,
10.875% - 2004 $ 100,000 $ 95,250
COSTA RICA - 0.4%
Republic of Costa Rica,
9.335% - 2009 50,000 48,750
KOREA - 1.9%
Republic of Korea,
8.75% - 2003 120,000 125,468
8.75% - 2008 100,000 105,037
----------
230,505
MEXICO - 6.2%
United Mexican States,
10.375% - 2009 450,000 454,770
6.25% - 2019 400,000 293,495
----------
748,265
PANAMA - 1.4%
Republic of Panama,
7.875% - 2002 170,000 164,292
PERU - 1.2%
Republic of Peru, 4.50% - 2017 250,000 150,000
PHILIPPINES - 0.6%
Republic of Philippines,
8.875% - 2008 50,000 48,850
8.875% - 2008 20,000 19,689
----------
68,539
POLAND - 0.8%
Delphes Company NO.2, Ltd.,
7.75% - 2009 100,000 94,663
VENEZUELA - 1.3%
Republic of Venezuela,
6.3125% - 2007(2) 202,380 153,556
----------
Total foreign bonds - 22.1% 2,665,096
FOREIGN GOVERMENT BONDS
ARGENTINA - 6.2%
Argentina Discount,
6.0625% - 2023(2) 500,000 344,375
Argentina Government,
9.75% - 2027........................... 525,000 400,313
------------
744,688
AUSTRALIA - 0.1%
Fannie Mae, 6.375% - 2007(3)................... 25,000 16,249
BULGARIA - 0.7%
Bulgaria, 5.875% - 2024(2)..................... 130,000 89,219
PRINCIPAL
AMOUNT OR
NUMBER MARKET
FOREIGN GOVERNMENT BONDS (CONTINUED) OF SHARES VALUE
- --------------------------------------------------------------------------------
CANADA - 1.1%
Canada Government,
9.00% - 2004(3)........................ 160,000 $ 125,620
FRANCE - 6.5%
Government of France, 6.00% - 2025(3).......... 101,000 112,168
French Treasury Note,
3.00% - 2001(3)........................ 325,000 333,496
3.50% - 2004(3)........................ 337,000 340,263
------------
785,927
GERMANY - 1.6%
Bundesrepub. Deutschland,
6.25% - 2024(3)........................ 120,000 137,457
6.50% - 2027(3)........................ 50,000 59,106
------------
196,563
POLAND - 0.5%
Poland Government Bond,
12.00% - 2001(3)....................... 250,000 64,056
SINGAPORE - 1.5%
Singapore Government,
3.50% - 2004(3)........................ 300,000 174,238
SWEDEN - 1.0%
Swedish Government, 9.00% - 2009(3)............ 800,000 122,143
UNITED KINGDOM - 1.1%
United Kingdom Treasury,
7.75% - 2006(3)........................ 75,000 134,384
VENEZUELA - 0.8%
Venezuela, 9.25% - 2027 ....................... $ 140,000 89,950
------------
Total foreign government bonds - 21.1% 2,543,037
COMMERCIAL PAPER
FINANCIAL SERVICES - 2.5%
American Express, 7.00% - 7-23-99(6)........... $ 100,000 99,676
Ciesco LP, 5.22% - 8-6-99(6)................... $ 100,000 99,478
National Rural Utility,
5.20% - 7-23-99(6)..................... $ 100,000 99,682
------------
Total commercial paper - 2.5% ......... 298,836
REPURCHASE AGREEMENT - 14.3%
Chase Manhattan Bank, 4.92% - 7-1-99
(Collateralized by U.S. Treasury
Bond, 11.25% - 2015 with a value
of $1,761,467)(6).............................. $ 1,718,000 1,718,000
Total investments - 100.6% ............ 12,126,138
Liabilities, less cash
and other assets - (0.6%) ........... (68,428)
------------
Total net assets - 100.0% ............. $ 12,057,710
============
61 SEE ACCOMPANYING NOTES.
<PAGE>
SCHEDULE OF INVESTMENTS
JUNE 30, 1999
(Unaudited)
SERIES M (GLOBAL TOTAL RETURN)
PRINCIPAL
AMOUNT OR
NUMBER MARKET
CORPORATE BONDS OF SHARES VALUE
- --------------------------------------------------------------------------------
BANKING - 0.4%
Bank of New York, 6.5% - 2003 $ 185,000 $ 183,613
CONSUMER - CYCLICAL - 0.4%
General Motors Acceptance
Corporation, 6.85% - 2004 $ 50,000 50,562
Lowe's Companies, Inc.,
6.70% - 2007 $ 125,000 124,219
----------
174,781
FINANCIAL - 0.2%
Ford Motor Credit Global Notes,
6.25% - 2000 $ 100,000 100,294
NATURAL GAS - 0.3%
MCN Investment Corporation,
6.32% - 2003 $ 125,000 123,281
REAL ESTATE INVESTMENT TRUST - 0.5%
EOP Operating LP, 6.625% - 2005 $ 150,000 144,375
Spieker Properties, 6.80% - 2004 $ 90,000 88,875
----------
233,250
YANKEE CORPORATES - 0.4%
Abbey National PLC, 6.69% - 2005 $ 175,000 172,594
----------
Total corporate bonds - 2.2% 987,813
COMMON STOCKS
AIRLINES - 0.3%
Ryanair Holdings PLC ADR*(6) 2,100 111,300
AUTO PARTS & EQUIPMENT - 0.7%
Delphi Automotive Systems
Corporation(6) 15,870 294,587
AUTOMOBILES - 0.2%
General Motors Corporation(6) 1,400 92,400
BANKS - MAJOR REGIONAL - 2.4%
National City Corporation(6) 9,800 641,900
Unionbancal Corporation(6) 6,700 242,037
Wachovia Corporation(6) 1,900 162,569
----------
1,046,506
BANKS - MONEY CENTER - 0.4%
Chase Manhattan Corporation(6) 1,900 164,588
BEVERAGES - ALCOHOLIC - 1.1%
Anheuser-Busch Companies, Inc.(6) 7,100 503,656
BIOTECHNOLOGY - 0.2%
Genzyme Molecular Oncology*(6) 36,300 99,825
COMMUNICATION EQUIPMENT - 0.7%
Motorola, Inc.(6) 3,200 303,200
COMPUTER HARDWARE - 1.9%
International Business Machines
Corporation(6) 6,600 853,050
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
- --------------------------------------------------------------------------------
COMPUTER SOFTWARE - SERVICES - 3.9%
America Online, Inc.*(6) 2,100 $ 232,050
BMC Software, Inc.*(6) 3,900 210,600
Microsoft Corporation*(6) 14,500 1,307,719
----------
1,750,369
COMPUTERS - NETWORKING - 0.5%
Cisco Systems, Inc.*(6) 3,550 228,309
COMPUTERS - PERIPHERALS - 0.2%
Seagate Technology, Inc.*(6) 3,900 99,937
CONTAINERS & PACKAGING - 0.5%
Temple-Inland, Inc.(6) 3,400 232,050
DISTRIBUTION - FOOD & HEALTH - 0.1%
Bergen Brunswig Corporation (Cl. A)(6) 3,300 56,925
ELECTRIC COMPANIES - 1.3%
GPU, Inc.(6) 13,200 556,875
ELECTRICAL EQUIPMENT - 0.6%
General Electric Company(6) 2,200 248,600
ELECTRONICS - SEMICONDUCTORS - 2.5%
Adeptec, Inc.*(6) 6,000 211,875
Analog Devices, Inc.*(6) 3,200 160,600
Intel Corporation(6) 8,500 505,750
Texas Instruments, Inc.(6) 1,700 246,500
----------
1,124,725
FINANCIAL - DIVERSE - 1.9%
Associates First Capital Corporation(6) 3,700 163,956
Citigroup, Inc.(6) 14,550 691,125
----------
855,081
HEALTH CARE - DIVERSE - 0.6%
Johnson & Johnson(6) 2,600 254,800
HOSPITAL MANAGEMENT - 0.3%
Columbia/HCA Healthcare
Corporation(6) 4,800 109,500
HOUSEHOLD PRODUCTS - 1.8%
Kimberly-Clark Corporation(6) 7,600 433,200
Procter & Gamble Company(6) 4,300 383,775
----------
816,975
INSURANCE - BROKERS - 1.4%
Marsh & McLennan Companies, Inc.(6) 8,400 634,200
INSURANCE - MULTILINE - 1.1%
Hartford Financial Services
Group, Inc.(6) 8,400 489,825
INVESTMENT BANK/BROKERAGE - 0.3%
Merrill Lynch & Company, Inc.(6) 1,900 151,881
62 SEE ACCOMPANYING NOTES.
<PAGE>
SCHEDULE OF INVESTMENTS
JUNE 30, 1999
(UNAUDITED)
SERIES M (GLOBAL TOTAL RETURN)(CONTINUED)
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
- --------------------------------------------------------------------------------
MANUFACTURING - DIVERSIFIED - 1.9%
Corning, Inc.(6) 2,300 $ 161,287
United Technologies Corporation(6) 9,800 702,538
----------
863,825
MEDICAL PRODUCTS & SUPPLIES - 0.4%
Boston Scientific Corporation*(6) 3,700 162,569
METALS & MINING - 0.3%
Freeport-McMoran
Copper & Gold, Inc.*(6) 7,200 120,600
MISCELLANEOUS BUSINESS SERVICES - 0.4%
BISYS Group, Inc.*(6) 2,800 163,800
PAPER & FOREST PRODUCTS - 1.0%
Abitibi-Consolidated, Inc.(6) 17,400 197,925
Weyerhaeuser Company(6) 3,900 268,125
----------
466,050
PUBLISHING - NEWSPAPER - 0.6%
Central Newspapers, Inc. (Cl. A)(6) 7,100 267,138
RAILROADS - 0.9%
Canadian National Railway Company(6) 6,200 415,400
RESTAURANTS - 0.4%
McDonald's Corporation(6) 5,000 206,563
RETAIL - APPAREL - 1.1%
Gap, Inc.(6) 9,600 483,600
RETAIL - BUILDING SUPPLIES - 0.4%
Home Depot, Inc.(6) 2,800 180,425
RETAIL - GENERAL MERCHANDISE - 2.2%
Dayton Hudson Corporation(6) 2,400 156,000
Wal-Mart Stores, Inc.(6) 17,400 839,550
----------
995,550
RETAIL - SPECIALTY - 0.5%
Bed Bath & Beyond, Inc.*(6) 5,300 204,050
TELECOMMUNICATION - LONG DISTANCE - 1.3%
AT&T Corporation(6) 3,200 178,600
MCI Worldcom, Inc.*(6) 4,800 414,000
----------
592,600
TELEPHONE - 3.0%
Ameritech Corporation(6) 3,800 279,300
Bell Atlantic Corporation(6) 11,200 732,200
BellSouth Corporation(6) 100 4,687
SBC Communications, Inc.(6) 5,800 336,400
----------
1,352,587
TOBACCO - 0.9%
Philip Morris Companies, Inc.(6) 9,400 377,763
----------
Total common stocks - 40.2% 17,931,684
US GOVERNMENT & PRINCIPAL MARKET
GOVERNMENT AGENCY SECURITIES AMOUNT VALUE
- --------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCIES - 2.0%
Federal Home Loan Mortgage Corporation,
6.00% - 2006(6) $ 29,672 $ 29,714
7.00% - 2020(6) $ 130,727 131,013
Federal National Mortgage Association,
6.50% - 2018(6) $ 51,623 51,650
6.00% - 2029(6) $ 235,000 220,752
Government National Mortgage Association,
6.50% - 2029(6) $ 235,000 226,188
7.00% - 2029(6) $ 235,000 231,987
----------
891,304
U.S. GOVERNMENT SECURITIES - 2.2%
U.S. Treasury Notes,
11.875% - 2003(6) $ 510,000 625,316
U.S. Treasury Bonds,
13.25% - 2014(6) $ 160,000 243,006
8.75% - 2017(6) $ 80,000 100,883
----------
969,205
----------
Total U.S. government & government
agency securities - 4.2% 1,860,509
FOREIGN corporate bonds
ARGENTINA - 0.2%
Republic of Argentina,
11.75% - 2009 $ 90,000 80,775
BRAZIL - 0.2%
Republic of Brazil,
11.625% -2004 95,000 87,875
Total foreign corporate bonds - 0.4% 168,650
FOREIGN GOVERNMENT ISSUES
AUSTRALIA - 3.1%
Fannie Mae,
6.375% - 2007(3,6) 70,000 45,584
CANADA - 0.7%
Goverment Bond,
9.00% - 2004(3,6) 420,000 329,752
FRANCE - 1.5%
Treasury Note,
3.00% - 2001(3,6) 210,000 215,490
3.50% - 2004(3,6) 300,000 302,905
O.A.T. Government Bond,
6.00% - 2025 150,000 166,586
----------
684,981
63 SEE ACCOMPANYING NOTES.
<PAGE>
SCHEDULE OF INVESTMENTS
JUNE 30, 1999
(Unaudited)
SERIES M (GLOBAL TOTAL RETURN)(CONTINUED)
PRINCIPAL
AMOUNT OR
FOREIGN GOVERNMENT NUMBER MARKET
ISSUES (Continued) OF SHARES VALUE
- --------------------------------------------------------------------------------
GERMANY - 3.0%
Bundesschatzanweisungen,
3.25% - 2000(3,6) 200,000 $ 206,962
Bundesrepub Deutschland,
3.75% - 2009(3,6) 550,000 534,203
6.25% - 2024(3,6) 250,000 286,370
6.25% - 2027(3,6) 250,000 295,529
----------
1,323,064
JAPAN - 1.7%
Japan Finance Corporation,
9.75% - 2000(6) 100,000 103,022
Japanese Government Bond -
Series 207B, 0.90% - 2008(3,6) 85,000,000 638,384
----------
741,406
SINGAPORE - 1.0%
Government of Singapore,
3.50% - 2004(3,6) 760,000 441,403
SPAIN - 0.5%
Kingdom of Spain, 6.50% - 1999(3,6) 200,000 200,201
SWEDEN - 0.6%
Swedish Government Bond,
9.00% - 2009(4,6) 1,800,000 274,821
UNITED KINGDOM - 1.4%
Fannie Mae, 5.50% - 2003(3,6) 110,000 170,002
Treasury Note, 7.75% - 2006(3,6) 265,000 474,822
----------
644,824
----------
Total foreign government issues - 10.5% 4,686,036
FOREIGN STOCKS
AUSTRALIA - 1.0%
Australia & New Zealand Banking
Group Ltd. 62,100 456,624
FINLAND - 0.4%
Mertia PLC 33,200 188,658
FRANCE - 4.1%
Axa 2,300 280,607
Compagnie Financiere de Paribas 1,900 212,994
Rhone-Poulenc S.A 10,200 466,108
Saint Gobain 1,600 254,937
Suez Lyonnaise Des Eaux 2,800 505,048
Technip 1,100 123,426
----------
1,843,120
NUMBER MARKET
FOREIGN STOCKS (Continued) OF SHARES VALUE
- --------------------------------------------------------------------------------
GERMANY - 3.4%
Bayer AG 7,665 $ 319,359
DaimlerChrysler AG 6,664 577,297
Muenchener Rueckversicherungs-
Gesellschaft AG 1,470 272,124
Muenchener Rueckver AG* 430 78,492
RWE AG 7,100 246,759
----------
1,494,031
HONG KONG - 0.8%
HSBC Holdings* 9,600 350,153
ITALY - 1.2%
Eni Spa 62,700 374,396
Telecom Italia Spa 34,300 186,065
----------
560,461
JAPAN - 8.4%
Banyu Pharmaceutical Company, Ltd. 19,000 313,946
Eisai Company, Ltd. 16,000 315,267
Ezaki Glico Company, Ltd. 38,000 227,611
Fujisawa Pharmaceutical
Company, Ltd. 19,000 309,237
Hitachi, Ltd. 82,000 768,919
Kyudenko Corporation 31,000 177,231
Matsumoto Yushi-Seiyaku 6,000 128,883
Nagase & Company, Ltd. 43,000 204,271
Nitto Kohki Company, Ltd. 13,000 247,026
Nichiei Company, Ltd. 4,000 350,297
Okumura Corporation 40,000 148,711
Takefuji Corporation 3,000 310,063
Yamato Kogyo Company, Ltd. 34,000 247,472
----------
3,748,934
NETHERLANDS - 1.3%
ABN Amro Holding NV 100 2,166
Gucci Group 1,300 93,178
Ing Groep NV 3,237 175,292
Koninklijke (Royal) Philips
Electronics NV 2,944 290,407
----------
561,043
NEW ZEALAND - 0.3%
Air New Zealand, Ltd. 62,431 129,020
NORWAY - 0.3%
Christiania Bank Og Kreditkasse 36,200 130,131
SINGAPORE - 0.3%
Venture Manufacturing, Ltd. 17,000 130,808
SPAIN - 1.0%
Banco Popular Espanol S.A 2,800 201,413
Endesa S.A 11,100 236,733
----------
438,146
64 SEE ACCOMPANYING NOTES.
<PAGE>
SCHEDULE OF INVESTMENTS
JUNE 30, 1999
(Unaudited)
SERIES M (GLOBAL RETURN)(CONTINUED)
PRINCIPAL
AMOUNT OR
NUMBER MARKET
FOREIGN STOCKS (Continued) OF SHARES VALUE
- --------------------------------------------------------------------------------
SWEDEN - 0.0%
Nordbanken Holding AB 300 $ 1,754
SWITZERLAND - 1.4%
Holderbank Financiere Glarus AG 600 191,046
Swisscom AG 1,100 413,933
------------
604,979
UNITED KINGDOM - 7.9%
AstraZeneca Group PLC 10,100 391,329
Barclays PLC 5,900 171,960
BP Amoco PLC 15,000 268,601
British Telecom PLC 17,500 292,404
Burmam Castrol PLC 25,583 487,144
Enterprise Oil PLC* 29,400 190,471
GKN PLC 10,800 184,881
Invensys PLC 57,300 271,417
Johnson Matthey PLC 19,300 188,164
Next PLC 12,400 150,701
Nycomed Amersham PLC 23,900 167,082
SmithKline Beecham PLC 58,900 764,571
------------
3,528,725
------------
Total foreign stocks - 31.8% 14,166,587
U.S. GOVERNMENT & GOVERNMENT AGENCY SECURITIES
U.S. GOVERNMENT SECURITIES - 2.9%
U.S. Treasury Bill,
4.465% - 8-5-99(6) $ 500,000 497,829
4.465% - 8-12-99(6) $ 800,000 795,920
------------
Total U.S. government
securities - 2.9% 1,293,749
COMMERCIAL PAPER
AUTOMOBILES - 0.5%
Daimlerchrysler US, 4.65% - 7-19-99 $ 250,000 249,390
FINANCIAL SERVICES - 1.7%
GTE Funding, Inc., 4.80% - 7-16-99 $ 250,000 249,479
General Electric Capital
Corporation, 4.85% - 7-30-99 $ 260,000 258,934
National Rural Utilities,
4.85% - 7-26-99 $ 245,000 244,126
------------
752,539
------------
Total commercial paper - 2.2% 1,001,929
REPURCHASE AGREEMENT - 8.1%
Chase Manhattan Bank,
4.85% - 7-1-99 $ 3,613,000 3,613,000
(Collateralized by U.S. Treasury
Bond, 11.75% - 2014,
with a value of $3,692,369)(6)
------------
Total investments - 102.5% 45,709,957
Liabilities, less cash &
other assets - (2.5%) (1,127,469)
------------
Total net assets - 100.0% $ 44,582,488
============
SERIES N (MANAGED ASSET ALLOCATION)
PRINCIPAL MARKET
CORPORATE BONDS AMOUNT VALUE
- --------------------------------------------------------------------------------
AEROSPACE/DEFENSE - 0.1%
Raytheon Company, 6.50% - 2005 $100,000 $ 98,125
AUTOMOTIVE - 0.2%
Federal-Mogul Corporation,
7.75% - 2006 100,000 95,625
Venture Holdings Trust,
11.00% - 2007 100,000 99,750
--------
195,375
BANKING - 0.1%
Bankers Trust - NY, 7.25% - 2003 100,000 100,625
BASIC INDUSTRY - OTHER - 0.2%
Westinghouse Air Brake,
9.375% - 2005 150,000 152,625
BUILDING MATERIALS - 0.3%
ABC Supply Company (Series B),
10.625% - 2007 100,000 94,000
Associated Materials, Inc.,
9.25% - 2008 50,000 49,625
Building Materials Corporation
of America, 7.75% - 2005 150,000 142,125
Synthetic Industries, Inc.,
9.25% - 2007 50,000 51,375
--------
337,125
CAPITAL GOODS - OTHER - 0.1%
International Wire Group,
11.75% - 2005 100,000 103,000
CONSUMER - NONCYCLICAL - OTHER - 0.1%
APCOA, Inc., 9.25% - 2008 50,000 46,563
Coinmach Corporation Series D,
11.75% - 2005 50,000 54,375
--------
100,938
CONSUMER PRODUCTS - 0.6%
Anchor Advanced Products,
11.75% - 2004 150,000 153,375
Chattem, Inc., 12.75% - 2004 50,000 55,000
Doane Products Company,
9.75% - 2007 86,000 88,365
Holmes Products Corporation,
9.875% - 2007 50,000 48,000
9.875% - 2007 50,000 48,000
Keebler Corporation, 10.75% - 2006 150,000 162,375
Purina Mills, Inc., 9.00% - 2010 50,000 39,375
--------
594,490
65 SEE ACCOMPANYING NOTES.
<PAGE>
SCHEDULE OF INVESTMENTS
JUNE 30, 1999
(Unaudited)
SERIES N (MANAGED ASSET ALLOCATION)(Continued)
PRINCIPAL MARKET
CORPORATE BONDS(Continued) AMOUNT VALUE
- --------------------------------------------------------------------------------
ELECTRIC UTILITY - 0.7%
Entergy Louisiana, Inc.,
6.50% - 2008 $500,000 $483,750
Midwest Power System,
7.125% - 2003 140,000 142,275
Southern California Edison,
6.50% - 2001 50,000 50,250
--------
676,275
ENTERTAINMENT - 0.5%
Bally Total Fitness Holding,
9.875% - 2007 75,000 72,562
Cinemark USA, Inc. (Series B),
8.50% - 2008 100,000 94,750
Premier Parks, Inc., 9.75% - 2007 100,000 101,250
Six Flags Entertainment,
8.875% - 2006 50,000 50,375
Six Flags Theme Parks,
12.25% - 2005 75,000 84,000
Time Warner Entertainment,
7.25% - 2008 100,000 100,750
--------
503,687
FINANCIAL INSTITUTIONS - 0.6%
Intertek Finance PLC, 10.25% - 2006 50,000 48,688
Lehman Brothers, Inc.,
7.25% - 2003 350,000 350,875
Penske Truck Leasing,
6.65% - 2000 100,000 100,750
Salomon, Inc., 6.75% - 2003 100,000 100,500
--------
600,813
FINANCE - OTHER - 0.1%
Herff Jones, Inc. (Series B),
11.00% - 2005 50,000 53,625
Paragon Corporate Holdings,
9.625% - 2008 25,000 14,813
--------
68,438
FOOD - 0.4%
Aurora Foods, Inc., 9.875% - 2007 50,000 52,000
B&G Foods, Inc., 9.625% - 2007 25,000 23,438
International Home Foods,
10.375% - 2006 150,000 161,813
McDonald's Corporation,
6.625% - 2005 50,000 50,187
Price/Costco, Inc., 7.125% - 2005 100,000 100,625
--------
388,063
PRINCIPAL MARKET
CORPORATE BONDS AMOUNT VALUE
- --------------------------------------------------------------------------------
GAMING - 0.6%
Harrahs Operating, Inc.,
7.875% - 2005 $150,000 $145,125
Isle of Capri Casinos, 8.75% - 2009 150,000 140,625
Mohegan Tribal Gaming,
8.125% - 2006 150,000 146,625
Park Place Entertainment,
7.875% - 2005 150,000 142,500
--------
574,875
HEALTHCARE - 0.3%
Owens & Minor, Inc.,
10.875% - 2006 25,000 26,406
Quest Diagnostic, Inc.,
10.75% - 2006 25,000 27,531
9.875% - 2009 50,000 50,250
Tenet Healthcare Corporation,
8.00% - 2005 150,000 146,625
--------
250,812
INSURANCE - 0.1%
New York Life Insurance,
7.50% - 2023 100,000 93,125
Lodging - 0.4%
Courtyard by Marriott, 10.75% - 2008 100,000 102,000
Host Marriott Travel Plaza,
9.50% - 2005 150,000 155,812
Red Roof Inns, 9.625% - 2003 150,000 149,250
--------
407,062
MEDIA - CABLE - 0.8%
Adelphia Communications,
9.875% - 2005 125,000 131,562
7.875% - 2009 25,000 23,188
Charter Comm Hlds LLC,
8.25% - 2007 150,000 143,625
Comcast Cable Communications,
8.125% - 2004 100,000 104,875
Frontiervision, 11.00% - 2006 100,000 110,000
NTL, Inc., 9.75% - 2008 225,000 154,125
Northland Cable Television,
10.25% - 2007 100,000 104,500
--------
771,875
MEDIA - NON-CABLE - 0.3%
American Radio Systems, 9.00% - 2006 50,000 53,563
Chancellor Media Corporation,
8.125% - 2007 50,000 48,625
9.00% - 2008 50,000 51,000
8.00% - 2008 50,000 49,000
Hollinger International Publishing,
9.25% - 2007 50,000 51,000
Sun Media Corporation,
9.50% - 2007 32,000 33,520
--------
286,708
66 SEE ACCOMPANYING NOTES
<PAGE>
SCHEDULE OF INVESTMENTS
JUNE 30, 1999
(Unaudited)
SERIES N (MANAGED ASSET ALLOCATION)(Continued)
PRINCIPAL MARKET
CORPORATE BONDS(Continued) AMOUNT VALUE
- --------------------------------------------------------------------------------
METALS 0.0%
Freeport McMoran Resources,
7.00% - 2008 $ 50,000 $ 47,125
NATURAL GAS - 0.1%
Energy Corporation of America,
9.50% - 2007 100,000 91,750
OIL FIELD SERVICES - 0.1%
Pride Petroleum Services, Inc.,
9.375% - 2007 50,000 49,625
PACKAGING - 0.3%
Bway Corporation (Series B),
10.25% - 2007 50,000 51,875
Consolidated Container,
10.125% - 2009 75,000 75,562
Container Corporation of America,
10.75% - 2002 100,000 105,500
Plastic Containers, Inc.,
10.00% - 2006 25,000 28,188
US Can Corporation, 10.125% - 2006 50,000 52,812
--------
313,937
PAPER - 0.7%
International Paper Company,
6.875% - 2029 500,000 463,750
Packaging Corporation of America,
9.625% - 2009 150,000 151,125
Repap New Brunswick,
9.00% - 2004 50,000 46,250
11.50% - 2004 50,000 48,375
--------
709,500
RETAILERS - 0.0%
Eye Care Centers of America,
9.125% - 2008 50,000 43,250
SERVICES - 0.2%
Dyncorp, Inc., 9.50% - 2007 50,000 49,875
Group Maintenance America,
9.75% - 2009 75,000 74,062
Protection One Alarm,
8.125% - 2009 50,000 47,375
--------
171,312
SUPERMARKETS - 0.2%
Jitney-Jungle Stores, 12.00% - 2006 75,000 63,938
Shoppers Food Warehouse,
9.75% - 2004 150,000 163,125
--------
227,063
PRINCIPAL MARKET
CORPORATE BONDS(Continued) AMOUNT VALUE
- --------------------------------------------------------------------------------
TECHNOLOGY - 0.2%
Communications & Power Industry,
12.00% - 2005 $ 100,000 $ 104,625
Fairchild Semiconductor,
10.125% - 2007 25,000 24,563
Viasystems, Inc., 9.75% - 2007 100,000 87,500
-----------
216,688
TELECOMMUNICATIONS - 2.5%
AT&T Corporation, 6.50% - 2029 500,000 451,250
Intermedia Communications, Inc.,
9.50% - 2009 50,000 48,375
Lucent Technologies, Inc.,
6.90% - 2001 100,000 101,500
Metromedia Fiber Network,
10.00% - 2008 75,000 77,062
Metronet Communications
Corporation., 0.00% - 20084 150,000 111,562
Nextel Communications,
0.00% - 20074 200,000 139,250
Nextlink Communications,
12.25% - 2009 225,000 131,344
Orange PLC, 9.00% - 2009 50,000 50,000
Price Communications Wireless,
9.125% - 2006 100,000 100,750
Qwest Communications International,
0.00% - 20074 50,000 38,438
7.50% - 2008 50,000 49,625
Rogers Cantel, Inc.,
9.75% - 2016 100,000 112,000
Sprint Capital Corporation,
6.125% - 2008 500,000 466,250
Worldcom, Inc., 7.75% - 2007 500,000 524,375
-----------
2,401,781
TEXTILE - 0.2%
Dan River, Inc., 10.125% - 2003 50,000 51,312
Westpoint Stevens, Inc.,
7.785% - 2008 150,000 145,125
-----------
196,437
TRANSPORTATION - OTHER - 0.1%
Allied Holdings, Inc., 8.625% - 2007 75,000 73,031
Stena AB, 10.50% - 2005 50,000 50,188
-----------
123,219
YANKEE - 0.1%
Rogers Cantel, Inc., 9.375% - 2008 75,000 78,750
-----------
Total corporate bonds - 11.2% 10,974,473
67 SEE ACCOMPANYING NOTES.
<PAGE>
SCHEDULE OF INVESTMENTS
JUNE 30, 1999
(Unaudited)
SERIES N (MANAGED ASSET ALLOCATION)(Continued)
NUMBER MARKET
COMMON STOCKS OF SHARES VALUE
- --------------------------------------------------------------------------------
AEROSPACE/DEFENSE - 0.3%
Boeing Company 3,514 $155,275
Lockheed Martin Corporation 2,600 96,850
Northrop Grumman Corporation 600 39,787
--------
291,912
AGRICULTURAL PRODUCTS - 0.0%
Archer-Daniels-Midland Company 2,521 38,918
AIRLINES - 0.2%
AMR Corporation* 1,000 68,250
Delta Air Lines, Inc. 800 46,100
KLM Royal Dutch Airlines NY Reg 800 22,850
Southwest Airlines Company 1,800 56,025
--------
193,225
ALUMINUM - 0.1%
ALCOA, Inc. 2,200 136,125
AUTO PARTS & EQUIPMENT - 0.3%
Dana Corporation 1,443 66,468
Delphi Automotive Systems
Corporation 2,026 37,608
Eaton Corporation 700 64,400
Genuine Parts Company 1,150 40,250
TRW, Inc. 1,100 60,362
--------
269,088
AUTOMOBILES - 0.6%
Ford Motor Company 4,700 265,256
General Motors Corporation 2,900 191,400
Honda Motor Company, Ltd. ADR 1,600 138,800
--------
595,456
BANKS - MAJOR REGIONAL - 2.0%
BB&T Corporation 1,000 36,687
Banco Frances S.A. ADR 805 15,295
Bank of New York Company, Inc. 2,900 106,394
Bank One Corporation 4,204 250,401
BankBoston Corporation 1,200 61,350
Comerica, Inc. 1,050 62,409
Fifth Third Bancorp 1,125 74,883
Firstar Corporation 2,100 58,800
Fleet Financial Group, Inc. 3,000 133,125
Huntington Bancshares, Inc. 1,970 68,950
KeyCorp 1,800 57,825
Mellon Bank Corporation 2,200 80,025
Mercantile Bancorporation, Inc. 1,000 57,125
National City Corporation 1,500 98,250
Northern Trust Corporation 800 77,600
PNC Bank Corporation 1,515 87,302
Regions Financial Corporation 1,400 53,812
State Street Boston 900 76,838
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
- --------------------------------------------------------------------------------
BANKS-MAJOR REGIONAL (CONTINUED)
Summit Bancorp 500 $ 20,906
Suntrust Banks, Inc. 900 62,494
U.S. Bancorp 2,331 79,254
Union Planters Corporation 900 40,219
Wells Fargo Company 6,700 286,425
----------
1,946,369
BANKS - MONEY CENTER - 1.0%
Bank of America Corporation 6,755 495,226
Chase Manhattan Corporation 2,424 209,979
First Union Corporation 3,958 186,026
J.P. Morgan & Company, Inc. 800 112,400
----------
1,003,631
BEVERAGES - ALCOHOLIC - 0.3%
Anheuser-Busch Companies, Inc. 1,200 85,125
Diageo PLC ADR 2,577 110,811
LVMH Moet Hennessy Lou ADR 1,100 65,725
Seagram Company, Ltd. 1,400 70,525
----------
332,186
BEVERAGES - SOFT DRINK - 0.9%
Coca-Cola Company 9,800 612,500
Coca-Cola Enterprises, Inc. 1,700 52,275
PepsiCo, Inc. 4,700 181,831
----------
846,606
BIOTECHNOLOGY - 0.2%
Amgen, Inc.* 2,400 146,100
Biogen, Inc.* 600 38,588
----------
184,688
BROADCAST MEDIA - 0.5%
Clear Channel Communications, Inc.* 1,500 103,406
Comcast Corporation (Cl. A) 3,000 115,313
MediaOne Group, Inc.* 2,100 156,187
Viacom, Inc. (Cl. B)* 2,800 123,200
----------
498,106
BUILDING MATERIALS - 0.1%
Armstrong World Industries, Inc. 300 17,344
Masco Corporation 1,400 40,425
----------
57,769
CHEMICALS - BASIC - 0.7%
Air Products and Chemicals, Inc. 2,000 80,500
Akzo Nobel NV ADR 2,600 110,175
Dow Chemical Company 1,000 126,875
E.I. du Pont de Nemours & Company 4,400 300,575
FMC Corporation* 600 40,987
Great Lakes Chemical Company 700 32,244
Solutia, Inc. 1,280 27,280
----------
718,636
68 SEE ACCOMPANYING NOTES.
<PAGE>
SCHEDULE OF INVESTMENTS
JUNE 30, 1999
(Unaudited)
SERIES N (MANAGED ASSET ALLOCATION)(Continued)
NUMBER MARKET
COMMON STOCKS (Continued) OF SHARES VALUE
- --------------------------------------------------------------------------------
CHEMICALS - DIVERSIFIED - 0.1%
Monsanto Company 2,200 $ 86,762
CHEMICALS - SPECIALTY - 0.4%
Imperial Chemical Industries PLC ADR 1,400 55,650
International Flavors & Fragrances, Inc. 1,300 57,687
Minnesota Mining &
Manufacturing Company 1,500 130,406
Rohm & Haas Company 2,290 98,186
----------
341,929
COMMUNICATION EQUIPMENT - 1.6%
Lucent Technologies, Inc. 11,994 808,845
Motorola, Inc. 2,500 236,875
Nokia Corporation ADR 1,200 109,875
Nortel Networks Corporation 3,320 288,217
Tellabs, Inc.* 1,400 94,588
----------
1,538,400
COMPUTER HARDWARE - 2.2%
Compaq Computer Corporation 6,656 157,664
Dell Computer Corporation* 10,200 377,400
Hewlett-Packard Company 4,000 402,000
International Business Machines
Corporation 7,400 956,450
Sun Microsystems, Inc.* 4,000 275,500
----------
2,169,014
COMPUTER SOFTWARE/SERVICES - 3.1%
Adobe Systems, Inc. 700 57,509
America Online, Inc.* 4,300 475,150
BMC Software, Inc.* 1,200 64,800
Computer Associates International, Inc. 2,700 148,500
Computer Sciences Corporation* 1,200 83,025
Compuware Corporation* 1,400 44,538
Microsoft Corporation* 19,400 1,749,637
Novell, Inc.* 3,000 79,500
Oracle Corporation* 5,775 214,397
Parametric Technology Company* 1,200 16,650
----------
2,933,706
COMPUTERS - NETWORKING - 0.9%
Cisco Systems, Inc.* 12,500 803,906
3COM Corporation* 1,000 26,688
----------
830,594
COMPUTERS - PERIPHERALS - 0.3%
EMC Corporation* 4,600 253,000
Seagate Technology, Inc.* 1,100 28,188
----------
281,188
NUMBER MARKET
COMMON STOCKS (Continued) OF SHARES VALUE
- --------------------------------------------------------------------------------
CONSUMER FINANCE - 0.3%
Capital One Financial Corporation 1,500 $ 83,531
Household International, Inc. 2,100 99,488
MBNA Corporation 3,000 91,875
----------
274,894
CONTAINERS & PACKAGING - 0.1%
Bemis Company, Inc. 1,100 43,725
Owens-Illinois, Inc.* 1,400 45,762
----------
89,487
DISTRIBUTION - FOOD & HEALTH - 0.1%
Cardinal Health, Inc. 1,050 67,331
McKesson HBOC, Inc. 740 23,773
Sysco Corporation 1,000 29,812
----------
120,916
ELECTRIC COMPANIES - 1.1%
AES Corporation* 600 34,875
American Electric Power
Company, Inc. 1,100 41,319
Consolidated Edison, Inc. 1,500 67,875
Constellation Energy Group 1,400 41,475
Dominion Resources, Inc. 1,600 69,300
Duke Energy Corporation 1,900 103,313
Edison International 2,600 69,550
Empresa Nacional Electricidad
Chile S.A. ADR 333 4,038
Endesa S.A. ADR 2,400 51,000
Entergy Corporation 1,700 53,125
FPL Group, Inc. 900 49,162
FirstEnergy Corporation 800 24,800
Niagra Mohawk Holdings, Inc.* 2,400 38,550
Peco Energy Company 900 37,856
PG&E Corporation 2,100 68,250
Public Service Enterprise Group, Inc. 900 36,787
Reliant Energy, Inc. 1,000 27,625
Southern Company 2,900 76,850
Texas Utilities Company 1,800 74,250
Unicom Corporation 1,500 57,844
----------
1,027,844
ELECTRICAL EQUIPMENT - 1.8%
Emerson Electric Company 2,200 138,325
General Electric Company 12,600 1,423,800
Honeywell, Inc. 900 104,287
Rockwell International Corporation 1,400 85,050
----------
1,751,462
ELECTRONIC EQUIPMENT - 0.3%
Hitachi, Ltd. ADR 800 75,550
Koninklijke (Royal) Philips
Electronics NV 1,840 185,610
----------
261,160
69 SEE ACCOMPANYING NOTES.
<PAGE>
SCHEDULE OF INVESTMENTS
JUNE 30, 1999
(UNAUDITED)
SERIES N (MANAGED ASSET ALLOCATION)(Continued)
NUMBER MARKET
COMMON STOCKS (Continued) OF SHARES VALUE
- --------------------------------------------------------------------------------
ELECTRONICS - DEFENSE - 0.1%
Raytheon Company (Cl. A) 421 $ 28,996
Raytheon Company (Cl. B) 1,100 77,413
----------
106,409
ELECTRONICS - SEMICONDUCTORS - 1.1%
Altera Corporation* 1,200 44,175
Analog Devices, Inc.* 667 33,475
Intel Corporation 11,000 654,500
Micron Technology, Inc.* 1,000 40,313
Texas Instruments, Inc. 1,900 275,500
Xilinx, Inc.* 800 45,800
----------
1,093,763
ENTERTAINMENT - 0.5%
Time Warner, Inc. 4,200 302,400
Walt Disney Company 7,142 220,063
----------
522,463
EQUIPMENT - SEMICONDUCTORS - 0.2%
Applied Materials, Inc.* 2,200 162,525
FINANCIAL - DIVERSE - 2.1%
American Express Company 1,800 234,225
American General Corporation 1,000 75,375
Associates First Capital Corporation 2,928 129,747
Banco Bilbao Vizcaya S.A. ADR 9,000 131,625
Berkshire Hathaway, Inc. (Cl. B)* 42 94,458
Citigroup, Inc. 13,570 644,575
Fannie Mae 4,100 280,338
Freddie Mac 2,600 150,800
H&R Block, Inc. 1,400 70,000
Morgan Stanley, Dean Witter
& Company 2,230 228,575
----------
2,039,718
FOODS - 0.9%
BestFoods 1,300 64,350
Campbell Soup Company 1,800 80,775
ConAgra, Inc. 2,500 66,562
Earthgrains Company 128 3,304
General Mills, Inc. 1,000 80,375
Heinz (H.J.) Company 1,400 70,175
Hershey Foods Corporation 700 41,563
Kellogg Company 2,100 69,300
Ralston-Ralston Purina Company 1,900 57,831
Sara Lee Corporation 4,000 90,750
Unilever NV ADR 3,785 264,004
William Wrigley, Jr. Company 400 36,000
----------
924,989
FOOTWEAR - 0.1%
Nike, Inc. (Cl. B) 1,100 69,644
NUMBER MARKET
COMMON STOCKS (Continued) OF SHARES VALUE
- --------------------------------------------------------------------------------
GAMING & LOTTERY - 0.0%
Mirage Resorts, Inc.* 2,400 $ 40,200
GOLD & PRECIOUS METALS MINING - 0.1%
Barrick Gold Corporation 2,400 46,500
Placer Dome, Inc. 2,700 31,894
----------
78,394
HARDWARE & TOOLS - 0.0%
Black & Decker Corporation 500 31,562
HEALTH CARE - DIVERSE - 1.7%
Abbott Laboratories 4,700 213,850
American Home Products
Corporation 5,600 322,000
Bristol-Myers Squibb Company 8,200 577,588
Johnson & Johnson 5,200 509,600
----------
1,623,038
HEALTH CARE - LONG-TERM CARE - 0.1%
HEALTHSOUTH Corporation* 3,200 47,800
HEALTH CARE - MANAGED CARE - 0.0%
United Healthcare Corporation 700 43,838
HOMEBUILDING - 0.1%
PPG Industries, Inc. 1,100 64,969
HOSPITAL MANAGEMENT - 0.1%
Columbia/HCA Healthcare Corporation 3,000 68,437
Lifepoint Hospitals, Inc.* 157 2,110
Tenet Healthcare Corporation 1,600 29,700
Triad Hospi tals, Inc.* 157 2,120
----------
102,367
HOUSEHOLD PRODUCTS - 0.9%
Clorox Company 600 64,088
Colgate-Palmolive Company 1,300 128,375
Fort James Corporation 1,400 53,025
Kimberly-Clark Corporation 2,200 125,400
Procter & Gamble Company 5,200 464,100
----------
834,988
INSURANCE - BROKERS - 0.2%
Conseco, Inc. 1,649 50,191
MGIC Investment Corporation 600 28,125
Marsh & McLennan Companies, Inc. 1,200 90,600
Provident Companies, Inc. 600 24,000
----------
192,916
INSURANCE - LIFE & HEALTH - 0.2%
Aetna, Inc. 744 66,541
Lincoln National Corporation 1,000 52,312
Torchmark Corporation 1,200 40,950
Unum Corporation 1,100 60,225
Waddell & Reed Financial (Cl. A) 34 933
Waddell & Reed Financial (Cl. B) 146 3,942
----------
224,903
70 SEE ACCOMPANYING NOTES
<PAGE>
SCHEDULE OF INVESTMENTS
JUNE 30, 1999
(Unaudited)
SERIES N (MANAGED ASSET ALLOCATION)(Continued)
NUMBER MARKET
COMMON STOCKS (Continued) OF SHARES VALUE
- --------------------------------------------------------------------------------
INSURANCE - MULTILINE - 0.8%
American International Group, Inc. 4,734 $554,174
Cigna Corporation 1,200 106,800
Hartford Financial Services
Group, Inc. 1,100 64,144
Loews Corporation 800 63,300
--------
788,418
INSURANCE - PROPERTY & CASUALTY - 0.2%
Allstate Corporation 2,400 86,100
Chubb Corporation 1,000 69,500
Progressive Corporation Ohio 400 58,000
Selective Insurance Group 800 15,250
--------
228,850
INVESTMENT BANK/BROKERAGE - 0.5%
Bear Stearns Companies, Inc. 1,025 47,919
Franklin Resources, Inc. 1,200 48,750
Merrill Lynch & Company, Inc. 1,500 119,906
Paine Webber Group, Inc. 700 32,725
Schwab (Charles) Corporation 2,325 255,459
--------
504,759
IRON & STEEL - 0.0%
Nucor Corporation 900 42,694
LEISURE TIME PRODUCTS - 0.1%
Brunswick Corporation 1,700 47,387
Mattel, Inc. 1,400 37,013
--------
84,400
LODGING - HOTELS - 0.2%
Carnival Corporation (Cl. A) 2,500 121,250
Marriott International, Inc. (Cl. A) 1,500 56,062
--------
177,312
MACHINERY - DIVERSE - 0.4%
Caterpillar, Inc. 1,600 96,000
Danaher Corporation 1,400 81,375
Deere & Company 1,300 51,513
Dover Corporation 1,500 57,375
Ingersoll-Rand Company 1,100 71,087
--------
357,350
MANUFACTURING - DIVERSIFIED - 0.8%
AlliedSignal, Inc. 2,400 151,200
Corning, Inc. 1,500 105,188
Illinois Tool Works, Inc. 1,200 98,400
Textron, Inc. 900 74,081
Tyco International, Ltd. 2,800 265,300
United Technologies Corporation 1,800 129,037
--------
823,206
NUMBER MARKET
COMMON STOCKS (Continued) OF SHARES VALUE
- --------------------------------------------------------------------------------
MANUFACTURING - SPECIALIZED - 0.2%
CBS Corporation* 2,500 $ 108,594
Pall Corporation 1,300 28,844
Sealed Air Corporation* 700 45,413
Thermo Electron Corporation* 2,100 42,131
Tomkins PLC ADR 248 4,526
----------
229,508
MEDICAL PRODUCTS & SUPPLIES - 0.5%
Baxter International, Inc. 1,300 78,813
Becton, Dickinson & Company 1,400 42,000
Boston Scientific Corporation* 2,800 123,025
Guidant Corporation 2,200 113,163
Medtronic, Inc. 1,900 147,962
----------
504,963
MISCELLANEOUS BUSINESS SERVICES - 0.0%
Equifax, Inc. 1,200 42,825
Natural Gas - 0.3%
Enron Corporation 1,700 138,975
Sonat, Inc. 800 26,500
Williams Companies, Inc. 2,800 119,175
----------
284,650
OFFICE EQUIPMENT & SUPPLIES - 0.1%
Ikon Office Solutions, Inc. 1,100 16,500
Pitney Bowes, Inc. 1,200 77,100
----------
93,600
OIL - DOMESTIC - 0.3%
Atlantic Richfield Company 1,400 116,987
Occidental Petroleum Corporation 2,300 48,588
Phillips Petroleum Company 2,000 100,625
USX-Marathon Group 1,300 42,331
----------
308,531
OIL - INTERNATIONAL - 2.4%
BP Amoco PLC ADR 1,400 151,900
Chevron Corporation 2,700 257,006
Exxon Corporation 8,500 655,562
Mobil Corporation 3,000 297,000
Royal Dutch Petroleum
Company ADR 14,700 885,675
Texaco, Inc. 2,000 125,000
----------
2,372,143
OIL & GAS - DRILLING & EQUIPMENT - 0.4%
BJ Services Company* 1,400 41,213
Halliburton Company 1,700 76,925
Repsol S.A. ADR 1,200 24,375
Schlumberger Limited 2,600 165,587
Union Pacific Resources Group, Inc. 2,038 33,245
----------
341,345
71 SEE ACCOMPANYING NOTES.
<PAGE>
SCHEDULE OF INVESTMENTS
JUNE 30, 1999
(UNAUDITED)
SERIES N (MANAGED ASSET ALLOCATION)(Continued)
NUMBER MARKET
COMMON STOCKS (Continued) OF SHARES VALUE
- --------------------------------------------------------------------------------
OIL & GAS - EXPLORATION & PRODUCTION - 0.5%
Amerada Hess Corporation 1,000 $ 59,500
Anadarko Petroleum Corporation 600 22,088
Apache Corporation 500 19,500
Burlington Resources, Inc. 1,200 51,900
Ente Nazionale Idrocarburi SPA
S.A. ADR 1,300 78,000
Helmerich & Payne, Inc. 400 9,525
Shell Transport & Trading
Company ADR 3,700 171,587
Total Fina S.A. ADR 1,000 64,438
Unocal Corporation 1,100 43,588
----------
520,126
PAPER & FOREST PRODUCTS - 0.2%
Georgia-Pacific Corporation (GP Group) 800 37,900
Georgia-Pacific Corporation
(Timber Group) 1,200 30,300
International Paper Company 1,900 95,950
Weyerhaeuser Company 400 27,500
----------
191,650
PERSONAL CARE - 0.3%
Avon Products, Inc. 1,900 105,450
Gillette Company 4,500 184,500
----------
289,950
PHARMACEUTICALS - 2.4%
Astrazeneca Group PLC ADR 2,700 105,806
Glaxo Wellcome PLC ADR 2,100 118,913
Eli Lilly & Company 4,300 307,987
Merck & Company, Inc. 9,200 680,800
Pharmacia & Upjohn, Inc. 2,400 136,350
Pfizer, Inc. 5,100 559,725
Schering-Plough Corporation 4,800 254,400
Warner Lambert Company 3,200 222,000
----------
2,385,981
PHOTOGRAPHY/IMAGING - 0.3%
Eastman Kodak Company 1,600 108,400
Xerox Corporation 3,200 189,000
----------
297,400
PUBLISHING - 0.1%
McGraw-Hill Companies, Inc. 1,200 64,725
R.R. Donnelley & Sons Company 1,000 37,062
----------
101,787
PUBLISHING - NEWSPAPER - 0.2%
Gannett Company, Inc. 1,300 92,788
Tribune Company 1,100 95,837
----------
188,625
NUMBER MARKET
COMMON STOCKS (Continued) OF SHARES VALUE
- --------------------------------------------------------------------------------
RAILROADS - 0.3%
Burlington Northern Santa Fe
Corporation 1,800 $ 55,800
CSX Corporation 800 36,250
Kansas City Southern Industries, Inc. 500 31,906
Norfolk Southern Corporation 1,600 48,200
Union Pacific Corporation 1,500 87,469
----------
259,625
RESTAURANTS - 0.4%
Brinker International, Inc.* 1,500 40,781
Darden Restaurants, Inc. 1,400 30,538
McDonald's Corporation 5,200 214,825
Tricon Global Restaurants, Inc.* 1,140 61,702
----------
347,846
RETAIL - APPAREL - 0.2%
GAP, Inc. 3,712 186,992
TJX Companies, Inc. 1,400 46,637
----------
233,629
RETAIL - BUILDING SUPPLIES - 0.5%
Home Depot, Inc. 5,700 367,294
Lowe's Companies, Inc. 1,500 85,031
----------
452,325
RETAIL - DEPARTMENT STORES - 0.3%
Federated Department Stores, Inc.* 1,500 79,406
Kohl's Corporation* 1,000 77,187
May Department Stores Company 1,650 67,444
Nordstrom, Inc. 1,200 40,200
J.C. Penney Company, Inc. 1,500 72,844
----------
337,081
RETAIL - DRUG STORES - 0.2%
CVS Corporation 1,600 81,800
Rite Aid Corporation 1,500 36,938
Walgreen Company 3,200 94,000
----------
212,738
RETAIL - FOOD CHAINS - 0.3%
Albertson's, Inc. 1,893 97,608
Kroger Company* 4,000 111,750
Safeway, Inc.* 1,900 94,050
----------
303,408
RETAIL - GENERAL MERCHANDISE - 1.1%
Costco Companies, Inc.* 1,000 80,062
Dayton Hudson Corporation 1,800 117,000
Dollar General Corporation 781 22,649
Sears, Roebuck and Company 1,900 84,669
Wal-Mart Stores, Inc. 15,600 752,700
----------
1,057,080
72 SEE ACCOMPANYING NOTES.
<PAGE>
SCHEDULE OF INVESTMENTS
JUNE 30, 1999
(Unaudited)
SERIES N (MANAGED ASSET ALLOCATION)(Continued)
NUMBER MARKET
COMMON STOCKS (Continued) OF SHARES VALUE
- --------------------------------------------------------------------------------
RETAIL - SPECIALTY - 0.3%
Circuit City Stores - Circuit
City Group 700 $ 65,100
Payless Shoesource, Inc.* 644 34,454
Staples, Inc.* 1,650 51,047
Tandy Corporation 1,200 58,650
Toys "R" Us, Inc.* 2,100 43,444
----------
252,695
SAVINGS & LOANS - 0.1%
Golden West Financial 500 49,000
Washington Mutual, Inc. 2,400 84,900
----------
133,900
SERVICES - ADVERTISING & MARKETING - 0.1%
Interpublic Group of Companies, Inc. 600 51,975
Omnicom Group, Inc. 1,000 80,000
----------
131,975
SERVICES - COMMERCIAL & CONSUMER - 0.2%
Cendant Corporation* 3,791 77,716
Dun & Bradstreet Corporation 400 14,175
IMS Health, Inc. 1,600 50,000
Service Corporation International 1,700 32,725
Sodexho Marriott Services* 75 1,439
----------
176,055
SERVICES - DATA PROCESSING - 0.4%
Automatic Data Processing, Inc. 3,300 145,200
Ceridian Corporation* 1,200 39,225
Electronic Data Systems Corporation 1,700 96,156
First Data Corporation 1,800 88,087
Paychex, Inc. 1,500 47,813
----------
416,481
TELECOMMUNICATION - CELLULAR - 0.1%
Sprint Corporation ( PCS Group)* 1,750 99,969
TELECOMMUNICATION - LONG DISTANCE - 2.0%
AT&T Corporation 13,359 745,599
MCI WorldCom, Inc.* 7,482 645,323
Sprint Corporation (FON Group) 3,400 179,562
Vodafone AirTouch PLC ADR 1,750 344,750
----------
1,915,234
NUMBER MARKET
COMMON STOCKS (Continued) OF SHARES VALUE
- --------------------------------------------------------------------------------
TELECOMMUNICATIONS - 0.3%
British Telecom PLC ADR 700 $ 119,875
Cia de Telecomunicaciones de
Chile S.A. ADR 425 10,519
Ericsson (L.M.) Telecom Company
ADR (Cl. B) 2,400 79,050
Hong Kong Telecommunications,
Ltd. ADR 800 21,550
Telecom New Zealand ADR 400 13,975
Telecom Braxileiras S.A. ADR* 700 44
Telefonica S.A. ADR* 416 61,227
----------
306,240
TELEPHONE - 2.5%
Alltel Corporation 1,500 107,250
Ameritech Corporation 4,300 316,050
Bell Atlantic Corporation 6,274 410,163
BellSouth Corporation 6,400 300,000
Deutsche Telekom AG ADR 2,700 114,075
France Telecom S.A. ADR 1,400 107,800
GTE Corporation 4,000 302,750
SBC Communciations, Inc. 7,154 414,932
Telebras Spons ADR PFD Block 700 63,131
Telefonos de Mexico ADR 1,800 145,463
U S West, Inc. 2,449 143,879
----------
2,425,493
TEXTILES - APPAREL - 0.1%
Benetton Group SPA ADR 2,080 82,290
TEXTILES - HOME FURNISHINGS - 0.0%
Springs Industries, Inc. (Cl. A) 300 13,087
TIRE & RUBBER PRODUCTS - 0.1%
Goodyear Tire & Rubber Company 900 52,931
TOBACCO - 0.4%
Fortune Brands, Inc. 900 37,238
Gallaher Group PLC ADR 500 12,219
Philip Morris Companies, Inc. 9,400 377,762
----------
427,219
WASTE MANAGEMENT - 0.2%
Browning-Ferris Industries, Inc. 1,474 63,382
Waste Management, Inc. 2,312 124,270
----------
187,652
----------
Total common stocks - 49.2% 48,009,583
73 SEE ACCOMPANYING NOTES
<PAGE>
SCHEDULE OF INVESTMENTS
JUNE 30, 1999
(UNAUDITED)
SERIES N (MANAGED ASSET ALLOCATION)(Continued)
U.S. GOVERNMENT & GOV'T PRINCIPAL MARKET
AGENCY SECURITIES AMOUNT VALUE
- --------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCIES - 11.2%
Fannie Mae, 7.00% - 2022 $ 595,000 $ 597,624
Federal Home Loan Mortgage
Corporation, 4.70% - 10-18-99 685,000 674,437
Government National Mortgage Association,
#67365, 11.50% - 2013 21,538 23,888
#353937, 6.00% - 2023 272,652 259,387
#410777, 7.00% - 2025 86,724 85,830
#780057, 7.50% - 2025 50,093 50,598
#2102, 8.00% - 2025 23,411 23,844
#412429, 8.50% - 2025 30,098 31,364
#410891, 7.00% - 2026 195,576 193,575
#426384, 7.00% - 2026 301,479 298,028
#424476, 7.50% - 2026 237,276 239,552
#432891, 7.50% - 2026 64,565 65,187
#402684, 8.00% - 2026 82,148 84,231
#427029, 8.50% - 2026 121,702 127,035
#435589, 8.50% - 2026 57,627 60,137
#436062, 6.50% - 2028 613,149 591,253
#457815, 6.50% - 2028 183,255 176,579
#464835, 6.50% - 2028 169,939 163,646
#468260, 6.50% - 2028 192,875 185,832
#480423, 6.50% - 2028 170,810 164,522
#457971, 6.50% - 2029 925,279 890,692
#464553, 6.50% - 2029 178,454 171,887
#492673, 6.50% - 2029 622,909 599,606
#494262, 6.50% - 2029 186,537 179,562
#496338, 6.50% - 2029 1,355,449 1,304,647
#496341, 6.50% - 2029 251,951 242,508
#497229, 6.50% - 2029 643,086 618,983
#497237, 6.50% - 2029 796,947 767,077
#498528, 6.50% - 2029 820,940 790,171
#499145, 6.50% - 2029 663,049 638,238
#506284, 6.50% - 2029 202,232 194,652
#426735, 7.50% - 2029 400,000 403,996
-----------
Total U.S. government agencies 10,898,568
U.S. GOVERNMENT SECURITIES - 13.0%
U.S. Treasury Bonds,
6.875% - 2025 35,000 37,916
6.75% - 2026 2,590,000 2,770,445
6.625% - 2027 550,000 580,322
5.50% - 2028 3,260,000 2,980,357
PRINCIPAL
AMOUNT OR
U.S. GOVERNMENT & GOV'T NUMBER MARKET
AGENCY SECURITIES (CONTINUED) OF SHARES VALUE
- --------------------------------------------------------------------------------
U.S. Treasury Notes,
5.625% - 2000 $ 75,000 $ 75,203
6.25% - 2000 $ 475,000 478,995
5.625% - 2001 $ 700,000 701,358
6.25% - 2002 $ 380,000 385,578
5.50% - 2003 $ 1,000,000 989,570
5.875% - 2005 $ 75,000 74,769
6.50% - 2005 $ 100,000 102,819
5.625% - 2006 $ 100,000 98,224
6.50% - 2006 $ 175,000 180,598
6.125% - 2007 $ 900,000 909,387
6.25% - 2007 $ 1,000,000 1,018,680
5.625% - 2008 $ 1,300,000 1,272,895
-----------
12,657,116
-----------
Total U.S. government & government
agency securities - 24.2% 23,555,684
MISCELLANEOUS ASSETS
ASSET-BACKED SECURITIES - 0.1%
Advanta Home Equity Loan Trust
(Cl. A2), 5.95% - 2009 $ 111,053 107,755
REAL ESTATE INVESTMENT TRUSTS - 0.0%
Starwood Hotels & Resorts
Worldwide, Inc. 367 11,216
-----------
Total miscellaneous assets - 0.1% 118,971
FOREIGN STOCKS
AUSTRALIA - 0.3%
Australia & New Zealand Banking
Group, Ltd. 7,600 55,883
Coles Myer, Ltd. 8,100 47,127
Rio Tinto, Ltd. 2,100 34,433
Pacific Dunlop, Ltd. 16,000 23,087
Publishing & Broadcasting 6,400 42,234
Santos, Ltd. 7,400 24,245
Westfield Trust 10,000 20,241
-----------
247,250
BELGIUM - 0.1%
Electrabel S.A 150 48,420
KBC Bancassurance Holdings 1,000 59,300
-----------
107,720
DENMARK - 0.1%
Danisco A/S 1,000 45,189
74 SEE ACCOMPANYING NOTES.
<PAGE>
SCHEDULE OF INVESTMENTS
JUNE 30, 1999
(UNAUDITED)
SERIES N (MANAGED ASSET ALLOCATION)(CONTINUED)
NUMBER MARKET
FOREIGN STOCKS (Continued) OF SHARES VALUE
- --------------------------------------------------------------------------------
FRANCE - 0.9%
Accor S.A 400 $100,449
Axa - UAP 1,100 134,203
Carrefour S.A 300 44,088
Elf Aquitaine S.A 700 102,728
Eridania Beghin-Say S.A 200 28,670
L'Air Liquide 236 37,116
Louis Vuitton Moet Hennessy 550 161,032
Pinault-Printemps-Redoute S.A 700 120,126
Societe Generale de Paris 708 124,784
Technip 400 44,882
--------
898,078
GERMANY - 0.9%
Altana AG 300 16,893
Axa Colonia Konzern AG 1,200 115,093
Bankgesellschaft Berlin AG* 2,000 27,536
BASF AG 1,700 75,125
Bayer AG 2,000 83,329
DaimlerChrylser AG 1,100 95,292
Deutsche Bank AG 1,900 115,903
GEHE AG 2,500 114,990
M.A.N. AG 2,000 68,272
Siemens AG 800 61,713
Veba AG 2,000 117,568
--------
891,714
HONG KONG - 0.3%
Cheung Kong Holdings 10,000 88,930
Hong Kong Electric Holdings, Ltd. 9,000 28,999
Hutchinson Whampoa, Ltd. 14,000 126,758
--------
244,687
ITALY - 0.4%
Banco Commerciale Italiane 13,000 94,921
Instituto Nazionale
Delle Assicurazioni 29,200 67,756
Mediobanca SpA 7,500 78,508
Telecom Italia Mobile SpA 15,100 90,164
Telecom Italia SpA 9,555 99,329
--------
430,678
NUMBER MARKET
FOREIGN STOCKS (CONTINUED) OF SHARES VALUE
- --------------------------------------------------------------------------------
JAPAN - 2.5%
Bridgestone Corporation 5,000 $ 151,190
Canon, Inc. 4,000 115,003
Dai Nippon Printing Company, Ltd. 9,000 143,878
Kao Corporation 6,000 168,539
Kuraray Company, Ltd. 10,000 120,291
Marui Company, Ltd. 9,000 148,711
Matsushita Electric Works 5,000 48,249
Mitsubishi Electric Corporation 9,000 34,575
Mitsubishi Heavy Industries, Ltd. 32,000 129,808
Mitsui & Company, Ltd. 20,000 139,458
Nippon Telegraph & Telephone
Corporation 13 151,438
Nippon Express Company, Ltd. 23,000 137,764
Omron Corporation 5,000 86,748
Ricoh Corporation, Ltd. 6,000 82,584
Sharp Corporation 2,000 23,629
Sony Corporation 1,000 107,816
Sumitomo Chemical Company, Ltd. 33,000 151,314
Sumitomo Marine & Fire 20,000 120,621
Takeda Chemical Industries 3,000 139,045
Terumu Corporation 6,000 133,592
Tokyo Electric Power Company 6,000 126,652
----------
2,460,905
MALAYSIA - 0.0%
Malayan Cement Berhad 7,500 4,443
NETHERLANDS - 0.4%
ABN AMRO Holding NV 7,600 164,595
CSM NV 600 29,980
Ing Groep NV 3,600 194,916
Oce NV 1,200 30,568
----------
420,059
NEW ZEALAND - 0.0%
Lion Nathan, Ltd. 10,000 23,951
SINGAPORE - 0.0%
Cycle & Carriage, Ltd. 3,000 17,269
SWEDEN - 0.1%
Astrazeneca Group PLC 1,614 62,836
SWITZERLAND - 1.0%
ABB, Ltd. 1,102 103,875
Holderbank Financiere Glarus AG 61 72,002
Nestle S.A 109 196,391
Novartis AG 136 198,585
Schweizerische Rueckversicherungs-
Gesellschaft 60 114,242
Sig Schweiz Industrie - Reg 120 71,478
UBS AG 656 195,796
----------
952,369
75 SEE ACCOMPANYING NOTES.
<PAGE>
SCHEDULE OF INVESTMENTS
JUNE 30, 1999
(UNAUDITED)
SERIES N (MANAGED ASSET ALLOCATION)(CONTINUED)
PRINCIPAL
AMOUNT OR
NUMBER MARKET
FOREIGN STOCKS (CONTINUED) OF SHARES VALUE
- --------------------------------------------------------------------------------
UNITED KINGDOM - 1.8%
Abbey National PLC 5,800 $ 108,522
BAA PLC 12,000 115,101
Barclays PLC 6,200 180,704
Blue Circle Industries PLC 9,045 60,203
BG PLC 10,000 61,200
BASS PLC 7,800 113,423
Lonrho Africa PLC 2,500 1,892
GKN PLC 8,400 143,796
HSBC Holdings PLC 4,053 143,747
Powergen PLC 5,000 53,791
Cadbury Schweppes PLC 18,400 117,466
United Utilities PLC 10,400 126,886
Royal & Sun Alliance
Insurance Group 13,636 122,626
Associated British Foods PLC 8,000 52,239
Pearson PLC 6,000 121,344
Smith & Nephew PLC 23,100 70,185
Tesco PLC 40,700 105,536
Tomkins PLC 21,100 91,631
-----------
1,790,292
-----------
Total foreign stocks - 8.8% 8,597,440
TEMPORARY CASH INVESTMENTS
Vista Treasury Institutional Money
Market Fund - 2.1% 2,034,302 2,034,302
COMMERCIAL PAPERS
ElECTRONICS - 0.5%
Motorola, Inc., 4.98% - 7-1-99 $ 433,000 433,000
FINANCIAL SERVICES - 3.7%
Gilfin BV, 5.70% - 7-1-99 $ 3,619,000 3,619,000
-----------
Total commercial paper - 4.2% 4,052,000
-----------
Total investments - 99.8% 97,342,453
Cash & other assets, less liabilites - 0.2% 214,673
-----------
Total net assets - 100.0% $97,557,126
===========
NUMBER MARKET
COMMON STOCKS OF SHARES VALUE
- --------------------------------------------------------------------------------
AEROSPACE/DEFENSE - 1.2%
Boeing Company 32,900 $ 1,453,769
Lockheed Martin Corporation 35,200 1,311,200
-----------
2,764,969
ALUMINUM - 0.7%
Reynolds Metals Company 28,100 1,657,900
AUTO PARTS & EQUIPMENT - 1.2%
Delphi Automotive Systems
Corporation 5,576 103,505
Genuine Parts Company 48,200 1,687,000
TRW, Inc. 19,900 1,092,012
-----------
2,882,517
AUTOMOBILES - 0.3%
General Motors Corporation 12,700 838,200
BANKS - MAJOR REGIONAL - 5.9%
Bank One Corporation 33,367 1,987,422
BankBoston Corporation 25,600 1,308,800
Fleet Financial Group, Inc. 44,400 1,970,250
KeyCorp 16,100 517,213
Mellon Bank Corporation 116,200 4,226,775
Mercantile Bankshares Corporation 27,700 979,887
National City Corporation 18,800 1,231,400
Wells Fargo Company 37,000 1,581,750
-----------
13,803,497
BANKS - MONEY CENTER - 2.4%
Bank of America Corporation 20,100 1,473,581
Chase Manhattan Corporation 19,016 1,647,261
J.P. Morgan & Company, Inc. 18,300 2,571,150
-----------
5,691,992
BEVERAGES - ALCOHOLIC - 1.7%
Anheuser-Busch Companies, Inc. 32,200 2,284,187
Brown-Forman Corporation (Cl. B) 25,700 1,675,319
-----------
3,959,506
BEVERAGES - SOFT DRINK - 0.3%
PepsiCo, Inc. 16,200 626,738
BUILDING MATERIALS - 0.7%
Armstrong World Industries, Inc. 29,300 1,693,906
CHEMICALS - BASIC - 3.3%
Dow Chemical Company 24,900 3,159,188
E.I. du Pont de Nemours & Company 38,400 2,623,200
Great Lakes Chemical Company 35,700 1,644,431
Olin Corporation 30,500 402,219
-----------
7,829,038
CHEMICALS - DIVERSIFIED - 0.9%
Hercules, Inc. 55,000 2,162,188
76 SEE ACCOMPANYING NOTES.
<PAGE>
SCHEDULE OF INVESTMENTS
JUNE 30, 1999
(UNAUDITED)
SERIES O (EQUITY INCOME)(CONTINUED)
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
- --------------------------------------------------------------------------------
CHEMICALS - SPECIALTY - 3.7%
Arch Chemicals, Inc. 8,800 $ 213,950
Imperial Chemical Industries
PLC ADR 20,600 818,850
International Flavors & Fragrances, Inc. 55,100 2,445,062
Minnesota Mining & Manufacturing
Company 29,200 2,538,575
Nalco Chemical Company 34,700 1,800,062
Witco Corporation 51,100 1,022,000
-----------
8,838,499
COMPUTER HARDWARE - 1.3%
Compaq Computer Company 24,800 587,450
Hewlett-Packard Company 25,300 2,542,650
-----------
3,130,100
ELECTRIC COMPANIES - 4.9%
Constellation Energy Group 14,700 435,488
DQE, Inc. 27,400 1,099,425
Duke Energy Corporation 27,300 1,484,437
Entergy Corporation 27,800 868,750
FirstEnergy Corporation 51,157 1,585,867
Niagara Mohawk Holdings, Inc.* 30,100 483,481
Pacificorp 49,600 911,400
Reliant Energy, Inc. 33,500 925,437
Southern Company 57,300 1,518,450
Teco Energy, Inc. 23,600 536,900
Unicom Corporation 40,200 1,550,213
-----------
11,399,848
ELECTRICAL EQUIPMENT - 2.6%
Cooper Industries, Inc. 26,388 1,372,176
General Electric Company 14,900 1,683,700
Honeywell, Inc. 14,500 1,680,187
Hubbell, Inc. (Cl. B) 27,300 1,238,738
-----------
5,974,801
ENTERTAINMENT - 0.2%
Walt Disney Company, Inc. 16,100 496,081
FINANCIAL - DIVERSE - 3.8%
American General Corporation 29,400 2,216,025
Citigroup, Inc. 62,550 2,971,125
Fannie Mae 33,500 2,290,563
H & R Block, Inc. 26,100 1,305,000
-----------
8,782,713
FOODS - 5.7%
Campbell Soup Company 31,400 1,409,075
General Mills, Inc. 40,100 3,223,037
Heinz (H.J.) Company 32,950 1,651,619
Hershey Foods Corporation 23,100 1,371,562
Kellogg Company 36,200 1,194,600
McCormick & Company, Inc.
(Non-Voting) 48,200 1,521,313
Nabisco Group Holdings
Corporation 49,500 968,344
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
- --------------------------------------------------------------------------------
Foods (continued)
Quaker Oats Company 29,400 $ 1,951,425
-----------
13,290,975
GOLD & PRECIOUS METALS MINING - 0.4%
Newmont Mining Corporation 43,400 862,575
HARDWARE & TOOLS - 0.4%
Stanley Works 29,200 939,875
HEALTH CARE - DIVERSE - 2.2%
Abbott Laboratories 33,000 1,501,500
American Home Products Corporation 61,500 3,536,250
-----------
5,037,750
HEALTH CARE - PHARMACEUTICALS - 1.8%
Merck & Company, Inc. 13,200 976,800
Pharmacia & Upjohn, Inc. 57,795 3,283,478
-----------
4,260,278
HOMEBUILDING - 0.5%
PPG Industries, Inc. 20,600 1,216,687
HOUSEHOLD FURNISHINGS & APPLIANCES - 0.8%
Whirlpool Corporation 25,300 1,872,200
HOUSEHOLD PRODUCTS - 2.1%
Fort James Corporation 37,100 1,405,162
Kimberly-Clark Corporation 50,700 2,889,900
Tupperware Corporation 27,900 711,450
-----------
5,006,512
INSURANCE - LIFE & HEALTH - 1.3%
Lincoln National Corporation 25,000 1,307,813
Transamerica Corporation 22,200 1,665,000
-----------
2,972,813
INSURANCE - PROPERTY & CASUALTY - 2.6%
Chubb Corporation 20,400 1,417,800
Safeco Corporation 41,500 1,831,187
St. Paul Companies, Inc. 63,404 2,017,040
XL Capital, Ltd. (Cl. A) 15,300 864,450
-----------
6,130,477
LODGING - HOTELS - 0.3%
Hilton Hotels Corporation 41,600 590,200
MACHINERY - DIVERSE - 0.3%
GATX Corporation 20,200 768,863
MANUFACTURING - DIVERSIFIED - 0.8%
AlliedSignal, Inc. 28,100 1,770,300
MANUFACTURING - SPECIALIZED - 0.7%
Pall Corporation 70,400 1,562,000
77 SEE ACCOMPANYING NOTES.
<PAGE>
SCHEDULE OF INVESTMENTS
JUNE 30, 1999
(UNAUDITED)
SERIES O (EQUITY INCOME)(CONTINUED)
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
- --------------------------------------------------------------------------------
METALS & MINING - 0.8%
Inco, Ltd. 55,500 $ 999,000
Phelps Dodge Corporation 16,000 991,000
-----------
1,990,000
OIL - DOMESTIC - 2.3%
Atlantic Richfield Company 41,600 3,476,200
Phillips Petroleum Company 17,800 895,563
USX-Marathon Group 30,200 983,388
-----------
5,355,151
OIL - INTERNATIONAL - 8.0%
BP Amoco PLC ADR 35,740 3,877,790
Chevron Corporation 32,100 3,055,519
Exxon Corporation 48,800 3,763,700
Mobil Corporation 31,300 3,098,700
Royal Dutch Petroleum
Company ADR 38,500 2,319,625
Texaco, Inc. 41,700 2,606,250
-----------
18,721,584
OIL & GAS - DRILLING & EQUIPMENT - 0.9%
Baker Hughes, Inc. 65,200 2,184,200
OIL & GAS - EXPLORATION & PRODUCTION - 1.6%
Amerada Hess Corporation 37,500 2,231,250
Unocal Corporation 42,100 1,668,212
-----------
3,899,462
PAPER & FOREST PRODUCTS - 2.0%
Consolidated Papers, Inc. 45,000 1,203,750
International Paper Company 69,520 3,510,760
-----------
4,714,510
PHOTOGRAPHY/IMAGING - 1.0%
Eastman Kodak Company 36,000 2,439,000
PUBLISHING - 2.4%
Dow Jones & Company, Inc. 24,800 1,315,950
Knight-Ridder, Inc. 34,400 1,889,850
R.R. Donnelley & Sons Company 33,500 1,241,594
Readers Digest Association, Inc. (Cl. A) 31,500 1,252,125
-----------
5,699,519
RAILROADS - 2.8%
Burlington Northern Santa Fe
Corporation 38,500 1,193,500
Norfolk Southern Corporation 82,500 2,485,312
Union Pacific Corporation 51,100 2,979,769
-----------
6,658,581
REAL ESTATE - 0.3%
Rouse Company 23,300 591,238
RETAIL - DEPARTMENT STORES - 1.1%
J.C. Penney Company, Inc. 29,700 1,442,306
May Department Stores Company 25,650 1,048,444
-----------
2,490,750
PRINCIPAL AMOUNT OR MARKET
COMMON STOCKS (CONTINUED) NUMBER OF SHARES VALUE
- --------------------------------------------------------------------------------
RETAIL - SPECIALTY - 0.5%
Toys "R" Us, Inc. 50,300 $ 1,040,581
SERVICES - COMMERCIAL & CONSUMER - 0.5%
Dun & Bradstreet Corporation 31,500 1,116,281
TELECOMMUNICATIONS - LONG DISTANCE - 0.5%
AT&T Corporation 19,150 1,068,809
TELEPHONE - 8.9%
Alltel Corporation 62,200 4,447,300
BCE, Inc. 33,800 1,666,763
Bell Atlantic Corporation 40,800 2,667,300
Bellsouth Corporation 15,000 703,125
GTE Corporation 47,500 3,595,156
SBC Communications, Inc. 88,152 5,112,816
Telecom Braxileiras S.A. ADR* 13,700 856
Telecomunicacoes
Brasilerias S.A. ADR* 13,700 1,235,569
U S West, Inc. 22,500 1,321,875
------------
20,750,760
TOBACCO - 2.6%
Fortune Brands, Inc. 28,900 1,195,737
Philip Morris Companies, Inc. 61,300 2,463,494
R.J. Reynolds Tobacco Holdings, Inc.* 16,500 519,750
UST, Inc. 66,000 1,930, 500
------------
6,109,481
TRANSPORTATION - MISCELLANEOUS
(BUS/TRUCKING) - 0.2%
Alexander & Baldwin, Inc. 15,300 340,425
WASTE MANAGEMENT - 1.2%
Browning-Ferris Industries, Inc. 52,300 2,248,900
Waste Management, Inc. 9,022 484,933
------------
2,733,833
------------
Total common stocks - 92.6% 216,718,163
U.S. GOVERNMENT & GOVERNMENT AGENCY SECURITIES
U.S. GOVERNMENT SECURITIES - 0.8%
Federal Home Loan Mortgage Corporation,
4.78% - 7-9-99 $ 249,000 248,735
U.S. Treasury Bonds, 6.00% - 2026 $ 400,000 389,856
U.S. Treasury Notes,
5.875% - 1999 $ 100,000 100,291
6.50% - 2001 $ 400,000 407,008
5.75% - 2003 $ 400,000 398,992
5.625% - 2006 $ 200,000 196,448
7.00% - 2006 $ 100,000 105,900
------------
Total U.S. government & government
agency securities - 0.8% 1,847,230
78 SEE ACCOMPANYING NOTES.
<PAGE>
SCHEDULE OF INVESTMENTS
JUNE 30, 1999
(UNAUDITED)
SERIES O (EQUITY INCOME)(CONTINUED)
PRINCIPAL
AMOUNT OR
NUMBER MARKET
REAL ESTATE INVESTMENT TRUSTS OF SHARES VALUE
- --------------------------------------------------------------------------------
REAL ESTATE - INVESTMENT TRUSTS -1.9%
Crescent Real Estate
Equities Company 35,500 $ 843,125
Simon Property Group, Inc. 60,636 1,538,639
Starwood Hotels & Resorts
Worldwide, Inc. 67,549 2,064,466
------------
4,446,230
FOREIGN STOCKS
NETHERLANDS - 0.2%
Unilever NV - CVA 4,900 330,238
UNITED KINGDOM - 0.3%
Smith & Nephew PLC 243,800 740,742
------------
Total foreign stocks - 0.5% 1,070,980
TEMPORARY CASH INVESTMENTS
Vista Treasury Institutional
Money Market Fund - 0.4% 1,000,448 1,000,448
COMMERCIAL PAPER
FINANCIAL SERVICES - 3.6%
Gilfin BV, 5.70% - 7-1-99 $1,885,000 1,885,000
Metlife Funding, Inc.,
5.00% - 7-16-99 $6,532,000 6,518,391
------------
8,403,391
------------
Total investments - 99.8% 233,486,442
Other assets, less liabilities - 0.2% 432,834
------------
Total net assets - 100.0% $233,919,276
============
SERIES P (HIGH YIELD)
CORPORATE BONDS
AEROSPACE/DEFENSE - 0.8%
Burke Industries, Inc.,
10.0% - 2007 $200,000 $151,500
AUTOMOTIVE - 5.6%
Federal-Mogul Corporation,
7.50% - 2009 $75,000 69,281
7.875% - 2010 $200,000 187,500
Hayes Lemmerz International, Inc.,
8.25% - 2008 $250,000 235,625
Lear Corporation, 7.96% - 2005 $250,000 241,875
Mark IV Industries, Inc.,
7.75% - 2006 $200,000 191,500
7.50% - 2007 $100,000 92,250
----------
1,018,031
SERIES P (HIGH YIELD)(CONTINUED)
PRINCIPAL
AMOUNT OR
NUMBER MARKET
CORPORATE BONDS(CONTINUED) OF SHARES VALUE
- --------------------------------------------------------------------------------
BANKING - 2.7%
BF SAUL REIT, 9.75% - 2008 $175,000 $166,031
FCB/NC Capital Trust, 8.05% - 2028 $75,000 71,062
Golden State Holdings, Inc.,
7.125% - 2005 $200,000 193,000
Homeside, Inc., 11.25% - 2003 $50,000 57,375
--------
487,468
BEVERAGES - 0.2%
Delta Beverage Group,
9.75% - 2003 $50,000 51,500
BROKERAGE - 0.5%
SI Financing Trust, Inc., 9.5% - 20261 3,500 91,656
BUILDING MATERIALS - 3.0%
American Plumbing &
Mechanical, Inc., 11.625% - 2008 $300,000 288,750
Knoll, Inc., 10.875% - 2006 $63,000 69,379
Nortek, Inc., 8.875% - 2008 $175,000 179,375
--------
537,504
CAPITAL GOODS - OTHER - 0.3%
Iron Mountain, Inc., 10.125% - 2006 $50,000 53,000
CONSTRUCTION MACHINERY - 3.9%
AGCO Corporation, 8.50% - 2006 $200,000 188,500
Columbus McKinnon Corporation,
8.50% - 2008 $175,000 170,187
Navistar International, 8.00% - 2008 $175,000 181,125
Titan Wheel International, Inc.,
8.75% - 2007 $175,000 167,344
--------
707,156
CONSUMER CYCLICAL - OTHER - 2.3%
American ECO Corporation,
9.625% - 2008 $200,000 115,500
Musicland Group, 9.00% - 2003 $300,000 298,875
--------
414,375
CONSUMER NONCYCLICAL - OTHER - 2.4%
AK Steel Corporation, 7.875% - 2009 $150,000 145,125
California Steel Industries,
8.50% - 2009 $300,000 293,250
--------
438,375
CONSUMER PRODUCTS - 1.4%
Chattem, Inc., 8.875% - 2008 $250,000 246,875
ELECTRIC UTILITY - 4.0%
AES Corporation, 10.25% - 2006 $100,000 102,250
Calpine Corporation,
8.75% - 2007 $175,000 175,875
East Coast Power, LLC,
6.737% - 2008 $150,000 145,687
7.066% - 2012 $150,000 141,938
Niagara Mohawk Power,
7.75% - 2008 $150,000 154,312
--------
720,062
79 SEE ACCOMPANYING NOTES.
<PAGE>
SCHEDULE OF INVESTMENTS
JUNE 30, 1999
(UNAUDITED)
SERIES P (HIGH YIELD) (CONTINUED)
PRINCIPAL MARKET
CORPORATE BONDS (CONTINUED) AMOUNT VALUE
- --------------------------------------------------------------------------------
ENERGY - INDEPENDENT - 0.6%
COHO Energy, Inc.,
8.875% - 2007(5) $100,000 $52,750
Seagull Energy Corporation,
8.625% - 2005 50,000 49,313
----------
102,063
ENERGY - OTHER - 0.7%
P&L Coal Holdings Corporation,
8.875% - 2008 125,000 125,313
ENERGY - REFINING - 1.1%
Crown Central Petroleum,
10.875% - 2005 125,000 113,438
Giant Industries, Inc., 9.0% - 2007 100,000 91,250
----------
204,688
ENTERTAINMENT - 1.0%
Premier Parks, 9.75% - 2007 175,000 182,438
FINANCIAL COMPANIES - 1.0%
CB Richard Ellis Service,
8.875% - 2006 125,000 124,375
Dollar Financial Group, Inc.,
10.875% - 2006 50,000 51,188
----------
175,563
FOOD - 0.9%
Chiquita Brands International, Inc.,
10.25% - 2006 25,000 25,375
Nash Finch Company,
8.50% - 2008 150,000 135,000
----------
160,375
GAMING - 8.5%
Boyd Gaming Corporation,
9.50% - 2007 225,000 224,437
Circus Circus Enterprise,
6.75% - 2003 150,000 140,625
9.25% - 2005 125,000 126,875
Harrahs Operating, Inc.,
7.875% - 2005 250,000 241,875
Hollywood Park, Inc.,
9.25% - 2007 150,000 148,125
Isle of Capri Casinos, 8.75% - 2009 150,000 140,625
MGM Grand, Inc., 6.95% - 2005 125,000 116,406
Mirage Resorts, Inc., 6.625% - 2005 150,000 142,687
Park Place Entertainment,
7.875% - 2005 275,000 261,250
----------
1,542,905
PRINCIPAL MARKET
CORPORATE BONDS (CONTINUED) AMOUNT VALUE
- --------------------------------------------------------------------------------
HEALTHCARE - 3.9%
Genesis Health Ventures, Inc.,
9.875% - 2009 $150,000 $124,125
Multicare Companies, Inc.,
9.0% - 2007 150,000 101,625
Packard Bioscience Company,
9.375% - 2007 75,000 70,688
Prime Medical Services,
8.75% - 2008 100,000 97,750
Rural/Metro, 7.875% - 2008 150,000 135,750
Tenet Healthcare Corporation,
8.125% - 2008 175,000 168,437
----------
698,375
HOME CONSTRUCTION - 6.2%
D.R. Horton, Inc., 8.375% - 2004 200,000 199,000
MDC Holdings, Inc., 8.375% - 2008 100,000 97,000
NVR, Inc., 8.0% - 2005 225,000 218,812
Oakwood Homes Corporation,
8.125% - 2009 275,000 263,656
Standard Pacific Corporation,
8.5% - 2009 225,000 221,625
Toll Corporation, 7.75% - 2007 125,000 119,688
----------
1,119,781
INSURANCE - 0.5%
GENAMERICA Capital, Inc.,
8.525% - 2027 100,000 95,000
LODGING - 4.1%
HMH Properties,
7.875% - 2008 225,000 206,438
8.45% - 2008 50,000 47,375
Prime Hospitality, 9.25% - 2006 200,000 201,500
Vail Resorts, Inc., 8.75% - 2009 300,000 293,250
----------
748,563
MEDIA - CABLE - 4.1%
Adelphia Communications,
9.50% - 2004 21,694 22,697
8.375% - 2008 100,000 99,000
Century Communications,
9.50% -2005 125,000 129,375
8.375% - 2007 75,000 73,313
Diamond Holdings, 9.125% - 2008 150,000 150,375
Jones Intercable, Inc.,
7.625% -2008 200,000 207,500
Rogers Cablesystems, 9.625% - 2002 50,000 52,875
----------
735,135
80 SEE ACCOMPANYING NOTES
<PAGE>
SCHEDULE OF INVESTMENTS
JUNE 30, 1999
(UNAUDITED)
SERIES P (HIGH YIELD) (CONTINUED)
PRINCIPAL MARKET
CORPORATE BONDS (CONTINUED) AMOUNT VALUE
- --------------------------------------------------------------------------------
MEDIA - NONCABLE - 5.7%
Allbritton Communications,
9.75% - 2007 $100,000 $101,000
Big Flower Press Holdings, Inc.,
8.875% - 2007 125,000 118,437
Emmis Communications,
8.125% - 2009 250,000 238,750
Golden Books Publishing, Inc.,
7.65% - 2002(5) 50,000 20,375
Heritage Media Corporation,
8.75% - 2006 50,000 53,500
Hollinger International
Publishing, Inc.,
8.625% - 2005 300,000 303,750
K-III Communications Corporation,
10.25% - 2004 20,000 20,050
USA Networks, 6.75% - 2005 175,000 169,094
----------
1,024,956
METALS - 2.9%
Ameristeel Corporation,
8.75% - 2008 100,000 99,500
Bulong Operations, 12.50% - 2008 175,000 176,313
Simcala, Inc., 9.625% - 2006 100,000 73,250
Wheeling Pittsburgh Corporation,
9.25% - 2007 100,000 96,250
WHX Corporation, 10.50% - 2005 75,000 71,062
----------
516,375
PACKAGING & CONTAINERS - 2.9%
Ball Corporation, 7.75% - 2006 100,000 99,250
Huntsman Packaging Corporation,
9.125% - 2007 125,000 123,437
Indesco International, Inc.,
9.75% - 2008 175,000 115,063
Packaged Ice, Inc., 9.75% - 2005 125,000 124,844
Plastic Containers, Inc.,
10.00% - 2006 50,000 56,375
----------
518,969
RETAILERS - 3.7%
Ames Department Stores, 10.0% - 2006 300,000 293,250
Jo-Ann Stores, 10.375% - 2007 150,000 147,000
Zale Corporation, 8.50% - 2007 225,000 229,781
----------
670,031
SERVICES - 1.6%
Loewen Group, Inc.,
6.70% - 1999(5) 75,000 48,563
Protection One Alarm Monitoring, Inc.,
7.375% - 2005 250,000 237,500
----------
286,063
PRINCIPAL
AMOUNT OR
NUMBER MARKET
CORPORATE BONDS (CONTINUED) OF SHARES VALUE
- --------------------------------------------------------------------------------
TECHNOLOGY - 1.6%
AMKOR Technologies, Inc.,
9.25% - 2006 $300,000 $291,375
TELECOMMUNICATIONS - 11.0%
ALESTRA SA, 12.625% - 2009 $300,000 284,250
Call-Net Enterprise, Inc.,
9.375% - 2009 $150,000 142,875
Loral Space & Communications,
9.5% - 2006 $300,000 261,750
Mastec, Inc., 7.75% - 2008 $300,000 293,625
Mcleodusa, Inc., 8.375% - 2008 $175,000 163,625
MJD Communications, Inc.,
9.50% - 2008 $175,000 174,563
Pac-West Telecom, Inc,
13.5% - 2009 $300,000 297,000
RCN Corporation, 10.00% - 2007 $275,000 277,062
Satelites Mexicanos, Inc.,
10.125% - 2004 $125,000 99,687
-----------
1,994,437
TEXTILES - 0.5%
Westpoint Stevens, 7.875% - 2008 $100,000 96,750
TOBACCO - 0.2%
Dimon, Inc., 8.875% - 2006 $25,000 22,844
Standard Commercial Tobacco
Corporation, 8.875% - 2005 $25,000 20,500
-----------
43,344
TRANSPORTATION - 1.8%
Allied Holdings, Inc., 8.625% - 2007 $100,000 97,375
Pegasus Aviation Lease Securitization,
5.878% - 2029 $300,000 168,726
Teekay Shipping Corporation,
8.32% - 2008 $65,000 61,506
-----------
327,607
-----------
Total corporate bonds - 91.6% 16,577,608
PREFERRED STOCKS
BANKS & CREDIT - 0.1%
California Federal Bank, 9.125% 1,000 26,125
MEDIA - CABLE - 0.6%
CSC Holdings, Inc., 11.125% 922 102,336
MEDIA - NONCABLE - 0.5%
Primedia, Inc., 10.0% - 2008 800 82,000
-----------
Total preferred stocks - 1.2% 210,461
81 SEE ACCOMPANYING NOTES.
<PAGE>
SCHEDULE OF INVESTMENTS
JUNE 30, 1999
(UNAUDITED)
SERIES P (HIGH YIELD) (CONTINUED)
NUMBER OF MARKET
COMMON STOCKS SHARES VALUE
- --------------------------------------------------------------------------------
BROADCAST MEDIA - 0.3%
Infinity Broadcasting Corporation 2,000 $ 59,500
REAL ESTATE INVESTMENT TRUST - 1.9%
Bedford Property Investors, Inc., 2,400 42,900
Centerpoint Properties Corporation 875 32,047
Duke-Weeks Realty Corporation 1,275 28,767
First Industrial Realty Trust, Inc. 1,620 44,449
KIMCO Realty Corporation 750 29,344
Prentiss Properties Trust 3,375 79,313
Prologis Trust 2,000 40,500
Reckson Associates Realty
Corporation 1,795 42,182
-----------
339,502
-----------
Total common stocks - 2.2% 399,002
-----------
Total investments - 95.0% 17,187,071
Cash and other assets, less liabilities - 5.0% 918,065
-----------
Total net assets - 100.0% $18,105,136
===========
SERIES S (SOCIAL AWARENESS)
AIRLINES - 0.6%
AMR Corporation* 18,900 $1,289,925
ALUMINUM - 0.5%
Alcoa, Inc. 16,400 1,014,750
AUTO PARTS & EQUIPMENT - 0.6%
Dana Corporation 7,200 331,650
Snap-on, Inc. 25,500 922,781
----------
1,254,431
BANKS - MAJOR REGIONAL - 4.2%
Bank of New York Company, Inc. 50,100 1,838,044
Bank One Corporation 47,880 2,851,852
Northern Trust Corporation 22,600 2,192,200
Wells Fargo Company 51,300 2,193,075
----------
9,075,171
BANKS - MONEY CENTER - 1.9%
Bank of America Corporation 26,000 1,906,125
Chase Manhattan Corporation 23,600 2,044,350
----------
3,950,475
BEVERAGES - SOFT DRINK - 2.3%
Coca-Cola Company 80,200 5,012,500
BROADCAST MEDIA - 1.7%
Chancellor Media Corporation* 15,700 865,463
Comcast Corporation (CI. A) 41,200 1,583,625
Viacom, Inc. (CI. B)* 24,800 1,091,200
----------
3,540,288
NUMBER OF MARKET
COMMON STOCKS(CONTINUED) SHARES VALUE
- --------------------------------------------------------------------------------
CHEMICALS - BASIC - 1.0%
Praxair, Inc. 43,300 $2,118,994
CHEMICALS - SPECIALTY - 1.0%
Fuller (H.B.) Company 17,900 1,223,913
Nalco Chemical Company 10,300 534,312
Sigma-Aldrich Corporation 8,900 306,494
-----------
2,064,719
COMMUNICATION EQUIPMENT - 3.7%
ADC Telecommunications, Inc.* 37,600 1,713,150
Comverse Technology, Inc.* 22,500 1,698,750
Lucent Technologies, Inc. 23,760 1,602,315
Scientific-Atlanta, Inc. 24,400 878,400
Tellabs, Inc. 30,200 2,040,388
-----------
7,933,003
COMPUTER HARDWARE - 4.4%
Compaq Computer Corporation 55,200 1,307,550
Hewlett-Packard Company 22,900 2,301,450
International Business Machines
Corporation 44,400 5,738,700
-----------
9,347,700
COMPUTER SOFTWARE/SERVICES - 6.6%
Adobe Systems, Inc. 14,800 1,215,912
Affiliated Computer
Services, Inc. (Cl. A)* 25,900 1,311,188
American Management Systems, Inc.* 37,900 1,215,169
Computer Associates
International, Inc. 20,000 1,100,000
Microsoft Corporation* 104,300 9,406,556
-----------
14,248,825
COMPUTERS - NETWORKING - 2.6%
Cisco Systems, Inc.* 87,050 5,598,403
COMPUTERS - PERIPHERALS - 0.8%
EMC Corporation* 32,800 1,804,000
CONSUMER FINANCE - 0.6%
Household International, Inc. 29,200 1,383,350
DISTRIBUTION - FOOD & HEALTH - 0.6%
Cardinal Health, Inc. 20,700 1,327,387
ELECTRICAL EQUIPMENT - 3.3%
Cooper Industries, Inc. 38,300 1,991,600
Emerson Electric Company 31,900 2,005,713
Hubbell, Inc. (Cl. B) 23,300 1,057,237
Thomas & Betts Corporation 44,700 2,112,075
-----------
7,166,625
ELECTRONICS - DEFENSE - 0.6%
Molex, Inc. 32,800 1,213,600
82 SEE ACCOMPANYING NOTES.
<PAGE>
SCHEDULE OF INVESTMENTS
JUNE 30, 1999
(UNAUDITED)
SERIES S (SOCIAL AWARENESS)(CONTINUED)
NUMBER OF MARKET
COMMON STOCKS(CONTINUED) SHARES VALUE
- --------------------------------------------------------------------------------
ELECTRONICS - DISTRIBUTION - 0.3%
W.W. Grainger, Inc. 13,000 $699,563
ELECTRONICS - SEMICONDUCTORS - 4.2%
Analog Devices, Inc.* 33,000 1,656,187
Intel Corporation 110,600 6,580,700
Texas Instruments, Inc. 5,900 855,500
----------
9,092,387
ENGINEERING & CONSTRUCTION - 0.5%
Granite Construction, Inc. 39,700 1,163,706
ENTERTAINMENT - 1.7%
Time Warner, Inc. 28,600 2,059,200
Walt Disney Company 52,000 1,602,250
----------
3,661,450
FINANCIAL - DIVERSE - 4.0%
American Express Company 14,400 1,873,800
American General Corporation 21,100 1,590,413
Fannie Mae 32,500 2,222,187
Freddie Mac 28,800 1,670,400
Finova Group, Inc. 24,400 1,284,050
----------
8,640,850
FOODS - 1.1%
Bestfoods 10,800 534,600
General Mills, Inc. 12,500 1,004,688
Kellogg Company 27,000 891,000
----------
2,430,288
HEALTH CARE - DIVERSE - 2.1%
Johnson & Johnson 46,532 4,560,136
HEALTH CARE - SPECIALIZED SERVICES - 0.3%
ALZA Corporation* 11,800 600,325
HOUSEHOLD FURNISHING & APPLIANCES - 0.7%
Leggett & Platt, Inc. 56,200 1,563,062
HOUSEHOLD PRODUCTS - 2.8%
Colgate-Palmolive Company 17,000 1,678,750
Kimberly-Clark Corporation 16,000 912,000
Procter & Gamble Company 37,400 3,337,950
----------
5,928,700
HOSPITAL MANAGEMENT - 0.3%
Health Management Associates, Inc.* 49,200 553,500
INSURANCE - LIFE/HEALTH - 0.6%
UNUM Corporation 23,800 1,303,050
INSURANCE - MULTI-LINE - 2.6%
American International Group, Inc. 46,773 5,475,364
INSURANCE - PROPERTY & CASUALTY - 0.5%
Chubb Corporation 17,000 1,181,500
INVESTMENT BANK/BROKERAGE - 0.2%
Edwards (A.G.), Inc. 11,700 377,325
NUMBER OF MARKET
COMMON STOCKS(CONTINUED) SHARES VALUE
- --------------------------------------------------------------------------------
LEISURE TIME PRODUCTS - 0.5%
Mattel, Inc. 38,500 $1,017,844
MACHINERY - DIVERSE - 2.0%
Case Corporation 59,300 2,853,812
Milacron, Inc. 74,800 1,383,800
----------
4,237,612
MANUFACTURING - DIVERSIFIED - 0.7%
Illinois Tool Works, Inc. 17,400 1,426,800
MANUFACTURING - SPECIALIZED - 0.5%
Avery Dennison Corporation 18,200 1,098,825
MEDICAL PRODUCTS & SUPPLIES - 1.6%
Boston Scientific Corporation* 26,400 1,159,950
Guidant Corporation 14,400 740,700
Medtronic, Inc. 20,900 1,627,587
----------
3,528,237
OFFICE EQUIPMENT & SUPPLIES - 0.5%
Pitney Bowes, Inc. 16,200 1,040,850
OIL - DOMESTIC - 0.9%
Atlantic Richfield Company 23,200 1,938,650
OIL - INTERNATIONAL - 1.1%
BP Amoco PLC 21,040 2,282,840
OIL & GAS - DRILLING & EQUIPMENT - 1.5%
BJ Services Company* 55,200 1,624,950
Noble Drilling Corporation* 51,100 1,006,031
Smith International, Inc.* 13,200 573,375
----------
3,204,356
OIL & GAS - EXPLORATION & PRODUCTION - 2.1%
Anadarko Petroleum Corporation 55,800 2,054,138
Apache Corporation 60,700 2,367,300
----------
4,421,438
PAPER & FOREST PRODUCTS - 1.2%
Mead Corporation 45,200 1,887,100
Westavco Corporation 21,600 626,400
----------
2,513,500
PERSONAL CARE - 0.6%
Gillette Company 33,000 1,353,000
PHARMACEUTICALS - 4.1%
Merck & Company, Inc. 79,000 5,846,000
Schering-Plough Corporation 55,100 2,920,300
----------
8,766,300
PHOTOGRAPHY / IMAGING - 0.5%
Xerox Corporation 19,800 1,169,438
PUBLISHING - 0.4%
McGraw-Hill Companies, Inc. 14,200 765,912
83 SEE ACCOMPANYING NOTES.
<PAGE>
SCHEDULE OF INVESTMENTS
JUNE 30, 1999
(UNAUDITED)
SERIES S (SOCIAL AWARENESS)(CONTINUED)
NUMBER OF MARKET
COMMON STOCKS(CONTINUED) SHARES VALUE
- --------------------------------------------------------------------------------
PUBLISHING - NEWSPAPER - 0.5%
New York Times Company (Cl. A) 29,400 $1,082,288
RAILROADS - 0.2%
Norfolk Southern Corporation 14,300 430,788
RESTAURANTS - 1.4%
McDonald's Corporation 41,400 1,710,337
Starbucks Corporation* 37,000 1,389,813
-----------
3,100,150
RETAIL - APPAREL - 0.4%
Talbots, Inc. 23,500 895,937
RETAIL - BUILDING SUPPLIES - 0.9%
Lowe's Companies, Inc. 34,200 1,938,713
RETAIL - DEPARTMENT STORES - 0.5%
Kohl's Corporation* 13,200 1,018,875
RETAIL - DRUG STORES - 0.8%
CVS Corporation 32,800 1,676,900
RETAIL - FOOD CHAINS - 0.6%
Kroger Company* 49,000 1,368,937
RETAIL - GENERAL MERCHANDISE - 3.4%
Consolidated Stores Corporation* 46,300 1,250,100
Dayton Hudson Corporation 32,800 2,132,000
Family Dollar Stores, Inc. 70,000 1,680,000
Kmart Corporation* 102,000 1,676,625
Sears, Roebuck & Company 13,500 601,594
-----------
7,340,319
SAVINGS & LOAN - 0.2%
Washington Mutual, Inc. 15,120 534,870
SERVICES - ADVERTISING & MARKETING - 1.0%
Omnicom Group, Inc. 26,900 2,152,000
SERVICES - COMPUTER SYSTEMS - 0.5%
SunGard Data Systems, Inc.* 28,500 983,250
TELECOMMUNICATIONS - CELLULAR - 0.6%
Sprint Corporation (PCS Group)* 22,650 1,293,881
TELECOMMUNICATIONS - LONG DISTANCE - 3.5%
AT&T Corporation 104,112 5,810,751
Sprint Corporation (FON Group) 31,000 1,637,188
-----------
7,447,939
TELEPHONE - 5.0%
Ameritech Corporation 30,900 2,271,150
Bell Atlantic Corporation 44,900 2,935,337
Bellsouth Corporation 45,200 2,118,750
SBC Communications, Inc. 60,800 3,526,400
-----------
10,851,637
NUMBER OF MARKET
COMMON STOCKS(CONTINUED) SHARES VALUE
- --------------------------------------------------------------------------------
TRUCKING - 0.2%
FDX Corporation* 9,000 $ 488,250
TRUCKING PARTS & SUPPLIES - 0.1%
Federal-Mogul Corporation 5,800 301,600
------------
Total common stocks - 96.9% 208,247,288
Cash and other assets, less liabilities - 3.1% 6,760,511
------------
Total net assets - 100.0% $215,007,799
============
SERIES V (VALUE)
COMMON STOCKS
AGRICULTURAL PRODUCTS - 2.0%
Agribrands International, Inc.* 13,800 $545,963
AUTO PARTS & EQUIPMENT - 1.1%
Motorcar Parts & Accessories, Inc.* 54,000 290,250
BANKS - MAJOR REGIONAL - 0.8%
BankBoston Corporation 4,300 219,837
BIOTECHNOLOGY - 0.9%
Ligand Pharmaceuticals, Inc. (Cl. B)* 22,000 244,750
CHEMICALS - SPECIALTY - 1.2%
Material Sciences Corporation* 22,000 331,375
COMMUNICATION EQUIPMENT - 2.1%
Comverse Technology, Inc.* 7,000 528,500
Transcrypt International, Inc.* 17,800 24,475
------------
552,975
COMPUTER HARDWARE - 1.2%
Silicon Graphics, Inc.* 19,000 311,125
COMPUTER SOFTWARE/SERVICES - 5.6%
AXENT Technologies, Inc.* 26,000 289,250
Computer Sciences Corporation* 7,500 518,906
DST Systems, Inc.* 3,000 188,625
JDA Software Group, Inc.* 56,000 521,500
------------
1,518,281
CONTAINERS & PACKAGING - 1.4%
Crown Cork & Seal Company, Inc. 13,600 387,600
84 SEE ACCOMPANYING NOTES.
<PAGE>
SCHEDULE OF INVESTMENTS
JUNE 30, 1999
(UNAUDITED)
SERIES V (VALUE)(CONTINUED)
NUMBER OF MARKET
COMMON STOCKS(CONTINUED) SHARES VALUE
- --------------------------------------------------------------------------------
ELECTRICAL EQUIPMENT - 5.1%
Benchmark Electronics, Inc.* 14,700 $528,281
Maxwell Technologies, Inc.* 20,500 493,281
Rockwell International Corporation 5,700 346,275
----------
1,367,837
ELECTRONICS - INSTRUMENTATION - 1.4%
E G & G, Inc. 10,500 374,063
ELECTRONICS - SEMICONDUCTORS - 0.7%
S3, Inc.* 19,300 175,509
FOODS - 1.7%
Hormel Foods Corporation 8,600 346,150
International Home Foods, Inc.* 6,000 110,625
----------
456,775
GAMING & LOTTERY - 2.3%
Mandalay Resort Group* 29,500 623,187
GOLD COMPANIES - 0.4%
Homestake Mining Company 14,000 114,625
HEALTH CARE - LONG TERM CARE - 3.1%
Beverly Enterprises, Inc.* 39,000 314,438
HCR Manor Care, Inc.* 22,000 532,125
----------
846,563
HEALTH CARE - SPECIALIZED SERVICES - 3.3%
CryoLife, Inc.* 39,000 477,750
Morrison Health Care, Inc. 16,000 400,000
----------
877,750
HOSPITAL MANAGEMENT - 1.7%
Quorum Health Group, Inc.* 36,000 452,250
INSURANCE - LIFE/HEALTH - 2.9%
AFLAC, Inc. 6,000 287,250
UNUM Corporation 9,000 492,750
----------
780,000
INSURANCE - PROPERTY & CASUALTY - 1.5%
Horace Mann Educators Corporation 14,400 391,500
INVESTMENT BANK/BROKERAGE - 0.9%
Legg Mason, Inc. 6,600 254,100
LEISURE TIME PRODUCTS - 5.6%
Hasbro, Inc. 15,000 419,063
Mattel, Inc. 25,000 660,937
Midway Games, Inc.* 33,000 426,938
----------
1,506,938
MANUFACTURING - DIVERSIFIED - 0.9%
AEP Industries, Inc.* 8,000 242,000
MEDICAL PRODUCTS & SUPPLIES - 1.5%
Sunrise Medical, Inc.* 55,000 391,875
NUMBER OF MARKET
COMMON STOCKS(CONTINUED) SHARES VALUE
- --------------------------------------------------------------------------------
NATURAL GAS - 2.4%
Equitable Resources, Inc. 17,000 $641,750
OIL - INTERNATIONAL - 2.7%
Tesoro Petroleum Corporation* 45,600 726,750
OIL & GAS - DRILLING & EQUIPMENT - 5.1%
BJ Services Company* 20,000 588,750
Transocean Offshore, Inc. 30,000 787,500
----------
1,376,250
OIL & GAS - EXPLORATION & PRODUCTION - 11.7%
Anadarko Petroleum Corporation 13,000 478,562
Apache Corporation 20,000 780,000
Burlington Resources, Inc. 11,000 475,750
Chieftain International, Inc.* 30,000 525,000
Evergreen Resources, Inc.* 12,000 302,250
MCN Energy Group, Inc. 5,500 115,844
Ocean Energy, Inc.* 50,000 481,250
----------
3,158,656
PHARMACEUTICALS - 4.2%
Mylan Laboratories, Inc. 20,000 530,000
Noven Pharmaceuticals, Inc.* 44,000 266,063
Teva Pharmaceutical Industries,
Ltd. ADR 6,800 333,200
----------
1,129,263
PUBLISHING - NEWSPAPER - 0.7%
E.W. Scripps Company (Cl. A) 4,200 199,762
RAILROADS - 2.7%
RailAmerica, Inc.* 70,000 721,875
RESTAURANTS - 3.3%
Cheesecake Factory, Inc.* 8,000 244,000
Sonic Corporation* 20,000 652,500
----------
896,500
RETAIL - APPAREL - 1.4%
Talbots, Inc. 10,000 381,250
RETAIL - SPECIALTY - 0.9%
Keystone Automotive Industries, Inc.* 13,500 234,563
SERVICES - ADVERTISING & MARKETING - 1.1%
True North Communications, Inc. 10,300 309,000
SERVICES - COMMERCIAL & CONSUMER - 5.8%
Angelica Corporation 30,000 528,750
Cerner Corporation* 21,000 440,344
Tier Technologies, Inc.* 85,000 595,000
----------
1,564,094
SERVICES - COMPUTER SYSTEMS - 1.3%
Comdisco, Inc. 14,000 358,750
85 SEE ACCOMPANYING NOTES.
<PAGE>
SCHEDULE OF INVESTMENTS
JUNE 30, 1999
(UNAUDITED)
SERIES V (VALUE)(CONTINUED)
NUMBER OF MARKET
COMMON STOCKS(CONTINUED) SHARES VALUE
- --------------------------------------------------------------------------------
TEXTILES - APPAREL - 2.0%
Kellwood Company 20,000 $ 542,500
TRUCKING - 0.1%
Motor Cargo Industries, Inc.* 2,300 19,550
-----------
Total common stocks - 94.7% 25,517,641
Cash and other assets, less liabilities - 5.3% 1,421,326
-----------
Total net assets - 100.0% $26,938,967
===========
SERIES X (SMALL CAP)
COMMON STOCKS
AIR FREIGHT - 0.4%
C.H. Robinson Worldwide, Inc. 1,000 $ 36,750
AIRLINES - 0.9%
Midwest Express Holdings, Inc.* 2,300 78,200
BIOTECHNOLOGY - 4.2%
IDEC Pharmaceuticals Corporation* 2,100 161,831
Liposome Company, Inc.* 6,000 114,750
Millennium Pharmaceuticals, Inc.* 2,200 79,200
-----------
355,781
BROADCAST MEDIA - 0.5%
Cumulus Media, Inc.* 2,000 43,750
COMMUNICATION EQUIPMENT - 11.2%
ANTEC Corporation* 5,500 176,344
Applied Micro Circuits Corporation* 1,400 115,150
Computer Network Technology
Corporation* 7,700 166,513
Digital Microwave Corporation* 5,800 73,950
Harmonic, Inc.* 2,500 143,594
Powerwave Technologies, Inc.* 3,000 96,750
Proxim, Inc.* 2,500 145,000
Tut Systems, Inc.* 600 29,363
-----------
946,664
COMPUTER HARDWARE - 0.5%
Security Dynamics Technologies, Inc.* 2,000 42,500
COMPUTER SOFTWARE/SERVICES - 8.6%
Broadvision, Inc.* 1,100 81,125
Business Objects ADR* 3,300 120,450
Electronics for Imaging, Inc.* 2,400 123,300
International Integration, Inc.* 2,000 45,000
ISS Group, Inc.* 2,700 101,925
New Era Of Networks, Inc.* 1,500 65,906
Verity, Inc.* 3,500 189,656
-----------
727,362
NUMBER OF MARKET
COMMON STOCKS(CONTINUED) SHARES VALUE
- --------------------------------------------------------------------------------
COMPUTERS - NETWORKING - 0.6%
International Network Services* 1,300 $ 52,488
ELECTRONICS - DEFENSE - 1.1%
Alpha Industries, Inc.* 2,000 95,250
ELECTRONICS - INSTRUMENTATION - 1.5%
Sawtek, Inc.* 2,800 128,450
ELECTRONICS - SEMICONDUCTORS - 7.6%
Advanced Energy Industries, Inc.* 2,300 93,294
Credence Systems Corporation* 2,200 81,675
Flextronics International, Ltd.* 1,400 77,700
Genesis Microchip, Inc.* 1,500 35,438
Micrel, Inc.* 700 51,800
PRI Automation, Inc.* 3,100 112,375
Transwitch Corporation* 4,000 189,500
--------
641,782
ENGINEERING & CONSTRUCTION - 1.7%
Dycom Industries, Inc.* 2,500 140,000
EQUIPMENT - SEMICONDUCTORS - 1.3%
Galileo Technology, Ltd.* 2,500 113,281
HEALTH CARE - DIVERSE - 1.3%
Priority Healthcare Corporation (Cl. B)* 3,150 108,675
INSURANCE - PROPERTY & CASUALTY - 0.7%
Radian Group, Inc. 1,200 58,575
INVESTMENT BANK/BROKERAGE - 1.2%
Hambrecht & Quist Group* 2,800 103,950
LODGING - HOTELS - 0.5%
American Classic Voyages Company* 1,800 43,200
MANUFACTURING - SPECIALIZED - 4.1%
Astec Industries, Inc.* 3,400 138,550
Optical Coating Laboratory, Inc. 2,500 209,063
--------
347,613
MEDICAL PRODUCTS & SUPPLIES - 3.7%
Advanced Neuromodulation
System, Inc.* 4,500 42,750
CONMED Corporation* 2,100 64,313
Hooper Holmes, Inc. 2,100 42,788
IGEN International, Inc.* 1,300 37,862
Xomed Surgical Products, Inc.* 2,500 121,719
--------
309,432
86 SEE ACCOMPANYING NOTES.
<PAGE>
SCHEDULE OF INVESTMENTS
JUNE 30, 1999
(UNAUDITED)
SERIES X (SMALL CAP)(CONTINUED)
NUMBER OF MARKET
COMMON STOCKS(CONTINUED) SHARES VALUE
- --------------------------------------------------------------------------------
OFFICE EQUIPMENT & SUPPLIES - 0.6%
Polycom, Inc.* 1,200 $ 46,800
OIL & GAS - DRILLING & EQUIPMENT - 2.8%
BJ Services Company* 2,500 73,594
Global Industries, Ltd.* 7,500 96,094
Rowan Companies, Inc. 2,700 49,781
Smith International, Inc. 500 21,719
--------
241,188
OIL & GAS - EXPLORATION & PRODUCTION - 3.7%
Helmerich & Payne, Inc. 2,900 69,056
Louis Dreyfus Natural Gas
Corporation* 4,000 86,250
Pogo Producing Company 3,200 59,600
Stone Energy Corporation* 2,400 101,700
--------
316,606
PHARMACEUTICALS - 2.0%
Andrx Corporation* 600 46,275
Barr Laboratories, Inc.* 1,500 59,812
QLT PhotoTherapeutics, Inc.* 1,100 60,500
--------
166,587
RESTAURANTS - 1.4%
Applebees International, Inc.* 4,000 120,500
RETAIL - APPAREL - 4.6%
American Eagle Outfitters, Inc.* 2,900 131,950
Children's Place Retail Stores, Inc.* 4,000 162,000
Talbots, Inc. 2,500 95,312
--------
389,262
RETAIL - DEPARTMENT STORES - 2.0%
99 Cents Only Stores* 400 19,975
Ames Department Stores, Inc.* 2,500 114,062
ShopKo Stores, Inc.* 1,000 36,250
--------
170,287
RETAIL - FOOD CHAINS - 0.4%
NPC International, Inc.* 2,300 35,362
RETAIL - GENERAL MERCHANDISE - 3.6%
BJ's Wholesale Club, Inc.* 1,300 39,081
Cost Plus, Inc.* 2,600 118,300
Fossil, Inc.* 1,200 58,050
Linens 'N Things, Inc.* 2,100 91,875
--------
307,306
RETAIL - SPECIALTY - 1.9%
PETsMART, Inc.* 6,000 61,500
Pier 1 Imports, Inc. 5,000 56,250
Zany Brainy, Inc.* 4,200 40,687
--------
158,437
NUMBER OF MARKET
COMMON STOCKS(CONTINUED) SHARES VALUE
- --------------------------------------------------------------------------------
SERVICES - ADVERTISING & MARKETING - 3.2%
Laser Vision Centers, Inc.* 1,900 $ 119,700
Metris Companies, Inc. 3,600 146,700
----------
266,400
SERVICES - COMMERCIAL & CONSUMER - 7.5%
Copart, Inc.* 3,500 74,375
Exodus Communications, Inc.* 300 35,981
International Telecommunication
Data Systems, Inc.* 7,200 115,200
Labor Ready, Inc.* 3,000 97,500
Pierce Leahy Corporation* 1,600 39,500
Profit Recovery Group
International, Inc.* 1,600 75,700
Quanta Services, Inc.* 2,100 92,400
Realty Information Group, Inc.* 2,300 100,050
----------
630,706
SERVICES - DATA PROCESSING - 1.5%
MedQuist, Inc.* 3,000 131,250
TELECOMMUNICATIONS - CELLULAR - 2.0%
Pinnacle Holdings, Inc.* 4,000 98,000
Research in Motion Ltd.* 3,500 70,875
----------
168,875
TELECOMMUNICATIONS - LONG DISTANCE - 1.8%
GlobeSpan, Inc.* 500 19,875
Viatel, Inc.* 2,400 134,700
----------
154,575
TELEPHONE - 0.9%
NEXTLINK Communications, Inc.* 1,000 74,375
----------
Total common stocks - 91.5% 7,752,219
Cash and other assets, less liabilities - 8.5% 721,735
----------
Total net assets - 100.0% $8,473,954
==========
SERIES Y (SELECT 25)
COMMON STOCKS
BROADCAST MEDIA - 4.0%
Clear Channel Communications, Inc.* 4,100 $282,644
COMMUNICATION EQUIPMENT - 3.6%
Lucent Technologies, Inc. 3,800 256,263
COMPUTER HARDWARE - 6.1%
Dell Computer Corporation* 4,600 170,200
Sun Microsystems, Inc.* 3,800 261,725
----------
431,925
87 SEE ACCOMPANYING NOTES.
<PAGE>
SCHEDULE OF INVESTMENTS
JUNE 30, 1999
(UNAUDITED)
SERIES Y (SELECT 25)(CONTINUED)
NUMBER OF MARKET
COMMON STOCKS(CONTINUED) SHARES VALUE
- --------------------------------------------------------------------------------
COMPUTER SOFTWARE/SERVICES - 7.6%
America Online, Inc.* 2,500 $276,250
Microsoft Corporation* 2,900 261,544
--------
537,794
COMPUTERS - NETWORKING - 3.7%
Cisco Systems, Inc.* 4,100 263,681
COMPUTERS - PERIPHERALS - 3.9%
EMC Corporation* 5,000 275,000
DISTRIBUTION - FOOD & HEALTH - 3.8%
Cardinal Health, Inc. 4,200 269,325
ELECTRICAL EQUIPMENT - 3.7%
General Electric Company 2,300 259,900
ENTERTAINMENT - 4.0%
Time Warner, Inc. 3,900 280,800
FINANCIAL - DIVERSE - 3.8%
Fannie Mae 3,900 266,663
HEALTH CARE - DIVERSE - 7.8%
Abbott Laboratories 6,000 273,000
Bristol-Myers Squibb Company 3,900 274,706
--------
547,706
HOUSEHOLD PRODUCTS - 3.6%
Colgate-Palmolive Company 2,600 256,750
MANUFACTURING - DIVERSIFIED - 3.9%
Tyco International, Ltd. 2,900 274,775
MEDICAL PRODUCTS & SUPPLIES - 4.0%
Medtronic, Inc. 3,600 280,350
PHARMACEUTICALS - 7.9%
Schering-Plough Corporation 5,300 280,900
Warner-Lambert Company 4,000 277,500
--------
558,400
RETAIL - BUILDING SUPPLIES - 3.8%
Home Depot, Inc. 4,200 270,637
RETAIL - DRUG STORES - 3.8%
Walgreen Company 9,100 267,312
RETAIL - GENERAL MERCHANDISE - 3.9%
Wal-Mart Stores, Inc. 5,700 275,025
NUMBER OF MARKET
COMMON STOCKS(CONTINUED) SHARES VALUE
- --------------------------------------------------------------------------------
SERVICES - ADVERTISING & MARKETING - 4.1%
Omnicom Group, Inc. 3,600 $288,000
SERVICES - DATA PROCESSING - 3.9%
Automatic Data Processing, Inc. 6,300 277,200
TELECOMMUNICATIONS - LONG DISTANCE - 3.5%
MCI WorldCom, Inc.* 2,900 250,125
----------
Total common stocks - 94.4% 6,670,275
Cash and other assets, less liabilities - 5.6% 393,686
----------
Total net assets - 100.0% $7,063,961
==========
The identified cost of investments owned at June 30, 1999, was the same for
federal income tax and financial statement purposes.
*Securities on which no cash dividend was paid during the preceding twelve
months.
ADR (American Depositary Receipt)
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 notes or debentures. Institutions may defer cash payments for up to 10
pay periods.
(2)Variable rate security.
(3)Principal amount on foreign bond is reflected in local currency (e.g., Danish
krone) while market value is reflected in U.S. dollars.
(4)Deferred interest obligation currently zero under terms of initial offering.
(5)Non-income producing.
(6)Security is segregated as collateral for futures or forward contracts.
88 SEE ACCOMPANYING NOTES.
<PAGE>
STATEMENTS OF ASSETS AND LIABILITIES
JUNE 30, 1999
(UNAUDITED)
<TABLE>
<CAPTION>
SERIES B SERIES C SERIES D SERIES E
SERIES A (GROWTH- (MONEY (WORLWIDE (HIGH GRADE
(GROWTH) INCOME) MARKET) EQUITY) INCOME)
------------- ------------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C>
ASSETS
Investments, at value
(identified cost $778,906,755,
$1,175,878,243, $152,026,980,
$305,654,911 and $152,870,654
respectively) $1,378,965,977 $1,249,919,477 $151,930,524 $365,120,799 $147,690,051
Cash 51,382,589 23,237,876 145,628 20,663,833 3,620,735
Receivables:
Fund shares sold 1,090,801 347,725 631,636 295,973 213,007
Securities sold 4,190,122 -- 302,887 2,963,269 988
Interest 174,847 1,215,558 269,846 54,767 2,426,790
Dividends 858,186 2,299,806 -- 422,709 --
Prepaid expenses 14,066 14,829 1,838 4,315 403
Foreign taxes recoverable -- -- -- 405,349 --
-------------- -------------- ------------ ------------ ------------
Total assets 1,436,676,588 1,277,035,271 153,282,359 389,931,014 153,951,974
-------------- -------------- ------------ ------------ ------------
Liabilities
Payable for:
Securities purchased $ 2,066,652 $ 3,761,438 $ -- $ 8,411,290 $ --
Fund shares redeemed 1,221,187 617,936 853,042 420,098 66,772
Forward foreign exchange contracts -- -- -- 328,951 --
Other liabilities:
Management fees 937,467 853,242 71,973 330,862 103,053
Custodian fees 7,126 1,040 1,532 60,727 12,797
Transfer and administration fees 56,711 51,634 6,951 48,383 6,568
Professional fees 15,433 31,272 4,859 -- 2,540
Miscellaneous 61,578 55,158 7,134 25,505 12,001
-------------- -------------- ------------ ------------ ------------
Total liabilities 4,366,154 5,371,720 945,491 9,625,816 203,731
-------------- -------------- ------------ ------------ ------------
NET ASSETS $1,432,310,434 $1,271,663,551 $152,336,868 $380,305,198 $153,748,243
============== ============== ============ ============ ============
Net ASSETS CONSIST OF:
Paid in capital $822,291,027 $1,154,292,070 $149,116,570 $299,928,631 $166,414,674
Undistributed net investment income 2,153,250 12,334,992 3,316,754 2,592,411 4,581,892
Accumulated undistributed net realized
gain (loss) on sale of investments,
futures, and foreign currency
transactions 7,806,935 30,995,255 -- 18,671,028 (12,067,720)
Net unrealized appreciation
(depreciation) in value of
investments, futures and translation
of assets and liabilities in foreign
currency 600,059,222 74,041,234 (96,456) 59,113,128 (5,180,603)
-------------- -------------- ------------ ------------ ------------
Total net assets $1,432,310,434 $1,271,663,551 $152,336,868 $380,305,198 $153,748,243
============== ============== ============ ============ ============
Capital shares outstanding 40,665,936 46,216,675 12,382,150 55,080,166 13,539,244
Net asset value per share $ 35.22 $ 27.52 $ 12.30 $ 6.90 $ 11.36
============== ============== ============ ============ ============
</TABLE>
89 SEE ACCOMPANYING NOTES.
<PAGE>
STATEMENTS OF ASSETS AND LIABILITIES
JUNE 30, 1999
(UNAUDITED)
<TABLE>
<CAPTION>
SERIES K
SERIES H (GLOBAL)
(ENHANCED SERIES I SERIES I STRATEGIC
INDEX) (INTERNATIONAL) (MID CAP) INCOME)
------------- ------------- ------------- -------------
<S> <C> <C> <C> <C>
ASSETS
Investments, at value
(identified cost $10,501,164,
$5,228,713, $205,763,932
and $12,727,552 respectively) $ 10,803,027 $ 5,158,722 $ 286,561,338 $ 12,126,138
Cash 2,019,265 192,008 2,149,259 10,394
Forward foreign exchange
contracts -- -- -- 4,398
Receivables:
Fund shares sold 104,815 -- 447,710 25,710
Securities sold 12,593 64,904 -- 191,042
Variation margin 56,250 -- -- 134
Interest 4,639 536 7,547 243,312
Dividends 9,634 4,235 137,814 --
Prepaid expenses -- 61 2,881 389
Foreign taxes recoverable -- 4,899 -- 698
------------- ------------- ------------- -------------
Total assets 13,010,223 5,425,365 289,306,549 12,602,215
------------- ------------- ------------- -------------
LIABILITIES
Payable for:
Securities purchased $ -- $ 86,918 $ 256,452 $ 519,450
Fund shares redeemed 7,837 16 536,265 457
Other liabilities:
Management fees -- 5,168 189,351 8,157
Custodian fees 397 397 5,176 6,497
Transfer and
administration fees 39 249 11,738 5,775
Professional fees 424 2,500 4,967 2,456
Miscellaneous 10,202 73 17,113 1,713
------------- ------------- ------------- -------------
Total liabilities 18,899 95,321 1,021,062 544,505
------------- ------------- ------------- -------------
NET ASSETS $ 12,991,324 $ 5,330,044 $ 288,285,487 $ 12,057,710
============= ============= ============= =============
Net ASSETS CONSIST OF:
Paid in capital $ 12,567,404 $ 5,442,821 $ 202,645,075 $ 13,392,643
Undistributed net
investment income (loss) 22,575 16,805 (339,061) 521,017
Accumulated undistributed
net realized gain (loss)
on sale of investments, futures,
and foreign currency transactions (35,233) (58,484) 5,182,067 (1,254,592)
Net unrealized appreciation
(depreciation) in value of
investments, futures and
translation of assets and
liabilities in foreign currency 436,578 (71,098) 80,797,406 (601,358)
------------- ------------- ------------- -------------
Total net assets $ 12,991,324 $ 5,330,044 $ 288,285,487 $ 12,057,710
============= ============= ============= =============
Capital shares outstanding 1,257,539 545,551 13,097,464 1,303,438
Net asset value per share $ 10.33 $ 9.77 $ 22.01 $ 9.25
============= ============= ============= =============
</TABLE>
90 SEE ACCOMPANYING NOTES.
<PAGE>
STATEMENTS OF ASSETS AND LIABILITIES
JUNE 30, 1999
(UNAUDITED)
<TABLE>
<CAPTION>
SERIES M SERIES N
(GLOBAL (MANAGED SERIES O
TOTAL ASSET (EQUITY SERIES P
RETURN) ALLOCATION) INCOME) (HIGH YIELD)
------------- ------------- ------------- -------------
<S> <C> <C> <C> <C>
ASSETS
Investments, at value(identified
cost $44,702,551, $80,558,486,
$193,210,807, and $17,978,547,
respectively) $ 45,709,957 $ 97,342,453 $ 233,486,442 $ 17,187,071
Cash 65 23,862 -- 609,525
Forward foreign exchange contracts 2,547 -- -- --
Receivables:
Fund shares sold 13,071 124,667 259,974 55,139
Securities sold -- 44,345 386,510 127,813
Variation Margin 73,441 -- -- --
Interest 125,879 484,489 31,686 386,567
Dividends 56,521 62,879 431,519 3,393
Prepaid expenses 579 1,319 2,731 116
Foreign taxes recoverable 18,967 9,049 1,608 --
------------- ------------- ------------- -------------
Total assets 46,001,027 98,093,063 234,600,470 18,369,624
------------- ------------- ------------- -------------
LIABILITIES AND NET ASSETS
Payable for:
Securities purchased $ 1,336,736 $ 382,175 $ 287,836 $ 257,721
Fund shares redeemed 27,076 49,334 157,204 1,995
Other liabilities:
Management fees 39,761 85,140 207,251 --
Custodian fees 3,396 5,238 9,860 530
Transfer and administration
fees 2,079 9,161 9,772 852
Professional fees 6,913 2,667 5,552 2,658
Miscellaneous 2,578 2,222 3,719 732
------------- ------------- ------------- -------------
Total liabilities 1,418,539 535,937 681,194 264,488
------------- ------------- ------------- -------------
NET ASSETS $ 44,582,488 $ 97,557,126 $ 233,919,276 $ 18,105,136
============= ============= ============= =============
NET ASSETS CONSIST OF:
Paid in capital $ 38,591,794 $ 79,793,700 $ 183,544,163 $ 18,117,594
Undistributed net investment
income (loss) (99,193) 1,045,002 1,835,519 685,477
Accumulated undistributed net
realized gain (loss) on
sale of investments, futures,
and foreign currency transactions 5,203,092 (64,623) 8,264,058 93,541
Net unrealized appreciation
(depreciation) in value of
investments, futures and translation
of assets and liabilities in foreign
currency 886,795 16,783,047 40,275,536 (791,476)
------------- ------------- ------------- -------------
Total net assets $ 44,582,488 $ 97,557,126 $ 233,919,276 $ 18,105,136
============= ============= ============= =============
Capital shares outstanding 3,528,486 5,890,823 12,157,128 1,065,249
Net asset value per share $ 12.64 $ 16.56 $ 19.24 $ 17.00
============= ============= ============= =============
</TABLE>
91 SEE ACCOMPANYING NOTES
<PAGE>
STATEMENTS OF ASSETS AND LIABILITIES
JUNE 30, 1999
(UNAUDITED)
<TABLE>
<CAPTION>
SERIES S
(SOCIAL SERIES V SERIES X SERIES Y
AWARENESS) VALUE (SMALL CAP) (SELECT 25)
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
ASSETS
Investments, at value
(identified cost
$144,428,237, $20,412,563,
$6,502,788 and $6,288,520
respectively) $208,247,288 $ 25,517,641 $ 7,752,219 $ 6,670,275
Cash 6,626,888 882,632 692,695 517,006
Receivables:
Fund shares sold 265,775 77,710 34,048 151,079
Securities sold -- 539,682 458,429 --
Interest 23,555 1,804 3,070 2,211
Dividends 185,730 14,012 0 2,357
Prepaid expenses 2,609 203 145 --
------------ ------------ ------------ ------------
Total assets 215,351,845 27,033,684 8,940,606 7,342,928
------------ ------------ ------------ ------------
LIABILITIES AND NET ASSETS
Payable for:
Securities purchased $ -- $ -- $ 458,128 $ 272,980
Fund shares redeemed 185,941 72,366 1,163 282
Other liabilities:
Management fees 139,407 17,001 -- 3,820
Custodian fees -- 618 2,373 900
Transfer and administration
fees 8,759 1,156 711 505
Professional fees 2,824 2,928 3,734 424
Miscellaneous 7,115 648 543 56
------------ ------------ ------------ ------------
Total liabilities 344,046 94,717 466,652 278,967
------------ ------------ ------------ ------------
NET ASSETS $215,007,799 $ 26,938,967 $ 8,473,954 $ 7,063,961
============ ============ ============ ============
NET ASSETS CONSIST OF:
Paid in capital $148,304,482 $ 21,238,787 $ 7,492,531 $ 6,678,785
Undistributed net investment
income (loss) 320,654 (3,303) (5,344) 3,421
Accumulated undistributed net
realized gain (loss) on
sale of investments, futures,
and foreign currency transactions 2,563,612 598,405 (262,664) --
Net unrealized appreciation
in value of investments, futures
and translation of assets and
liabilities in foreign currency 63,819,051 5,105,078 1,249,431 381,755
------------ ------------ ------------ ------------
Total net assets $215,007,799 $ 26,938,967 $ 8,473,954 $ 7,063,961
============ ============ ============ ============
Capital shares outstanding 7,174,648 1,555,591 745,289 672,280
Net asset value per share $ 29.97 $ 17.32 $ 11.37 $ 10.51
============ ============ ============ ============
</TABLE>
92 SEE ACCOMPANYING NOTES.
<PAGE>
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 1999
(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 $ 6,219,628 $ 13,541,732 $ -- $ 3,572,467 $ 17,813
Interest 1,558,952 3,794,941 3,913,422 157,457 5,350,644
------------ ------------ ------------ ------------ ------------
7,778,580 17,336,673 3,913,422 3,729,924 5,368,457
Less foreign tax expense -- -- -- (112,461) --
------------ ------------ ------------ ------------ ------------
Total investment income 7,778,580 17,336,673 3,913,422 3,617,463 5,368,457
EXPENSES:
Management fees 4,987,031 4,459,432 393,986 1,767,928 578,071
Custodian fees 20,867 24,719 4,787 104,357 18,662
Transfer/maintenance fees 2,824 2,700 2,773 2,414 2,248
Administration fees 299,222 267,566 35,459 256,563 34,684
Directors' fees 11,656 2,734 2,226 2,816 3,625
Professional fees 22,599 24,797 3,671 -- 6,126
Reports to shareholders 44,883 49,195 7,497 31,965 2,509
Registration fees 830 1,494 81 -- 98
Other expenses 20,261 19,222 2,355 7,498 5,088
------------ ------------ ------------ ------------ ------------
Total expenses 5,410,173 4,851,859 452,835 2,173,541 651,111
------------ ------------ ------------ ------------ ------------
Net investment income 2,368,407 12,484,814 3,460,587 1,443,922 4,717,346
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss)
during the period on:
Investments 7,837,622 35,828,557 -- 20,373,352 16,275
Foreign currency
transactions -- -- -- (1,592,372) --
------------ ------------ ------------ ------------ ------------
Net realized gain 7,837,622 35,828,557 -- 18,780,980 16,275
Net change in unrealized
appreciation (depreciation)
during the period on:
Investments 79,885,129 114,146,947 (142,221) 18,383,356 (9,395,499)
Translation of assets and
liabilities in foreign
currencies -- -- -- 814,926 --
------------ ------------ ------------ ------------ ------------
Net unrealized appreciation
(depreciation) 79,885,129 114,146,947 (142,221) 19,198,282 (9,395,499)
------------ ------------ ------------ ------------ ------------
Net gain (loss) 87,722,751 149,975,504 (142,221) 37,979,262 (9,379,224)
------------ ------------ ------------ ------------ ------------
Net increase (decrease)
in net assets resulting
from operations $ 90,091,158 $162,460,318 $ 3,318,366 $ 39,423,184 ($ 4,661,878)
============ ============ ============ ============ ============
</TABLE>
93 SEE ACCOMPANYING NOTES.
<PAGE>
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 1999, EXCEPT AS NOTED
(UNAUDITED)
<TABLE>
<CAPTION>
SERIES K
SERIES H (GLOBAL
(ENHANCED SERIES I SERIES J STRATEGIC
INDEX) (INTERNATIONAL)* (MID CAP) INCOME)
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
INVESTMENT INCOME:
Dividends $ 26,378 $ 29,609 $ 583,455 $ --
Interest 13,618 4,839 178,988 618,204
------------ ------------ ------------ ------------
39,996 34,448 762,443 618,204
Less foreign tax expense -- (2,397) -- (816)
------------ ------------ ------------ ------------
Total investment income 39,996 32,051 762,443 617,388
EXPENSES:
Management fees 13,193 8,758 1,004,907 45,499
Custodian fees 397 397 7,736 10,042
Transfer/maintenance fees 49 42 2,204 1,749
Administration fees 1,583 5,358 60,295 32,806
Directors' fees 40 39 5,916 140
Professional fees 636 636 3,670 4,996
Reports to shareholders 16 16 12,856 1,139
Registration fees 1,507 -- 2 --
Other expenses -- -- 3,918 --
------------ ------------ ------------ ------------
Total expenses 17,421 15,246 1,101,504 96,371
------------ ------------ ------------ ------------
Net investment income (loss) 22,575 16,805 (339,061) 521,017
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) during the period on:
Investments (35,233) (11,084) 6,147,817 (273,249)
Foreign currency transactions -- (47,400) -- (977,278)
Futures contracts -- -- -- (1,483)
------------ ------------ ------------ ------------
Net realized gain (loss) (35,233) (58,484) 6,147,817 (1,252,010)
Net change in unrealized appreciation
(depreciation) during the period on:
Investments 436,578 (69,991) 33,621,725 (263,588)
Translation of assets and liabilities
in foreign currencies -- (1,107) -- 663,948
------------ ------------ ------------ ------------
Net unrealized appreciation
(depreciation) 436,578 (71,098) 33,621,725 400,360
------------ ------------ ------------ ------------
Net gain (loss) 401,345 (129,582) 39,769,542 (851,650)
------------ ------------ ------------ ------------
Net increase (decrease) in net
assets resulting from operations $ 423,920 ($ 112,777) $ 39,430,481 ($ 330,633)
============ ============ ============ ============
* Period May 3, 1999 (inception) through June 30, 1999.
</TABLE>
94 SEE ACCOMPANYING NOTES
<PAGE>
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 1999
(UNAUDITED)
<TABLE>
<CAPTION>
SERIES M SERIES N
(GLOBAL (MANAGED SERIES O
TOTAL ASSET (EQUITY SERIES P
RETURN) ALLOCATION) INCOME) (HIGH YIELD)
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
INVESTMENT INCOME:
Dividends $ 254,425 $ 369,951 $ 2,695,660 $ 11,593
Interest 303,832 1,231,861 286,977 683,849
------------ ------------ ------------ ------------
558,257 1,601,812 2,982,637 695,442
Less foreign tax expense (25,138) (4,454) (1,393) --
------------ ------------ ------------ ------------
Total investment income 533,119 1,597,358 2,981,244 695,442
EXPENSES:
Management fees 221,346 430,526 1,056,859 61,365
Custodian fees 6,368 10,262 21,250 1,442
Transfer/maintenance fees 1,606 1,857 2,649 670
Administration fees 39,960 49,398 47,559 3,682
Directors' fees 308 857 2,169 223
Professional fees 2,272 3,190 3,438 2,100
Reports to shareholders 2,978 1,935 7,327 728
Registration fees 18 -- -- 9
Other expenses 821 321 2,356 154
------------ ------------ ------------ ------------
Total expenses 275,677 498,346 1,143,607 70,373
Less reimbursement of expenses -- -- -- (61,365)
------------ ------------ ------------ ------------
Net expenses 275,677 498,346 1,143,607 9,008
------------ ------------ ------------ ------------
Net investment income 257,442 1,099,012 1,837,637 686,434
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) during the period on
Investments 5,203,572 118,543 8,336,951 93,541
Foreign currency transactions 6,880 (150,056) (2,610) --
Futures contracts (6,317) -- -- --
------------ ------------ ------------ ------------
Net realized gain (loss) 5,204,135 (31,513) 8,334,341 93,541
Net change in unrealized appreciation
(depreciation) during the period on:
Investments (2,552,747) 3,294,184 14,417,193 (580,270)
Translation of assets and liabilities
in foreign currencies (77,496) 70,637 (254) --
------------ ------------ ------------ ------------
Net unrealized appreciation
(depreciation) (2,630,243) 3,364,821 14,416,939 (580,270)
------------ ------------ ------------ ------------
Net gain (loss) 2,573,892 3,333,308 22,751,280 (486,729)
------------ ------------ ------------ ------------
Net increase in net assets resulting
from operations $ 2,831,334 $ 4,432,320 $ 24,588,917 $ 199,705
============ ============ ============ ============
</TABLE>
95 SEE ACCOMPANYING NOTES.
<PAGE>
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 1999, EXCEPT AS NOTED.
(UNAUDITED)
<TABLE>
<CAPTION>
SERIES S
(SOCIAL SERIES V SERIES X SERIES Y
AWARENESS) VALUE (SMALL CAP) (SELECT 25)*
----------- ----------- ----------- -----------
<S> <C> <C> <C> <C>
INVESTMENT INCOME:
Dividends $ 852,945 $ 78,791 $ 966 $ 3,234
Interest 218,135 6,679 14,592 8,118
----------- ----------- ----------- -----------
1,071,080 85,470 15,558 11,352
Less foreign tax expense -- -- -- --
----------- ----------- ----------- -----------
Total investment income 1,071,080 85,470 15,558 11,352
EXPENSES:
Management fees 690,596 77,643 32,815 5,610
Custodian fees 1,534 1,729 12,539 900
Transfer/maintenance fees 2,332 738 618 50
Administration fees 41,436 4,658 2,953 673
Directors' fees 3,167 153 94 39
Professional fees 2,097 2,948 3,720 636
Reports to shareholders 5,654 381 322 16
Registration fees 16 175 4 7
Other expenses 1,741 348 253 --
----------- ----------- ----------- -----------
Total expenses 748,573 88,773 53,318 7,931
Less reimbursement of expenses -- -- (32,815) --
----------- ----------- ----------- -----------
Net expenses 748,573 88,773 20,503 7,931
----------- ----------- ----------- -----------
Net investment income (loss) 322,507 (3,303) (4,945) 3,421
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain during the period on:
Investments 2,588,829 604,613 539,991 --
----------- ----------- ----------- -----------
Net realized gain 2,588,829 604,613 539,991 --
Net change in unrealized appreciation
during the period on:
Investments 16,192,951 3,584,328 17,709 381,755
----------- ----------- ----------- -----------
Net gain 18,781,780 4,188,941 557,700 381,755
----------- ----------- ----------- -----------
Net increase in net assets resulting
from operations $19,104,287 $ 4,185,638 $ 552,755 $ 385,176
=========== =========== =========== ===========
* Period May 3, 1999 (inception) through June 30, 1999.
</TABLE>
SEE ACCOMPANYING NOTES.
96
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE SIX MONTHS ENDED JUNE 30, 1999,
(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 (DECREASE) IN NET
ASSETS FROM OPERATIONS:
Net investment income $ 2,368,407 $ 12,484,814 $ 3,460,587 $ 1,443,922 $ 4,717,346
Net realized gain 7,837,622 35,828,557 -- 18,780,980 16,275
Unrealized appreciation (depreciation)
during the period 79,885,129 114,146,947 (142,221) 19,198,282 (9,395,499)
--------------- --------------- ------------ ------------ ------------
Net increase (decrease) in net assets
resulting from operations 90,091,158 162,460,318 3,318,366 39,423,184 (4,661,878)
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income (6,376,214) (24,760,036) (6,929,781) -- (8,982,264)
Net realized gain (43,545,790) (422,027,531) -- (27,806,328) --
--------------- --------------- ------------ ------------ ------------
Total distributions to shareholders (49,922,004) (446,787,567) (6,929,781) (27,806,328) (8,982,264)
NET INCREASE FROM CAPITAL SHARE
TRANSACTIONS 84,809,287 359,012,025 27,864,877 18,894,117 12,670,202
--------------- --------------- ------------ ------------ ------------
Total increase (decrease) in net assets 124,978,441 74,684,776 24,253,462 30,510,973 (973,940)
NET ASSETS:
Beginning of period 1,307,331,993 1,196,978,775 128,083,406 349,794,225 154,722,183
--------------- --------------- ------------ ------------ ------------
End of period $ 1,432,310,434 $ 1,271,663,551 $152,336,868 $380,305,198 $153,748,243
=============== =============== ============ ============ ============
Undistributed net investment income at
end of period $ 2,153,250 $ 12,334,992 $ 3,316,754 $ 2,592,411 $ 4,581,892
=============== =============== ============ ============ ============
</TABLE>
SEE ACCOMPANYING NOTES.
97
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
FOR THE SIX MONTHS ENDED JUNE 30, 1999, EXCEPT AS NOTED.
(UNAUDITED)
<TABLE>
<CAPTION>
SERIES K
SERIES H (GLOBAL
(ENHANCED SERIES I SERIES I STRATEGIC
INDEX)* (INTERNATIONAL) (MID CAP) INCOME)
------------- ------------- ------------- -------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS:
Net investment income (loss) $ 22,575 $ 16,805 $ (339,061) $ 521,017
Net realized gain (loss) (35,233) (58,484) 6,147,817 (1,252,010)
Unrealized appreciation (depreciation)
during the period 436,578 (71,098) 33,621,725 400,360
------------- ------------- ------------- -------------
Net increase (decrease) in net assets
resulting from operations 423,920 (112,777) 39,430,481 (330,633)
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income -- -- -- --
Net realized gain -- -- (39,142,728) (81,725)
------------- ------------- ------------- -------------
Total distributions to shareholders -- -- (39,142,728) (81,725)
NET INCREASE (DECREASE) FROM
CAPITAL SHARE TRANSACTIONS 12,567,404 5,442,821 16,716,386 (557,452)
------------- ------------- ------------- -------------
Total increase (decrease) in net assets 12,991,324 5,330,044 17,004,139 (969,810)
NET ASSETS:
Beginning of period -- -- 271,281,348 13,027,520
------------- ------------- ------------- -------------
End of period $ 12,991,324 $ 5,330,044 $ 288,285,487 $ 12,057,710
============= ============= ============= =============
Undistributed net investment income (loss) at
end of period $ 22,575 $ 16,805 ($ 339,061) $ 521,017
============= ============= ============= =============
</TABLE>
* Period May 3, 1999 (inception) through June 30, 1999.
SEE ACCOMPANYING NOTES.
98
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
FOR THE SIX MONTHS ENDED JUNE 30, 1999,
(UNAUDITED)
<TABLE>
<CAPTION>
SERIES M SERIES N
(GLOBAL (MANAGED SERIES O
TOTAL ASSET (EQUITY SERIES P
RETURN) ALLOCATION) INCOME) (HIGH YIELD)
------------- ------------- ------------- -------------
<S> <C> <C> <C> <C>
INCREASE IN NET ASSETS FROM OPERATIONS:
Net investment income $ 257,442 $ 1,099,012 $ 1,837,637 $ 686,434
Net realized gain (loss) 5,204,135 (31,513) 8,334,341 93,541
Unrealized appreciation (depreciation)
during the period (2,630,243) 3,364,821 14,416,939 (580,270)
------------- ------------- ------------- -------------
Net increase in net assets resulting
from operations 2,831,334 4,432,320 24,588,917 199,705
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income (991,838) (1,356,821) (3,518,239) (27,372)
Net realized gain (2,417,605) -- (9,091,575) --
------------- ------------- ------------- -------------
Total distributions to shareholders (3,409,443) (1,356,821) (12,609,814) (27,372)
NET INCREASE (DECREASE) FROM
CAPITAL SHARE TRANSACTIONS (13,072) 18,360,880 17,870,390 2,983,400
------------- ------------- ------------- -------------
Total increase (decrease) in net assets (591,181) 21,436,379 29,849,493 3,155,733
NET ASSETS:
Beginning of period 45,173,669 76,120,747 204,069,783 14,949,403
------------- ------------- ------------- -------------
End of period $ 44,582,488 $ 97,557,126 $ 233,919,276 $ 18,105,136
============= ============= ============= =============
Undistributed net investment income (loss) at
end of period ($ 99,193) $ 1,045,002 $ 1,835,519 $ 685,477
============= ============= ============= =============
</TABLE>
SEE ACCOMPANYING NOTES.
99
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE SIX MONTHS ENDED JUNE 30, 1999, EXCEPT AS NOTED.
(UNAUDITED)
<TABLE>
<CAPTION>
SERIES S
(SOCIAL SERIES V SERIES X SERIES Y
AWARENESS) VALUE (SMALL CAP) (SELECT 25)*
------------- ------------- ------------- -------------
<S> <C> <C> <C> <C>
INCREASE IN NET ASSETS FROM OPERATIONS:
Net investment income (loss) $ 322,507 $ (3,303) $ (4,945) $ 3,421
Net realized gain 2,588,829 604,613 539,991 --
Unrealized appreciation
during the period 16,192,951 3,584,328 17,709 381,755
------------- ------------- ------------- -------------
Net increase in net assets
resulting from operations 19,104,287 4,185,638 552,755 385,176
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income (521,572) -- (8,946) --
Net realized gain (7,112,344) (419,869) -- --
------------- ------------- ------------- -------------
Total distributions to shareholders (7,633,916) (419,869) (8,946) --
NET INCREASE FROM CAPITAL SHARE
TRANSACTIONS 50,896,886 4,650,072 2,309,172 6,678,785
------------- ------------- ------------- -------------
Total increase in net assets 62,367,257 8,415,841 2,852,981 7,063,961
NET ASSETS:
Beginning of period 152,640,542 18,523,126 5,620,973 --
------------- ------------- ------------- -------------
End of period $ 215,007,799 $ 26,938,967 $ 8,473,954 $ 7,063,961
============= ============= ============= =============
Undistributed net investment income (loss) at
end of period $ 320,654 ($ 3,303) ($ 5,344) $ 3,421
============= ============= ============= =============
* Period May 3, 1999 (inception) through June 30, 1999.
</TABLE>
SEE ACCOMPANYING NOTES.
100
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE YEAR ENDED DECEMBER 31, 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 $ 6,571,082 $ 24,733,030 $ 7,061,247 $ 2,936,510 $ 9,064,282
Net realized gain 43,677,682 417,467,664 -- 30,651,579 1,732,602
Unrealized appreciation (depreciation)
during the period 211,484,476 (351,732,956) 49,595 24,704,566 (127,525)
--------------- --------------- ------------ ------------ ------------
Net increase in net assets resulting
from operations 261,733,240 90,467,738 7,110,842 58,292,655 10,669,359
Distributions to shareholders from:
Net investment income (5,787,007) (20,380,169) (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) (149,837,298) (6,397,306) (28,129,575) (8,568,936)
NET INCREASE FROM CAPITAL SHARE
TRANSACTIONS 125,326,240 58,045,914 29,355,040 33,849,484 11,713,225
--------------- --------------- ------------ ------------ ------------
Total increase (decrease) in net assets 307,403,026 (1,323,646) 30,068,576 64,012,564 13,813,648
NET ASSETS:
Beginning of year 999,928,967 1,198,302,421 98,014,830 285,781,661 140,908,535
--------------- --------------- ------------ ------------ ------------
End of period $ 1,307,331,993 $ 1,196,978,775 $128,083,406 $349,794,225 $154,722,183
=============== =============== ============ ============ ============
Undistributed net investment income at
end of year $ 6,161,057 $ 24,610,214 $ 6,785,948 $ 1,148,489 $ 8,846,810
=============== =============== ============ ============ ============
</TABLE>
SEE ACCOMPANYING NOTES.
101
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE YEAR ENDED DECEMBER 31, 1998,
(UNAUDITED)
<TABLE>
<CAPTION>
SERIES K SERIES M SERIES N
SERIES J (GLOBAL (GLOBAL (MANAGED SERIES O
(EMERGING STRATEGIC TOTAL ASSET (EQUITY
GROWTH) INCOME) RETURN) ALLOCATION) INCOME)
------------- ------------- ------------- ------------- -------------
<S> <C> <C> <C> <C> <C>
INCREASE IN NET ASSETS FROM OPERATIONS:
Net investment income (loss) $ (488,607) $ 1,568,224 $ 615,103 $ 1,351,512 $ 3,581,134
Net realized gain (loss) 38,692,459 (43,718) 2,680,838 (27,454) 9,127,147
Unrealized appreciation (depreciation)
during the period 5,868,580 (585,308) 2,181,450 8,340,157 2,309,610
------------- ------------- ------------- ------------- -------------
Net increase in net assets resulting
from operations 44,072,432 939,198 5,477,391 9,664,215 15,017,891
DISTRIBUTIONS TO SHAREHOLDERS FROM:
In excess of net investment income (1,431,865) -- -- -- --
Net investment income -- (1,241,557) (959,469) (745,652) (2,449,984)
Net realized gain (23,930,511) (229,064) (2,398,671) (466,032) (5,928,963)
------------- ------------- ------------- ------------- -------------
Total distributions to shareholders (25,362,376) (1,470,621) (3,358,140) (1,211,684) (8,378,947)
NET INCREASE (DECREASE) FROM
CAPITAL SHARE TRANSACTIONS 26,273,852 (1,119,728) (5,324,392) 29,486,414 47,039,536
------------- ------------- ------------- ------------- -------------
Total increase (decrease) in net assets 44,983,908 (1,651,151) (3,205,141) 37,938,945 53,678,480
NET ASSETS:
Beginning of year 226,297,440 14,678,671 48,378,810 38,181,802 150,391,303
------------- ------------- ------------- ------------- -------------
End of year $ 271,281,348 $ 13,027,520 $ 45,173,669 $ 76,120,747 $ 204,069,783
============= ============= ============= ============= =============
Undistributed net investment income at
end of year $ -- $ -- $ 635,203 $ 1,302,811 $ 3,516,121
============= ============= ============= ============= =============
</TABLE>
SEE ACCOMPANYING NOTES.
102
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE YEAR ENDED DECEMBER 31, 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 $ 899,449 $ 519,719 $ 53,017 $ 9,957
Net realized gain (loss) 22,641 7,420,553 626,418 (582,156)
Unrealized appreciation (depreciation)
during the period (341,245) 24,109,291 1,175,313 1,112,790
------------- ------------- ------------- -------------
Net increase in net assets
resulting from operations 580,845 32,049,563 1,854,748 540,591
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income (1,158,950) (252,822) (81,597) (5,176)
Net realized gain (105,911) (2,781,038) (365,630) --
------------- ------------- ------------- -------------
Total distributions to shareholders (1,264,861) (3,033,860) (447,227) (5,176)
NET INCREASE FROM CAPITAL SHARE
TRANSACTIONS 8,866,252 34,293,181 10,624,608 2,445,574
------------- ------------- ------------- -------------
Total increase in net assets 8,182,236 63,308,884 12,032,129 2,980,989
NET ASSETS:
Beginning of year 6,767,167 89,331,658 6,490,997 2,639,984
------------- ------------- ------------- -------------
End of year $ 14,949,403 $ 152,640,542 $ 18,523,126 $ 5,620,973
============= ============= ============= =============
Undistributed net investment income at
end of period $ 26,415 $ 519,719 $ -- $ 8,547
============= ============= ============= =============
</TABLE>
SEE ACCOMPANYING NOTES.
103
<PAGE>
FINANCIAL HIGHLIGHTS
SERIES A (GROWTH)
<TABLE>
<CAPTION>
FISCAL PERIOD ENDED DECEMBER 31
-----------------------------------------------------------------------------
1999(J) 1998(E) 1997(E) 1996(E) 1995(E) 1994
------------- ----------- ---------- ----------- -------- ---------
<S> <C> <C> <C> <C> <C> <C>
PER SHARE DATA
NET ASSET VALUE BEGINNING OF PERIOD $ 34.27 $ 29.39 $ 24.31 $ 21.03 $ 16.00 $ 19.82
INCOME FROM INVESTMENT OPERATIONS:
Net Investment Income 0.06 0.17 0.16 0.18 0.18 0.20
Net Gain (Loss) on Securities
(realized and unrealized) 2.22 7.05 6.75 4.50 5.65 (0.44)
------------- ----------- ---------- ----------- -------- ---------
Total from investment operations 2.28 7.22 6.91 4.68 5.83 (0.24)
LESS DISTRIBUTIONS
Dividends (from Net Investment Income) (0.17) (0.17) (0.18) (0.20) (0.15) (0.38)
Distributions (from Capital Gains) (1.16) (2.17) (1.65) (1.20) (0.65) (3.20)
------------- ----------- ---------- ----------- -------- ---------
Total Distributions (1.33) (2.34) (1.83) (1.40) (0.80) (3.58)
------------- ----------- ---------- ----------- -------- ---------
NET ASSET VALUE END OF PERIOD $ 35.22 $ 34.27 $ 29.39 $ 24.31 $ 21.03 $ 16.00
============= =========== ========== =========== ======== =========
TOTAL RETURN (B) 7.0% 25.4% 28.7% 22.7% 36.8% (1.7%)
RATIOS/SUPPLEMENTAL DATA
Net Assets End of Period (thousands) $ 1,432,310 $ 1,307,332 $ 999,929 $ 714,591 $519,891 $ 332,288
Ratio of Expenses to Average Net Assets 0.81% 0.81% 0.81% 0.83% 0.83% 0.84%
Ratio of Net Investment Income (Loss) to Average
Net Assets 0.36% 0.59% 0.66% 0.90% 1.21% 1.13%
Portfolio Turnover Rate 34% 39% 61% 57% 83% 90%
- ---------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
SERIES B (GROWTH-INCOME)
FISCAL PERIOD ENDED DECEMBER 31
-----------------------------------------------------------------------------
1999(J) 1998(E) 1997(E) 1996(E) 1995(E) 1994
------------- ----------- ---------- ----------- -------- ---------
<S> <C> <C> <C> <C> <C> <C>
PER SHARE DATA
NET ASSET VALUE BEGINNING OF PERIOD $ 39.81 $ 41.60 $ 35.40 $ 33.95 $ 26.54 $ 29.73
INCOME FROM INVESTMENT OPERATIONS:
Net Investment Income 0.30 0.83 0.72 0.83 0.79 0.51
Net Gain (Loss) on Securities
(realized and unrealized) 2.75 2.60 8.47 5.16 7.16 (1.34)
------------- ----------- ---------- ----------- -------- ---------
Total from investment operations 3.05 3.43 9.19 5.99 7.95 (0.83)
LESS DISTRIBUTIONS
Dividends (from Net Investment Income) (0.85) (0.71) (0.86) (0.78) (0.54) (0.68)
Distributions (from Capital Gains) (14.49) (4.51) (2.13) (3.76) -- (1.68)
------------- ----------- ---------- ----------- -------- ---------
Total Distributions (15.34) (5.22) (2.99) (4.54) (0.54) (2.36)
------------- ----------- ---------- ----------- -------- ---------
NET ASSET VALUE END OF PERIOD $ 27.52 $ 39.81 $ 41.60 $ 35.40 $ 33.95 $ 26.54
============= =========== ========== =========== ======== =========
TOTAL RETURN (B) 14.5% 7.9% 26.5% 18.3% 30.1% (3.0%)
RATIOS/SUPPLEMENTAL DATA
Net Assets End of Period (thousands) $ 1,271,664 $ 1,196,979 $1,198,302 $ 956,586 $795,113 $ 595,154
Ratio of Expenses to Average Net Assets 0.82% 0.80% 0.83% 0.84% 0.83% 0.84%
Ratio of Net Investment Income (Loss) to Average
Net Assets 2.10% 2.02% 1.89% 2.56% 2.70% 2.07%
Portfolio Turnover Rate 69% 119% 62% 58% 94% 43%
</TABLE>
104
<PAGE>
FINANCIAL HIGHLIGHTS (CONTINUED)
SERIES C (MONEY MARKET)
<TABLE>
<CAPTION>
FISCAL PERIOD ENDED DECEMBER 31
-----------------------------------------------------------------------------
1999(A)(J) 1998(A)(E) 1997(E) 1996(A)(E) 1995(E) 1994
----------- --------- ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
PER SHARE DATA
NET ASSET VALUE BEGINNING OF PERIOD $ 12.53 $ 12.53 $ 12.56 $ 12.34 $ 12.27 $ 12.09
INCOME FROM INVESTMENT OPERATIONS:
Net Investment Income 0.27 0.68 0.79 0.61 0.74 0.41
Net Gain (Loss) on Securities
(realized and unrealized) (0.02) (0.06) (0.15) 0.01 (0.08) 0.04
----------- --------- ----------- ----------- ----------- -----------
Total from investment operations (0.25) 0.62 0.64 0.62 0.66 0.45
LESS DISTRIBUTIONS
Dividends (from Net Investment Income) (0.48) (0.62) (0.67) (0.40) (0.59) (0.27)
Distributions (from Capital Gains) -- -- -- -- -- --
----------- --------- ----------- ----------- ----------- -----------
Total Distributions (0.48) (0.62) (0.67) (0.40) (0.59) (0.27)
----------- --------- ----------- ----------- ----------- -----------
NET ASSET VALUE END OF PERIOD $ 12.30 $ 12.53 $ 12.53 $ 12.56 $ 12.34 $ 12.27
=========== ========= =========== =========== =========== ===========
TOTAL RETURN (B) 2.1% 5.1% 5.2% 5.1% 5.4% 3.7%
RATIOS/SUPPLEMENTAL DATA
Net Assets End of Period (thousands) $ 152,337 $ 128,083 $ 98,015 $ 128,672 $ 105,436 $ 118,668
Ratio of Expenses to Average Net Assets 0.57% 0.57% 0.58% 0.58% 0.60% 0.61%
Ratio of Net Investment Income (Loss) to Average
Net Assets 4.39% 4.99% 5.04% 4.89% 5.27% 3.70%
Portfolio Turnover Rate -- -- -- -- -- --
- ---------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
SERIES D (WORLDWIDE EQUITY)
FISCAL PERIOD ENDED DECEMBER 31
-----------------------------------------------------------------------------
1999(J) 1998 1997 1996 1995 1994
----------- --------- ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
PER SHARE DATA
NET ASSET VALUE BEGINNING OF PERIOD $ 6.74 $ 6.14 $ 6.14 $ 5.56 $ 5.07 $ 4.94
INCOME FROM INVESTMENT OPERATIONS:
Net Investment Income 0.02 0.03 0.04 0.03 0.05 0.02
Net Gain (Loss) on Securities
(realized and unrealized) 0.68 1.18 0.38 0.93 0.50 0.12
----------- --------- ----------- ----------- ----------- -----------
Total from investment operations 0.70 1.21 0.42 0.96 0.55 0.14
LESS DISTRIBUTIONS
Dividends (from Net Investment Income) -- (0.09) (0.13) (0.20) -- (0.01)
Distributions (from Capital Gains) (0.54) (0.52) (0.29) (0.18) (0.06) --
----------- --------- ----------- ----------- ----------- -----------
Total Distributions (0.54) (0.61) (0.42) (0.38) (0.06) (0.01)
----------- --------- ----------- ----------- ----------- -----------
NET ASSET VALUE END OF PERIOD $ 6.90 $ 6.74 $ 6.14 $ 6.14 $ 5.56 $ 5.07
=========== ========= =========== =========== =========== ===========
TOTAL RETURN (B) 11.5% 20.1% 6.5% 17.5% 10.9% 2.7%
RATIOS/SUPPLEMENTAL DATA
Net Assets End of Period (thousands) $ 380,305 $ 349,794 $ 285,782 $ 247,026 $ 177,781 $ 147,033
Ratio of Expenses to Average Net Assets 1.23% 1.26% 1.24% 1.30% 1.31% 1.34%
Ratio of Net Investment Income (Loss) to Average
Net Assets 0.82% 0.92% 0.74% 0.74% 0.90% 0.50%
Portfolio Turnover Rate 95% 166% 129% 115% 169% 82%
</TABLE>
105
<PAGE>
FINANCIAL HIGHLIGHTS (CONTINUED)
SERIES E (HIGH GRADE INCOME)
<TABLE>
<CAPTION>
FISCAL PERIOD ENDED DECEMBER 31
-----------------------------------------------------------------------------
1999(J) 1998(E) 1997(E) 1996(E) 1995(E) 1994
----------- --------- ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
PER SHARE DATA
NET ASSET VALUE BEGINNING OF PERIOD $ 12.42 $ 12.25 $ 12.00 $ 12.86 $ 11.52 $ 13.78
INCOME FROM INVESTMENT OPERATIONS:
Net Investment Income 0.35 0.74 0.86 0.75 0.74 0.76
Net Gain (Loss) on Securities
(realized and unrealized) (0.71) 0.19 0.31 (0.85) 1.36 (1.71)
----------- --------- ----------- ----------- ----------- -----------
Total from investment operations (0.36) 0.93 1.17 (0.10) 2.10 (0.95)
LESS DISTRIBUTIONS
Dividends (from Net Investment Income) (0.70) (0.76) (0.92) (0.76) (0.76) (0.69)
Distributions (from Capital Gains) -- -- -- -- -- (0.62)
----------- --------- ----------- ----------- ----------- -----------
Total Distributions (0.70) (0.76) (0.92) (0.76) (0.76) (1.31)
----------- --------- ----------- ----------- ----------- -----------
NET ASSET VALUE END OF PERIOD $ 11.36 $ 12.42 $ 12.25 $ 12.00 $ 12.86 $ 11.52
=========== ========= =========== =========== =========== ===========
TOTAL RETURN (B) (2.9%) 8.0% 10.0% (0.7%) 18.6% (6.9%)
RATIOS/SUPPLEMENTAL DATA
Net Assets End of Period (thousands) $ 153,748 $ 154,722 $ 140,909 $ 134,041 $ 125,652 $ 107,078
Ratio of Expenses to Average Net Assets 0.84% 0.83% 0.83% 0.83% 0.85% 0.85%
Ratio of Net Investment Income (Loss) to Average
Net Assets 6.12% 6.31% 6.67% 6.77% 6.60% 6.74%
Portfolio Turnover Rate 30% 70% 106% 232% 180% 185%
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
SERIES H (ENHANCED INDEX)
FISCAL PERIOD ENDED DECEMBER 31
1999(I)
-------------------------------
PER SHARE DATA
NET ASSET VALUE BEGINNING OF PERIOD $ 10.00
INCOME FROM INVESTMENT OPERATIONS:
Net Investment Income 0.02
Net Gain (Loss) on Securities
(realized and unrealized) 0.31
----------
Total from investment operations 0.33
LESS DISTRIBUTIONS
Dividends (from Net Investment Income) --
Distributions (from Capital Gains) --
----------
Total Distributions --
----------
NET ASSET VALUE END OF PERIOD $ 10.33
==========
TOTAL RETURN (B) 3.3%
RATIOS/SUPPLEMENTAL DATA
Net Assets End of Period (thousands) $ 12,991
Ratio of Expenses to Average Net Assets 0.99%
Ratio of Net Investment Income (Loss) to Average
Net Assets 1.28%
Portfolio Turnover Rate 109%
106
<PAGE>
FINANCIAL HIGHLIGHTS(CONTINUED)
SERIES I (INTERNATIONAL)
FISCAL PERIOD ENDED DECEMBER 31
1999(I)
-------------------------------
PER SHARE DATA
NET ASSET VALUE BEGINNING OF PERIOD $ 10.00
INCOME FROM INVESTMENT OPERATIONS:
Net Investment Income 0.03
Net Gain (Loss) on Securities
(realized and unrealized) (0.26)
----------
Total from investment operations (0.23)
Less Distributions
Dividends (from Net Investment Income) --
Distributions (from Capital Gains) --
----------
Total Distributions --
----------
NET ASSET VALUE END OF PERIOD $ 9.77
==========
TOTAL RETURN (b) (2.3%)
RATIOS/SUPPLEMENTAL DATA
Net Assets End of Period (thousands) $ 5,330
Ratio of Expenses to Average Net Assets 1.91%
Ratio of Net Investment Income (Loss) to Average
Net Assets 2.11%
Portfolio Turnover Rate 79%
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------------
SERIES J (MID CAP)
FISCAL PERIOD ENDED DECEMBER 31
------------------------------------------------------------------------------
1999(J) 1998(E) 1997(E) 1996(E) 1995(E) 1994
----------- ----------- ----------- ----------- --------- -----------
<S> <C> <C> <C> <C> <C> <C>
PER SHARE DATA
NET ASSET VALUE BEGINNING OF PERIOD $ 22.51 $ 21.33 $ 18.25 $ 16.06 $ 13.44 $ 14.17
INCOME FROM INVESTMENT OPERATIONS:
Net Investment Income (0.03) (0.04) (0.03) (0.04) 0.04 (0.01)
Net Gain (Loss) on Securities
(realized and unrealized) 2.84 3.70 3.67 2.93 2.58 (0.71)
----------- ----------- ----------- ----------- --------- -----------
Total from investment operations 2.81 3.66 3.64 2.89 2.62 (0.72)
LESS DISTRIBUTIONS
Dividends (from Net Investment Income) -- (0.14) (0.06) (0.03) -- --
Distributions (from Capital Gains) (3.31) (2.34) (0.50) (0.67) -- (0.01)
----------- ----------- ----------- ----------- --------- -----------
Total Distributions (3.31) (2.48) (0.56) (0.70) -- (0.01)
----------- ----------- ----------- ----------- --------- -----------
NET ASSET VALUE END OF PERIOD $ 22.01 $ 22.51 $ 21.33 $ 18.25 $ 16.06 $ 13.44
=========== =========== =========== =========== ========= ===========
TOTAL RETURN (B) 15.7% 18.0% 20.0% 18.0% 19.5% (5.1%)
RATIOS/SUPPLEMENTAL DATA
Net Assets End of Period (thousands) $ 288,285 $ 271,281 $ 226,297 $ 148,421 $ 93,379 $ 76,940
Ratio of Expenses to Average Net Assets 0.82% 0.82% 0.82% 0.84% 0.84% 0.88%
Ratio of Net Investment Income (Loss) to Average
Net Assets (0.25%) (0.21%) (0.11%) (0.21%) 0.26% (0.11%)
Portfolio Turnover Rate 66% 94% 107% 123% 202% 91%
</TABLE>
107
<PAGE>
FINANCIAL HIGHLIGHTS(CONTINUED)
SERIES K (GLOBAL STRATEGIC INCOME)
<TABLE>
<CAPTION>
FISCAL PERIOD ENDED DECEMBER 31
-------------------------------------------------------------------------
1995
1999(J)(K) 1998(D) 1997(D) 1996(D) (A)(C)(D)
---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C>
PER SHARE DATA
NET ASSET VALUE BEGINNING OF PERIOD $ 9.56 $ 10.06 $ 10.72 $ 10.22 $ 10.00
INCOME FROM INVESTMENT OPERATIONS:
Net Investment Income 0.40 1.02 1.12 0.90 0.54
Net Gain (Loss) on Securities
(realized and unrealized) (0.65) (0.32) (0.56) 0.50 0.22
---------- ---------- ---------- ---------- ----------
Total from investment operations (0.25) 0.70 0.56 1.40 0.76
LESS DISTRIBUTIONS
Dividends (from Net Investment Income) -- (1.02) (0.94) (0.77) (0.47)
Distributions (from Capital Gains) (0.06) (0.18) (0.28) (0.13) (0.04)
Return of Capital -- -- -- -- (0.03)
---------- ---------- ---------- ---------- ----------
Total Distributions (0.06) (1.20) (1.22) (0.90) (0.54)
---------- ---------- ---------- ---------- ----------
NET ASSET VALUE END OF PERIOD $ 9.25 $ 9.56 $ 10.06 $ 10.72 $ 10.22
========== ========== ========== ========== ==========
TOTAL RETURN (B) (2.6%) 6.9% 5.4% 13.7% 7.6%
RATIOS/SUPPLEMENTAL DATA
Net Assets End of Period (thousands) $ 12,058 $ 13,028 $ 14,679 $ 12,720 $ 5,678
Ratio of Expenses to Average Net Assets 1.55% 1.13% 0.64% 0.84% 1.63%
Ratio of Net Investment Income (Loss) to Average
Net Assets 8.35% 10.85% 9.81% 10.79% 11.03%
Portfolio Turnover Rate 222% 57% 85% 86% 127%
- -----------------------------------------------------------------------------------------------------------------------------
SERIES M (GLOBAL TOTAL RETURN)
FISCAL PERIOD ENDED DECEMBER 31
-------------------------------------------------------------------------
1999(J)(K) 1998 1997 1996 1995(A)(C)
---------- ---------- ---------- ---------- ----------
PER SHARE DATA
NET ASSET VALUE BEGINNING OF PERIOD $ 12.87 $ 12.29 $ 12.05 $ 10.71 $ 10.00
INCOME FROM INVESTMENT OPERATIONS:
Net Investment Income 0.07 0.20 0.16 0.15 0.17
Net Gain (Loss) on Securities
(realized and unrealized) 0.69 1.33 0.59 1.36 0.54
---------- ---------- ---------- ---------- ----------
Total from investment operations 0.76 1.53 0.75 1.51 0.71
LESS DISTRIBUTIONS
Dividends (from Net Investment Income) (0.29) (0.27) (0.26) (0.12) --
Distributions (from Capital Gains) (0.70) (0.68) (0.25) (0.05) --
---------- ---------- ---------- ---------- ----------
Total Distributions (0.99) (0.95) (0.51) (0.17) --
---------- ---------- ---------- ---------- ----------
NET ASSET VALUE END OF PERIOD $ 12.64 $ 12.87 $ 12.29 $ 12.05 $ 10.71
========== ========== ========== ========== ==========
TOTAL RETURN (B) 6.5% 12.6% 6.2% 14.2% 7.1%
RATIOS/SUPPLEMENTAL DATA
Net Assets End of Period (thousands) $ 44,582 $ 45,174 $ 48,379 $ 38,396 $ 15,976
Ratio of Expenses to Average Net Assets 1.24% 1.24% 1.26% 1.34% 1.94%
Ratio of Net Investment Income (Loss) to Average
Net Assets 1.16% 1.33% 1.71% 2.73% 3.20%
Portfolio Turnover Rate 200% 49% 64% 40% 181%
</TABLE>
108
<PAGE>
FINANCIAL HIGHLIGHTS (CONTINUED)
SERIES N (MANAGED ASSET ALLOCATION)
<TABLE>
<CAPTION>
FISCAL PERIOD ENDED DECEMBER 31
-------------------------------------------------------------------------------
1999(J) 1998 1997 1996 1995(A)(C)
----------- ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C>
PER SHARE DATA
NET ASSET VALUE BEGINNING OF PERIOD $ 16.01 $ 13.88 $ 12.02 $ 10.73 $ 10.00
INCOME FROM INVESTMENT OPERATIONS:
Net Investment Income 0.17 0.26 0.24 0.19 0.16
Net Gain (Loss) on Securities
(realized and unrealized) 0.65 2.26 1.96 1.18 0.57
----------- ----------- ----------- ----------- -----------
Total from investment operations 0.82 2.52 2.20 1.37 0.73
LESS DISTRIBUTIONS
Dividends (from Net Investment Income) (0.27) (0.24) (0.21) (0.07) --
Distributions (from Capital Gains) -- (0.15) (0.13) (0.01) --
----------- ----------- ----------- ----------- -----------
Total Distributions (0.27) (0.39) (0.34) (0.08) --
----------- ----------- ----------- ----------- -----------
NET ASSET VALUE END OF PERIOD $ 16.56 $ 16.01 $ 13.88 $ 12.02 $ 10.73
=========== =========== =========== =========== ===========
TOTAL RETURN (B) 5.2% 18.4% 18.4% 12.8% 7.3%
RATIOS/SUPPLEMENTAL DATA
Net Assets End of Period (thousands) $ 97,557 $ 76,121 $ 38,182 $ 23,345 $ 10,580
Ratio of Expenses to Average Net Assets . 1.16% 1.22% 1.35% 1.45% 1.90%
Ratio of Net Investment Income (Loss) to Average
Net Assets 2.55% 2.49% 2.71% 2.67% 2.80%
Portfolio Turnover Rate 12% 10% 28% 41% 26%
- -----------------------------------------------------------------------------------------------------------------------------------
SERIES O (EQUITY INCOME)
FISCAL PERIOD ENDED DECEMBER 31
-------------------------------------------------------------------------------
1999(J) 1998 1997 1996 1995(A)(C)
----------- ----------- ----------- ----------- -----------
PER SHARE DATA
NET ASSET VALUE BEGINNING OF PERIOD $ 18.35 $ 17.62 $ 14.01 $ 11.70 $ 10.00
INCOME FROM INVESTMENT OPERATIONS:
Net Investment Income 0.15 0.29 0.19 0.17 0.17
Net Gain (Loss) on Securities
(realized and unrealized) 1.87 1.30 3.77 2.17 1.53
----------- ----------- ----------- ----------- -----------
Total from investment operations 2.02 1.59 3.96 2.34 1.70
LESS DISTRIBUTIONS
Dividends (from Net Investment Income) (0.32) (0.25) (0.14) (0.03) --
Distributions (from Capital Gains) (0.81) (0.61) (0.21) -- --
----------- ----------- ----------- ----------- -----------
Total Distributions (1.13) (0.86) (0.35) (0.03) --
----------- ----------- ----------- ----------- -----------
NET ASSET VALUE END OF PERIOD $ 19.24 $ 18.35 $ 17.62 $ 14.01 $ 11.70
=========== =========== =========== =========== ===========
TOTAL RETURN (B) 12.0% 9.0% 28.4% 20.0% 17.0%
RATIOS/SUPPLEMENTAL DATA
Net Assets End of Period (thousands) $ 233,919 $ 204,070 $ 150,391 $ 62,377 $ 13,528
Ratio of Expenses to Average Net Assets 1.08% 1.08% 1.09% 1.15% 1.40%
Ratio of Net Investment Income (Loss) to Average
Net Assets 1.74% 1.93% 2.31% 2.62% 3.00%
Portfolio Turnover Rate 33% 20% 21% 22% 3%
</TABLE>
109
<PAGE>
FINANCIAL HIGHLIGHTS (CONTINUED)
SERIES P (HIGH YIELD)
<TABLE>
<CAPTION>
FISCAL PERIOD ENDED DECEMBER 31
-------------------------------------------------------
1999(D)(E)(J) 1998(D)(E) 1997(D)(E) 1996(D)(F)
---------- ---------- ---------- ----------
<S> <C> <C> <C> <C>
PER SHARE DATA
NET ASSET VALUE BEGINNING OF PERIOD $ 16.80 $ 17.60 $ 15.99 $ 15.00
INCOME FROM INVESTMENT OPERATIONS:
Net Investment Income 0.64 0.89 0.68 0.51
Net Gain (Loss) on Securities
(realized and unrealized) (0.41) 0.12 1.43 0.48
---------- ---------- ---------- ----------
Total from investment operations 0.23 1.01 2.11 0.99
LESS DISTRIBUTIONS
Dividends (from Net Investment Income) (0.03) (1.63) (0.42) --
Distributions (from Capital Gains) -- (0.18) (0.08) --
---------- ---------- ---------- ----------
Total Distributions (0.03) (1.81) (0.50) --
---------- ---------- ---------- ----------
NET ASSET VALUE END OF PERIOD $ 17.00 $ 16.80 $ 17.60 $ 15.99
========== ========== ========== ==========
TOTAL RETURN (B) 1.4% 5.8% 13.4% 6.6%
RATIOS/SUPPLEMENTAL DATA
Net Assets End of Period (thousands) $ 18,105 $ 14,949 $ 6,767 $ 2,665
Ratio of Expenses to Average Net Assets 0.11% 0.18% 0.31% 0.28%
Ratio of Net Investment Income (Loss) to Average
Net Assets 8.39% 8.17% 8.58% 8.24%
Portfolio Turnover Rate 50% 87% 77% 151%
- -----------------------------------------------------------------------------------------------------------
</TABLE>
SERIES S (SOCIAL AWARENESS)
<TABLE>
<CAPTION>
FISCAL PERIOD ENDED DECEMBER 31
------------------------------------------------------------------------------
1999 (J) 1998(E) 1997(E) 1996(E) 1995(E) 1994
-------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
PER SHARE DATA
NET ASSET VALUE BEGINNING OF PERIOD $ 28.40 $ 22.25 $ 19.08 $ 16.49 $ 12.97 $ 13.69
INCOME FROM INVESTMENT OPERATIONS:
Net Investment Income 0.11 0.09 0.06 0.03 0.09 0.08
Net Gain (Loss) on Securities
(realized and unrealized) 2.75 6.78 4.21 3.07 3.51 (0.59)
-------- -------- -------- -------- -------- --------
Total from investment operations 2.86 6.87 4.27 3.10 3.60 (0.51)
LESS DISTRIBUTIONS
Dividends (from Net Investment Income) (0.09) (0.06) (0.04) (0.08) (0.08) (0.02)
Distributions (from Capital Gains) (1.20) (0.66) (1.06) (0.43) -- (0.19)
-------- -------- -------- -------- -------- --------
Total Distributions (1.29) (0.72) (1.10) (0.51) (0.08) (0.21)
-------- -------- -------- -------- -------- --------
NET ASSET VALUE END OF PERIOD $ 29.97 $ 28.40 $ 22.25 $ 19.08 $ 16.49 $ 12.97
======== ======== ======== ======== ======== ========
TOTAL RETURN (B) 10.5% 31.4% 22.7% 18.8% 27.7% (3.7%)
RATIOS/SUPPLEMENTAL DATA
Net Assets End of Period (thousands) $215,008 $152,641 $ 89,332 $ 57,497 $ 36,830 $ 24,539
Ratio of Expenses to Average Net Assets 0.81% 0.82% 0.83% 0.84% 0.86% 0.90%
Ratio of Net Investment Income (Loss) to Average
Net Assets 0.35% 0.47% 0.35% 0.30% 0.75% 0.75%
Portfolio Turnover Rate 18% 23% 49% 67% 122% 67%
</TABLE>
110
<PAGE>
FINANCIAL HIGHLIGHTS (CONTINUED)
SERIES V (VALUE)
<TABLE>
<CAPTION>
FISCAL PERIOD ENDED DECEMBER 31
----------------------------------------
1997
1999(J) 1998(D) (A)(D)(G)
---------- ---------- ----------
<S> <C> <C> <C>
PER SHARE DATA
NET ASSET VALUE BEGINNING OF PERIOD $ 14.83 $ 13.13 $ 10.00
INCOME FROM INVESTMENT OPERATIONS:
Net Investment Income -- 0.03 0.12
Net Gain (Loss) on Securities
(realized and unrealized) 2.81 2.14 3.01
---------- ---------- ----------
Total from investment operations 2.81 2.17 3.13
LESS DISTRIBUTIONS
Dividends (from Net Investment Income) -- (0.08) --
Distributions (from Capital Gains) (0.32) (0.39) --
---------- ---------- ----------
Total Distributions (0.32) (0.47) --
---------- ---------- ----------
NET ASSET VALUE END OF PERIOD $ 17.32 $ 14.83 $ 13.13
========== ========== ==========
TOTAL RETURN (B) 19.6% 16.6% 31.3%
RATIOS/SUPPLEMENTAL DATA
Net Assets End of Period (thousands) $ 26,939 $ 18,523 $ 6,491
Ratio of Expenses to Average Net Assets 0.86% 0.71% 0.40%
Ratio of Net Investment Income (Loss) to Average
Net Assets (0.03%) 0.42% 1.55%
Portfolio Turnover Rate 85% 72% 79%
- --------------------------------------------------------------------------------------------
SERIES X (SMALL COMPANY)
<CAPTION>
FISCAL PERIOD ENDED DECEMBER 31
----------------------------------------
1999(D)(J) 1998(D) 1997(D)(H)
---------- ---------- ----------
PER SHARE DATA
NET ASSET VALUE BEGINNING OF PERIOD $ 10.67 $ 9.60 $ 10.00
INCOME FROM INVESTMENT OPERATIONS:
Net Investment Income -- 0.02 0.01
Net Gain (Loss) on Securities
(realized and unrealized) 0.72 1.07 (0.41)
---------- ---------- ----------
Total from investment operations 0.72 1.09 (0.40)
LESS DISTRIBUTIONS
Dividends (from Net Investment Income) (0.02) (0.02) --
Distributions (from Capital Gains) -- -- --
---------- ---------- ----------
Total Distributions (0.02) (0.02) --
---------- ---------- ----------
NET ASSET VALUE END OF PERIOD $ 11.37 $ 10.67 $ 9.60
========== ========== ==========
TOTAL RETURN (B) 6.7% 11.5% (4.0%)
RATIOS/SUPPLEMENTAL DATA
Net Assets End of Period (thousands) $ 8,474 $ 5,621 $ 2,640
Ratio of Expenses to Average Net Assets 0.62% 0.59% 0.98%
Ratio of Net Investment Income (Loss) to Average
Net Assets (0.15%) 0.26% 0.73%
Portfolio Turnover Rate 422% 367% 402%
</TABLE>
111
<PAGE>
FINANCIAL HIGHLIGHTS (CONTINUED)
SERIES Y (SELECT 25)
FISCAL PERIOD ENDED DECEMBER 31
-------------------------------
1999(I)
---------
PER SHARE DATA
NET ASSET VALUE BEGINNING OF PERIOD $ 10.00
INCOME FROM INVESTMENT OPERATIONS:
Net Investment Income 0.01
Net Gain (Loss) on Securities
(realized and unrealized) 0.50
---------
Total from investment operations 0.51
LESS DISTRIBUTIONS
Dividends (from Net Investment Income) --
Distributions (from Capital Gains) --
---------
Total Distributions --
---------
NET ASSET VALUE END OF PERIOD $ 10.51
=========
TOTAL RETURN (A) 5.1%
RATIOS/SUPPLEMENTAL DATA
Net Assets End of Period (thousands) $ 7,064
Ratio of Expenses to Average Net Assets 1.06%
Ratio of Net Investment Income (Loss) to Average
Net Assets 0.46%
Portfolio Turnover Rate 0%
- --------------------------------------------------------------------------------
(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 1999
----- ----- ----- ----- -----
Series K 2.03% 1.59% 1.39% 1.66% --
Series P -- 1.11% 1.14% 0.93% 0.86%
Series V -- -- 1.14% 0.89% --
Series X -- -- 1.98% 1.59% 1.64%
(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 1998
----- ----- ----- -----
Series A 0.83% 0.83% 0.81% 0.81%
Series B 0.83% 0.84% 0.83% 0.80%
Series C 0.60% 0.58% 0.58% 0.57%
Series E 0.85% 0.83% 0.83% 0.83%
Series J 0.83% 0.84% 0.82% 0.82%
Series P -- -- 0.31% 0.18%
Series S 0.84% 0.84% 0.83% 0.82%
(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) Series H, I and Y were initially capitalized on May 3, 1999, with net asset
values of $10.00 per share. Percentage amounts for the period have been
annualized, except for total return.
(j) Unaudited figures for the six months ended June 30, 1999. Percentage amounts
for the period, except total return, have been annualized.
(k) Wellington Management Company became Subadvisor for Series K and M on May
15, 1999. Prior to May 15, Meridian Investment Management served as
Subadvisor to Series M.
112
<PAGE>
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 1999
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 investments 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, I, 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 Statement of Assets and
Liabilities. 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 H, I, J, K and 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.
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.
113
<PAGE>
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 1999
E. OPTIONS WRITTEN (CONTINUED) - 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.
J. USE OF ESTIMATES - The preparation of financial statements in
conformity with generally accepted accounting principals requires management to
make estimates and assumptions that affect the reported amounts of assets and
liabilities and disclosure of contingent assets and liabilities at the date of
the financial statements and the reported amounts of increases and decreases in
net assets from operations during the reporting period. Actual results could
differ from those estimates.
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,
H, J, K, P, S, V and Y, 1.00% for Series D, M, N, O and X and 1.10% for Series
I.
SMC pays OppenheimerFunds an annual fee equal to a percentage of the
average daily closing value of the combined average daily net assets of SBL
Series D and another Fund managed by SMC, Security Equity Fund Global Series,
computed on a daily basis as follows:
COMBINED AVERAGE DAILY NET ASSETS OF THE SERIES ANNUAL FEES
----------------------------------------------- -----------
$0 to $300 Million.................................... .35%
$300 Million to $750 Million.......................... .30%
$750 million or more.................................. .25%
SMC waived all of the management fees for Series P and X through June
30, 1999. The Investment Manager pays T. Rowe Price Associates, Inc. an annual
fee equal to .50% of the first $50,000,000 of average daily net assets of Series
N and .40% of the average daily 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 daily net assets of Series O and .40% of the average daily net assets
in excess of $20,000,000 for management services provided to Series O.
SMC 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 managed by SMC, the Small Company Series of Equity Fund as
follows:
COMBINED AVERAGE DAILY NET ASSETS OF THE SERIES ANNUAL FEES
----------------------------------------------- -----------
Less Than $150 Million................................ .50%
$150 Million to $500 Million.......................... .45%
$500 million or more.................................. .40%
Bankers Trust Company furnishes investment advisory services to Series H
and Series I. For such services to Series H, SMC pays Bankers Trust an annual
fee equal to a percentage of the average daily closing value of the combined net
assets of Series H and another Fund, managed by SMC, the Enhanced Index Series
of Security Equity Fund as follows:
COMBINED AVERAGE DAILY NET ASSETS OF THE SERIES ANNUAL FEES
----------------------------------------------- -----------
$0 to $100 Million.................................... .20%
$100 Million to $300 Million.......................... .15%
$300 million or more.................................. .13%
SMC will also pay Bankers Trust the following minimum fees with respect
to Series H: (i) no minimum fee in the first year Series H begins operations;
and (ii) $100,000 in the Series' second year of operations; and (iii) $200,000
in the third and following years of the Series' operations. For the services
provided to Series I, SMC pays Bankers Trust an annual fee equal to a percentage
of the average daily closing value of the combined net assets of Series I and
another Fund managed by SMC, the International Series of Security Equity Fund,
computed on a daily basis as follows:
COMBINED AVERAGE DAILY NET ASSETS OF THE SERIES ANNUAL FEES
----------------------------------------------- -----------
$0 to $200 Million.................................... .60%
$200 Million or more.................................. .55%
114
<PAGE>
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 1999
2. MANAGEMENT FEES AND OTHER TRANSACTIONS WITH AFFILIATES (CONTINUED)
Meridian Investment Management Corporation furnished investment
advisory, statistical and research facilities, supervised and arranged for the
purchase and sale of securities on behalf of Series M for the period of January
1, 1999 through April 30, 1999, and for such services received 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%
A special meeting of the shareholders of SBL Series K and Series M was
held on May 14, 1999. At this meeting, shareholders voted to approve a new
subadvisory contract, with respect to each series, effective May 15, 1999, with
Wellington Management Company, LLP. Under this new agreement, SMC pays
Wellington Management for Series K an annual fee equal to a percentage of the
average daily closing value of the average daily net assets of Series K,
computed on a daily basis as follows:
AVERAGE DAILY NET ASSETS OF THE SERIES ANNUAL FEES
----------------------------------------------- -----------
Less than $50 million................................. .50%
More than $50 million................................. .40%
Wellington Management has agreed to cap its fee at .40% of Series K's
net assets for the first year.
For the services provided to Series M under the agreement, SMC pays
Wellington Management an annual fee equal to a percentage of the average daily
closing value of the net assets of Series M, according to the following
schedule:
AVERAGE DAILY NET ASSETS OF THE SERIES ANNUAL FEES
----------------------------------------------- -----------
$0 to $50 million..................................... .50%
$50 million to $100 million........................... .40%
$100 million to $250 million .35%
$250 million or more .30%
Wellington Management has agreed to cap its fee for the first year at
.45% of Series M's average net assets.
The investment advisory contract between SBL Fund and SMC 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 months ended June 30,
1999, 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
and limit Series I at an annual rate of 2.25% and limit Series H and Y to an
annual rate of 1.75%.
The Fund has entered into a contract with SMC for transfer agent
services and administrative services which SMC provides to the Fund. The charges
paid by the Fund under the contract for transfer agent services are
insignificant. The administrative services provided by SMC principally include
all fund and portfolio accounting and regulatory filings. For providing these
services, SMC receives a fee at the annual rate of .045% of the average daily
net assets of the Fund (except Series X), plus the greater of .10% of the
average daily net assets of Series D, K, M and N, or $60,000. SMC also receives
from Series I the greater of .10% of the average daily net assets or (i) $30,000
for the year ending January 31, 2000, (ii) $45,000 for the year ending January
31, 2001, and (iii) $60,000 thereafter. with respect to Series X, SMC receives a
fee at an annual rate of .09% of the average daily net assets of the Series.
115
<PAGE>
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 1999
3. FEDERAL INCOME TAX MATTERS
The amounts of unrealized appreciation (depreciation) for income tax
purposes at June 30, 1999, 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) ............ $ 606,855,960 (6,796,738) $ 600,059,222
SERIES B
(Growth-Income) ..... $ 134,341,584 (60,300,350) $ 74,041,234
SERIES C
(Money Market) ...... $ 0 (96,456) $ (96,456)
SERIES D
(Worldwide Equity) .. $ 76,635,292 (17,522,164) $ 59,113,128
SERIES E
(High Grade Income) . $ 591,255 (5,771,858) $ (5,180,603)
SERIES H
(Enhanced Index) .... $ 674,948 (238,370) $ 436,578
SERIES I
(International) ..... $ 207,150 (278,248) $ (71,098)
SERIES J
(Mid Cap) ........... $ 92,837,881 (12,040,475) $ 80,797,406
SERIES K
(Strategic Income) .. $ 640,925 (39,567) $ (601,358)
SERIES M
(Global Total Return) $ 2,201,758 (1,314,964) $ 886,794
SERIES N
(Managed Asset
Allocation) ........ $ 18,725,090 (1,942,043) $ 16,783,047
SERIES O
(Equity Income) ..... $ 45,225,332 (4,949,796) $ 40,275,536
SERIES P
(High Yield) ........ $ 127,283 (918,759) $ (791,476)
SERIES S
(Social Awareness) .. $ 66,672,716 (2,853,665) $ 63,819,051
SERIES V
(Value) ............. $ 6,101,775 (996,697) $ 5,105,078
SERIES X
(Small Cap) ......... $ 1,307,694 (58,263) $ 1,249,431
SERIES Y
(Select 25) ......... $ 427,877 (46,122) $ 381,755
</TABLE>
4. INVESTMENT TRANSACTIONS
Investment transactions for the six months ended June 30, 1999,
(excluding overnight investments and short-term debt securities) are as follows:
PROCEEDS
PURCHASES FROM SALES
------------- -------------
SERIES A
(Growth) ............ $ 288,808,611 $ 214,965,799
SERIES B
(Growth-Income) ..... $ 407,354,415 $ 449,292,093
SERIES C
(Money Market) ...... -- --
SERIES D
(Worldwide Equity) .. $ 161,602,939 $ 174,644,148
SERIES E
(High Grade Income) . $ 27,190,836 $ 22,692,038
SERIES H
(Enhanced Index) .... $ 12,010,893 $ 1,722,811
SERIES I
(International) ..... $ 5,853,285 $ 612,759
SERIES J
(Mid Cap) ........... $ 85,312,326 $ 95,560,430
SERIES K
(Strategic Income) .. $ 12,081,333 $ 12,917,655
SERIES M
(Global Total Return) $ 41,981,329 $ 49,906,231
SERIES N
(Managed Asset
Allocation) ........ $ 22,697,580 $ 4,750,283
SERIES O
(Equity Income) ..... $ 38,673,028 $ 33,021,973
SERIES P
(High Yield) ........ $ 8,113,833 $ 3,903,599
SERIES S
(Social Awareness) .. $ 63,412,222 $ 15,561,504
SERIES V
(Value) ............. $ 11,748,455 $ 8,703,690
SERIES X
(Small Cap) ......... $ 14,833,722 $ 13,014,595
SERIES Y
(Select 25) ......... $ 6,288,520 --
116
<PAGE>
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 1999
5. FORWARD CONTRACTS
At June 30, 1999, Series D, Series K and Series M had the following open
forward foreign exchange contracts to buy or sell currency:
<TABLE>
<CAPTION>
AMOUNT TO BE NET UNREALIZED
SECURITY SETTLEMENT SECURITY (RECEIVED/PAID) U.S. $ VALUE APPRECIATION
SERIES D TYPE DATE TO BE DELIVERED IN U.S.$ AS OF 6/30/99 (DEPRECIATION)
-------- ---- ----------------- --------------- ----------- ------------ --------------
<S> <C> <C> <C> <C> <C> <C>
European Monetary Unit .......... Buy 8/11/99 20,309,575 22,043,399 21,004,360 $ (1,039,039)
British Pound ................... Sell 8/11/99 (13,534,808) (22,043,399) (21,336,411) $ 706,988
Japanese Yen .................... Sell 9/8/99 (1,186,300,000) (9,908,954) (9,905,854) $ 3,100
--------------
$ (328,951)
==============
SERIES K
--------
Australian Dollar ............... Sell 07/6/99-7/20/99 (97,000) (63,894) (64,199) $ 305)
Australian Dollar ............... Buy 7/20/99 85,000 56,028 56,256 $ 228
Canadian Dollar ................. Sell 7/6/99 (190,000) (130,069) (128,383) $ 1,686
Swiss Franc ..................... Sell 7/12/99 (109,763) (71,373) (70,698) $ 675
Danish Kroner ................... Sell 7/7/99 (877,000) (122,043) (121,984) $ 59
Danish Kroner ................... Buy 7/7/99 877,000 126,919 121,984 $ 4,935)
European Monetary Unit .......... Sell 7/07/99-9/29/99 (2,787,000) (2,930,382) (2,879,330) $ 51,052
European Monetary Unit .......... Buy 7/2/99-8/6/99 1,968,853 2,066,730 2,033,574 $ 33,156)
British Pound ................... Sell 9/30/99 (85,000) (134,691) (134,062) $ 629
Japanese Yen .................... Sell 8/6/99-8/23/99 (23,238,280) (194,377) (193,192) $ 1,185
Japanese Yen .................... Buy 8/6/99 6,811,200 55,518 56,590 $ 1,072
New Zealand Dollar .............. Buy 7/20/99 150,000 84,360 79,466 $ 4,894)
Swedish Krona ................... Sell 7/23/99 (1,100,000) (131,894) (129,605) $ 2,290
Swedish Krona ................... Buy 7/22/99-7/23/99 906,785 108,349 106,831 $ 1,518)
Singapore Dollar ................ Sell 7/12/99 (298,000) (173,145) (175,238) $ 2,093)
Singapore Dollar ................ Buy 8/23/99 81,000 47,807 47,846 $ 39
United Kingdom Gilt 8.00% - 2021 Sell 8/10/99 (15,000) (33,513) (33,513) $ 0
Japan Government Bond 0.9% - 2008 Buy 7/16/99 38,000,000 293,011 285,395 $ (7,616)
--------------
$ 4,398
==============
</TABLE>
117
<PAGE>
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 1999
5. FORWARD CONTRACTS (CONTINUED)
<TABLE>
<CAPTION>
NET UNREALIZED
SECURITY SETTLEMENT SECURITY (RECEIVED/PAID) U.S. $ VALUE APPRECIATION
SERIES M TYPE DATE TO BE DELIVERED IN U.S.$ AS OF 6/30/99 (DEPRECIATION)
-------- ---- ----------------- --------------- ----------- ------------ --------------
<S> <C> <C> <C> <C> <C> <C>
Australian Dollar .......... Buy 7/6/99-7/20/99 237,000 156,586 156,860 $ 274
Australian Dollar .......... Sell 7/6/99-7/20/99 (204,000) (134,582) (135,018) (436)
British Pound .............. Sell 9/30/99 (75,000) (118,845) (118,290) 555
Canadian Dollar ............ Buy 7/6/99 380,000 261,596 256,766 (4,830)
Canadian Dollar ............ Sell 7/6/99 (499,000) (342,955) (337,174) 5,781
Danish Kroner .............. Buy 7/28/99 895,000 124,686 124,672 (14)
European Monetary Unit ..... Buy 7/12/99-8/6/99 2,740,000 2,848,194 2,830,979 17,215
European Monetary Unit ..... Sell 7/22/99-8/6/99 (1,465,000) (1,541,753) (1,513,550) 28,203
Japanese Yen ............... Buy 8/6/99-9/30/99 244,815,000 2,044,101 2,049,901 5,800
Japanese Yen ............... Sell 8/6/99-8/23/99 (79,899,150) (669,295) (664,055) 5,240
New Zealand Dollar ......... Buy 7/20/99 640,000 359,936 339,055 (20,881)
New Zealand Dollar ......... Sell 7/20/99 (181,000) (98,609) (95,889) 2,720
Singapore Dollar ........... Buy 8/23/99 152,000 89,711 89,784 73
Singapore Dollar ........... Sell 7/12/99 (754,000) (438,092) (443,387) (5,295)
Swedish Krona .............. Buy 7/22/99-7/23/99 3,345,250 399,081 394,123 (4,958)
Swedish Krona .............. Sell 7/23/99 (2,467,000) (295,874) (290,667) 5,207
Swiss Franc ................ Sell 7/12/99 (260,268) (169,960) (167,637) 2,323
-------------
$ 2,547
=============
</TABLE>
6. OPEN FUTURES CONTRACTS
At June 30, 1999, Series H, Series K and Series M had the following open
futures contracts:
<TABLE>
<CAPTION>
SERIES M NUMBER OF CONTRACTS EXPIRATION DATE CONTRACT AMOUNT MARKET VALUE UNREALIZED GAIN (LOSS)
-------- ------------------- ----------------- --------------- ------------ ---------------
<S> <C> <C> <C> <C> <C>
SERIES H - S&P 500 Index ... 10 9/17/99 $ 3,319,535 $ 3,454,250 $ 134,715
SERIES K - Euro Bond ....... 1 9/10/99 110,410 113,866 (3,875)
SERIES M - Australian Dollar 10 9/15/99 657,970 666,200 8,230
Great Britain Pound ........ 19 9/15/99 1,906,070 1,875,300 (30,770)
Canadian Dollar ............ (4) 9/15/99 (272,572) (273,240) (668)
CAC 40 10 Euro Index ....... 34 9/30/99 1,539,732 1,599,191 59,459
Canadian 10 YR Bond ........ (3) 9/30/99 (253,525) (254,793) (1,268)
Euro FX Currency ........... 6 9/13/99 776,742 779,925 3,183
Long Gilt 10 YR ............ (3) 9/30/99 (541,932) (536,821) 5,111
DAX Index .................. (7) 9/17/99 (942,740) (976,453) (33,713)
Hang Seng Stock Index ...... (4) 7/30/99 (354,375) (349,337) 5,038
IBEX 35 Index .............. 42 7/16/99 4,442,331 4,456,663 (14,332)
Japanese Yen ............... 2 9/15/99 209,414 208,700 (714)
OMX Index .................. (39) 7/23/99 (371,434) (380,322) (8,888)
S&P 500 Index .............. 1 9/17/99 327,857 345,425 17,568
Swiss Franc ................ (3) 9/15/99 (245,829) (244,12) 1,704
TOPIX Index ................ (21) 9/16/99 (2,271,601) (2,433,40) (161,849)
U.S. 10 YR Note ............ 22 9/30/99 2,432,631 2,446,125 13,494
FTSE 100 Index ............. 6 9/17/99 622,398 609,69 (12,708)
--------------
$ (122,459)
==============
</TABLE>
118
<PAGE>
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 1999
7. CAPITAL SHARE TRANSACTIONS
The Fund is authorized to issue unlimited number of shares in an
unlimited number of classes. Transactions in the capital shares of the Fund were
as follows:
<TABLE>
<CAPTION>
1999 1999
1999 1999 1999 1999 1999 1999 INCREASE INCREASE
SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT (DECREASE) (DECREASE)
SOLD SOLD REINVESTED REINVESTED REDEEMED REDEEMED SHARES AMOUNT
----------- ------------- ---------- ------------- ----------- ------------- ----------- -------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
SERIES A .......... 7,654,013 $ 261,156,343 1,527,134 $ 49,922,004 (6,658,735) ($226,269,060) 2,522,412 $ 84,809,287
(Growth)
SERIES B .......... 3,553,433 $ 101,061,957 19,126,180 $ 446,787,567 (6,532,348) ($188,837,499) 16,147,265 $ 359,012,025
(Growth-Income)
SERIES C .......... 17,879,042 $ 221,056,329 571,293 $ 6,929,781 (16,291,896) ($200,121,233) 2,158,439 $ 27,864,877
(Money Market)
SERIES D .......... 7,114,780 $ 46,554,925 4,543,518 $ 27,806,328 (8,465,359) ($ 55,467,136) 3,192,939 $ 18,894,117
(Worldwide Equity)
SERIES E .......... 3,397,511 $ 40,067,387 784,477 $ 8,982,264 (3,105,050) ($ 36,379,449) 1,076,938 $ 12,670,202
(High Grade Income)
SERIES H .......... 1,269,478 $ 12,687,037 0 $ 0 (11,939) ($ 119,633) 1,257,539 $ 12,567,404
(Enhanced Index)
SERIES I .......... 546,086 $ 5,448,028 0 $ 0 (535) ($ 5,207) 545,551 $ 5,442,821
(International)
SERIES J .......... 2,338,879 $ 48,310,165 2,163,777 $ 39,142,728 (3,457,618) ($ 70,736,507) 1,045,038 $ 16,716,386
(Mid Cap)
SERIES K .......... 270,209 $ 2,563,496 8,685 $ 81,725 (338,278) ($ 3,202,673) (59,384) ($ 557,452)
(Global Strategic
Income)
SERIES M .......... 323,663 $ 4,019,373 292,154 $ 3,409,443 (598,156) ($ 7,441,888) 17,661 $ (13,072)
(Global Total
Return)
SERIES N .......... 1,861,600 $ 30,170,692 86,367 $ 1,356,821 (811,181) ($ 13,166,633) 1,136,786 $ 18,360,880
(Managed Asset
Allocation)
SERIES O .......... 2,299,087 $ 41,844,468 759,627 $ 12,609,814 (2,024,640) ($ 36,583,892) 1,034,074 $ 17,870,390
(Equity Income)
SERIES P .......... 479,379 $ 8,180,062 1,616 $ 27,372 (305,573) ($ 5,224,034) 175,422 $ 2,983,400
(High Yield)
SERIES S .......... 2,494,201 $ 71,173,582 279,017 $ 7,633,916 (974,173) ($ 27,910,612) 1,799,045 $ 50,896,886
(Social)
SERIES V .......... 561,536 $ 8,526,752 31,079 $ 419,869 (286,455) ($ 4,296,549) 306,160 $ 4,650,072
(Value)
SERIES X .......... 384,060 $ 4,065,677 895 $ 8,946 (166,422) ($ 1,765,451) 218,533 $ 2,309,172
(Small Cap)
SERIES Y .......... 685,883 $ 6,813,242 0 $ 0 (13,603) ($ 134,457) 672,280 $ 6,678,785
(Select 25)
</TABLE>
119
<PAGE>
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 1999
7. CAPITAL SHARE TRANSACTIONS
<TABLE>
<CAPTION>
1998 1998
1998 1998 1998 1998 1998 1998 INCREASE INCREASE
SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT (DECREASE) (DECREASE)
SOLD SOLD REINVESTED REINVESTED REDEEMED REDEEMED SHARES AMOUNT
----------- ------------- ---------- ------------- ----------- ------------- ----------- -------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
SERIES A .......... 13,115,840 $ 403,874,053 2,571,222 $ 79,656,454 (11,564,167) ($358,204,267) 4,122,895 $ 125,326,240
(Growth)
SERIES B .......... 5,555,901 $ 221,999,609 3,659,924 $ 149,837,298 (7,951,710) ($313,790,993) 1,264,115 $ 58,045,914
(Growth-Income)
SERIES C .......... 33,024,715 $ 408,017,212 530,017 $ 6,397,306 (31,152,783) ($385,059,478) 2,401,949 $ 29,355,040
(Money Market)
SERIES D .......... 21,025,414 $ 132,226,186 4,367,946 $ 28,129,575 (20,050,195) ($126,506,277) 5,343,165 $ 33,849,484
(Worldwide Equity)
SERIES E .......... 9,193,741 $ 111,833,663 736,163 $ 8,568,936 (8,974,467) ($106,689,374) 955,437 $ 11,713,225
(High Grade Income)
SERIES J .......... 5,406,352 $ 107,368,787 1,204,066 $ 25,362,376 (5,166,083) ($106,457,311) 1,444,335 $ 26,273,852
(Mid Cap)
SERIES K .......... 806,113 $ 8,305,713 153,600 $ 1,470,621 (1,055,973) ($ 10,896,062) (96,260) $ (1,119,728)
(Global Strategic
Income)
SERIES M .......... 884,712 $ 11,022,394 268,436 $ 3,358,140 (1,577,250) ($ 19,704,926) (424,102) $ (5,324,392)
(Global Total
Return)
SERIES N .......... 2,885,843 $ 42,450,822 82,992 $ 1,211,684 (964,871) ($ 14,176,092) 2,003,964 $ 29,486,414
(Managed Asset
Allocation)
SERIES O .......... 5,624,422 $ 100,221,196 458,869 $ 8,378,947 (3,493,846) ($ 61,560,607) 2,589,445 $ 47,039,536
(Equity Income)
SERIES P .......... 766,900 $ 13,512,225 74,465 $ 1,264,861 (335,963) ($ 5,910,834) 505,402 $ 8,866,252
(High Yield)
SERIES S .......... 2,302,241 $ 56,874,790 125,263 $ 3,033,860 (1,066,288) ($ 25,615,469) 1,361,216 $ 34,293,181
(Social)
SERIES V .......... 943,201 $ 13,173,169 30,259 $ 447,227 (218,251) ($ 2,995,788) 755,209 $ 10,624,608
(Value)
SERIES X .......... 313,489 $ 3,021,171 489 $ 5,176 (62,341) ($ 580,773) 251,637 $ 2,445,574
(Small Cap)
</TABLE>
8. DIRECTED BROKERAGE
The Fund has directed certain portfolio trades to brokers who paid a
portion of each Series expenses. Expenses were reduced as indicated in the table
below:
SIX MONTHS
ENDED 6/30/99
-------------
Series A................................. $9,821
Series B................................. 8,782
Series J................................. 1,979
Series S................................. 1,360
Series V................................. 153
Series M................................. 217
Series Y................................. 11
120
<PAGE>
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
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.
- --------------------------- ------------------
SECURITY DISTRIBUTORS, INC. | BULK RATE |
- --------------------------- | U.S. POSTAGE |
700 SW Harrison St. | PAID |
Topeka, KS 66636-0001 | SAN ANTONIO, TX |
| PERMIT NO.941 |
------------------
SDI 425 (R8-99) 46-04254-00
