<PAGE> 1
[CLOCKS GRAPHIC]
SBL FUND
SEMI-ANNUAL
REPORT
JUNE 30, 2000
- SERIES V (MID CAP VALUE
SERIES)
- SERIES X (SMALL CAP
GROWTH SERIES)
- SERIES J (MID CAP GROWTH
SERIES)
- SERIES D (GLOBAL SERIES)
- SERIES K (GLOBAL
STRATEGIC INCOME SERIES)
- SERIES C (MONEY MARKET
SERIES)
- SERIES S (SOCIAL
AWARENESS SERIES)
- SERIES T (TECHNOLOGY
SERIES)
- SERIES G (LARGE CAP
GROWTH SERIES)
- SERIES E (DIVERSIFIED
INCOME SERIES)
- SERIES N (MANAGED ASSET
ALLOCATION SERIES)
- SERIES W (MAIN STREET
GROWTH & INCOME(R)
SERIES)
- SERIES H (ENHANCED INDEX
SERIES)
- SERIES L (CAPITAL GROWTH
SERIES)
- SERIES Q (SMALL CAP
VALUE SERIES)
- SERIES A (EQUITY SERIES)
- SERIES P (HIGH YIELD
SERIES)
- SERIES M (GLOBAL TOTAL
RETURN SERIES)
- SERIES O (EQUITY INCOME
SERIES)
- SERIES Y (SELECT 25
SERIES)
- SERIES I (INTERNATIONAL
SERIES)
- SERIES B (LARGE CAP
VALUE SERIES)
SECURITY DISTRIBUTORS,
INC.
A Member of The
Security Benefit
Group of Companies
[SECURITY DISTRIBUTORS,
INC. LOGO]
<PAGE> 2
COMMENTARY FROM THE CHAIRMAN OF THE BOARD
AUGUST 15, 2000
[CLELAND PHOTO]
John Cleland
Chairman of the Board
Volatility continued to be the principal factor impacting financial markets in
the six month period ended June 30, 2000. One of the main reasons for this
increased market volatility is the emphasis many investment managers are placing
on market momentum as a primary determinant of investment strategy. This focus
on momentum has resulted in frequent and dramatic short-term shifts in market
sector preference, raising to a new level the importance of portfolio
diversification as a critical investment tool. We believe it is now more
important than ever to spread one's asset allocation decisions across a broad
spectrum of investment classes in order to avoid a concentration in any one
asset group that could be neglected by momentum investors.
NEW INVESTMENT CHOICES IN SBL FUND
We at Security Management Company, LLC have recognized this need for
diversification and have responded by adding five new series to the SBL Fund
family. These include the Large Cap Growth Series, managed by Cindy Shields; the
Capital Growth Series, subadvised by Alliance Capital Management L.P.; the Main
Street Growth and Income Series(R), subadvised by OppenheimerFunds, Inc.; the
Technology Series, subadvised by Wellington Management Company, LLP; and the
Small Cap Value Series, subadvised by Strong Capital Management, Inc. You will
find details about these new offerings in the portfolio manager's letters on the
following pages.
SIGNS OF AN ECONOMIC SLOWDOWN SHOULD BOLSTER MARKETS
After six successive rate increases by the Federal Reserve Bank's policy-making
Open Market Committee over the past year, the Committee's decision to leave
rates unchanged at their June 27 and 28, 2000 meeting acknowledged the
unmistakable signs of an economic slowdown. While the Federal Reserve is never
absent from the investment scene, we believe the possibility now exists that
they will make no further rate changes through the remainder of this year,
particularly in view of the upcoming election cycle.
If in fact the economic slowdown continues, it should offer bond investors the
opportunity to benefit from a corresponding decline in interest rates. At the
same time, the removal of fears of higher interest rates from the equity markets
creates an environment conducive to stock markets moving to new highs later in
the year. We remain optimistic about the long-term outlook for investments, but
caution that we expect returns to be more in line with historic norms than with
the unusually high returns generated by some market sectors over the past few
years.
/s/ John Cleland
John Cleland
Chairman of the Board
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<PAGE> 3
SERIES V (MID CAP VALUE SERIES)
AUGUST 15, 2000
<TABLE>
<S> <C>
FLYING S
LOGO SECURITY
FUNDS
</TABLE>
[SCHIER PHOTO]
James P. Schier
Portfolio Manager
TO OUR CONTRACTHOLDERS:
The Mid Cap Value Series of SBL Fund had an outstanding first six months of the
year, gaining 15.30% compared with the benchmark S&P/Barra Mid Cap Value Index's
return of +3.50% for the same period.(1) The Series also handily outperformed
its Lipper peer group average return of -1.13% in the first half of 2000. The
majority of the gain occurred in the first three months of the year; the Series
returned +13.57% during the first quarter and slowed substantially, along with
value stocks in general, in the second quarter.
ENERGY-RELATED ISSUES GAINED WITH OIL PRICES
The greatest contributor to positive performance year to date was the energy
sector. As oil prices moved from around $21 per barrel at the beginning of the
year to over $32 at the end of June, many oil industry related stocks moved up
accordingly. Higher prices and strong demand led to increased interest in
drilling and production both in the U.S. and in other countries. Exploration and
production companies Ocean Energy, Inc., and Forest Oil Corporation gained 83%
and 72%, respectively, and oil and gas services company R&B Falcon Corporation
rose 78% during the first half of the year.
SOME FINANCIAL AND HEALTH CARE STOCKS PERFORMED WELL
Although performance of financial stocks in general was mixed as interest rates
rose over the six months, we realized a substantial gain in one of our financial
sector holdings. The stock of investment management and advisory company Pioneer
Group, Inc., rose nearly 132% in the first half, with most of the gain coming in
a single day when Italian Bank UniCredito Italiano SpA announced its plans to
acquire the company. Pioneer Group, Inc., manages and distributes mutual funds
in several countries.
Stocks in our health care sector gained nearly 25% in the six-month period,
compared with a 6% gain in the benchmark index's corresponding sector.
Performance was led by CryoLife, Inc., a company which preserves human tissue
for transplant purposes and develops implantable products and medical devices.
Its stock rose over 95% during the period. A second company in the sector, Teva
Pharmaceutical Industries, Ltd., manufactures and markets branded and generic
drugs. Its stock was up 55% as Europe's acceptance of generic drugs increased.
Teva also produces a multiple sclerosis drug which continues to gain market
share more rapidly than the company had projected.
SOME NEGATIVES IN A GOOD PERFORMANCE PERIOD
An underweighting in the utility sector (6.8% in the portfolio versus a 16%
weighting in the benchmark) detracted from performance as utility stocks in
general turned in favorable results. A move by investors into defensive stocks
such as utilities, along with talk of possible electricity "brown-outs" during
the summer, boosted the prices of issues in this sector. Those issues we held
performed well; we simply didn't own enough of them.
Some of our technology stocks underperformed during the six months.
Mediconsult.com, Inc. provides patient-oriented health care information and
services on the World Wide Web. Its wholly-owned subsidiary, Physicians' Online,
Inc., is dominant in the physician Internet community. Unfortunately, contract
signings for the company's services fell below investors' expectations and the
stock fell 76% in the first half of the year. AVT
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<PAGE> 4
SERIES V (MID CAP VALUE SERIES) (CONTINUED)
AUGUST 15, 2000
Corporation, which provides unified messaging for companies, fell 36% after
announcing disappointing earnings, and Computer Sciences lost 21% on suggestions
that its third quarter revenue growth would be less than anticipated.
GOOD INVESTMENT OPPORTUNITIES AMONG MID CAP STOCKS
Many mid cap stocks are sharply undervalued at this time on a historical basis
when compared with their large cap counterparts. A number of stocks in the
economically sensitive sectors such as retailing and some manufacturing appear
unusually cheap. Many analysts find it hard to see how earnings in these
companies can grow if consumer spending slows in response to the Federal Reserve
Bank's actions, so prices have fallen as investors shunned the sectors. Broad
sector declines, as opposed to stock-specific selloffs, often create bargain
prices for good companies. We are monitoring movements in these areas closely
and plan to deploy money selectively in some consumer cyclical and capital goods
companies as opportunities arise.
Sincerely,
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*
<TABLE>
<CAPTION>
% of
Net Assets
<S> <C>
Benchmark Electronics, Inc. 3.1%
Ocean Energy, Inc. 3.0%
CryoLife, Inc. 2.7%
Acxiom Corporation 2.5%
J.C. Penney Company, Inc. 2.5%
</TABLE>
*At June 30, 2000
AVERAGE ANNUAL TOTAL RETURN
AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
Since Inception
1 Year (5-1-97)
<S> <C> <C>
Series V 14.65% 26.36%
</TABLE>
Performance figures do not reflect fees and expenses associated with an
investment in variable insurance products offered by Security Benefit Life
Insurance Company. Shares of a Series of SBL Fund are available only through
the purchase of such products.
The performance data quoted above represents past performance. Past
performance is not predictive of future performance. The investment return
and principal value of an investment will fluctuate so that an investor's
shares, when redeemed, may be worth more or less than their original cost.
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<PAGE> 5
SERIES X (SMALL CAP GROWTH SERIES)
AUGUST 15, 2000
<TABLE>
<S> <C>
STRONG LOGO SUBADVISOR, STRONG CAPITAL MANAGEMENT
</TABLE>
[OGNAR PHOTO]
Ronald C. Ognar
Portfolio Manager
TO OUR CONTRACTHOLDERS:
The Small Cap Growth Series of SBL Fund experienced an excellent first six
months of the year. The Series gained 13.20%, comparing very favorably with the
+3.05% return of the benchmark Russell 2000 Index over the same period.(1)
A REVIEW OF THE FIRST HALF OF 2000
The equity markets tossed and turned in the first quarter of the year as
investors grappled with the question of whether rising interest rates would
stifle the sizzling U.S. economy. The Federal Reserve Bank followed through on
its resolve to keep a lid on economic growth and asset values by raising short
term interest rates twice during the quarter. The second quarter was
characterized by severe market volatility, most notably in Nasdaq stocks,
combined with a rotation from highly valued growth stocks into less expensive
market sectors. The selloff reduced the valuation disparity between sectors,
especially for "concept" stocks lacking meaningful earnings.
The S&P 500 Index fared much better during the second quarter than the
technology-laden Nasdaq Composite Index as investors shifted into the so-called
"Old Economy" stocks. Higher oil prices and higher interest rates led investors
to the strongest revenue growth companies in anticipation of a slowing economy
and an inevitable deceleration in earnings. Despite this shift to larger cap
"Old Economy" companies, the Small Cap Growth Series experienced excellent price
appreciation particularly in its optical and networking technology companies, as
well as in various health care related stocks.
WE STILL FAVOR INTERNET AND BIOTECHNOLOGY ISSUES
We remain committed to our investments in the direct beneficiaries of the
networked economy. The acceptance of the Internet as an important source of
competitive advantage should continue to enhance the prospects of companies
engaged in e-commerce, wireless communications, bandwidth expansion, and
software.
In addition, the genomics revolution continues to achieve several important
milestones. Although we recognize that their progress will likely be slow, we
are focusing on the enablers of genomic discovery and some of the leading
companies in biotechnology research. Overall, we continue to favor the secular
health care demands of an aging population and the outlook for high quality
pharmaceutical stocks.
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<PAGE> 6
SERIES X (SMALL CAP GROWTH SERIES) (CONTINUED)
AUGUST 15, 2000
THE FED SHOULD BE NEAR THE END OF ITS RATE HIKE CYCLE
With recent economic data pointing to more moderate growth trends, it is
becoming increasingly likely that an end to the Fed's tightening phase is upon
us. As investor attention shifts away from Federal Reserve policy to the
risk/reward profile of individual issues, it seems likely that the valuation
disparity between technology stocks and "Old Economy" issues will continue to
close. Although technology remains an attractive growth area, reasonably valued
companies positioned to capitalize on the networked economy will likely gain
ground on a relative basis. We are also watching specialty retail stocks, which
have again become attractive to us because we believe that the pressure put on
these stocks by Fed tightening should ease during the coming months.
Sincerely,
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*
<TABLE>
<CAPTION>
% of
Net Assets
<S> <C>
Digital Microwave Corporation 3.5%
Integrated Silicon Solution, Inc. 3.4%
Titan Pharmaceuticals, Inc. 3.0%
Tekelec 2.5%
Marine Drilling Companies, Inc. 2.2%
</TABLE>
*At June 30, 2000
AVERAGE ANNUAL TOTAL RETURN
AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
Since Inception
1 Year (10-15-97)
<S> <C> <C>
Series X 98.56% 35.19%
</TABLE>
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. Recent Returns of
Series X is attributable in part to unusually favorable market conditions
and the series participation in the initial public offering market. There
can be no guarantee that these returns will be repeated in the future. The
investment return and principal value of an investment will fluctuate so
that an investor's shares, when redeemed, may be worth more or less than
their original cost.
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<PAGE> 7
SERIES J (MID CAP GROWTH SERIES)
AUGUST 15, 2000
<TABLE>
<S> <C>
FLYING S
LOGO SECURITY
FUNDS
</TABLE>
[SCHIER PHOTO]
James P. Schier
Portfolio Manager
TO OUR CONTRACTHOLDERS:
The Mid Cap Growth Series of SBL Fund (formerly the Mid Cap Series) turned in a
very favorable performance in the first six months of the year. The Series
gained 13.03% over the period, less than the benchmark S&P/Barra Mid Cap Growth
Index return of 14.97%, but well above the Lipper peer group average of
8.54%.(1)
ENERGY AND FINANCIAL STOCKS LED PERFORMANCE
The greatest contributor to positive performance year to date was the energy
sector. As oil prices moved from around $21 per barrel at the beginning of the
year to over $32 at the end of June, many oil industry related stocks moved up
accordingly. Our better performers in this sector included oil and gas services
company R&B Falcon Corporation, up 78% in the six-month period, and exploration
and production company Forest Oil Corporation, which gained 63% after it was
purchased for the portfolio. We also saw nice gains in Apache Corporation, ENSCO
International, Inc., and Evergreen Resources, Inc.
Although it may seem unusual that financial sector stocks would be strong
performers in a period of rising interest rates, two of our holdings, both
oriented toward fee-based income more than interest rate spread income, did very
well. Northern Trust Corporation is well known as a manager of assets for
wealthier individuals, and its stock gained over 23% since the beginning of the
year. FleetBoston Financial Corporation provides commercial and investment
banking services around the world as well as in the U.S., and benefited from
improvement in the global economic picture. FleetBoston's stock made healthy
gains early in the year, so we elected to sell the stock and lock in the gains.
TECHNOLOGY STOCKS CONTINUE THEIR FAVORABLE RETURNS
Many of our technology holdings made strong contributions to total return as
well. Lernout & Hauspie Speech Products NV, Europe's biggest maker of speech
recognition products, saw its share price rise 31% in a single day after the
company unveiled a handheld device that allows users to access the Internet
using their voices. Subsequent product announcements led the company's stock to
gain over 90% during the first half of this year. Other good performers in the
technology sector include Rational Software Corporation, a company whose
products and services help organizations develop and deploy Internet-related
businesses and functions, and Jack Henry & Associates, Inc., which offers
Internet site set-ups, ATM networking products, and integrated computer systems
for data processing to community banks and other financial institutions.
CONSUMER CYCLICALS LAGGED OTHER SECTORS
Casual clothing retailer Abercrombie & Fitch Company fell sharply in the early
months of the year when disappointing sales and concern about slowing growth led
many analysts to cut their ratings on the stock. Sales in the company's fourth
quarter, which ended January 29, rose just 3%, much less than the expected 6% to
9%. Additionally, the retailer's stores appeared overstocked on items aimed at
the teen market, a market which can change direction sharply and suddenly.
Also classified in the consumer cyclicals sector are two Internet-related
companies which underperformed during the period. Internet Capital Group fell
along with other Internet venture capital companies on investor concerns about
the value of their holdings as the technology sector in general declined in
value. The stock price of Safeguard
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<PAGE> 8
SERIES J (MID CAP GROWTH SERIES) (CONTINUED)
AUGUST 15, 2000
Scientifics, Inc., also fell in sympathy with other technology issues.
MID CAP STOCKS REPRESENT GOOD VALUE NOW
Mid cap stocks are sharply undervalued at this time on a historical basis when
compared with their large cap counterparts. We are finding many attractively
priced issues, with the greatest values often in the smaller end of the mid cap
range. There is once again some overvaluation in the "hot" sectors, including
semiconductors and biotechnology issues which fell sharply early in 2000 but
have recovered since then.
Despite the attractive prices of many issues, we are investing cautiously
because of the potential for an economic slowdown in the months ahead. We are
focusing on conservative growth companies in the mid cap group, believing that
the powerful earnings thrust which carried stock prices upward in recent years
may fade if economic growth slows. Those companies with proven track records of
consistent earnings growth should outperform the general markets if the slowdown
becomes reality.
Sincerely,
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*
<TABLE>
<CAPTION>
% of
Net Assets
<S> <C>
Rational Software Corporation 6.0%
Comverse Technology, Inc. 4.5%
Millenium Pharmaceutical 4.0%
Lernout & Hauspie Speech Products 3.5%
N.V.
Peregrine Systems, Inc. 2.8%
</TABLE>
*At June 30, 2000
AVERAGE ANNUAL TOTAL RETURN
AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
1 Year 5 Years Since
Inception
(10-1-92)
<S> <C> <C> <C>
Series J 58.19% 27.26% 22.80%
</TABLE>
Performance figures do not reflect fees and expenses associated with an
investment in variable insurance products offered by Security Benefit Life
Insurance Company. Shares of a Series of SBL Fund are available only through
the purchase of such products.
The performance data quoted above represents past performance. Past
performance is not predictive of future performance. The investment return
and principal value of an investment will fluctuate so that an investor's
shares, when redeemed, may be worth more or less than their original cost.
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<PAGE> 9
SERIES D (GLOBAL SERIES)
AUGUST 15, 2000
<TABLE>
<S> <C>
OPPENHEIMERFUNDS(R) LOGO
SUBADVISOR, OPPENHEIMERFUNDS, INC.
</TABLE>
[WILBY PHOTO]
William L. Wilby
Portfolio Manager
TO OUR CONTRACTHOLDERS:
The Global Series of SBL Fund performed well during the six months ended June
30, 2000. The Series returned +9.80%, comparing very favorably with the return
of -3.04% on the benchmark MSCI World Index in U.S. dollars.(1) We believe the
primary reason for this outperformance is our focus on growth companies that we
expect to benefit from one or more major worldwide trends. These trends include
mass affluence, aging populations, new technologies and restructuring.
A LOOK AT WORLD MARKETS
Global markets experienced robust gains early in the first half of the year,
retreated in the middle months, and advanced again as the period came to a
close. The initial charge was led by strong gains among high-tech stocks between
January and March. At this point investors became concerned that the sector had
become too overvalued, too quickly and shifted their focus to other sectors. As
a result, markets with large technology weightings declined noticeably through
April. By the end of the period, however, once valuations of most price-inflated
technology stocks had returned to more normal levels, markets worldwide began to
rebound.
PERFORMANCE AND OUR INVESTMENT THEMES
The major contributor to performance during this period was the success of our
disciplined, bottom-up stock selection approach. We continued to choose our
investments one company at a time based on their fundamental strengths and their
growth prospects in light of our four long-term global themes mentioned in the
first paragraph. In short, we look for stocks with the potential to deliver
earnings growth and share price growth in any type of market.
As an example of how a stock would fit into our four themes, our quest for "new
technology" recently led us to some new investments in Japan, where there is a
growing demand for wireless mobile data such as voice-activated Internet access.
We see the potential for a "new economy" to emerge in Japan, spurred on by the
Internet and government policies designed to encourage restructuring of Japanese
companies. To take advantage of this trend and the burgeoning demand for
cellular equipment, we have invested in several component manufacturers.
OUR OUTLOOK FOR GLOBAL MARKETS
We are confident about the outlook for markets in the United States, Europe,
Japan and Latin America. While we expect the U.S. stock market to cool down as
the effects of tighter monetary policy take hold, we are not overly concerned
about finding compelling investments. We believe good, solid companies can be
found in virtually any economic environment.
In Europe the trend toward restructuring and enhancing shareholder value that
began with the formation of the European Monetary Union is picking up speed. And
as we mentioned earlier, Japan is slowly moving toward a technology-based
economy, and we expect this may increasingly replace the old heavy-manufacturing
economy that has been in decline there for some years.
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<PAGE> 10
SERIES D (GLOBAL SERIES) (CONTINUED)
AUGUST 15, 2000
Regardless of the economic prospects for individual markets, we still believe
there are investment opportunities globally. The portfolio is well diversified,
which mitigates the risk of any single market or industry. We believe our
bottom-up "stock pickers" approach and our focus on long term trends will
continue to lead us to solid, growth-oriented companies with strong competitive
positions and high demand for their products.
Sincerely,
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*
<TABLE>
<CAPTION>
% of
Net Assets
<S> <C>
Cadence Design Systems, Inc. 3.5%
Alcatel 3.2%
National Semiconductor Corporation 3.2%
Toshiba Corporation 2.7%
Porsche AG 2.4%
</TABLE>
*At June 30, 2000
AVERAGE ANNUAL TOTAL RETURN
AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
1 Year 5 Years 10 Years
<S> <C> <C> <C>
Series D 51.36% 22.51% 9.08%
</TABLE>
Performance figures do not reflect fees and expenses associated with an
investment in variable insurance products offered by Security Benefit Life
Insurance Company. Shares of a Series of SBL Fund are available only through
the purchase of such products.
The performance data quoted above represents past performance. Past
performance is not predictive of future performance. The investment return
and principal value of an investment will fluctuate so that an investor's
shares, when redeemed, may be worth more or less than their original cost.
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<PAGE> 11
SERIES K (GLOBAL STRATEGIC INCOME SERIES)
AUGUST 15, 2000
<TABLE>
<S> <C>
WELLINGTON MANAGEMENT LOGO
MANAGED BY WELLINGTON MANAGEMENT COMPANY LLP
</TABLE>
[HILL PHOTO]
Lucius T. Hill, III
Portfolio Manager
TO OUR CONTRACTHOLDERS:
The Global Strategic Income Series of SBL Fund performed well in the first half
of the year despite considerable volatility in most sectors of the world
markets. The Series returned +3.02% over the period, while the blended benchmark
index returned 3.75%.(1) The benchmark consists of 25% Lehman Brothers Aggregate
Bond Index, 25% Lehman High Yield Bond Index, 25% Salomon Brothers World
Government Bond Index ex U.S. (hedged), and 25% J.P. Morgan Emerging Markets
Bond Index Plus.
A REVIEW OF THE MARKETS THIS YEAR
The first six months of 2000 has certainly not been dull for investors in the
many sectors of the global fixed income markets. The U.S. Federal Reserve Bank
has raised rates by a full percentage point since the beginning of the year, the
European Central Bank has moved short term rates up by 1.25%, and we have also
seen rate hikes in the U.K., Australia, Switzerland, Canada, and Hong Kong.
However, despite rising short-term rates, longer maturity global government bond
yields have held steady.
In the United States, the yield on the ten-year Treasury Note actually fell from
6.442% at the beginning of the year to 6.031% at June 30, in large part due to
strong technicals surrounding the continuation of the U.S. Treasury Department's
debt retirement and buyback program. The potential for a reduced supply of U.S.
Treasury securities has resulted in a significant valuation premium. The U.S.
corporate debt market has underperformed due to fears that rising interest rates
would impede economic growth. Conversely, emerging market debt performed very
well over the last six months, bolstered by favorable global growth, rising
commodity prices, and improving fundamental prospects in some countries.
MARKET EFFECTS ON PORTFOLIO ASSETS
Our holdings in emerging market debt continued to be the driver of the Series'
return. In particular, over the past six months we have seen significant gains
from our positions in Russia, Mexico, and Brazil. Within developed markets, we
favored corporate bonds over government securities as the absolute yields on the
latter were hardly compelling. With hindsight, our allocation to U.S. corporate
debt was early, since corporate bonds lagged other segments of the fixed income
markets.
LOOKING AHEAD TO THE SECOND HALF OF 2000
On the heels of the latest rate hike, domestic economic data has begun to show a
moderation in activity in several areas including the manufacturing, housing,
and consumer spending sectors. However, in the months ahead, the Federal Reserve
will remain alert to signs that this recent slowdown in the U.S. economy is only
temporary, and we believe that one or two more rate hikes this year are a
possibility.
More significantly, we expect increased confidence on the part of investors that
the Fed will succeed in engineering a "soft landing," which should have the
effect of re-energizing the recently lackluster corporate debt sector. Up until
now the markets seem to have been pricing in nothing short of a recession for
high yield securities. With increasing evidence that this worst-case scenario
will be avoided, however, these securities have begun to look compelling due to
their potential for significant price appreciation. In contrast, we feel that
the government debt of the U.S. and its major trading partners is fully valued
with little for us to be excited about. In
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<PAGE> 12
SERIES K (GLOBAL STRATEGIC INCOME SERIES) (CONTINUED)
AUGUST 15, 2000
emerging markets we remain cautiously optimistic, but after our recent successes
in this sector we expect to be trimming our exposure slightly.
Most importantly, we feel that a broadly diversified exposure to all major
sectors of the global bond market continues to make the Global Strategic Income
Series an attractive option for fixed income investors.
Sincerely,
Lucius T. Hill, III
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 COUNTRIES*
<TABLE>
<CAPTION>
% of
Net Assets
<S> <C>
United States 53.5%
Brazil 6.5%
Argentina 5.9%
Mexico 5.4%
Russia 4.3%
</TABLE>
*At June 30, 2000
AVERAGE ANNUAL TOTAL RETURN
AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
1 Year 5 Years Since
Inception
(6-1-95)
<S> <C> <C> <C>
Series K 7.03% 7.60% 7.38%
</TABLE>
Performance figures do not reflect fees and expenses associated with an
investment in variable insurance products offered by Security Benefit Life
Insurance Company. Shares of a Series of SBL Fund are available only through
the purchase of such products.
The performance data quoted above represents past performance. Past
performance is not predictive of future performance. The investment return
and principal value of an investment will fluctuate so that an investor's
shares, when redeemed, may be worth more or less than their original cost.
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<PAGE> 13
SERIES C (MONEY MARKET SERIES)
AUGUST 15, 2000
<TABLE>
<S> <C>
FLYING S
LOGO SECURITY
FUNDS
</TABLE>
TO OUR CONTRACTHOLDERS:
During the first half of this year, as in the second half of 1999, money market
funds were the only fixed income sector to benefit from the Federal Reserve
Bank's series of interest rate increases. The Money Market Series of SBL Fund
capitalized on these interest rate increases as frequently as possible in order
to boost the total return of the Series. The total return for the six month
period ended June 30, 2000, was 2.87%, a bit higher than the 2.80% average of
its Lipper peer group of funds.(1)
SHORT TERM INTEREST RATES RISE WITH THE FED'S ACTIONS
When the Federal Reserve's policy-making Open Market Committee (FOMC) announces
increases in its target interest rates, it is referring to the Federal funds
rate, which is the rate at which banks lend money to each other on an overnight
basis. The FOMC often increases its discount rate as well; this is the rate at
which the Federal Reserve Bank lends funds to member banks. Both of these rates
are short term; consequently, the impact on money market instruments is
immediate. In fact, many times investors in money market instruments anticipate
the likelihood that the FOMC will increase rates and force up the rates on money
market instruments ahead of the actual announcement.
CHARACTERISTICS OF PORTFOLIO ASSETS
In periods when interest rates are rising, we believe it is prudent to keep the
average maturity of the securities in the portfolios shorter than usual in order
to more quickly take advantage of higher rates. The average maturity of the
holdings in the Money Market Series at June 30, 2000 was 45.9 days, compared
with the 52 day average maturity of the benchmark Money Fund Report.
The portfolio is currently made up of 53.2% commercial paper, 20.9% Federal
agency discount notes and securities, 6.6% SBA issues, 11.0% floating rate
government securities, 6.8% funding agreements, and 1.5% Sallie Mae floating
rate issues. A broadly diversified portfolio such as this gives us more
flexibility to adjust in a rising interest rate environment.
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.
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<PAGE> 14
SERIES C (MONEY MARKET SERIES) (CONTINUED)
AUGUST 15, 2000
OUTLOOK FOR THE SECOND HALF OF 2000
We believe the Federal Reserve is at or near the end of its cycle of interest
rate increases. We are monitoring economic and market conditions carefully and
plan to lengthen our maturities a bit when rates begin to come down. By doing
this, we can retain the benefits of today's higher rates for a longer period of
time. As usual, we continue to compare rates paid on various money market
instruments in order to take advantage of the best offerings.
Sincerely,
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. The Series does not
attempt to maintain a stable net asset value of $1.00 per share.
---------------- PERFORMANCE
----------------
AVERAGE ANNUAL TOTAL RETURN
AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
1 Year 5 Years 10 Years
<S> <C> <C> <C>
Series C 5.43% 5.10% 4.73%
</TABLE>
Performance figures do not reflect fees and expenses associated with an
investment in variable insurance products offered by Security Benefit Life
Insurance Company. Shares of a Series of SBL Fund are available only through
the purchase of such products.
The performance data quoted above represents past performance. Past
performance is not predictive of future performance. The investment return
and principal value of an investment will fluctuate so that an investor's
shares, when redeemed, may be worth more or less than their original cost.
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<PAGE> 15
SERIES S (SOCIAL AWARENESS SERIES)
AUGUST 15, 2000
<TABLE>
<S> <C>
FLYING S
LOGO SECURITY
FUNDS
</TABLE>
[SHIELDS PHOTO]
Cindy Shields
Portfolio Manager
TO OUR CONTRACTHOLDERS:
The Social Awareness Series of SBL Fund performed well through the volatile
first half of 2000. The Series gained 2.40%, outperforming the benchmark Domini
Social 400 Index's -2.36% return.(1) Our strategy of keeping the sector
weightings in the portfolio relatively close to those of the benchmark, but
maintaining enough flexibility to adapt to changes in the economic environment,
worked well throughout the six-month period. We plan to maintain sector
weightings between a minimum of 80% of the corresponding sector in the index,
but not exceeding 120% of the index sector.
THE HEALTH CARE AND ENERGY SECTORS ADDED VALUE
Within the health care sector we focused on emerging pharmaceutical companies
instead of the major drug manufacturers. We believed the smaller firms would not
yet be experiencing the difficulties surrounding patent expiration dates that
have plagued the major firms. Additionally, many emerging companies in the drug
industry have a wider range of new products in development stages. Given these
companies' smaller sizes, their successful new products have a greater impact on
their earnings. Included in this group were Allergan, Inc., providing eye care
and specialty pharmaceutical products, and Watson Pharmaceuticals, Inc., both of
which rose over 50% during the six month period.
The dramatic increase in petroleum prices, up from around $21 per barrel at the
beginning of the year to over $32 at the end of June, gave a lift to many
energy-related stocks. While some companies in this industry do not qualify for
inclusion in portfolios that screen for environmental issues, many of those that
supply equipment and services to the industry are suitable. BJ Services Company
provides pressure pumping and other oil field services for the petroleum
industry. Its stock rose nearly 45% in the first half of the year. Noble
Drilling Corporation, which operates offshore drilling units and provides labor
contract drilling services, gained over 25% in the same period.
TECHNOLOGY CONTINUES TO LEAD THE MARKETS
Within the technology sector, we had some outstanding performers.
Scientific-Atlanta, Inc., providing products and services in the cable equipment
business, experienced extremely strong demand for its product. Its stock has
climbed nearly 167% since the beginning of the year. Diversified
telecommunications equipment provider ADC Telecommunications, Inc., did nearly
as well, up 131%. Adobe Systems Incorporated in the Internet-based software
realm of the technology sector was another strong performer, gaining 93% after
announcing its earnings were above analysts' expectations.
EXPECTATIONS OF A SLOWING ECONOMY HURT SOME SECTORS
Although the U.S. economy is still growing at a rapid pace, market perceptions
that the Federal Reserve Bank's recent series of interest rate increases would
result in an economic slowdown weighed heavily on some sectors. In the basic
materials sector, paper and forest products companies Mead Corporation and
Westvaco Corporation lost 41% and 22% respectively. Praxair, Inc., which
supplies pressurized gases to various industries, fell 25% as well. We believe
these companies' earnings prospects still look bright, and thus we continue to
maintain the positions.
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<PAGE> 16
SERIES S (SOCIAL AWARENESS SERIES) (CONTINUED)
AUGUST 15, 2000
Consumer cyclicals also fell out of favor because of expectations that the
economy would cool. Costco Wholesale Corporation operates wholesale membership
warehouses. Its same-store sales fell below expectations. Additionally, the
company is planning to increase spending for new stores. Costco's stock lost
nearly 28% in the first half. Building materials retailer Lowe's Companies,
Inc., came under pressure when higher mortgage rates caused investors to back
away from the home building firms.
THE FED IS ABOUT DONE
We believe the Federal Reserve Bank is near the end of its cycle of interest
rate increases. We look for the economy and consumer spending to slow somewhat
in the coming months, although we don't expect significant negative impact on
the stock markets. Analysts' earnings estimates remain a bit high in our view at
this time, and will likely be revised downward soon. In such a scenario, we
expect investors to seek companies with proven consistent growth rates. We plan
to keep our sector weightings close to those of the benchmark index in the
coming months, avoiding large sector bets in periods of high market volatility.
Sincerely,
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*
<TABLE>
<CAPTION>
% of
Net Assets
<S> <C>
Intel Corporation 6.4%
Cisco Systems, Inc. 6.3%
Microsoft Corporation 6.1%
American International Group, Inc. 2.8%
Lucent Technologies, Inc. 2.7%
</TABLE>
*At June 30, 2000
AVERAGE ANNUAL TOTAL RETURN
AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
Since Inception
1 Year 5 Years (5-1-91)
<S> <C> <C> <C>
Series S 8.60% 20.89% 15.94%
</TABLE>
Performance figures do not reflect fees and expenses associated with an
investment in variable insurance products offered by Security Benefit Life
Insurance Company. Shares of a Series of SBL Fund are available only through
the purchase of such products.
The performance data quoted above represents past performance. Past
performance is not predictive of future performance. The investment return
and principal value of an investment will fluctuate so that an investor's
shares, when redeemed, may be worth more or less than their original cost.
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<PAGE> 17
SERIES T (TECHNOLOGY SERIES)
AUGUST 15, 2000
<TABLE>
<S> <C>
WELLINGTON MANAGEMENT LOGO
SUBADVISOR, WELLINGTON MANAGEMENT COMPANY LLP
</TABLE>
TO OUR CONTRACTHOLDERS:
The Technology Series of SBL Fund was launched on May 1, 2000, and has had a
very strong opening two months. The Series returned +2.40% since its inception,
compared with a -1.39% return since May 1 for the benchmark Goldman Sachs
Technology Industry Composite Index.(1)
MANAGEMENT OF THE PORTFOLIO
The Technology Series is managed by a team of five senior analysts from
Wellington Management Company, LLP, subadvisor for the Series. This group of
five managers has combined industry experience totaling 65 years. Each analyst
is responsible for covering one or two industry subsectors spanning the broad
technology universe. These subsectors include software, internet and new media,
communications equipment, information technology services, electronics,
semiconductors and equipment, and computer hardware and peripherals.
Our approach to investing is based on analyzing the competitive outlook for
various subsectors of the technology industry, identifying those subsectors
likely to benefit from the current and expected future environment, and
identifying individual opportunities within each subsector. Asset allocation
within the Series reflects the relative attractiveness of stocks within the
subsectors, near-term macroeconomic events that may enhance or detract from the
group's attractiveness, and the number of undervalued opportunities in each
subsector.
EVALUATING TECHNOLOGY COMPANIES
Our evaluation of technology companies rests on our solid knowledge of the
overall competitive environment, including supply and demand characteristics,
secular trends, existing product evaluations, and new product developments. Our
central theme that stocks that are less than efficiently priced can be found
through extensive fundamental research. By focusing on early identification of
the factors that lead to earnings revisions, we are able to determine favorable
investment opportunities not yet recognized in the market. Therefore, our
primary research is focused on direct contact with company management,
suppliers, and competitors.
The Series' investment universe includes all U.S.-based and non-U.S.-based
technology companies. Over 70% of the technology universe consists of companies
domiciled in the U.S. In fact, of the top ten technology companies in the world,
only two are domiciled outside the U.S. Therefore, we expect non-U.S. holdings
to be a small portion of the portfolio. The assets will also be relatively
concentrated, numbering between thirty and fifty stock positions.
REVIEW AND OUTLOOK
Following the launch of the Technology Series on May 1, volatility has been the
only constant as the technology markets wrestled with rising interest rates,
mixed valuations and some signs of fundamental weakness. The team has taken
advantage of this volatility to build overweight positions in telecommunications
equipment, software and Internet stocks, given their superior growth
characteristics. This decision has served us well, with key stocks such as
Broadcom Corporation, JDS Uniphase Corporation, and Rational Software
Corporation already contributing meaningfully to the portfolio's performance.
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<PAGE> 18
SERIES T (TECHNOLOGY SERIES) (CONTINUED)
AUGUST 15, 2000
As we enter the second half of the year we remain optimistic about the outlook
for earnings. However, in spite of the strength of the fundamental outlook,
valuations continue to appear stretched for some leading companies. In addition,
we are seeing signs of some weakness in consumer markets and the margin, some
easing of demand for wireless technologies. As a result, we are focusing our
attention on infrastructure plays where demand remains robust and valuations
look much more attractive. Overall, we continue to see ample opportunity to make
the first year of SBL Fund's Technology Series a successful one.
Sincerely,
The Global Technology Portfolio Management Team
Wellington Management Company, LLP
(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*
<TABLE>
<CAPTION>
% of
Net Assets
<S> <C>
Cisco Systems, Inc. 9.5%
Microsoft Corporation 6.6%
JDS Uniphase Corporation 5.7%
Dell Computer Corporation 5.2%
Micron Technology, Inc. 4.9%
</TABLE>
*At June 30, 2000
AVERAGE ANNUAL TOTAL RETURN
AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
Since Inception
(5-1-00)
<S> <C>
Series T 2.40%
</TABLE>
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 1, 2000 (date of inception) to June 30, 2000 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.
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<PAGE> 19
SERIES G (LARGE CAP GROWTH SERIES)
AUGUST 15, 2000
<TABLE>
<S> <C>
FLYING S
LOGO SECURITY
FUNDS
</TABLE>
[SHIELDS PHOTO]
Cindy Shields
Portfolio Manager
TO OUR CONTRACTHOLDERS:
We are pleased to now offer the Large Cap Growth Series as a part of SBL Fund.
The Series began operations May 1, 2000. As its name implies, the portfolio
consists primarily of stocks issued by companies with market capitalizations in
excess of $5 billion, and with above average prospects for favorable earnings
growth. In the period from inception through June 30 the Series gained 2.10%.
Its benchmark index, the S&P/Barra Growth Index, rose 2.58% over the same
period.(1)
MANAGEMENT PROCESS COMBINES QUANTITATIVE AND FUNDAMENTAL STYLES
We are managing the Large Cap Growth Series using a combination of stock
selection styles. Following a quantitative technique, we use computer models to
help us narrow the universe of companies with suitable earnings prospects. The
models also assist us in identifying earnings trend changes in their early
stages. Then we use fundamental analysis to validate the quantitative trends, to
understand why changes might be occurring, and to help determine the quality and
sustainability of earnings growth.
We don't expect to make any large sector "bets" by concentrating assets in an
unusual manner in a particular sector. Rather, we plan to keep our sector
weightings in a range from 80% to 120% of the corresponding weightings in the
benchmark index. We focus on individual stock selection within these sectors as
a way to add value to the portfolio. The majority of stocks in the portfolio are
core holdings, selected from stocks that are included in the S&P/Barra Growth
Index. A smaller portion of noncore assets, ranging generally from 10% to 40% of
holdings, are stocks that are not a part of the index, carefully selected from
those we expect to perform better than the overall benchmark index over time.
PORTFOLIO POSITIONING AT JUNE 30, 2000
At the end of June the largest sectors represented in the portfolio were
technology and health care. In technology we are focusing on companies involved
in software, networking, and telecommunications equipment. Core names included
in this group include Cisco Systems, Inc., Microsoft Corporation, EMC
Corporation, Nortel Networks Corporation, and Sun Microsystems, Inc. Noncore
companies--those selected from outside the benchmark group--are Adobe Systems
Incorporated, Comverse Technology, Inc., I2 Technologies, Inc., Siebel Systems,
Inc., Network Appliance, Inc., and Veritas Software Corporation. While these
noncore holdings may not be blue chip technology names, they are leaders in
their respective market areas.
The core health care companies in the portfolio include Pfizer, Inc., Eli Lilly
and Company, Schering-Plough Corporation, and Johnson & Johnson. Among the
noncore health care names are Allergan, Inc., Alza Corporation, Forest
Laboratories, Inc., and Watson Pharmaceuticals, Inc. Many of these noncore
companies have new products that will be ready to come to the markets soon.
Because of the smaller size of the companies, favorable reception of these new
products will have a greater impact on earnings than they would on larger firms.
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<PAGE> 20
SERIES G (LARGE CAP GROWTH SERIES) (CONTINUED)
AUGUST 15, 2000
Of course, many other sectors are represented in the portfolio and include both
core and noncore company stocks. A full listing of all the portfolio holdings
can be found in the pages following the portfolio managers' letters.
A SLOWING ECONOMY IS LIKELY
We believe the Federal Reserve Bank is near the end of its cycle of interest
rate increases. Once the economy shows convincing evidence that it is slowing,
we may increase the noncore holdings in the portfolio, adding companies that are
expected to be better performers in such an economic environment. Our analysts
are spending a good deal of time searching for appropriate noncore holdings in
order to have a list of quality names ready when we feel it is the proper time
to invest.
Sincerely,
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*
<TABLE>
<CAPTION>
% of
Net Assets
<S> <C>
General Electric Company 7.6%
Cisco Systems, Inc. 6.5%
Intel Corporation 6.4%
Microsoft Corporation 6.0%
Pfizer, Inc. 4.2%
</TABLE>
*At June 30, 2000
AVERAGE ANNUAL TOTAL RETURN
AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
Since Inception
(5-1-00)
<S> <C>
Series G 2.10%
</TABLE>
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 1, 2000 (date of inception) to June 30, 2000 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.
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<PAGE> 21
SERIES E (DIVERSIFIED INCOME SERIES)
AUGUST 15, 2000
<TABLE>
<S> <C>
FLYING S
LOGO SECURITY
FUNDS
</TABLE>
<TABLE>
<C> <C> <S>
[BOWSER PHOTO] [PHALEN PHOTO]
Steven M. Bowser Christopher L. Phalen
Portfolio Manager Portfolio Manager
</TABLE>
TO OUR CONTRACTHOLDERS:
The Diversified Income Series of SBL Fund, formerly called the High Grade Income
Series, gained 1.61% over the six month period ended June 30, 2000.(1) The
benchmark Lehman Brothers U.S. Aggregate Bond Index gained 3.99% over the same
period.
AN UNUSUAL TREASURY BOND MARKET
Price movement in the longer maturities of the Treasury bond market this year
has been governed by an unusual factor. On January 13 the Department of the
Treasury formally announced its plan to repurchase outstanding U.S. Treasury
securities, saying it would buy back as much as $30 billion of these securities
during the year 2000. The buybacks so far have focused primarily on the longer
maturity issues bearing high interest rates. Through this process the department
plans to substantially reduce the Federal government's annual interest expenses.
The result for fixed income markets was an outsized gain in the price of
long-maturity Treasury bonds, while corporate bonds, which didn't benefit from
the "buyback" effect, have lagged in total return. Steps taken by the Federal
Reserve Bank to increase interest rates pushed up yields on most fixed
instruments, but Treasury issues subject to the buyback process escaped most of
this impact.
STRUCTURE OF THE PORTFOLIO
At the close of June, the Diversified Income Series was comprised of 28%
mortgage-backed securities, 23% Federal agency issues, 24% investment grade and
Yankee corporate bonds, 15% U.S. Treasury securities, and 9% high yield
corporate bonds. The remainder was in cash and cash equivalents. We are working
to bring this mixture more closely in line with that of the benchmark Lehman
Aggregate Bond Index, which consists of 23% investment grade corporates, 30%
Treasuries, 10% Federal agencies, and 37% mortgage-backed issues. The timing of
this realignment worked against us a bit, since the corporate bond markets were
the weakest they had been in many years. We believe, however, that the
restructured portfolio should be a better performer in the months ahead.
The focus in the corporate bond portion of the portfolio will continue to be on
quality investment-grade companies with maturities primarily in the ten year or
lower range. We plan to use Treasury and Federal agency securities to fill in
the longer part of the maturity range, since these issues are less subject to
event risk which sometimes occurs with an issue in the corporate market
spectrum. We plan to reduce the high yield sector of the portfolio to about 5%
of the total, and expect to keep it generally between 5% and 10% of assets.
HIGH YIELD BOND PERFORMANCE WAS WEAK IN THE FIRST HALF
In the Diversified Income Series of SBL Fund the high yield bond portion of the
portfolio subtracted from overall return. High yield bonds tend to follow price
movements in the stock markets as well as in the bond markets, and many stock
indexes were negative in the first half of the year. In January, high yield
issues made up about 17% of assets. Because of their continuing underperformance
we have reduced the position to its current 9% weighting and plan to bring it
down even further in coming months.
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<PAGE> 22
SERIES E (DIVERSIFIED INCOME SERIES) (CONTINUED)
AUGUST 15, 2000
OUTLOOK FOR FIXED INCOME MARKETS
We believe the Federal Reserve Bank is near the end of its cycle of interest
rate increases. Once the economy exhibits solid evidence of slowing, bonds
should enjoy a period of price recovery. Because corporate, mortgage-backed, and
Federal agency securities prices have suffered more than Treasuries so far this
year, they should outperform Treasuries when interest rates begin a convincing
move downward. Interest rates on these categories of bonds currently stand at
historically wide spreads above comparable-maturity Treasury bonds. These
spreads are expected to narrow sharply when bond prices begin to recover.
Sincerely,
Steven M. Bowser
Christopher L. Phalen
Portfolio Managers
(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*
Corporate Bonds 30.8%
Preferred Stocks 0.7%
Mortgage Backed Securities 28.0%
Cash & Equivalents 5.5%
U.S. Government & Agencies 35.0%
*At June 30, 2000
AVERAGE ANNUAL TOTAL RETURN
AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
1 Year 5 Years 10 Years
<S> <C> <C> <C>
Series E 0.75% 4.45% 6.43%
</TABLE>
Performance figures do not reflect fees and expenses associated with an
investment in variable insurance products offered by Security Benefit Life
Insurance Company. Shares of a Series of SBL Fund are available only through
the purchase of such products.
The performance data quoted above represents past performance. Past
performance is not predictive of future performance. The investment return
and principal value of an investment will fluctuate so that an investor's
shares, when redeemed, may be worth more or less than their original cost.
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<PAGE> 23
SERIES N (MANAGED ASSET ALLOCATION SERIES)
AUGUST 15, 2000
<TABLE>
<S> <C>
T ROWE PRICE LOGO
SUBADVISOR, T. ROWE PRICE ASSOCIATES, INC.
</TABLE>
[NOTZON PHOTO]
Edmund N. Notzon
Portfolio Manager
TO OUR CONTRACTHOLDERS:
The Managed Asset Allocation Series of SBL Fund experienced a positive first
half of the year, gaining 1.36% over the six months.(1) The benchmark index, a
blend consisting of 60% S&P 500 Index and 40% Lehman Brothers Aggregate Bond
Index, rose 1.45% over the same period.
THE MARKET ENVIRONMENT IN THE FIRST HALF
After soaring in 1999 and the first quarter of 2000, technology stocks lost
altitude and returned to more realistic levels. The worst of the selling
occurred in April, but stocks attempted valiantly to take back lost ground by
the end of June. The technology-heavy Nasdaq Composite Index ended the first
half down 2.46%. The S&P 500 Index fell 0.43%, while small cap and mid cap
stocks posted gains. The weakening euro undermined modest returns on European
stocks and bonds. Equities in Japan also declined.
Among domestic fixed income sectors, longer duration issues outperformed over
the last six months as the Treasury yield curve inverted. Treasuries
outperformed mortgages and corporate bonds over the period. Among investment
grade corporate bonds, higher quality issues outperformed lower quality issues.
The high yield bond market underperformed as spreads widened to recessionary
levels, despite strong U.S. economic growth.
HIGHLIGHTS OF PORTFOLIO ACTIVITY
Despite increasing market volatility, our small cap stock holdings were the
strongest contributors to first half performance. Our investment grade holdings
benefited from their allocation to longer maturity Treasuries during an
environment of declining yields in that particular sector. The falling euro
hampered returns among our international stock holdings.
In the first half of 2000 we took some profits in longer-term Treasury bonds and
reallocated in favor of other investment grade issues, including corporate and
mortgage-backed securities. There were no other major portfolio changes. Despite
their recent underperformance, we believe that foreign equities have more
attractive valuations and growth prospects than their domestic counterparts.
Similarly we feel that small cap stocks remain undervalued relative to large cap
equities given their growth potential.
OUR OUTLOOK FOR THE REST OF THE YEAR
Economic growth in the U.S. appears to be moderating to a more sustainable
level. We see the global economic recovery on track despite slower growth in the
U.S. We anticipate another 25 basis points of tightening by the Federal Reserve
Bank this summer, but the leveling off of interest rate pressures should provide
a positive backdrop for fixed income investors.
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<PAGE> 24
SERIES N (MANAGED ASSET ALLOCATION SERIES) (CONTINUED)
AUGUST 15, 2000
We continue to see increasing volatility in world equity markets along with
quickening shifts of market leadership among sectors of the equity market and
between stocks and bonds. This suggests that a diversified approach such as that
offered by the Managed Asset Allocation Series should be an effective approach
for long term investors.
Sincerely,
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*
<TABLE>
<CAPTION>
% of
Net Assets
<S> <C>
Computer Software/Services 3.4%
Electronics - Semiconductors 2.6%
Healthcare - Pharmaceuticals - 2.6%
Major
Communication Equipment 2.5%
Computer Hardware 2.0%
</TABLE>
*At June 30, 2000
AVERAGE ANNUAL TOTAL RETURN
AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
Since Inception
1 Year 5 Years (6-1-95)
<S> <C> <C> <C>
Series N 5.74% 13.40% 13.32%
</TABLE>
Performance figures do not reflect fees and expenses associated with an
investment in variable insurance products offered by Security Benefit Life
Insurance Company. Shares of a Series of SBL Fund are available only through
the purchase of such products.
The performance data quoted above represents past performance. Past
performance is not predictive of future performance. The investment return
and principal value of an investment will fluctuate so that an investor's
shares, when redeemed, may be worth more or less than their original cost.
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<PAGE> 25
SERIES W (MAIN STREET GROWTH AND INCOME(R) SERIES)
AUGUST 15, 2000
<TABLE>
<S> <C>
OPPENHEIMERFUNDS(R) LOGO
SUBADVISOR, OPPENHEIMERFUNDS, INC.
</TABLE>
<TABLE>
<S> <C>
[ALBERS PHOTO] [MONOYIOS PHOTO]
Charles Albers Nikolaos Monoyios
Portfolio Manager Portfolio Manager
</TABLE>
TO OUR CONTRACTHOLDERS:
The Main Street Growth and Income Series(R) of SBL Fund began operations May 1,
2000 and is subadvised by OppenheimerFunds, Inc. In the period since its
inception through June 30, 2000, the portfolio generated a total return of
-0.20%, outperforming its benchmark index, the S&P 500 Index, which returned
-0.72% over the same period.(1)
ATTRACTIVE BUYING OPPORTUNITIES FOR OUR INITIAL INVESTMENTS
Over the past six months the equity markets have demonstrated considerable
volatility. Growth-oriented stocks rose sharply during January and February,
supported by continued expansion of the U.S. economy, low rates of inflation,
growing evidence of global economic recovery and diminishing fears of
Y2K-related problems. In March, uncertainties associated with rising interest
rates led to a sharp downward correction in growth-oriented stocks. Growth
stocks became more reasonably priced in May. Thus, at the time the Series'
operations began, we were able to take advantage of attractive opportunities
among fast-growing technology companies.
From the outset, we immediately employed a disciplined investment strategy aimed
toward building a diversified portfolio of good companies. Our quantitative
models, which evaluate characteristics of market sectors as well as individual
stocks, guided us to position the portfolio effectively in a wide range of
industries. In particular, we emphasized energy-related stocks, many of which
performed strongly due to steadily rising prices for oil and gas as well as
consolidations among several of the industry's key players.
OUR VIEW OF THE MARKETS IN COMING MONTHS
Looking ahead, we believe economic fundamentals remain in place to support
continued growth in the equities markets. As of the end of the reporting period,
we continue to focus on large cap stocks, which have generally outperformed
smaller company stocks for the last decade. Our investment model is pointing to
growing opportunities among technology-oriented stocks as prices fall to levels
we consider reasonable.
We have also begun to observe attractive opportunities among consumer staples
companies, which seem to have rebounded from their previous weak sales. We
believe many of these companies are now well positioned to benefit from
strengthening global sales. Our investment discipline is designed to highlight
just such opportunities before they are fully appreciated by the rest of the
investment community.
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<PAGE> 26
SERIES W (MAIN STREET GROWTH AND INCOME(R) SERIES) (CONTINUED)
AUGUST 15, 2000
OUR DISCIPLINED INVESTMENT APPROACH
Whatever direction the markets take in the coming months and years, we plan to
remain true to our disciplined investment approach. Rather than relying solely
on intuition or forecasts, we remain guided by the hard data provided by our
quantitative models.
Sincerely,
Charles Albers and Nikolaos Monoyios
Portfolio Managers
OppenheimerFunds Inc.
(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*
<TABLE>
<CAPTION>
% of
Net Assets
<S> <C>
Intel Corporation 5.6%
Wal-Mart Stores, Inc. 5.5%
General Electric Company 5.3%
Citigroup, Inc. 3.7%
Exxon Mobil Corporation 3.7%
</TABLE>
*At June 30, 2000
AVERAGE ANNUAL TOTAL RETURN
AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
Since Inception
(5-1-00)
<S> <C>
Series W (0.20)%
</TABLE>
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 1, 2000 (date of inception) to June 30, 2000 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.
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<PAGE> 27
SERIES H (ENHANCED INDEX SERIES)
AUGUST 15, 2000
<TABLE>
<S> <C>
BANKERS TRUST LOGO
</TABLE>
TO OUR CONTRACTHOLDERS:
The Enhanced Index Series of SBL Fund tracked the benchmark S&P 500 Index quite
well throughout the first six months of 2000. Over the period, the Series
returned -0.54%, while the benchmark return was -0.42%.(1) The greatest
departure from the benchmark occurred in June, when the stock market changed
direction markedly several times during the month.
REVIEWING THE PROPRIETARY SCREENS
In using our proprietary screens to select securities for the portfolio, we plan
to overweight a stock relative to its weighting in the benchmark S&P 500 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 apply, we will hold a neutral
position in the stock.
THE SCREENS THAT WORKED BEST IN THE FIRST HALF
The Enhanced Income Series benefited in the first half of the year from the
abundance of merger and acquisition activity. According to statistics compiled
by Thomson Financial Securities Data, the volume of U.S. merger and acquisition
activity rose to more than $894 billion in the first six months compared to $853
billion in the same period a year ago. A large part of this increase can be
attributed to the proposed acquisition of Time Warner, Inc., by America Online,
Inc., for an announced $182 billion. The Series also was boosted by the twenty-
two additions to the S&P 500 Index and the three deletions from the index.
Several of our other screens added value to a lesser degree.
OUTLOOK FOR THE REMAINDER OF THE YEAR
While as index fund managers we don't manage the portfolio according to a given
outlook for the equity markets or the economy, we do monitor economic conditions
and how they affect the financial markets. Our Chief Economist, Josh Feinman,
expresses the view that the most likely outcome for the U.S. economy in the
second half of the year is a "soft landing." We expect a combination of higher
interest rates relative to a year ago, moderating equity markets, and higher oil
prices to bring demand more in line with the economy's supply potential by late
2000 or early 2001, thus keeping inflation pressures from becoming too
entrenched.
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<PAGE> 28
SERIES H (ENHANCED INDEX SERIES) (CONTINUED)
AUGUST 15, 2000
Though encouraged by recent hints of cooling demand, we are unconvinced that a
long-lasting slowing will occur without some further tightening--perhaps another
fifty basis points--by the Federal Reserve Bank. Even if the economy slows
gracefully, the backdrop of slower profit growth and higher inflation would be
much less favorable for equities than the fundamentals we've seen for the last
few years.
Sincerely,
Bankers Trust Company
Enhanced Index 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.
---------------- PERFORMANCE
----------------
TOP 5 EQUITY HOLDINGS*
<TABLE>
<CAPTION>
% of
Net Assets
<S> <C>
General Electric Company 3.5%
Intel Corporation 3.0%
Cisco Systems, Inc. 3.0%
Microsoft Corporation 2.8%
Pfizer, Inc. 2.0%
</TABLE>
*At June 30, 2000
AVERAGE ANNUAL TOTAL RETURN
AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
Since Inception
1 Year (5-3-99)
<S> <C> <C>
Series H 8.15% 10.01%
</TABLE>
Performance figures do not reflect fees and expenses associated with an
investment in variable insurance products offered by Security Benefit Life
Insurance Company. Shares of a Series of SBL Fund are available only through
the purchase of such products.
The performance data quoted above represents past performance. Past
performance is not predictive of future performance. The investment return
and principal value of an investment will fluctuate so that an investor's
shares, when redeemed, may be worth more or less than their original cost.
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<PAGE> 29
SERIES L (CAPITAL GROWTH SERIES)
AUGUST 15, 2000
<TABLE>
<S> <C>
ALLIANCE CAPITAL LOGO
</TABLE>
TO OUR CONTRACTHOLDERS:
The Capital Growth Series of SBL Fund, subadvised by Alliance Capital Management
L.P., began operations May 1, 2000. In its first two months of operation the
Series closely approximated the return on its primary benchmark, the S&P 500
Index. The Series returned -0.70% over the two months while the S&P returned
-0.72%.(1)
ALLIANCE CAPITAL'S LARGE CAP STRATEGY
Alliance Capital's large capitalization growth strategy emphasizes stock
selection, portfolio concentration and opportunistic trading to take advantage
of unwarranted stock price fluctuations. The objective is to outperform large
cap benchmarks and to significantly outperform the S&P 500 Index over time. We
are "earnings driven" investors and focus on the early recognition of change on
the premise that value is created through the dynamics of changing company,
industry, and economic fundamentals. We seek to identify and invest in two- to
three-year relative earnings strength at an early stage and at a reasonable
price.
Our research emphasis focuses on companies where the potential for change is
significant. Our portfolios are concentrated in favored stocks whose earnings
growth rates are at least double the S&P 500's long-term average of
approximately 10%. Our investment approach is to hold fairly concentrated
positions in the top twenty-five stocks, which typically represent 65% to 75% of
the total market value of the portfolio. Industry exposures are a by-product of
individual stock selection, and we generally remain fully invested.
Alliance Capital's large cap growth strategy uses market and individual stock
volatility as an opportunity to vary, in a sensible manner, the relative
portfolio weightings of our favored securities. We are inclined to add to
positions on price weakness and sell into price strength, assuming the company
fundamentals are intact.
MAKEUP OF THE CURRENT PORTFOLIO
The Capital Growth Series portfolio at June 30, 2000 is broadly diversified with
technology, consumer services, financials and health care as areas of emphasis.
We maintain a positive view about the industry-dominant, high-growth companies
in the portfolio; we believe they will continue to outperform in a global
environment of solid economic growth and low inflation. Our primary focus
remains on getting the fundamentals right on our individual stock selections.
OUR OUTLOOK AND PLANS FOR THE COMING MONTHS
Despite the length of the economic expansion and the Federal Reserve Bank's
efforts to slow economic growth, corporate profit growth for most companies
remains strong. Although recent signs indicate that economic growth is slowing,
the data is far from conclusive. We believe the Federal Reserve will be vigilant
in its fight against inflation and not hesitate to increase interest rates again
if there are signs of accelerating growth or inflation. Investors will also be
looking for any signs of slowing corporate profit growth, especially when many
companies report earnings for the second quarter. Until investors are confident
that the Federal Reserve Bank has engineered a soft landing, market sentiment is
likely to vacillate with the economic data and corporate earnings reports.
The correction in technology stocks that saw the NASDAQ Composite Stock Index
fall over 20% from its record high in mid-March through the end of June has had
the beneficial effect of deflating the speculative bubble in the stock market.
However, a valuation gap still exists between many technology stocks and the
rest of the market, specifically financial and basic materials stocks. This gap,
coupled with an economic landscape that is unclear, is likely to lead to
continued volatility in the market. We plan to take advantage of this expected
volatility by actively trading our core holdings to add incremental return.
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<PAGE> 30
SERIES L (CAPITAL GROWTH SERIES) (CONTINUED)
AUGUST 15, 2000
We look forward to the challenge of trying to keep the portfolio optimally
structured for success based on the marriage of our fundamental analysis and
price considerations--a management creed the Large Capitalization Growth team at
Alliance Capital has successfully followed for the last two decades.
Sincerely,
Alliance Capital Management L.P.
Large Capitalization Growth 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.
---------------- PERFORMANCE
----------------
TOP 5 EQUITY HOLDINGS*
<TABLE>
<CAPTION>
% of
Net Assets
<S> <C>
Pfizer, Inc. 6.1%
Intel Corporation 5.3%
Nokia Oyj ADR 4.7%
Tyco International, Ltd. 4.2%
Applied Materials, Inc. 4.2%
</TABLE>
*At June 30, 2000
AVERAGE ANNUAL TOTAL RETURN
AS OF JUNE 30, 2000(1)
<TABLE>
<CAPTION>
Since Inception
(5-1-00)
<S> <C>
Series L -0.70%
</TABLE>
(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 1, 2000 (date of inception) to June 30, 2000 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.
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<PAGE> 31
SERIES Q (SMALL CAP VALUE SERIES)
AUGUST 15, 2000
<TABLE>
<S> <C>
STRONG LOGO SUBADVISOR, STRONG CAPITAL MANAGEMENT INC.
</TABLE>
[RENALDI PHOTO]
I. Charles Rinaldi
Portfolio Manager
TO OUR CONTRACTHOLDERS:
The Small Cap Value Series of SBL Fund began operations May 1, 2000, and is
subadvised by Strong Capital Management, Inc. For the period since its inception
through June 30, the Series generated a return of -1.60% while its benchmark
index, the Russell 2000 Index, returned -0.12%.(1)
RECENT MARKET PERFORMANCE
Throughout the second quarter of 2000, both large cap and small cap equity
indexes were negative, with small cap stocks slightly underperforming their
large cap counterparts. The negative reaction in the equity markets, brought
about by the Federal Reserve Bank's succession of interest rate increases during
the year, caused volatility throughout much of the quarter. The markets,
however, began to rally in late May when favorable unemployment figures
suggested that the overheated economy was beginning to slow.
The Federal Reserve Bank's policy-making Open Market Committee offered some
continued comfort at the end of June when it refrained from raising interest
rates yet again. Subsequent statements from various economic analysts concerning
inflationary signs, as well as a focus on upcoming second quarter company
earnings reports, created an environment where investors were looking forward
with caution.
OUR EXPECTATIONS FOR COMING MONTHS
The market is likely to remain stagnant for the next few months and unlikely to
establish new highs or set new lows. We expect the key drivers of direction to
be set by the Federal Reserve's policymakers, and it is doubtful that
significant changes would occur just prior to the elections in the fall. Given
the difficulties companies experienced in raising prices of finished goods while
raw material and energy costs were steadily increasing this year, we believe
actual corporate earnings results for the second quarter, when reported, may be
slightly lower than analysts' expectations.
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<PAGE> 32
SERIES Q (SMALL CAP VALUE SERIES) (CONTINUED)
AUGUST 15, 2000
WE EXPECT A RETURN TO VALUE STOCKS
It is our belief that the second quarter of this year marked the beginning of a
transition for investors to more traditional value equities. We saw a flight to
traditional cyclical value names during the quarter, which reflects well on the
remainder of this year as we anticipate a broader return to value stocks. If we
are correct in our assessment of a slowdown in second quarter's reported
earnings, it is likely that investors will start value shopping for growth. Our
empirical work, directed toward finding growth at a reasonable price, suggests
that this will be the area of investor focus over the next few months.
Sincerely,
I. Charles Rinaldi
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*
<TABLE>
<CAPTION>
% of
Net Assets
<S> <C>
World Acceptance Corporation 2.7%
Chicago Bridge & Iron Company N.V. 2.4%
Matrix Service Company 2.1%
Inprise Corporation 2.0%
Range Resources Corporation 2.0%
</TABLE>
*At June 30, 2000
AVERAGE ANNUAL TOTAL RETURN
AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
Since Inception
(5-1-00)
<S> <C>
Series Q (1.60)%
</TABLE>
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 1, 2000 (date of inception) to June 30, 2000 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.
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<PAGE> 33
SERIES A (EQUITY SERIES)
AUGUST 15, 2000
<TABLE>
<S> <C>
FLYING S
LOGO SECURITY
FUNDS
</TABLE>
[MILBERGER PHOTO]
Terry Milberger
Senior Portfolio Manager
TO OUR CONTRACTHOLDERS:
Concern about the Federal Reserve Bank's actions to increase interest rates in
order to slow economic growth has kept the stock markets in a holding pattern so
far this year. The Equity Series of SBL Fund in the first six months of 2000
returned -1.66% while the benchmark S&P 500 Index returned -0.42%.(1)
THIS YEAR'S MARKET TRENDS
In the early months of this year, technology issues continued their strong
advance as investors believed interest rate increases would not damage this
sector. The run-up in technology stock prices went too far, however, as
frequently happens, and the sector experienced a normal correction beginning in
late March and lasting through most of May.
Economically sensitive sectors which performed poorly last year amid the Federal
Reserve's economy-slowing actions received a boost when investors began to move
out of technology stocks in late March. Both technology and the economically
sensitive groups slowed in late May and June, though, when evidence of the
long-awaited slowdown began to emerge.
TECHNOLOGY AND HEALTH CARE SECTORS WERE STRONGEST
Despite its volatility, technology was again a leader in the benchmark S&P 500
Index for the first half of the year. The portfolio's total return was hurt by a
slight underweighting relative to the benchmark in the tech sector. The stocks
we owned performed well: Oracle Corporation gained 50%, Cisco Systems, Inc. was
up 18.67%, Sun Microsystems, Inc. rose 17.43%, and telecommunications company
Nortel Networks Corporation gained 35% over the six-month period.
The health care sector also fared well. Many drug company stocks lost ground in
1999 because of the potential negative effect of pending legislation which could
affect the pricing of their products. That downtrend has been reversed this year
as the legislation related to the possibility of Medicare payment for
prescriptions remains stalled. Pharmacia & Upjohn, Inc. gained 33% before its
merger April 1 with Monsanto into the combined Pharmacia Corporation. The
combined company has held its ground since the merger completion date, rising
about 1%. A second major pharmaceutical company, American Home Products
Corporation, climbed 51% during the first half of the year.
Other strong performers came from an assortment of sectors. Among financial
stocks, The Bank of New York Company, Inc. and Northern Trust Corporation
benefited from their fee-based operations centered around managing assets for
wealthy clientele. In retail, Kohl's Corporation performed well. Kohl's is the
fastest growing reasonably sized company in the department store arena, and is
expected to hold up well in the event of a consumer spending slowdown. Food
retailer Safeway, Inc. also made a positive contribution to the portfolio's
total return, showing above average earnings growth in a generally slow-growing
industry.
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<PAGE> 34
SERIES A (EQUITY SERIES) (CONTINUED)
AUGUST 15, 2000
MICROSOFT HURT BY LEGAL PROCEEDINGS
Microsoft Corporation was the biggest detractor to portfolio total return,
falling over 31% as the uncertain outcome of legal proceedings and a potential
breakup of the company damaged stock performance. Also in the technology sector,
telecommunications equipment company Lucent Technologies, Inc. lost 22% on
product transition concerns when the company had difficulty delivering new
products on schedule.
Fears of an economic slowdown hurt the stock price of building materials and
home improvement retailer The Home Depot, Inc., which lost over 27% in the first
half. The potential for a slowdown also damaged discount store operator Wal-Mart
Stores, Inc.
INTEREST RATE INCREASES MAY BE OVER
We believe the Federal Open Market Committee is at or near the end of its
interest rate increase cycle and will now pause to assess the impact of its rate
hikes to date. This would create a positive backdrop for stocks heading into the
second half of the year. Although we expect some slowing of economic activity,
we don't think it will be of a great enough magnitude to jeopardize earnings. We
look for returns on stocks to be positive, but more in line with historical
norms than with the extraordinarily strong gains of the past few years.
Sincerely,
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*
<TABLE>
<CAPTION>
% of
Net Assets
<S> <C>
General Electric Company 4.7%
Standard & Poor's Depositary 3.9%
Receipts
Intel Corporation 3.8%
Cisco Systems 3.6%
Microsoft Corporation 3.6%
</TABLE>
*At June 30, 2000
AVERAGE ANNUAL TOTAL RETURN
AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
1 Year 5 Years 10 Years
<S> <C> <C> <C>
Series A (0.58)% 19.23% 15.74%
</TABLE>
Performance figures do not reflect fees and expenses associated with an
investment in variable insurance products offered by Security Benefit Life
Insurance Company. Shares of a Series of SBL Fund are available only through
the purchase of such products.
The performance data quoted above represents past performance. Past
performance is not predictive of future performance. The investment return
and principal value of an investment will fluctuate so that an investor's
shares, when redeemed, may be worth more or less than their original cost.
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<PAGE> 35
SERIES P (HIGH YIELD SERIES)
AUGUST 15, 2000
<TABLE>
<S> <C>
FLYING S
LOGO SECURITY
FUNDS
</TABLE>
[TOUSSAINT PHOTO]
David G. Toussaint
Portfolio Manager
TO OUR CONTRACTHOLDERS:
The High Yield Series of SBL Fund generated a total return of -1.93% during the
first half of this year, compared to the -1.21% produced by the benchmark Lehman
Brothers Corporate High Yield Index.(1) As you know, high yield bonds often
track the stock markets more closely than the bond markets. In the six months
just completed, many stock markets indexes produced negative results as well.
A RECAP OF THE FIRST HALF
The high yield bond markets in general declined through most of the first five
months of 2000. June brought a reversal, with bond prices rising as investors
perceived that the Federal Reserve Bank was at or near the end of its cycle of
raising interest rates. After several months of outflows of cash from high yield
mutual funds, money started coming into these funds in June when yields became
more attractive on a historic basis.
When investor interest was rekindled and cash flows increased late in the first
half, many corporate treasurers moved quickly to the high yield markets with
offerings of new bond issues. These new issues were mostly from higher quality,
better established high yield companies and were very well received by
investors. This increase in supply, however, may dampen investors' enthusiasm in
the coming months if it keeps bond prices from improving as much as they would
have in its absence.
DEFAULT RATES HAVE RISEN
Throughout 1997 and 1998, high yield bond issuance was heavy, meeting the
demands of investors looking for yield. We now are seeing the darker side of
this abundant new issuance, as default rates among high yield companies have
risen in recent months. Nursing home operators Genesis Health Ventures, Inc. and
Multicare Companies, Inc. both announced that they would be unable to meet
regular coupon interest payments that came due in March and April. Both
companies were hurt by federal legislation which cut their Medicare
reimbursement payments.
Oakwood Homes Corporation, a producer of manufactured homes, reported a greater
than expected quarterly loss and a sharp decline in sales. Their increasing lack
of financial flexibility led to a downgrade in the company's securities.
American Eco Corporation, which outsources services to the energy and power
generation industries, said in its quarterly report released in April that it
was not in compliance with some of its credit covenants.
STRONG PERFORMANCE FROM ENERGY, GAMING, AND TECHNOLOGY
But there is much good news among the portfolio holdings as well. Our
energy-related companies have seen their bond prices rise substantially as the
price of crude oil climbed from $21 at the beginning of the year to $32 at the
end of the first half. Among these companies we own securities issued by Pioneer
Natural Resources Company, Ocean Energy Corporation, Crown Central Petroleum
Corporation, and Giant Industries, Inc.
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<PAGE> 36
SERIES P (HIGH YIELD SERIES) (CONTINUED)
AUGUST 15, 2000
The gaming sector benefited from the strong economy because of the increased
cash flows it generated. We concentrated on the higher quality BB-rated issues,
and saw nice price gains in many of these names. Included in this group are
bonds issued by MGM Grand, Inc., Harrah's Entertainment, Inc., Park Place
Entertainment Corporation (which operates under the brand names Bally's,
Caesars, Flamingo, Grand, and Hilton), and Isle of Capri Casinos, Inc.
The third group which proved beneficial in the first half is technology. Amkor
Technology, Inc. provides semiconductor packaging and test services. MasTec,
Inc. designs, builds, and installs computer and communications networks for
telecommunications service providers and cable television operators. Orius
Corporation also operates in the telecommunications service arena, laying cable
and installing premise wiring as well as providing outsourcing services.
HIGH YIELD MARKETS APPEAR TO HAVE STABILIZED
Our cash positions have been a bit higher than usual throughout the first half
of the year, reflecting our caution about investing in a somewhat shaky market.
In recent weeks, however, the high yield markets seem to be more stable,
particularly following the positive movements in the stock markets. We plan to
put the cash to work as appropriate opportunities arise, concentrating on BB
rated credits and better single-B rated names. We believe the Federal Reserve
Bank is near the conclusion of its cycle of interest rate increases, and high
yield bonds should perform well when interest rates begin declining.
Sincerely,
David G. Toussaint
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, 2000
<TABLE>
<CAPTION>
Since Inception
1 Year (8-5-96)
<S> <C> <C>
Series P (1.99)% 6.31%
</TABLE>
Performance figures do not reflect fees and expenses associated with an
investment in variable insurance products offered by Security Benefit Life
Insurance Company. Shares of a Series of SBL Fund are available only through
the purchase of such products.
The performance data quoted above represents past performance. Past
performance is not predictive of future performance. The investment return
and principal value of an investment will fluctuate so that an investor's
shares, when redeemed, may be worth more or less than their original cost.
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<PAGE> 37
SERIES M (GLOBAL TOTAL RETURN SERIES)
AUGUST 15, 2000
<TABLE>
<S> <C>
WELLINGTON MANAGEMENT LOGO
SUBADVISOR, WELLINGTON MANAGEMENT COMPANY LLP
</TABLE>
[GOERZ PHOTO]
David J. Goerz, III
Portfolio Manager
TO OUR CONTRACTHOLDERS:
The Global Total Return Series of SBL Fund seeks to outperform a blended
unhedged benchmark of 80% MSCI World Equity Index and 20% Salomon World
Government Bond Index by combining an effective asset allocation discipline with
global security selection expertise in an innovative approach to global balanced
management. For the first six months of the year the Series generated a return
of -2.60%, lagging the benchmark return of -1.91%.(1)
A REVIEW OF THE MARKETS THIS YEAR
Interest rate fears and continuing valuation concerns, especially in growth
stocks, hampered global equity market returns. In particular, slower economies
with lagging profit growth underperformed, for example in Germany and Japan.
Bonds performed somewhat better as U.S. Treasury issues managed to outpace
non-U.S. bonds, which were dragged lower by the depreciating euro.
The portfolio benefited from asset allocation shifts during the first six
months. We were cautious about equities earlier in the period, but then took the
opportunity to increase exposure as the market corrected. However, our equity
security selection was disappointing in the information technology,
entertainment, and utility sectors.
POSITIONING OF PORTFOLIO ASSETS
On June 30, the Series held 83% global equities, 16% global bonds, and 1% cash.
At this time, we find global stocks to be more attractive than bonds or cash.
Developed markets are experiencing the best economic growth in a decade, and
constructive conditions suggest strong global growth should continue. Equity
return forecasts increased with falling bond yields and improved productivity,
resulting in strong earnings growth and enhanced valuations.
European earnings specifically have benefited from weakness in the euro, but a
strong yen has hampered growth in Japan. Overall, continuing global strength in
earnings, reflecting vigorous economic activity, remains an important factor in
our shift to an overweight equity posture. We expect S&P 500 earnings to
increase about 18% during 2000, slowing moderately to 12% next year.
The Series has targeted increased equity exposure particularly in Europe, Canada
and Hong Kong. Earnings growth has been strong in these markets and should
continue at a rate faster than most other countries. Canada and Hong Kong posted
June returns exceeding 10% as investors began to recognize these opportunities.
The Series remains underweight in Japanese equities given an unfavorable profit
and economic growth environment, as well as stretched valuations.
OUR OUTLOOK FOR THE SECOND HALF OF THE YEAR
Hikes in interest rates that began more than a year ago are having the desired
effect of slowing growth to a more sustainable pace. We believe that the end of
U.S. rate increases is near. We think Europe probably has more work to do, while
Japan should begin raising rates before year end. Overall, investor expectations
have shifted toward a more benign interest rate environment supportive of
equities.
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<PAGE> 38
SERIES M (GLOBAL TOTAL RETURN SERIES) (CONTINUED)
AUGUST 15, 2000
In our view, U.S. Treasuries are more attractive than most other bond markets,
but less attractive than stocks. A strong U.S. dollar, volatile equity markets,
and a reduced supply of U.S. Treasury securities have all been supportive in
this otherwise difficult environment. Credit spreads have widened in part due to
an aggressive government security buyback program instituted by the U.S.
Treasury Department. This is an extraordinary condition that we believe will
soon reverse itself. The Series is positioned to benefit from a narrowing in the
gap between corporate bond spreads and U.S. Treasury issues.
Sincerely,
David J. Goerz, III
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*
<TABLE>
<CAPTION>
% of
Net Assets
<S> <C>
Microsoft Corporation 2.0%
Cisco Systems, Inc. 1.4%
Citigroup, Inc. 1.4%
Intel Corporation 1.4%
Nokia OYJ 1.4%
</TABLE>
*At June 30, 2000
AVERAGE ANNUAL TOTAL RETURN
AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
Since Inception
1 Year 5 Years (6-1-95)
<S> <C> <C> <C>
Series M 4.19% 10.01% 10.01%
</TABLE>
Performance figures do not reflect fees and expenses associated with an
investment in variable insurance products offered by Security Benefit Life
Insurance Company. Shares of a Series of SBL Fund are available only through
the purchase of such products.
The performance data quoted above represents past performance. Past
performance is not predictive of future performance. The investment return
and principal value of an investment will fluctuate so that an investor's
shares, when redeemed, may be worth more or less than their original cost.
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<PAGE> 39
SERIES O (EQUITY INCOME SERIES)
AUGUST 15, 2000
<TABLE>
<S> <C>
T ROWE PRICE LOGO
SUBADVISOR, T. ROWE PRICE ASSOCIATES, INC.
</TABLE>
[ROGERS PHOTO]
Brian C. Rogers
Portfolio Manager
TO OUR CONTRACTHOLDERS:
Following a sharp advance during the first quarter of 2000, domestic stocks
stumbled badly in April and then spent May and June trying to recover. The
Federal Reserve Bank increased their interest rate targets three times in the
first half of the year, for a total of six increases since June 1999, which
eventually took its toll on most sectors of the market. As a result, technology
stocks fared worst during the correction, but stocks outside the tech sector
were also damaged.
PORTFOLIO PERFORMANCE DURING THE SIX MONTHS
The equity income group rallied somewhat after a long period of stagnation, but
still finished in negative territory. The Equity Income Series of SBL Fund
returned -2.90% over the six month period, while its benchmark S&P 500 Index
returned -0.42%.(1) The portfolio's performance reflected the overall weakness
with a small loss in the face of a major selloff in the so-called New Economy
sectors. The Series' underweighting in technology spared it from further damage
during the challenging first six months of 2000.
The worst of the selling occurred in April, but stocks attempted valiantly to
recover lost ground by the end of June. All major indexes were weak, but there
were a few bright spots, including biotechnology and natural resource stocks,
which managed to post impressive gains due to inflation worries. Considering the
uneven performance of stocks during the past two years, with many high risk
Internet shares climbing ceaselessly while stable blue chips with solid earnings
languished, the relatively good performance of value shares seemed long overdue.
PERFORMANCE OF PORTFOLIO HOLDINGS VARIED WIDELY
As we have discussed in previous letters, value stocks had been selling at the
greatest price/earnings discount to the general market in 25 years. The major
contributors to positive performance in the Series over the first half of this
year were oil field service company Baker Hughes Incorporated, up 53%;
pharmaceutical firms American Home Products Corporation and Pharmacia
Corporation, up 50% and 46%, respectively; Starwood Hotels and Resorts
Worldwide, Inc., up 40%; The Reader's Digest Association, Inc., up 36%; and The
Walt Disney Company, up 33%.
There were laggards as well. Among them were computer services company Unisys
Corporation and software manufacturer BMC Software, Inc., each off 54% for the
six month period. Others include building materials firm Armstrong World
Industries, Inc., down 51%; diversified chemicals company Hercules Incorporated,
down 48%; The Procter & Gamble Company, off 47%; and International Paper
Company, down 46%.
The portfolio remained well diversified among industries, with 20% of assets in
consumer nondurables, 17% in financial stocks, 13% in energy, 13% in utilities,
and the rest scattered across other industrial sectors. We made several
purchases in the first half as their valuations became more attractive. These
additions include mobile telecommunications services provider Vodafone AirTouch
PLC, electronic controls manufacturer Rockwell International Corporation,
Motorola, Inc., Unisys Corporation, Microsoft Corporation, and BMC Software,
Inc.
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<PAGE> 40
SERIES O (EQUITY INCOME SERIES) (CONTINUED)
AUGUST 15, 2000
OUR OUTLOOK FOR THE COMING MONTHS
We believe further interest rate increases may be possible in coming months.
However, there are signs of slowing in economic growth and the Federal Reserve
Bank could be nearing the end of its tightening cycle. The purpose of the higher
rates is to slow the economy from its robust pace of the past few quarters and
constrain inflation within acceptable bounds. We think these efforts will
succeed without pushing the economy into a recession. As investors anticipate
more favorable trends in inflation and interest rates, we expect moderate
returns through the rest of the year for domestic stocks, including the equity
income sector of the market.
Sincerely,
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*
<TABLE>
<CAPTION>
% of
Net Assets
<S> <C>
BP Amoco plc ADR 3.0%
Exxon Mobil Corporation 2.6%
Mellon Financial Corporation 2.4%
SBC Communications, Inc. 2.1%
General Mills, Inc. 1.8%
</TABLE>
*At June 30, 2000
AVERAGE ANNUAL TOTAL RETURN
AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
Since Inception
1 Year 5 Years (6-1-95)
<S> <C> <C> <C>
Series O (10.57)% 14.37% 14.26%
</TABLE>
Performance figures do not reflect fees and expenses associated with an
investment in variable insurance products offered by Security Benefit Life
Insurance Company. Shares of a Series of SBL Fund are available only through
the purchase of such products.
The performance data quoted above represents past performance. Past
performance is not predictive of future performance. The investment return
and principal value of an investment will fluctuate so that an investor's
shares, when redeemed, may be worth more or less than their original cost.
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<PAGE> 41
SERIES Y (SELECT 25 SERIES)
AUGUST 15, 2000
<TABLE>
<S> <C>
FLYING S
LOGO SECURITY
FUNDS
</TABLE>
[MILBERGER PHOTO]
Terry Milberger
Senior Portfolio Manager
TO OUR CONTRACTHOLDERS:
The Select 25 Series of SBL Fund had a difficult first half of the year,
returning -4.04% compared with the benchmark S&P 500 Index's return of
-0.42%.(1) It is important to recognize that a concentrated portfolio of only
twenty-five securities will often experience sharp price swings in a relatively
short period of time.
GOOD COMPANIES CAN BECOME BAD STOCKS FOR SHORT PERIODS
Our objective is to select premier growth stocks for inclusion in the Select 25
Series portfolio. While these stocks have demonstrated excellent long-term
performance, they will occasionally experience weak periods. We saw this happen
in the first half of 2000 to some of our favorite companies. Foremost among
these was Microsoft Corporation, which suffered because of its ongoing legal
proceedings and concerns about a breakup of the company. Microsoft's stock has
lost over 31% since the first of the year.
Also in the "good company, bad stock" category were two firms which lost value
as concerns increased about higher interest rates and a slowdown in consumer
spending. The Home Depot, Inc. fell 27% on investors' anticipation of a housing
slowdown when mortgage interest rates rose. We continue to like the stock
because even in periods in which home building activity slows, Home Depot does
well with the remodeling and repair side of the business. Wal-Mart Stores, Inc.
saw its stock price drop over 16% when rising gasoline prices led consumers to
spend more at the gas pumps and less in department and discount stores.
Broadcast services company Clear Channel Communications Inc. suffered from the
expected impact of higher interest rates also. The firm, which owns, programs,
and sells airtime on various radio and television stations and provides outdoor
advertising services, borrows money frequently in the course of its business
activities. While investors tend to avoid the stock when interest rates are
increasing, the fundamentals of the company remain sound. We expect it to
recover nicely when interest rates begin to decline.
GOOD PERFORMERS IN THE TECHNOLOGY SECTOR
Many of the strongest performing stocks in the portfolio were technology
related. This sector currently makes up about 40% of portfolio assets because of
its favorable long-term growth rate outlook. Portfolio performance was led by
Sanmina Corporation, a company which provides electronics contract manufacturing
services. Sanmina's stock rose over 71% during the first half, losing ground
only slightly in the late March-early April technology selloff but moving up
sharply when the sector recovered.
Many other stocks in the technology group were strong performers as well. Intel
Corporation gained 62.5%, EMC Corporation rose 40.8%, Nortel Networks
Corporation was up 35%, and Cisco Systems rose 18.7% over the six months.
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<PAGE> 42
SERIES Y (SELECT 25 SERIES) (CONTINUED)
AUGUST 15, 2000
PREMIER GROWTH COMPANIES WILL PERFORM WELL OVER TIME
We believe that companies which have consistently displayed strong earnings
growth will be premier stocks over the long term. The holding periods for
securities in the Select 25 Series in general are longer than average. Portfolio
purchases and sales are seldom driven by momentum trends. Rather, we prefer to
select premier companies and keep them in the portfolio as long as we believe
their growth prospects remain intact.
Sincerely,
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*
<TABLE>
<CAPTION>
% of
Net Assets
<S> <C>
General Electric Company 4.7%
EMC Corporation 4.4%
Nextel Communications, Inc. 4.3%
Dell Computer Corporation 4.3%
Walgreen Company 4.1%
</TABLE>
*At June 30, 2000
AVERAGE ANNUAL TOTAL RETURN
AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
Since Inception
1 Year (5-3-99)
<S> <C> <C>
Series Y 15.38% 18.06%
</TABLE>
Performance figures do not reflect fees and expenses associated with an
investment in variable insurance products offered by Security Benefit Life
Insurance Company. Shares of a Series of SBL Fund are available only through
the purchase of such products.
The performance data quoted above represents past performance. Past
performance is not predictive of future performance. The investment return
and principal value of an investment will fluctuate so that an investor's
shares, when redeemed, may be worth more or less than their original cost.
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<PAGE> 43
SERIES I (INTERNATIONAL SERIES)
AUGUST 15, 2000
<TABLE>
<S> <C>
BANKERS TRUST LOGO
</TABLE>
<TABLE>
<S> <C> <C>
[LEVY PHOTO] [REINER PHOTO] [WANG PHOTO]
Michael Levy Robert Reiner Julie Wang
Portfolio Manager Portfolio Manager Portfolio Manager
</TABLE>
TO OUR CONTRACTHOLDERS:
The International Series of SBL Fund generated a total return of -7.08% over the
six months ended June 30, 2000.(1) The benchmark MSCI-EAFE Index returned -4.63%
for the same time period. The portfolio is primarily composed of high quality,
undervalued large cap and midcap stocks of foreign issuers in both developed and
emerging markets.
A REVIEW OF THE FIRST HALF GLOBALLY
Volatility was the watchword for global equity markets during the first six
months of 2000. Global growth, which had been accelerating toward the end of
1999, continued to pick up speed especially in the U.S. This prompted concerns
that the Federal Reserve bank would need to raise interest rates in order to
prevent a pickup in inflation. In response, all the G7 countries except Japan
raised rates in the first half of this year.
In Continental Europe, growth continued to pick up throughout 2000. The euro has
again remained weak which, while disappointing, has enabled exports to lead
European growth forward. Indeed, despite interest rate rises, growth remains
robust as these increases have been negated by the weakening currency. Growth is
strong in the core economies, with consumers now leading the way forward.
Similarly in the U.K., after a series of increases, it is thought that the Bank
of England is near the peak of this cycle of interest rate rises. The impact of
rate hikes is taking its toll on the U.K. consumer, with confidence trending
down and retailers reporting soft sales.
In Japan, sentiment continues to be volatile. Economic activity has picked up as
evidenced by recent strong growth in manufacturing capital expenditures and
increases in vehicle and truck sales in June. The Governor of the Bank of Japan
continues to signal an end to the zero interest rate policy that Japan currently
has in place. This would have a negative impact on the fragile economic recovery
there and damage the outlook for corporate profits, which are now recovering.
The June election in the Japanese Lower House returned a verdict in line with
consensus, with the three-party coalition led by the Liberal Democratic Party
(LDP) clinging to a majority of lower house seats. The LDP is in a weakened
position, with the Democrats the main beneficiaries. Heavy selling by foreign
investors who had fueled the market's past rally pressured the Japanese stock
market.
MAJOR TRANSACTIONS DURING THE SIX MONTH PERIOD
The main driver of the Series' underperformance was the exposure to the more
volatile telecommunications, media, and technology sectors. During the year,
investors began to question the stretched valuations at which some of these
companies were trading. Sentiment toward the global technology sector was
negatively affected by the judgement against Microsoft, as well. We reduced a
number of positions in order to lower risk, only maintaining exposure to the
most attractively valued quality companies with strong, long-term business
plans.
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<PAGE> 44
SERIES I (INTERNATIONAL SERIES) (CONTINUED)
AUGUST 15, 2000
The relatively safe sectors during this period of volatility were the
pharmaceutical, household, and food sectors which offer visible and stable
growth prospects to investors. A position was established in Reckitt Benckiser
PLC, a company formed via the merger of Reckitt and Colman of the U.K. and
Benckiser of the Netherlands. Integration benefits continue to come through
higher than expectations and the company continues to grow its top line sales at
5%. We expect to see their earnings improve by 20% in 2000. Other new holdings
during the period were Imperial Tobacco Group PLC, Nestle SA and Scottish and
Newcastle PLC.
OUTLOOK AND STRATEGY
Data has shown that the U.S. domestic economy is robust, but beginning to slow.
Further interest rate increases are likely if this recent data is not confirmed
going forward. Core inflation remains quiescent at present, but signs of a
pickup would dent the U.S. market's confidence with a likely impact on global
equity markets. In Continental Europe the recent interest rate rises are
unlikely to slow the economies significantly until well into the third quarter.
As growth remains robust and opportunities abound, it remains our most favored
region. In the U.K., as the economy slows, companies are struggling to grow
profits meaningfully and earnings are likely to undershoot consensus forecasts.
This opinion gives rise to our underweight position there. Emerging markets,
which have suffered as the global equity risk premia have risen in the first
half of 2000, still offer selective opportunities.
Sincerely,
Michael Levy, Robert Reiner, and Julie Wang
Portfolio Managers
(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 and/or reimbursements reduced
expenses of the Series and in the absence of such waivers, the performance
quoted would be reduced.
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*
<TABLE>
<CAPTION>
% of
Net Assets
<S> <C>
Total Fina Elf S.A. (Cl. B) 2.5%
Vodafone AirTouch plc 2.5%
Ing Groep N.V. 2.0%
Shell Transport and Trading Company
plc 2.0%
Reckitt Benckiser plc 1.9%
</TABLE>
*At June 30, 2000
AVERAGE ANNUAL TOTAL RETURN
AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
Since Inception
1 Year (5-3-99)
<S> <C> <C>
Series I 23.52% 17.66%
</TABLE>
Performance figures do not reflect fees and expenses associated with an
investment in variable insurance products offered by Security Benefit Life
Insurance Company. Shares of a Series of SBL Fund are available only through
the purchase of such products.
The performance data quoted above represents past performance. Past
performance is not predictive of future performance. The investment return
and principal value of an investment will fluctuate so that an investor's
shares, when redeemed, may be worth more or less than their original cost.
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<PAGE> 45
SERIES B (LARGE CAP VALUE SERIES)
AUGUST 15, 2000
<TABLE>
<S> <C>
FLYING S
LOGO SECURITY
FUNDS
</TABLE>
[MILBERGER PHOTO]
Terry Milberger
Senior Portfolio Manager
TO OUR CONTRACTHOLDERS:
The Large Cap Value Series of SBL Fund (formerly the Growth/Income Series)
returned -10.58% in the first six months of the year.1 The benchmark S&P/Barra
Value Index fell 4.08% over the same time period.
HIGH VALUATIONS FOR TECHNOLOGY STOCKS EARLY IN THE YEAR
The top-performing sector of the stock market in the first half of 2000 was
technology. Because of the very high levels of stock valuations in this sector
at the beginning of the year we were underweighted relative to the weighting in
the benchmark index. As technology issues lost some of their luster and many
tech stock prices fell in late March and April, we took advantage of the selloff
to increase that sector's weighting in the portfolio. At the beginning of the
year technology stocks made up about 5% of holdings; at the close of the
six-month period that sector had increased to 12.5% of assets, slightly ahead of
the benchmark's technology weighting.
Among the technology holdings is Hewlett Packard Company, whose stock price
gained nicely in late May and early June after the company reported a very
positive outlook for sales growth. We added positions in Compaq Computer
Corporation and International Business Machines Corporation (IBM), both of which
had valuations lower than the average technology stock.
FINANCIAL STOCKS REPRESENT GOOD VALUE
The continuing series of rate increases by the Federal Reserve Bank's
policy-making Open Market Committee created a cloud over financial stocks in
general. Often when a sector is depressed overall, individual stocks within that
sector may suffer unfairly, creating excellent buying opportunities for value
investors. We took advantage of this situation to buy certain bank stocks which
we believe will perform well when interest rates begin a downward trend.
Among the 26% of the portfolio holdings invested in the financial sector, one of
our holdings is The Bank of New York Company, Inc. This banking firm generates a
large part of its earnings through fee-based activities such as asset
management. Fee-based income is much less sensitive to the direction of interest
rates, and provides stability in economic climates such as we are now
experiencing. We also hold a position in FleetBoston Financial Corporation,
which is benefiting from broad geographic diversity through its commercial and
investment banking services around the world.
THE OUTLOOK FOR VALUE INVESTING
Statistics show that over long periods of time value stocks have outperformed
growth stocks. In recent years, however, growth stocks have been the market
leaders. More specifically, the greatest returns among the growth stocks were
generated by a narrow group of technology issues. While the performance
resulting from the growth in these few stocks was significant, many investors
didn't fully appreciate how concentrated the markets had become and how much
volatility was assumed by managers who overweighted exposure to these names in
their funds.
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<PAGE> 46
SERIES B (LARGE CAP VALUE SERIES) (CONTINUED)
AUGUST 15, 2000
We believe the recent downturns in the stock market will lead investors to once
again diversify their investments and include value stocks as a part of their
overall portfolios. We expect renewed investor interest to help narrow the
performance gap between value-oriented issues and growth stocks in the coming
months.
Sincerely,
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*
<TABLE>
<CAPTION>
% of
Net Assets
<S> <C>
Exxon Mobil Corporation 4.7%
Citigroup, Inc. 3.6%
American International Group, Inc. 3.1%
Microsoft Corporation 2.1%
General Electric Company 2.1%
</TABLE>
*At June 30, 2000
AVERAGE ANNUAL TOTAL RETURN
AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
1 Year 5 Years 10 Years
<S> <C> <C> <C>
Series B (20.75)% 10.49% 10.91%
</TABLE>
Performance figures do not reflect fees and expenses associated with an
investment in variable insurance products offered by Security Benefit Life
Insurance Company. Shares of a Series of SBL Fund are available only through
the purchase of such products.
The performance data quoted above represents past performance. Past
performance is not predictive of future performance. The investment return
and principal value of an investment will fluctuate so that an investor's
shares, when redeemed, may be worth more or less than their original cost.
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<PAGE> 47
SCHEDULE OF INVESTMENTS
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
SERIES V (MID CAP VALUE)
NUMBER MARKET
COMMON STOCKS OF SHARES VALUE
-------------------------------------------------------------
<S> <C> <C>
AEROSPACE/DEFENSE - 1.4%
Alliant Techsystems, Inc.*..... 15,000 $ 1,011,562
AIR FREIGHT - 0.4%
Hub Group, Inc.*............... 18,100 270,369
AUTO PARTS & EQUIPMENT - 1.1%
Motorcar Parts & Accessories,
Inc.*........................ 54,000 52,920
TRW, Inc.(3)................... 16,000 694,000
--------------
746,920
BANKS - MAJOR REGIONAL - 5.4%
Bank of Montreal............... 25,000 1,067,187
Marshall & Ilsley
Corporation.................. 34,000 1,411,000
North Fork Bancorporation,
Inc.*........................ 44,000 665,500
Riggs National Corporation..... 50,000 631,250
--------------
3,774,937
BIOTECHNOLOGY - 0.4%
Ligand Pharmaceutical, Inc.
(Cl. B)*..................... 22,000 290,125
BROADCAST MEDIA - 0.9%
Cinar Corporation (Cl. B)*..... 118,000 619,500
CHEMICALS - BASIC - 0.6%
Solutia, Inc................... 30,800 423,500
CHEMICALS - DIVERSIFIED - 1.5%
Englehard Corporation.......... 62,000 1,057,875
CHEMICALS - SPECIALTY - 1.0%
Material Sciences
Corporation*................. 68,000 680,000
COMMUNICATION EQUIPMENT - 0.1%
Transcrypt International,
Inc.*........................ 17,800 38,938
COMPUTER SOFTWARE/SERVICES - 4.1%
AVT Corporation*............... 87,100 642,362
EDGAR Online, Inc.*............ 94,600 313,363
JDA Software Group, Inc.*...... 56,000 1,074,500
Tier Technologies, Inc.*....... 97,000 509,250
UNOVA, Inc.*................... 50,000 365,625
--------------
2,905,100
ELECTRICAL COMPANIES - 0.4%
Western Resources, Inc......... 18,000 279,000
ELECTRICAL EQUIPMENT - 6.4%
Baldor Electric Company........ 55,000 1,024,375
Benchmark Electronics, Inc.*... 59,000 2,157,187
Maxwell Technologies, Inc.*.... 100,000 1,350,000
--------------
4,531,562
ELECTRONIC - DEFENSE - 0.7%
Raytheon Company............... 26,600 517,038
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
-------------------------------------------------------------
<S> <C> <C>
FOODS - 1.6%
Agribrands International,
Inc.*........................ 13,800 $ 578,737
Hormel Foods Corporation....... 34,500 580,031
--------------
1,158,768
FOOTWEAR - 1.9%
Brown Shoe Company, Inc........ 105,000 1,365,000
HEALTH CARE - PHARMACEUTICALS
- GENERIC - 1.8%
Mylan Laboratories............. 70,000 1,277,500
HEALTH CARE - PHARMACEUTICALS
- MAJOR - 1.4%
TEVA Pharmaceutical Industries,
Ltd., ADR.................... 17,700 981,244
HEALTH CARE - LONG TERM CARE - 1.4%
Morrison Management
Specialists, Inc............. 35,200 992,200
HEALTH CARE - SPECIALIZED
SERVICES - 2.7%
CryoLife, Inc.*................ 82,000 1,886,000
HOSPITAL MANAGEMENT - 1.7%
Quorum Health Group, Inc.*..... 40,000 412,500
Tenet Healthcare
Corporation*................. 28,000 756,000
--------------
1,168,500
HOUSEHOLD PRODUCTS - 1.4%
Energizer Holdings, Inc.*...... 56,000 1,022,000
INSURANCE - LIFE/HEALTH - 3.2%
AFLAC, Inc.(3)................. 6,000 275,625
American General Corporation... 14,000 854,000
UnumProvident Corporation...... 55,000 1,103,438
--------------
2,233,063
INSURANCE - PROPERTY &
CASUALTY - 1.4%
MBIA, Inc...................... 20,000 963,750
LEISURE TIME PRODUCTS - 2.5%
Mattel, Inc.................... 85,000 1,120,938
Midway Games, Inc.*............ 80,000 645,000
--------------
1,765,938
MANUFACTURING - SPECIALIZED - 2.2%
Brady Corporation.............. 21,300 692,250
Federal Signal Corporation..... 54,000 891,000
--------------
1,583,250
MEDICAL PRODUCTS & SUPPLIES - 1.7%
Akorn, Inc..................... 120,000 952,500
Sunrise Medical, Inc.*......... 55,000 268,125
--------------
1,220,625
</TABLE>
See accompanying notes.
--------------------------------------------------------------------------------
46
<PAGE> 48
SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
SERIES V (MID CAP VALUE) (CONTINUED)
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
-------------------------------------------------------------
<S> <C> <C>
NATURAL GAS - 6.0%
El Paso Energy Corporation..... 20,000 $ 1,018,750
Equitable Resources, Inc....... 17,000 820,250
Kinder Morgan, Inc............. 42,000 1,451,625
Questar Corporation............ 50,000 968,750
--------------
4,259,375
OIL - DOMESTIC - 3.3%
Forest Oil Corporation*........ 61,000 972,188
TransMontaigne, Inc.*.......... 215,000 1,316,875
--------------
2,289,063
OIL - INTERNATIONAL - 0.7%
Tesoro Petroleum
Corporation*................. 45,600 461,700
OIL & GAS - DRILLING &
EQUIPMENT - 5.5%
ENSCO International, Inc.*..... 27,000 966,937
Global Marine, Inc.*........... 38,000 1,071,125
R&B Falcon Corporation......... 50,000 1,178,125
Tidewater, Inc................. 18,000 648,000
--------------
3,864,187
OIL & GAS - EXPLORATION &
PRODUCTION - 9.5%
Anadarko Petroleum
Corporation.................. 6,500 320,531
Apache Corporation............. 15,000 882,187
Callon Petroleum Company*...... 65,000 966,875
Chieftain International,
Inc.*........................ 45,000 857,813
Evergreen Resources, Inc.*..... 12,000 355,500
Murphy Oil Corporation(3)...... 20,000 1,188,750
Ocean Energy, Inc.*............ 150,000 2,128,125
--------------
6,699,781
PUBLISHING - NEWSPAPER - 1.5%
E. W. Scripps Company.......... 21,000 1,034,250
RAILROADS - 0.6%
RailAmerica, Inc.*............. 70,000 446,250
RESTAURANTS - 0.4%
Sonic Corporation*............. 10,000 293,750
RETAIL - DEPARTMENT STORES - 2.5%
J.C. Penney Company, Inc.(3)... 94,000 1,733,125
RETAIL - DRUG STORES - 0.9%
CVS Corporation................ 16,000 640,000
SERVICES - ADVERTISING/
MARKETING - 2.5%
Acxiom Corporation*............ 63,000 1,760,062
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT OR
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
-------------------------------------------------------------
<S> <C> <C>
SERVICES - COMMERCIAL &
CONSUMER - 4.4%
Angelica Corporation........... 150,000 $ 1,200,000
ITT Educational Services,
Inc.*........................ 60,000 1,053,750
Profit Recovery Group
International, Inc.*......... 49,000 814,625
--------------
3,068,375
SERVICES - COMPUTER SYSTEMS - 3.6%
Comdisco, Inc.................. 30,000 669,375
Computer Sciences
Corporation*................. 15,000 1,120,313
SunGard Data Systems, Inc.*.... 24,000 744,000
--------------
2,533,688
TEXTILES - APPAREL - 3.4%
Jones Apparel Group, Inc.*..... 30,000 705,000
Kellwood Company............... 80,000 1,690,000
--------------
2,395,000
TRUCKING - 0.2%
Motor Cargo Industries, Inc*... 34,800 160,950
--------------
Total common stocks - 94.3%............... 66,403,820
<CAPTION>
COMMERCIAL PAPER
----------------
<S> <C> <C>
BROKERAGE - 1.4%
Merrill Lynch & Company, Inc.,
6.60%, 7-06-00............... $ 1,000,000 999,083
COMBINATION GAS & ELECTRIC - 3.9%
Baltimore Gas & Electric
Company, 6.62%, 7-11-00...... $ 1,000,000 998,161
South Carolina Gas & Electric
Company, 6.645%, 7-03-00..... $ 1,700,000 1,699,373
--------------
2,697,534
ELECTRIC UTILITIES - 1.4%
Florida Power & Light Company,
6.52%, 7-10-00............... $ 1,000,000 998,370
--------------
Total commercial paper - 6.7%............. 4,694,987
--------------
Total investments - 101.0%................ 71,098,807
Liabilities, less cash and other assets -
(1.0)%.................................. (696,049)
--------------
Total net assets - 100.0%................. $ 70,402,758
==============
</TABLE>
See accompanying notes.
--------------------------------------------------------------------------------
47
<PAGE> 49
SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
SERIES X (SMALL CAP GROWTH)
NUMBER MARKET
COMMON STOCKS OF SHARES VALUE
-------------------------------------------------------------
<S> <C> <C>
BANKS - MAJOR REGIONAL - 1.3%
Greater Bay Bancorp............ 13,000 $ 607,750
Silicon Valley Bancshares*..... 20,000 852,500
--------------
1,460,250
BIOTECHNOLOGY - 9.7%
Affymetrix, Inc.*.............. 2,500 412,812
Alexion Pharmaceuticals,
Inc.*........................ 9,600 686,400
Curagen Corporation*........... 15,000 570,938
Maxim Pharmaceuticals, Inc.*... 12,000 616,500
Millennium Pharmaceuticals,
Inc.......................... 5,500 615,312
Neose Technologies, Inc.*...... 19,900 837,044
OSI Pharmaceuticals, Inc.*..... 22,500 648,281
Protein Design Labs, Inc.*..... 8,000 1,319,625
Sequenom, Inc.*................ 23,000 1,043,625
Techne Corporation*............ 7,475 971,750
Titan Pharmaceuticals, Inc.*... 81,000 3,483,000
--------------
11,205,287
CHEMICALS - DIVERSIFIED - 0.5%
Cabot Microelectronics
Corporation*................. 12,100 553,575
COMMUNICATION EQUIPMENT - 12.9%
Andrew Corporation*............ 28,000 939,750
California Amplifier, Inc.*.... 27,900 1,276,425
Digital Microwave
Corporation*................. 105,700 4,029,812
Polycom, Inc.*................. 13,800 1,298,494
Proxim, Inc.*.................. 8,500 841,234
Remec, Inc.*................... 13,000 544,375
Sawtek, Inc.*.................. 17,800 1,024,612
Spectralink Corporation*....... 58,000 848,250
Symmetricom, Inc.*............. 21,500 542,875
Tekelec*....................... 59,500 2,867,156
Virata Corporation*............ 12,000 715,500
--------------
14,928,483
COMPUTER HARDWARE - 1.5%
M-Systems Flash Disk Pioneers,
Ltd.*........................ 11,500 895,563
Optimal Robotics
Corporation*................. 23,500 901,812
--------------
1,797,375
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
-------------------------------------------------------------
<S> <C> <C>
COMPUTER SOFTWARE/SERVICES - 6.9%
Advent Software, Inc.*......... 20,400 $ 1,315,800
BroadBase Software, Inc.*...... 20,000 612,500
BroadVision, Inc.*............. 15,000 762,188
ITXC Corporation*.............. 13,500 477,984
Micromuse, Inc.*............... 4,000 661,937
Natural Microsystems
Corporation*................. 13,500 1,517,906
RSA Security, Inc.*............ 8,000 554,000
Webtrends Corporation*......... 53,000 2,053,750
--------------
7,956,065
COMPUTERS - PERIPHERALS - 1.2%
INFOCUS Corporation*........... 42,100 1,355,094
DISTRIBUTION - FOODS & HEALTH - 1.0%
Amerisource Health
Corporation*................. 19,000 589,000
Suiza Foods Corporation*....... 12,000 586,500
--------------
1,175,500
ELECTRICAL EQUIPMENT - 5.2%
Artesyn Technologies, Inc.*.... 32,500 903,906
Electro Scientific Industries,
Inc.*........................ 20,500 902,641
Littlefuse, Inc.*.............. 46,500 2,278,500
Plexus Corporation*............ 17,000 1,921,000
--------------
6,006,047
ELECTRONICS - DEFENSE - 2.2%
Aeroflex, Inc.*................ 51,000 2,534,062
ELECTRONICS - INSTRUMENTATION - 5.8%
Alpha Industries, Inc.*........ 44,000 1,938,750
Kopin Corporation*............. 7,500 519,375
Macrovision Corporation*....... 27,300 1,745,067
Newport Corporation............ 12,500 1,342,188
Trimble Navigation, Ltd.*...... 24,000 1,171,500
--------------
6,716,880
ELECTRONICS - SEMICONDUCTORS - 10.9%
Actel Corporation*............. 14,000 638,750
American Superconductor
Corporation*................. 37,000 1,785,250
Credence Systems
Corporation*................. 9,500 524,281
Integrated Device Technology,
Inc.*........................ 25,000 1,496,875
Integrated Silicon Solution,
Inc.*........................ 104,000 3,952,000
Micrel, Inc.*.................. 11,000 477,813
Oak Technology, Inc.*.......... 75,000 1,617,188
Silicon Storage Technology,
Inc.*........................ 16,500 1,457,156
SIPEX Corporation*............. 22,000 609,125
--------------
12,558,438
</TABLE>
See accompanying notes.
--------------------------------------------------------------------------------
48
<PAGE> 50
SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
SERIES X (SMALL CAP GROWTH) (CONTINUED)
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
-------------------------------------------------------------
<S> <C> <C>
EQUIPMENT - SEMICONDUCTORS - 1.0%
Varian Semiconductor Equipment
Associates, Inc.*............ 19,500 $ 1,224,844
FOOTWEAR - 0.5%
Genesco, Inc.*................. 39,500 634,469
HEALTH CARE - LONG TERM CARE - 0.6%
Rehabcare Group, Inc.*......... 27,000 735,750
HEALTH CARE - MANAGED CARE - 1.0%
Coventry Health Care, Inc.*.... 24,000 319,875
First Health Group
Corporation*................. 25,500 836,719
--------------
1,156,594
HEALTH CARE PHARMACEUTICALS
- MAJOR - 1.7%
Alkermes, Inc.*................ 27,000 1,272,375
Emisphere Technologies,
Inc.*........................ 15,500 660,445
--------------
1,932,820
HOUSEHOLD FURNISHINGS &
APPLIANCES - 1.0%
Forrester Research, Inc.*...... 15,500 1,128,594
HOUSEWARES - 0.4%
Tupperware Corporation......... 21,500 473,000
INVESTMENT BANK/BROKERAGE - 1.5%
Dain Rauscher Corporation...... 17,500 1,155,000
Raymond James Financial,
Inc.......................... 24,000 540,000
--------------
1,695,000
IRON & STEEL - 0.7%
Lone Star Technologies,
Inc.*........................ 17,600 814,000
MANUFACTURING - SPECIALIZED - 0.3%
GSI Lumonics, Inc.*............ 9,300 326,662
MEDICAL PRODUCTS & SUPPLIES - 1.1%
Cytyc Corporation*............. 23,000 1,227,625
Thoratec Laboratories
Corporation*................. 3,800 61,513
--------------
1,289,138
OIL & GAS - DRILLING &
EQUIPMENT - 9.6%
Global Industries, Ltd.* ...... 29,000 547,375
Grey Wolf, Inc.* .............. 400,000 2,000,000
Helmerich & Payne, Inc.* ...... 13,500 479,250
Key Energy Group, Inc.* ....... 188,500 1,814,313
Marine Drilling Companies,
Inc.*........................ 91,000 2,548,000
National-Oilwell, Inc.* ....... 18,000 591,750
Trico Marine Services,
Inc.* ....................... 50,000 637,500
UTI Energy Corporation*........ 61,100 2,451,637
--------------
11,069,825
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
-------------------------------------------------------------
<S> <C> <C>
OIL & GAS - EXPLORATION &
PRODUCTION - 2.2%
Cross Timbers Oil Company...... 32,000 $ 708,000
Stone Energy Corporation*...... 31,000 1,852,250
--------------
2,560,250
RETAIL - APPAREL - 0.5%
Factory 2-U Stores, Inc.*...... 15,000 567,188
RETAIL - COMPUTERS &
ELECTRONICS - 0.5%
PC Connection, Inc.*........... 9,500 541,500
RETAIL - DISCOUNTERS - 0.4%
Stein Mart, Inc.*.............. 40,000 410,000
RETAIL - SPECIALTY - 0.5%
Pier 1 Imports, Inc. .......... 55,000 536,250
SERVICES - COMMERCIAL &
CONSUMER - 5.8%
Corporate Executive Board
Company*..................... 36,000 2,155,500
Invitrogen Corporation*........ 29,000 2,180,891
Learning Tree International*... 10,700 655,375
Teletech Holdings, Inc.*....... 16,000 497,000
Tetra Tech, Inc.*.............. 50,000 1,143,750
--------------
6,632,516
TELECOMMUNICATION - CELLULAR - 2.5%
AirGate PCS, Inc.*............. 21,000 1,103,813
Pinnacle Holdings, Inc.*....... 14,500 783,000
Powerwave Technologies,
Inc.*........................ 22,000 968,000
--------------
2,854,813
--------------
Total common stocks - 90.9%............... 104,830,269
Cash and other assets, less
liabilities - 9.1%...................... 10,464,919
--------------
Total net assets - 100.0%................. $ 115,295,188
==============
</TABLE>
See accompanying notes.
--------------------------------------------------------------------------------
49
<PAGE> 51
SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
SERIES J (MID CAP GROWTH)
NUMBER MARKET
COMMON STOCKS OF SHARES VALUE
-------------------------------------------------------------
<S> <C> <C>
AIR FREIGHT - 1.5%
Expeditors International of
Washington, Inc.............. 180,000 $ 8,550,000
AUTO PARTS & EQUIPMENT - 0.0%
Motorcar Parts & Accessories,
Inc.*........................ 50,000 49,000
BANKS - MAJOR REGIONAL - 2.1%
Marshall & Ilsley
Corporation.................. 95,000 3,942,500
Northern Trust
Corporation(3)............... 120,000 7,807,500
--------------
11,750,000
BIOTECHNOLOGY - 7.4%
Affymetrix, Inc.*.............. 21,200 3,500,650
Gene Logic, Inc.*.............. 190,000 6,780,625
Ligand Pharmaceuticals, Inc.
(Cl. B)*..................... 558,000 7,358,625
Millennium Pharmaceuticals,
Inc.*(3)..................... 204,000 22,822,500
Trimeris, Inc.*................ 29,200 2,042,175
--------------
42,504,575
BROADCAST MEDIA - 2.7%
Cinar Corporation (Cl. B)*..... 995,400 5,225,850
Salem Communications
Corporation*................. 225,000 2,088,281
Sirius Satellite Radio,
Inc.*........................ 108,000 4,785,750
XM Satellite Radio Holdings,
Inc.*........................ 95,400 3,571,537
--------------
15,671,418
CHEMICALS - SPECIALTY - 0.5%
Rentech, Inc.*................. 1,266,600 2,849,850
COMMUNICATION EQUIPMENT - 5.0%
Comverse Technology, Inc.*..... 280,000 26,040,000
RCN Corporation*............... 72,000 1,827,000
Transcrypt International,
Inc.*........................ 419,700 918,094
--------------
28,785,094
COMPUTER HARDWARE - 1.9%
Safeguard Scientifics, Inc.*... 339,000 10,869,188
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
-------------------------------------------------------------
<S> <C> <C>
COMPUTER SOFTWARE/SERVICES - 20.6%
AVT Corporation*............... 240,000 $ 1,770,000
AXENT Technologies, Inc.*...... 326,000 8,088,875
Digex, Inc.*................... 22,000 1,494,625
Diversinet Corporation*........ 145,000 1,721,875
EPIQ Systems, Inc.*............ 125,000 1,359,375
Electronic Arts, Inc.*......... 29,800 2,173,537
HNC Software, Inc.*............ 64,500 3,982,875
Hyperion Solutions
Corporation*................. 140,100 4,544,494
Jack Henry & Associates,
Inc.......................... 229,550 11,506,194
Lernout & Hauspie Speech
Products N.V.*............... 460,000 20,268,750
Internet Capital Group,
Inc.*........................ 20,560 761,041
New Era of Networks, Inc.*..... 72,000 3,060,000
Peregrine Systems, Inc.*....... 467,925 16,231,148
PSINet, Inc.*.................. 91,100 2,288,888
Rational Software
Corporation*................. 372,000 34,572,750
Take-Two Interactive Software,
Inc.*........................ 150,000 1,818,750
Wind River Systems, Inc.*...... 70,000 2,651,250
--------------
118,294,427
DISTRIBUTION - FOOD & HEALTH - 1.0%
Cardinal Health, Inc........... 74,000 5,476,000
ELECTRIC COMPANIES - 2.2.%
Dynegy, Inc.................... 180,000 12,296,250
ELECTRIC EQUIPMENT - 1.4%
Baldor Electric Company........ 24,000 447,000
Maxwell Technologies, Inc.*.... 565,000 7,627,500
--------------
8,074,500
ELECTRONICS - INSTRUMENTATION - 1.4%
PerkinElmer, Inc............... 120,000 7,935,000
ELECTRONICS - SEMICONDUCTORS - 0.8%
S3, Inc.*...................... 298,000 4,395,500
ENTERTAINMENT - 0.5%
Liquid Audio, Inc.*............ 305,000 2,887,969
HEALTH CARE - PHARMACEUTICALS
- GENERIC - 2.6%
Dura Pharmaceuticals, Inc.*.... 247,000 3,550,625
Mylan Laboratories, Inc........ 625,000 11,406,250
--------------
14,956,875
HEALTH CARE - PHARMACEUTICALS
- MAJOR - 3.8%
Gliatech, Inc.*................ 150,000 3,037,500
Guilford Pharmaceuticals,
Inc.*........................ 176,800 2,663,050
Teva Pharmaceutical Industries,
Ltd. ADR..................... 290,000 16,076,875
--------------
21,777,425
</TABLE>
See accompanying notes.
--------------------------------------------------------------------------------
50
<PAGE> 52
SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
SERIES J (MID CAP GROWTH) (CONTINUED)
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
-------------------------------------------------------------
<S> <C> <C>
HEALTH CARE - SPECIALIZED
SERVICES - 1.4%
CryoLife, Inc.*................ 135,400 $ 3,114,200
Hooper Holmes, Inc............. 634,900 5,079,200
--------------
8,193,400
HOSPITAL MANAGEMENT - 0.3%
Quorum Health Group, Inc.*..... 181,400 1,870,687
INSURANCE - LIFE/HEALTH - 2.1%
AFLAC, Inc.(3)................. 210,000 9,646,875
UnumProvident Corporation...... 120,000 2,407,500
--------------
12,054,375
LEISURE TIME PRODUCTS - 2.4%
Hasbro, Inc.................... 198,000 2,982,375
Mattel, Inc.................... 825,000 10,879,687
--------------
13,862,062
MANUFACTURING - DIVERSIFIED - 0.4%
Crane Company.................. 100,000 2,431,250
MANUFACTURING - SPECIALIZED - 1.5%
Catalytica, Inc.*.............. 228,000 2,508,000
Federal Signal Corporation..... 165,600 2,732,400
Flowserve Corporation.......... 200,000 3,025,000
--------------
8,265,400
MEDICAL PRODUCTS & SUPPLIES - 5.4%
Becton, Dickinson & Company.... 170,000 4,876,875
ChromaVision Medical Systems,
Inc.*........................ 83,000 1,094,563
Closure Medical Corporation*... 282,000 6,486,000
Interpore International,
Inc.*........................ 55,600 538,625
Micro Therapeutics, Inc.*...... 150,000 768,750
PE Corp - PE Biosystems
Group........................ 240,000 15,810,000
Sunrise Medical, Inc.*......... 220,000 1,072,500
--------------
30,647,313
OIL - DOMESTIC - 1.0%
Forest Oil Corporation*........ 370,000 5,896,875
OIL - INTERNATIONAL - 0.4%
Tesoro Petroleum
Corporation*................. 235,100 2,380,388
OIL & GAS - DRILLING &
EQUIPMENT - 4.7%
Transocean Sedco Forex, Inc.... 75,000 4,007,812
ENSCO International, Inc....... 277,400 9,934,388
Nabors Industries, Inc.*....... 140,000 5,818,750
R & B Falcon Corporation*...... 72,200 1,701,212
Tidewater, Inc................. 145,000 5,220,000
--------------
26,682,162
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
-------------------------------------------------------------
<S> <C> <C>
OIL & GAS - EXPLORATION &
PRODUCTION - 6.6%
Anadarko Petroleum
Corporation.................. 188,000 $ 9,270,750
Apache Corporation............. 200,000 11,762,500
Callon Petroleum Company*...... 294,000 4,373,250
Evergreen Resources, Inc.*..... 176,500 5,228,812
Ocean Energy, Inc.*............ 500,000 7,093,750
--------------
37,729,062
PUBLISHING - 0.2%
John Wiley & Sons, Inc......... 39,000 877,500
PUBLISHING - NEWSPAPER - 2.2%
E.W. Scripps Company(3)........ 250,000 12,312,500
RESTAURANTS - 0.4%
Cheesecake Factory, Inc.*...... 91,500 2,516,250
RETAIL - APPAREL - 0.2%
Children's Place Retail Stores,
Inc.*........................ 46,400 951,200
RETAIL - DISCOUNTERS - 1.7%
Consolidated Stores
Corporation*................. 126,000 1,630,125
Lands' End, Inc.*.............. 240,000 8,010,000
--------------
9,640,125
RETAIL - DRUG STORES - 0.8%
CVS Corporation................ 120,000 4,800,000
SERVICES - ADVERTISING &
MARKETING - 3.7%
Acxiom Corporation*............ 580,000 16,203,750
True North Communications,
Inc.......................... 120,000 5,280,000
--------------
21,483,750
SERVICES - COMMERCIAL &
CONSUMER - 3.2%
Cerner Corporation*............ 297,100 8,095,975
DeVry, Inc.*................... 330,000 8,724,375
FTI Consulting, Inc.*.......... 140,000 1,470,000
U.S. Interactive, Inc.*........ 5,140 66,499
--------------
18,356,849
SERVICES - COMPUTER SYSTEMS - 4.8%
Comdisco, Inc.................. 226,000 5,042,625
Computer Sciences
Corporation*................. 132,000 9,858,750
Keane, Inc.*................... 365,000 7,893,125
SunGard Data Systems, Inc.*.... 160,000 4,960,000
--------------
27,754,500
SERVICES - DATA PROCESSING - 0.8%
DST Systems, Inc.*............. 45,700 3,478,913
High Speed Access
Corporation.................. 210,000 1,378,125
--------------
4,857,038
</TABLE>
See accompanying notes.
--------------------------------------------------------------------------------
51
<PAGE> 53
SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
SERIES J (MID CAP GROWTH) (CONTINUED)
PRINCIPAL
AMOUNT OR
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
-------------------------------------------------------------
<S> <C> <C>
TELECOMMUNICATION - CELLULAR - 0.4%
Metromedia International Group,
Inc.*........................ 525,600 $ 2,496,600
--------------
Total common stocks - 100.0%.............. 573,182,357
<CAPTION>
COMMERCIAL PAPER
----------------
<S> <C> <C>
AEROSPACE/DEFENSE - 0.2%
Honeywell International, Inc. -
6.50% - 7-5-00............... $ 1,450,000 1,448,953
--------------
Total investments - 100.2%................ 574,631,310
Liabilities, less cash and other
assets - (0.2)%......................... (1,258,921)
--------------
Total net assets - 100.0%................. $ 573,372,389
==============
</TABLE>
See accompanying notes.
--------------------------------------------------------------------------------
52
<PAGE> 54
SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
SERIES D (GLOBAL)
NUMBER MARKET
COMMON STOCKS OF SHARES VALUE
-------------------------------------------------------------
<S> <C> <C>
ARGENTINA - 0.1%
IRSA Inversiones y
Representaciones S.A. GDR*... 221,880 $ 508,207
AUSTRALIA - 1.2%
Australia & New Zealand Banking
Group, Ltd................... 946,500 7,279,649
BELGIUM - 0.9%
Lernout & Hauspie Speech
Products N.V.*............... 124,200 5,472,562
BRAZIL - 2.5%
Tele Norte Leste Participacoes
S.A.......................... 371,320,375 8,706,681
Telesp Celular Participacoes
S.A. ADR..................... 143,600 6,444,050
--------------
15,150,731
CANADA - 1.3%
Bombardier, Inc. (Cl. B)....... 294,100 7,979,226
CROATIA - 0.4%
Pilva d.d. GDR 144-A........... 247,500 2,662,407
FINLAND - 0.9%
Nokia Oyj ADR.................. 116,560 5,820,715
FRANCE - 9.3%
Alcatel........................ 299,650 19,733,697
Axa............................ 24,681 3,903,769
Canal Plus..................... 23,000 3,880,413
Cap Gemini S.A. ............... 35,400 6,260,904
Genset ADR*.................... 106,200 2,455,875
Sidel S.A. .................... 81,200 6,612,365
Societe BIC S.A. .............. 166,200 8,173,081
Societe Television Francaise
1*........................... 88,900 6,221,026
--------------
57,241,130
GERMANY - 7.4%
DePfa Deutsche Pfandbriefbank
AG........................... 30,900 3,113,140
Fresenius AG................... 57,300 13,292,523
Porsche AG..................... 5,295 14,465,993
ProSieben Media AG............. 44,826 5,596,869
Wella AG....................... 282,620 8,750,701
--------------
45,219,226
HONG KONG - 0.5%
Television Broadcasts, Ltd. ... 474,000 3,161,905
INDIA - 1.2%
ICICI, Ltd. ADR................ 410,800 7,702,500
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
-------------------------------------------------------------
<S> <C> <C>
IRELAND - 1.5%
Elan Corporation plc ADR*...... 193,730 $ 9,383,797
ITALY - 1.0%
Telecom Italia Mobile SpA...... 581,500 5,964,457
JAPAN - 9.3%
Credit Saison Company, Ltd..... 196,700 4,573,338
DDI Corporation................ 600 5,784,226
Eisai Company, Ltd............. 226,800 7,288,124
Hirose Electric Company,
Ltd.......................... 20,000 3,120,835
Hoya Corporation............... 7,000 628,515
Kyocera Corporation............ 35,000 5,951,042
Nikon Corporation.............. 46,000 1,708,615
NTT Docomo, Inc. .............. 180 4,882,567
Sharp Corporation.............. 340,000 6,025,235
Taisho Pharmaceutical Company,
Ltd.......................... 19,000 682,387
Toshiba Corporation............ 1,440,000 16,291,102
--------------
56,935,986
MEXICO - 1.2%
Grupo Televisa S.A. GDR*....... 108,950 7,510,741
NETHERLANDS - 3.3%
Getronics N.V. ................ 472,560 7,315,886
Koninklijke (Royal) Philips
Electronics N.V. ............ 142,800 6,762,271
STMicroelectronics N.V. ....... 97,200 6,239,025
--------------
20,317,182
SINGAPORE - 1.4%
Dairy Farm International
Holdings, Ltd. .............. 3,400,100 2,040,060
Singapore Press Holdings,
Ltd. ........................ 406,800 6,352,574
--------------
8,392,634
SOUTH KOREA - 1.5%
Samsung Electronics*........... 28,021 9,273,110
SWEDEN - 1.2%
Autoliv, Inc. ................. 45,900 1,130,361
Telefonaktiebolaget LM Ericsson
AB ADR....................... 299,704 5,994,080
--------------
7,124,441
SWITZERLAND - 0.3%
Serono S.A. ................... 2,400 2,007,257
</TABLE>
See accompanying notes.
--------------------------------------------------------------------------------
53
<PAGE> 55
SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
SERIES D (GLOBAL) (CONTINUED)
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
-------------------------------------------------------------
<S> <C> <C>
UNITED KINGDOM - 15.0%
Allied Zurich plc.............. 588,200 $ 6,941,260
Bass plc....................... 947,800 10,603,722
BP Amoco plc ADR............... 127,300 7,200,406
Cadbury Schweppes plc.......... 1,046,076 6,877,019
Hanson plc..................... 766,700 5,461,127
Hilton Group plc............... 923,500 3,243,561
Oxford GlycoSciences plc*...... 39,400 1,118,394
Peninsular and Oriental Steam
Navigation Company........... 407,300 3,471,523
Reckitt Benckiser plc.......... 1,215,111 13,502,345
Reed International plc......... 1,296,100 11,302,075
Rentokil Initial plc........... 2,958,000 6,728,370
Royal Bank of Scotland Group
plc.......................... 462,600 7,717,638
Telewest Communications plc.... 442,472 1,525,602
WPP Group plc.................. 459,000 6,667,375
--------------
92,360,417
UNITED STATES - 35.8%
Affymetrix, Inc.*.............. 22,000 3,632,750
ALZA Corporation*.............. 127,400 7,532,525
American Express Company....... 88,950 4,636,519
American Home Products
Corporation.................. 124,400 7,308,500
American International Group,
Inc. ........................ 57,050 6,703,375
Amgen, Inc.*................... 89,000 6,252,250
Associates First Capital
Corporation.................. 55,300 1,233,881
Bank One Corporation........... 85,000 2,257,813
C.R. Bard, Inc. ............... 142,200 6,843,375
Cadence Design Systems,
Inc.*........................ 1,059,700 21,591,388
Circuit City Stores - Circuit
City Group................... 84,000 2,787,750
Citigroup, Inc. ............... 86,800 5,229,700
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
-------------------------------------------------------------
<S> <C> <C>
UNITED STATES (CONTINUED)
Fannie Mae..................... 145,400 $ 7,588,063
General Motors Corporation..... 143,500 8,331,969
Gilead Sciences, Inc.*......... 102,000 7,254,750
Hasbro, Inc. .................. 175,800 2,647,987
Human Genome Sciences, Inc. ... 33,300 4,441,387
International Business Machines
Corporation.................. 28,600 3,133,487
International Flavors &
Fragrances, Inc. ............ 296,300 8,944,556
International Game
Technology*.................. 169,900 4,502,350
Intuit, Inc.*.................. 46,200 1,911,525
Lehman Brothers Holdings,
Inc. ........................ 65,600 6,203,300
Manpower, Inc. ................ 181,700 5,814,400
MBNA Corporation............... 306,200 8,305,675
Millennium Pharmaceuticals,
Inc. ........................ 39,900 4,463,812
National Semiconductor
Corporation*................. 341,900 19,402,825
Oracle Corporation*............ 84,600 7,111,687
Pfizer, Inc. .................. 90,800 4,358,400
QUALCOMM, Inc.*................ 89,720 5,383,200
Sanmina Corporation*........... 26,900 2,299,950
Scientific-Atlanta, Inc. ...... 102,330 7,623,585
Solectron Corporation*......... 64,400 2,696,750
Sun Microsystems, Inc.*........ 78,260 7,116,769
Sybase, Inc.*.................. 314,400 7,231,200
WorldCom, Inc.*................ 154,100 7,078,969
--------------
219,856,422
--------------
Total common stocks - 97.2%............... 597,324,702
Cash and other assets, less
liabilities - 2.8%...................... 17,427,723
--------------
Total net assets - 100.0%................. $ 614,752,425
==============
</TABLE>
See accompanying notes.
--------------------------------------------------------------------------------
54
<PAGE> 56
SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
SERIES D (GLOBAL) (CONTINUED)
INVESTMENT CONCENTRATION
-------------------------------------------------------------
<S> <C>
At June 30, 2000, Series D's investment
concentration by industry was as follows:
Advertising................................. 1.1%
Auto Parts & Supplies....................... 0.2%
Automobiles................................. 3.7%
Banks & Credit.............................. 3.3%
Beverages................................... 1.7%
Broadcast Media............................. 4.3%
Building & Construction..................... 0.9%
Communications.............................. 0.9%
Computer Software........................... 3.8%
Computer Systems............................ 3.8%
Cosmetics................................... 1.4%
Electrical Equipment........................ 3.6%
Electronics................................. 7.0%
Entertainment............................... 1.2%
Financial Services.......................... 7.4%
Food Wholesalers............................ 1.1%
Health Care................................. 5.7%
Hotel/Motel................................. 0.5%
Household Products.......................... 3.6%
Insurance................................... 2.9%
Machinery................................... 1.1%
Manufacturing............................... 1.3%
Medical..................................... 1.3%
Office Equipment............................ 1.3%
Oil......................................... 1.2%
Pharmaceuticals............................. 7.8%
Photography/Imaging......................... 0.3%
Publishing.................................. 1.8%
Real Estate Development..................... 0.1%
Retail...................................... 0.8%
Semiconductors.............................. 4.3%
Services.................................... 3.2%
Telecommunications.......................... 14.0%
Transportation.............................. 0.6%
Cash and other assets, less liabilities..... 2.8%
--------------
100.0%
==============
</TABLE>
See accompanying notes.
--------------------------------------------------------------------------------
55
<PAGE> 57
SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
SERIES K (GLOBAL STRATEGIC INCOME)
PRINCIPAL MARKET
CORPORATE BONDS AMOUNT VALUE
-------------------------------------------------------------
<S> <C> <C>
AEROSPACE/DEFENSE - 0.1%
Argo-Tech Corporation, 8.625% -
2007(3)...................... $ 20,000 $ 14,000
AIRLINES - 0.2%
Airtran Airlines, Inc.,
10.50% - 2001(3)............. 25,000 23,750
AUTOMOTIVE - 2.6%
DaimlerChrysler NA Holdings
Corporation,
5.125% - 2001................ 33,000 32,542
6.40625% - 2002(1)........... 10,000 9,998
Exide Corporation,
10.00% - 2005(3)............. 25,000 21,500
Fairfield Manufacturing
Company, Inc.,
9.625% - 2008(3)............. 25,000 20,750
Federal-Mogul Corporation,
7.50% - 2009................. 50,000 34,312
Ford Motor Company, 6.625% -
2028......................... 100,000 84,750
Hayes Lemmerz International,
Inc., 8.25% - 2008........... 50,000 42,250
LDM Technologies, Inc.,
10.75% - 2007................ 50,000 39,500
--------------
285,602
BANKING - 1.0%
KFW International Finance,
5.75% - 2000................. 70,000 69,532
Sovereign Bancorp,
10.50% - 2006................ 25,000 24,688
Wells Fargo Company, 6.35% -
2001(1,3).................... 15,000 15,021
--------------
109,241
BUILDING MATERIALS - 0.5%
Henry Company,
10.00% - 2008(3)............. 50,000 32,500
Nortek, Inc., 9.25% - 2007..... 25,000 23,375
--------------
55,875
CHEMICALS - 1.7%
Borden Chemical and Plastics,
9.50% - 2005(3).............. 20,000 18,000
Georgia Gulf Corporation,
10.375% - 2007............... 5,000 5,200
Key Plastics, Inc.,
10.25% - 2007*............... 20,000 1,600
Lyondell Chemical Company,
9.625% - 2007(3)............. 15,000 14,775
10.875% - 2009(3)............ 25,000 24,875
Rohm & Haas Company, 7.85% -
2029......................... 100,000 101,125
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL MARKET
CORPORATE BONDS (CONTINUED) AMOUNT VALUE
-------------------------------------------------------------
<S> <C> <C>
CHEMICALS (CONTINUED)
Sterling Chemicals, Inc.,
11.75% - 2006................ $ 10,000 $ 8,200
Texas Petrochemical
Corporation,
11.125% - 2006............... 20,000 17,000
--------------
190,775
CONSTRUCTION MACHINERY - 0.7%
Anthony Crane Rental LP,
10.375% - 2008............... 50,000 32,125
Bucyrus International, 9.75% -
2007......................... 50,000 9,937
Grove Worldwide LLC/CAPL,
9.25% - 2008(3).............. 50,000 19,000
United Rentals, Inc.,
9.00% - 2009................. 25,000 22,125
--------------
83,187
CONSUMER NONCYCLICAL - OTHER - 0.9%
Von Hoffman Press, Inc.,
10.875% - 2007(3)............ 50,000 47,063
World Color Press, Inc.,
8.375% - 2008(3)............. 50,000 48,312
--------------
95,375
CONSUMER PRODUCTS - 0.3%
Corning Consumer Product,
9.625% - 2008................ 50,000 32,500
ELECTRIC - 0.2%
CMS Energy Corporation,
7.625% - 2004................ 25,000 23,620
ENERGY - REFINING - 0.4%
Clark Refining & Marketing,
Inc.,
8.625% - 2008................ 20,000 15,700
8.375% - 2007................ 30,000 23,550
--------------
39,250
ENTERTAINMENT - 0.2%
Loews Cineplex Entertainment,
8.875% - 2008(3)............. 50,000 23,500
ENVIRONMENTAL - 0.8%
Allied Waste North America,
7.625% - 2006................ 25,000 21,875
WMX Technologies, Inc., 7.00% -
2006(3)...................... 80,000 72,000
--------------
93,875
FINANCIAL - NONCAPTIVE -
CONSUMER - 0.1%
American General Finance,
6.875% - 2001................ 10,000 9,925
</TABLE>
See accompanying notes.
--------------------------------------------------------------------------------
56
<PAGE> 58
SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
SERIES K (GLOBAL STRATEGIC INCOME)
(CONTINUED)
PRINCIPAL MARKET
CORPORATE BONDS (CONTINUED) AMOUNT VALUE
-------------------------------------------------------------
<S> <C> <C>
FINANCIAL - NONCAPTIVE - DIVERSIFIED - 0.5%
Associates Corporation NA,
6.88% - 2002(1).............. $ 15,000 $ 14,991
General Electric Capital
Corporation,
5.125% - 2004(2)............. 10,000 14,400
General Motors Acceptance
Corporation,
6.875% - 2004(2)............. 15,000 22,762
--------------
52,153
FINANCIAL - OTHER - 5.0%
BNP US Funding LLC, 7.738% -
2049(1,3).................... 100,000 92,875
Columbia University,
5.89% - 2000................. 10,000 9,963
Deutsche Bank Capital Funding
Trust 1,
7.872% - 2049(1,3)........... 100,000 92,702
Doral Financial Corporation,
8.50% - 2004(3).............. 70,000 68,862
Natexis Ambs Company LLC,
8.44% - 2049(1,3)............ 100,000 93,750
RBF Finance Company, 11.00% -
2006(3)...................... 25,000 26,781
Socgen Real Estate Company LLC,
7.64% - 2049(1,3)............ 100,000 91,000
Sun Life Canada (US) Capital
Trust, 8.526% - 2049(3)...... 100,000 87,625
--------------
563,558
FOOD - 0.2%
Stater Brothers Holdings,
10.75% - 2006................ 25,000 22,000
GAMING - 0.6%
Harrahs Operating Company,
Inc., 7.875% - 2005.......... 25,000 23,500
Station Casinos,
8.875% - 2008(3)............. 25,000 23,813
True Temper Sports, Inc.,
10.875% - 2008(3)............ 25,000 23,781
--------------
71,094
HEALTHCARE - 1.2%
Alaris Medical, Inc.,
0% - 2008(3,5)............... 50,000 7,625
Bio-Rad Labs, 11.625% - 2007... 5,000 5,150
Conmed Corporation, 9.00% -
2008(3)...................... 25,000 22,812
DJ Orthopedics LLC/CAP,
12.625% - 2009(3)............ 25,000 23,750
HCA - The Healthcare Company,
7.25% - 2008................. 25,000 22,264
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL MARKET
CORPORATE BONDS (CONTINUED) AMOUNT VALUE
-------------------------------------------------------------
<S> <C> <C>
HEALTHCARE (CONTINUED)
Mediq, Inc., 11.00% - 2008..... $ 50,000 $ 5,000
Tenet Healthcare Corporation,
8.125% - 2008................ 25,000 22,875
Triad Hospitals Holdings,
11.00% - 2009(3)............. 15,000 15,337
Universal Hospital Services,
10.25% - 2008(3)............. 25,000 14,250
--------------
139,063
HOME CONSTRUCTION - 0.9%
Beazer Homes USA, 8.875% -
2008(3)...................... 50,000 44,750
Del Webb Corporation, 10.25% -
2010......................... 15,000 13,012
Standard Pacific Corporation,
8.50% - 2009(3).............. 50,000 45,000
--------------
102,762
INDUSTRIAL - OTHER - 0.9%
Hexcel Corporation,
9.75% - 2009................. 20,000 17,800
Neenah Corporation, 11.125% -
2007......................... 15,000 11,025
Numatics, Inc.,
9.625% - 2008................ 50,000 40,000
P & L Coal Holdings
Corporation, 9.625% - 2008... 20,000 18,550
Prestolite Electric, Inc.,
9.625% - 2008(3)............. 20,000 12,800
--------------
100,175
INSURANCE - LIFE - 0.8%
General Electric Global
Insurance Holdings,
7.00% - 2026................. 100,000 91,000
INSURANCE - PROPERTY & CASUALTY - 2.4%
Ace Capital Trust II,
9.70% - 2030................. 100,000 104,864
American Financial Group,
7.125% - 2009(3)............. 100,000 87,750
Everest Reinsurance Holdings
Company, 8.75% - 2010........ 80,000 80,661
--------------
273,275
LODGING - 0.4%
John Q. Hammons Hotels,
8.875% - 2004(3)............. 50,000 44,000
</TABLE>
See accompanying notes.
--------------------------------------------------------------------------------
57
<PAGE> 59
SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
SERIES K (GLOBAL STRATEGIC INCOME)
(CONTINUED)
PRINCIPAL MARKET
CORPORATE BONDS (CONTINUED) AMOUNT VALUE
-------------------------------------------------------------
<S> <C> <C>
MEDIA - CABLE - 1.0%
Adelphia Communications,
8.375% - 2008(3)............. $ 50,000 $ 44,188
Charter Communications Holdings
LLC, 8.25% - 2007(3)......... 50,000 44,125
Classic Cable, Inc.,
10.50% - 2010................ 15,000 13,837
Insight Midwest,
9.75% - 2009................. 5,000 4,900
--------------
107,050
MEDIA - NONCABLE - 1.8%
Allbritton Communication,
8.875% - 2008................ 25,000 23,031
Fox Sports Networks LLC, 0% -
2007(5)...................... 25,000 20,250
Granite Broadcasting, 8.875% -
2008(3)...................... 25,000 21,625
Gray Communications Systems,
Inc., 10.625% - 2006(3)...... 20,000 19,900
Lin Holdings Corporation, 0% -
2008(5)...................... 25,000 16,437
News America Holdings, 7.375% -
2008......................... 100,000 95,625
--------------
196,868
METALS - 0.7%
AK Steel Corporation, 9.125% -
2006......................... 25,000 24,000
Bayou Steel Corporation,
9.50% - 2008................. 20,000 16,400
LTV Corporation,
8.20% - 2007(3).............. 20,000 14,600
Weirton Steel Corporation,
11.375% - 2004............... 25,000 23,500
--------------
78,500
OIL FIELD SERVICES - 0.9%
Key Energy Services, Inc.,
14.00% - 2009(3)............. 20,000 22,500
Plains Resources, Inc.,
10.25% - 2006................ 15,000 15,113
Pride Petroleum Services,
9.375% - 2007(3)............. 20,000 19,950
Tuboscope, Inc.,
7.50% - 2008(3).............. 50,000 44,000
--------------
101,563
PACKAGING - 0.8%
BWAY Corporation,
10.25% - 2007................ 5,000 4,800
Fonda Group, Inc.,
9.50% - 2007................. 25,000 19,875
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL MARKET
CORPORATE BONDS (CONTINUED) AMOUNT VALUE
-------------------------------------------------------------
<S> <C> <C>
PACKAGING (CONTINUED)
Gaylord Container Corporation,
9.375% - 2007(3)............. $ 50,000 $ 39,000
Silgan Holdings, Inc., 9.00% -
2009(3)...................... 25,000 23,062
--------------
86,737
PHARMACEUTICALS - 0.2%
Warner Chilcott, Inc.,
12.625% - 2008............... 20,000 20,525
REAL ESTATE INVESTMENT
TRUSTS - 0.8%
Avalonbay Communities, 6.625% -
2005(3)...................... 100,000 94,375
SERVICES - 0.4%
Iron Mountain, Inc.,
8.25% - 2011................. 50,000 43,750
TECHNOLOGY - 2.1%
Amkor Technologies, Inc.,
9.25% - 2006(3).............. 50,000 49,313
Cooperative Computing, 9.00% -
2008......................... 15,000 5,400
Details Holdings Corporation,
0% - 2007(5)................. 25,000 16,250
Exodus Communications, 10.75% -
2009()....................... 20,000 19,300
Fairchild Semiconductor,
10.125% - 2007............... 25,000 25,250
Fisher Scientific
International,
9.00% - 2008(3).............. 15,000 13,725
Intersil Corporation, 13.25% -
2009(3)...................... 16,000 18,280
MCMS, Inc., 9.75% - 2008....... 25,000 15,000
Packard Bioscience Company,
9.375% - 2007................ 15,000 13,650
Polaroid Corporation, 11.50% -
2006(3)...................... 15,000 15,600
Viasystems, Inc.,
9.75% - 2007................. 10,000 8,650
9.75% - 2007................. 15,000 12,975
Zilog, Inc., 9.50% - 2005...... 25,000 21,000
--------------
234,393
TELECOMMUNICATIONS - 7.1%
Alaska Communications Systems,
9.375% - 2009(3)............. 40,000 36,900
AT&T Corporation,
6.50% - 2029................. 100,000 83,750
BTI Telecom Corporation,
10.50% - 2007................ 20,000 15,225
</TABLE>
See accompanying notes.
--------------------------------------------------------------------------------
58
<PAGE> 60
SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
SERIES K (GLOBAL STRATEGIC INCOME)
(CONTINUED)
PRINCIPAL MARKET
CORPORATE BONDS (CONTINUED) AMOUNT VALUE
-------------------------------------------------------------
<S> <C> <C>
TELECOMMUNICATIONS (CONTINUED)
Crown Castle International
Corporation,
9.00% - 2011(3).............. $ 40,000 $ 36,900
Hyperion Telecommunications,
12.25% - 2004................ 25,000 25,250
Intermedia Communication, 0% -
2007(5)...................... 50,000 39,250
Iridium LLC/Capital
Corporation,
14.00% - 2005*(3)............ 50,000 2,000
KMC Telecom Holdings, Inc.,
0% - 2008(5)................. 25,000 11,750
Level 3 Communications,
9.125% - 2008(3)............. 20,000 17,950
10.75% - 2008(2,3)........... 5,000 4,491
Loral Space & Communication
Ltd., 9.50% - 2006........... 50,000 36,250
Lucent Technologies,
6.45% - 2029................. 100,000 88,375
McLeodUSA, Inc.,
9.25% - 2007(3).............. 25,000 24,125
Metromedia Fiber Network,
10.00% - 2009(3)............. 15,000 14,775
Nextel Communications, 0% -
2007(3,5).................... 30,000 22,275
Nextlink Communications, 0% -
2009(5)...................... 45,000 25,875
PSINet, Inc.,
11.00% - 2009(3)............. 25,000 23,125
RCN Corporation,
0% - 2007(5)................. 25,000 15,625
10.125% - 2010............... 25,000 20,812
Rhythms Netconnections,
14.00% - 2010................ 15,000 10,875
Teligent, Inc.,
11.50% - 2007(3)............. 50,000 38,750
Time Warner Telecom LLC,
9.75% - 2008................. 25,000 24,187
Verio, Inc.,
11.25% - 2008(3)............. 20,000 22,450
Viatel, Inc., 11.50% - 2009.... 20,000 15,200
Winstar Communications,
12.50% - 2008................ 25,000 24,500
WorldCom, Inc.,
6.125% - 2001................ 100,000 88,375
6.95% - 2028................. 20,000 19,750
--------------
788,790
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL MARKET
CORPORATE BONDS (CONTINUED) AMOUNT VALUE
-------------------------------------------------------------
<S> <C> <C>
TEXTILE - 0.5%
Pillowtex Corporation, 9.00% -
2007(3)...................... $ 50,000 $ 17,250
Westpoint Stevens, Inc.,
7.875% - 2008(3)............. 50,000 39,750
--------------
57,000
--------------
Total corporate bonds - 38.9%............. 4,349,106
<CAPTION>
MISCELLANEOUS ASSETS
--------------------
<S> <C> <C>
ASSET BACKED SECURITIES - 0.7%
Capital Auto Receivables Asset
Trust, 1999-2 A3,
6.25% - 2003(3).............. 10,000 9,922
Daimler Chrysler Auto Trust,
2000-A A2, 6.76% - 2003...... 10,000 9,966
Ford Credit Auto Owner Trust,
1999-D A3, 6.2% - 2002....... 19,151 19,085
Ford Credit Auto Owner Trust,
1999-B A3, 5.47% - 2001...... 19,806 19,746
Honda Auto Lease Trust, 1999-A
A5, 6.65% - 2005............. 10,000 9,930
USAA Auto Loan Grantor Trust,
1999-1 A, 6.1% - 2006(3)..... 16,628 16,417
--------------
85,066
MORTGAGE BACKED SECURITIES - 0.3%
Money Store Home Equity Trust,
1996-D A13, 6.635% - 2014.... 20,916 20,809
SASCO Floating Rate Commercial
Mortgage, 1999-C3, A,
7.05125% - 2001(1)........... 8,259 8,267
--------------
29,076
--------------
Total miscellaneous assets - 1.0%......... 114,142
<CAPTION>
U.S. GOVERNMENT & GOVERNMENT
AGENCY SECURITIES
-----------------
<S> <C> <C>
U.S. GOVERNMENT AGENCIES - 3.3%
Federal Home Loan Bank,
5.625% - 2003(2)............. 10,000 14,767
Federal Home Loan Mortgage
Corporation,
7.00% - 2029................. 14,999 14,500
Federal National Mortgage
Association,
FNMA #253113, 7.50% - 2030... 199,646 196,731
FNMA #536500, 7.50% - 2030... 99,779 98,338
</TABLE>
See accompanying notes.
--------------------------------------------------------------------------------
59
<PAGE> 61
SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
SERIES K (GLOBAL STRATEGIC INCOME)
(CONTINUED)
U.S. GOVERNMENT &
GOVERNMENT AGENCY PRINCIPAL MARKET
SECURITIES (CONTINUED) AMOUNT VALUE
-------------------------------------------------------------
<S> <C> <C>
U.S. GOVERNMENT AGENCIES (CONTINUED)
Government National Mortgage
Association, GNMA #510550,
7.50% - 2029................. $ 29,818 $ 29,604
Student Loan Mortgage
Association,
6.34% - 2008(1).............. 20,000 19,990
--------------
373,930
U.S. GOVERNMENT SECURITIES - 0.1%
U.S. Treasury Notes,
6.50% - 2010................. 5,000 5,162
--------------
Total U.S. government & government agency
securities - 3.4%....................... 379,092
<CAPTION>
FOREIGN BONDS
-------------
<S> <C> <C>
ARGENTINA - 0.2%
Cablevision S.A.,
13.75% - 2009................ 25,000 22,750
AUSTRALIA - 0.2%
Bulong Operations Property
Ltd., 12.50% - 2008.......... 10,000 4,775
National Australia Bank Ltd.,
6.72% - 2002(1).............. 20,000 19,953
--------------
24,728
BERMUDA - 0.4%
FLAG Telecom Holding Ltd.,
11.625% - 2010............... 20,000 19,400
Global Crossing Holdings, Ltd.,
9.125% - 2006................ 25,000 23,938
--------------
43,338
CANADA - 2.6%
Algoma Steel, Inc., 12.375% -
2005......................... 20,000 17,400
Canadian Forest Oil Ltd.,
8.75% - 2007................. 25,000 23,500
Clearnet Communications Inc.,
0% - 2009(5)................. 25,000 15,000
Consumers International,
10.25% - 2005................ 50,000 25,000
Doman Industries Ltd.,
8.75% - 2004................. 25,000 19,375
12.00% - 2004................ 25,000 25,000
GT Group Telecom Inc., 0% -
2010(5)...................... 40,000 22,200
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL MARKET
FOREIGN BONDS (CONTINUED) AMOUNT VALUE
-------------------------------------------------------------
<S> <C> <C>
CANADA (CONTINUED)
Husky Oil Ltd., 7.55% - 2016... $ 80,000 $ 72,400
Repap New Brunswick Inc.,
10.625% - 2005............... 25,000 22,000
Rogers Communications, Inc.,
8.875% - 2007................ 25,000 24,500
Tembec Industries, Inc.,
8.625% - 2009................ 25,000 24,000
--------------
290,375
KOREA - 0.4%
Cho Hung Bank Company Ltd.,
11.50% - 2010(1)............. 45,000 43,313
LUXEMBOURG - 0.8%
Tyco International Group S.A.,
7.00% - 2028................. 100,000 86,672
MEXICO - 1.6%
Bepensa S.A. de C.V., 9.75% -
2004......................... 45,000 40,050
Grupo Industrial Durango S.A.,
12.625% - 2003............... 35,000 35,088
Petroleos Mexicanos, 9.50% -
2027......................... 60,000 60,600
TFM S.A. de C.V.,
0% - 2009(5)................. 70,000 47,950
--------------
183,688
NETHERLANDS - 0.7%
APP International Finance
Company BV, 11.75% - 2005.... 25,000 17,625
Bank Nederlandse Gemeenten NV,
3.00% - 2001................. 45,000 43,914
Hermes Europe Railtel BV,
10.375% - 2009............... 25,000 20,375
--------------
81,914
SINGAPORE - 0.1%
Flextronics International Ltd.,
9.875% - 2010................ 10,000 10,075
UNITED KINGDOM - 0.3%
BG Transco PLC,
5.375% - 2009(2)............. 10,000 13,482
European Investment Bank,
6.00% - 2004(2).............. 15,000 22,441
--------------
35,923
--------------
Total foreign bonds - 7.3%................ 822,776
</TABLE>
See accompanying notes.
--------------------------------------------------------------------------------
60
<PAGE> 62
SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
SERIES K (GLOBAL STRATEGIC INCOME)
(CONTINUED)
PRINCIPAL MARKET
FOREIGN GOVERNMENT BONDS AMOUNT VALUE
-------------------------------------------------------------
<S> <C> <C>
ARGENTINA - 5.7%
Republic of Argentina,
8.75% - 2002................. $ 25,000 $ 23,969
0.00% - 2004................. 55,000 33,275
7.375% - 2005(1)............. 152,000 139,116
11.00% - 2006................ 80,000 75,120
11.75% - 2015................ 100,000 90,500
12.00% - 2020................ 60,000 55,950
0.00% - 2023(5).............. 150,000 99,562
9.75% - 2027................. 155,000 120,125
--------------
637,617
BRAZIL - 6.50%
Republic of Brazil,
14.50% - 2009................ 86,000 91,879
7.4375% - 2012(1)............ 200,000 147,607
8.00% - 2014................. 225,348 165,920
12.75% - 2020................ 20,000 19,075
7.375% - 2024(1)............. 310,000 244,900
12.25% - 2030................ 65,000 59,638
--------------
729,019
BULGARIA - 1.1%
Bulgaria Government,
7.0625% - 2011(1)............ 25,000 20,049
7.0625% - 2024(1)............ 125,000 99,986
--------------
120,035
CANADA - 0.6%
Province of Alberta, 6.25% -
2000......................... 25,000 24,909
Province of Ontario, 6.875% -
2000(2)...................... 30,000 45,394
--------------
70,303
DENMARK - 0.3%
Kingdom of Denmark, 7.00% -
2004(2)...................... 262,000 35,207
FINLAND - 0.6%
Republic of Finland, 5.75% -
2011(2)...................... 65,000 63,748
FRANCE - 1.9%
Government of France O.A.T,
6.00% - 2025(2).............. 77,000 77,350
French Treasury Note,
3.00% - 2001(2).............. 100,000 94,141
3.50% - 2004(2).............. 40,000 36,217
--------------
207,708
</TABLE>
<TABLE>
<CAPTION>
FOREIGN GOVERNMENT BONDS PRINCIPAL MARKET
(CONTINUED) AMOUNT VALUE
-------------------------------------------------------------
<S> <C> <C>
GERMANY - 1.5%
Republic of Germany
6.875% - 2005(2)............. $ 20,000 $ 20,532
6.00% - 2006(2).............. 37,000 36,856
4.50% - 2009(2).............. 90,000 81,943
6.25% - 2024(2).............. 30,000 31,357
--------------
170,688
GREECE - 0.4%
Hellenic Republic,
6.50% - 2014(2).............. 15,500,000 45,263
ITALY - 1.9%
Republic of Italy BTPS,
4.00% - 2004(2).............. 25,000 22,859
4.75% - 2005(2).............. 190,000 177,326
4.50% - 2009(2).............. 10,000 8,889
--------------
209,074
KOREA - 1.1%
Republic of Korea,
8.75% - 2003................. 20,000 20,400
8.875% - 2008................ 100,000 103,625
--------------
124,025
MALAYSIA - 0.3%
Federation of Malaysia, 8.75% -
2009......................... 30,000 30,826
MEXICO - 3.8%
United Mexican States,
10.375% - 2009............... 45,000 48,195
7.50% - 2010(2).............. 20,000 18,593
9.875% - 2010................ 20,000 20,700
6.25% - 2019................. 400,000 334,000
--------------
421,488
NETHERLANDS - 1.9%
Kingdom of Netherlands, 5.75% -
2004(2)...................... 217,000 211,959
NORWAY - 0.2%
Kingdom of Norway, 5.50% -
2009(2)...................... 180,000 20,069
PANAMA - 0.9%
Republic of Panama,
7.875% - 2002................ 30,000 29,477
7.0625% - 2016(1)............ 21,869 17,988
8.875% - 2027................ 60,000 50,530
--------------
97,995
PERU - 0.3%
Republic of Peru,
4.50% - 2017(1).............. 55,000 36,712
</TABLE>
See accompanying notes.
--------------------------------------------------------------------------------
61
<PAGE> 63
SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
SERIES K (GLOBAL STRATEGIC INCOME)
(CONTINUED)
FOREIGN GOVERNMENT BONDS PRINCIPAL MARKET
(CONTINUED) AMOUNT VALUE
-------------------------------------------------------------
<S> <C> <C>
PHILIPPINES - 0.8%
Republic of Philippines,
10.625% - 2025............... $ 107,000 $ 91,485
RUSSIA - 4.3%
City of St. Petersburg, 9.50% -
2002......................... 100,000 84,500
Russia Federation, 12.75% -
2028......................... 215,000 185,369
Russia Principal Loan,
7.9375% - 2020*.............. 700,000 214,375
--------------
484,244
QATAR - 0.4%
State of Qatar, 9.75% - 2030... 40,000 39,450
SOUTH AFRICA - 0.2%
Republic of South Africa,
13.00% - 2010(2)............. 168,000 23,145
SWEDEN - 0.3%
Kingdom of Sweden, 9.00% -
2009(2)...................... 200,000 28,640
TRINIDAD AND TOBAGO - 0.3%
Republic of Trinidad and
Tobago, 9.75% - 2020......... 40,000 39,060
TURKEY - 0.6%
Republic of Turkey, 11.875% -
2004......................... 35,000 36,138
Republic of Turkey Treasury
Bill, 0% - 2001(2,5)......... 22,500,000,000 29,709
--------------
65,847
UNITED KINGDOM - 0.4%
United Kingdom Government
Treasury,
7.75% - 2006(2).............. 15,000 25,179
5.75% - 2009(2).............. 15,000 23,653
--------------
48,832
</TABLE>
<TABLE>
<CAPTION>
FOREIGN GOVERNMENT BONDS PRINCIPAL MARKET
(CONTINUED) AMOUNT VALUE
-------------------------------------------------------------
<S> <C> <C>
URUGUAY - 0.3%
Republic of Uruguay, 8.75% -
2010......................... $ 30,000 $ 29,887
VENEZUELA - 1.4%
Republic of Venezuela,
7.875% - 2007(1)............. 178,571 145,758
9.25% - 2027................. 25,000 16,469
--------------
162,227
--------------
Total foreign government bonds - 38.0%.... 4,244,553
<CAPTION>
CERTIFICATE OF DEPOSIT - 0.2%
-----------------------------
<S> <C> <C>
Hypovereinsbank CD, 7.25% -
2001......................... $ 25,000 24,983
<CAPTION>
REPURCHASE AGREEMENT - 9.5%
---------------------------
<S> <C> <C>
Paine Webber Treasury, 6.55% -
7-03-00 (Collateralized by
U.S. Treasury Bills 7-13-00
with a value of
$1,085,000).................. $ 1,059,000 1,059,000
--------------
Total investments - 98.3%................. 10,993,652
Cash and other assets, less
liabilities - 1.7%...................... 185,488
--------------
Total net assets - 100.0%................. $ 11,179,140
==============
</TABLE>
See accompanying notes.
--------------------------------------------------------------------------------
62
<PAGE> 64
SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
SERIES C (MONEY MARKET)
PRINCIPAL MARKET
COMMERCIAL PAPER AMOUNT VALUE
-------------------------------------------------------------
<S> <C> <C>
ALCOHOLIC BEVERAGES - 2.3%
Anheuser-Busch Companies, Inc.,
6.59%, 07-21-00.............. $ 1,500,000 $ 1,463,310
6.51%, 11-13-00.............. 1,600,000 1,594,213
--------------
3,057,523
BEVERAGES - 2.5%
Coca-Cola Company,
6.50%, 08-04-00.............. 200,000 198,772
6.56%, 10-02-00.............. 3,200,000 3,146,528
--------------
3,345,300
BROKERAGE - 5.1%
Bear Stearns Companies, Inc.,
6.71%, 09-05-00.............. 3,000,000 2,964,840
Merrill Lynch & Company, Inc.,
6.00%, 07-10-00.............. 1,000,000 998,690
6.60%, 09-05-00.............. 1,000,000 988,330
6.58%, 10-31-00.............. 2,000,000 1,956,120
--------------
6,907,980
BUSINESS SERVICES - 2.9%
General Electric Capital
Corporation,
6.60%, 07-17-00.............. 2,600,000 2,592,373
6.52%, 08-08-00.............. 1,300,000 1,291,053
--------------
3,883,426
CHEMICALS - BASIC - 2.7%
E.I. duPont de Nemours &
Company, 6.61%, 08-28-00..... 3,600,000 3,563,352
COMBINATION GAS & ELECTRIC - 8.4%
Baltimore Gas & Electric
Company,
6.50%, 07-13-00.............. 2,200,000 2,194,836
6.65%, 07-14-00.............. 1,000,000 997,783
Central Illinois Light Company,
6.80%, 07-14-00.............. 1,200,000 1,197,053
6.82%, 08-21-00.............. 400,000 396,135
6.78%, 08-25-00.............. 1,500,000 1,485,555
6.90%, 09-25-00.............. 900,000 886,221
Madison Gas & Electric Company,
6.62%, 07-31-00.............. 1,900,000 1,889,519
South Carolina Electric & Gas
Company,
6.15%, 07-03-00.............. 500,000 499,819
6.83%, 07-06-00.............. 500,000 499,526
6.57%, 07-14-00.............. 1,300,000 1,296,916
--------------
11,343,363
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL MARKET
COMMERCIAL PAPER (CONTINUED) AMOUNT VALUE
-------------------------------------------------------------
<S> <C> <C>
COMPUTER SOFTWARE - 2.9%
Honeywell International, Inc.,
6.50%, 07-12-00.............. 3,200,000 $ 3,193,644
6.60%, 09-11-00.............. 700,000 690,970
--------------
3,884,614
ELECTRIC UTILITIES - 9.0%
Allegheny Energy, Inc., 6.69%,
09-07-00..................... 1,500,000 1,481,760
Duke Energy Corporation,
6.06%, 07-05-00.............. 1,600,000 1,599,392
6.54%, 09-14-00.............. 1,000,000 986,630
Potomac Electric Power Company,
6.55%, 07-11-00.............. 1,800,000 1,796,725
6.55%, 07-14-00.............. 1,700,000 1,695,979
6.53%, 07-28-00.............. 500,000 497,551
Wisconsin Public Service
Corporation, 6.60%,
07-31-00..................... 4,000,000 3,978,000
--------------
12,036,037
ENTERTAINMENT - 2.6%
Walt Disney Company, 6.56%, 08-
16-00........................ 3,527,000 3,498,678
FOOD PROCESSING - 2.9%
General Mills, 6.46%,
07-03-00..................... 2,000,000 1,999,282
McCormick & Company, Inc.,
6.19%, 09-15-00.............. 2,000,000 1,972,900
--------------
3,972,182
INDUSTRIAL SERVICES - 0.6%
PPG Industries, Inc., 6.55%,
07-25-00..................... 800,000 796,507
PHARMACEUTICALS - 2.2%
Schering Corporation,
6.47%, 09-26-00.............. 1,900,000 1,870,569
6.70%, 11-14-00.............. 1,100,000 1,073,017
--------------
2,943,586
PHOTOGRAPH/IMAGING - 2.6%
Eastman Kodak Company,
6.58%, 07-10-00.............. 900,000 898,520
6.32%, 07-24-00.............. 1,100,000 1,095,743
6.40%, 07-26-00.............. 500,000 497,778
6.64%, 08-29-00.............. 1,000,000 989,590
--------------
3,481,631
PUBLISHING - 1.0%
McGraw-Hill Companies, Inc.,
6.51%, 07-17-00.............. 1,400,000 1,396,374
</TABLE>
See accompanying notes.
--------------------------------------------------------------------------------
63
<PAGE> 65
SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
SERIES C (MONEY MARKET) (CONTINUED)
PRINCIPAL MARKET
COMMERCIAL PAPER (CONTINUED) AMOUNT VALUE
-------------------------------------------------------------
<S> <C> <C>
RETAIL - DEPARTMENT STORES - 0.9%
May Department Stores, 6.55%,
07-11-00..................... 1,300,000 $ 1,297,635
TELECOMMUNICATIONS - 4.4%
AT&T Corporation,
6.60%, 07-31-00.............. 1,400,000 1,392,860
6.57%, 09-05-00.............. 2,500,000 2,470,825
Bellsouth Telecommunications,
Inc.,
6.44%, 07-06-00.............. 1,000,000 999,106
6.50%, 07-21-00.............. 1,000,000 996,389
--------------
5,859,180
--------------
Total commercial paper - 53.0%............ 71,267,368
</TABLE>
<TABLE>
<CAPTION>
U.S. GOVERNMENT & AGENCIES
--------------------------
<S> <C> <C>
FEDERAL HOME LOAN BANKS - 4.4%
Federal Home Loan Bank Discount
Corporation,
6.14%, 09-22-00.............. 6,000,000 5,912,640
FEDERAL HOME LOAN MORTGAGES - 3.2%
Federal Home Loan Mortgage
Corporation,
6.50%, 08-17-00.............. 4,300,000 4,264,912
FEDERAL NATIONAL MORTGAGE
ASSOCIATION - 14.9%
Federal National Mortgage
Association,
6.04%, 07-13-00.............. 2,000,000 1,996,360
6.53%, 08-31-00.............. 5,000,000 4,946,550
6.17%, 09-28-00.............. 6,000,000 5,906,160
6.62%, 11-22-00.............. 5,300,000 5,163,472
6.53%, 05-17-01(1)........... 2,000,000 1,998,920
--------------
20,011,462
STUDENT LOAN MORTGAGE
ASSOCIATION - 10.9%
Student Loan Mortgage
Association,
5.52%, 07-25-04(1)........... 1,279,843 1,279,664
4.92%, 10-25-05(1)........... 3,846,770 3,828,739
5.15%, 10-28-06(1)........... 2,000,000 2,000,640
5.21%, 01-25-07(1)........... 3,346,108 3,339,311
5.33%, 04-25-08(1)........... 1,271,295 1,271,346
6.41%, 07-25-08(1)........... 3,000,000 2,998,170
--------------
14,717,870
</TABLE>
<TABLE>
<CAPTION>
U.S. GOVERNMENT & AGENCIES PRINCIPAL MARKET
(CONTINUED) AMOUNT VALUE
-------------------------------------------------------------
<S> <C> <C>
SMALL BUSINESS ASSOCIATION
POOLS - 6.6%
#502406, 6.25%, 2006(1)...... 273,890 $ 273,890
#502163, 6.50%, 2012(1)...... 661,277 661,277
#502353, 6.25%, 2018(1)...... 86,385 86,385
#503176, 6.125%, 2020(1)..... 306,012 307,542
#503295, 5.75%, 2021(1)...... 550,247 562,628
#503303, 5.75%, 2021(1)...... 793,863 811,725
#503283, 6.00%, 2021(1)...... 530,931 528,691
#503308, 6.00%, 2021(1)...... 599,027 599,027
#503459, 6.00%, 2021(1)...... 1,306,895 1,301,994
#503343, 6.125%, 2021(1)..... 1,091,588 1,091,588
#503347, 6.125%, 2021(1)..... 2,582,445 2,582,445
--------------
8,807,192
--------------
Total U.S. Government & Agencies -40.0%... 53,714,076
</TABLE>
<TABLE>
<CAPTION>
MISCELLANEOUS ASSETS
--------------------
<S> <C> <C>
FUNDING AGREEMENTS - 6.7%
Security Life of Denver
Insurance Company, 6.50625%,
10-31-01(1).................. 3,000,000 3,000,000
Travelers Insurance Company,
6.49630%, 08-21-01(1)........ 3,000,000 3,000,000
United of Omaha Life Insurance
Company, 6.57625%,
1-21-02(1)................... 3,000,000 3,000,000
--------------
9,000,000
--------------
Total investments - 99.7%................. 133,981,444
Cash and other assets, less
liabilities - 0.3%...................... 442,888
--------------
Total net assets - 100.0%................. $ 134,424,332
==============
</TABLE>
See accompanying notes.
--------------------------------------------------------------------------------
64
<PAGE> 66
SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
SERIES S (SOCIAL AWARENESS)
NUMBER MARKET
COMMON STOCKS OF SHARES VALUE
-------------------------------------------------------------
<S> <C> <C>
AIR FREIGHT - 0.2%
FedEx Corporation*............. 13,000 $ 494,000
AIRLINES - 0.6%
Southwest Airlines Company..... 81,400 1,541,512
BANKS - MAJOR REGIONAL - 3.8%
Bank of New York Company,
Inc.......................... 59,600 2,771,400
Northern Trust Corporation..... 52,000 3,383,250
PNC Financial Services Group... 24,400 1,143,750
Wells Fargo & Company.......... 59,400 2,301,750
--------------
9,600,150
BANKS - MONEY CENTER - 1.4%
Bank of America Corporation.... 40,800 1,754,400
Chase Manhattan Corporation.... 35,400 1,630,613
--------------
3,385,013
BEVERAGES - SOFT DRINK - 2.7%
Coca-Cola Company.............. 95,000 5,456,562
PepsiCo, Inc................... 28,700 1,275,356
--------------
6,731,918
BROADCAST MEDIA - 1.1%
AMFM, Inc.*.................... 15,700 1,083,300
Comcast Corporation*........... 41,200 1,668,600
--------------
2,751,900
CHEMICALS - BASIC - 0.7%
Praxair, Inc................... 43,300 1,621,044
COMMUNICATIONS - EQUIPMENT - 7.4%
ADC Telecommunications,
Inc.*........................ 45,800 3,841,475
Comverse Technology, Inc.*..... 45,000 4,185,000
Lucent Technologies, Inc....... 113,960 6,752,130
Scientific-Atlanta, Inc........ 48,800 3,635,600
--------------
18,414,205
COMPUTER HARDWARE - 5.6%
Compaq Computer Corporation.... 55,200 1,411,050
Dell Computer Corporation*..... 97,800 4,822,763
Hewlett-Packard Company........ 22,900 2,859,637
International Business Machines
Corporation.................. 44,400 4,864,575
--------------
13,958,025
COMPUTER SOFTWARE/SERVICES - 9.2%
Adobe Systems, Inc............. 29,600 3,848,000
Computer Associates
International, Inc........... 29,500 1,510,031
Microsoft Corporation*......... 191,700 15,336,000
Yahoo, Inc.*................... 18,500 2,291,688
--------------
22,985,719
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
-------------------------------------------------------------
<S> <C> <C>
COMPUTER - NETWORKING - 6.3%
Cisco Systems, Inc.*........... 248,900 $ 15,758,481
COMPUTERS - PERIPHERALS - 2.0%
EMC Corporation*............... 65,600 5,047,100
CONSUMER FINANCE - 0.5%
Household International,
Inc.......................... 29,200 1,213,625
DISTRIBUTION - FOOD & HEALTH - 0.6%
Cardinal Health, Inc........... 20,700 1,531,800
ELECTRICAL EQUIPMENT - 1.8%
Molex, Inc. ................... 61,000 2,935,625
Sanmina Corporation*........... 18,400 1,573,200
--------------
4,508,825
ELECTRONICS - INSTRUMENTATION - 0.3%
Agilent Technologies, Inc.*.... 8,734 644,137
ELECTRONICS - SEMICONDUCTORS - 10.5%
Analog Devices, Inc.*.......... 66,000 5,016,000
Intel Corporation.............. 119,800 16,015,763
Texas Instruments, Inc......... 56,800 3,901,450
Xilinx, Inc.*.................. 15,500 1,279,719
--------------
26,212,932
ENTERTAINMENT - 1.8%
Viacom, Inc. (Cl. B)*.......... 24,800 1,691,050
Walt Disney Company............ 71,800 2,786,738
--------------
4,477,788
EQUIPMENT - SEMICONDUCTORS - 1.0%
Applied Materials, Inc.*....... 26,800 2,428,750
FINANCIAL - DIVERSE - 2.0%
American Express Company....... 43,200 2,251,800
Fannie Mae..................... 32,500 1,696,094
Freddie Mac.................... 28,800 1,166,400
--------------
5,114,294
FOODS - 0.7%
Bestfoods...................... 10,800 747,900
General Mills, Inc............. 25,000 956,250
--------------
1,704,150
HEALTH CARE - DIVERSE - 2.6%
Allergan, Inc.................. 23,400 1,743,300
Johnson & Johnson.............. 46,532 4,740,448
--------------
6,483,748
HEALTH CARE - PHARMACEUTICALS
- GENERIC - 0.6%
Watson Pharmaceuticals,
Inc.*........................ 29,500 1,585,625
</TABLE>
See accompanying notes.
--------------------------------------------------------------------------------
65
<PAGE> 67
SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
SERIES S (SOCIAL AWARENESS) (CONTINUED)
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
-------------------------------------------------------------
<S> <C> <C>
HEALTH CARE - PHARMACEUTICALS
- MAJOR - 3.7%
Merck & Company, Inc........... 84,700 $ 6,490,137
Schering-Plough Corporation.... 55,100 2,782,550
--------------
9,272,687
HOUSEHOLD PRODUCTS - 2.2%
Colgate-Palmolive Company...... 34,000 2,035,750
Kimberly-Clark Corporation..... 16,000 918,000
Procter & Gamble Company....... 44,400 2,541,900
--------------
5,495,650
INSURANCE - LIFE/HEALTH - 0.5%
American General Corporation... 21,100 1,287,100
INSURANCE - MULTI-LINE - 2.7%
American International Group,
Inc.......................... 58,466 6,869,755
INSURANCE - PROPERTY &
CASUALTY - 0.6%
Chubb Corporation.............. 24,000 1,476,000
MACHINERY - DIVERSE - 0.4%
Deere & Company................ 25,600 947,200
MANUFACTURING - DIVERSIFIED - 0.4%
Illinois Tool Works, Inc....... 17,400 991,800
MANUFACTURING - SPECIALIZED - 0.5%
Avery Dennison Corporation..... 18,200 1,221,675
MEDICAL PRODUCTS & SUPPLIES - 1.4%
Guidant Corporation*........... 29,800 1,475,100
Medtronic, Inc................. 41,800 2,082,163
--------------
3,557,263
NATURAL GAS - 0.7%
Enron Corporation.............. 26,000 1,677,000
OFFICE EQUIPMENT & SUPPLIES - 0.3%
Pitney Bowes, Inc.............. 16,200 648,000
OIL & GAS - DRILLING &
EQUIPMENT - 2.9%
BJ Services Company*........... 55,200 3,450,000
Noble Drilling Corporation*.... 89,600 3,690,400
--------------
7,140,400
PAPER & FOREST PRODUCTS - 0.2%
Westvaco Corporation........... 21,600 535,950
PERSONAL CARE - 0.5%
Gillette Company............... 33,000 1,152,937
PUBLISHING - 0.3%
McGraw-Hill Companies, Inc..... 14,200 766,800
PUBLISHING - NEWSPAPER - 0.5%
New York Times Company......... 29,400 1,161,300
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
-------------------------------------------------------------
<S> <C> <C>
RESTAURANTS - 0.5%
McDonald's Corporation......... 41,400 $ 1,363,612
RETAIL - APPAREL - 0.9%
Talbots, Inc................... 23,500 1,291,031
Gap, Inc....................... 29,400 918,750
--------------
2,209,781
RETAIL - BUILDING SUPPLIES - 1.3%
Home Depot, Inc................ 20,100 1,003,744
Lowe's Companies, Inc.......... 57,700 2,369,306
--------------
3,373,050
RETAIL - DEPARTMENT STORES - 0.6%
Kohl's Corporation*............ 26,400 1,468,500
RETAIL - DISCOUNTERS - 0.5%
Family Dollar Stores, Inc...... 70,000 1,369,375
RETAIL - DRUG STORES - 0.5%
CVS Corporation................ 32,800 1,312,000
RETAIL - FOOD CHAINS - 0.4%
Kroger Company*................ 49,000 1,081,063
RETAIL - GENERAL MERCHANDISE - 3.6%
Costco Wholesale
Corporation*................. 15,200 501,600
Target Corporation............. 32,800 1,902,400
Wal-Mart Stores, Inc........... 115,800 6,672,975
--------------
9,076,975
SERVICES - ADVERTISING/
MARKETING - 1.0%
Omnicom Group, Inc............. 26,900 2,395,781
SERVICES - DATA PROCESSING - 0.9%
Paychex, Inc................... 55,950 2,349,900
TELECOMMUNICATIONS - CELLULAR - 1.1%
Sprint Corporation - (PCS
Group)*...................... 45,300 2,695,350
TELECOMMUNICATIONS
- LONG DISTANCE - 2.6%
AT&T Corporation............... 104,112 3,292,542
Sprint Corporation............. 31,000 1,581,000
WorldCom, Inc.*................ 35,850 1,646,859
--------------
6,520,401
TELEPHONE - 3.4%
Bell Atlantic Corporation...... 44,900 2,281,481
BellSouth Corporation.......... 45,200 1,926,650
SBC Communications, Inc........ 101,464 4,388,318
--------------
8,596,449
--------------
Total common stocks....................... 246,208,495
</TABLE>
See accompanying notes.
--------------------------------------------------------------------------------
66
<PAGE> 68
SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
SERIES S (SOCIAL AWARENESS) (CONTINUED)
PRINCIPAL MARKET
COMMERCIAL PAPER AMOUNT VALUE
-------------------------------------------------------------
<S> <C> <C>
BROKERAGE - 0.6%
Merrill Lynch & Company, Inc.,
6.60%, 07-12-00.............. $ 1,600,000 $ 1,596,773
FOOD PROCESSING - 0.7%
General Mills, Inc.,
6.985%, 7-03-00.............. 1,000,000 999,641
6.54%, 7-05-00............... 775,000 774,437
--------------
1,774,078
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL MARKET
COMMERCIAL PAPER (CONTINUED) AMOUNT VALUE
-------------------------------------------------------------
<S> <C> <C>
TELECOMMUNICATIONS - 0.2%
AT&T Corporation, 6.70%,
7-10-00...................... $ 400,000 $ 399,330
--------------
Total commercial paper - 1.5%............. 3,770,181
--------------
Total investments - 99.9%................. 249,978,676
Cash and other assets, less
liabilities - 1.0%...................... 161,706
--------------
Total net assets - 100.0%................. $ 250,140,382
==============
</TABLE>
See accompanying notes.
--------------------------------------------------------------------------------
67
<PAGE> 69
SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
SERIES T (TECHNOLOGY)
NUMBER MARKET
COMMON STOCKS OF SHARES VALUE
-------------------------------------------------------------
<S> <C> <C>
COMMUNICATION EQUIPMENT - 11.6%
Comverse Technology*........... 3,300 $ 306,900
Digital Microwave
Corporation*................. 6,600 251,625
Lucent Technologies, Inc....... 3,600 213,300
REMEC, Inc.*................... 1,900 79,563
VeriSign, Inc.*................ 2,205 388,907
--------------
1,240,295
COMPUTER HARDWARE - 13.3%
Dell Computer Corporation*..... 11,200 552,300
Handspring, Inc.*.............. 200 5,400
Hewlett-Packard Company........ 3,000 374,625
International Business Machines
Corporation.................. 4,500 493,031
--------------
1,425,356
COMPUTER SOFTWARE/SERVICES - 25.5%
America Online, Inc.*.......... 3,300 174,075
Answerthink, Inc.*............. 8,600 142,975
BMC Software, Inc.*............ 1,600 58,375
Congnos, Inc.*................. 4,500 186,187
eBay, Inc.*.................... 3,500 190,094
Exodus Communications, Inc.*... 5,600 257,950
Informix Corporation*.......... 8,400 62,475
LookSmart, Ltd.*............... 3,000 55,500
Macromedia, Inc.*.............. 1,600 154,700
Microsoft Corporation*......... 8,800 704,000
Phone.com, Inc.*............... 900 58,613
Rational Software
Corporation*................. 3,500 325,281
StorageNetworks, Inc.*......... 100 9,025
Verity, Inc.*.................. 4,500 171,281
Vignette Corporation*.......... 3,500 182,000
--------------
2,732,531
COMPUTERS - NETWORKING - 11.7%
3Com Corporation*.............. 4,000 230,500
Cisco Systems, Inc.*........... 16,100 1,019,331
--------------
1,249,831
COMPUTERS - PERIPHERALS - 6.1%
EMC Corporation*............... 4,400 338,525
Quantum Corporation-Hard Disk
Drive*....................... 28,500 315,281
--------------
653,806
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT OR
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
-------------------------------------------------------------
<S> <C> <C>
ELECTRONICS - SEMICONDUCTORS - 23.4%
Analog Devices, Inc.*.......... 5,500 $ 418,000
Broadcom Corporation*.......... 700 153,300
Brooks Automation, Inc.*....... 2,000 127,875
Credence Systems
Corporation*................. 2,900 160,044
Cypress Semiconductor
Corporation*................. 4,300 181,675
Intel Corporation.............. 900 120,319
JDS Uniphase Corporation*...... 5,100 611,362
MEMC Electronic Materials,
Inc.*........................ 12,300 221,400
Micron Technology, Inc.*....... 5,900 519,569
--------------
2,513,544
EQUIPMENT - SEMICONDUCTORS - 1.3%
Applied Materials, Inc.*....... 1,600 145,000
SERVICES - COMPUTER SYSTEMS - 0.2%
Electronic Data Systems
Corporation.................. 500 20,625
SERVICES - DATA PROCESSING - 3.4%
Ceridian Corporation*.......... 15,100 363,344
--------------
Total common stocks - 96.5%............... 10,344,332
<CAPTION>
FOREIGN STOCKS - 0.5%
---------------------
<S> <C> <C>
FINLAND
Nokia Oyj ADR.................. 1,100 54,931
<CAPTION>
REPURCHASE AGREEMENT - 17.3%
----------------------------
<S> <C> <C>
State Street
3.5%, 07-03-00
(Collateralized by FNMA,
6.32% - 2002 with a value of
$1,894,653).................. $ 1,855,395 1,855,395
--------------
Total investments - 114.3%................ 12,254,658
Liabilities, less cash and other
assets - (14.3)%........................ (1,534,782)
--------------
Total net assets - 100.0%................. $ 10,719,876
==============
</TABLE>
See accompanying notes.
--------------------------------------------------------------------------------
68
<PAGE> 70
SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
SERIES G (LARGE CAP GROWTH)
NUMBER MARKET
COMMON STOCKS OF SHARES VALUE
-------------------------------------------------------------
<S> <C> <C>
BEVERAGES - SOFT DRINK - 2.9%
Coca-Cola Company.............. 1,800 $ 103,387
PepsiCo, Inc................... 1,700 75,544
--------------
178,931
BIOTECHNOLOGY - 1.1%
Amgen, Inc.*................... 1,000 70,250
BROADCAST MEDIA - 1.2%
AMFM, Inc.*.................... 400 27,600
Comcast Corporation*........... 700 28,350
Univision Communications,
Inc.*........................ 200 20,700
--------------
76,650
COMMUNICATION EQUIPMENT - 7.8%
Comverse Technology, Inc.*..... 300 27,900
Corning, Inc................... 200 53,975
Lucent Technologies, Inc....... 2,400 142,200
Nokia Oyj...................... 500 24,969
Nortel Networks Corporation.... 2,600 177,450
QUALCOMM, Inc.*................ 600 36,000
Telefonaktiebolaget LM Ericsson
AB ADR....................... 1,100 22,000
--------------
484,494
COMPUTER HARDWARE - 6.5%
Dell Computer Corporation*..... 2,100 103,556
International Business Machines
Corporation.................. 1,500 164,344
Sun Microsystems, Inc.*........ 1,500 136,406
--------------
404,306
COMPUTER SOFTWARE/SERVICES - 13.8%
Adobe Systems, Inc............. 200 26,000
America Online, Inc.*.......... 1,700 89,675
Computer Associates
International, Inc........... 600 30,712
i2 Technologies, Inc.*......... 200 20,853
Microsoft Corporation*......... 4,700 376,000
Oracle Corporation*............ 2,400 201,750
Siebel Systems, Inc.*.......... 200 32,713
VERITAS Software
Corporation*................. 300 33,863
Yahoo!, Inc.*.................. 400 49,550
--------------
861,116
COMPUTERS - PERIPHERALS - 2.5%
EMC Corporation*............... 2,000 153,875
COMPUTERS - NETWORKING - 7.0%
Cisco Systems, Inc.*........... 6,400 405,200
Network Appliance, Inc.*....... 400 32,200
--------------
437,400
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
-------------------------------------------------------------
<S> <C> <C>
ELECTRICAL EQUIPMENT - 8.8%
Celestica, Inc.*............... 500 $ 24,812
General Electric Company....... 8,900 471,700
Sanmina Corporation*........... 600 51,300
--------------
547,812
ELECTRONICS - SEMICONDUCTORS - 9.2%
Flextronics International,
Ltd.*........................ 400 27,475
Intel Corporation.............. 3,000 401,062
JDS Uniphase Corporation*...... 200 23,975
PMC - Sierra, Inc.*............ 100 17,769
Texas Instruments, Inc......... 1,200 82,425
Xilinx, Inc.*.................. 300 24,769
--------------
577,475
ENTERTAINMENT - 2.1%
Time Warner, Inc............... 1,000 76,000
Viacom, Inc. (Cl. B)*.......... 500 34,094
Walt Disney Company............ 500 19,406
--------------
129,500
EQUIPMENT - SEMICONDUCTORS - 1.1%
Applied Materials, Inc.*....... 600 54,375
Teradyne, Inc.*................ 200 14,700
--------------
69,075
FINANCIAL - DIVERSE - 0.4%
Morgan Stanley Dean Witter &
Company...................... 300 24,975
FOODS - 0.5%
Bestfoods...................... 500 34,625
HEALTH CARE - DIVERSE - 3.5%
Allergan, Inc.................. 400 29,800
Bristol-Myers Squibb Company... 1,500 87,375
Johnson & Johnson.............. 1,000 101,875
--------------
219,050
HEALTH CARE - PHARMACEUTICALS
- GENERIC - 1.0%
ALZA Corporation*.............. 500 29,563
Watson Pharmaceuticals,
Inc.*........................ 600 32,250
--------------
61,813
HEALTH CARE - PHARMACEUTICALS
- MAJOR - 9.6%
Eli Lilly and Company.......... 800 79,900
Forest Laboratories, Inc.*..... 300 30,300
Merck & Company, Inc. ......... 2,100 160,913
Pfizer, Inc. .................. 5,450 261,600
Schering-Plough Corporation.... 1,300 65,650
--------------
598,363
</TABLE>
See accompanying notes.
--------------------------------------------------------------------------------
69
<PAGE> 71
SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
SERIES G (LARGE CAP GROWTH) (CONTINUED)
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
-------------------------------------------------------------
<S> <C> <C>
HOUSEHOLD PRODUCTS - 1.4%
Colgate-Palmolive Company...... 600 $ 35,925
Kimberly-Clark Corporation..... 900 51,638
--------------
87,563
INVESTMENT BANK/BROKERAGE - 0.5%
Charles Schwab Corporation..... 900 30,263
MANUFACTURING - DIVERSIFIED - 1.0%
Tyco International, Ltd. ...... 1,300 61,587
MEDICAL PRODUCTS & SUPPLIES - 1.4%
Guidant Corporation*........... 500 24,750
Medtronic, Inc. ............... 900 44,831
PE Corp - PE Biosystems
Group........................ 300 19,763
--------------
89,344
RETAIL - APPAREL - 0.3%
Gap, Inc. ..................... 700 21,875
RETAIL - BUILDING SUPPLIES - 1.4%
Home Depot, Inc. .............. 1,700 84,894
RETAIL - COMPUTERS &
ELECTRONICS - 0.2%
Circuit City Stores - Circuit
City Group................... 300 9,956
RETAIL - DEPARTMENT STORES - 0.4%
Kohl's Corporation*............ 500 27,812
RETAIL - DRUG STORES - 0.7%
Walgreen Company............... 1,300 41,844
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT OR
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
-------------------------------------------------------------
<S> <C> <C>
RETAIL - FOOD CHAINS - 0.4%
Safeway, Inc.*................. 600 $ 27,075
RETAIL - GENERAL MERCHANDISE - 3.0%
Wal-Mart Stores, Inc........... 3,300 190,162
SERVICES - ADVERTISING/
MARKETING - 0.4%
Omnicom Group, Inc............. 300 26,719
SERVICES - DATA PROCESSING - 0.8%
Paychex, Inc................... 1,150 48,300
TELECOMMUNICATION - CELLULAR - 1.4%
Nextel Communications, Inc.*... 600 36,712
Sprint Corporation (PCS
Group)*...................... 900 53,550
--------------
90,262
TELEPHONE - 1.4%
SBC Communications, Inc........ 2,000 86,500
--------------
Total common stocks - 93.7%............... 5,853,866
<CAPTION>
REPURCHASE AGREEMENT - 7.1%
---------------------------
<S> <C> <C>
State Street 2.0% - 7-03-00
(Collateralized by FHLB,
6.39% - 2008 with a value of
$455,400)(3)................. $ 444,822 444,822
--------------
Total investments - 100.8%................ 6,298,688
Liabilities, less cash and other assets
(0.8%).................................. (52,948)
--------------
Total net assets - 100.0%................. $ 6,245,740
==============
</TABLE>
See accompanying notes.
--------------------------------------------------------------------------------
70
<PAGE> 72
SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
SERIES E (DIVERSIFIED INCOME)
PRINCIPAL
AMOUNT OR
NUMBER MARKET
CORPORATE BONDS OF SHARES VALUE
-------------------------------------------------------------
<S> <C> <C>
AIRLINES - 0.6%
Southwest Airlines Company,
7.875% - 2007................ $ 700,000 $ 700,000
AUTOMOTIVE - 1.3%
Federal-Mogul Corporation,
7.75% - 2006................. $ 250,000 181,875
7.50% - 2009................. $ 250,000 171,563
7.88% - 2010................. $ 250,000 174,375
Ford Motor Company, 7.25% -
2008......................... $ 1,000,000 971,250
--------------
1,499,063
BANKING - 1.9%
Bank of New York, Inc., 6.50% -
2003......................... $ 25,000 24,219
B.F. Saul REIT, 9.75% - 2008... $ 250,000 215,625
Homeside, Inc.,
11.25% - 2003................ $ 1,250,000 1,353,125
Washington Mutual Capital,
8.375% - 2027(4)............. $ 700,000 623,000
--------------
2,215,969
BASIC INDUSTRY - OTHER - 0.8%
Pioneer Hi Bred International,
Inc., 5.75% - 2009........... $ 1,000,000 907,500
BEVERAGE - 0.6%
Anheuser-Busch Companies, Inc.,
7.10% - 2007................. $ 775,000 760,469
BROKERAGE - 2.2%
SI Financing Trust, Inc.,
9.50% - 2026(4).............. 102,610 2,590,903
BUILDING MATERIALS - 1.7%
LaFarge Corporation, 6.375% -
2005......................... $ 1,025,000 955,813
Vulcan Materials Company,
5.75% - 2004................. $ 1,100,000 1,054,625
--------------
2,010,438
CONGLOMERATES - 0.6%
Honeywell International, 7.5% -
2010......................... $ 700,000 701,750
CONSTRUCTION MACHINERY - 0.2%
Sequa Corporation, 9.00% -
2009......................... $ 300,000 288,000
CONSUMER CYCLICALS - OTHER - 0.0%
American ECO Corporation,
9.625% - 2008*............... $ 500,000 20,000
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL MARKET
CORPORATE BONDS (CONTINUED) AMOUNT VALUE
-------------------------------------------------------------
<S> <C> <C>
ELECTRIC - 2.0%
Calpine Corporation, 8.75% -
2007......................... $ 500,000 $ 485,625
CMS Energy Corporation, 6.75% -
2004......................... 500,000 463,125
East Coast Power LLC,
6.737% - 2008................ 230,428 216,890
6.737% - 2012................ 250,000 230,000
National Rural Utilities,
5.5% - 2005.................. 1,000,000 930,000
--------------
2,325,640
ENERGY - OTHER - 0.2%
P&L Coal Holdings Corporation,
8.875% - 2008................ 300,000 282,750
FINANCIAL COMPANIES - 1.4%
CB Richard Ellis Service,
8.875% - 2006................ 325,000 276,250
Countrywide Capital, 8.00% -
2026*........................ 700,000 579,250
PNC Funding Corporation,
7.75% - 2004................. 800,000 804,000
--------------
1,659,500
FINANCIAL COMPANIES
- CAPTIVE - 0.8%
Bayer Corporation,
6.20% - 2008................. 1,000,000 938,750
GAMING - 0.2%
Park Place Entertainment,
7.875% - 2005................ 300,000 282,000
HEALTHCARE - 0.4%
Tenet Healthcare Corporation,
8.125% - 2008................ 500,000 457,500
HOME CONSTRUCTION - 0.7%
MDC Holdings, 8.375% - 2008.... 250,000 221,250
Oakwood Homes Corporation,
8.125% - 2009................ 500,000 172,500
Standard Pacific Corporation,
8.50% - 2009................. 500,000 450,000
--------------
843,750
INDEPENDENT ENERGY - 0.3%
Seagull Energy Corporation,
8.625% - 2005................ 300,000 294,000
LODGING - 0.2%
HMH Properties,
7.875% - 2008................ 300,000 269,250
</TABLE>
See accompanying notes.
--------------------------------------------------------------------------------
71
<PAGE> 73
SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
SERIES E (DIVERSIFIED INCOME) (CONTINUED)
PRINCIPAL MARKET
CORPORATE BONDS (CONTINUED) AMOUNT VALUE
-------------------------------------------------------------
<S> <C> <C>
MEDIA - CABLE - 2.3%
Adelphia Communications, Inc.,
9.50% - 2004................. $ 43,388 $ 41,869
8.375% - 2008................ 250,000 220,938
Century Communications
Corporation, 8.375% - 2007... 125,000 110,937
Comcast Corporation, 9.125% -
2006......................... 150,000 157,500
Jones Intercable, Inc.,
7.625% - 2008................ 500,000 488,125
Lenfest Communications, Inc.,
10.50% - 2006................ 500,000 558,125
Rogers Cablesystems, Ltd.,
9.625% - 2002................ 325,000 326,625
Time Warner Entertainment
Company, 10.15% - 2012....... 670,000 778,875
--------------
2,682,994
MEDIA NON-CABLE - 1.3%
K-III Communications
Corporation, 10.25% - 2004... 555,000 555,000
News America Holdings, Inc.,
8.625% - 2003................ 500,000 510,000
USA Networks, 6.75% - 2005..... 500,000 474,375
--------------
1,539,375
METALS - 0.5%
California Steel Industries,
8.50% - 2009................. 500,000 457,500
WHX Corporation, 10.50% -
2005......................... 250,000 195,000
--------------
652,500
OIL FIELD SERVICES - 0.6%
Transocean Offshore, Inc.,
8.00% - 2027................. 700,000 688,625
RETAILERS - 1.2%
Sears Roebuck Acceptance
Corporation, 6.41% - 2001.... 350,000 347,375
Tandy Corporation, 6.95% -
2007......................... 750,000 717,187
Zale Corporation,
8.50% - 2007................. 375,000 352,500
--------------
1,417,062
SERVICES - 0.7%
ROCS Series FDX 1997-1 144A,
7.00% - 2017................. 936,577 829,545
SUPERMARKETS - 0.8%
Safeway, Inc., 6.50% - 2008.... 1,000,000 920,000
TECHNOLOGY - 0.8%
Electronic Data Systems,
7.125% - 2009................ $ 1,000,000 972,500
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT OR
NUMBER MARKET
CORPORATE BONDS (CONTINUED) OF SHARES VALUE
-------------------------------------------------------------
<S> <C> <C>
TELECOMMUNICATIONS - 2.3%
AT&T Corporation,
7.00% - 2005................. $ 875,000 $ 858,594
ALESTRA, S.A.,
12.625% - 2009............... $ 500,000 451,875
Call-Net Enterprises, Inc.,
9.375% - 2009................ $ 500,000 307,500
GTE Corporation,
7.51% - 2009................. $ 1,000,000 981,250
Mastec, Inc., 7.75% - 2008..... $ 200,000 184,000
--------------
2,783,219
TOBACCO - 0.3%
Dimon, Inc., 8.875% - 2006..... $ 400,000 361,500
YANKEE - CORPORATE - 3.9%
Abbey National plc,
6.69% - 2005................. $ 725,000 695,093
Agrium, Inc., 7.00% - 2004..... $ 1,000,000 947,500
BCH Cayman Islands, Ltd.,
7.70% - 2006................. $ 700,000 688,625
Den Danske Bank 144A, 7.40% -
2010......................... $ 1,175,000 1,120,656
Vodafone Airtouch plc, 7.625% -
2005......................... $ 1,200,000 1,201,500
--------------
4,653,374
--------------
Total corporate bonds - 30.8%............. 36,547,926
<CAPTION>
PREFERRED STOCKS
----------------
<S> <C> <C>
BANKS & CREDIT - 0.7%
ABN AMRO Capital Fund II,
7.125%....................... 40,000 820,000
<CAPTION>
MORTGAGE BACKED SECURITIES
--------------------------
<S> <C> <C>
U.S. GOVERNMENT AGENCIES - 26.3%
Federal Home Loan Bank,
6.75% - 2002................. $ 1,000,000 997,220
6.37% - 2006................. $ 900,000 869,607
Federal Home Loan Mortgage
Corporation,
FHR #188 H, 7.00% - 2021
CMO........................ $ 19,632 19,149
FHR #1311 J, 7.50% - 2021
CMO........................ $ 3,325,000 3,331,982
FHR #1930 AB, 7.50% - 2023
CMO........................ $ 269,296 269,953
FHLMC, 6.25% - 2002.......... $ 2,000,000 1,971,300
FHLMC, 7.00% - 2003.......... $ 2,000,000 2,000,000
FHLMC, 6.25% - 2004.......... $ 2,000,000 1,945,000
FHLMC #1339 (Cl.C), 8.00% -
2006....................... $ 890,749 903,058
</TABLE>
See accompanying notes.
--------------------------------------------------------------------------------
72
<PAGE> 74
SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
SERIES E (DIVERSIFIED INCOME) (CONTINUED)
MORTGAGE BACKED SECURITIES PRINCIPAL MARKET
(CONTINUED) AMOUNT VALUE
-------------------------------------------------------------
<S> <C> <C>
U.S. GOVERNMENT AGENCIES (CONTINUED)
Federal National Mortgage
Association,
FNR 1992-58 J,
6.50% - 2018............... $ 6,335 $ 6,295
FNR 1990-68 J,
6.95% - 2020............... 81,499 79,452
FNR 1990-103 K, 7.50% -
2020....................... 16,009 15,906
FNMA, 6.53% - 2001........... 1,500,000 1,499,190
FNMA, 6.624% - 2002.......... 2,000,000 1,991,740
FNMA, 6.50% - 2004........... 2,000,000 1,961,200
FNMA, 6.00% - 2008........... 850,000 791,120
FNMA, 7.25% - 2010........... 2,000,000 2,016,320
FNMA, 7.125% - 2030.......... 2,000,000 2,004,940
FNMA, 7.125% - 2030.......... 2,000,000 2,006,920
FNMA, 7.25% - 2030........... 2,500,000 2,543,750
FNMA #253356, 8.00% - 2030... 2,000,200 2,009,116
FNMA #541735, 8.00% - 2030... 2,000,000 2,008,830
--------------
31,242,048
U.S. GOVERNMENT SECURITIES - 17.0%
Government National Mortgage
Association,
GNMA #39238, 9.50% - 2009.... 97,484 100,975
GNMA #305617, 9.00% - 2021... 127,297 131,147
GNMA #301465, 9.00% - 2021... 111,050 114,415
GNMA #313107, 7.00% - 2022... 1,178,994 1,160,838
GNMA #352022, 7.00% - 2023... 1,239,671 1,205,580
GNMA #369303, 7.00% - 2023... 1,270,271 1,248,588
GNMA #780454, 7.00% - 2026... 1,908,418 1,857,120
GNMA #462680, 7.00% - 2028... 2,165,503 2,112,578
GNMA #482668, 7.00% - 2028... 948,469 925,108
GNMA #781079, 7.50% - 2029... 966,800 960,593
GNMA #510704, 7.50% - 2029... 1,182,496 1,174,076
GNMA #494109, 7.50% - 2029... 693,117 688,210
GNMA #518436, 7.25% - 2029... 992,303 975,018
GNMA #479229, 8.00% - 2030... 997,781 1,008,377
GNMA #479232, 8.00% - 2033... 1,985,987 2,007,058
GNMA #508342, 8.00% - 2030... 1,998,410 2,019,633
GNMA II #181907, 9.50% -
2020....................... 161,634 165,428
GNMA II #2445,
8.00% - 2027............... 906,292 910,805
GNMA II #2909,
8.00% - 2030............... 1,495,972 1,503,916
--------------
20,269,463
</TABLE>
<TABLE>
<CAPTION>
MORTGAGE BACKED SECURITIES PRINCIPAL MARKET
(CONTINUED) AMOUNT VALUE
-------------------------------------------------------------
<S> <C> <C>
NON-AGENCY SECURITIES - 1.8%
Chase Commercial Mortgage
Securities Corporation,
1998-1B, 6.56% - 2008 CMO.... $ 500,000 $ 470,080
Chase Commercial Mortgage
Securities Corporation,
1997-1B, 7.37% - 2007 CMO.... 1,500,000 1,484,357
Global Rate Eligible Asset
Trust, 7.33% - 2006.......... 853,678 187,809
--------------
2,142,246
--------------
Total mortgage backed securities -45.1%... 53,653,757
<CAPTION>
U.S. GOVERNMENT SECURITIES
--------------------------
<S> <C> <C>
U.S. GOVERNMENT SECURITIES - 17.9%
U.S. Treasury Bonds,
6.50% - 2002................. 2,000,000 2,000,620
6.25% - 2023................. 2,500,000 2,515,625
6.50% - 2026................. 1,000,000 1,043,120
6.125% - 2029................ 2,500,000 2,527,175
U.S. Treasury Notes,
6.375% - 2002................ 500,000 499,375
6.50% - 2002................. 2,000,000 2,001,240
6.25% - 2003................. 2,000,000 1,994,360
7.25% - 2004................. 1,000,000 1,033,430
6.50% - 2005................. 2,000,000 2,021,240
6.25% - 2007................. 1,000,000 1,000,930
5.25% - 2029................. 1,000,000 887,180
Tennessee Valley Authority
6.00% - 2013................. 1,000,000 898,750
U.S. Department of Housing and
Urban Development, 6.93% -
2013......................... 3,000,000 2,845,596
--------------
Total government securities - 17.9%....... 21,268,641
--------------
Total investments - 94.5%................. 112,290,324
Cash and other assets, less
liabilities - 5.5%...................... 6,535,989
--------------
Total net assets - 100.0%................. $ 118,826,313
==============
</TABLE>
See accompanying notes.
--------------------------------------------------------------------------------
73
<PAGE> 75
SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
SERIES N (MANAGED ASSET ALLOCATION)
PRINCIPAL MARKET
CORPORATE BONDS AMOUNT VALUE
-------------------------------------------------------------
<S> <C> <C>
AEROSPACE/DEFENSE - 0.2%
Raytheon Company,
6.50% - 2005................. $ 250,000 $ 236,875
AUTOMOTIVE - 0.1%
Lear Corporation,
7.96% - 2005................. 50,000 47,000
Venture Holdings Trust,
11.00% - 2007................ 50,000 38,500
--------------
85,500
BANKING - 0.9%
Bankers Trust - NY,
7.25% - 2003................. 100,000 99,000
Capital One Bank Series BKNT,
8.25% - 2005................. 150,000 149,625
National Australia Bank,
8.60% - 2010................. 125,000 130,937
State Street Corporation,
7.65% - 2010................. 135,000 134,325
Washington Mutual, Inc.,
8.25% - 2010................. 200,000 197,250
Wells Fargo and Company,
7.20% - 2003................. 150,000 149,437
--------------
860,574
BASIC INDUSTRY - OTHER - 0.1%
Westinghouse Air Brake,
9.375% - 2005................ 75,000 72,375
BROKERAGE - 0.2%
Morgan Stanley Dean Witter
Group, 5.625% - 2004......... 200,000 187,750
BUILDING MATERIALS - 0.2%
ABC Supply Company (Series B),
10.625% - 2007............... 100,000 82,250
Associated Materials, Inc.,
9.25% - 2008................. 50,000 46,750
Lennar Corporation,
9.95% - 2010................. 50,000 49,250
--------------
178,250
CAPITAL GOODS - OTHER - 0.1%
International Wire Group,
11.75% - 2005................ 100,000 100,500
CONSUMER NONCYCLICAL - OTHER - 0.0%
Coinmach Corporation (Series
D), 11.75% - 2005............ 50,000 48,000
CONSUMER PRODUCTS - 0.2%
Chattem, Inc., 12.75% - 2004... 50,000 50,500
Doane Pet Care Company, 9.75% -
2007......................... 86,000 73,530
Holmes Products Corporation,
9.875% - 2007................ 50,000 35,000
--------------
159,030
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL MARKET
CORPORATE BONDS (CONTINUED) AMOUNT VALUE
-------------------------------------------------------------
<S> <C> <C>
DISTRIBUTORS - 0.0%
L-3 Communications Corporation,
10.375% - 2007............... $ 50,000 $ 50,875
ELECTRIC UTILITY - 0.8%
Entergy Louisiana, Inc.,
6.50% - 2008................. 500,000 460,625
Midwest Power System, 7.125% -
2003......................... 140,000 139,125
Orion Power Holdings, Inc.,
12.00% - 2010................ 75,000 77,625
Southern California Edison,
6.50% - 2001................. 50,000 49,813
--------------
727,188
ENERGY - OTHER - 0.2%
Universal Compression, 0.00% -
2008......................... 250,000 180,000
ENTERTAINMENT - 0.5%
Bally Total Fitness Holding,
9.875% - 2007................ 150,000 135,750
Cinemark USA, Inc. (Series B),
8.50% - 2008................. 50,000 25,000
Premier Parks, Inc.,
9.75% - 2007................. 100,000 96,625
Six Flags Entertainment,
8.875% - 2006................ 50,000 47,750
Speedway Motorsports, Inc.,
8.50% - 2007................. 150,000 139,500
Time Warner Entertainment,
7.25% - 2008................. 100,000 96,625
--------------
541,250
FINANCIAL INSTITUTIONS - 0.6%
Intertek Finance plc, 10.25% -
2006......................... 50,000 41,000
Lehman Brothers, Inc., 7.25% -
2003......................... 350,000 345,188
Penske Truck Leasing, 6.65% -
2000......................... 100,000 99,875
Salomon, Inc., 6.75% - 2003.... 100,000 98,375
--------------
584,438
</TABLE>
See accompanying notes.
--------------------------------------------------------------------------------
74
<PAGE> 76
SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
SERIES N (MANAGED ASSET ALLOCATION)
(CONTINUED)
PRINCIPAL MARKET
CORPORATE BONDS (CONTINUED) AMOUNT VALUE
-------------------------------------------------------------
<S> <C> <C>
FINANCIAL - OTHER - 0.1%
Herff Jones, Inc. (Series B),
11.00% - 2005................ $ 50,000 $ 52,000
FOOD - 0.5%
B&G Foods, Inc.,
9.625% - 2007................ 25,000 17,500
Foodmaker Corporation 1993A,
9.75% - 2003................. 30,000 30,000
International Home Foods,
10.375% - 2006............... 50,000 53,500
Kroger Company, 8.05% - 2010... 200,000 198,750
McDonald's Corporation,
6.625% - 2005................ 50,000 48,688
Price/Costco, Inc.,
7.125% - 2005................ 100,000 98,250
--------------
446,688
GAMING - 0.5%
Argosy Gaming Company,
10.75% - 2009................ 25,000 25,844
Harrahs Operating, Inc.,
7.875% - 2005................ 100,000 94,000
International Game Technology,
8.375% - 2009................ 150,000 141,750
Isle of Capri Casinos, 8.75% -
2009......................... 25,000 23,125
Mohegan Tribal Gaming, 8.125% -
2006......................... 150,000 142,500
Station Casinos, Inc.,
10.125% - 2006............... 75,000 75,938
--------------
503,157
HEALTHCARE - 0.4%
Dade International, Inc.,
11.125% - 2006............... 25,000 11,750
Lifepoint Hospitals Holdings,
10.75% - 2009................ 150,000 154,500
Owens & Minor, Inc., 10.875% -
2006......................... 25,000 25,625
Quest Diagnostic, Inc.,
10.75% - 2006................ 25,000 25,875
Tenet Healthcare Corporation,
8.00% - 2005................. 150,000 144,000
--------------
361,750
INSURANCE - 0.1%
New York Life Insurance,
7.50% - 2023................. 100,000 88,000
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL MARKET
CORPORATE BONDS (CONTINUED) AMOUNT VALUE
-------------------------------------------------------------
<S> <C> <C>
LIFE - 0.3%
AIG Sumamerica Global Financing
II, 7.60% - 2005............. $ 250,000 $ 252,188
LODGING - 0.1%
Courtyard by Marriott, 10.75% -
2008......................... 100,000 97,750
MEDIA - CABLE - 1.1%
Adelphia Communications,
9.875% - 2005................ 125,000 121,563
Charter Communications Holdings
LLC, 8.25% - 2007............ 150,000 132,375
Classic Cable, Inc.,
9.375% - 2009................ 150,000 130,875
Comcast Cable Communications,
8.125% - 2004................ 100,000 101,500
Frontiervision,
11.00% - 2006................ 100,000 101,000
Mediacom LLC/Capital
Corporation, 7.875% - 2011... 150,000 131,250
NTL, Inc.,
0.00% - 2006(5).............. 100,000 62,500
0.00% - 2008(5).............. 150,000 138,375
Northland Cable Television,
10.25% - 2007................ 100,000 83,000
Pegasus Communications,
9.625% - 2005................ 75,000 72,375
--------------
1,074,813
MEDIA - NONCABLE - 0.6%
Chancellor Media Corporation,
8.00% - 2008................. 50,000 50,312
Clear Channel Communications,
7.875% - 2005................ 200,000 201,000
Hollinger International
Publishing, 9.25% - 2007..... 50,000 49,250
Sinclair Broadcast Group, 8.75%
- 2007....................... 75,000 66,000
Spanish Broadcasting Group,
9.625% - 2009................ 75,000 74,625
Sun Media Corporation, 9.50% -
2007......................... 32,000 31,040
Yankeesnets LLC/Yankeesnets
Capital, Inc.,
12.75% - 2007................ 50,000 48,000
--------------
520,227
</TABLE>
See accompanying notes.
--------------------------------------------------------------------------------
75
<PAGE> 77
SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
SERIES N (MANAGED ASSET ALLOCATION)
(CONTINUED)
PRINCIPAL MARKET
CORPORATE BONDS (CONTINUED) AMOUNT VALUE
-------------------------------------------------------------
<S> <C> <C>
METALS - 0.1%
Bethlehem Steel,
10.375% - 2003............... $ 50,000 $ 49,500
Freeport McMoran Resources,
7.00% - 2008................. 50,000 45,125
--------------
94,625
NATURAL GAS - 0.2%
Energy Corporation of America,
9.50% - 2007................. 100,000 64,000
Nuevo Energy Company, 9.50% -
2008......................... 148,500 146,644
--------------
210,644
NONCAPTIVE - CONSUMER - 0.1%
Household Financing
Corporation, 8.00% - 2005.... 100,000 100,750
OIL FIELD SERVICES - 0.1%
Ocean Energy, Inc.,
8.375% - 2008................ 75,000 72,750
Pride Petroleum Services, Inc.,
9.375% - 2007................ 50,000 49,875
--------------
122,625
PACKAGING - 0.3%
Bway Corporation (Series B),
10.25% - 2007................ 50,000 48,000
Consolidated Container,
10.125% - 2009............... 75,000 74,250
Container Corporation of
America, 10.75% - 2002....... 100,000 100,875
US Can Corporation, 10.125% -
2006......................... 50,000 51,250
--------------
274,375
PAPER - 0.8%
International Paper Company,
6.875% - 2029................ 500,000 418,125
Packaging Corporation of
America, 9.625% - 2009....... 150,000 148,875
Repap New Brunswick, 11.50% -
2004......................... 50,000 50,250
Riverwood International,
10.25% - 2006................ 150,000 144,000
--------------
761,250
RAILROADS - 0.2%
Norfolk Southern Corporation,
8.625% - 2010................ 150,000 156,562
SERVICES - 0.0%
Dyncorp, Inc., 9.50% - 2007.... 25,000 19,000
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL MARKET
CORPORATE BONDS (CONTINUED) AMOUNT VALUE
-------------------------------------------------------------
<S> <C> <C>
SUPERMARKETS - 0.0%
Jitney-Jungle Stores,
0.00% - 2006(5).............. $ 75,000 $ 11,250
TECHNOLOGY - 0.2%
Amkor Technologies, Inc.,
9.25% - 2006................. 75,000 73,967
Communications & Power
Industry, 12.00% - 2005...... 100,000 70,250
Psinet, Inc., 10.00% - 2005.... 25,000 23,000
--------------
167,217
TELECOMMUNICATIONS - 3.0%
AT&T Corporation,
6.50% - 2029................. 500,000 418,750
Dobson Communications,
10.875% - 2010............... 75,000 75,375
Focal Communications, 11.875% -
2010......................... 75,000 75,375
Global Crossing Holdings Ltd.,
9.50% - 2009................. 100,000 96,500
Intermedia Communications,
Inc., 0.00% - 2007(5)........ 100,000 78,500
Lucent Technologies, Inc.,
6.90% - 2001................. 100,000 100,250
McLeodUSA, Inc.,
0.00% - 2007(5).............. 50,000 41,000
Metromedia Fiber Network,
10.00% - 2008................ 150,000 147,750
Nextel Communications, 0.00% -
2007(5)...................... 200,000 148,500
Nextlink Communications,
0.00% - 2009(5).............. 125,000 76,875
Orange plc, 9.00% - 2009....... 100,000 102,000
Price Communications Wireless,
9.125% - 2006................ 100,000 101,000
Qwest Communications
International,
0.00% - 2007(5).............. 50,000 42,000
7.50% - 2008................. 50,000 48,500
Sprint Capital Corporation,
6.125% - 2008................ 500,000 445,625
Triton PCS, Inc.,
0.00% - 2008(5).............. 200,000 145,000
Voicestream Wireless
Corporation,
10.375% - 2009............... 150,000 154,500
Williams Communication,
10.875% - 2009............... 25,000 24,437
WorldCom, Inc., 7.75% - 2007... 500,000 500,000
--------------
2,821,937
</TABLE>
See accompanying notes.
--------------------------------------------------------------------------------
76
<PAGE> 78
SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
SERIES N (MANAGED ASSET ALLOCATION)
(CONTINUED)
PRINCIPAL
AMOUNT OR
NUMBER MARKET
CORPORATE BONDS (CONTINUED) OF SHARES VALUE
-------------------------------------------------------------
<S> <C> <C>
TEXTILE - 0.1%
Dan River, Inc.,
10.125% - 2003............... $ 50,000 $ 48,500
WestPoint Stevens, Inc.,
7.875% - 2005................ $ 50,000 41,750
--------------
90,250
TRANSPORTATION - 0.1%
Exodus Communications, 10.75% -
2009......................... $ 75,000 72,375
TRANSPORTATION - OTHER - 0.2%
Allied Holdings, Inc., 8.625% -
2007......................... $ 75,000 66,469
Avis Rent A Car, Inc., 11.00% -
2009......................... $ 100,000 104,250
--------------
170,719
YANKEE - CANADIAN - 0.2%
Rogers Cantel, Inc.,
9.375% - 2008................ $ 75,000 77,250
9.75% - 2016................. $ 100,000 107,750
--------------
185,000
--------------
Total corporate bonds - 13.4%............. 12,667,757
COMMON STOCKS
--------------------------------------------
AEROSPACE/DEFENSE - 0.2%
Boeing Company................. 2,314 96,754
Lockheed Martin Corporation.... 2,000 49,625
Northrop Grumman Corporation... 500 33,125
Precision Castparts
Corporation.................. 400 18,100
Primex Technologies, Inc....... 200 4,400
Sequa Corporation*............. 300 11,456
--------------
213,460
AGRICULTURAL PRODUCTS - 0.0%
Archer-Daniels Midland
Company...................... 1,847 18,124
Universal Corporation.......... 500 10,562
--------------
28,686
AIR FREIGHT - 0.0%
Alexander & Baldwin, Inc....... 700 15,444
CNF Transportation, Inc........ 600 13,650
--------------
29,094
AIRLINES - 0.1%
AMR Corporation*............... 600 15,863
Alaska Air Group, Inc.*........ 700 18,987
Delta Air Lines, Inc........... 500 25,281
Southwest Airlines Company..... 1,600 30,300
--------------
90,431
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
-------------------------------------------------------------
<S> <C> <C>
ALUMINUM - 0.1%
Alcoa, Inc..................... 2,600 $ 75,400
AUTO PARTS & EQUIPMENT - 0.2%
Arvin Industries, Inc.......... 500 8,688
Dana Corporation............... 1,343 28,454
Delphi Automotive Systems
Corporation.................. 2,026 29,504
Federal-Mogul Corporation...... 700 6,694
Genuine Parts Company.......... 650 13,000
Goodyear Tire & Rubber
Company...................... 900 18,000
Lear Corporation*.............. 1,000 20,000
Mark IV Industries, Inc........ 1,200 25,050
Modine Manufacturing Company... 300 8,100
Superior Industries
International................ 700 18,025
TRW, Inc....................... 400 17,350
Visteon Corporation*........... 419 5,080
--------------
197,945
AUTOMOBILES - 0.3%
Ford Motor Company............. 3,200 137,600
General Motors Corporation..... 1,700 98,706
--------------
236,306
BANKS - MAJOR REGIONAL - 1.4%
BB&T Corporation............... 1,000 23,875
Bank of New York Company,
Inc. ........................ 2,400 111,600
Bank One Corporation........... 3,004 79,794
CCB Financial Corporation...... 500 18,500
City National Corporation...... 500 17,750
Comerica, Inc. ................ 750 33,656
Compass Bancshares, Inc. ...... 1,200 20,475
Fifth Third Bancorp............ 1,025 64,831
First Security Corporation..... 2,200 29,838
First Tennessee National
Corporation.................. 1,400 23,187
First Virginia Banks, Inc...... 500 17,406
Firstar Corporation............ 3,491 73,529
FleetBoston Financial
Corporation.................. 2,421 82,314
Hibernia Corporation........... 1,500 16,313
</TABLE>
See accompanying notes.
--------------------------------------------------------------------------------
77
<PAGE> 79
SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
SERIES N (MANAGED ASSET ALLOCATION)
(CONTINUED)
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
-------------------------------------------------------------
<S> <C> <C>
BANKS - MAJOR REGIONAL (CONTINUED)
Huntington Bancshares, Inc..... 967 $ 15,291
KeyCorp........................ 1,500 26,437
Marshall & Ilsley
Corporation.................. 1,300 53,950
Mellon Financial Corporation... 1,600 58,300
Mercantile Bankshares
Corporation.................. 900 26,831
National City Corporation...... 1,400 23,888
North Fork Bancorporation,
Inc.......................... 1,200 18,150
Northern Trust Corporation..... 700 45,544
Pacific Century Financial
Corporation.................. 1,000 14,625
Regions Financial
Corporation.................. 1,000 19,875
Silicon Valley Bancshares*..... 800 34,100
State Street Corporation....... 500 53,031
Summit Bancorp................. 500 12,312
SunTrust Banks, Inc............ 900 41,119
TCF Financial Corporation...... 1,300 33,394
U.S. Bancorp................... 1,931 37,172
Union Planters Corporation..... 900 25,144
Wells Fargo Company............ 4,300 166,625
Wilmington Trust Corporation... 500 21,375
Zions Bancorporation........... 700 32,123
--------------
1,372,354
BANKS - MONEY CENTER - 0.5%
Bank of America Corporation.... 5,055 217,365
Chase Manhattan Corporation.... 3,186 146,755
First Union Corporation........ 2,558 63,470
J.P. Morgan & Company, Inc. ... 500 55,063
--------------
482,653
BEVERAGES - ALCOHOLIC - 0.1%
Anheuser-Busch Companies,
Inc. ........................ 1,200 89,625
BEVERAGES - SOFT DRINK - 0.7%
Coca-Cola Company.............. 6,800 390,575
Coca-Cola Enterprises, Inc..... 1,400 22,837
PepsiCo, Inc. ................. 4,700 208,856
Whitman Corporation............ 1,300 16,088
--------------
638,356
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
-------------------------------------------------------------
<S> <C> <C>
BIOTECHNOLOGY - 0.5%
Amgen, Inc.*................... 2,700 $ 189,675
Biogen, Inc.*.................. 600 38,700
Chiron Corporation*............ 2,000 95,000
Genzyme Corporation*........... 600 35,663
Genzyme Molecular Oncology*.... 100 1,387
Gilead Sciences, Inc.*......... 500 35,563
Medimmune, Inc.*............... 1,800 133,200
--------------
529,188
BROADCAST MEDIA - 0.5%
Chris-Craft Industries,
Inc.*........................ 412 27,218
Clear Channel Communications,
Inc.*........................ 900 67,500
Comcast Corporation*........... 2,400 97,200
Cox Communications, Inc.*...... 600 27,337
Hispanic Broadcasting
Corporation*................. 1,000 33,125
MediaOne Group, Inc.*.......... 1,900 125,996
Univision Communications,
Inc.*........................ 900 93,150
--------------
471,526
BUILDING MATERIALS - 0.0%
Armstrong Holdings, Inc........ 300 4,594
Masco Corporation.............. 1,400 25,287
USG Corporation................ 500 15,188
--------------
45,069
CHEMICALS - BASIC - 0.3%
Air Products and Chemicals,
Inc.......................... 1,200 36,975
Cabot Corporation.............. 1,100 29,975
Dow Chemical Company........... 2,400 72,450
E.I. du Pont de Nemours &
Company...................... 2,951 129,106
IMC Global, Inc................ 1,600 20,800
Solutia, Inc................... 2,780 38,225
--------------
327,531
CHEMICALS - DIVERSIFIED - 0.1%
FMC Corporation*............... 600 34,800
Olin Corporation............... 1,000 16,500
--------------
51,300
</TABLE>
See accompanying notes.
--------------------------------------------------------------------------------
78
<PAGE> 80
SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
SERIES N (MANAGED ASSET ALLOCATION)
(CONTINUED)
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
-------------------------------------------------------------
<S> <C> <C>
CHEMICALS - SPECIALTY - 0.1%
Arch Chemicals, Inc............ 300 $ 6,562
Crompton Corporation........... 2,500 30,625
Dexter Corporation............. 400 19,200
Great Lakes Chemical Company... 700 22,050
Hanna (M.A.) Company........... 900 8,100
International Flavors &
Fragrances, Inc.............. 500 15,094
Lubrizol Corporation........... 800 16,800
Omnova Solutions, Inc.......... 800 5,000
Schulman (A.), Inc............. 800 9,650
--------------
133,081
COMMUNICATION EQUIPMENT - 1.9%
Corning, Inc................... 800 215,900
General Motors Corporation (Cl.
H)*.......................... 106 9,302
Lucent Technologies, Inc....... 9,894 586,219
Motorola, Inc.................. 6,000 174,375
Nortel Networks Corporation.... 10,580 722,085
Tellabs, Inc.*................. 1,400 95,813
--------------
1,803,694
COMPUTER HARDWARE - 2.0%
Compaq Computer Corporation.... 5,456 139,469
Dell Computer Corporation*..... 8,000 394,500
Hewlett-Packard Company........ 2,700 337,162
International Business Machines
Corporation.................. 5,600 613,550
NCR Corporation*............... 600 23,363
Sun Microsystems, Inc.*........ 4,400 400,125
--------------
1,908,169
COMPUTER SOFTWARE/SERVICES - 3.4%
Adobe Systems, Inc............. 400 52,000
America Online, Inc.*.......... 7,600 400,900
Aztec Technology Partners,
Inc.*........................ 100 219
BMC Software, Inc.*............ 800 29,188
Cadence Design Systems,
Inc.*........................ 2,500 50,937
Computer Associates
International, Inc........... 1,700 87,019
Compuware Corporation*......... 1,100 11,412
Electronic Arts, Inc.*......... 800 58,350
Informix Corporation*.......... 2,000 14,875
Intuit, Inc.*.................. 2,100 86,888
Legato Systems, Inc.*.......... 800 12,100
Microsoft Corporation*......... 14,000 1,120,000
Network Associates, Inc.*...... 1,700 34,637
Novell, Inc.*.................. 1,300 12,025
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
-------------------------------------------------------------
<S> <C> <C>
COMPUTER SOFTWARE/SERVICES (CONTINUED)
Oracle Corporation*............ 8,750 $ 735,547
Parametric Technology
Company*..................... 900 9,900
Seibel Systems, Inc.*.......... 2,100 343,481
Structural Dynamics Research
Corporation*................. 700 10,544
Symantec Corporation*.......... 900 48,544
Symbol Technologies, Inc....... 1,200 66,825
Synopsys, Inc.*................ 600 20,737
--------------
3,206,128
COMPUTERS - NETWORKING - 1.3%
3COM Corporation*.............. 1,000 57,625
Cisco Systems, Inc.*........... 18,800 1,190,275
--------------
1,247,900
COMPUTERS - PERIPHERALS - 0.5%
EMC Corporation*............... 5,400 415,462
Quantum Corporation - DLT &
Storage Systems*............. 1,700 16,469
Quantum Corporation - Hard Disk
Drive*....................... 700 7,744
Seagate Technology, Inc.*...... 1,000 55,000
Storage Technology
Corporation*................. 1,000 10,938
--------------
505,613
CONSTRUCTION - CEMENT - 0.0%
Martin Marietta Materials,
Inc.......................... 800 32,350
CONSUMER FINANCE - 0.1%
Capital One Financial
Corporation.................. 600 26,775
Household International,
Inc.......................... 1,300 54,031
MBNA Corporation............... 2,400 65,100
--------------
145,906
CONSUMER - JEWEL/GIFT - 0.0%
Cross (A.T.) Company*.......... 400 1,975
Lancaster Colony............... 400 7,675
--------------
9,650
CONTAINER - METAL/GLASS - 0.0%
Owens - Illinois, Inc.*........ 1,000 11,688
CONTAINERS & PACKAGING - 0.0%
Bemis Company, Inc............. 800 26,900
Sonoco Products Company........ 1,000 20,562
--------------
47,462
DISTRIBUTION - FOOD & HEALTH - 0.0%
Bergen Brunswig Corporation.... 1,000 5,500
</TABLE>
See accompanying notes.
--------------------------------------------------------------------------------
79
<PAGE> 81
SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
SERIES N (MANAGED ASSET ALLOCATION)
(CONTINUED)
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
-------------------------------------------------------------
<S> <C> <C>
ELECTRIC COMPANIES - 1.1%
Allegheny Energy, Inc.......... 1,400 $ 38,325
American Electric Power
Company, Inc................. 900 26,663
American Water Works Company,
Inc.......................... 900 22,500
Consolidated Edison, Inc....... 1,000 29,625
Constellation Energy Group..... 1,000 32,562
DPL, Inc....................... 1,500 32,906
Dominion Resources, Inc........ 295 12,648
Duke Energy Corporation........ 1,200 67,650
Dynegy, Inc.................... 1,000 68,312
Edison International........... 1,100 22,550
Energy East Corporation........ 1,800 34,312
Entergy Corporation............ 1,000 27,187
FPL Group, Inc................. 500 24,750
FirstEnergy Corporation........ 800 18,700
IDACORP, Inc................... 700 22,575
IPALCO Enterprises, Inc........ 1,300 26,162
Kansas City Power & Light
Company...................... 1,100 24,750
LG & E Energy Corporation...... 1,500 35,813
Niagra Mohawk Holdings,
Inc.*........................ 2,200 30,662
NiSource, Inc.................. 1,200 22,350
OGE Energy Corporation......... 800 14,800
PECO Energy Company............ 700 28,219
PG & E Corporation............. 1,100 27,088
Potomac Electric Power
Company...................... 1,300 32,500
Public Service Company of New
Mexico....................... 500 7,719
Public Service Enterprise
Group, Inc................... 900 31,162
Reliant Energy, Inc............ 1,000 29,563
SCANA Corporation.............. 631 15,223
Sierra Pacific Resources....... 1,100 13,819
Southern Company............... 2,000 46,625
TECO Energy, Inc............... 1,600 32,100
TXU Corporation................ 1,100 33,069
Unicom Corporation............. 900 34,819
UtiliCorp United, Inc.......... 900 17,887
Wisconsin Energy Corporation... 1,400 27,738
--------------
1,013,333
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
-------------------------------------------------------------
<S> <C> <C>
ELECTRICAL EQUIPMENT - 1.8%
American Power Conversion
Corporation*................. 2,400 $ 97,950
Emerson Electric Company....... 1,400 84,525
General Electric Company....... 26,000 1,378,000
Hubbell, Inc. (Cl. B).......... 700 17,850
Rockwell International
Corporation.................. 700 22,050
SCI Systems, Inc.*............. 1,200 47,025
--------------
1,647,400
ELECTRONICS - DEFENSE - 0.0%
Litton Industries, Inc.*....... 500 21,000
Raytheon Company (Cl. B)....... 679 13,071
--------------
34,071
ELECTRONICS - DISTRIBUTION - 0.1%
Arrow Electronics, Inc.*....... 1,500 46,500
ELECTRONICS - INSTRUMENTATION - 0.2%
Agilent Technologies, Inc.*.... 1,029 75,889
Waters Corporation*............ 600 74,887
--------------
150,776
ELECTRONICS - SEMICONDUCTORS - 2.6%
Altera Corporation*............ 2,200 224,262
Analog Devices, Inc.*.......... 1,334 101,384
Atmel Corporation*............. 2,500 92,188
Intel Corporation.............. 9,500 1,270,031
Linear Technology
Corporation.................. 3,200 204,600
Micron Technology, Inc.*....... 1,600 140,900
Texas Instruments, Inc. ....... 4,400 302,225
Xilinx, Inc.*.................. 1,400 115,587
--------------
2,451,177
ENGINEERING & CONSTRUCTION - 0.0%
Granite Construction, Inc. .... 700 17,150
Jacobs Engineering Group,
Inc.*........................ 600 19,613
--------------
36,763
ENTERTAINMENT - 0.9%
Seagram Company, Ltd. ......... 1,300 75,400
Time Warner, Inc. ............. 3,600 273,600
Viacom, Inc. (Cl. B)*.......... 4,087 278,682
Walt Disney Company............ 5,742 222,862
--------------
850,544
</TABLE>
See accompanying notes.
--------------------------------------------------------------------------------
80
<PAGE> 82
SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
SERIES N (MANAGED ASSET ALLOCATION)
(CONTINUED)
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
-------------------------------------------------------------
<S> <C> <C>
EQUIPMENT - SEMICONDUCTORS - 0.3%
Applied Materials, Inc.*....... 2,800 $ 253,750
Varian Semiconductor Equipment
Associates, Inc.*............ 500 31,406
--------------
285,156
FINANCIAL DIVERSE - 1.5%
Amabac Financial Group,
Inc. ........................ 600 32,888
American Express Company....... 3,600 187,650
Associates First Capital
Corporation.................. 1,928 43,018
Berkshire Hathaway, Inc. (Cl.
B)*.......................... 40 70,400
Citigroup, Inc. ............... 9,570 576,593
Fannie Mae..................... 3,100 161,781
FINOVA Group, Inc. ............ 700 9,100
Freddie Mac.................... 2,300 93,150
Morgan Stanley Dean Witter &
Company...................... 3,260 271,395
--------------
1,445,975
FOODS - 0.7%
BestFoods...................... 800 55,400
Campbell Soup Company.......... 1,200 34,950
ConAgra, Inc. ................. 1,400 26,688
Dean Foods Company............. 400 12,675
Dole Foods, Inc. .............. 800 13,100
Flowers Industries, Inc. ...... 800 15,950
General Mills, Inc. ........... 1,200 45,900
Heinz (H.J.) Company........... 1,400 61,250
Hershey Foods Corporation...... 600 29,212
Hormel Foods Corporation....... 1,600 26,900
IBP, Inc....................... 1,200 18,525
Interstate Bakeries............ 800 11,200
Kellogg Company................ 1,100 32,725
Lance, Inc..................... 900 8,100
McCormick & Company, Inc....... 1,100 35,750
Ralston-Ralston Purina Group... 1,100 21,931
Sara Lee Corporation........... 2,600 50,213
Smucker (J.M.) Company......... 400 7,700
Tyson Foods, Inc............... 2,000 17,500
Unilever N.V................... 2,985 128,355
Universal Foods Corporation.... 1,000 18,500
Wrigley (Wm.), Jr. Company..... 400 32,075
--------------
704,599
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
-------------------------------------------------------------
<S> <C> <C>
FOOTWEAR - 0.0%
Nike, Inc. (Cl. B)............. 1,000 $ 39,813
GAMING & LOTTERY - 0.1%
International Game
Technology*.................. 1,600 42,400
Mandalay Resort Group*......... 1,300 26,000
--------------
68,400
GOLD & PRECIOUS METALS MINING - 0.1%
Barrick Gold Corporation....... 2,400 43,650
Placer Dome, Inc............... 2,000 19,125
--------------
62,775
HARDWARE & TOOLS - 0.0%
Black & Decker Corporation..... 500 19,656
HEALTH CARE - DIVERSE - 1.3%
Abbott Laboratories............ 4,000 178,250
American Home Products
Corporation.................. 4,000 235,000
Bristol-Myers Squibb Company... 5,200 302,900
Gentiva Health Services,
Inc.*........................ 125 1,016
IVAX Corporation*.............. 3,000 124,500
Johnson & Johnson.............. 3,700 376,937
--------------
1,218,603
HEALTH CARE - MANAGED CARE - 0.2%
Aetna, Inc..................... 644 41,336
Foundation Health Systems,
Inc.*........................ 1,700 22,100
Oxford Health Plans, Inc.*..... 300 7,144
PacifiCare Health Systems,
Inc.*........................ 500 30,094
UnitedHealthcare Corporation... 700 60,025
--------------
160,699
HEALTH CARE - PHARMACEUTICALS
- GENERIC - 0.1%
ICN Pharmaceuticals, Inc....... 700 19,469
Mylan Laboratories, Inc........ 1,400 25,550
--------------
45,019
HEALTH CARE - PHARMACEUTICALS
- MAJOR - 2.3%
Eli Lilly & Company............ 3,300 329,588
Forest Laboratories, Inc.*..... 900 90,900
Merck & Company, Inc........... 6,200 475,075
Pfizer, Inc.................... 17,675 848,400
Pharmacia Corporation.......... 3,842 198,583
Schering-Plough Corporation.... 3,900 196,950
--------------
2,139,496
</TABLE>
See accompanying notes.
--------------------------------------------------------------------------------
81
<PAGE> 83
SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
SERIES N (MANAGED ASSET ALLOCATION)
(CONTINUED)
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
-------------------------------------------------------------
<S> <C> <C>
HEALTH CARE - SPECIALIZED
SERVICES - 0.1%
Apria Healthcare Group, Inc.... 2,000 $ 24,500
HEALTHSOUTH Corporation*....... 1,700 12,219
Omnicare, Inc.................. 1,000 9,062
Total Renal Care Holdings,
Inc.*........................ 700 4,200
--------------
49,981
HOMEBUILDING - 0.0%
Clayton Homes, Inc............. 1,700 13,600
HOSPITAL MANAGEMENT - 0.1%
HCA - The Healthcare Company... 1,700 51,637
Health Management Association,
Inc.*........................ 3,200 41,800
Quorum Health Group, Inc.*..... 1,000 10,313
Tenet Healthcare
Corporation*................. 1,000 27,000
--------------
130,750
HOUSEHOLD PRODUCTS - 0.5%
Church & Dwight Company,
Inc.......................... 500 9,000
Clorox Company................. 700 31,369
Colgate-Palmolive Company...... 1,600 95,800
Dial Corporation............... 1,000 10,375
Energizer Holdings, Inc.*...... 366 6,679
Fort James Corporation......... 1,100 25,438
Kimberly-Clark Corporation..... 1,900 109,012
Procter & Gamble Company....... 3,500 200,375
--------------
488,048
HOUSEWARES - 0.0%
Fortune Brands, Inc............ 600 13,838
National Presto Industries,
Inc.......................... 200 6,150
--------------
19,988
INSURANCE - BROKERS - 0.1%
Marsh & McLennan Companies,
Inc.......................... 800 83,550
INSURANCE - LIFE/HEALTH - 0.2%
American General Corporation... 800 48,800
Conseco, Inc................... 1,049 10,228
Lincoln National Corporation... 700 25,287
ReliaStar Financial
Corporation.................. 800 41,950
Torchmark Corporation.......... 800 19,750
UnumProvident Corporation...... 1,338 26,844
--------------
172,859
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
-------------------------------------------------------------
<S> <C> <C>
INSURANCE - MULTILINE - 0.7%
American International Group,
Inc.......................... 4,117 $ 483,748
CIGNA Corporation.............. 700 65,450
Hartford Financial Services
Group, Inc................... 800 44,750
Loews Corporation.............. 800 48,000
--------------
641,948
INSURANCE - PROPERTY & CASUALTY - 0.3%
Allmerica Financial
Corporation.................. 600 31,425
Allstate Corporation........... 2,200 48,950
American Financial Group,
Inc. ........................ 900 22,331
Chubb Corporation.............. 600 36,900
HSB Group, Inc................. 400 12,450
MGIC Investment Corporation.... 600 27,300
Old Republic International
Corporation.................. 2,000 33,000
Progressive Corporation Ohio... 400 29,600
Selective Insurance Group...... 800 15,200
Transatlantic Holdings, Inc.... 300 25,125
Unitrin, Inc................... 800 23,500
--------------
305,781
INVESTMENT BANK/BROKERAGE - 0.4%
Bear Stearns Companies,
Inc. ........................ 376 15,651
E*TRADE Group, Inc.*........... 2,400 39,600
Edwards (A.G.), Inc. .......... 900 35,100
Merrill Lynch & Company,
Inc. ........................ 1,100 126,500
Schwab (Charles) Corporation... 3,825 128,616
--------------
345,467
INVESTMENT MANAGEMENT - 0.0%
Franklin Resources, Inc. ...... 900 27,338
IRON & STEEL - 0.1%
Brush Engineered Material,
Inc. ........................ 600 9,375
Carpenter Technology
Corporation.................. 600 12,675
Kennametal, Inc. .............. 300 6,431
Nucor Corporation.............. 900 29,869
--------------
58,350
LEISURE TIME PRODUCTS - 0.2%
Brunswick Corporation.......... 1,000 16,562
Callaway Golf Company.......... 600 9,787
Harley-Davidson, Inc........... 3,200 123,200
Mattel, Inc.................... 1,400 18,463
Premier Parks, Inc.*........... 800 18,200
--------------
186,212
</TABLE>
See accompanying notes.
--------------------------------------------------------------------------------
82
<PAGE> 84
SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
SERIES N (MANAGED ASSET ALLOCATION)
(CONTINUED)
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
-------------------------------------------------------------
<S> <C> <C>
LODGING - HOTELS - 0.1%
Carnival Corporation........... 1,700 $ 33,150
Marriott International, Inc.... 1,000 36,062
--------------
69,212
MACHINERY - DIVERSE - 0.2%
AGCO Corporation............... 600 7,350
Caterpillar, Inc. ............. 900 30,488
Deere & Company................ 1,100 40,700
Dover Corporation.............. 900 36,506
Ingersoll-Rand Company......... 700 28,175
Kaydon Corporation............. 600 12,600
Tecumseh Products Company...... 400 15,275
--------------
171,094
MANUFACTURING - DIVERSIFIED - 0.8%
Danaher Corporation............ 600 29,662
Eaton Corporation.............. 700 46,900
GenCorp. Inc. ................. 800 6,400
Harsco Corporation............. 700 17,850
Hillenbrand Industries,
Inc. ........................ 700 21,919
Honeywell International,
Inc. ........................ 2,187 73,675
Illinois Tool Works, Inc....... 800 45,600
Minnesota Mining &
Manufacturing Company........ 1,200 99,000
Textron, Inc................... 600 32,587
Thermo Electron Corporation*... 1,500 31,594
Trinity Industries, Inc........ 700 12,950
Tyco International, Ltd........ 5,200 246,350
United Technologies
Corporation.................. 1,600 94,200
--------------
758,687
MANUFACTURING - SPECIALIZED - 0.2%
Diebold, Inc................... 700 19,512
Federal Signal Corporation..... 1,000 16,500
Flowserve Corporation.......... 800 12,100
Nordson Corporation............ 300 15,188
Pall Corporation............... 1,000 18,500
Sealed Air Corporation*........ 700 36,662
Teleflex, Inc.................. 500 18,531
York International
Corporation.................. 500 13,063
--------------
150,056
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
-------------------------------------------------------------
<S> <C> <C>
MEDICAL PRODUCTS & SUPPLIES - 0.6%
Baxter International, Inc...... 900 $ 63,281
Beckman Coulter, Inc........... 600 35,025
Becton, Dickinson & Company.... 800 22,950
Boston Scientific
Corporation*................. 1,300 28,519
Edwards Lifesciences
Corporation.................. 180 3,443
Genzyme Surgical Products*..... 100 994
Guidant Corporation*........... 1,000 49,500
Medtronic, Inc................. 3,200 159,400
STERIS Corporation*............ 1,100 9,762
Stryker Corporation............ 1,800 78,750
Sybron International
Corporation*................. 1,000 19,812
Varian Medical Systems,
Inc.*........................ 500 23,063
Varian, Inc.*.................. 500 19,562
VISX, Inc.*.................... 600 16,838
--------------
530,899
NATURAL GAS - 0.4%
El Paso Energy Corporation..... 800 40,750
Enron Corporation.............. 2,300 148,350
KeySpan Corporation............ 1,700 52,275
MCN Energy Group, Inc.......... 1,000 21,375
National Fuel Gas Company...... 700 34,125
Washington Gas Light Company... 800 19,250
Williams Companies, Inc........ 1,700 70,869
--------------
386,994
OFFICE EQUIPMENT & SUPPLIES - 0.1%
Herman Miller, Inc............. 1,000 25,875
Pitney-Bowes, Inc.............. 1,000 40,000
Standard Register Company...... 700 9,975
Wallace Computer Services,
Inc.......................... 800 7,900
--------------
83,750
OIL - DOMESTIC - 0.2%
Amerada Hess Corporation....... 500 30,875
Conoco, Inc. (Cl. B)........... 734 18,029
Occidental Petroleum
Corporation.................. 1,400 29,488
Phillips Petroleum Company..... 700 35,481
USX-Marathon Group............. 1,300 32,581
--------------
146,454
OIL - INTERNATIONAL - 1.1%
Chevron Corporation............ 2,100 178,106
Exxon Mobil Corporation........ 9,060 711,210
Texaco, Inc.................... 1,800 95,850
--------------
985,166
</TABLE>
See accompanying notes.
--------------------------------------------------------------------------------
83
<PAGE> 85
SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
SERIES N (MANAGED ASSET ALLOCATION)
(CONTINUED)
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
-------------------------------------------------------------
<S> <C> <C>
OIL & GAS - DRILLING &
EQUIPMENT - 0.8%
BJ Services Company*........... 2,900 $ 181,250
ENSCO International, Inc....... 1,500 53,719
Global Marine, Inc.*........... 2,300 64,831
Grant Prideco, Inc.*........... 600 15,000
Halliburton Company............ 1,300 61,344
Helmerich & Payne, Inc......... 400 14,200
Nabors Industries, Inc.*....... 1,200 49,875
Noble Drilling Corporation*.... 900 37,069
Schlumberger, Ltd.............. 1,500 111,937
Smith International, Inc.*..... 500 36,406
Transocean Sedco Forex, Inc.... 1,109 59,262
Weatherford International,
Inc.*........................ 600 23,888
--------------
708,781
OIL & GAS - EXPLORATION &
PRODUCTION - 0.3%
Anadarko Petroleum
Corporation.................. 400 19,725
Apache Corporation............. 500 29,406
Burlington Resources, Inc...... 900 34,425
Devon Energy Corporation....... 800 44,950
Murphy Oil Corporation......... 600 35,662
Noble Affiliates, Inc.......... 700 26,075
Ranger Oil, Ltd.*.............. 2,100 11,550
Union Pacific Resources Group,
Inc.......................... 1,238 27,236
Unocal Corporation............. 900 29,813
--------------
258,842
OIL & GAS - REFINING &
MARKETING - 0.1%
Ultramar Diamond Shamrock
Corporation.................. 1,000 24,813
Valero Energy Corporation...... 1,000 31,750
--------------
56,563
PAPER & FOREST PRODUCTS - 0.2%
Bowater, Inc................... 600 26,475
Consolidated Papers, Inc....... 1,200 43,875
Deltic Timber Corporation...... 100 2,138
Georgia-Pacific Corporation (GP
Group)....................... 800 21,000
Georgia-Pacific Corporation
(Timber Group)............... 2,000 43,250
Glatfelter (P.H.) Company...... 700 7,131
International Paper Company.... 1,500 44,719
Rayonier, Inc.................. 400 14,350
Wausau-Mosinee Paper Company... 1,000 8,562
Weyerhaeuser Company........... 400 17,200
--------------
228,700
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
-------------------------------------------------------------
<S> <C> <C>
PERSONAL CARE - 0.2%
Avon Products, Inc. ........... 800 $ 35,600
Carter-Wallace, Inc............ 1,000 20,125
Gillette Company............... 3,000 104,812
Perrigo Company*............... 2,300 14,519
--------------
175,056
PHOTOGRAPHY/IMAGING - 0.1%
Eastman Kodak Company.......... 1,000 59,500
IKON Office Solutions, Inc. ... 1,100 4,263
Xerox Corporation.............. 2,800 58,100
--------------
121,863
POWER PRODUCERS - 0.1%
AES Corporation*............... 1,200 54,750
PUBLISHING - 0.1%
McGraw-Hill Companies, Inc. ... 600 32,400
Reader's Digest Association,
Inc. ........................ 1,100 43,725
--------------
76,125
PUBLISHING - NEWSPAPER - 0.1%
Belo (A.H.) Corporation........ 900 15,581
Gannett Company, Inc. ......... 800 47,850
Tribune Company................ 700 24,500
Washington Post Company (Cl.
B)........................... 100 47,800
--------------
135,731
RAILROADS - 0.2%
Burlington Northern Santa Fe
Corporation.................. 1,700 38,994
CSX Corporation................ 600 12,712
Kansas City Southern
Industries, Inc. ............ 500 44,344
Norfolk Southern Corporation... 1,000 14,875
Union Pacific Corporation...... 1,200 44,625
--------------
155,550
RESTAURANTS - 0.4%
Brinker International, Inc.*... 2,000 58,500
CBRL Group, Inc................ 700 10,281
Darden Restaurants, Inc. ...... 800 13,000
McDonald's Corporation......... 3,800 125,163
Outback Steakhouse, Inc.* ..... 1,000 29,250
Starbucks Corporation*......... 2,000 76,375
Tricon Global Restaurants,
Inc.*........................ 740 20,905
--------------
333,474
</TABLE>
See accompanying notes.
--------------------------------------------------------------------------------
84
<PAGE> 86
SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
SERIES N (MANAGED ASSET ALLOCATION)
(CONTINUED)
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
-------------------------------------------------------------
<S> <C> <C>
RETAIL - APPAREL - 0.1%
Abercrombie & Fitch Company*... 1,000 $ 12,188
AnnTaylor Stores
Corporation*................. 400 13,250
Gap, Inc....................... 2,612 81,625
TJX Companies, Inc............. 1,100 20,625
--------------
127,688
RETAIL - BUILDING SUPPLIES - 0.4%
Fastenal Company............... 600 30,375
Home Depot, Inc................ 6,950 347,066
Lowe's Companies, Inc.......... 1,000 41,062
--------------
418,503
RETAIL - COMPUTERS &
ELECTRONICS - 0.1%
Circuit City Stores - Circuit
City Group................... 1,000 33,188
RadioShack Corporation......... 700 33,162
Tech Data Corporation*......... 500 21,781
--------------
88,131
RETAIL - DEPARTMENT STORES - 0.2%
Federated Department Stores,
Inc.*........................ 500 16,875
Kohl's Corporation*............ 1,000 55,625
May Department Stores Company.. 1,350 32,400
Nordstrom, Inc................. 1,000 24,125
J.C. Penney Company, Inc....... 700 12,906
Saks, Inc.*.................... 1,400 14,700
--------------
156,631
RETAIL - DISCOUNTERS - 0.1%
Dollar General Corporation..... 976 19,032
Family Dollar Stores, Inc...... 2,000 39,125
Lands' End, Inc.*.............. 800 26,700
Ross Stores, Inc............... 1,400 23,888
--------------
108,745
RETAIL - DRUG STORES - 0.2%
CVS Corporation................ 1,400 56,000
Walgreen Company............... 2,600 83,688
--------------
139,688
RETAIL - FOOD CHAINS - 0.2%
Albertson's, Inc............... 1,093 36,342
Kroger Company*................ 2,500 55,156
Safeway, Inc.*................. 1,600 72,200
--------------
163,698
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
-------------------------------------------------------------
<S> <C> <C>
RETAIL - GENERAL MERCHANDISE - 1.0%
BJ's Wholesale Club, Inc.*..... 1,100 $ 36,300
Costco Wholesale
Corporation*................. 1,200 39,600
Sears, Roebuck & Company....... 1,000 32,625
Target Corporation............. 1,700 98,600
Wal-Mart Stores, Inc. ......... 12,400 714,550
--------------
921,675
RETAIL - SPECIALTY - 0.2%
Barnes & Noble, Inc.*.......... 900 20,025
Payless ShoeSource, Inc.*...... 751 39,193
School Specialty, Inc.*........ 100 1,856
Staples, Inc.*................. 1,250 19,219
Tiffany & Company.............. 1,100 74,250
Toys "R" Us, Inc.*............. 1,400 20,387
--------------
174,930
SAVINGS & LOANS - 0.2%
Astoria Financial
Corporation.................. 900 23,175
Charter One Financial, Inc. ... 1,700 39,100
Dime Bancorp, Inc. ............ 1,400 22,050
Golden West Financial
Corporation.................. 800 32,650
GreenPoint Financial
Corporation.................. 800 15,000
Washington Mutual, Inc. ....... 1,900 54,863
--------------
186,838
SERVICES - ADVERTISING/
MARKETING - 0.1%
ACNielson Corporation*......... 800 17,600
Interpublic Group of Companies,
Inc. ........................ 1,000 43,000
Omnicom Group, Inc. ........... 600 53,438
--------------
114,038
SERVICES - COMMERCIAL &
CONSUMER - 0.4%
Cendant Corporation*........... 1,691 23,674
Cintas Corporation............. 1,500 55,031
Convergys Corporation*......... 1,200 62,250
Dun & Bradstreet Corporation... 400 11,450
H & R Block, Inc. ............. 600 19,425
IMS Health, Inc. .............. 1,000 18,000
Manpower, Inc. ................ 1,000 32,000
Navigant International,
Inc.*........................ 100 963
Ogden Corporation.............. 700 6,300
Pittston Brink's Group......... 300 4,106
Robert Half International,
Inc.*........................ 2,000 57,000
Sodexho Marriott Services...... 75 1,303
Sotheby's Holdings, Inc. ...... 900 15,750
Stewart Enterprises, Inc. ..... 2,400 8,475
</TABLE>
See accompanying notes.
--------------------------------------------------------------------------------
85
<PAGE> 87
SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
SERIES N (MANAGED ASSET ALLOCATION)
(CONTINUED)
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
-------------------------------------------------------------
<S> <C> <C>
SERVICES - COMMERCIAL & CONSUMER (CONTINUED)
Tetra Tech, Inc.*.............. 600 $ 13,725
Viad Corporation............... 1,200 32,700
--------------
362,152
SERVICES - COMPUTER SYSTEMS - 0.2%
Comdisco, Inc.................. 1,500 33,469
Computer Sciences
Corporation.................. 600 44,812
Electronic Data Systems
Corporation.................. 1,400 57,750
Keane, Inc.*................... 700 15,138
Policy Management Systems
Corporation*................. 500 7,687
Sabre Group Holdings........... 433 12,341
SunGard Data Systems, Inc.*.... 900 27,900
--------------
199,097
SERVICES - DATA PROCESSING - 0.4%
Automatic Data Processing,
Inc.......................... 1,700 91,056
Ceridian Corporation*.......... 1,000 24,063
Concord EFS, Inc.*............. 1,700 44,200
DST Systems, Inc.*............. 200 15,225
Equifax, Inc................... 800 21,000
First Data Corporation......... 1,400 69,475
Fiserv, Inc.................... 1,200 51,900
NOVA Corporation*.............. 800 22,350
Paychex, Inc................... 1,200 50,400
--------------
389,669
SPECIALTY PRINTING - 0.0%
Banta Corporation.............. 800 15,150
R.R. Donnelley & Sons Company.. 1,000 22,562
Workflow Management, Inc.*..... 100 1,188
--------------
38,900
TELECOMMUNICATION - CELLULAR - 0.2%
Leap Wireless International,
Inc.*........................ 100 4,700
Sprint Corporation (PCS
Group)*...................... 3,100 184,450
--------------
189,150
TELECOMMUNICATION - LONG
DISTANCE - 0.8%
AT&T Corporation............... 8,959 283,328
Sprint Corporation............. 2,700 137,700
WorldCom, Inc.*................ 8,023 368,556
--------------
789,584
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT OR
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
-------------------------------------------------------------
<S> <C> <C>
TELEPHONE - 1.5%
ALLTEL Corporation............. 1,500 $ 92,906
Bell Atlantic Corporation...... 4,674 237,498
BellSouth Corporation.......... 5,000 213,125
Broadwing, Inc. ............... 1,200 31,125
GTE Corporation................ 3,000 186,750
SBC Communications, Inc........ 9,012 389,769
Telephone & Data Systems,
Inc. ........................ 700 70,175
U.S. West, Inc................. 1,649 141,402
--------------
1,362,750
TEXTILES - APPAREL - 0.1%
Jones Apparel Group, Inc.*..... 1,400 32,900
Unifi, Inc.*................... 1,300 16,087
Warnaco Group, Inc............. 700 5,425
--------------
54,412
TEXTILES - HOME FURNISHINGS - 0.0%
Shaw Industries, Inc. ......... 1,400 17,500
Spring Industries, Inc. ....... 300 9,656
WestPoint Stevens, Inc. ....... 600 6,675
--------------
33,831
TOBACCO - 0.2%
Philip Morris Companies,
Inc. ........................ 7,000 185,938
R.J. Reynolds Tobacco Holdings,
Inc. ........................ 1,100 30,731
--------------
216,669
WASTE MANAGEMENT - 0.1%
Waste Management, Inc. ........ 2,312 43,928
--------------
Total common stocks - 43.2%............... 40,749,146
<CAPTION>
U.S. GOVERNMENT &
GOVERNMENT AGENCIES
-------------------
<S> <C> <C>
U.S. GOVERNMENT AGENCIES - 11.2%
Fannie Mae,
7.125% - 2005................ $ 1,000,000 1,003,460
7.00% - 2022................. $ 595,000 592,555
--------------
1,596,015
Government National Mortgage
Association,
#67365, 11.50% - 2013........ $ 17,554 19,270
#780057, 7.50% - 2025........ $ 42,696 42,524
#2102, 8.00% - 2025.......... $ 18,801 18,893
#412429, 8.50% - 2025........ $ 22,394 22,895
#410891, 7.00% - 2026........ $ 176,572 172,917
#426384, 7.00% - 2026........ $ 260,639 254,778
#424476, 7.50% - 2026........ $ 233,085 231,875
</TABLE>
See accompanying notes.
--------------------------------------------------------------------------------
86
<PAGE> 88
SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
SERIES N (MANAGED ASSET ALLOCATION)
(CONTINUED)
U.S. GOVERNMENT &
GOVERNMENT AGENCIES PRINCIPAL MARKET
(CONTINUED) AMOUNT VALUE
-------------------------------------------------------------
<S> <C> <C>
U.S. GOVERNMENT AGENCIES (CONTINUED)
#432891, 7.50% - 2026........ $ 60,105 $ 59,788
#402684, 8.00% - 2026........ 66,803 67,461
#427029, 8.50% - 2026........ 99,102 101,399
#435589, 8.50% - 2026........ 48,027 49,136
#436062, 6.50% - 2028........ 543,438 519,026
#457815, 6.50% - 2028........ 173,209 164,947
#464835, 6.50% - 2028........ 160,442 152,671
#468260, 6.50% - 2028........ 178,235 169,835
#480423, 6.50% - 2028........ 162,447 154,588
#781129, 7.00% - 2028........ 193,032 187,963
#457971, 6.50% - 2029........ 888,546 844,625
#464553, 6.50% - 2029........ 168,939 160,793
#492673, 6.50% - 2029........ 615,418 584,401
#494262, 6.50% - 2029........ 178,058 169,287
#496338, 6.50% - 2029........ 1,341,019 1,273,231
#496341, 6.50% - 2029........ 249,268 236,668
#497229, 6.50% - 2029........ 636,375 604,199
#497237, 6.50% - 2029........ 787,989 748,172
#498528, 6.50% - 2029........ 810,634 769,713
#499145, 6.50% - 2029........ 611,129 581,691
#506284, 6.50% - 2029........ 199,673 189,593
#426735, 7.50% - 2029........ 395,397 392,578
#781135, 7.50% - 2029........ 98,505 97,865
--------------
9,042,782
--------------
Total U.S. government agencies - 11.2%.... 10,638,797
U.S. GOVERNMENT SECURITIES - 13.0%
U.S. Treasury Bonds,
6.875% - 2025................ 35,000 38,051
6.75% - 2026................. 2,590,000 2,783,421
6.625% - 2027................ 550,000 583,170
5.50% - 2028................. 260,000 238,467
--------------
3,643,109
U.S. Treasury Notes,
5.625% - 2000................ 575,000 573,378
5.625% - 2001................ 700,000 694,967
6.25% - 2002................. 380,000 378,693
5.50% - 2003................. 1,000,000 977,500
6.50% - 2005................. 100,000 101,093
5.625% - 2006................ 2,600,000 2,521,168
6.50% - 2006................. 175,000 176,841
6.125% - 2007................ 900,000 894,654
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
U.S. GOVERNMENT & AMOUNT OR
GOVERNMENT AGENCIES NUMBER MARKET
(CONTINUED) OF SHARES VALUE
-------------------------------------------------------------
<S> <C> <C>
U.S. GOVERNMENT SECURITIES (CONTINUED)
6.25% - 2007................. $ 1,000,000 $ 1,000,930
5.625% - 2008................ $ 1,300,000 1,253,681
--------------
8,572,905
--------------
Total U.S. government securities -13.0%... 12,216,014
--------------
Total U.S. government & government
agencies - 24.2%........................ 22,854,811
<CAPTION>
MISCELLANEOUS ASSETS
--------------------
<S> <C> <C>
ASSET-BACKED SECURITIES - 0.1%
Advanta Home Equity Loan Trust
(Cl. A2), 5.95% - 2009....... $ 79,569 77,073
<CAPTION>
FOREIGN CORPORATE BONDS
-----------------------
<S> <C> <C>
UNITED KINGDOM - 0.2%
Deutsche Telekom International
Finance Group,
8.00% - 2010................. $ 200,000 201,500
BG Transco Holdings plc,
7.27313% - 2009.............. $ 1,000 1,522
4.1875% - 2022............... $ 1,000 1,470
7.00% - 2024................. $ 1,000 1,459
--------------
Total foreign bonds - 0.2%................ 205,951
<CAPTION>
FOREIGN STOCKS
--------------
<S> <C> <C>
ARGENTINA - 0.0%
Banco Frances S.A. ............ 805 17,408
AUSTRALIA - 0.6%
AMP, Ltd. ..................... 3,000 30,620
Australia & New Zealand Banking
Group, Ltd. ................. 7,600 58,453
Commonwealth Bank of
Australia.................... 3,900 64,838
News Corporation, Ltd. ADR..... 1,200 65,400
Publishing & Broadcasting...... 6,400 49,377
Rio Tinto, Ltd................. 4,500 74,621
Santos, Ltd.................... 7,400 22,615
Telestra Corporation, Ltd. .... 10,000 40,707
Westfield Trust................ 21,800 42,421
Woolworths, Ltd. .............. 17,400 64,405
--------------
513,457
AUSTRIA - 0.0%
OMV AG......................... 50 4,362
</TABLE>
See accompanying notes.
--------------------------------------------------------------------------------
87
<PAGE> 89
SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
SERIES N (MANAGED ASSET ALLOCATION)
(CONTINUED)
NUMBER MARKET
FOREIGN STOCKS (CONTINUED) OF SHARES VALUE
-------------------------------------------------------------
<S> <C> <C>
BELGIUM - 0.1%
Electrabel S.A. ............... 88 $ 21,840
KBC Bancassurance Holding...... 900 39,772
Union Miniere S.A. ............ 700 25,492
--------------
87,104
BRAZIL - 0.2%
Branco Bradesco S.A. ADR....... 3,400 29,036
Companhia Brasileira de
Distribuicao Grupo Pao ADR... 1,400 44,975
Telecommunicacoes Brasilerias
S.A. ADR..................... 1,000 97,125
Telecommunicacoes de Sao Paulo
S.A.......................... 1,000 18,500
Tele Norte Leste Participacoes
S.A.......................... 117 2,764
Tele Sudeste Celular
Participacoes S.A............ 200 6,100
Uniao de Bancos Brasileiros
S.A. ADR..................... 800 23,000
--------------
221,500
CHILE - 0.1%
Cia de Telecommunicaciones de
Chile S.A. ADR............... 1,725 31,266
Compania Cervecerias Unidas
S.A. ADR..................... 900 20,418
Empresa Nacional Electricidad
Chile S.A. ADR*.............. 2,233 24,703
Enersis S.A. ADR*.............. 600 11,962
--------------
88,349
DENMARK - 0.0%
Bank & Olufsen Holdings A/S.... 600 20,508
Danisco A/S.................... 100 3,353
Radiometer A/S................. 500 15,805
Tele Danmark A/S............... 100 6,759
--------------
46,425
FINLAND - 0.4%
Nokia Oyj ADR.................. 6,000 299,625
Sonera Oyj..................... 1,400 64,083
--------------
363,708
FRANCE - 1.5%
Alcatel........................ 1,545 101,747
Aventis S.A.................... 1,700 124,584
Axa - UAP...................... 500 79,084
Banque Nationale de Paris...... 600 57,976
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
FOREIGN STOCKS (CONTINUED) OF SHARES VALUE
-------------------------------------------------------------
<S> <C> <C>
FRANCE (CONTINUED)
Bouygues S.A................... 33 $ 22,144
Cap Gemini S.A................. 200 35,372
Carrefour S.A.................. 2,000 137,272
Eridania Beghin-Say S.A........ 300 29,506
France Telecom S.A. ADR........ 1,300 185,250
Lafarge S.A.................... 200 15,606
Louis Vuitton Meot Hennessy.... 139 57,549
Pechiney S.A................... 400 16,756
Publicis S.A................... 141 55,552
Societe Bic S.A................ 1,200 59,011
Societe Generale............... 324 19,567
Sommer Allibert S.A............ 2,600 81,002
Suez Lyonnaise des Eaux S.A.... 700 123,132
Thomson CSF.................... 100 3,955
Total Fina Elf S.A. (Cl. B).... 1,007 155,029
Union du Credit - Bail
Immobilier................... 100 13,900
--------------
1,373,994
GERMANY - 1.1%
Bank of Berlin*................ 1,900 27,684
BASF AG........................ 1,700 68,607
Daimlerchrysler AG............. 800 41,895
Deutsche Telekom AG............ 3,900 223,565
Deutz AG*...................... 5,100 23,711
Dresdner Bank AG............... 3,100 128,079
EM.TV & Merchandising AG....... 300 17,787
Heidelberger Zement AG......... 100 6,192
Merck KGAA*.................... 1,000 30,675
Metro AG....................... 300 10,638
Muenchener Rueckversicherungs-
Gesellschaft AG.............. 521 164,313
SAP AG......................... 396 58,611
SGL Carbon AG*................. 200 13,353
Siemens AG..................... 900 136,313
Veba AG*....................... 1,500 72,614
Volkswagen AG.................. 1,200 45,656
--------------
1,069,693
HONG KONG - 0.4%
Cable & Wireless HKT, Ltd. .... 800 17,200
Cheung Kong Holdings........... 10,000 110,643
Hong Kong Electric Holdings,
Ltd. ........................ 9,000 28,979
Hutchison Whampoa, Ltd. ....... 15,400 193,604
--------------
350,426
</TABLE>
See accompanying notes.
--------------------------------------------------------------------------------
88
<PAGE> 90
SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
SERIES N (MANAGED ASSET ALLOCATION)
(CONTINUED)
NUMBER MARKET
FOREIGN STOCKS (CONTINUED) OF SHARES VALUE
-------------------------------------------------------------
<S> <C> <C>
IRELAND - 0.1%
Allied Irish Banks plc......... 4,000 $ 35,966
Eircom plc..................... 4,100 11,005
Jefferson Smurfit Group........ 95 162
--------------
47,133
ITALY - 0.6%
Banco Intesa SpA............... 18,100 81,375
Banca Popolare di Milano....... 100 724
Ente Nazionale Indrocarburi SpA
S.A. ADR..................... 1,200 69,825
Fiat SpA....................... 900 23,449
Instituto Nazionale delle
Assicurazioni SpA............ 13,400 33,141
Mediaset SpA................... 2,900 44,479
Telecom Italia Mobile SpA...... 11,900 122,058
Telecom Italia SpA............. 6,455 89,104
Unicredito Italiano SpA........ 17,100 82,124
--------------
546,279
JAPAN - 3.7%
Asatsu-DK, Inc................. 2,000 82,227
Bridgestone Corporation........ 1,000 21,218
Canon, Inc..................... 3,000 149,709
Daiichi Pharmaceutical Company,
Ltd. ........................ 1,000 25,424
Dai Nippon Printing Company,
Ltd.......................... 5,000 88,323
Fuji Bank, Ltd. ............... 7,000 53,325
Fujitsu, Ltd. ................. 5,000 173,432
Hitachi, Ltd. ADR.............. 1,000 144,125
Honda Motor Company, Ltd. ADR.. 800 55,000
Industrial Bank of Japan,
Ltd. ........................ 9,000 68,390
Jusco Company, Ltd. ........... 4,000 75,989
Kao Corporation................ 4,000 122,489
Kuraray Company, Ltd. ......... 2,000 22,986
Marui Company, Ltd............. 4,000 76,745
Matsushita Electric Industrial
Company, Ltd. ............... 6,000 155,947
Mitsubishi Electric
Corporation.................. 13,000 141,052
Mitsubishi Heavy Industries,
Ltd. ........................ 4,000 17,768
Mitsui & Company, Ltd. ........ 13,000 99,523
Nippon Telegraph & Telephone
Corporation.................. 14 186,570
Nippon Express Company,
Ltd. ........................ 10,000 61,528
Nomura Securities Company,
Ltd. ........................ 2,000 49,053
Omron Corporation.............. 6,000 163,319
Ricoh Corporation, Ltd. ....... 5,000 106,091
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
FOREIGN STOCKS (CONTINUED) OF SHARES VALUE
-------------------------------------------------------------
<S> <C> <C>
JAPAN (CONTINUED)
Rohm Company, Ltd. ............ 1,000 $ 292,992
Sharp Corporation.............. 4,000 70,885
Softbank Corporation........... 300 40,830
Sony Corporation............... 2,000 187,137
Sumitomo Bank, Ltd. ........... 7,000 86,007
Sumitomo Chemical Company,
Ltd. ........................ 32,000 192,959
Sumitomo Marine & Fire......... 18,000 104,967
Takeda Chemical Industries..... 3,000 197,344
Terumu Corporation............. 4,000 135,721
Tokyo Electric Power Company... 4,000 97,927
--------------
3,546,802
MALAYSIA - 0.0%
Malayan Cement Berhad.......... 7,500 2,467
MEXICO - 0.4%
Carso Global Telecom*.......... 14,800 42,099
Cemex S.A. .................... 6,174 28,789
Fomento Economico Mexicano,
S.A. ........................ 3,600 15,452
Grupo Financiero Banamex
Accival, S.A. ............... 9,000 38,401
Kimberly-Clark de Mexico
S.A. ........................ 22,500 63,659
Telefonos de Mexico S.A. ADR... 2,900 165,662
--------------
354,062
NETHERLANDS - 1.1%
ABN AMRO Holding N.V. ......... 2,100 51,655
Aegon N.V...................... 1,200 42,873
Akzo Nobel N.V. ADR............ 400 16,825
ASM Lithography Holding........ 300 12,947
CSM N.V........................ 700 13,823
Elsevier N.V................... 1,500 18,247
Getronics N.V.................. 900 13,933
Ing Groep N.V.................. 1,600 108,590
Koninklijke KPN N.V............ 1,200 53,893
Koninklijke (Royal) Philips
Electronics N.V.............. 1,760 83,600
Oce N.V........................ 200 3,288
Royal Dutch Petroleum Company
NY........................... 9,000 554,063
Stmicroelectronics N.V......... 1,200 75,921
TNT Post Group N.V............. 500 13,540
Vedior N.V..................... 1,000 12,414
--------------
1,075,612
</TABLE>
See accompanying notes.
--------------------------------------------------------------------------------
89
<PAGE> 91
SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
SERIES N (MANAGED ASSET ALLOCATION)
(CONTINUED)
NUMBER MARKET
FOREIGN STOCKS (CONTINUED) OF SHARES VALUE
-------------------------------------------------------------
<S> <C> <C>
NEW ZEALAND - 0.0%
Lion Nathan, Ltd............... 10,000 $ 22,363
Telecom New Zealand ADR........ 400 11,250
--------------
33,613
NORWAY - 0.1%
Bergesen D Y ASA............... 1,500 30,885
Den Norske Bank ASA............ 300 1,249
Norsk Hydro ASA................ 1,000 42,117
Orkla ASA...................... 600 11,442
--------------
85,693
PORTUGAL - 0.0%
Portugal Telecom S.A........... 1,400 15,782
SINGAPORE - 0.3%
City Developments, Ltd......... 2,000 7,750
Cycle & Carriage, Ltd.......... 3,000 7,045
DBS Holdings Group, Ltd........ 4,652 59,730
DBS Land, Ltd.................. 8,000 10,364
Oversea - Chinese Banking
Corporation, Ltd............. 6,300 43,360
Singapore Airlines, Ltd........ 6,000 59,341
Singapore Land, Ltd............ 6,000 12,771
Singapore Press Holdings,
Ltd.......................... 3,000 46,848
Singapore Telecommunications,
Ltd.......................... 26,000 38,045
--------------
285,254
SPAIN - 0.4%
Banco Bilboa Vizcaya S.A.
ADR.......................... 7,700 113,575
Iberdroia S.A.................. 6,300 81,529
Prosegur Comp Seguridad........ 1,800 21,137
Repsol S.A. ADR................ 1,400 27,737
Telefonica S.A. ADR............ 1,372 87,894
--------------
331,872
SWEDEN - 0.5%
Astrazeneca Group plc.......... 1,614 75,446
Electrolux AB (Cl. B).......... 1,100 17,119
Ericsson (L.M.) Telecom Company
ADR (Cl. B).................. 10,800 216,000
Nordic Baltic Holding.......... 10,163 74,436
Securitas AB................... 900 19,188
Svenska Cellulosa AB (Cl. B)... 1,300 24,826
Svenska Handelbanken AB........ 3,800 55,456
Volvo AB....................... 400 8,733
--------------
491,204
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
FOREIGN STOCKS (CONTINUED) OF SHARES VALUE
-------------------------------------------------------------
<S> <C> <C>
SWITZERLAND - 0.9%
ABB, Ltd.*..................... 202 $ 24,255
Adecco S.A..................... 33 28,128
Adecco S.A. ADR................ 35 3,714
Credit Suisse Group............ 800 159,646
Kuoni Reisen AG................ 1 464
Nestle S.A..................... 54 108,425
Novartis AG.................... 193 306,692
Sandvik AB..................... 800 16,874
Schweizerische
Rueckversicherungs-
Gesellschaft................. 42 85,880
Sulzer AG...................... 41 27,357
Swatch Group AG................ 51 13,345
Swisscom AG.................... 121 42,042
--------------
816,822
UNITED KINGDOM - 2.7%
Abbey National plc............. 8,600 102,334
Allied Zurich plc.............. 10,300 121,549
Amvescap plc................... 4,100 65,204
Associated British Foods plc... 9,200 63,685
AstraZeneca Group plc.......... 1,700 79,422
AstraZeneca Group plc ADR...... 2,700 125,550
BAA plc........................ 3,500 27,844
BG Group plc................... 7,888 50,871
BP Amoco plc ADR............... 2,700 152,719
Bank of Scotland............... 10,200 95,353
Barclays plc................... 3,800 94,346
British Telecom plc ADR........ 700 92,575
Cadbury Schweppes plc.......... 8,400 55,223
Compass Group plc.............. 1,900 25,068
Diageo plc ADR................. 1,477 52,526
GKN plc........................ 1,900 24,205
Glaxo Wellcome plc ADR......... 2,700 156,094
Granada Group plc.............. 2,300 22,633
Hays plc....................... 5,000 27,685
HSBC Holdings plc.............. 12,159 139,161
Imperial Chemical Industries
plc ADR...................... 700 21,569
Marconi plc.................... 3,000 38,990
National Grid Group plc........ 3,000 23,571
Pearson plc.................... 2,500 78,534
Powergen plc................... 3,600 30,956
Railtrack Group plc............ 2,200 34,089
Reed International plc......... 9,300 81,097
Rantokil Initial plc........... 8,700 19,789
Rio Tinto plc.................. 1,300 21,295
RMC Group plc.................. 1,900 24,507
Rolls-Royce plc................ 14,000 50,072
</TABLE>
See accompanying notes.
--------------------------------------------------------------------------------
90
<PAGE> 92
SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
SERIES N (MANAGED ASSET ALLOCATION)
(CONTINUED)
PRINCIPAL
AMOUNT OR
NUMBER MARKET
FOREIGN STOCKS (CONTINUED) OF SHARES VALUE
-------------------------------------------------------------
<S> <C> <C>
UNITED KINGDOM (CONTINUED)
Sema Group plc................. 1,200 $ 16,877
Shell Transport & Trading
Company ADR.................. 1,500 74,906
Slough Estates plc............. 7,400 41,059
Smith & Nephew plc............. 17,000 61,767
Spirent plc.................... 7,500 49,107
Tesco plc...................... 33,100 102,851
Tomkins plc.................... 15,500 49,982
Vodafone AirTouch plc ADR...... 4,000 165,750
--------------
2,560,815
--------------
Total foreign stocks - 15.2%.............. 14,329,836
<CAPTION>
SHORT TERM INVESTMENTS
----------------------
<S> <C> <C>
T. Rowe Price Reserve
Investment Fund - 2.1%....... $ 1,933,675 1,933,675
--------------
Total Investments - 98.4%................. 92,818,249
Cash & other assets, less
liabilities - 1.6%...................... 1,504,929
--------------
Total net assets - 100.0%................. $ 94,323,178
==============
</TABLE>
See accompanying notes.
--------------------------------------------------------------------------------
91
<PAGE> 93
SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
SERIES W (MAIN STREET GROWTH AND INCOME(R))
NUMBER MARKET
COMMON STOCKS OF SHARES VALUE
-------------------------------------------------------------
<S> <C> <C>
AEROSPACE/DEFENSE - 1.2%
Boeing Company................. 3,800 $ 158,888
AIR FREIGHT - 0.1%
Xtra Corporation*.............. 400 15,775
AIRLINES - 0.1%
Delta Air Lines, Inc........... 300 15,169
ALUMINUM - 0.9%
Alcan Aluminum, Ltd............ 700 21,700
Alcoa, Inc..................... 3,200 92,800
--------------
114,500
AUTOMOBILES - 0.3%
General Motors Corporation..... 602 34,954
BANKS - MAJOR REGIONAL - 0.0%
BB&T Corporation............... 100 2,388
BEVERAGES - ALCOHOLIC - 2.2%
Anheuser-Busch Companies,
Inc.......................... 4,000 298,750
BIOTECHNOLOGY - 1.1%
Amgen, Inc.*................... 2,000 140,500
Chiron Corporation*............ 100 4,750
--------------
145,250
BROADCAST MEDIA - 0.2%
AT&T Corporation - Liberty
Media Group*................. 600 14,550
USA Networks, Inc.*............ 900 19,631
--------------
34,181
CHEMICALS - BASIC - 1.1%
Dow Chemical Company........... 2,100 63,394
E.I. du Pont de Nemours &
Company...................... 1,800 78,750
--------------
142,144
COMMUNICATION EQUIPMENT - 2.7%
Ciena Corporation*............. 200 33,338
Corning, Inc................... 400 107,950
General Motors (Cl. H)*........ 210 18,428
Nortel Networks Corporation.... 2,700 184,275
Scientific-Atlanta, Inc........ 300 22,350
--------------
366,341
COMPUTER HARDWARE - 7.5%
Apple Computer, Inc.*.......... 1,200 62,850
Dell Computer Corporation*..... 1,200 59,175
Hewlett-Packard Company........ 1,600 199,800
International Business Machines
Corporation.................. 4,300 471,119
Sun Microsystems, Inc.*........ 2,400 218,250
--------------
1,011,194
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
-------------------------------------------------------------
<S> <C> <C>
COMPUTER SOFTWARE/SERVICES - 3.6%
Adobe Systems, Inc............. 300 $ 39,000
Amdocs Systems, Inc.*.......... 200 15,350
Computer Associates
International, Inc........... 1,000 51,188
Oracle Corporation*............ 3,300 277,406
Symantec Corporation*.......... 200 10,788
Veritas Software
Corporation*................. 800 90,300
--------------
484,032
COMPUTERS - NETWORKING - 3.8%
Cisco Systems, Inc.*........... 7,300 462,181
Network Appliance, Inc.*....... 400 32,200
Sycamore Networks, Inc.*....... 100 11,038
--------------
505,419
COMPUTERS - PERIPHERALS - 0.4%
Brocade Communications Systems,
Inc.*........................ 100 18,348
EMC Corporation*............... 400 30,775
--------------
49,123
DISTRIBUTION - FOOD & HEALTH - 0.2%
Sysco Corporation.............. 700 29,488
ELECTRIC COMPANIES - 0.7%
Dynegy, Inc.................... 400 27,325
Florida Progress Corporation... 400 18,750
PECO Energy Company............ 600 24,188
Public Service Enterprise
Group, Inc................... 700 24,238
--------------
94,501
ELECTRICAL EQUIPMENT - 5.6%
AVX Corporation................ 800 18,350
General Electric Company....... 13,500 715,500
Molex, Inc..................... 400 14,000
--------------
747,850
ELECTRONICS - INSTRUMENTATION - 0.1%
Agilent Technologies, Inc.*.... 110 8,113
PerkinElmer, Inc............... 100 6,612
--------------
14,725
</TABLE>
See accompanying notes.
--------------------------------------------------------------------------------
92
<PAGE> 94
SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
SERIES W (MAIN STREET GROWTH AND INCOME(R))
(CONTINUED)
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
-------------------------------------------------------------
<S> <C> <C>
ELECTRONICS - SEMICONDUCTORS - 8.8%
Altera Corporation*............ 300 $ 30,581
Analog Devices, Inc.*.......... 900 68,400
Atmel Corporation*............. 500 18,437
Intel Corporation.............. 5,600 748,650
Linear Technology
Corporation.................. 500 31,969
LSI Logic Corporation*......... 600 32,475
Maxim Integrated Products,
Inc.*........................ 100 6,794
National Semiconductor
Corporation*................. 800 45,400
PMC-Sierra, Inc.*.............. 100 17,769
Texas Instruments, Inc......... 1,400 96,162
Vishay Intertechnology,
Inc.*........................ 300 11,381
Xilinx, Inc.*.................. 800 66,050
--------------
1,174,068
ENTERTAINMENT - 0.4%
Seagram Company, Ltd........... 100 5,800
Walt Disney Company............ 1,300 50,456
--------------
56,256
EQUIPMENT - SEMICONDUCTORS - 0.9%
Applied Materials, Inc.*....... 700 63,437
KLA-Tencor Corporation*........ 600 35,137
Teradyne, Inc.*................ 300 22,050
--------------
120,624
FINANCIAL - DIVERSE - 5.4%
Citigroup, Inc................. 8,300 500,075
Fannie Mae..................... 200 10,437
Morgan Stanley Dean Witter &
Company...................... 2,600 216,450
--------------
726,962
GAMING & LOTTERY - 0.1%
MGM Grand, Inc................. 500 16,062
HEALTH CARE - DIVERSE - 2.4%
Bristol-Myers Squibb Company... 1,900 110,675
Johnson & Johnson.............. 2,100 213,937
--------------
324,612
HEALTH CARE - MANAGED CARE - 0.5%
Trigon Healthcare, Inc.*....... 300 15,469
UnitedHealth Group, Inc........ 600 51,450
--------------
66,919
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
-------------------------------------------------------------
<S> <C> <C>
HEALTH CARE - PHARMACEUTICALS
- MAJOR - 3.3%
Andrx Corporation*............. 400 $ 25,569
Immunex Corporation*........... 500 24,719
Merck & Company, Inc........... 3,200 245,200
Pfizer, Inc. .................. 3,025 145,200
--------------
440,688
HOSPITAL MANAGEMENT - 0.1%
Columbia/HCA Healthcare
Corporation.................. 300 9,112
HOUSEHOLD PRODUCTS - 2.1%
Kimberly-Clark Corporation..... 5,000 286,875
INSURANCE - MULTILINE - 0.7%
American International Group,
Inc. ........................ 800 94,000
INVESTMENT BANK/BROKERAGE - 0.8%
Goldman Sachs Group, Inc. ..... 400 37,950
Lehman Brothers Holdings
Inc. ........................ 300 28,369
Merrill Lynch & Company,
Inc. ........................ 300 34,500
--------------
100,819
MACHINERY - DIVERSE - 0.2%
Dover Corporation.............. 800 32,450
MANUFACTURING - DIVERSIFIED - 0.9%
Minnesota Mining &
Manufacturing Company........ 1,500 123,750
MANUFACTURING - SPECIALIZED - 0.4%
Avery Dennison Corporation..... 800 53,700
NATURAL GAS - 0.2%
Enron Corporation.............. 500 32,250
OIL - DOMESTIC - 0.3%
Amerada Hess Corporation....... 300 18,525
Phillips Petroleum Company..... 400 20,275
--------------
38,800
OIL - INTERNATIONAL - 8.4%
Chevron Corporation............ 2,300 195,069
Exxon Mobil Corporation........ 6,300 494,550
Royal Dutch Petroleum Company
NY........................... 6,300 387,844
Texaco, Inc. .................. 1,000 53,250
--------------
1,130,713
</TABLE>
See accompanying notes.
--------------------------------------------------------------------------------
93
<PAGE> 95
SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
SERIES W (MAIN STREET GROWTH AND INCOME(R))
(CONTINUED)
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
-------------------------------------------------------------
<S> <C> <C>
OIL & GAS - DRILLING &
EQUIPMENT - 1.8%
Ensco International, Inc. ..... 4,100 $ 146,831
Global Marine, Inc.* .......... 1,500 42,281
Santa Fe International
Corporation.................. 1,300 45,419
--------------
234,531
OIL & GAS - EXPLORATION &
PRODUCTION - 1.5%
Cabot Oil & Gas Corporation.... 2,500 52,969
Devon Energy Corporation....... 1,100 61,806
EOG Resources, Inc............. 1,200 40,200
Murphy Oil Corporation......... 700 41,606
--------------
196,581
OIL & GAS - REFINING &
MARKETING - 0.1%
Tosco Corporation.............. 400 11,325
PAPER & FOREST PRODUCTS - 0.1%
Rayonier, Inc.................. 400 14,350
POWER PRODUCERS - 0.1%
AES Corporation*............... 200 9,125
PUBLISHING - 0.2%
McGraw-Hill Companies, Inc..... 400 21,600
PUBLISHING - NEWSPAPERS - 0.6%
Dow Jones & Company, Inc....... 200 14,650
Gannett Company, Inc........... 700 41,869
New York Times Company......... 700 27,650
--------------
84,169
RETAIL - BUILDING SUPPLIES - 3.2%
Home Depot, Inc................ 8,600 429,462
RETAIL - COMPUTERS &
ELECTRONICS - 0.2%
Best Buy Company, Inc.*........ 500 31,625
RETAIL - DRUG STORES - 0.2%
Walgreen Company............... 900 28,969
RETAIL - GENERAL MERCHANDISE - 5.5%
Wal-Mart Stores, Inc........... 12,700 731,837
SERVICES - ADVERTISING/
MARKETING - 0.2%
Interpublic Group of Companies,
Inc.......................... 300 12,900
Omnicom Group, Inc............. 200 17,812
--------------
30,712
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT OR
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
-------------------------------------------------------------
<S> <C> <C>
SERVICES - COMPUTER SYSTEMS - 0.2%
Computer Sciences
Corporation*................. 100 7,469
Electronic Data Systems
Corporation.................. 300 12,375
--------------
19,844
SERVICES - DATA PROCESSING - 0.9%
Automatic Data Processing,
Inc.......................... 1,100 58,919
First Data Corporation......... 700 34,737
Paychex, Inc................... 550 23,100
--------------
116,756
TELEPHONE - 2.4%
Bell Atlantic Corporation*..... 2,400 121,950
BellSouth Corporation.......... 4,700 200,337
--------------
322,287
TOBACCO - 0.2%
R.J. Reynolds Tobacco Holdings,
Inc.......................... 800 22,350
--------------
Total common stocks - 85.1%............... 11,398,855
<CAPTION>
FOREIGN STOCKS
--------------
<S> <C> <C>
CANADA - 1.3%
Anderson Exploration, Ltd.*.... 2,200 39,941
Berkley Petroleum
Corporation*................. 3,000 18,931
Canadian Natural Resources,
Ltd.*........................ 2,000 58,041
Genesis Exploration Ltd.*...... 5,000 37,120
Paramount Resources Ltd........ 2,000 20,449
--------------
174,482
<CAPTION>
REPURCHASE AGREEMENT - 16.4%
----------------------------
<S> <C> <C>
State Street, 3.50% - 7-03-00
(Collateralized by FNMA,
6.32% - 2002 with a value of
$2,250,828).................. $ 2,205,721 2,205,721
--------------
Total investments - 102.8%................ 13,779,058
Liabilities, less cash and other assets
(2.8%).................................. (377,770)
--------------
Total net assets - 100.0%................. $ 13,401,288
==============
</TABLE>
See accompanying notes.
--------------------------------------------------------------------------------
94
<PAGE> 96
SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
SERIES H (ENHANCED INDEX)
NUMBER MARKET
COMMON STOCKS OF SHARES VALUE
-------------------------------------------------------------
<S> <C> <C>
AEROSPACE/DEFENSE - 0.5%
B.F. Goodrich Company.......... 194 $ 6,608
Boeing Company................. 2,500 104,531
General Dynamics Corporation... 700 36,575
Lockheed Martin Corporation.... 1,000 24,813
Northrop Grumman Corporation... 400 26,500
Teledyne Technologies, Inc.*... 1 19
--------------
199,046
AGRICULTURAL PRODUCTS - 0.0%
Archer-Daniels-Midland
Company...................... 1,700 16,681
AIR FREIGHT - 0.1%
FedEx Corporation*............. 800 30,400
AIRLINES - 0.2%
AMR Corporation*............... 603 15,942
Delta Air Lines, Inc........... 483 24,422
Southwest Airlines Company..... 1,400 26,513
U.S. Airways Group, Inc.*...... 200 7,800
--------------
74,677
ALUMINUM - 0.3%
Alcan Aluminum, Ltd............ 1,000 31,000
Alcoa, Inc..................... 2,800 81,200
--------------
112,200
AUTO PARTS & EQUIPMENT - 0.2%
Cooper Tire & Rubber Company... 170 1,891
Dana Corporation............... 400 8,475
Delphi Automotive Systems
Corporation.................. 2,000 29,125
Genuine Parts Company.......... 900 18,000
Goodyear Tire & Rubber
Company...................... 304 6,080
Snap-on, Inc................... 57 1,518
TRW, Inc....................... 300 13,013
Visteon Corporation*........... 471 5,715
--------------
83,817
AUTOMOBILES - 0.6%
Ford Motor Company(3).......... 3,600 154,800
General Motors Corporation..... 1,679 97,487
--------------
252,287
BANKS - MAJOR REGIONAL - 2.3%
AmSouth Bancorporation......... 1,021 16,081
BB&T Corporation............... 400 9,550
Bank of New York Company,
Inc.......................... 2,000 93,000
Bank One Corporation........... 3,000 79,688
Comerica, Inc.................. 400 17,950
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
-------------------------------------------------------------
<S> <C> <C>
BANKS - MAJOR REGIONAL (CONTINUED)
Fifth Third Bancorp............ 800 $ 50,600
Firstar Corporation............ 2,700 56,869
FleetBoston Financial
Corporation.................. 2,500 85,000
Huntington Bancshares, Inc..... 623 9,851
KeyCorp........................ 1,300 22,913
Mellon Financial Corporation... 1,279 46,604
National City Corporation...... 1,800 30,713
Northern Trust Corporation..... 600 39,038
Old Kent Financial
Corporation.................. 173 4,634
PNC Financial Services Group... 710 33,281
Regions Financial
Corporation.................. 347 6,897
State Street Corporation....... 388 41,152
Summit Bancorp................. 700 17,238
SunTrust Banks, Inc............ 803 36,687
Synovus Financial
Corporation.................. 732 12,901
U.S. Bancorp................... 2,000 38,500
Union Planters Corporation..... 400 11,175
Wachovia Corporation........... 490 26,583
Wells Fargo & Company(3)....... 4,500 174,375
--------------
961,280
BANKS - MONEY CENTER - 1.1%
Bank of America
Corporation(3)............... 4,850 208,550
Chase Manhattan
Corporation(3)............... 3,450 158,916
First Union Corporation........ 2,600 64,512
J.P. Morgan & Company, Inc..... 450 49,556
--------------
481,534
BEVERAGES - ALCOHOLIC - 0.2%
Anheuser-Busch Companies,
Inc.......................... 1,300 97,094
Brown-Forman Corporation (Cl.
B)........................... 115 6,181
--------------
103,275
BEVERAGES - SOFT DRINK - 1.4%
Coca-Cola Company(3)........... 6,700 384,831
Coca-Cola Enterprises, Inc..... 1,159 18,906
PepsiCo, Inc................... 4,000 177,750
--------------
581,487
BIOTECHNOLOGY - 0.7%
Amgen, Inc.*................... 3,000 210,750
Biogen, Inc.*.................. 400 25,800
MedImmune, Inc.*............... 700 51,800
--------------
288,350
</TABLE>
See accompanying notes.
--------------------------------------------------------------------------------
95
<PAGE> 97
SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
SERIES H (ENHANCED INDEX) (CONTINUED)
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
-------------------------------------------------------------
<S> <C> <C>
BROADCAST MEDIA - 1.0%
Clear Channel Communications,
Inc.*........................ 1,100 $ 82,500
Comcast Corporation*........... 3,000 121,500
MediaOne Group, Inc.(3)*....... 3,200 212,204
--------------
416,204
BUILDING MATERIALS - 0.1%
Armstrong Holdings, Inc. ...... 74 1,133
Masco Corporation.............. 1,300 23,481
Owens Corning.................. 122 1,129
--------------
25,743
CHEMICALS - BASIC - 0.6%
Air Products & Chemicals,
Inc. ........................ 518 15,961
E. I. du Pont de Nemours &
Company(3)................... 3,001 131,294
Praxair, Inc. ................. 400 14,975
Rohm and Haas Company.......... 500 17,250
Union Carbide Corporation...... 1,609 79,645
--------------
259,125
CHEMICALS - DIVERSIFIED - 0.1%
Engelhard Corporation.......... 400 6,825
FMC Corporation*............... 204 11,832
PPG Industries, Inc. .......... 411 18,212
--------------
36,869
CHEMICALS - SPECIALTY - 0.4%
Ecolab, Inc. .................. 400 15,625
Hercules, Inc. ................ 240 3,375
International Flavors &
Fragrances, Inc. ............ 174 5,253
Lilly Industries, Inc. ........ 5,200 156,325
Sigma-Aldrich Corporation...... 200 5,850
W. R. Grace & Company*......... 164 1,989
--------------
188,417
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
-------------------------------------------------------------
<S> <C> <C>
COMMUNICATION EQUIPMENT - 4.6%
ADC Telecommunications,
Inc.*........................ 1,000 $ 83,875
Andrew Corporation*............ 575 19,298
Comverse Technology, Inc.*..... 493 45,849
Corning, Inc. ................. 900 242,887
General Motors Corporation (Cl.
H)*.......................... 1 67
Lucent Technologies, Inc.(3)... 9,200 545,100
Motorola, Inc. ................ 6,000 174,375
Nortel Networks Corporation.... 8,300 566,475
QUALCOMM, Inc.*................ 2,200 132,000
Scientific-Atlanta, Inc. ...... 600 44,700
Tellabs, Inc.*................. 1,212 82,946
--------------
1,937,572
COMPUTER HARDWARE - 4.6%
Apple Computer, Inc.*.......... 990 51,851
Compaq Computer Corporation.... 4,700 120,144
Dell Computer
Corporation*(3).............. 7,600 374,775
Gateway, Inc.*................. 994 56,410
Hewlett-Packard Company........ 2,800 349,650
International Business Machines
Corporation.................. 5,100 558,769
NCR Corporation*............... 500 19,469
Sun Microsystems, Inc.*(3)..... 4,600 418,312
--------------
1,949,380
COMPUTER SOFTWARE/SERVICES - 7.7%
Adobe Systems, Inc............. 300 39,000
America Online, Inc.*(3)....... 6,700 353,425
BMC Industries, Inc............ 900 32,836
Citrix Systems, Inc.*.......... 600 11,363
Computer Associates
International, Inc........... 1,600 81,900
Compuware Corporation*......... 1,000 10,375
Mercury Interactive
Corporation*................. 250 24,187
Microsoft Corporation*(3)...... 15,050 1,204,000
Novell, Inc.*.................. 1,333 12,330
Oracle Corporation*(3)......... 8,250 693,516
Parametric Technology
Corporation*................. 800 8,800
PeopleSoft, Inc.*.............. 1,461 24,472
Siebel Systems, Inc.*.......... 600 98,138
Unisys Corporation*............ 900 13,106
Verio, Inc.*................... 6,000 333,000
VERITAS Software
Corporation*................. 1,200 135,450
Yahoo!, Inc.*.................. 1,557 192,873
--------------
3,268,771
</TABLE>
See accompanying notes.
--------------------------------------------------------------------------------
96
<PAGE> 98
SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
SERIES H (ENHANCED INDEX) (CONTINUED)
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
-------------------------------------------------------------
<S> <C> <C>
COMPUTERS - NETWORKING - 3.3%
3Com Corporation*.............. 1,000 $ 57,625
Cabletron Systems, Inc.*....... 789 19,922
Cisco Systems, Inc.*(3)........ 19,900 1,259,919
Network Appliance, Inc.*....... 1,000 80,500
--------------
1,417,966
COMPUTERS - PERIPHERALS - 1.3%
EMC Corporation*(3)............ 6,400 492,400
Lexmark International, Inc.*... 406 27,303
Seagate Technology, Inc.*...... 700 38,500
--------------
558,203
CONSTRUCTION - CEMENT - 0.0%
Vulcan Materials Company....... 172 7,342
CONSUMER - JEWEL/GIFT - 0.0%
American Greetings
Corporation.................. 751 14,269
CONSUMER FINANCE - 0.4%
Capital One Financial
Corporation.................. 500 22,313
Household International,
Inc.......................... 1,172 48,711
MBNA Corporation............... 2,058 55,823
Providian Financial
Corporation.................. 400 36,000
--------------
162,847
CONTAINERS - METAL & GLASS - 0.6%
American National Can Group,
Inc.......................... 15,000 253,125
Crown Cork & Seal Company,
Inc.......................... 621 9,315
Owens-Illinois, Inc.*.......... 419 4,897
--------------
267,337
CONTAINERS & PACKAGING - 0.1%
Bemis Company, Inc............. 500 16,812
Pactiv Corporation*............ 381 3,000
Temple-Inland, Inc............. 313 13,146
--------------
32,958
DISTRIBUTION - FOOD & HEALTH - 0.3%
Cardinal Health, Inc........... 705 52,170
McKesson HBOC, Inc............. 764 15,996
SUPERVALU, INC................. 718 13,687
SYSCO Corporation.............. 789 33,237
--------------
115,090
ELECTRIC COMPANIES - 1.4%
Ameren Corporation............. 300 10,125
American Electric Power
Company, Inc................. 295 8,745
CMS Energy Corporation......... 300 6,638
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
-------------------------------------------------------------
<S> <C> <C>
ELECTRIC COMPANIES (CONTINUED)
Cinergy Corporation............ 314 $ 7,987
Consolidated Edison, Inc....... 700 20,737
Constellation Energy Group..... 600 19,538
DTE Energy Company............. 600 18,337
Dominion Resources, Inc........ 777 33,314
Duke Energy Corporation........ 1,200 67,650
Edison International........... 1,400 28,700
Entergy Corporation............ 1,000 27,188
FPL Group, Inc................. 610 30,195
FirstEnergy Corporation........ 896 20,944
Florida Progress Corporation... 400 18,750
GPU, Inc....................... 225 6,089
New Century Energies, Inc...... 186 5,580
Niagra Mohawk Holdings,
Inc.*........................ 1,000 13,937
Northern States Power
Company...................... 700 14,131
PECO Energy Company............ 506 20,398
PG&E Corporation............... 1,500 36,938
PPL Corporation................ 809 17,747
Pinnacle West Capital
Corporation.................. 200 6,775
Public Service Enterprise
Group, Inc................... 876 30,331
Reliant Energy, Inc............ 1,000 29,563
Southern Company............... 1,900 44,294
TXU Corporation................ 700 21,044
Unicom Corporation............. 500 19,344
United Water Resources,
Inc. ........................ 400 13,950
--------------
598,969
ELECTRICAL EQUIPMENT - 4.1%
American Power Conversion
Corporation*................. 600 24,487
Cooper Industries, Inc. ....... 158 5,145
Emerson Electric Company....... 1,083 65,386
General Electric Company(3).... 28,150 1,491,950
Molex, Inc. ................... 469 22,571
Rockwell International
Corporation.................. 393 12,380
Sanmina Corporation*........... 375 32,062
Solectron Corporation*......... 1,900 79,563
--------------
1,733,544
ELECTRONICS - DEFENSE - 0.0%
Raytheon Company (Cl. B)....... 200 3,850
ELECTRONICS - DISTRIBUTION - 0.0%
W.W. Grainger, Inc. ........... 200 6,162
</TABLE>
See accompanying notes.
--------------------------------------------------------------------------------
97
<PAGE> 99
SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
SERIES H (ENHANCED INDEX) (CONTINUED)
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
-------------------------------------------------------------
<S> <C> <C>
ELECTRONICS - INSTRUMENTATION - 0.3%
Agilent Technologies, Inc.*.... 1,418 $ 104,572
PerkinElmer, Inc. ............. 319 21,094
--------------
125,666
ELECTRONICS - SEMICONDUCTORS - 5.5%
Adaptec, Inc.*................. 560 12,740
Advanced Micro Devices,
Inc.*........................ 500 38,625
Altera Corporation*............ 610 62,182
Analog Devices, Inc.*.......... 1,200 91,200
Broadcom Corporation*.......... 400 87,600
Burr-Brown Corporation*........ 600 52,013
Conexant Systems, Inc.*........ 800 38,900
Intel Corporation(3)........... 9,600 1,283,400
LSI Logic Corporation*......... 1,000 54,125
Linear Technology
Corporation.................. 786 50,255
Maxim Integrated Products,
Inc.*........................ 900 61,144
Micron Technology, Inc.*....... 1,500 132,094
National Semiconductor
Corporation*................. 575 32,631
Texas Instruments, Inc. ....... 3,880 266,507
Xilinx, Inc.*.................. 1,000 82,563
--------------
2,345,979
ENGINEERING & CONSTRUCTION - 0.0%
Fluor Corporation.............. 67 2,119
ENTERTAINMENT - 2.1%
Seagram Company, Ltd........... 1,200 69,600
Time Warner, Inc.(3)........... 3,700 281,200
Viacom, Inc. (Cl. B)*.......... 4,390 299,343
Walt Disney Company............ 5,800 225,112
--------------
875,255
EQUIPMENT - SEMICONDUCTORS - 0.8%
Applied Materials, Inc.*....... 2,400 217,500
KLA-Tencor Corporation*........ 618 36,192
Novellus Systems, Inc.*........ 375 21,211
Teradyne, Inc.*................ 700 51,450
--------------
326,353
FINANCIAL - DIVERSE - 3.1%
American Express Company(3).... 4,000 208,500
Associates First Capital
Corporation.................. 1,500 33,469
Citigroup, Inc.(3)............. 9,700 584,425
Fannie Mae(3).................. 2,900 151,344
Freddie Mac.................... 1,700 68,850
Morgan Stanley Dean Witter &
Company(3)................... 3,300 274,725
--------------
1,321,313
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
-------------------------------------------------------------
<S> <C> <C>
FOODS - 2.5%
Bestfoods...................... 5,292 $ 366,471
Campbell Soup Company.......... 700 20,388
ConAgra, Inc................... 1,172 22,341
General Mills, Inc............. 800 30,600
H.J. Heinz Company............. 900 39,375
Hershey Foods Corporation...... 600 29,212
International Home Foods,
Inc.*........................ 3,400 71,188
Kellogg Company................ 600 17,850
Nabisco Group Holdings
Corporation.................. 6,000 155,625
Nabisco Holdings Corporation... 2,200 115,500
Quaker Oats Company............ 400 30,050
Ralson-Ralston Purina Group.... 900 17,944
Sara Lee Corporation........... 2,600 50,212
Unilever N.V. ................. 1,301 55,943
Wm. Wrigley Jr. Company........ 300 24,056
--------------
1,046,755
FOOTWEAR - 0.1%
NIKE, Inc. (Cl. B)............. 800 31,850
Reebok International, Ltd.* ... 735 11,714
--------------
43,564
GAMING & LOTTERY - 0.0%
Harrah's Entertainment,
Inc.* ....................... 669 14,007
GOLD & PRECIOUS METALS MINING - 0.1%
Barrick Gold Corporation....... 1,100 20,006
Homestake Mining Company....... 591 4,063
Newmont Mining Corporation..... 314 6,790
Placer Dome, Inc............... 901 8,616
--------------
39,475
HARDWARE & TOOLS - 0.1%
Black & Decker Corporation..... 100 3,931
Stanley Works.................. 300 7,125
--------------
11,056
HEALTH CARE - DIVERSE - 2.7%
Abbott Laboratories............ 4,200 187,163
Allergan, Inc.................. 304 22,648
American Home Products
Corporation(3)............... 3,700 217,375
Bristol-Myers Squibb
Company(3)................... 5,300 308,725
Johnson & Johnson(3)........... 3,900 397,312
Mallinckrodt, Inc.............. 86 3,736
--------------
1,136,959
HEALTH CARE - LONG TERM CARE - 0.0%
Manor Care, Inc.*.............. 965 6,755
</TABLE>
See accompanying notes.
--------------------------------------------------------------------------------
98
<PAGE> 100
SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
SERIES H (ENHANCED INDEX) (CONTINUED)
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
-------------------------------------------------------------
<S> <C> <C>
HEALTH CARE - MANAGED CARE - 0.2%
Aetna, Inc..................... 400 $ 25,675
Humana, Inc.*.................. 1,259 6,688
UnitedHealth Group, Inc........ 398 34,129
Wellpoint Health Networks,
Inc.*........................ 200 14,487
--------------
80,979
HEALTH CARE - PHARMACEUTICALS
- GENERIC - 0.1%
ALZA Corporation*.............. 400 23,650
Watson Pharmaceuticals,
Inc.*........................ 419 22,521
--------------
46,171
HEALTH CARE - PHARMACEUTICALS
- MAJOR - 4.9%
Eli Lilly & Company(3)......... 3,200 319,600
Merck & Company, Inc.(3)....... 6,500 498,063
Pfizer, Inc.(3)................ 17,750 852,000
Pharmacia Corporation.......... 3,500 180,906
Schering-Plough
Corporation(3)............... 4,100 207,050
--------------
2,057,619
HEALTH CARE - SPECIALIZED
SERVICES - 0.0%
HEALTHSOUTH Corporation*....... 1,895 13,620
Quintiles Transnational
Corporation*................. 298 4,209
--------------
17,829
HOMEBUILDING - 0.0%
Centex Corporation............. 114 2,679
Kaufman & Broad Home
Corporation.................. 84 1,664
Pulte Corporation.............. 100 2,162
--------------
6,505
HOSPITAL MANAGEMENT - 0.2%
Columbia/HCA Healthcare
Corporation.................. 1,500 45,563
Tenet Healthcare Corporation... 1,246 33,642
--------------
79,205
HOUSEHOLD FURNISHINGS &
APPLIANCES - 0.1%
Leggett & Platt, Inc........... 600 9,900
Maytag Corporation............. 213 7,854
Whirlpool Corporation.......... 400 18,650
--------------
36,404
HOUSEHOLD PRODUCTS - 0.9%
Clorox Company................. 200 8,962
Colgate-Palmolive Company...... 1,600 95,800
Kimberly-Clark Corporation..... 1,500 86,063
Procter & Gamble Company(3).... 3,500 200,375
--------------
391,200
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
-------------------------------------------------------------
<S> <C> <C>
HOUSEWARES - 0.1%
Fortune Brands, Inc............ 300 $ 6,919
Newell Rubbermaid, Inc......... 200 5,150
Tupperware Corporation......... 453 9,966
--------------
22,035
INSURANCE - BROKERS - 0.2%
Aon Corporation................ 500 15,531
Marsh & McLennan Companies,
Inc.......................... 700 73,106
--------------
88,637
INSURANCE - LIFE & HEALTH - 0.3%
AFLAC, INC..................... 700 32,156
American General Corporation... 582 35,502
Conseco, Inc................... 899 8,765
Jefferson-Pilot Corporation.... 300 16,931
Lincoln National Corporation... 426 15,389
Torchmark Corporation.......... 217 5,357
--------------
114,100
INSURANCE - MULTILINE - 1.4%
American International Group,
Inc.(3)...................... 4,500 528,750
CIGNA Corporation.............. 400 37,400
Hartford Financial Services
Group, Inc................... 600 33,562
Loews Corporation.............. 200 12,000
--------------
611,712
INSURANCE - PROPERTY &
CASUALTY - 0.3%
Allstate Corporation........... 1,550 34,488
Chubb Corporation.............. 400 24,600
Cincinnati Financial
Corporation.................. 308 9,683
MBIA, Inc...................... 175 8,433
MGIC Investment Corporation.... 286 13,013
SAFECO Corporation............. 550 10,931
St. Paul Companies, Inc........ 521 17,779
--------------
118,927
INVESTMENT BANK/BROKERAGE - 0.8%
Bear Stearns Companies, Inc.... 189 7,867
Charles Schwab Corporation..... 3,887 130,700
Lehman Brothers Holdings,
Inc.......................... 500 47,281
Merrill Lynch & Company,
Inc.......................... 1,250 143,750
Paine Webber Group, Inc........ 386 17,563
--------------
347,161
INVESTMENT MANAGEMENT - 0.1%
Franklin Resources, Inc........ 600 18,225
T. Rowe Price Associates....... 600 25,500
--------------
43,725
</TABLE>
See accompanying notes.
--------------------------------------------------------------------------------
99
<PAGE> 101
SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
SERIES H (ENHANCED INDEX) (CONTINUED)
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
-------------------------------------------------------------
<S> <C> <C>
IRON & STEEL - 0.1%
Allegheny Technologies, Inc.... 697 $ 12,546
Bethlehem Steel Corporation*... 1,767 6,295
Nucor Corporation.............. 200 6,637
USX-U.S. Steel Group........... 110 2,042
Worthington Industries, Inc.... 628 6,594
--------------
34,114
LEISURE TIME PRODUCTS - 0.2%
Brunswick Corporation.......... 613 10,153
Harley-Davidson, Inc........... 715 27,528
Hasbro, Inc.................... 1,200 18,075
Mattel, Inc.................... 1,103 14,546
--------------
70,302
LODGING - HOTELS - 0.1%
Carnival Corporation........... 1,100 21,450
Hilton Hotels Corporation...... 953 8,934
Marriott International, Inc.... 600 21,637
--------------
52,021
MACHINERY - DIVERSE - 0.3%
Caterpillar, Inc............... 1,000 33,875
Deere & Company................ 600 22,200
Dover Corporation.............. 600 24,338
Ingersoll-Rand Company......... 400 16,100
Timken Company................. 725 13,503
--------------
110,016
MANUFACTURING - DIVERSIFIED - 1.5%
Crane Company.................. 152 3,695
Danaher Corporation............ 284 14,040
Eaton Corporation.............. 200 13,400
Honeywell International,
Inc. ........................ 2,200 74,113
ITT Industries, Inc. .......... 100 3,037
Illinois Tool Works, Inc. ..... 800 45,600
Johnson Controls, Inc. ........ 179 9,185
Minnesota Mining and
Manufacturing Company........ 1,200 99,000
National Service Industries,
Inc. ........................ 329 6,416
Parker-Hannifin Corporation.... 600 20,550
Textron, Inc. ................. 500 27,156
Thermo Electron Corporation*... 500 10,531
Tyco International, Ltd.(3).... 4,700 222,662
United Technologies
Corporation.................. 1,500 88,313
--------------
637,698
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
-------------------------------------------------------------
<S> <C> <C>
MANUFACTURING - SPECIALIZED - 0.1%
Avery Dennison Corporation..... 300 $ 20,137
Briggs & Stratton
Corporation.................. 100 3,425
Millipore Corporation.......... 100 7,538
Pall Corporation............... 400 7,400
Sealed Air Corporation*........ 300 15,712
--------------
54,212
MEDICAL PRODUCTS & SUPPLIES - 1.4%
Bausch & Lomb, Inc. ........... 100 7,738
Baxter International, Inc. .... 800 56,250
Becton, Dickinson & Company.... 490 14,057
Biomet, Inc. .................. 200 7,687
Boston Scientific
Corporation*................. 500 10,969
C.R. Bard, Inc. ............... 296 14,245
Guidant Corporation*........... 1,000 49,500
Medtronic, Inc. ............... 3,400 169,363
PE Corporation - PE Biosystems
Group........................ 516 33,991
St. Jude Medical, Inc.*........ 400 18,350
Summit Technology, Inc.*....... 10,900 205,738
--------------
587,888
METALS & MINING - 0.1%
Arch Coal, Inc. ............... 15 115
Freeport-McMoRan Copper & Gold,
Inc.*........................ 544 5,032
Inco, Ltd.*.................... 935 14,376
Phelps Dodge Corporation....... 100 3,719
--------------
23,242
NATURAL GAS - 0.7%
Coastal Corporation............ 715 43,526
Columbia Energy Group.......... 200 13,125
El Paso Energy Corporation..... 516 26,284
Enron Corporation.............. 2,000 129,000
NICOR, Inc..................... 264 8,613
ONEOK, Inc..................... 283 7,340
Peoples Energy Corporation..... 150 4,856
Sempra Energy.................. 532 9,044
Williams Companies, Inc........ 1,090 45,439
--------------
287,227
OFFICE EQUIPMENT & SUPPLIES - 0.0%
Pitney Bowes, Inc.............. 300 12,000
</TABLE>
See accompanying notes.
--------------------------------------------------------------------------------
100
<PAGE> 102
SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
SERIES H (ENHANCED INDEX) (CONTINUED)
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
-------------------------------------------------------------
<S> <C> <C>
OIL - DOMESTIC - 0.3%
Amerada Hess Corporation....... 300 $ 18,525
Conoco, Inc. (Cl. B)........... 1,571 38,588
Occidental Petroleum
Corporation.................. 1,162 24,475
Phillips Petroleum Company..... 700 35,481
USX-Marathon Group............. 200 5,013
--------------
122,082
OIL - INTERNATIONAL - 3.3%
Chevron Corporation(3)......... 2,000 169,625
Exxon Mobil Corporation(3)..... 10,000 785,000
Royal Dutch Petroleum Company
NY(3)........................ 6,000 369,375
Texaco, Inc.................... 1,300 69,225
--------------
1,393,225
OIL & GAS - DRILLING &
EQUIPMENT - 0.6%
Baker Hughes, Inc.............. 792 25,344
Halliburton Company............ 1,200 56,625
Rowan Companies, Inc.*......... 400 12,150
Schlumberger, Ltd.............. 1,550 115,669
Transocean Sedco Forex, Inc.... 500 26,719
--------------
236,507
OIL & GAS - EXPLORATION &
PRODUCTION - 0.2%
Apache Corporation............. 195 11,468
Burlington Resources, Inc...... 513 19,622
Kerr-McGee Corporation......... 200 11,787
Union Pacific Resources Group,
Inc.......................... 642 14,124
Unocal Corporation............. 494 16,364
--------------
73,365
OIL & GAS - REFINING &
MARKETING - 0.0%
Ashland, Inc................... 61 2,139
Sunoco, Inc.................... 100 2,944
Tosco Corporation.............. 300 8,494
--------------
13,577
PAPER & FOREST PRODUCTS - 0.3%
Boise Cascade Corporation...... 365 9,444
Georgia-Pacific Group.......... 400 10,500
International Paper Company.... 1,342 40,008
Louisiana-Pacific
Corporation.................. 1,040 11,310
Mead Corporation............... 112 2,828
Potlatch Corporation........... 200 6,625
Westvaco Corporation........... 600 14,888
Weyerhaeuser Company........... 900 38,700
Willamette Industries, Inc. ... 197 5,368
--------------
139,671
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
-------------------------------------------------------------
<S> <C> <C>
PERSONAL CARE - 0.2%
Alberto-Culver Company......... 15 $ 458
Avon Products, Inc. ........... 300 13,350
Gillette Company............... 2,600 90,837
--------------
104,645
PHOTOGRAPHY/IMAGING - 0.2%
Eastman Kodak Company.......... 982 58,429
Xerox Corporation.............. 1,180 24,485
--------------
82,914
POWER PRODUCERS - 0.2%
AES Corporation*............... 1,400 63,875
PUBLISHING - 0.1%
Harcourt General, Inc. ........ 102 5,546
McGraw-Hill Companies, Inc. ... 800 43,200
--------------
48,746
PUBLISHING - NEWSPAPER - 0.6%
Central Newspapers, Inc. ...... 1,900 120,175
Dow Jones & Company, Inc....... 200 14,650
Gannett Company, Inc........... 697 41,689
Knight-Ridder, Inc............. 414 22,020
New York Times Company......... 388 15,326
Tribune Company................ 600 21,000
--------------
234,860
RAILROADS - 0.3%
Burlington Northern Santa Fe
Corporation.................. 497 11,400
CSX Corporation................ 1,100 23,306
Kansas City Southern
Industries, Inc.............. 500 44,344
Norfolk Southern Corporation... 1,100 16,363
Union Pacific Corporation...... 682 25,362
--------------
120,775
RESTAURANTS - 0.4%
Darden Restaurants, Inc........ 894 14,527
McDonald's Corporation......... 3,800 125,163
Starbucks Corporation*......... 600 22,912
Tricon Global Restaurants,
Inc.*........................ 411 11,611
--------------
174,213
RETAIL - APPAREL - 0.3%
Gap, Inc. ..................... 2,300 71,875
Limited, Inc. ................. 1,600 34,600
TJX Companies, Inc. ........... 850 15,938
--------------
122,413
</TABLE>
See accompanying notes.
--------------------------------------------------------------------------------
101
<PAGE> 103
SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
SERIES H (ENHANCED INDEX) (CONTINUED)
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
-------------------------------------------------------------
<S> <C> <C>
RETAIL - BUILDING SUPPLIES - 0.9%
Home Depot, Inc.(3)............ 6,500 $ 324,594
Lowe's Companies, Inc. ........ 700 28,744
Sherwin-Williams Company....... 322 6,822
--------------
360,160
RETAIL - COMPUTERS &
ELECTRONICS - 0.2%
Best Buy Company, Inc.*........ 700 44,275
Circuit City Stores - Circuit
City Group................... 495 16,428
RadioShack Corporation......... 470 22,266
--------------
82,969
RETAIL - DEPARTMENT STORES - 0.3%
Dillard's, Inc. ............... 246 3,013
Federated Department Stores,
Inc.*........................ 764 25,785
J.C. Penney Company, Inc. ..... 669 12,335
Kohl's Corporation............. 1,100 61,188
May Department Stores Company.. 800 19,200
Nordstrom, Inc. ............... 610 14,716
--------------
136,237
RETAIL - DISCOUNTERS - 0.1%
Consolidated Stores
Corporation*................. 1,300 16,819
Dollar General Corporation..... 900 17,550
--------------
34,369
RETAIL - DRUG STORES - 0.3%
CVS Corporation................ 1,000 40,000
Longs Drug Stores
Corporation.................. 100 2,175
Rite Aid Corporation........... 585 3,839
Walgreen Company............... 2,700 86,906
--------------
132,920
RETAIL - FOOD CHAINS - 0.6%
Albertson's, Inc. ............. 584 19,418
Great Atlantic & Pacific Tea
Company, Inc. ............... 483 8,030
Hannaford Brothers Company..... 1,500 107,812
Kroger Company*................ 2,400 52,950
Safeway, Inc.*................. 1,600 72,200
Winn-Dixie Stores, Inc. ....... 381 5,453
--------------
265,863
RETAIL - GENERAL MERCHANDISE - 2.1%
Costco Wholesale
Corporation*................. 1,500 49,500
Kmart Corporation*............. 2,469 16,820
Sears, Roebuck & Company....... 1,100 35,888
Target Corporation............. 1,200 69,600
Wal-Mart Stores, Inc.(3) ...... 12,600 726,075
--------------
897,883
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
-------------------------------------------------------------
<S> <C> <C>
RETAIL - SPECIALTY - 0.2%
AutoZone, Inc.*................ 600 $ 13,200
Bed Bath & Beyond, Inc.*....... 800 29,000
Office Depot, Inc.*............ 861 5,381
Staples, Inc.*................. 1,300 19,987
Tiffany & Company.............. 150 10,125
Toys 'R' Us, Inc.*............. 1,000 14,563
--------------
92,256
SAVINGS & LOANS - 0.2%
Charter One Financial, Inc. ... 700 16,100
Golden West Financial
Corporation.................. 296 12,080
Washington Mutual, Inc. ....... 1,380 39,848
--------------
68,028
SERVICES - ADVERTISING/
MARKETING - 0.2%
Interpublic Group of Companies,
Inc. ........................ 700 30,100
Omnicom Group, Inc. ........... 400 35,625
Young & Rubicam, Inc. ......... 386 22,074
--------------
87,799
SERVICES - COMMERCIAL &
CONSUMER - 1.1%
Cendant Corporation*........... 2,000 28,000
Convergys Corporation*......... 450 23,344
Dun & Bradstreet Corporation... 327 9,360
H&R Block, Inc. ............... 700 22,662
IMS Health, Inc. .............. 900 16,200
Primark Corporation*........... 9,700 361,325
--------------
460,891
SERVICES - COMPUTER SYSTEMS - 1.4%
Computer Sciences
Corporation*................. 500 37,344
Electronic Data Systems
Corporation.................. 1,300 53,625
Policy Management Systems
Corporation*................. 7,500 115,313
Sapient Corporation*........... 200 21,387
Shared Medical Systems
Corporation.................. 5,500 401,156
--------------
628,825
</TABLE>
See accompanying notes.
--------------------------------------------------------------------------------
102
<PAGE> 104
SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
SERIES H (ENHANCED INDEX) (CONTINUED)
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
-------------------------------------------------------------
<S> <C> <C>
SERVICES - DATA PROCESSING - 0.5%
Automatic Data Processing,
Inc. ........................ 1,700 $ 91,056
Ceridian Corporation*.......... 400 9,625
First Data Corporation......... 1,078 53,496
Paychex, Inc. ................. 1,400 58,800
--------------
212,977
SPECIALTY PRINTING - 0.0%
Deluxe Corporation............. 595 14,020
R.R. Donnelley & Sons
Company...................... 192 4,332
--------------
18,352
TELECOMMUNICATION - CELLULAR - 0.7%
Nextel Communications, Inc.*... 2,500 152,969
Sprint Corporation (PCS
Group)*...................... 2,750 163,625
--------------
316,594
TELECOMMUNICATION - LONG
DISTANCE - 2.0%
AT&T Corporation(3)............ 7,800 246,675
Global Crossing, Ltd.*......... 2,641 69,491
Sprint Corporation (FON
Group)(3).................... 2,750 140,250
WorldCom, Inc.*................ 8,100 372,094
--------------
828,510
TELEPHONE - 2.8%
ALLTEL Corporation............. 781 48,373
Bell Atlantic Corporation(3)... 4,300 218,494
BellSouth Corporation(3)....... 5,300 225,913
GTE Corporation(3)............. 2,700 168,075
SBC Communications, Inc.(3).... 9,699 419,482
U S WEST, Inc. ................ 1,400 120,050
--------------
1,200,387
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
-------------------------------------------------------------
<S> <C> <C>
TEXTILES - APPAREL - 0.0%
Liz Claiborne, Inc. ........... 388 $ 13,677
V. F. Corporation.............. 204 4,883
--------------
18,560
TOBACCO - 0.4%
Philip Morris Companies,
Inc.(3)...................... 6,500 172,656
R.J. Reynolds Tobacco Holdings,
Inc. ........................ 1 28
UST, Inc. ..................... 449 6,595
--------------
179,279
TRUCKING - 0.0%
Ryder System, Inc. ............ 145 2,746
TRUCKS & PARTS - 0.1%
Navistar International
Corporation*................. 300 9,319
PACCAR, Inc. .................. 500 19,844
--------------
29,163
WASTE MANAGEMENT - 0.1%
Allied Waste Industries,
Inc.*........................ 415 4,150
Waste Management, Inc. ........ 1,800 34,200
--------------
38,350
--------------
Total common stocks - 90.8%............... 38,435,823
U.S. GOVERNMENT & AGENCIES - 0.8%
U.S. Treasury Bill, 5.10% -
07/31/00..................... $ 350,000 349,488
--------------
Total investments - 91.6%................. 38,785,311
Cash & other assets, less
liabilities - 8.4%...................... 3,569,811
--------------
Total net assets - 100.0%................. $ 42,355,122
==============
</TABLE>
See accompanying notes.
--------------------------------------------------------------------------------
103
<PAGE> 105
SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
SERIES L (CAPITAL GROWTH)
NUMBER MARKET
COMMON STOCKS OF SHARES VALUE
-------------------------------------------------------------
<S> <C> <C>
AIRLINES - 0.6%
Continental Airlines - (Cl.
B)*.......................... 900 $ 42,300
UAL Corporation................ 100 5,819
--------------
48,119
BANKS - MAJOR REGIONAL - 0.3%
Wells Fargo & Company.......... 600 23,250
BANKS - MONEY CENTER - 1.0%
Chase Manhattan Corporation 1,700 78,306
BROADCAST MEDIA - 5.6%
AMFM, Inc.*.................... 500 34,500
AT&T Corporation - Liberty
Media Group*................. 8,900 215,825
Clear Channel Communication,
Inc.*........................ 600 45,000
MediaOne Group, Inc.*.......... 2,200 145,890
--------------
441,215
COMMUNICATION EQUIPMENT - 10.7%
Corning, Inc................... 1,000 269,875
E-Tek Dynamics, Inc.*.......... 100 26,381
Lucent Technologies............ 200 11,850
Motorola, Inc.................. 300 8,719
Nokia Oyj...................... 7,400 369,538
Nortel Networks Corporation.... 2,200 150,150
--------------
836,513
COMPUTER HARDWARE - 3.4%
Dell Computer Corporation*..... 4,400 216,975
International Business Systems
Corporation.................. 400 43,825
Sun Microsystems, Inc.*........ 100 9,094
--------------
269,894
COMPUTER SOFTWARE/SERVICES - 6.3%
Amdocs Limited*................ 300 23,025
eBAY, Inc.*.................... 200 10,863
Microsoft Corporation*......... 3,600 288,000
Oracle Corporation*............ 1,600 134,500
Yahoo!, Inc.*.................. 300 37,162
--------------
493,550
COMPUTERS - NETWORKING - 3.7%
Cisco Systems, Inc.*........... 4,600 291,238
COMPUTERS - PERIPHERALS - 2.3%
EMC Corporation*............... 2,300 176,956
CONSUMER FINANCE - 1.4%
Household International,
Inc. ........................ 1,500 62,344
MBNA Corporation............... 1,800 48,825
--------------
111,169
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
-------------------------------------------------------------
<S> <C> <C>
ELECTRICAL EQUIPMENT - 0.2%
Solectron Corporation*......... 400 16,750
ELECTRONICS - SEMICONDUCTORS - 6.1%
Intel Corporation.............. 3,100 414,431
Micron Technology, Inc. ....... 700 61,644
Texas Instruments, Inc. ....... 100 6,868
--------------
482,943
ENTERTAINMENT - 3.4%
Time Warner, Inc. ............. 1,800 136,800
Viacom, Inc. (Cl. B)*.......... 1,200 81,825
Walt Disney Company*........... 1,200 46,575
--------------
265,200
EQUIPMENT - SEMICONDUCTORS - 4.2%
Applied Materials, Inc.*....... 3,600 326,250
FINANCIAL - DIVERSE - 10.1%
Associates First Capital
Corporation.................. 9,800 218,662
CIT Group, Inc. ............... 4,800 78,000
Citigroup, Inc. ............... 4,600 277,150
Fannie Mae..................... 600 31,313
Freddie Mac.................... 1,400 56,700
Morgan Stanley Dean Witter &
Company...................... 1,600 133,200
--------------
795,025
HEALTH CARE - PHARMACEUTICALS - 10.5%
Pfizer, Inc. .................. 10,000 480,000
Pharmacia Corporation.......... 1,600 82,700
Schering-Plough Corporation.... 5,200 262,600
--------------
825,300
HOUSEHOLD PRODUCTS - 0.7%
Colgate-Palmolive Company...... 900 53,887
INSURANCE - MULTILINE - 1.0%
American International
Group, Inc................... 700 82,250
INVESTMENT BANK/BROKERAGE - 0.5%
Goldman Sachs Group, Inc....... 400 37,950
MANUFACTURING - DIVERSIFIED - 6.1%
Honeywell International,
Inc.......................... 900 30,319
Tyco International, Inc........ 7,000 331,625
United Technologies
Corporation.................. 2,000 117,750
--------------
479,694
MEDICAL PRODUCTS & SUPPLIES - 0.8%
Medtronic, Inc................. 1,300 64,756
OIL - INTERNATIONAL - 1.5%
BP Amoco Plc................... 2,100 118,781
</TABLE>
See accompanying notes.
--------------------------------------------------------------------------------
104
<PAGE> 106
SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
SERIES L (CAPITAL GROWTH) (CONTINUED)
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
-------------------------------------------------------------
<S> <C> <C>
RETAIL - BUILDING SUPPLIES - 4.2%
Home Depot, Inc................ 5,100 254,681
Lowes Companies, Inc........... 1,800 73,913
--------------
328,594
RETAIL - DEPARTMENT STORES - 0.4%
Kohl's Corporation*............ 500 27,812
RETAIL - DRUG STORES - 0.5%
Walgreen Company............... 1,200 38,625
RETAIL - GENERAL MERCHANDISE - 0.4%
Costco Wholesale
Corporation*................. 600 19,800
Wal-Mart Stores, Inc........... 200 11,525
--------------
31,325
TELECOMMUNICATION - CELLULAR - 2.0%
AT&T Wireless Group*........... 5,700 158,888
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT OR
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
-------------------------------------------------------------
<S> <C> <C>
TELECOMMUNICATIONS - LONG
DISTANCE - 3.0%
Sprint Corporation............. 1,400 71,400
Vodafone AirTouch, plc*........ 4,000 165,750
--------------
237,150
--------------
Total common stocks - 90.9%............... 7,141,390
<CAPTION>
REPURCHASE AGREEMENT
--------------------
<S> <C> <C>
State Street,
2.0% 7-03-00 (Collateralized
by FNMA, 6.195% - 12-27-00
with a value of
$718,200) - 9.0%............. $ 700,031 700,031
--------------
Total investments - 99.9%................. 7,841,421
Cash and other assets, less
liabilities - 0.1%...................... 11,589
--------------
Total net assets - 100%................... $ 7,853,010
==============
</TABLE>
See accompanying notes.
--------------------------------------------------------------------------------
105
<PAGE> 107
SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
SERIES Q (SMALL CAP VALUE)
NUMBER MARKET
COMMON STOCKS OF SHARES VALUE
-------------------------------------------------------------
<S> <C> <C>
AIR FREIGHT - 0.4%
Petroleum Helicopters, Inc.*... 2,500 $ 24,062
AIRLINES - 0.4%
Linea Aerea Nacional Chile
S.A.......................... 3,000 21,750
AUTO PARTS & EQUIPMENT - 2.4%
TBC Corporation*............... 18,000 83,250
Tower Automotive*.............. 4,500 56,250
--------------
139,500
BANKS - MAJOR REGIONAL - 1.2%
Hibernia Corporation........... 6,500 70,688
CHEMICALS - BASIC - 0.8%
Calgon Carbon Corporation...... 6,100 47,275
CHEMICALS - SPECIALTY - 3.1%
Fuller (H.B.) Company.......... 2,000 91,125
M.A. Hanna Company............. 10,000 90,000
--------------
181,125
COMMUNICATION EQUIPMENT - 0.7%
Glenayre Technologies, Inc.*... 2,500 26,406
IFR Systems, Inc.*............. 3,000 15,000
--------------
41,406
COMPUTER HARDWARE - 2.2%
Bell Micoproducts, Inc.*....... 5,000 91,875
IOMEGA Corporation*............ 9,000 36,000
--------------
127,875
COMPUTER SOFTWARE/SERVICES - 7.4%
Evans & Sutherland CMP
Corporation*................. 4,000 25,500
Inprise Corporation*........... 19,000 116,375
JDA Software Group, Inc.*...... 4,500 86,344
Jetform Corporation*........... 15,000 73,125
OPTIKA, Inc.*.................. 3,300 19,800
Ross Systems, Inc.*............ 30,000 40,312
Storage Networks, Inc.* ....... 200 18,050
Unova, Inc.*................... 7,600 55,575
--------------
435,081
COMPUTERS - NETWORKING - 0.9%
Splash Technology Holdings,
Inc.*........................ 7,000 55,125
COMPUTERS - PERIPHERALS - 0.8%
INFOCUS Corporation*........... 1,500 48,281
CONSTRUCTION - CEMENT - 0.5%
U.S. Concrete, Inc.* .......... 3,500 28,000
CONSUMER FINANCE - 2.7%
World Acceptance
Corporation*................. 30,000 157,500
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
-------------------------------------------------------------
<S> <C> <C>
ELECTRIC COMPANIES - 1.2%
Citizens Communications
Company*..................... 4,000 69,000
ELECTRICAL EQUIPMENT - 0.4%
Encore Wire Corporation*....... 6,800 36,550
Smith (A.O.) Corporation*...... 1,000 20,938
--------------
57,488
ENGINEERING & CONSTRUCTION - 2.4%
Chicago Bridge & Iron Company
N.V.......................... 9,500 139,531
EQUIPMENT - SEMICONDUCTORS - 1.0%
Silicon Valley Group, Inc.*.... 2,200 56,925
FOODS - 2.1%
Fresh Del Monte Products,
Inc.*........................ 14,500 99,688
M&F Worldwide Corporation*..... 3,800 21,375
--------------
121,063
GOLD & PRECIOUS METALS MINING - 2.8%
Apex Silver Mines, Ltd.*....... 6,400 63,600
Glamis Gold, Ltd.*............. 30,000 58,125
Goldcorp, Inc.* ............... 6,500 46,719
--------------
168,444
HARDWARE & TOOLS - 0.3%
Barnett, Inc.*................. 1,500 15,375
HEALTH CARE - LONG TERM CARE - 1.8%
Manor Care, Inc.* ............. 14,800 103,600
HOMEBUILDING - 1.0%
Newmark Home Corporation*...... 9,100 58,581
INSURANCE - MULTILINE - 1.4%
Mercury General Corporation*... 3,600 85,050
IRON & STEEL - 4.6%
Bethlehem Steel Corporation*... 7,000 24,938
LTV Corporation................ 10,000 28,750
Pitt-Des Moines, Inc........... 4,800 91,200
Roanoke Electric Steel
Corporation.................. 4,500 56,250
Webco Industries, Inc.* ....... 6,000 18,375
WHX Corporation*............... 9,500 52,250
--------------
271,763
MANUFACTURING - DIVERSIFIED - 1.7%
Dura Automotive Systems,
Inc.*........................ 4,600 49,737
Jason, Inc.*................... 5,000 48,125
--------------
97,862
</TABLE>
See accompanying notes.
--------------------------------------------------------------------------------
106
<PAGE> 108
SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
SERIES Q (SMALL CAP VALUE) (CONTINUED)
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
-------------------------------------------------------------
<S> <C> <C>
MANUFACTURING - SPECIALIZED - 3.4%
Armor Holdings, Inc.*.......... 6,600 85,800
Pall Corporation*.............. 4,500 83,250
Rofin-Sinar Technologies,
Inc.* ....................... 2,500 31,250
--------------
200,300
MEDICAL PRODUCTS & SUPPLIES - 1.8%
Allied Healthcare Products*.... 5,200 17,550
Exactech, Inc.*................ 2,000 31,875
Henry Schein, Inc.*............ 2,500 43,125
Invacare Corporation........... 500 13,125
--------------
105,675
OIL - DOMESTIC - 0.5%
Greka Energy Corporation*...... 3,000 27,375
OIL & GAS - DRILLING &
EQUIPMENT - 8.2%
Key Energy Group, Inc.*........ 7,000 67,375
Marine Drilling Companies,
Inc.*........................ 1,000 28,000
Matrix Service Company*........ 27,000 124,875
Newpark Resources, Inc.*....... 10,900 102,869
Oceaneering International,
Inc.*........................ 1,500 28,500
Petroleum Geo-Services ASA
(PGS) ADR*................... 5,000 85,312
R & B Falcon Corporation*...... 2,000 47,125
--------------
484,056
OIL & GAS - EXPLORATION &
PRODUCTION - 7.3%
HS Resources, Inc.*............ 2,000 60,000
McMoran Exploration Company*... 3,600 59,400
Meridian Resource
Corporation*................. 14,000 79,625
Patina Oil & Gas Corporation... 2,000 41,500
Pure Resources, Inc.*.......... 4,302 76,898
Range Resources Corporation*... 37,000 115,625
--------------
433,048
RESTAURANTS - 0.9%
Sizzler International, Inc.*... 20,000 51,250
RETAIL - DISCOUNTERS - 1.3%
Shopko Stores, Inc............. 5,000 76,875
RETAIL - GENERAL MERCHANDISE - 0.4%
Sharper Image Corporation*..... 2,000 25,000
RETAIL - SPECIALITY - 2.2%
Barbeques Galore, Ltd. S.A.*... 11,800 106,200
Heilig Meyers Company.......... 18,000 21,375
--------------
127,575
SERVICES - ADVERTISING &
MARKETING - 1.2%
R.H. Donnelley Corporation*.... 3,600 69,750
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT OR
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
-------------------------------------------------------------
<S> <C> <C>
SERVICES - COMMERCIAL &
CONSUMER - 6.7%
ABM Industries, Inc............ 4,000 92,000
Kforce.com*.................... 5,400 37,462
Modis Professional Services*... 6,600 58,575
Navigant Consulting, Inc.*..... 6,500 27,625
Pegasus Systems, Inc.*......... 8,500 92,438
Wackenhut Corrections
Corporation*................. 12,300 90,712
--------------
398,812
SERVICES - COMPUTER SYSTEMS - 1.0%
Infocrossing, Inc.*............ 1,700 32,088
Policy Management Systems
Corporation*................. 2,000 30,750
--------------
62,838
TELECOMMUNICATION - CELLULAR - 0.1%
Exfo Electro-Optical
Engineering, Inc.*........... 100 4,388
TEXTILES - APPAREL - 0.2%
Burlington Industries, Inc.*... 5,200 8,775
TRUCKING - 0.8%
Covenant Transport, Inc.*...... 6,000 48,000
--------------
Total common stocks - 80.2%............... 4,746,067
<CAPTION>
OPTIONS PURCHASED - 0.1%
------------------------
<S> <C> <C>
Glenayre Technologies, Inc.
Call Option, expires 07/21/00
strike price 12.50........... 25 625
ESS Technology Call Option,
expires 08/18/2000 strike
price 15.00.................. 17 3,187
--------------
3,812
<CAPTION>
REPURCHASE AGREEMENT - 20.4%
----------------------------
<S> <C> <C>
State Street,
3.50% - 7-03-00
(Collateralized by FNMA,
6.32% - 2002 with a value of
$1,236,719).................. $ 1,209,114 $ 1,209,114
--------------
Total investments - 100.7%................ 5,958,993
Liabilities, less cash and other assets -
(0.7)%.................................. (39,409)
--------------
Total net assets - 100.0%................. $ 5,919,584
==============
</TABLE>
See accompanying notes.
--------------------------------------------------------------------------------
107
<PAGE> 109
SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
SERIES A (EQUITY)
NUMBER MARKET
PREFERRED STOCK OF SHARES VALUE
-------------------------------------------------------------
<S> <C> <C>
PUBLISHING - 0.7%
News Corporation Ltd. ADR...... 175,000 $ 8,312,500
<CAPTION>
COMMON STOCKS
-------------
<S> <C> <C>
AEROSPACE/DEFENSE - 0.2%
Boeing Company................. 60,000 2,508,750
ALUMINUM - 0.3%
Alcoa, Inc. ................... 110,000 3,190,000
BANKS - MAJOR REGIONAL - 2.7%
Bank of New York Company,
Inc. ........................ 320,000 14,880,000
Northern Trust Corporation..... 150,000 9,759,375
Wells Fargo & Company.......... 200,000 7,750,000
--------------
32,389,375
BANKS - MONEY CENTER - 1.5%
Bank of America Corporation.... 150,000 6,450,000
Chase Manhattan Corporation.... 247,500 11,400,469
--------------
17,850,469
BEVERAGES - ALCOHOLIC - 0.5%
Anheuser-Busch Companies,
Inc. ........................ 80,000 5,975,000
BEVERAGES - SOFT DRINK - 1.6%
Coca-Cola Company.............. 175,000 10,051,562
PepsiCo, Inc. ................. 200,000 8,887,500
--------------
18,939,062
BIOTECHNOLOGY - 0.5%
Amgen, Inc.*................... 80,000 5,620,000
BROADCAST MEDIA - 1.2%
Clear Channel Communications,
Inc.*........................ 135,000 10,125,000
Univision Communications,
Inc.*........................ 50,000 5,175,000
--------------
15,300,000
BUILDING MATERIALS - 0.3%
Masco Corporation.............. 200,000 3,612,500
CHEMICALS - BASIC - 0.2%
Rohm & Haas Company............ 70,000 2,415,000
CHEMICALS - SPECIALTY - 0.5%
Ecolab, Inc. .................. 145,000 5,664,063
COMMUNICATION EQUIPMENT - 5.9%
ADC Telecommunications,
Inc.*........................ 100,000 8,387,500
Comverse Technology, Inc.*..... 30,000 2,790,000
Lucent Technologies, Inc. ..... 290,000 17,182,500
Motorola, Inc. ................ 255,000 7,410,938
Nokia Oyj ADR.................. 200,000 9,987,500
Nortel Networks Corporation.... 300,000 20,475,000
Tellabs, Inc.*................. 80,000 5,475,000
--------------
71,708,438
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
-------------------------------------------------------------
<S> <C> <C>
COMPUTER HARDWARE - 4.9%
Dell Computer Corporation*..... 225,000 $ 11,095,312
Hewlett-Packard Company........ 90,000 11,238,750
International Business Machines
Corporation.................. 180,000 19,721,250
Sun Microsystems, Inc.*........ 200,000 18,187,500
--------------
60,242,812
COMPUTER - NETWORKING - 3.6%
Cisco Systems, Inc.*........... 690,000 43,685,625
COMPUTER - PERIPHERALS - 1.3%
EMC Corporation*............... 200,000 15,387,500
COMPUTER SOFTWARE/SERVICES - 6.5%
Amdocs Limited*................ 70,000 5,372,500
America Online, Inc.*.......... 140,000 7,385,000
Computer Sciences
Corporation*................. 70,000 3,583,125
Microsoft Corporation*......... 540,000 43,200,000
Oracle Corporation*............ 240,000 20,175,000
--------------
79,715,625
DISTRIBUTION - FOOD & HEALTH - 1.2%
Cardinal Health, Inc. ......... 190,000 14,060,000
ELECTRICAL EQUIPMENT - 5.1%
General Electric Company....... 1,080,000 57,240,036
Sanmina Corporation*........... 60,000 5,130,000
--------------
62,370,036
ELECTRONICS - INSTRUMENTATION - 0.2%
Agilent Technologies, Inc.*.... 34,326 2,531,543
ELECTRONICS - SEMICONDUCTORS - 5.0%
Intel Corporation.............. 350,000 46,790,625
National Semiconductor
Corporation*................. 60,000 3,405,000
Texas Instruments, Inc......... 150,000 10,303,125
--------------
60,498,750
ENTERTAINMENT - 1.7%
Time Warner, Inc............... 140,000 10,640,000
Viacom, Inc. (Cl. B)*.......... 150,000 10,228,125
--------------
20,868,125
</TABLE>
See accompanying notes.
--------------------------------------------------------------------------------
108
<PAGE> 110
SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
SERIES A (EQUITY) (CONTINUED)
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
-------------------------------------------------------------
<S> <C> <C>
EQUIPMENT - SEMICONDUCTORS - 0.9%
Applied Materials, Inc.*....... 80,000 $ 7,250,000
Teradyne, Inc.*................ 55,000 4,042,500
--------------
11,292,500
FINANCIAL - DIVERSE - 3.8%
American Express Company....... 150,000 7,818,750
Citigroup, Inc................. 310,000 18,677,500
Fannie Mae..................... 180,000 9,393,750
Freddie Mac.................... 160,000 6,480,000
Morgan Stanley Dean Witter &
Company...................... 50,000 4,162,500
--------------
46,532,500
HEALTH CARE - DIVERSE - 2.5%
American Home Products
Corporation.................. 170,000 9,987,500
Bristol-Myers Squibb Company... 150,000 8,737,500
Johnson & Johnson.............. 115,000 11,715,625
--------------
30,440,625
HEALTH CARE - PHARMACEUTICALS
- MAJOR - 3.2%
Merck & Company, Inc........... 130,000 9,961,250
Pfizer, Inc.................... 275,000 13,200,000
Pharmacia Corporation.......... 71,400 3,690,488
Schering-Plough Corporation.... 250,000 12,625,000
--------------
39,476,738
HOUSEHOLD PRODUCTS - 1.8%
Colgate-Palmolive Company...... 260,000 15,567,500
Kimberly-Clark Corporation..... 40,000 2,295,000
Procter & Gamble Company....... 80,000 4,580,000
--------------
22,442,500
INSURANCE - LIFE/HEALTH - 0.5%
American General Corporation... 100,000 6,100,000
INSURANCE - MULTILINE - 2.3%
American International Group,
Inc. ........................ 180,000 21,150,000
Hartford Financial Services
Group, Inc. ................. 130,000 7,271,875
--------------
28,421,875
LEISURE TIME PRODUCTS - 0.3%
Harley-Davidson, Inc. ......... 110,000 4,235,000
LODGING - HOTELS - 0.3%
Carnival Corporation........... 175,000 3,412,500
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
-------------------------------------------------------------
<S> <C> <C>
MANUFACTURING - DIVERSIFIED - 2.5%
Honeywell International,
Inc. ........................ 100,000 $ 3,368,750
Illinois Tool Works, Inc. ..... 65,000 3,705,000
Minnesota Mining &
Manufacturing Company........ 25,000 2,062,500
Textron, Inc. ................. 98,400 5,344,350
Tyco International, Ltd. ...... 290,000 13,738,750
United Technologies
Corporation.................. 40,000 2,355,000
--------------
30,574,350
MANUFACTURING - SPECIALIZED - 0.2%
Avery Dennison Corporation..... 30,000 2,013,750
MEDICAL PRODUCTS & SUPPLIES - 2.8%
Baxter International, Inc. .... 140,000 9,843,750
Becton, Dickinson & Company.... 230,000 6,598,125
Guidant Corporation*........... 100,000 4,950,000
Medtronic, Inc. ............... 250,000 12,453,125
--------------
33,845,000
NATURAL GAS - 2.7%
Coastal Corporation............ 270,000 16,436,250
Eron Corporation............... 100,000 6,450,000
Williams Companies, Inc. ...... 230,000 9,588,125
--------------
32,474,375
OIL - INTERNATIONAL - 3.7%
Chevron Corporation............ 120,000 10,177,500
Exxon Mobil Corporation........ 280,000 21,980,000
Royal Dutch Petroleum Company
NY........................... 200,000 12,312,500
--------------
44,470,000
PUBLISHING - 0.5%
McGraw-Hill Companies, Inc. ... 120,000 6,480,000
PUBLISHING - NEWSPAPER - 1.0%
Gannett Company, Inc. ......... 125,000 7,476,562
Tribune Company................ 150,000 5,250,000
--------------
12,726,562
RETAIL - APPAREL - 0.2%
Gap, Inc....................... 60,000 1,875,000
RETAIL - BUILDING SUPPLIES - 0.9%
Home Depot, Inc................ 225,000 11,235,937
RETAIL - DEPARTMENT STORES - 0.3%
Kohl's Corporation*............ 70,000 3,893,750
RETAIL - DRUG STORES - 1.3%
Walgreen Company............... 500,000 16,093,750
RETAIL - FOOD CHAINS - 0.8%
Safeway, Inc.*................. 220,000 9,927,500
</TABLE>
See accompanying notes.
--------------------------------------------------------------------------------
109
<PAGE> 111
SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
SERIES A (EQUITY) (CONTINUED)
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
-------------------------------------------------------------
<S> <C> <C>
RETAIL - GENERAL MERCHANDISE - 3.2%
Costco Wholesale
Corporation*................. 60,000 $ 1,980,000
Target Corporation............. 200,000 11,600,000
Wal-Mart Stores, Inc........... 430,000 24,778,750
--------------
38,358,750
SERVICES - ADVERTISING/
MARKETING - 1.0%
Omnicom Group, Inc............. 140,000 12,468,750
SERVICES - COMPUTER SYSTEMS - 0.9%
Computer Sciences
Corporation*................. 150,000 11,203,125
SERVICES - DATA PROCESSING - 0.4%
First Data Corporation......... 100,000 4,962,500
TELECOMMUNICATION - CELLULAR - 1.2%
Nextel Communications, Inc.*... 80,000 4,895,000
Sprint Corporation (PCS
Group)*...................... 160,000 9,520,000
--------------
14,415,000
TELECOMMUNICATION - LONG
DISTANCE - 2.5%
AT&T Corporation............... 180,000 5,692,500
Qwest Communications
International, Inc.*......... 60,000 2,981,250
Sprint Corporation............. 150,000 7,650,000
WorldCom, Inc.*................ 300,000 13,781,250
--------------
30,105,000
TELEPHONE - 3.2%
BellSouth Corporation.......... 225,000 9,590,625
GTE Corporation................ 200,000 12,450,000
SBC Communications, Inc........ 300,000 12,975,000
U S WEST, Inc.................. 50,000 4,287,500
--------------
39,303,125
UNIT INVESTMENT TRUST - 7.0%
Nasdaq-100 Shares*............. 400,000 37,275,000
Standard & Poor's Depositary
Receipts..................... 330,000 47,942,813
--------------
85,217,813
--------------
Total common stocks - 96.8%............... 1,178,530,948
<CAPTION>
PRINCIPAL MARKET
COMMERCIAL PAPER AMOUNT VALUE
-------------------------------------------------------------
<S> <C> <C>
AEROSPACE/DEFENSE - 0.3%
Honeywell International, 6.50%,
7-05-00...................... $ 4,400,000 $ 4,396,822
BROKERAGE - 0.4%
Merrill Lynch & Company, Inc.,
6.60%, 7-06-00............... 1,400,000 1,398,716
6.54%, 7-12-00............... 3,200,000 3,193,605
--------------
4,592,321
COMBINATION GAS & ELECTRIC - 0.5%
Baltimore Gas & Electric
Company, 6.60%, 8-03-00...... 4,000,000 3,975,800
Pacific Gas & Electric Company,
6.52%, 7-10-00............... 2,000,000 1,996,740
--------------
5,972,540
ELECTRIC UTILITIES - 0.6%
Duke Energy Corporation,
6.48%, 7-07-00............... 3,000,000 2,996,760
6.735%, 7-07-00.............. 2,500,000 2,497,194
Potomac Electric Power Company,
6.55%, 7-11-00............... 1,400,000 1,397,453
--------------
6,891,407
FOOD PROCESSING - 0.4%
General Mills, Inc.,
6.47%, 7-03-00............... 2,900,000 2,898,958
6.985%, 7-03-00.............. 1,500,000 1,499,418
--------------
4,398,376
--------------
Total commercial paper - 2.2%............. 26,251,466
--------------
Total investments - 99.7%................. 1,213,094,914
Cash and other assets, less
liabilities - 0.3%...................... 4,022,694
--------------
Total net assets - 100.0%................. $1,217,117,608
==============
</TABLE>
See accompanying notes.
--------------------------------------------------------------------------------
110
<PAGE> 112
SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
SERIES P (HIGH YIELD)
PRINCIPAL
AMOUNT OR
NUMBER MARKET
CORPORATE BONDS OF SHARES VALUE
-------------------------------------------------------------
<S> <C> <C>
AEROSPACE/DEFENSE - 0.4%
Burke Industries, Inc.,
10.00% - 2007................ $ 200,000 $ 70,500
AUTOMOTIVE - 4.2%
Federal-Mogul Corporation,
7.50% - 2009................. $ 75,000 51,469
7.875% - 2010................ $ 200,000 139,500
Hayes Lemmerz International,
Inc., 8.25% - 2008........... $ 250,000 211,250
Lear Corporation,
7.96% - 2005................. $ 250,000 235,000
Mark IV Industries, Inc.,
7.75% - 2006................. $ 200,000 198,250
--------------
835,469
BANKING - 2.2%
BF SAUL REIT, 9.75% - 2008..... $ 175,000 150,938
FCB/NC Capital Trust I, 8.05% -
2028......................... $ 75,000 61,969
Golden State Holdings, Inc.,
7.125% - 2005................ $ 200,000 178,500
Homeside, Inc.,
11.25% - 2003................ $ 50,000 54,125
--------------
445,532
BEVERAGES - 1.2%
Canandaigua Brands, 8.625%,
2006......................... $ 200,000 197,500
Delta Beverage Group, 9.75% -
2003......................... $ 50,000 47,187
--------------
244,687
BROKERAGE - 0.4%
S I Financing Trust I, 9.50% -
2026(4)...................... 3,500 88,375
BUILDING MATERIALS - 2.5%
American Plumbing & Mechanical,
Inc., 11.625% - 2008......... $ 300,000 279,750
Knoll, Inc., 10.875% - 2006.... $ 63,000 63,000
Nortek, Inc., 8.875% - 2008.... $ 175,000 158,375
--------------
501,125
CAPITAL GOODS - OTHER - 0.2%
Iron Mountain, Inc., 10.125% -
2006......................... $ 50,000 50,000
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL MARKET
CORPORATE BONDS (CONTINUED) AMOUNT VALUE
-------------------------------------------------------------
<S> <C> <C>
CONSTRUCTION MACHINERY - 4.0%
AGCO Corporation, 8.50% -
2006......................... $ 200,000 $ 183,750
Columbus McKinnon Corporation,
8.50% - 2008................. 175,000 150,500
Navistar International, 8.00% -
2008......................... 175,000 160,562
Sequa Corporation, 9.00%,
2009......................... 200,000 192,000
Titan Wheel International,
Inc., 8.75% - 2007........... 175,000 108,500
--------------
795,312
CONSUMER CYCLICAL - OTHER - 0.0%
American Eco Corporation,
9.625% - 2008*............... 200,000 8,000
CONSUMER PRODUCTS - 1.0%
Chattem, Inc., 8.875% - 2008... 250,000 200,000
ELECTRIC UTILITY - 2.7%
AES Corporation,
10.25% - 2006................ 100,000 99,750
Calpine Corporation, 8.75% -
2007......................... 175,000 169,969
East Coast Power LLC,
6.737% - 2008................ 138,257 130,134
7.066% - 2012................ 150,000 138,000
--------------
537,853
ENERGY - INDEPENDENT - 0.2%
Seagull Energy Corporation,
8.625% - 2005................ 50,000 49,000
ENERGY - OTHER - 0.6%
P&L Coal Holdings Corporation,
8.875% - 2008................ 125,000 117,812
ENERGY - REFINING - 1.0%
Crown Central Petroleum
Corporation,
10.875% - 2005............... 125,000 108,438
Giant Industries, Inc., 9.00% -
2007......................... 100,000 90,750
--------------
199,188
ENTERTAINMENT - 0.8%
Premier Parks, 9.75% - 2007.... 175,000 169,094
FINANCIAL COMPANIES - 0.9%
CB Richard Ellis Services,
Inc., 8.875% - 2006.......... 150,000 127,500
Dollar Financial Group, Inc.,
10.875% - 2006............... 50,000 48,500
--------------
176,000
</TABLE>
See accompanying notes.
--------------------------------------------------------------------------------
111
<PAGE> 113
SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
SERIES P (HIGH YIELD) (CONTINUED)
PRINCIPAL MARKET
CORPORATE BONDS (CONTINUED) AMOUNT VALUE
-------------------------------------------------------------
<S> <C> <C>
FOOD - 1.0%
Nash-Finch Company, 8.50% -
2008......................... $ 300,000 $ 195,000
GAMING - 7.3%
Boyd Gaming Corporation,
9.50% - 2007................. 225,000 216,000
Circus Circus Enterprise,
6.75% - 2003................ 150,000 137,625
9.25% - 2005................ 125,000 120,625
Harrahs Operating Company,
Inc., 7.875% - 2005.......... 200,000 188,000
Hollywood Park, Inc., 9.25% -
2007......................... 150,000 149,250
Isle of Capri Casinos, Inc.,
8.75% - 2009................. 150,000 138,750
MGM Grand, Inc.,
6.95% - 2005................. 125,000 117,656
Mirage Resorts, Inc., 6.625% -
2005......................... 150,000 138,750
Park Place Entertainment
Corporation, 7.875% - 2005... 275,000 258,500
--------------
1,465,156
HEALTHCARE - 2.0%
Genesis Health Ventures, Inc.,
9.875% - 2009*............... 150,000 16,500
Multicare Companies, Inc.,
9.00% - 2007*................ 150,000 9,000
Packard BioScience Company,
9.375% - 2007................ 75,000 68,250
Prime Medical Services, Inc.,
8.75% - 2008................. 100,000 83,000
Rural/Metro Corporation,
7.875% - 2008................ 150,000 63,000
Tenet Healthcare Corporation,
8.125% - 2008................ 175,000 160,125
--------------
399,875
HOME CONSTRUCTION - 4.0%
D.R. Horton, Inc., 8.375% -
2004......................... 125,000 118,125
M.D.C. Holdings, Inc., 8.375% -
2008......................... 100,000 88,500
NVR, Inc., 8.00% - 2005........ 225,000 207,000
Oakwood Homes Corporation,
8.125% - 2009................ 275,000 94,875
Standard Pacific Corporation,
8.50% - 2009................. 225,000 202,500
Toll Corporation,
7.75% - 2007................. 100,000 89,500
--------------
800,500
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL MARKET
CORPORATE BONDS (CONTINUED) AMOUNT VALUE
-------------------------------------------------------------
<S> <C> <C>
INSURANCE - 0.5%
GENAMERICA Capital, Inc.,
8.525% - 2027................ $ 100,000 $ 99,250
LODGING - 3.6%
HMH Properties,
7.875% - 2008................ 250,000 224,375
8.45% - 2008................. 50,000 46,312
Prime Hospitality Corporation,
9.25% - 2006................. 180,000 177,300
Vail Resorts, Inc.,
8.75% - 2009................. 300,000 279,000
--------------
726,987
MEDIA - CABLE - 3.4%
Adelphia Communications
Corporation, 8.375% - 2008... 100,000 88,375
9.50% - 2004................. 21,694 20,935
Century Communications
Corporation, 8.375% - 2007... 75,000 66,562
9.50% - 2005................. 125,000 120,625
Diamond Holdings,
9.125% - 2008................ 150,000 138,750
Jones Intercable, Inc. 7.625% -
2008......................... 200,000 195,250
Rogers Cablesystems, 9.625% -
2002......................... 50,000 50,250
--------------
680,747
MEDIA - NON-CABLE - 4.0%
Allbritton Communications
Company, 9.75% - 2007........ 100,000 96,000
Emmis Communications
Corporation, 8.125% - 2009... 250,000 228,125
Hollinger International
Publishing, 8.625% - 2005.... 300,000 296,625
K-lll Communications
Corporation, 10.25% - 2004... 20,000 20,000
USA Networks, Inc.,
6.75% - 2005................. 175,000 166,031
--------------
806,781
METALS - 3.1%
AK Steel Corporation, 7.875% -
2009......................... 150,000 133,125
Bulong Operations,
12.50% -2008................. 175,000 83,562
California Steel Industries,
8.50% - 2009................. 300,000 274,500
</TABLE>
See accompanying notes.
--------------------------------------------------------------------------------
112
<PAGE> 114
SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
SERIES P (HIGH YIELD) (CONTINUED)
PRINCIPAL MARKET
CORPORATE BONDS (CONTINUED) AMOUNT VALUE
-------------------------------------------------------------
<S> <C> <C>
METALS (CONTINUED)
Wheeling-Pittsburgh
Corporation, 9.25% - 2007.... $ 100,000 $ 76,500
WHX Corporation, 10.50% -2005.. 75,000 58,500
--------------
626,187
OIL FIELD SERVICES - 1.0%
Pioneer Natural Resources
Company, 6.50% - 2008........ 250,000 215,312
PACKAGING - 0.7%
Ball Corporation,
7.75% - 2006................. 150,000 141,000
PAPER - 1.3%
Domtar, Inc., 8.75% - 2006..... 250,000 258,125
RETAILERS - 3.3%
Ames Department Stores, Inc.,
10.00% - 2006................ 300,000 181,500
Musicland Group, Inc., 9.00% -
2003......................... 300,000 271,500
Zale Corporation,
8.50% - 2007................. 225,000 211,500
--------------
664,500
SERVICES - 1.8%
Loewen Group, Inc. - Pats,
6.70% - 2000*................ 75,000 25,500
Protection One Alarm, 7.375% -
2005......................... 250,000 186,250
Unisys Corporation,
7.875% - 2008................ 175,000 163,625
--------------
375,375
TECHNOLOGY - 1.5%
Amkor Technology, Inc., 9.25% -
2006......................... 300,000 295,875
TELECOMMUNICATIONS - 13.1%
Alestra SA, 12.625% - 2009..... 300,000 271,125
Call-Net Enterprises, Inc.,
9.375% - 2009................ 150,000 92,250
Crown Castle International
Corporation, 10.75% - 2011... 150,000 152,063
Exodus Communications, Inc.,
11.625% - 2010............... 300,000 301,500
MasTec, Inc., 7.75% - 2008..... 300,000 276,000
McLeodUSA, Inc., 8.375% -2008.. 175,000 161,000
MJD Communications, Inc.,
9.50% - 2008................. 175,000 155,750
Orius Capital Corporation,
12.75% - 2010................ 300,000 309,000
Pac-West Telecom, Inc.,
13.50% - 2009................ 300,000 303,000
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT OR
NUMBER MARKET
CORPORATE BONDS (CONTINUED) OF SHARES VALUE
-------------------------------------------------------------
<S> <C> <C>
TELECOMMUNICATIONS (CONTINUED)
RCN Corporation, 10.00% -
2007......................... $ 275,000 $ 233,062
Satelites Mexicanos, Inc.,
10.125% - 2004............... $ 125,000 83,750
Williams Communications Group,
10.875% - 2009............... $ 300,000 293,250
--------------
2,631,750
TEXTILES - 0.4%
WestPoint Steven, Inc.,
7.875% - 2008............... $ 100,000 79,500
TOBACCO - 0.1%
DIMON, Inc., 8.875% - 2006..... $ 25,000 22,594
TRANSPORTATION - OTHER - 1.1%
Pegasus Aviation Lease
Securitization,
5.878% - 2029................ $ 300,000 167,813
Teekay Shipping Corporation,
8.32% - 2008................. $ 65,000 59,800
--------------
227,613
--------------
Total corporate bonds - 75.5%............. 15,200,074
<CAPTION>
PREFERRED STOCKS
----------------
<S> <C> <C>
BANKS AND CREDIT - 0.1%
California Federal Bank,
9.125%....................... 1,000 21,188
BROADCAST MEDIA - 0.9%
CSC Holdings Inc., 11.125%*.... 1,027 108,069
Primedia, Inc., 10.00%......... 800 76,800
--------------
184,869
--------------
Total preferred stocks - 1.0%............. 206,057
<CAPTION>
COMMON STOCKS
-------------
<S> <C> <C>
BROADCAST MEDIA - 0.2%
Infinity Broadcasting
Corporation*................. 1,000 36,438
ENTERTAINMENT - 0.0%
Golden Books Family
Entertainment, Inc.*......... 1,416 1,150
--------------
Total common stocks - 0.2%................ 37,588
--------------
Total investments - 76.7%................. 15,443,719
Cash and other assets, less liabilities -
23.3%................................... 4,683,531
--------------
Total net assets - 100.0%................. $ 20,127,250
==============
</TABLE>
See accompanying notes.
--------------------------------------------------------------------------------
113
<PAGE> 115
SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
SERIES M (GLOBAL TOTAL RETURN)
PRINCIPAL
AMOUNT OR
NUMBER MARKET
CORPORATE BONDS OF SHARES VALUE
-------------------------------------------------------------
<S> <C> <C>
AUTOMOTIVE - 0.4%
Daimler Chrysler DCX, 6.40625%,
2002(1, 3)................... $ 50,000 $ 49,991
Daimler-Benz,
5.125% - 2001(3)............. $ 100,000 98,611
--------------
148,602
BANKING - 0.2%
Wells Fargo Company, 7.01%,
2001(1, 3)................... $ 65,000 65,092
FINANCIAL - 0.8%
American General Finance,
6.875% - 2001(3)............. $ 40,000 39,700
Columbia University, 5.89% -
2000(3)..................... $ 50,000 49,813
EOP Operating LP,
6.625% - 2005(3)............. $ 50,000 47,437
Ford Motor Credit Company,
6.25% - 2000(3).............. $ 100,000 99,686
General Motors Acceptance
Corporation,
6.875% - 2004(2)............. $ 60,000 91,047
--------------
327,683
REAL ESTATE INVESTMENT
TRUST - 0.2%
Spieker Properties LP, 6.80% -
2004(3)..................... $ 90,000 86,288
RETAILERS - 0.2%
Lowe's Companies, Inc., 6.70% -
2007(3)..................... $ 65,000 60,937
TELECOMMUNICATIONS - 0.2%
Level 3 Communications,
10.75% - 2008(2,3).......... $ 20,000 17,964
WorldCom, Inc.,
6.125% - 2001................ $ 75,000 74,063
--------------
92,027
--------------
Total corporate bonds - 2.0%.............. 780,629
<CAPTION>
MUNICIPAL BONDS
---------------
<S> <C> <C>
CALIFORNIA - 0.1%
Los Angeles County, California
Pension Obligation, 8.49% -
2004(3)..................... $ 40,000 41,738
<CAPTION>
COMMON STOCKS
-------------
<S> <C> <C>
AIRLINES - 0.3%
Delta Air Lines, Inc........... 2,300 116,294
AUTOMOBILES - 0.3%
Ford Motor Company(3).......... 2,800 120,400
AUTO PARTS & EQUIPMENT - 0.0%
Visteon Corporation*........... 367 4,445
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
-------------------------------------------------------------
<S> <C> <C>
BANKS - MAJOR REGIONAL - 0.2%
U.S. Bancorp(3)................ 4,800 $ 92,400
BEVERAGES - ALCOHOLIC - 0.7%
Anheuser-Busch Companies,
Inc.(3)...................... 3,800 283,813
BEVERAGES - SOFT DRINK - 0.3%
PepsiCo, Inc.(3)............... 3,000 133,313
BIOTECHNOLOGY - 0.6%
Genzyme Corporation*(3)........ 3,600 213,975
BROADCAST MEDIA - 0.6%
AT&T Corporation - Liberty
Media Group*(3).............. 9,000 218,250
COMMUNICATION EQUIPMENT - 1.5%
Comverse Technology,
Inc.*(3)..................... 1,900 176,700
Corning, Inc.(3)............... 400 107,950
Echostar Communications
Corporation*(3).............. 3,100 102,639
VeriSign, Inc.*................ 1,075 189,603
--------------
576,892
COMPUTER HARDWARE - 2.1%
Dell Computer
Corporation*(3).............. 5,500 271,219
Hewlett-Packard Company(3)..... 2,100 262,237
International Business Machines
Corporation(3)............... 2,400 262,950
--------------
796,406
COMPUTERS - NETWORKING - 1.7%
Cisco Systems, Inc.*(3)........ 8,700 550,819
3Com Corporation*(3)........... 1,600 92,200
--------------
643,019
COMPUTERS - PERIPHERALS - 0.6%
EMC Corporation*(3)............ 3,200 246,200
COMPUTER SOFTWARE/SERVICES - 3.3%
America Online, Inc.*(3)....... 4,000 211,000
Exodus Communications,
Inc.*(3)..................... 1,600 73,700
Microsoft Corporation*(3)...... 9,700 776,000
Oracle Corporation*(3)......... 2,000 168,125
Phone.com, Inc.*(3)............ 900 58,612
--------------
1,287,437
CONTAINERS & PACKAGING - 0.3%
Temple-Inland, Inc.(3)......... 3,000 126,000
ELECTRIC COMPANIES - 0.6%
Unicom Corporation(3).......... 6,300 243,731
ELECTRICAL EQUIPMENT - 1.1%
General Electric Company(3).... 8,100 429,300
</TABLE>
See accompanying notes.
--------------------------------------------------------------------------------
114
<PAGE> 116
SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
SERIES M (GLOBAL TOTAL RETURN) (CONTINUED)
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
-------------------------------------------------------------
<S> <C> <C>
ELECTRONICS - SEMICONDUCTORS - 3.1%
Analog Devices, Inc.(3)........ 2,500 $ 190,000
Intel Corporation(3)........... 4,100 548,119
JDS Uniphase Corporation*(3)... 800 95,900
Micron Technology, Inc.*(3).... 4,200 369,862
--------------
1,203,881
FINANCIAL - DIVERSE - 1.4%
Citigroup, Inc.(3)............. 8,750 527,187
FOODS - 0.4%
Nabisco Group Holdings
Corporation.................. 5,400 140,063
HEALTH CARE - DIVERSE - 0.4%
American Home Products
Corporation(3)............... 2,500 146,875
HEALTH CARE - PHARMACEUTICALS
- MAJOR - 2.1%
Forest Laboratories,
Inc.*(3)..................... 1,800 181,800
Immunex Corporation*........... 3,800 187,863
Pharmacia Corporation(3)....... 8,300 429,006
--------------
798,669
HOSPITAL MANAGEMENT - 0.3%
Tenet Healthcare
Corporation*(3).............. 4,200 113,400
HOUSEHOLD PRODUCTS - 0.9%
Kimberly-Clark
Corporation(3)............... 4,500 258,187
Procter & Gamble Company(3).... 1,800 103,050
--------------
361,237
INSURANCE - BROKERS - 0.8%
Marsh & McLennan Companies,
Inc.(3)...................... 3,000 313,312
INSURANCE - MULTILINE - 0.8%
American International Group,
Inc.......................... 2,500 293,750
INVESTMENT BANK/BROKERAGE - 1.1%
Goldman Sachs Group, Inc.(3)... 1,400 132,825
Merrill Lynch & Company,
Inc.(3)...................... 2,500 287,500
--------------
420,325
MANUFACTURING - DIVERSIFIED - 1.4%
Honeywell International,
Inc.(3)...................... 2,500 84,219
Tyco International, Ltd.(3).... 2,800 132,650
United Technologies
Corporation(3)............... 5,300 312,037
--------------
528,906
METALS & MINING - 0.1%
Freeport-McMoRan Copper & Gold,
Inc.*(3)..................... 6,200 56,575
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT OR
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
-------------------------------------------------------------
<S> <C> <C>
NATURAL GAS - 0.3%
El Paso Energy Corporation..... 2,500 $ 127,344
OIL - INTERNATIONAL - 1.1%
Exxon Mobil Corporation(3)..... 5,600 439,600
OIL & GAS - EXPLORATION &
PRODUCTION - 0.5%
Suncor Energy, Inc............. 7,600 177,175
PAPER & FOREST PRODUCTS - 0.3%
Abitibi-Consolidated,
Inc.(3)...................... 11,200 105,000
RETAIL - FOOD CHAINS - 0.5%
Safeway, Inc.*(3).............. 4,100 185,013
RETAIL - GENERAL MERCHANDISE - 1.5%
Target Corporation(3).......... 2,000 116,000
Wal-Mart Stores, Inc.(3)....... 7,700 443,712
--------------
559,712
SERVICES - DATA PROCESSING - 0.3%
First Data Corporation......... 2,100 104,213
TELECOMMUNICATION - CELLULAR - 0.3%
VoiceStream Wireless
Corporation*(3).............. 1,200 139,556
TELECOMMUNICATION - LONG
DISTANCE - 1.6%
AT&T Corporation(3)............ 4,800 151,800
Sprint Corporation (FON
Group)(3).................... 3,200 163,200
WorldCom, Inc.*................ 6,250 287,109
--------------
602,109
TELEPHONE - 0.4%
Bell Atlantic
Corporation*(3).............. 3,100 157,519
TOBACCO - 0.6%
Philip Morris Companies,
Inc.(3)...................... 8,200 217,813
--------------
Total common stocks - 34.4%............... 13,251,109
<CAPTION>
U.S. GOVERNMENT & GOVERNMENT
AGENCIES
--------
<S> <C> <C>
U.S. GOVERNMENT AGENCIES - 2.1%
Federal Home Loan Banks,
5.625% - 2003(2,3)........... $ 40,000 59,067
Federal Home Loan Mortgages,
6.00% - 2006(3).............. $ 7,591 7,559
7.00% - 2029................. $ 49,995 48,332
7.586% - 2030(3)............. $ 145,155 146,703
--------------
202,594
</TABLE>
See accompanying notes.
--------------------------------------------------------------------------------
115
<PAGE> 117
SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
SERIES M (GLOBAL TOTAL RETURN) (CONTINUED)
U.S. GOVERNMENT &
GOVERNMENT AGENCIES PRINCIPAL MARKET
(CONTINUED) AMOUNT VALUE
-------------------------------------------------------------
<S> <C> <C>
U.S. GOVERNMENT AGENCIES (CONTINUED)
Federal National Mortgage
Association,
5.50% - 2003(2,3)............ $ 90,000 $ 131,946
7.53% - 2010(3).............. 79,812 80,136
6.50% - 2018(3).............. 17,738 17,626
6.00% - 2029(3).............. 98,724 90,301
--------------
320,009
Government National Mortgage
Association,
6.00% - 2009................. 91,828 89,223
7.50% - 2029(3).............. 68,028 67,539
--------------
156,762
Sallie Mae,
6.34% - 2008(1,3)............ 75,000 74,961
U.S. GOVERNMENT SECURITIES - 1.8%
U.S. Treasury Notes,
6.50% - 2010................. 110,000 113,572
U.S. Treasury Bonds,
7.25% - 2016(3).............. 135,000 148,542
6.25% - 2023(3).............. 210,000 211,312
6.125% - 2027(3)............. 150,000 149,530
5.50% - 2028(3).............. 60,000 55,031
6.125% - 2029(3)............. 10,000 10,109
--------------
574,524
--------------
Total U.S. government & government agency
securities - 3.9%....................... 1,501,489
<CAPTION>
MISCELLANEOUS ASSETS
--------------------
<S> <C> <C>
ASSET-BACKED SECURITIES - 1.2%
Capital Auto Receivables Asset
Trust, 6.25% - 2003(3)....... 25,000 24,805
Chase Manhattan Auto Owner
Trust, 6.50% - 2001(3)....... 89,963 89,689
Chase Manhattan Credit Card
Master Trust, 7.04% - 2005... 75,000 74,871
Daimler Chrysler Auto Trust,
6.76% - 2003................. 35,000 34,880
Ford Credit Auto Owner Trust,
5.47% - 2001................. 39,613 39,492
6.20% - 2002(3).............. 109,621 109,244
Honda Auto Lease Trust, 6.65% -
2005........................ 35,000 34,754
USAA Auto Loan Grantor Trust,
6.10% - 2006(3).............. 43,232 42,684
--------------
450,419
</TABLE>
<TABLE>
<CAPTION>
MISCELLANEOUS ASSETS PRINCIPAL MARKET
(CONTINUED) AMOUNT VALUE
-------------------------------------------------------------
<S> <C> <C>
MORTGAGE-BACKED SECURITIES - 0.3%
Advanta Mortgage Loan Trust,
7.03% - 2029(1,3)............ $ 56,972 $ 56,977
Money Store Home Equity Trust,
6.635% - 2014(3)............. 41,833 41,619
Structured Assets Securities
Company, 7.05% - 2001(1,3)... 33,035 33,066
--------------
131,662
--------------
Total miscellaneous assets - 1.5%......... 582,081
<CAPTION>
FOREIGN CORPORATE BONDS
-----------------------
<S> <C> <C>
AUSTRALIA - 0.2%
National Australia Bank,
6.72% - 2002(1,3)........... 80,000 79,812
GERMANY - 0.2%
KFW International Finance,
5.75% - 2000(3).............. 85,000 84,432
JAPAN - 0.4%
KFW International
Finance,1.00% - 2004(2,3)... 17,000,000 161,428
NETHERLANDS - 0.2%
Bank Nederlandse Gemeenten,
3.00% - 2001(3).............. 55,000 53,673
UNITED KINGDOM - 1.0%
BG Transco plc, 5.375% -
2009(2,3).................... 30,000 40,447
International Bank Recon. &
Development,
6.00% - 2000(3).............. 250,000 249,503
Royal Bank of Scotland plc,
6.375% - 2011(3)............. 40,000 35,550
Xerox Capital Europe plc,
5.75% - 2002(3)............. 65,000 62,731
--------------
388,231
--------------
Total foreign corporate bonds - 2.0%...... 767,576
<CAPTION>
FOREIGN GOVERNMENT ISSUES
-------------------------
<S> <C> <C>
DENMARK - 0.3%
Kingdom of Denmark, 7.00% -
2004(2,3)................... 750,000 100,783
FINLAND - 0.6%
Finland Republic, 5.75% -
2011(2,3).................... 260,000 254,993
</TABLE>
See accompanying notes.
--------------------------------------------------------------------------------
116
<PAGE> 118
SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
SERIES M (GLOBAL TOTAL RETURN) (CONTINUED)
FOREIGN GOVERNMENT ISSUES PRINCIPAL MARKET
(CONTINUED) AMOUNT VALUE
-------------------------------------------------------------
<S> <C> <C>
FRANCE - 1.7%
Treasury Note,
3.00% - 2001(2,3)............ 50,000 $ 47,070
3.50% - 2004(2).............. 480,000 434,601
O.A.T. Government Bond,
4.00% - 2009(2,3)............ 50,000 43,258
6.00% - 2025(2,3)............ 120,000 120,546
--------------
645,475
GERMANY - 1.4%
Bundesschatzanweisungen,
3.25% - 2000(2,3)............ 100,000 95,590
Bundesrepublic Deutschland,
6.875% - 2005(2,3)........... 50,000 51,331
6.00% - 2006(2,3)............ 160,000 159,376
6.25% - 2024(2,3)............ 148,000 154,696
6.50% - 2027(2,3)............ 65,000 70,283
--------------
531,276
GREECE - 0.2%
Hellenic Republic,
6.50% - 2014(2,3)............ 27,000,000 78,846
ITALY - 1.6%
Italy BTPS,
4.00% - 2004(2).............. 290,000 265,166
4.75% - 2005(2,3)............ 360,000 335,985
--------------
601,151
MEXICO - 0.1%
United Mexican States,
10.375% - 2009(3)............ 25,000 26,775
9.875% - 2010(3)............. 15,000 15,765
--------------
42,540
NORWAY - 0.2%
Norwegian Government, 5.50% -
2009(2,3)................... 700,000 78,044
PHILIPPINES - 0.1%
Philippines Republic, 10.625% -
2025(3)..................... 26,000 22,230
SOUTH AFRICA - 0.1%
Republic of South Africa,
13.00% - 2010(2)............ 214,000 29,555
SPAIN - 0.4%
Kingdom of Spain, 4.25% -
2002(2)...................... 180,000 169,701
SWEDEN - 0.1%
Swedish Government, 9.00% -
2009(2,3)................... 400,000 57,279
TRINIDAD - 0.0%
Republic of Trinidad & Tobago,
9.75% - 2020................. 20,000 19,530
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT OR
FOREIGN GOVERNMENT ISSUES NUMBER MARKET
(CONTINUED) OF SHARES VALUE
-------------------------------------------------------------
<S> <C> <C>
TURKEY - 0.1%
Treasury Bill,
27.91% - 2001(2,3)........... 24,000,000,000 $ 31,690
UNITED KINGDOM - 0.4%
Abbey National Treasury,
6.53875% - 2000(1,3)......... 100,000 99,943
Treasury Note,
5.75% - 2009(2).............. 35,000 55,191
--------------
155,134
--------------
Total foreign government issues - 7.3%.... 2,818,227
<CAPTION>
FOREIGN STOCKS
--------------
<S> <C> <C>
AUSTRALIA - 0.5%
Australia & New Zealand Banking
Group, Ltd.(3)............... 25,062 192,755
BELGIUM - 0.3%
Fortis (Cl. B)(3).............. 3,700 108,107
CANADA - 0.4%
Canadian Satellite
Communications, Inc.(3)...... 10,800 171,290
FINLAND - 1.4%
Nokia Oyj(3)................... 10,400 532,867
FRANCE - 3.6%
Aventis S.A.(3)................ 2,800 205,198
Axa(3)......................... 2,000 316,338
Coflexip S.A. ADR(3)........... 2,900 175,450
Suez Lyonnaise des Eaux
S.A.(3)...................... 900 158,313
Compagnie Francaise d'Etudes et
de Construction S.A.
(Technip)(3)................. 1,000 121,455
Total Fina Elf S.A.(3)......... 2,400 369,483
Usinor S.A.(3)................. 2,600 31,852
--------------
1,378,089
GERMANY - 3.9%
Bayer AG(3).................... 6,065 237,673
Bayerische Motoren Werke
AG(3)........................ 8,600 260,921
Deutsche Bank AG(3)............ 3,700 305,736
Deutsche Telekom AG(3)......... 4,160 238,469
Epcos AG*(3)................... 1,100 110,181
Medigene AG*................... 210 13,789
Siemens AG(3).................. 700 106,021
SAP AG(3)...................... 300 55,704
RWE AG(3)...................... 6,100 163,729
--------------
1,492,223
</TABLE>
See accompanying notes.
--------------------------------------------------------------------------------
117
<PAGE> 119
SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
SERIES M (GLOBAL TOTAL RETURN) (CONTINUED)
NUMBER MARKET
FOREIGN STOCKS (CONTINUED) OF SHARES VALUE
-------------------------------------------------------------
<S> <C> <C>
HONG KONG - 0.8%
Hong Kong & China Gas Company,
Ltd.......................... 71,000 $ 79,696
Hutchison Whampoa, Ltd.(3)..... 6,600 82,973
Sun Hung Kai Properties,
Ltd.(3)...................... 9,000 64,654
Wharf (Holdings), Ltd.......... 36,000 64,423
--------------
291,746
IRELAND - 0.5%
Bank of Ireland(3)............. 12,900 81,059
Ryanair Holdings plc ADR*(3)... 2,800 102,200
--------------
183,259
ITALY - 1.1%
San Paolo - IMI SpA(3)......... 11,000 196,024
Telecom Italia Mobile SpA(3)... 24,200 248,220
--------------
444,244
JAPAN - 7.9%
Bank of Tokyo - Mitsubishi,
Ltd.(3)...................... 7,000 84,750
Banyu Pharmaceutical Company,
Ltd.(3)...................... 8,000 196,210
Canon, Inc.(3)................. 6,000 299,419
DAI Nippon Printing Company,
Ltd.(3)...................... 10,000 176,646
Eisai Company, Ltd.(3)......... 5,000 160,673
Fujisawa Pharmaceutical
Company, Ltd.(3)............. 6,000 243,278
Justsystem Corporation*(3)..... 1,300 57,133
Murata Manufacturing Company,
Ltd.......................... 1,000 143,849
Nagase & Company, Ltd.(3)...... 37,000 209,120
NEC Corporation(3)............. 10,000 314,730
Nikko Securities Co.,
Ltd.(3)...................... 17,000 168,707
Nippon Telegraph & Telephone
Corporation(3)............... 32 426,445
NTT DoCoMo, Inc.(3)............ 3 81,376
Promise Company, Ltd.(3)....... 1,800 142,564
Shizuoka Bank, Ltd............. 12,000 102,075
Softbank Corporation(3)........ 600 81,660
Sony Corporation............... 800 74,855
Tokyo Style Company, Ltd.(3)... 10,000 94,513
--------------
3,058,003
NETHERLANDS - 2.5%
Akzo Nobel N.V.(3)............. 3,600 153,568
Ing Groep N.V.(3).............. 2,837 192,544
KPN N.V........................ 5,800 260,480
Koninklijke (Royal) Philips
Electronics N.V.(3).......... 7,376 349,289
--------------
955,881
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
FOREIGN STOCKS (CONTINUED) OF SHARES VALUE
-------------------------------------------------------------
<S> <C> <C>
SINGAPORE - 0.7%
Overseas Union Bank, Ltd.(3)... 26,000 $ 100,752
Venture Manufacturing,
Ltd.(3)...................... 15,000 152,689
--------------
253,441
SPAIN - 1.4%
Empresa Nacional de
Electricidad S.A.(3)......... 9,700 188,665
Grupo Prisa S.A.*.............. 637 14,838
Repsol YPF S.A.(3)............. 6,100 121,920
Telefonica S.A.*(3)............ 9,300 200,587
--------------
526,010
SWEDEN - 1.9%
Gambro AB...................... 22,500 184,700
Skandinaviska Enskilda Banken
(Cl. A)(3)................... 24.140 287,610
Telefonaktiebolaget LM Ericsson
AB........................... 13,400 266,594
--------------
738,904
SWITZERLAND - 1.2%
Holderbank Financiere Glarus
AG(3)........................ 470 154,056
Nestle S.A.(3)................. 160 321,259
--------------
475,315
UNITED KINGDOM - 7.2%
3i Group plc(3)................ 8,600 176,545
Abbey National plc(3).......... 11,700 139,221
AstraZeneca Group plc(3)....... 8,500 397,111
BP Amoco plc(3)................ 26,000 249,551
British Airways plc............ 26,200 150,823
British American Tobacco(3).... 29,100 194,721
British Sky Broadcasting Group
plc*(3)...................... 3,900 75,987
British Telecommunications
plc(3)....................... 7,719 99,797
COLT Telecom Group plc(3)...... 4,200 139,566
Dixons Group plc(3)............ 27,285 110,496
Granada Group plc.............. 13,000 127,925
Invensys plc(3)................ 50,000 187,534
ScottishPower plc(3)........... 8,100 68,487
Smith & Nephew plc(3).......... 56,100 203,831
SmithKline Beecham plc(3)...... 15,100 198,424
Vodafone AirTouch plc(3)....... 62,750 254,593
--------------
2,774,612
--------------
Total foreign stocks - 35.3%.............. 13,576,746
</TABLE>
See accompanying notes.
--------------------------------------------------------------------------------
118
<PAGE> 120
SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
SERIES M (GLOBAL TOTAL RETURN) (CONTINUED)
TEMPORARY CASH PRINCIPAL MARKET
INVESTMENTS AMOUNT VALUE
-------------------------------------------------------------
<S> <C> <C>
CERTIFICATE OF DEPOSIT - 0.3%
Svenska Handelsbanken NY,
6.62% - 2001................. $ 100,000 99,662
REPURCHASE AGREEMENT - 8.1%
Paine Webber Treasury, 6.55%
7-3-00(3).................... 3,134,000 3,134,000
(Collateralized by U.S.
Treasury Bond, 14.00% - 2011,
with a value of $3,199,930)
U.S. GOVERNMENT SECURITIES - 3.6%
U.S. Treasury Bill,
5.53% - 7/20/00(3)........... 100,000 99,742
5.86% - 8/10/00.............. 800,000 795,288
5.59% - 9/14/00.............. 500,000 494,250
--------------
1,389,280
--------------
Total temporary cash investments -12.0%... 4,622,942
<CAPTION>
PRINCIPAL MARKET
COMMERCIAL PAPER AMOUNT VALUE
-------------------------------------------------------------
<S> <C> <C>
CHEMICALS - DIVERSIFIED - 0.3%
E.I. du Pont de Nemours &
Company, 6.18% - 7/18/00..... $ 100,000 $ 99,692
--------------
Total investments - 98.8%................. 38,042,229
Cash and other assets less
liabilities - 1.2%...................... 461,508
--------------
Total net assets - 100.0%................. $ 38,503,737
==============
</TABLE>
See accompanying notes.
--------------------------------------------------------------------------------
119
<PAGE> 121
SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
SERIES O (EQUITY INCOME)
NUMBER MARKET
COMMON STOCKS OF SHARES VALUE
-------------------------------------------------------------
<S> <C> <C>
AEROSPACE/DEFENSE - 1.8%
Boeing Company................. 17,400 $ 727,537
Lockheed Martin Corporation.... 90,600 2,248,013
--------------
2,975,550
AUTO PARTS & EQUIPMENT - 0.9%
Dana Corporation............... 15,700 332,643
Genuine Parts Company.......... 55,600 1,112,000
--------------
1,444,643
BANKS - MAJOR REGIONAL - 7.3%
Bank One Corporation........... 57,467 1,526,467
Firstar Corporation............ 32,800 690,850
FleetBoston Financial
Corporation.................. 70,220 2,387,480
KeyCorp........................ 18,800 331,350
Mellon Financial Corporation... 107,700 3,924,319
Mercantile Bankshares
Corporation.................. 38,600 1,150,762
National City Corporation...... 37,600 641,550
Wells Fargo Company............ 37,800 1,464,750
--------------
12,117,528
BANKS - MONEY CENTER - 1.8%
Bank of America Corporation.... 22,900 984,700
J.P. Morgan & Company, Inc. ... 18,000 1,982,250
--------------
2,966,950
BEVERAGES - ALCOHOLIC - 1.5%
Anheuser-Busch Companies,
Inc. ........................ 13,800 1,030,687
Brown-Forman Corporation (Cl.
B)........................... 25,700 1,381,375
--------------
2,412,062
BUILDING MATERIALS - 0.3%
Armstrong World Industries,
Inc. ........................ 29,300 448,656
CHEMICALS - BASIC - 1.5%
Dow Chemical Company........... 25,800 778,838
E.I. Du Pont de Nemours &
Company...................... 37,600 1,645,000
--------------
2,423,838
CHEMICALS - DIVERSIFIED - 0.4%
PPG Industries, Inc. .......... 15,200 673,550
CHEMICALS - SPECIALTY - 2.2%
Great Lakes Chemical
Corporation.................. 39,000 1,228,500
Hercules, Inc. ................ 60,300 847,969
International Flavors &
Fragrances, Inc. ............ 54,600 1,648,237
--------------
3,724,706
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
-------------------------------------------------------------
<S> <C> <C>
COMMUNICATION EQUIPMENT - 0.3%
Motorola, Inc. ................ 19,700 $ 572,531
COMPUTER HARDWARE - 0.5%
Compaq Computer Corporation.... 33,200 848,675
COMPUTER SOFTWARE/SERVICES - 1.4%
BMC Software, Inc.*............ 15,500 565,508
Microsoft Corporation*......... 17,400 1,392,000
Unisys Corporation............. 21,500 313,093
--------------
2,270,601
ELECTRIC COMPANIES - 4.8%
Duke Energy Corporation........ 30,700 1,730,712
Entergy Corporation............ 27,800 755,813
FirstEnergy Corporation........ 51,157 1,195,794
Niagra Mohawk Holdings,
Inc.*........................ 35,100 489,207
Reliant Energy, Inc. .......... 35,300 1,043,556
Southern Company............... 58,000 1,352,125
Unicom Corporation............. 34,900 1,350,194
--------------
7,917,401
ELECTRICAL EQUIPMENT - 1.6%
Cooper Industries, Inc. ....... 12,988 422,921
Hubbell, Inc. (Cl. B).......... 43,600 1,111,800
Rockwell International
Corporation.................. 34,600 1,089,900
--------------
2,624,621
ENTERTAINMENT - 1.2%
Walt Disney Company............ 52,200 2,026,013
FINANCIAL - DIVERSE - 2.5%
Citigroup, Inc. ............... 34,750 2,118,813
Fannie Mae..................... 40,600 2,093,687
--------------
4,212,500
FOODS - 6.6%
Campbell Soup Company.......... 40,100 1,167,912
General Mills, Inc. ........... 79,700 3,048,525
Heinz (H.J.) Company........... 50,050 2,189,688
Hershey Foods Corporation...... 47,400 2,307,788
Kellogg Company................ 24,900 740,775
McCormick & Company, Inc. ..... 48,100 1,563,250
--------------
11,017,938
</TABLE>
See accompanying notes.
--------------------------------------------------------------------------------
120
<PAGE> 122
SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
SERIES O (EQUITY INCOME) (CONTINUED)
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
-------------------------------------------------------------
<S> <C> <C>
GOLD & PRECIOUS METALS MINING - 0.4%
Newmont Mining Corporation..... 31,300 $ 676,863
HARDWARE & TOOLS - 0.7%
Stanley Works.................. 48,200 1,144,750
HEALTH CARE - DIVERSE - 2.9%
Abbott Laboratories............ 40,300 1,795,868
American Home Products
Corporation.................. 51,600 3,031,500
--------------
4,827,368
HEALTH CARE - PHARMACEUTICALS
- MAJOR - 2.2%
Merck & Company, Inc........... 13,700 1,049,763
Pharmacia Corporation.......... 52,073 2,691,523
--------------
3,741,286
HOUSEHOLD PRODUCTS - 3.0%
Fort James Corporation......... 72,000 1,665,000
Kimberly-Clark Corporation..... 41,400 2,375,325
Procter & Gamble Company....... 17,500 1,001,875
--------------
5,042,200
HOUSEWARES - 0.8%
Fortune Brands, Inc............ 39,300 906,356
Tupperware Corporation......... 20,100 442,200
--------------
1,348,556
INSURANCE - LIFE & HEALTH - 2.6%
American General Corporation... 29,800 1,817,800
Lincoln National Corporation... 28,600 1,033,175
UnumProvident Corporation...... 70,400 1,412,400
--------------
4,263,375
INSURANCE - PROPERTY &
CASUALTY - 2.5%
Chubb Corporation.............. 24,700 1,519,050
SAFECO Corporation............. 45,400 902,325
St. Paul Companies, Inc........ 50,304 1,716,624
--------------
4,137,999
LEISURE TIME PRODUCTS - 0.4%
Hasbro, Inc.................... 47,800 719,988
LODGING - HOTELS - 1.8%
Hilton Hotels Corporation...... 100,200 939,375
Starwood Hotels & Resorts...... 64,949 2,098,664
--------------
3,038,039
MANUFACTURING - DIVERSIFIED - 1.7%
Eaton Corporation.............. 12,700 850,900
Minnesota Mining &
Manufacturing Company........ 24,300 2,004,750
--------------
2,855,650
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
-------------------------------------------------------------
<S> <C> <C>
MANUFACTURING - SPECIALIZED - 0.8%
Pall Corporation............... 70,900 $ 1,311,650
MEDICAL PRODUCTS & SUPPLIES - 0.5%
Becton, Dickinson & Company.... 26,600 763,088
METALS & MINING - 0.4%
Phelps Dodge Corporation....... 16,100 598,719
OIL - DOMESTIC - 1.5%
Amerada Hess Corporation....... 26,100 1,611,675
USX-Marathon Group............. 36,100 904,756
--------------
2,516,431
OIL - INTERNATIONAL - 6.9%
Chevron Corporation............ 30,300 2,569,818
Exxon Mobil Corporation........ 54,984 4,316,244
Royal Dutch Petroleum Company
NY........................... 37,500 2,308,594
Texaco, Inc.................... 42,300 2,252,475
--------------
11,447,131
OIL & GAS - DRILLING &
EQUIPMENT - 0.8%
Baker Hughes, Inc.............. 40,000 1,280,000
OIL & GAS - EXPLORATION &
PRODUCTION - 1.2%
Unocal Corporation............. 59,100 1,957,688
PAPER & FOREST PRODUCTS - 1.2%
Consolidated Papers, Inc....... 4,400 160,875
International Paper Company.... 60,920 1,816,177
--------------
1,977,052
PERSONAL CARE - 0.5%
Gillette Company............... 24,700 862,956
PHOTOGRAPHY/IMAGING - 2.0%
Eastman Kodak Company.......... 32,600 1,939,700
Xerox Corporation.............. 67,900 1,408,925
--------------
3,348,625
PUBLISHING - 0.6%
Reader's Digest Association,
Inc.......................... 26,100 1,037,475
PUBLISHING - NEWSPAPER - 1.5%
Dow Jones & Company, Inc....... 13,800 1,010,850
Knight-Ridder, Inc............. 28,800 1,531,800
--------------
2,542,650
RAILROADS - 1.8%
Norfolk Southern Corporation... 83,800 1,246,525
Union Pacific Corporation...... 48,300 1,796,156
--------------
3,042,681
</TABLE>
See accompanying notes.
--------------------------------------------------------------------------------
121
<PAGE> 123
SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
SERIES O (EQUITY INCOME) (CONTINUED)
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
-------------------------------------------------------------
<S> <C> <C>
RETAIL - DEPARTMENT STORES - 0.8%
J.C. Penney Company, Inc....... 29,700 $ 547,594
May Department Stores Company.. 34,850 836,400
--------------
1,383,994
RETAIL - SPECIALTY - 1.1%
Toys "R" Us, Inc.*............. 127,700 1,859,631
SERVICES - COMMERCIAL &
CONSUMER - 1.1%
Dun & Bradstreet Corporation... 39,900 1,142,138
H & R Block, Inc. ............. 23,300 754,338
--------------
1,896,476
SPECIALTY PRINTING - 0.5%
R.R. Donnelley & Sons Company.. 38,400 866,400
TELECOMMUNICATION - LONG
DISTANCE - 0.6%
AT&T Corporation............... 29,550 934,519
TELEPHONE - 7.5%
ALLTEL Corporation............. 38,800 2,403,175
Bell Atlantic Corporation*..... 40,400 2,052,825
BellSouth Corporation.......... 24,700 1,052,838
GTE Corporation................ 43,600 2,714,100
SBC Communications, Inc. ...... 80,552 3,483,874
U S WEST, Inc.*................ 8,700 746,025
--------------
12,452,837
TOBACCO - 1.5%
Philip Morris Companies,
Inc. ........................ 55,600 1,476,875
UST, Inc. ..................... 63,900 938,531
--------------
2,415,406
WASTE MANAGEMENT - 0.9%
Waste Management, Inc. ........ 82,722 1,571,719
--------------
Total common stocks - 89.4%............... 148,540,965
<CAPTION>
PRINCIPAL
AMOUNT OR
REAL ESTATE INVESTMENT NUMBER MARKET
TRUSTS OF SHARES VALUE
-------------------------------------------------------------
<S> <C> <C>
REAL ESTATE - 1.4%
Rouse Company.................. 46,300 $ 1,145,925
Simon Property Group, Inc. .... 60,636 1,345,361
--------------
2,491,286
<CAPTION>
FOREIGN STOCKS
--------------
<S> <C> <C>
NETHERLANDS - 0.5%
Unilever N.V. - CVA............ 17,400 801,457
UNITED KINGDOM - 4.0%
BP Amoco plc ADR............... 88,084 4,982,251
Imperial Chemical Industries
plc ADR...................... 17,400 536,138
Scottish Power plc ADR......... 18,268 610,836
Vodafone Airtouch plc ADR...... 13,100 542,831
--------------
6,672,056
--------------
Total foreign stocks - 4.5%............... 7,473,513
<CAPTION>
TEMPORARY CASH INVESTMENTS
--------------------------
<S> <C> <C>
T. Rowe Price Reserve
Investment Fund - 0.3%....... $ 567,169 567,169
Vista Treasury Institutional
Money Market Fund - 1.5%..... $ 2,550,736 2,550,736
--------------
Total temporary cash investments - 1.8%... 3,117,905
--------------
Total investments - 97.3%................. 161,623,670
Cash and other assets, less
liabilities - 2.7%...................... 4,556,373
--------------
Total net assets - 100.0%................. $ 166,180,043
==============
</TABLE>
See accompanying notes.
--------------------------------------------------------------------------------
122
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SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
SERIES Y (SELECT 25)
NUMBER MARKET
COMMON STOCKS OF SHARES VALUE
-------------------------------------------------------------
<S> <C> <C>
BROADCAST MEDIA - 7.3%
Clear Channel Communications,
Inc.*........................ 34,000 $ 2,550,000
Univision Communications,
Inc.* ....................... 25,000 2,587,500
--------------
5,137,500
COMMUNICATIONS EQUIPMENT - 8.0%
Comverse Technology, Inc.* .... 30,000 2,790,000
Nortel Networks Corporation.... 41,600 2,839,200
--------------
5,629,200
COMPUTER HARDWARE - 7.8%
Dell Computer Corporation*..... 61,400 3,027,787
Sun Microsystems, Inc.*........ 27,400 2,491,687
--------------
5,519,474
COMPUTER SOFTWARE/SERVICES - 3.8%
Microsoft Corporation*......... 33,800 2,704,000
COMPUTERS - NETWORKING - 3.7%
Cisco Systems, Inc.*........... 40,800 2,583,150
COMPUTERS - PERIPHERALS - 4.4%
EMC Corporation*............... 40,000 3,077,500
ELECTRICAL EQUIPMENT - 7.8%
General Electric Company....... 62,600 3,317,800
Sanmina Corporation*........... 25,800 2,205,900
--------------
5,523,700
ELECTRONICS - SEMICONDUCTORS - 3.8%
Intel Corporation.............. 20,000 2,673,750
FINANCIAL - DIVERSE - 3.4%
Citigroup, Inc. ............... 40,000 2,410,000
HEALTH CARE - PHARMACEUTICALS
- MAJOR - 3.7%
Pfizer, Inc. .................. 55,000 2,640,000
HOUSEHOLD PRODUCTS - 4.1%
Colgate-Palmolive Company...... 48,000 2,874,000
INSURANCE - MULTILINE - 3.8%
American International Group,
Inc.......................... 22,600 2,655,500
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT OR
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
-------------------------------------------------------------
<S> <C> <C>
LEISURE TIME PRODUCTS - 4.1%
Harley-Davidson, Inc. ......... 75,000 $ 2,887,500
MEDICAL PRODUCTS & SUPPLIES - 3.7%
Medtronic, Inc. ............... 53,000 2,640,062
RETAIL - BUILDING SUPPLIES - 3.9%
Home Depot, Inc. .............. 55,000 2,746,563
RETAIL - DRUG STORES - 4.1%
Walgreen Company............... 90,000 2,896,875
RETAIL - GENERAL MERCHANDISE - 3.6%
Wal-Mart Stores, Inc. ......... 44,500 2,564,313
SERVICES - ADVERTISING/
MARKETING - 3.8%
Omnicom Group, Inc. ........... 30,000 2,671,875
SERVICES - COMPUTER SYSTEMS - 3.8%
Computer Sciences
Corporation*................. 35,600 2,658,875
SERVICES - DATA PROCESSING - 3.8%
Automatic Data Processing,
Inc. ........................ 50,000 2,678,125
TELECOMMUNICATION - CELLULAR - 4.3%
Nextel Communications,
Inc.* ....................... 50,000 3,059,375
--------------
Total common stocks - 96.7%............... 68,231,337
<CAPTION>
COMMERCIAL PAPER
----------------
<S> <C> <C>
COMBINATION GAS & ELECTRIC - 1.4%
Baltimore Gas & Electric
Company, 6.64% - 7-12-00..... $ 1,000,000 997,971
ENTERTAINMENT - 1.4%
Walt Disney Company, 6.50% -
7-7-00...................... $ 1,000,000 998,917
--------------
Total commercial paper - 2.8%............. 1,996,888
--------------
Total investments - 99.5%................. 70,228,225
Cash and other assets, less
liabilities - 0.5%...................... 317,461
--------------
Total net assets - 100%................... $ 70,545,686
==============
</TABLE>
See accompanying notes.
--------------------------------------------------------------------------------
123
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SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
SERIES I (INTERNATIONAL)
NUMBER MARKET
FOREIGN STOCKS OF SHARES VALUE
-------------------------------------------------------------
<S> <C> <C>
AUSTRALIA - 0.7%
Brambles Industries, Ltd....... 2,460 $ 75,822
Telstra Corporation, Ltd....... 16,040 45,899
--------------
121,721
BRAZIL - 1.0%
Embratel Paricipacoes
S.A.(3)...................... 1,800 42,525
Tele Norte Leste Participacoes
S.A.(3)...................... 1,943 45,903
Telecommunicacoes Brasilerias
S.A. ADR(3).................. 810 78,671
--------------
167,099
CANADA - 3.0%
Celestica, Inc.*............... 2,131 103,695
Nortel Networks Corporation.... 3,520 243,979
Rogers Communications, Inc.
(Cl. B)*..................... 5,530 156,566
--------------
504,240
FINLAND - 3.4%
Jot Automation Group Oyj(3).... 9,690 64,929
Nokia Oyj ADR(3)............... 4,000 199,750
Sonera Oyj(3).................. 5,210 238,478
Tietoenator Oyj(3)............. 2,060 69,016
--------------
572,173
FRANCE - 12.5%
Alcatel........................ 3,460 227,861
AXA-UAP(3)..................... 1,298 205,303
Banque Nationale de Paris(3)... 1,930 186,490
Business Objects*(3)........... 1,003 88,389
Canal Plus(3).................. 468 78,958
Christian Dior S.A.(3)......... 430 97,897
Societe Generale(3)............ 3,770 227,677
Societe Television Francaise... 2,200 153,951
Suez Lyonnaise des Eaux
S.A.(3)...................... 1,400 246,264
Total Fina S.A. (Cl. B)(3)..... 2,734 420,903
Vivendi(3)..................... 2,000 177,245
--------------
2,110,938
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
FOREIGN STOCKS (CONTINUED) OF SHARES VALUE
-------------------------------------------------------------
<S> <C> <C>
GERMANY - 7.5%
Bayer AG(3).................... 5,120 $ 200,640
Bayerische Hypo und Vereinsbank
AG(3)........................ 2,020 131,015
Deutsche Lufthansa AG(3)....... 5,610 130,195
Epcos AG*(3)................... 1,050 105,172
Intershop Communications
AG*(3)....................... 410 187,434
Muenchener Rueckversicherungs-
Gesellschaft(3).............. 525 165,574
SAP AG(3)...................... 770 142,974
Siemens AG(3).................. 1,286 194,776
--------------
1,257,780
GREECE - 0.4%
Hellenic Telecommunications
Organization S.A............. 2,400 58,800
HONG KONG - 2.2%
China Mobile (Hong Kong),
Ltd.*(3)..................... 16,900 149,048
Hutchison Whampoa, Ltd.(3)..... 15,200 191,090
Li & Fung, Ltd.(3)............. 6,900 34,521
--------------
374,659
HUNGARY - 0.2%
OTP Bank RT.................... 700 36,640
INDIA - 0.2%
Videsh Sanchar Nigam, Ltd.
GDR.......................... 1,900 29,688
IRELAND - 4.0%
Bank of Ireland(3)............. 30,755 194,580
CRH plc(3)..................... 13,070 236,796
Elan Corporation plc ADR*(3)... 4,900 237,344
--------------
668,720
ISRAEL - 0.2%
Partner Communications Company,
Ltd.(3)...................... 4,200 39,900
ITALY - 5.5%
Eni SpA(3)..................... 40,430 234,475
Finmeccanica SpA*.............. 45,500 62,807
Riunione Adriatica di Sicurta
SpA.......................... 3,690 40,678
San Paolo - IMI SpA(3)......... 11,475 204,489
Telecom Italia SpA(3).......... 13,510 186,490
Unicredito Italiano SpA(3)..... 39,770 190,999
--------------
919,938
</TABLE>
See accompanying notes.
--------------------------------------------------------------------------------
124
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SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
SERIES I (INTERNATIONAL) (CONTINUED)
NUMBER MARKET
FOREIGN STOCKS (CONTINUED) OF SHARES VALUE
-------------------------------------------------------------
<S> <C> <C>
JAPAN - 10.8%
Fujitsu, Ltd.(3)............... 6,000 $ 208,119
Furukawa Electric Company(3)... 7,000 146,543
Kyocera Corporation(3)......... 900 153,027
Murata Manufacturing Company,
Ltd.(3)...................... 1,000 143,850
Nichiei Company, Ltd.(3)....... 2,400 39,469
Nippon Telegraph & Telephone
Corporation(3)............... 16 213,222
NTT DoCoMo, Inc.(3)............ 5 135,627
Rohm Company, Ltd.(3).......... 400 117,197
Softbank Corporation........... 200 27,220
Sony Corporation(3)............ 1,200 112,282
Takeda Chemical
Industries(3)................ 3,900 256,547
Toshiba Corporation(3)......... 24,000 271,518
--------------
1,824,621
MEXICO - 0.5%
Telefonos de Mexico S.A.
ADR(3)....................... 1,600 91,400
NETHERLANDS - 10.2%
ABN Amro Holding N.V. ......... 3,661 90,052
Asm Lithography Holding
N.V.*(3)..................... 5,850 252,464
Buhrmann N.V.(3)............... 9,924 284,919
ING Groep N.V.(3).............. 4,980 337,987
Koninklijke (Royal) Philips
Electronics N.V.(3).......... 5,040 238,668
Koninklijke Ahold N.V.(3)...... 6,650 196,532
Koninklijke Numico N.V. ....... 2,050 97,667
Stmicroelectronics N.V.*(3).... 3,420 219,521
--------------
1,717,810
POLAND - 0.3%
Telekomunikacja Polska S.A.
GDR*(3)...................... 6,250 44,778
SINGAPORE - 1.6%
Charter Semiconductor
Manufacturing, Ltd.*(3)...... 880 79,200
DBS Group Holdings, Ltd. ...... 6,000 77,039
Natsteel Electronics, Ltd. .... 16,400 50,272
Singapore Press Holdings
Ltd. ........................ 3,900 60,902
--------------
267,413
SOUTH KOREA - 0.9%
Korea Telecom Corporation
ADR(3)....................... 1,500 72,563
Pohang Iron & Steel ADR(3)..... 900 21,600
SK Telecom Company, Ltd.(3).... 1,800 65,363
--------------
159,526
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
FOREIGN STOCKS (CONTINUED) OF SHARES VALUE
-------------------------------------------------------------
<S> <C> <C>
SPAIN - 5.7%
Altadis S.A.................... 2,820 $ 43,495
Banco Bilbao Vizcaya Argentaria
S.A.(3)...................... 13,276 199,168
Banco Popular Espanol S.A...... 5,200 161,505
Banco Santander Central Hispano
S.A.(3)...................... 16,850 178,484
Grupo Prisa S.A.*.............. 1,250 29,118
Telefonica S.A.*(3)............ 8,788 189,544
Union Electrica Fenosa
S.A.(3)...................... 8,910 161,854
--------------
963,168
SWEDEN - 1.2%
Sandvik AB(3).................. 330 6,960
Telefonaktiebolaget LM Ericsson
AB ADR....................... 10,740 213,673
--------------
220,633
SWITZERLAND - 4.6%
ABB, Ltd.(3)................... 1,684 202,202
Adecco S.A.(3)................. 240 204,563
Nestle S.A..................... 65 130,512
Swiss Re....................... 28 57,254
Serono S.A..................... 152 127,126
Zurich Allied AG............... 100 49,566
--------------
771,223
TAIWAN - 0.6%
China Unicom ADR*.............. 1,870 39,738
Systex Corporation*............ 3,000 31,950
Taiwan Semiconductor
Manufacturing Company........ 6,417 30,417
--------------
102,105
TURKEY - 0.4%
Vestel Elektronik Sanayi ve
Ticaret A.S.*................ 120,180 36,374
Yapi ve Kredi Bankasi A.S...... 3,488,392 38,854
--------------
75,228
</TABLE>
See accompanying notes.
--------------------------------------------------------------------------------
125
<PAGE> 127
SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
SERIES I (INTERNATIONAL) (CONTINUED)
NUMBER MARKET
FOREIGN STOCKS (CONTINUED) OF SHARES VALUE
-------------------------------------------------------------
<S> <C> <C>
UNITED KINGDOM - 13.9%
Barclays plc(3)................ 7,100 $ 176,279
BP Amoco plc ADR(3)............ 3,050 172,516
Cable & Wireless plc(3)........ 11,330 192,451
Celltech Group plc*(3)......... 8,420 162,780
Colt Telecom Group plc(3)...... 3,340 110,989
Imperial Tobacco Group plc..... 4,490 43,028
Reckitt Benckiser plc(3)....... 28,800 320,026
Royal Bank of Scotland Group
plc(3)....................... 14,260 237,902
Scottish & Newcastle plc....... 9,810 80,123
Shell Transport & Trading
Company(3)................... 40,110 337,617
Vodafone AirTouch plc(3)....... 103,479 419,840
WPP Group plc.................. 6,670 96,888
--------------
2,350,439
UNITED STATES - 0.6%
UnitedGlobalCom, Inc.(3)....... 2,106 98,456
--------------
Total foreign stocks - 92.1%.............. 15,549,096
<CAPTION>
OPTIONS PURCHASED - 0.2%
------------------------
<S> <C> <C>
Nikkei 225 Call Option 5%,
expires 12/08/00 strike price
17,703.43.................... 32 27,145
GBP Call Option, expires
07/21/00 strike price 1.50... 275,000 3,850
--------------
30,995
--------------
Total investments - 92.3%................. 15,580,090
Cash & other assets, less
liabilities - 7.7%...................... 1,305,926
--------------
Total net assets - 100%................... $ 16,886,016
==============
<CAPTION>
INVESTMENT CONCENTRATION
-------------------------------------------------------------
<S> <C>
At June 30, 2000, Series I's investment
concentration, by industry, was as follows:
Advertising................................. 0.5%
Aerospace/Defense........................... 0.4%
Airlines.................................... 0.8%
Banks & Credit.............................. 15.8%
Broadcast Media............................. 2.1%
Building & Construction..................... 2.9%
Chemicals................................... 1.2%
Computer Software........................... 3.1%
Computer Systems............................ 1.8%
Cosmetics................................... 0.6%
Electric Utilities.......................... 1.0%
Electrical Equipment........................ 2.5%
Electronics................................. 4.4%
Engineering................................. 1.2%
Entertainment............................... 0.5%
Financial Services.......................... 2.3%
Food Processing............................. 1.4%
Food Wholesalers............................ 1.2%
Health Care................................. 2.4%
Household Products.......................... 1.9%
Industrial Services......................... 1.0%
Insurance................................... 2.1%
Manufacturing............................... 2.3%
Medical..................................... 1.5%
Metals & Minerals........................... 0.1%
Oil......................................... 6.9%
Pharmaceuticals............................. 0.8%
Semiconductors.............................. 4.1%
Services.................................... 2.9%
Telecommunications.......................... 21.3%
Tobacco..................................... 0.5%
Transportation.............................. 0.6%
Cash, call options and other assets, less
liabilities............................... 7.9%
--------------
100.0%
==============
</TABLE>
See accompanying notes.
--------------------------------------------------------------------------------
126
<PAGE> 128
SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
SERIES B (LARGE CAP VALUE)
NUMBER MARKET
COMMON STOCKS OF SHARES VALUE
-------------------------------------------------------------
<S> <C> <C>
AEROSPACE/DEFENSE - 0.7%
Boeing Company................. 125,000 $ 5,226,563
ALUMINUM - 0.4%
Alcoa, Inc. ................... 100,000 2,900,000
AUTO PARTS & EQUIPMENT - 0.2%
Delphi Automotive Systems
Corporation.................. 80,000 1,165,000
Visteon Corporation*........... 19,640 238,134
--------------
1,403,134
AUTOMOBILES - 1.1%
Ford Motor Company............. 150,000 6,450,000
General Motors Corporation..... 37,605 2,183,440
--------------
8,633,440
BANKS - MAJOR REGIONAL - 6.6%
Bank of New York Company,
Inc. ........................ 200,000 9,300,000
Bank One Corporation........... 150,000 3,984,375
Fifth Third Bancorp............ 70,000 4,427,500
Firstar Corporation............ 125,000 2,632,812
FleetBoston Financial
Corporation.................. 250,000 8,500,000
PNC Financial Services Group... 100,000 4,687,500
SunTrust Banks, Inc. .......... 40,000 1,827,500
Wachovia Corporation........... 70,000 3,797,500
Wells Fargo & Company.......... 273,600 10,602,000
--------------
49,759,187
BANKS - MONEY CENTER - 3.4%
Bank of America Corporation.... 300,000 12,900,000
Chase Manhattan Corporation.... 187,500 8,636,719
J.P. Morgan & Company, Inc..... 40,000 4,405,000
--------------
25,941,719
BEVERAGES - ALCOHOLIC - 0.6%
Anheuser-Busch Companies,
Inc. ........................ 57,000 4,257,188
BEVERAGES - SOFT DRINK - 0.5%
PepsiCo, Inc................... 77,700 3,452,793
BIOTECHNOLOGY - 0.6%
Amgen, Inc.*................... 69,000 4,847,250
BROADCAST MEDIA - 0.8%
Clear Channel Communications,
Inc.*........................ 50,000 3,750,000
Univision Communications,
Inc.*........................ 21,000 2,173,500
--------------
5,923,500
BUILDING MATERIALS - 0.2%
Masco Corporation.............. 80,000 1,445,000
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
-------------------------------------------------------------
<S> <C> <C>
CHEMICALS - BASIC - 2.0%
Air Products & Chemicals,
Inc.......................... 50,000 $ 1,540,625
Dow Chemical Company........... 90,000 2,716,875
E.I. du Pont de Nemours &
Company...................... 161,200 7,052,500
Praxair, Inc................... 35,000 1,310,313
Rohm & Haas Company............ 70,000 2,415,000
--------------
15,035,313
COMMUNICATION EQUIPMENT - 2.4%
Motorola, Inc. ................ 270,000 7,846,875
Nortel Networks Corporation.... 50,000 3,412,500
Tellabs, Inc.*................. 100,000 6,843,750
--------------
18,103,125
COMPUTER HARDWARE - 4.3%
Compaq Computer Corporation.... 250,000 6,390,625
Dell Computer Corporation*..... 107,000 5,276,437
Hewlett-Packard Company........ 100,000 12,487,500
International Business Machines
Corporation.................. 75,000 8,217,188
--------------
32,371,750
COMPUTER SOFTWARE/SERVICES - 2.1%
Microsoft Corporation*......... 200,000 16,000,000
COMPUTER - NETWORKING - 0.5%
Cisco Systems, Inc.*........... 60,000 3,798,750
COMPUTER - PERIPHERALS - 0.6%
EMC Corporation*............... 60,000 4,616,250
CONSUMER FINANCE - 0.3%
Household International,
Inc. ........................ 60,000 2,493,750
DISTRIBUTION - FOOD & HEALTH - 0.7%
Cardinal Health, Inc. ......... 70,000 5,180,000
ELECTRICAL EQUIPMENT - 3.3%
Emerson Electric Company....... 100,000 6,037,500
General Electric Company....... 300,000 15,900,000
Sanmina Corporation*........... 33,000 2,821,500
--------------
24,759,000
ELECTRONICS - INSTRUMENTATION - 0.4%
Agilent Technologies, Inc.*.... 38,140 2,812,825
ELECTRONICS - SEMICONDUCTORS - 1.7%
Intel Corporation.............. 70,000 9,358,125
Texas Instruments, Inc. ....... 46,000 3,159,625
--------------
12,517,750
</TABLE>
See accompanying notes.
--------------------------------------------------------------------------------
127
<PAGE> 129
SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
SERIES B (LARGE CAP VALUE) (CONTINUED)
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
-------------------------------------------------------------
<S> <C> <C>
ENTERTAINMENT - 2.9%
Viacom, Inc.*.................. 174,650 $ 11,908,947
Walt Disney Company*........... 250,000 9,703,125
--------------
21,612,072
EQUIPMENT - SEMICONDUCTORS - 0.5%
Applied Materials, Inc.*....... 44,000 3,987,500
FINANCIAL - DIVERSE - 8.2%
American Express Company....... 150,000 7,818,750
Citigroup, Inc. ............... 450,000 27,112,500
Fannie Mae..................... 170,000 8,871,875
Freddie Mac.................... 142,900 5,787,450
Morgan Stanley Dean Witter &
Company...................... 150,000 12,487,500
--------------
62,078,075
HEALTH CARE - DIVERSE - 3.3%
American Home Products
Corporation.................. 200,000 11,750,000
Bristol-Myers Squibb Company... 74,400 4,333,800
Johnson & Johnson.............. 83,500 8,506,563
--------------
24,590,363
HEALTH CARE - PHARMACEUTICALS - MAJOR - 2.9%
Merck & Company, Inc. ......... 108,500 8,313,812
Pharmacia Corporation.......... 150,000 7,753,125
Schering-Plough Corporation.... 115,000 5,807,500
--------------
21,874,437
HOSPITAL MANAGEMENT - 0.4%
HCA-Healthcare Corporation..... 100,000 3,037,500
HOUSEHOLD PRODUCTS - 1.2%
Clorox Company................. 40,000 1,792,500
Colgate-Palmolive Company...... 49,500 2,963,812
Kimberly-Clark Corporation..... 81,000 4,647,375
--------------
9,403,687
HOUSEWARES - 0.2%
Newell Rubbermaid, Inc. ....... 60,000 1,545,000
INSURANCE - BROKERS - 0.4%
Marsh & Mclennan Companies,
Inc. ........................ 30,000 3,133,125
INSURANCE - LIFE/HEALTH - 1.3%
AFLAC, Inc. ................... 40,000 1,837,500
American General Corporation... 125,000 7,625,000
--------------
9,462,500
INSURANCE - MULTILINE - 3.1%
American International Group,
Inc. ........................ 200,000 23,500,000
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
-------------------------------------------------------------
<S> <C> <C>
INSURANCE - PROPERTY & CASUALTY - 0.2%
Chubb Corporation.............. 30,000 $ 1,845,000
INVESTMENT BANK/BROKERAGE - 0.9%
Merrill Lynch & Company,
Inc. ........................ 60,000 6,900,000
LEISURE TIME PRODUCTS - 0.3%
Harley-Davidson, Inc. ......... 57,000 2,194,500
LODGING - HOTELS - 0.3%
Carnival Corporation........... 100,000 1,950,000
MACHINERY - DIVERSE - 1.0%
Deere & Company................ 107,600 3,981,200
Ingersoll-Rand Company......... 80,200 3,228,050
--------------
7,209,250
MANUFACTURING - DIVERSIFIED - 3.4%
Honeywell International,
Inc. ........................ 100,000 3,368,750
Illinois Tool Works, Inc. ..... 50,000 2,850,000
Minnesota Mining &
Manufacturing Company........ 75,000 6,187,500
Textron, Inc. ................. 50,000 2,715,625
Tyco International, Ltd. ...... 92,000 4,358,500
United Technologies
Corporation.................. 100,000 5,887,500
--------------
25,367,875
MEDICAL PRODUCTS & SUPPLIES - 1.1%
Baxter International, Inc. .... 60,000 4,218,750
Becton, Dickinson & Company.... 60,000 1,721,250
Medtronic, Inc. ............... 50,000 2,490,625
--------------
8,430,625
NATURAL GAS - 1.5%
El Paso Energy Corporation..... 100,000 5,093,750
Enron Corporation.............. 70,000 4,515,000
Williams Companies, Inc. ...... 50,000 2,084,375
--------------
11,693,125
OIL - DOMESTIC - 0.7%
Phillips Petroleum Company..... 100,000 5,068,750
OIL - INTERNATIONAL - 9.8%
BP Amoco Plc ADR............... 123,000 6,957,187
Chevron Corporation............ 91,600 7,768,825
Exxon Mobil Corporation........ 450,000 35,325,041
Royal Dutch Petroleum
Company...................... 250,000 15,390,625
Texaco, Inc. .................. 151,100 8,046,075
--------------
73,487,753
OIL & GAS - DRILLING &
EQUIPMENT - 1.4%
Halliburton Company............ 150,000 7,078,125
Schlumberger, Ltd. ............ 50,000 3,731,250
--------------
10,809,375
</TABLE>
See accompanying notes.
--------------------------------------------------------------------------------
128
<PAGE> 130
SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
SERIES B (LARGE CAP VALUE) (CONTINUED)
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
-------------------------------------------------------------
<S> <C> <C>
OIL & GAS - EXPLORATION &
PRODUCTION - 0.9%
Unocal Corporation............. 200,000 $ 6,625,000
PAPER & FOREST PRODUCTS - 0.8%
International Paper Company.... 100,000 2,981,250
Weyerhaeuser Company........... 80,000 3,440,000
--------------
6,421,250
PHOTOGRAPHY/IMAGING - 0.6%
Eastman Kodak Company.......... 45,000 2,677,500
Xerox Company.................. 85,000 1,763,750
--------------
4,441,250
PUBLISHING - NEWSPAPER - 0.8%
Gannett Company, Inc. ......... 100,000 5,981,250
RAILROADS - 0.4%
Burlington Northern Santa Fe
Corporation.................. 70,000 1,605,625
Union Pacific Corporation...... 40,000 1,487,500
--------------
3,093,125
RESTAURANTS - 1.0%
McDonald's Corporation*........ 225,000 7,410,937
RETAIL - BUILDING SUPPLIES - 0.9%
Home Depot, Inc................ 74,000 3,695,375
Loew's Companies, Inc.......... 70,000 2,874,375
--------------
6,569,750
RETAIL - DEPARTMENT STORES - 0.4%
May Department Stores Company.. 60,000 1,440,000
J.C. Penney Company, Inc....... 100,000 1,843,750
--------------
3,283,750
RETAIL - DRUG STORES - 0.3%
CVS Corporation................ 50,000 2,000,000
RETAIL - FOOD CHAINS - 0.5%
Safeway, Inc.*................. 79,200 3,573,900
RETAIL - GENERAL MERCHANDISE - 1.9%
Costco Wholesale
Corporation*................. 60,000 1,980,000
Target Corporation............. 59,300 3,439,400
Wal-Mart Stores, Inc........... 150,000 8,643,750
--------------
14,063,150
SAVINGS & LOANS - 0.3%
Washington Mutual, Inc......... 90,000 2,598,750
SERVICES - ADVERTISING - 0.5%
Omnicom Group, Inc............. 40,000 3,562,500
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT OR
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
-------------------------------------------------------------
<S> <C> <C>
SERVICES - COMPUTER - 0.6%
Computer Sciences
Corporation*................. 25,000 $ 1,867,188
Electronic Data Systems
Corporation.................. 60,000 2,475,000
--------------
4,342,188
SERVICES - DATA PROCESSING - 0.3%
Automatic Data Processing,
Inc.......................... 43,500 2,329,969
TELECOMMUNICATION - CELLULAR - 0.4%
Nextel Communications, Inc..... 50,000 3,059,375
TELECOMMUNICATION - LONG
DISTANCE - 4.3%
AT&T Corporation............... 400,000 12,650,000
Sprint Corporation............. 120,000 6,120,000
WorldCom, Inc.*................ 304,800 14,001,750
--------------
32,771,750
TELEPHONE - 4.9%
ALLTEL Corporation............. 60,000 3,716,250
Bell Atlantic Corporation...... 250,000 12,703,125
BellSouth Corporation.......... 272,000 11,594,000
SBC Communications, Inc........ 200,000 8,650,000
--------------
36,663,375
--------------
Total common stocks - 98.2%............... 739,450,068
<CAPTION>
COMMERCIAL PAPER
----------------
<S> <C> <C>
AEROSPACE/DEFENSE - 0.5%
Honeywell International, Inc.,
6.50% - 7-05-00.............. $ 3,900,000 3,897,183
COMBINATION GAS & ELECTRIC - 0.4%
Baltimore Gas & Electric
Company,
6.62% - 7-11-00.............. $ 2,000,000 1,996,322
6.60% - 8-03-00.............. $ 1,000,000 993,950
--------------
2,990,272
COMPUTER SYSTEMS - 0.3%
International Business Machines
Corporation, - 6.53% -
7-07-00.................... $ 2,100,000 2,097,715
FOOD PROCESSING - 0.4%
General Mills, Inc., - 6.47% -
7-03-00..................... $ 3,000,000 2,998,922
--------------
Total commercial paper - 1.6%............. 11,984,092
--------------
Total investments - 99.8%................. 751,434,160
Cash and other assets, less
liabilities - 0.2%...................... 1,362,121
--------------
Total net assets - 100.0%................. $ 752,796,281
==============
</TABLE>
See accompanying notes.
--------------------------------------------------------------------------------
129
<PAGE> 131
SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
The identified cost of investments owned at June 30, 2000, was the same for
federal income tax and financial statement purposes.
* Non-income producing security
ADR (American Depositary Receipt)
(1) Variable rate security. Rate indicated is rate effective at June 30, 2000.
(2) Principal amount on foreign bond is reflected in local currency (e.g.,
Danish krone) while market value is reflected in U.S. dollars.
(3) Security is segregated as collateral for futures or forward contracts.
(4) 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.
(5) Deferred interest obligation currently zero under terms of initial offering.
See accompanying notes.
--------------------------------------------------------------------------------
130
<PAGE> 132
STATEMENTS OF ASSETS AND LIABILITIES
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SERIES V SERIES X SERIES J SERIES K
(MID CAP (SMALL CAP (MID CAP SERIES D (GLOBAL STRATEGIC
VALUE) GROWTH) GROWTH) (GLOBAL) INCOME)
<S> <C> <C> <C> <C> <C>
ASSETS
Investments, at value (identified cost:
$63,955,719, $87,997,543,
$388,163,321, $477,583,307, and
$11,424,285 respectively)............. $71,098,807 $104,830,269 $574,631,310 $597,324,702 $10,993,652
Cash denominated in a foreign currency,
at value (identified cost $0, $0, $0,
$98,700 $0 respectively).............. -- -- -- 98,681 --
Cash.................................... 907,617 12,621,903 245,964 12,423,223 18,544
Receivables:
Securities sold....................... -- 4,460,771 1,873,409 10,366,972 32,264
Interest.............................. 3,621 59,787 8,434 73,959 225,226
Dividends............................. 47,138 2,420 152,517 619,948 --
Foreign taxes recoverable............... -- -- -- 340,311 2,081
Prepaid Expenses........................ 4,553 4,779 39,163 48,824 2,862
----------- ------------ ------------ ------------ -----------
Total assets........................ $72,061,736 $121,979,929 $576,950,797 $621,296,620 $11,274,629
----------- ------------ ------------ ------------ -----------
LIABILITIES
Payable for:
Securities purchased.................. $ 1,406,851 $ 6,578,810 $ 1,092,673 $ 5,952,785 $ 24,334
Variation margin...................... -- -- -- -- 509
Net unrealized depreciation on forward
foreign exchange contracts.......... -- -- -- -- 52,934
Written options....................... 203,344 -- 2,099,506 -- --
Management fees....................... 41,757 89,437 348,842 500,723 6,807
Custodian fees........................ 1,639 5,195 6,825 5,971 1,483
Transfer and administration fees...... 2,687 8,214 21,343 73,084 5,720
Professional fees..................... -- 2,633 897 9,697 3,480
Other payables........................ 2,700 452 8,322 1,935 222
----------- ------------ ------------ ------------ -----------
Total liabilities................... 1,658,978 6,684,741 3,578,408 6,544,195 95,489
----------- ------------ ------------ ------------ -----------
NET ASSETS.............................. $70,402,758 $115,295,188 $573,372,389 $614,752,425 $11,179,140
=========== ============ ============ ============ ===========
NET ASSETS CONSIST OF:
Paid in capital......................... $57,749,481 $102,267,575 $319,985,015 $360,844,391 $11,706,163
Accumulated undistributed net investment
income (loss)......................... 81,082 (176,183) (674,643) (224,552) 392,302
Accumulated undistributed net realized
gain (loss) on sale of investments,
futures, and foreign currency
transactions.......................... 5,365,752 (3,628,930) 67,248,695 134,378,717 (435,133)
Net unrealized appreciation in value of
investments, futures and translation
of assets and liabilities in foreign
currency.............................. 7,206,443 16,832,726 186,813,322 119,753,869 (484,192)
----------- ------------ ------------ ------------ -----------
Total net assets.................... $70,402,758 $115,295,188 $573,372,389 $614,752,425 $11,179,140
=========== ============ ============ ============ ===========
Capital shares authorized............... indefinite indefinite indefinite indefinite indefinite
Capital shares outstanding.............. 3,649,875 5,250,929 16,825,280 61,634,602 1,129,514
Net asset value per share (net assets
divided by shares outstanding)........ $ 19.29 $ 21.96 $ 34.08 $ 9.97 $ 9.90
=========== ============ ============ ============ ===========
</TABLE>
See accompanying notes.
--------------------------------------------------------------------------------
131
<PAGE> 133
STATEMENTS OF ASSETS AND LIABILITIES (CONTINUED)
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SERIES C SERIES S SERIES G SERIES E
(MONEY (SOCIAL SERIES T (LARGE CAP (DIVERSIFIED
MARKET) AWARENESS) (TECHNOLOGY) GROWTH) INCOME)
<S> <C> <C> <C> <C> <C>
ASSETS
Investments, at value ($133,938,003,
$165,481,073, $11,862,452, $6,144,456
and $117,850,853 respectively)......... $ 133,981,444 $249,978,676 $12,254,658 $6,298,688 $112,290,324
Cash..................................... 103,664 1,152,301 -- 9 4,780,071
Receivables:
Securities sold........................ 44,720 943,195 223,623 -- 268
Interest............................... 356,611 6,175 -- -- 1,829,550
Dividends.............................. -- 122,399 336 1,459 --
Prepaid Expenses......................... 8,489 27,779 -- -- 15,079
------------- ------------ ----------- ---------- ------------
Total assets......................... $ 134,494,928 $252,230,525 $12,478,617 $6,300,156 $118,915,292
------------- ------------ ----------- ---------- ------------
LIABILITIES
Cash overdraft........................... $ -- $ -- $ 210 $ -- $ --
Payable for:
Securities purchased................... -- 1,914,250 1,747,692 46,962 --
Management fees........................ 55,963 153,102 6,545 4,745 72,752
Custodian fees......................... 1,893 3,038 135 954 3,793
Transfer and administration fees....... 5,506 9,628 2,881 476 4,820
Professional fees...................... 3,978 7,458 1,214 1,214 4,972
Other payables......................... 3,256 2,667 64 65 2,642
------------- ------------ ----------- ---------- ------------
Total liabilities.................... 70,596 2,090,143 1,758,741 54,416 88,979
------------- ------------ ----------- ---------- ------------
NET ASSETS............................... $ 134,424,332 $250,140,382 $10,719,876 $6,245,740 $118,826,313
============= ============ =========== ========== ============
NET ASSETS CONSIST OF:
Paid in capital.......................... $ 130,096,536 $165,020,888 $10,356,596 $6,099,587 $139,459,678
Accumulated undistributed net investment
income (loss).......................... 4,284,355 (71,283) (15,168) (8,078) 4,962,213
Accumulated undistributed net realized
gain (loss) on sale of investments,
futures, and foreign currency
transactions........................... -- 673,174 (13,758) -- (20,235,049)
Net unrealized appreciation
(depreciation) in value of investments,
futures and translation of assets and
liabilities in foreign currency........ 43,441 84,517,603 392,206 154,231 (5,360,529)
------------- ------------ ----------- ---------- ------------
Total net assets..................... $ 134,424,332 $250,140,382 $10,719,876 $6,245,740 $118,826,313
============= ============ =========== ========== ============
Capital shares authorized................ indefinite indefinite indefinite indefinite indefinite
Capital shares outstanding............... 10,854,135 7,703,399 1,046,777 611,859 11,085,530
Net asset value per share (net assets
divided by shares outstanding)......... $ 12.38 $ 32.47 $ 10.24 $ 10.21 $ 10.72
============= ============ =========== ========== ============
</TABLE>
See accompanying notes.
--------------------------------------------------------------------------------
132
<PAGE> 134
STATEMENTS OF ASSETS AND LIABILITIES (CONTINUED)
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SERIES N SERIES W
(MANAGED ASSET (MAIN STREET GROWTH & SERIES H SERIES L
ALLOCATION) INCOME)(R) (ENHANCED INDEX) (CAPITAL GROWTH)
<S> <C> <C> <C> <C>
ASSETS
Investments, at value (identified
cost $80,013,837, $13,682,683,
$36,653,788 and $7,823,075
respectively)..................... $92,818,249 $13,779,058 $38,785,311 $7,841,421
Cash denominated in a foreign
currency, at value (identified
cost $647, $0, $0, and $0
respectively)..................... 645 -- -- --
Cash................................ -- -- 3,714,025 --
Receivables:
Securities sold................... 1,104,951 20,520 18,763 57,858
Variation margin.................. -- -- 46,400 --
Interest.......................... 540,571 -- 16,554 1,166
Dividends......................... 190,877 4,905 28,494 --
Foreign taxes recoverable........... 15,487 -- -- --
Prepaid Expenses.................... 23,325 -- 2,882 --
----------- ----------- ----------- ----------
Total assets.................... $94,694,106 $13,804,483 $42,612,429 $7,900,445
----------- ----------- ----------- ----------
LIABILITIES
Cash overdraft...................... $ -- $ 43,994 $ -- $ 20
Payable for:
Securities purchased.............. 271,689 346,249 214,456 39,991
Management fees................... 77,461 9,741 25,497 5,501
Custodian fees.................... -- 970 11,318 92
Transfer and administration
fees............................ 11,590 962 3,217 553
Professional fees................. 5,469 1,214 2,733 1,214
Miscellaneous..................... 4,719 65 86 64
----------- ----------- ----------- ----------
Total liabilities............... 370,928 403,195 257,307 47,435
----------- ----------- ----------- ----------
NET ASSETS.......................... $94,323,178 $13,401,288 $42,355,122 $7,853,010
=========== =========== =========== ==========
NET ASSETS CONSIST OF:
Paid in capital..................... $73,214,508 $13,386,544 $40,053,787 $7,876,044
Accumulated undistributed net
investment income (loss).......... 1,357,870 3,638 121,314 (3,761)
Accumulated undistributed net
realized gain (loss) on sale of
investments, futures, and foreign
currency transactions............. 6,946,257 (85,236) 138,611 (37,619)
Net unrealized appreciation in value
of investments, futures and
translation of assets and
liabilities in foreign currency... 12,804,543 96,342 2,041,410 18,346
----------- ----------- ----------- ----------
Total net assets................ $94,323,178 $13,401,288 $42,355,122 $7,853,010
=========== =========== =========== ==========
Capital shares authorized........... indefinite indefinite indefinite indefinite
Capital shares outstanding.......... 5,492,884 1,342,617 3,820,088 790,790
Net asset value per share (net
assets divided by shares
outstanding)...................... $ 17.17 $ 9.98 $ 11.09 $ 9.93
=========== =========== =========== ==========
</TABLE>
See accompanying notes.
--------------------------------------------------------------------------------
133
<PAGE> 135
STATEMENTS OF ASSETS AND LIABILITIES (CONTINUED)
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SERIES Q SERIES M
(SMALL CAP SERIES A SERIES P (GLOBAL TOTAL
VALUE) (EQUITY) (HIGH YIELD) RETURN)
<S> <C> <C> <C> <C>
ASSETS
Investments, at value (identified cost $5,996,588,
$783,118,727, $17,919,168 and $37,114,255
respectively)......................................... $5,958,993 $1,213,094,914 $15,443,719 $38,042,229
Cash denominated in a foreign currency, at value
(identified cost $0, $0, $0, and $738 respectively)... -- -- -- 738
Cash.................................................... 3,663 1,009,529 4,598,803 997
Receivables:
Securities sold....................................... 43,061 3,206,851 -- 273,822
Variation margin...................................... -- -- -- 97,079
Net unrealized appreciation of forward foreign
exchange contracts.................................. -- -- -- 6,645
Interest.............................................. 6 4,457 399,737 139,536
Dividends............................................. -- 567,371 -- 39,504
Foreign taxes recoverable............................... -- -- -- 21,773
Prepaid Expenses........................................ -- 89,148 1,713 4,316
---------- -------------- ----------- -----------
Total assets........................................ $6,005,723 $1,217,972,270 $20,443,972 $38,626,639
---------- -------------- ----------- -----------
LIABILITIES
Payable for:
Securities purchased.................................. $ 52,101 $ -- $ 300,000 $ 39,777
Variation margin...................................... -- -- -- 36,597
Written options....................................... 26,750 -- -- --
Management fees....................................... 4,572 750,438 12,220 31,632
Custodian fees........................................ 970 12,964 852 --
Transfer and administration fees...................... 468 45,540 866 6,732
Professional fees..................................... 1,214 21,416 -- 4,375
Other payables........................................ 64 24,304 2,784 3,789
---------- -------------- ----------- -----------
Total liabilities................................... 86,139 854,662 316,722 122,902
---------- -------------- ----------- -----------
NET ASSETS.............................................. $5,919,584 $1,217,117,608 $20,127,250 $38,503,737
========== ============== =========== ===========
NET ASSETS CONSIST OF:
Paid in capital......................................... $6,005,302 $ 625,403,851 $22,152,340 $32,252,452
Accumulated undistributed net investment income
(loss)................................................ (8,041) 1,612,613 783,478 279,365
Accumulated undistributed net realized gain (loss) on
sale of investments, futures, and foreign currency
transactions.......................................... (48,849) 160,124,957 (333,119) 4,461,324
Net unrealized appreciation (depreciation) in value of
investments, futures and translation of assets and
liabilities in foreign currency....................... (28,828) 429,976,187 (2,475,449) 1,510,596
---------- -------------- ----------- -----------
Total net assets.................................... $5,919,584 $1,217,117,608 $20,127,250 $38,503,737
========== ============== =========== ===========
Capital shares authorized............................... indefinite indefinite indefinite indefinite
Capital shares outstanding.............................. 601,624 34,856,094 1,323,335 3,021,057
Net asset value per share (net assets divided by shares
outstanding).......................................... $ 9.84 $ 34.92 $ 15.21 $ 12.75
========== ============== =========== ===========
</TABLE>
See accompanying notes.
--------------------------------------------------------------------------------
134
<PAGE> 136
STATEMENTS OF ASSETS AND LIABILITIES (CONTINUED)
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SERIES B
SERIES O SERIES Y SERIES I (LARGE CAP
(EQUITY INCOME) (SELECT 25) (INTERNATIONAL) VALUE)
<S> <C> <C> <C> <C>
ASSETS
Investments, at value (identified cost $168,354,517,
$64,310,283, $14,683,667 and $759,097,426
respectively)..................................... $161,623,670 $ 70,228,225 $ 15,580,090 $751,434,160
Cash denominated in a foreign currency, at value
(identified cost $0, $0, $139,381, and $0
respectively)..................................... -- -- 139,522 --
Cash................................................ -- 473,427 2,061,838 1,168,679
Receivables:
Securities sold................................... 4,470,767 -- 542,803 --
Net unrealized appreciation on forward foreign
exchange contracts.............................. -- -- 2,223 --
Interest.......................................... 24,741 4,259 6,657 4,023
Dividends......................................... 361,894 11,857 7,322 667,451
Foreign taxes recoverable........................... -- -- 17,028 --
Prepaid Expenses.................................... 23,735 4,851 12,011 79,639
------------ ------------ ------------ ------------
Total assets.................................... $166,504,807 $ 70,722,619 $ 18,369,494 $753,353,952
------------ ------------ ------------ ------------
LIABILITIES
Payable for:
Securities purchased.............................. $ 152,381 $ 126,200 $ 1,446,969 $ --
Written options................................... -- -- 3,795 --
Management fees................................... 147,651 41,634 14,989 481,282
Custodian fees.................................... 6,224 1,789 10,700 --
Transfer and administration fees.................. 7,165 5,170 4,535 29,346
Professional fees................................. 7,458 2,140 2,490 22,065
Other payables.................................... 3,885 -- -- 24,978
------------ ------------ ------------ ------------
Total liabilities............................... 324,764 176,933 1,483,478 557,671
------------ ------------ ------------ ------------
NET ASSETS.......................................... $166,180,043 $ 70,545,686 $ 16,886,016 $752,796,281
============ ============ ============ ============
NET ASSETS CONSIST OF:
Paid in capital..................................... $146,498,562 $ 67,272,197 15,754,745 $884,075,789
Accumulated undistributed net investment income
(loss)............................................ 2,042,066 (6,301) (26,387) 28,881,699
Accumulated undistributed net realized gain (loss)
on sale of investments, futures, and foreign
currency transactions............................. 24,369,839 (2,638,152) 262,885 (152,497,941)
Net unrealized appreciation (depreciation) in value
of investments, futures and translation of assets
and liabilities in foreign currency............... (6,730,424) 5,917,942 894,773 (7,663,266)
------------ ------------ ------------ ------------
Total net assets................................ $166,180,043 $ 70,545,686 $ 16,886,016 $752,796,281
============ ============ ============ ============
Capital shares authorized........................... indefinite indefinite indefinite indefinite
Capital shares outstanding.......................... 9,906,960 5,941,879 1,398,398 34,521,760
Net asset value per share (net assets divided by
shares outstanding)............................... $ 16.77 $ 11.87 $ 12.08 $ 21.81
============ ============ ============ ============
</TABLE>
See accompanying notes.
--------------------------------------------------------------------------------
135
<PAGE> 137
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SERIES X SERIES J SERIES K
SERIES V (SMALL CAP (MID CAP SERIES D (GLOBAL STRATEGIC
(MID CAP VALUE) GROWTH) GROWTH) (GLOBAL) INCOME)
<S> <C> <C> <C> <C> <C>
INVESTMENT INCOME:
Dividends........................... $ 266,850 $ 20,550 $ 874,759 $ 3,789,139 $ --
Interest............................ 41,939 338,414 574,372 669,609 519,191
----------- ----------- ----------- ------------ ---------
308,789 358,964 1,449,131 4,458,748 519,191
Less foreign tax expense.............. -- -- -- (186,847) 1,040
----------- ----------- ----------- ------------ ---------
Total investment income............. 308,789 358,964 1,449,131 4,271,901 520,231
EXPENSES:
Management fees..................... 206,630 479,124 1,970,187 2,967,511 41,314
Custodian fees...................... 2,258 7,654 10,280 106,106 13,910
Transfer/maintenance fees........... 1,012 876 2,364 2,745 1,832
Administration fees................. 12,397 43,121 118,211 426,174 32,479
Directors' fees..................... 327 1,043 3,034 3,784 100
Professional fees................... 2,983 2,983 7,955 9,697 3,480
Reports to shareholders............. 697 248 7,908 9,448 448
Registration fees................... 1,086 -- -- -- --
Other expenses...................... 317 98 3,835 5,064 178
----------- ----------- ----------- ------------ ---------
Total expenses...................... 227,707 535,147 2,123,774 3,530,529 93,741
----------- ----------- ----------- ------------ ---------
Net investment income............. 81,082 (176,183) (674,643) 741,372 426,490
NET REALIZED AND UNREALIZED GAIN
(LOSS):
Net realized gain (loss) during the
period on:
Investments......................... 4,485,778 (4,730,624) 25,426,072 76,689,503 (62,416)
Foreign currency transactions....... -- -- -- (678,989) 102,202
Options Written..................... 55,744 -- 324,704 -- --
Futures............................. -- -- (722,110) -- --
----------- ----------- ----------- ------------ ---------
Net realized gain (loss).......... 4,541,522 (4,730,624) 25,028,666 76,010,514 39,786
Net change in unrealized appreciation
(depreciation) during the period on:
Investments......................... 2,891,810 5,070,565 31,559,316 (23,323,336) (59,294)
Options written..................... 63,356 -- 345,333 -- --
Translation of assets and
liabilities in foreign
currencies........................ -- -- -- 31,536 (84,522)
----------- ----------- ----------- ------------ ---------
Net unrealized appreciation
(depreciation).................... 2,955,166 5,070,565 31,904,649 (23,291,800) (143,816)
----------- ----------- ----------- ------------ ---------
Net gain (loss)................... 7,496,688 339,941 56,933,315 52,718,714 (104,030)
----------- ----------- ----------- ------------ ---------
Net increase in net assets
resulting from
operations................. $ 7,577,770 $ 163,758 $56,258,672 $ 53,460,086 $ 322,460
=========== =========== =========== ============ =========
</TABLE>
See accompanying notes.
--------------------------------------------------------------------------------
136
<PAGE> 138
STATEMENTS OF OPERATIONS (CONTINUED)
FOR THE SIX MONTHS ENDED, EXCEPT AS NOTED
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SERIES C SERIES S SERIES G* SERIES E
(MONEY (SOCIAL SERIES T* (LARGE CAP (DIVERSIFIED
MARKET) AWARENESS) (TECHNOLOGY) GROWTH) INCOME)
<S> <C> <C> <C> <C> <C>
INVESTMENT INCOME:
Dividends...................................... $ -- $ 812,312 $ 633 $ 3,090 $ 4,682,436
Interest....................................... 4,122,078 88,312 3,228 542 --
---------- ----------- -------- -------- -----------
4,122,078 900,624 3,861 3,632 4,682,436
Less foreign tax expense......................... -- -- -- -- --
---------- ----------- -------- -------- -----------
Total investment income........................ 4,122,078 900,624 3,861 3,632 4,682,436
EXPENSES:
Management fees................................ 337,184 892,952 10,746 8,650 462,970
Custodian fees................................. 3,586 5,192 1,434 954 6,600
Transfer/maintenance fees...................... 2,829 2,531 87 49 2,408
Administration fees............................ 30,346 53,577 5,484 779 27,778
Directors' fees................................ 1,318 1,860 24 24 1,188
Professional fees.............................. 3,979 7,458 1,214 1,214 4,972
Reports to shareholders........................ 4,226 5,718 40 40 4,030
Other expenses................................. 2,222 2,619 -- -- 2,177
---------- ----------- -------- -------- -----------
Total expenses................................. 385,690 971,907 19,029 11,710 512,123
---------- ----------- -------- -------- -----------
Net investment income (loss)................. 3,736,388 (71,283) (15,168) (8,078) 4,170,313
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) during the period on:
Investments.................................... -- 2,108,891 (13,758) -- (7,311,625)
Net change in unrealized appreciation
(depreciation) during the period on:
Investments.................................... 73,113 3,493,241 392,206 154,231 5,040,380
---------- ----------- -------- -------- -----------
Net gain (loss).............................. 73,113 5,602,132 378,448 154,231 (2,271,245)
---------- ----------- -------- -------- -----------
Net increase in net assets resulting
from operations....................... $3,809,501 $5,530,849 $363,280 $146,153 $ 1,899,068
========== =========== ======== ======== ===========
</TABLE>
* Period May 1, 2000 (inception) through June 30, 2000.
See accompanying notes.
--------------------------------------------------------------------------------
137
<PAGE> 139
STATEMENTS OF OPERATIONS (CONTINUED)
FOR THE SIX MONTHS ENDED, EXCEPT AS NOTED
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SERIES N SERIES W* SERIES H SERIES L*
(MANAGED ASSET (MAIN STREET (ENHANCED (CAPITAL
ALLOCATION) GROWTH & INCOME(R)) INDEX) GROWTH)
<S> <C> <C> <C> <C>
INVESTMENT INCOME:
Dividends......................................... $ 560,037 $23,538 $164,017 $ 4,106
Interest.......................................... 1,262,956 1,842 124,167 5,134
----------- ------- --------- --------
1,822,993 25,380 288,184 9,240
Less foreign tax expense............................ (30,435) -- -- --
----------- ------- --------- --------
Total investment income........................... 1,792,558 25,380 288,184 9,240
EXPENSES:
Management fees................................... 468,094 17,805 127,146 9,813
Custodian fees.................................... 15,518 970 17,618 970
Transfer/maintenance fees......................... 2,063 86 889 57
Administration fees............................... 67,873 1,603 15,257 883
Directors' fees................................... 855 24 178 24
Professional fees................................. 5,469 1,214 2,983 1,214
Reports to shareholders........................... 2,735 40 448 40
Registration fees................................. -- -- 2,251 --
Other expenses.................................... 1,227 -- 100 --
----------- ------- --------- --------
Total expenses.................................... 563,834 21,742 166,870 13,001
----------- ------- --------- --------
Net investment income (loss).................... 1,228,724 3,638 121,314 (3,761)
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) during the period on:
Investments....................................... 3,413,912 (84,906) (127,959) (37,619)
Foreign currency transactions..................... (113,127) (330) -- --
Futures........................................... -- -- 134,719 --
----------- ------- --------- --------
Net realized gain (loss)........................ 3,300,785 (85,236) 6,760 (37,619)
Net change in unrealized appreciation (depreciation)
during the period on:
Investments....................................... (3,322,549) 96,375 154,419 18,346
Futures........................................... -- -- (209,374) --
Translation of assets and liabilities in foreign
currencies...................................... 308 (33) -- --
----------- ------- --------- --------
Net unrealized appreciation (depreciation)........ (3,322,241) 96,342 (54,955) 18,346
----------- ------- --------- --------
Net gain (loss)................................. (21,456) 11,106 (48,195) (19,273)
----------- ------- --------- --------
Net increase (decrease) in net assets
resulting from
operations............................... $ 1,207,268 $14,744 $ 73,119 $(23,034)
=========== ======= ========= ========
</TABLE>
* Period May 1, 2000 (inception) through June 30, 2000.
See accompanying notes.
--------------------------------------------------------------------------------
138
<PAGE> 140
STATEMENTS OF OPERATIONS (CONTINUED)
FOR THE SIX MONTHS ENDED, EXCEPT AS NOTED
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SERIES Q* SERIES M
(SMALL CAP SERIES A SERIES P (GLOBAL TOTAL
VALUE) (EQUITY) (HIGH YIELD) RETURN)
<S> <C> <C> <C> <C>
INVESTMENT INCOME:
Dividends................................................. $ 2,663 $ 4,951,651 $ 200 $ 214,021
Interest.................................................. 1,102 1,658,991 866,067 376,448
---------- ------------ ----------- -----------
3,765 6,610,642 866,267 590,469
Less foreign tax expense.................................... -- -- -- (18,272)
---------- ------------ ----------- -----------
Total investment income................................... 3,765 6,610,642 866,267 572,197
EXPENSES:
Management fees........................................... 8,717 4,722,265 72,571 198,115
Custodian fees............................................ 970 21,028 1,202 25,670
Transfer/maintenance fees................................. 57 2,984 763 1,815
Administration fees....................................... 784 283,334 4,354 38,915
Directors' fees........................................... 24 11,388 159 433
Professional fees......................................... 1,214 18,018 2,983 4,475
Reports to shareholders................................... 40 42,496 522 7,926
Other expenses............................................ -- 18,049 235 597
---------- ------------ ----------- -----------
Total Expenses............................................ 11,806 5,119,562 82,789 277,946
---------- ------------ ----------- -----------
Net investment income (loss)............................ (8,041) 1,491,080 783,478 294,251
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) during the period on:
Investments............................................... (48,849) 69,999,270 (332,244) 822,083
Foreign currency transactions............................. -- -- -- (281,707)
Futures................................................... -- (4,240,544) -- 37,162
---------- ------------ ----------- -----------
Net realized gain (loss)................................ (48,849) 65,758,726 (332,244) 577,538
Net change in unrealized appreciation (depreciation) during
the period on:
Investments............................................... (28,828) (95,381,628) (824,823) (2,072,607)
Futures................................................... -- -- -- (22,281)
Translation of assets and liabilities in foreign
currencies.............................................. -- -- -- 20,985
---------- ------------ ----------- -----------
Net unrealized appreciation (depreciation)................ (28,828) (95,381,628) (824,823) (2,073,903)
---------- ------------ ----------- -----------
Net gain (loss)......................................... (77,677) (29,622,902) (1,157,067) (1,496,365)
---------- ------------ ----------- -----------
Net increase (decrease) in net assets resulting
from
operations....................................... $ (85,718) $(28,131,822) $ (373,589) $(1,202,114)
========== ============ =========== ===========
</TABLE>
* Period May 1, 2000 (inception) through June 30, 2000.
See accompanying notes.
--------------------------------------------------------------------------------
139
<PAGE> 141
STATEMENTS OF OPERATIONS (CONTINUED)
FOR THE SIX MONTHS ENDED, EXCEPT AS NOTED
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SERIES O SERIES B
(EQUITY SERIES Y SERIES I (LARGE CAP
INCOME) (SELECT 25) (INTERNATIONAL) VALUE)
<S> <C> <C> <C> <C>
INVESTMENT INCOME:
Dividends............................................... $ 2,533,620 $ 76,013 $ 117,495 $ 8,187,173
Interest................................................ 192,099 152,344 26,736 911,593
------------ ----------- ----------- -------------
2,725,719 228,357 144,231 9,098,766
Less foreign tax expense.................................. (2,693) -- (10,640) --
------------ ----------- ----------- -------------
Total investment income................................. 2,723,026 228,357 133,591 9,098,766
EXPENSES:
Management fees......................................... 904,181 202,003 78,161 3,208,702
Custodian fees.......................................... 20,943 3,860 67,334 1,643
Transfer/maintenance fees............................... 3,021 975 939 2,718
Administration fees..................................... 40,688 24,240 19,448 192,521
Directors' fees......................................... 1,791 231 69 9,100
Professional fees....................................... 7,458 2,391 3,480 18,895
Reports to shareholders................................. 5,968 247 149 34,809
Registration fees....................................... -- 660 1,320 --
Other expenses.......................................... 3,061 51 42 21,242
------------ ----------- ----------- -------------
987,111 234,658 170,942 3,489,630
Less Reimbursement of expenses.......................... -- -- (11,066) --
------------ ----------- ----------- -------------
Total expenses.......................................... 987,111 234,658 159,876 3,489,630
------------ ----------- ----------- -------------
Net investment income (loss).......................... 1,735,915 (6,301) (26,285) 5,609,136
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) during the period on:
Investments............................................. 9,083,625 (2,292,839) 214,368 (196,822,243)
Foreign currency transactions........................... (4,634) -- 53,593 --
------------ ----------- ----------- -------------
Net realized gain (loss).............................. 9,078,991 (2,292,839) 267,961 (196,822,243)
Net change in unrealized appreciation (depreciation)
during the period on:
Investments............................................. (17,863,866) 1,518,613 (1,363,132) 85,036,169
Translation of assets and liabilities in foreign
currencies............................................ 445 -- (875) --
------------ ----------- ----------- -------------
Net unrealized appreciation (depreciation).............. (17,863,421) 1,518,613 (1,364,007) 85,036,169
------------ ----------- ----------- -------------
Net loss.............................................. (8,784,430) (774,226) (1,096,046) (111,786,074)
------------ ----------- ----------- -------------
Net decrease in net assets resulting from
operations..................................... $ (7,048,515) $ (780,527) $(1,122,331) $(106,176,938)
============ =========== =========== =============
</TABLE>
See accompanying notes.
--------------------------------------------------------------------------------
140
<PAGE> 142
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE SIX MONTHS ENDED
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SERIES X SERIES J SERIES K
SERIES V (SMALL CAP (MID CAP SERIES D (GLOBAL STRATEGIC
(MID CAP VALUE) GROWTH) GROWTH) (GLOBAL) INCOME)
<S> <C> <C> <C> <C> <C>
INCREASE IN NET ASSETS FROM
OPERATIONS:
Net investment income (loss)....... $ 81,082 $ (176,183) $ (674,643) $ 741,372 $ 426,490
Net realized gain (loss)........... 4,541,522 (4,730,624) 25,028,666 76,010,514 39,786
Unrealized appreciation during the
period (depreciation)............ 2,955,166 5,070,565 31,904,649 (23,291,800) (143,816)
----------- ------------ ------------ ------------ -----------
Net increase in net assets
resulting from operations...... 7,577,770 163,758 56,258,672 53,460,086 322,460
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income.............. -- -- -- -- --
Net realized gain.................. -- -- -- -- --
----------- ------------ ------------ ------------ -----------
Total distributions to
shareholders................... -- -- -- -- --
NET INCREASE (DECREASE) FROM
CAPITAL SHARE TRANSACTIONS (NOTE
7)............................... 19,940,250 71,036,590 87,585,368 35,544,157 (512,532)
----------- ------------ ------------ ------------ -----------
Total increase (decrease) in
net assets................... 27,518,020 71,200,348 143,844,040 89,004,243 (190,072)
NET ASSETS:
Beginning of period................ 42,884,738 44,094,840 429,528,349 525,748,182 11,369,212
----------- ------------ ------------ ------------ -----------
End of period...................... $70,402,758 $115,295,188 $573,372,389 $614,752,425 $11,179,140
=========== ============ ============ ============ ===========
Accumulated undistributed net
investment income (loss) at end
of period........................ $ 81,082 $ (176,183) $ (674,643) $ (224,552) $ 392,302
=========== ============ ============ ============ ===========
</TABLE>
See accompanying notes.
--------------------------------------------------------------------------------
141
<PAGE> 143
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
FOR THE SIX MONTHS ENDED, EXCEPT AS NOTED
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SERIES C SERIES S SERIES G* SERIES E
(MONEY (SOCIAL SERIES T* (LARGE CAP (DIVERSIFIED
MARKET) AWARENESS) (TECHNOLOGY) GROWTH) INCOME)
<S> <C> <C> <C> <C> <C>
INCREASE IN NET ASSETS FROM OPERATIONS:
Net investment income (loss)................ $ 3,736,388 $ (71,283) $ (15,168) $ (8,078) $ 4,170,313
Net realized gain (loss).................... -- 2,108,891 (13,758) -- (7,311,625)
Unrealized appreciation during the period... 73,113 3,493,241 392,206 154,231 5,040,380
------------ ------------ ----------- ---------- ------------
Net increase in net assets resulting from
operations.............................. 3,809,501 5,530,849 363,280 146,153 1,899,068
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income....................... -- -- -- -- --
Net realized gain........................... -- -- -- -- --
------------ ------------ ----------- ---------- ------------
Total distributions to shareholders....... -- -- -- -- --
NET INCREASE (DECREASE) FROM CAPITAL SHARE
TRANSACTIONS (NOTE 7)..................... (22,973,757) 8,033,741 10,356,596 6,099,587 (19,705,226)
------------ ------------ ----------- ---------- ------------
Total increase (decrease) in net
assets................................ (19,164,256) 13,564,590 10,719,876 6,245,740 (17,806,158)
NET ASSETS:
Beginning of period......................... 153,588,588 236,575,792 -- -- 136,632,471
------------ ------------ ----------- ---------- ------------
End of period............................... $134,424,332 $250,140,382 $10,719,876 $6,245,740 $118,826,313
============ ============ =========== ========== ============
Accumulated undistributed net investment
income (loss) at end of period............ $ 4,284,355 $ (71,283) $ (15,168) $ (8,078) $ 4,962,213
============ ============ =========== ========== ============
</TABLE>
* Period May 1, 2000 (inception) through June 30, 2000.
See accompanying notes.
--------------------------------------------------------------------------------
142
<PAGE> 144
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
FOR THE SIX MONTHS ENDED, EXCEPT AS NOTED
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SERIES W*
SERIES N (MAIN STREET SERIES H SERIES L*
(MANAGED ASSET GROWTH & (ENHANCED (CAPITAL
ALLOCATION) INCOME (R)) INDEX) GROWTH)
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income (loss)........................ $ 1,228,724 $ 3,638 $ 121,314 $ (3,761)
Net realized gain (loss)............................ 3,300,785 (85,236) 6,760 (37,619)
Unrealized appreciation (depreciation) during the
period............................................ (3,322,241) 96,342 (54,955) 18,346
----------- ----------- ----------- ----------
Net increase (decrease) in net assets resulting from
operations........................................ 1,207,268 14,744 73,119 (23,034)
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income............................. -- -- -- --
Net realized gain................................. -- -- -- --
----------- ----------- ----------- ----------
Total distributions to shareholders............. -- -- -- --
NET INCREASE (DECREASE) FROM CAPITAL SHARE
TRANSACTIONS (NOTE 7)............................. (5,371,485) 13,386,544 17,258,919 7,876,044
----------- ----------- ----------- ----------
Total increase (decrease) in net assets......... (4,164,217) 13,401,288 17,332,038 7,853,010
NET ASSETS:
Beginning of period................................. 98,487,395 -- 25,023,084 --
----------- ----------- ----------- ----------
End of period....................................... $94,323,178 $13,401,288 $42,355,122 $7,853,010
=========== =========== =========== ==========
Accumulated undistributed net investment income
(loss) at end of period........................... $ 1,357,870 $ 3,638 $ 121,314 $ (3,761)
=========== =========== =========== ==========
</TABLE>
* Period May 1, 2000 (inception) through June 30, 2000.
See accompanying notes.
--------------------------------------------------------------------------------
143
<PAGE> 145
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
FOR THE SIX MONTHS ENDED, EXCEPT AS NOTED
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SERIES Q* SERIES M
(SMALL CAP SERIES A SERIES P (GLOBAL TOTAL
VALUE) (EQUITY) (HIGH YIELD) RETURN)
<S> <C> <C> <C> <C>
DECREASE IN NET ASSETS FROM OPERATIONS:
Net investment income (loss)............................. $ (8,041) $ 1,491,080 $ 783,478 $ 294,251
Net realized gain (loss)................................. (48,849) 65,758,726 (332,244) 577,538
Unrealized depreciation during the period................ (28,828) (95,381,628) (824,823) (2,073,903)
---------- -------------- ----------- -----------
Net decrease in net assets resulting from operations..... (85,718) (28,131,822) (373,589) (1,202,114)
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income.................................. -- -- -- --
Net realized gain...................................... -- -- -- --
---------- -------------- ----------- -----------
Total distributions to shareholders.................. -- -- -- --
NET INCREASE (DECREASE) FROM CAPITAL SHARE TRANSACTIONS
(NOTE 7)............................................... 6,005,302 (151,745,623) 1,349,336 (4,327,861)
---------- -------------- ----------- -----------
Total increase (decrease) in net assets.............. 5,919,584 (179,877,445) 975,747 (5,529,975)
NET ASSETS:
Beginning of period...................................... -- 1,396,995,053 19,151,503 44,033,712
---------- -------------- ----------- -----------
End of period............................................ $5,919,584 $1,217,117,608 $20,127,250 $38,503,737
========== ============== =========== ===========
Accumulated undistributed net investment income (loss) at
end of period.......................................... $ (8,041) $ 1,612,613 $ 783,478 $ 279,365
========== ============== =========== ===========
</TABLE>
* Period May 1, 2000 (inception) through June 30, 2000.
See accompanying notes.
--------------------------------------------------------------------------------
144
<PAGE> 146
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
FOR THE SIX MONTHS ENDED
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SERIES O SERIES B
(EQUITY SERIES Y SERIES I (LARGE CAP
INCOME) (SELECT 25) (INTERNATIONAL) VALUE)
<S> <C> <C> <C> <C>
DECREASE IN NET ASSETS FROM OPERATIONS:
Net investment income (loss)........................... $ 1,735,915 $ (6,301) $ (26,285) $ 5,609,136
Net realized gain (loss)............................... 9,078,991 (2,292,839) 267,961 (196,822,243)
Unrealized appreciation (depreciation) during the
period............................................... (17,863,421) 1,518,613 (1,364,007) 85,036,169
------------ ----------- ----------- --------------
Net decrease in net assets resulting from operations... (7,048,515) (780,527) (1,122,331) (106,176,938)
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income................................ -- -- -- --
Net realized gain.................................... -- -- -- --
------------ ----------- ----------- --------------
Total distributions to shareholders................ -- -- -- --
NET INCREASE (DECREASE) FROM CAPITAL SHARE TRANSACTIONS
(NOTE 7)............................................. (33,793,187) 39,927,150 8,151,332 (192,858,872)
------------ ----------- ----------- --------------
Total increase (decrease) in net assets............ (40,841,702) 39,146,623 7,029,001 (299,035,810)
NET ASSETS:
Beginning of period.................................... 207,021,745 31,399,063 9,857,015 1,051,832,091
------------ ----------- ----------- --------------
End of period.......................................... $166,180,043 $70,545,686 $16,886,016 $ 752,796,281
============ =========== =========== ==============
Accumulated undistributed net investment income (loss)
at end of period..................................... $ 2,042,066 $ (6,301) $ (26,386) $ 28,881,699
============ =========== =========== ==============
</TABLE>
See accompanying notes.
--------------------------------------------------------------------------------
145
<PAGE> 147
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE YEAR ENDED
DECEMBER 31, 1999
<TABLE>
<CAPTION>
SERIES X SERIES J SERIES K
SERIES V (SMALL CAP (MID CAP SERIES D (GLOBAL STRATEGIC
(MID CAP VALUE) GROWTH) GROWTH) (GLOBAL) INCOME)
<S> <C> <C> <C> <C> <C>
INCREASE IN NET ASSETS FROM
OPERATIONS
Net investment income (loss)........ $ 87,738 $ 551 $ (730,183) $ 1,244,496 $ 940,291
Net realized gain (loss)............ 1,899,622 2,994,127 52,931,543 78,745,886 (1,501,536)
Unrealized appreciation during the
period............................ 2,730,527 10,530,439 107,732,992 103,130,823 661,342
----------- ----------- ------------ ------------ -----------
Net increase in net assets resulting
from operations................... 4,717,887 13,525,117 159,934,352 183,121,205 100,097
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income............... (131,193) (13,341) -- -- --
Net realized gain................... (1,445,598) (1,085,535) (48,158,309) (51,432,968) (81,725)
----------- ----------- ------------ ------------ -----------
Total distributions to
shareholders.................. (1,576,791) (1,098,876) (48,158,309) (51,432,968) (81,725)
NET INCREASE (DECREASE) FROM CAPITAL
SHARE TRANSACTIONS: (NOTE 7)...... 21,220,516 26,047,626 46,470,958 44,265,720 (1,676,680)
----------- ----------- ------------ ------------ -----------
Total increase (decrease) in net
assets........................ 24,361,612 38,473,867 158,247,001 175,953,957 (1,658,308)
NET ASSETS:
Beginning of period................. 18,523,126 5,620,973 271,281,348 349,794,225 13,027,520
----------- ----------- ------------ ------------ -----------
End of Period....................... $42,884,738 $44,094,840 $429,528,349 $525,748,182 $11,369,212
=========== =========== ============ ============ ===========
Accumulated undistributed net
investment income at end of
period............................ $ -- $ -- $ -- $ (965,924) $ (34,188)
=========== =========== ============ ============ ===========
</TABLE>
See accompanying notes.
--------------------------------------------------------------------------------
146
<PAGE> 148
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
FOR THE YEAR ENDED
DECEMBER 31, 1999
<TABLE>
<CAPTION>
SERIES C SERIES S SERIES E SERIES N
(MONEY (SOCIAL (DIVERSIFIED (MANAGED ASSETS
MARKET) AWARENESS) INCOME) ALLOCATION)
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS
Net investment income................................... $ 7,682,411 $ 573,857 $ 9,604,379 $ 2,260,453
Net realized gain (loss)................................ -- (1,435,718) (793,645) 3,521,509
Unrealized appreciation (depreciation) during the
period................................................ (75,437) 33,398,262 (14,615,805) 2,708,558
------------ ------------ ------------ -----------
Net increase (decrease) in net assets resulting from
operations............................................ 7,606,974 32,536,401 (5,805,071) 8,490,520
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income................................... (13,920,392) (1,071,702) (17,705,073) (3,277,045)
Net realized gain....................................... -- (7,109,000) -- --
Return of capital....................................... -- (3,344) -- --
------------ ------------ ------------ -----------
Total distributions to shareholders................. (13,920,392) (8,184,046) (17,705,073) (3,277,045)
NET INCREASE FROM CAPITAL SHARE TRANSACTIONS: (NOTE
7).................................................... 31,818,600 59,582,895 5,420,432 17,153,173
------------ ------------ ------------ -----------
Total increase (decrease) in net assets............. 25,505,182 83,935,250 (18,089,712) 22,366,648
NET ASSETS:
Beginning of period..................................... 128,083,406 152,640,542 154,722,183 76,120,747
------------ ------------ ------------ -----------
End of Period........................................... $153,588,588 $236,575,792 $136,632,471 $98,487,395
============ ============ ============ ===========
Accumulated undistributed net investment income at end
of period............................................. $ 547,967 $ -- $ 791,900 $ 129,146
============ ============ ============ ===========
</TABLE>
See accompanying notes.
--------------------------------------------------------------------------------
147
<PAGE> 149
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
FOR THE YEAR ENDED, EXCEPT AS NOTED
DECEMBER 31, 1999
<TABLE>
<CAPTION>
SERIES H SERIES M
(ENHANCED SERIES A SERIES P (GLOBAL TOTAL
INDEX)* (EQUITY) (HIGH YIELD) RETURN)
<S> <C> <C> <C> <C>
INCREASE IN NET ASSETS FROM OPERATIONS
Net investment income...................................... $ 85,989 $ 4,192,892 $ 1,513,560 $ 475,933
Net realized gain.......................................... 215,766 94,396,918 115,624 5,141,872
Unrealized appreciation (depreciation) during the period... 2,096,365 5,183,722 (1,439,420) 67,461
----------- -------------- ----------- -----------
Net increase in net assets resulting from operations....... 2,398,120 103,773,532 189,764 5,685,266
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income...................................... (88,178) (10,232,416) (1,547,324) (1,493,592)
Net realized gain.......................................... (81,726) (43,545,790) (109,150) (3,307,078)
Return of capital.......................................... -- -- (45,894) --
----------- -------------- ----------- -----------
Total distributions to shareholders.................... (169,904) (53,778,206) (1,702,368) (4,800,670)
NET INCREASE (DECREASE) FROM CAPITAL SHARE TRANSACTIONS:
(NOTE 7)................................................. 22,794,868 39,667,734 5,714,704 (2,024,553)
----------- -------------- ----------- -----------
Total increase (decrease) in net assets................ 25,023,084 89,663,060 4,202,100 (1,139,957)
NET ASSETS:
Beginning of period........................................ -- 1,307,331,993 14,949,403 45,173,669
----------- -------------- ----------- -----------
End of Period.............................................. $25,023,084 $1,396,995,053 $19,151,503 $44,033,712
=========== ============== =========== ===========
Accumulated undistributed net investment income at end of
period................................................... $ -- $ 121,533 $ -- $ (14,886)
=========== ============== =========== ===========
</TABLE>
* Period May 3, 1999 (inception) through December 31, 1999.
See accompanying notes.
--------------------------------------------------------------------------------
148
<PAGE> 150
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
FOR THE YEAR ENDED, EXCEPT AS NOTED
DECEMBER 31, 1999
<TABLE>
<CAPTION>
SERIES O SERIES B
(EQUITY SERIES Y SERIES I (LARGE CAP
INCOME) (SELECT 25)* (INTERNATIONAL)* VALUE)
<S> <C> <C> <C> <C>
INCREASE IN NET ASSETS FROM OPERATIONS
Net investment income (loss)........................ $ 3,582,122 $ (14,633) $ (29,983) $ 23,422,385
Net realized gain (loss)............................ 17,310,971 (345,313) (74,661) 49,157,604
Unrealized appreciation (depreciation) during the
period............................................ (14,725,600) 4,399,329 2,258,780 (52,593,722)
------------ --------------- ---------- --------------
Net increase in net assets resulting from
operations........................................ 6,167,493 4,039,383 2,154,136 19,986,267
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income............................... (6,785,975) -- -- (24,760,036)
Net realized gain................................... (11,047,532) -- -- (422,027,531)
------------ --------------- ---------- --------------
Total distributions to shareholders............. (17,833,507) -- -- (446,787,567)
NET INCREASE FROM CAPITAL SHARE TRANSACTIONS: (NOTE
7)................................................ 14,617,976 27,359,680 7,702,879 281,654,616
------------ --------------- ---------- --------------
Total increase (decrease) in net assets......... 2,951,962 31,399,063 9,857,015 (145,146,684)
NET ASSETS:
Beginning of period................................. 204,069,783 -- -- 1,196,978,775
------------ --------------- ---------- --------------
End of Period....................................... $207,021,745 $ 31,399,063 $9,857,015 $1,051,832,091
============ =============== ========== ==============
Accumulated undistributed net investment income
(loss) at end of period........................... $ 306,151 $ -- $ (102) $ 23,272,563
============ =============== ========== ==============
</TABLE>
* Period May 3, 1999 (inception) through December 31, 1999.
See accompanying notes.
--------------------------------------------------------------------------------
149
<PAGE> 151
FINANCIAL HIGHLIGHTS
SELECTED DATA FOR EACH SHARE OF CAPITAL STOCK OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
SERIES V (MID CAP VALUE) FISCAL PERIOD ENDED DECEMBER 31
-------------------------------------------
2000(N) 1999 1998(B) 1997(A)(D)(G)
------- ------- ------- -------------
<S> <C> <C> <C> <C>
PER SHARE DATA
NET ASSET VALUE BEGINNING OF PERIOD......................... $ 16.73 $ 14.83 $ 13.13 $ 10.00
INCOME FROM INVESTMENT OPERATIONS:
Net Investment Income....................................... 0.01 0.03 0.03 0.12
Net Gain (Loss) on Securities (realized and unrealized)..... 2.55 2.66 2.14 3.01
------- ------- ------- -----------
Total from Investment Operations............................ 2.56 2.69 2.17 3.13
LESS DISTRIBUTIONS:
Dividends (from Net Investment Income)...................... -- (0.05) (0.08) --
Distributions (from Capital Gains).......................... -- (0.74) (0.39) --
------- ------- ------- -----------
Total Distributions....................................... -- (0.79) (0.47) --
------- ------- ------- -----------
NET ASSET VALUE END OF PERIOD............................... $ 19.29 $ 16.73 $ 14.83 $ 13.13
======= ======= ======= ===========
TOTAL RETURN(B)............................................. 15.3% 18.9% 16.6% 31.3%
RATIOS/SUPPLEMENTAL DATA
Net Assets End of Period (thousands)........................ $70,403 $42,885 $18,523 $6,491
Ratio of Expenses to Average Net Assets..................... 0.83% 0.84% 0.71% 0.40%
Ratio of Net Income (Loss) to Average Net Assets............ 0.29% 0.32% 0.42% 1.55%
Portfolio Turnover Rate..................................... 53% 57% 72% 79%
</TABLE>
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SERIES X (SMALL CAP GROWTH) FISCAL PERIOD ENDED DECEMBER 31
----------------------------------------
2000(N) 1999(D) 1998(D) 1997(D)(H)
------- ------- ------- ----------
<S> <C> <C> <C> <C>
PER SHARE DATA
NET ASSET VALUE BEGINNING OF PERIOD......................... $ 19.40 $ 10.67 $ 9.60 $10.00
INCOME FROM INVESTMENT OPERATIONS:
Net Investment Income....................................... (0.03) -- 0.02 0.01
Net Gain (Loss) on Securities (realized and unrealized)..... 2.59 9.27 1.07 (0.41)
------- ------- ------- ------
Total from Investment Operations............................ 2.56 9.27 1.09 (0.40)
LESS DISTRIBUTIONS:
Dividends (from Net Investment Income)...................... -- (0.02) (0.02) --
Distributions (from Capital Gains).......................... -- (0.52) -- --
------- ------- ------- ------
Total Distributions....................................... -- (0.54) (0.02) --
------- ------- ------- ------
NET ASSET VALUE END OF PERIOD............................... $ 21.96 $ 19.40 $ 10.67 $ 9.60
======= ======= ======= ======
TOTAL RETURN(B)............................................. 13.2% 87.2% 11.5% (4.0%)
RATIOS/SUPPLEMENTAL DATA
Net Assets End of Period (thousands)........................ $115,295 $44,095 $5,621 $2,640
Ratio of Expenses to Average Net Assets..................... 1.12% 0.57% 0.59% 0.98%
Ratio of Net Income (Loss) to Average Net Assets............ (0.37%) -- 0.26% 0.73%
Portfolio Turnover Rate..................................... 270% 283% 367% 402%
</TABLE>
--------------------------------------------------------------------------------
150
<PAGE> 152
FINANCIAL HIGHLIGHTS (CONTINUED)
SELECTED DATA FOR EACH SHARE OF CAPITAL STOCK OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
SERIES J (MID CAP GROWTH) FISCAL PERIOD ENDED DECEMBER 31
--------------------------------------------------------------
2000(N) 1999 1998(E) 1997(E) 1996(E) 1995(E)
-------- -------- -------- -------- -------- -------
<S> <C> <C> <C> <C> <C> <C>
PER SHARE DATA
NET ASSET VALUE BEGINNING OF PERIOD................... $ 30.15 $ 22.51 $ 21.33 $ 18.25 $ 16.06 $ 13.44
INCOME FROM INVESTMENT OPERATIONS:
Net Investment Income................................. (0.04) (0.05) (0.04) (0.03) (0.04) 0.04
Net Gain (Loss) on Securities (realized and
unrealized)......................................... 3.97 11.65 3.70 3.67 2.93 2.58
-------- -------- -------- -------- -------- -------
Total from Investment Operations...................... 3.93 11.60 3.66 3.64 2.89 2.62
LESS DISTRIBUTIONS:
Dividends (from Net Investment Income)................ -- -- (0.14) (0.06) (0.03) --
Distributions (from Capital Gains).................... -- (3.96) (2.34) (0.50) (0.67) --
-------- -------- -------- -------- -------- -------
Total Distributions................................. -- (3.96) (2.48) (0.56) (0.70) --
-------- -------- -------- -------- -------- -------
NET ASSET VALUE END OF PERIOD......................... $ 34.08 $ 30.15 $ 22.51 $ 21.33 $ 18.25 $ 16.06
======== ======== ======== ======== ======== =======
TOTAL RETURN(B)....................................... 13.0% 61.9% 18.0% 20.0% 18.0% 19.5%
RATIOS/SUPPLEMENTAL DATA
Net Assets End of Period (thousands).................. $573,372 $429,528 $271,281 $226,297 $148,421 $93,379
Ratio of Expenses to Average Net Assets............... 0.79% 0.82% 0.82% 0.82% 0.84% 0.84%
Ratio of Net Income (Loss) to Average Net Assets...... (0.25%) (0.25%) (0.21%) (0.11%) (0.21%) 0.26%
Portfolio Turnover Rate............................... 25% 55% 94% 107% 123% 202%
</TABLE>
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SERIES D (GLOBAL) FISCAL PERIOD ENDED DECEMBER 31
---------------------------------------------------------------
2000(N) 1999 1998 1997 1996 1995
-------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
PER SHARE DATA
NET ASSET VALUE BEGINNING OF PERIOD.................. $ 9.08 $ 6.74 $ 6.14 $ 6.14 $ 5.56 $ 5.07
INCOME FROM INVESTMENT OPERATIONS:
Net Investment Income................................ 0.01 0.02 0.03 0.04 0.03 0.05
Net Gain (Loss) on Securities (realized and
unrealized)........................................ 0.88 3.29 1.18 0.38 0.93 0.50
-------- -------- -------- -------- -------- --------
Total from Investment Operations..................... 0.89 3.31 1.21 0.42 0.96 0.55
LESS DISTRIBUTIONS:
Dividends (from Net Investment Income)............... -- -- (0.09) (0.13) (0.20) --
Distributions (from Capital Gains)................... -- (0.97) (0.52) (0.29) (0.18) (0.06)
-------- -------- -------- -------- -------- --------
Total Distributions................................ -- (0.97) (0.61) (0.42) (0.38) (0.06)
-------- -------- -------- -------- -------- --------
NET ASSET VALUE END OF PERIOD........................ $ 9.97 $ 9.08 $ 6.74 $ 6.14 $ 6.14 $ 5.56
======== ======== ======== ======== ======== ========
TOTAL RETURN(B)...................................... 9.8% 53.7% 20.1% 6.5% 17.5% 10.9%
RATIOS/SUPPLEMENTAL DATA
Net Assets End of Period (thousands)................. $614,752 $525,748 $349,794 $285,782 $247,026 $177,781
Ratio of Expenses to Average Net Assets.............. 1.19% 1.21% 1.26% 1.24% 1.30% 1.31%
Ratio of Net Income (Loss) to Average Net Assets..... 0.25% 0.32% 0.92% 0.74% 0.74% 0.90%
Portfolio Turnover Rate.............................. 70% 76% 166% 129% 115% 169%
</TABLE>
--------------------------------------------------------------------------------
151
<PAGE> 153
FINANCIAL HIGHLIGHTS (CONTINUED)
SELECTED DATA FOR EACH SHARE OF CAPITAL STOCK OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
SERIES K (GLOBAL STRATEGIC INCOME) FISCAL PERIOD ENDED DECEMBER 31
---------------------------------------------------------------
2000(N) 1999(M) 1998(D) 1997(D) 1996(D) 1995(A)(C)(D)
------- ------- ------- ------- ------- -------------
<S> <C> <C> <C> <C> <C> <C>
PER SHARE DATA
NET ASSET VALUE BEGINNING OF PERIOD.................... $ 9.61 $ 9.56 $ 10.06 $ 10.72 $ 10.22 $10.00
INCOME FROM INVESTMENT OPERATIONS:
Net Investment Income.................................. 0.38 0.79 1.02 1.12 0.90 0.54
Net Gain (Loss) on Securities (realized and
unrealized).......................................... (0.09) (0.68) (0.32) (0.56) 0.50 0.22
------- ------- ------- ------- ------- ------
Total from Investment Operations....................... 0.29 0.11 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.......................... $ 9.90 $ 9.61 $ 9.56 $ 10.06 $ 10.72 $10.22
======= ======= ======= ======= ======= ======
TOTAL RETURN(B)........................................ 3.0% 1.2% 6.9% 5.4% 13.7% 7.6%
RATIOS/SUPPLEMENTAL DATA
Net Assets End of Period (thousands)................... $11,179 $11,369 $13,028 $14,679 $12,720 $5,678
Ratio of Expenses to Average Net Assets................ 1.70% 1.62% 1.13% 0.64% 0.84% 1.63%
Ratio of Net Income (Loss) to Average Net Assets....... 7.74% 7.80% 10.85% 9.81% 10.79% 11.03%
Portfolio Turnover Rate................................ 148% 208% 57% 85% 86% 127%
</TABLE>
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SERIES C (MONEY MARKET) FISCAL PERIOD ENDED DECEMBER 31
------------------------------------------------------------------
2000(N) 1999(A) 1998(A)(E) 1997(E) 1996(A)(E) 1995(E)
-------- -------- ---------- ------- ---------- --------
<S> <C> <C> <C> <C> <C> <C>
PER SHARE DATA
NET ASSET VALUE BEGINNING OF PERIOD................. $ 12.04 $ 12.53 $ 12.53 $ 12.56 $ 12.34 $ 12.27
INCOME FROM INVESTMENT OPERATIONS:
Net Investment Income............................... 0.35 0.57 0.68 0.79 0.61 0.74
Net Gain (Loss) on Securities (realized and
unrealized)....................................... (0.01) (0.01) (0.06) (0.15) 0.01 (0.08)
-------- -------- -------- ------- -------- --------
Total from Investment Operations.................... 0.34 0.56 0.62 0.64 0.62 0.66
LESS DISTRIBUTIONS:
Dividends (from Net Investment Income).............. -- (1.05) (0.62) (0.67) (0.40) (0.59)
Distributions (from Capital Gains).................. -- -- -- -- -- --
-------- -------- -------- ------- -------- --------
Total Distributions............................... -- (1.05) (0.62) (0.67) (0.40) (0.59)
-------- -------- -------- ------- -------- --------
NET ASSET VALUE END OF PERIOD....................... $ 12.38 $ 12.04 $ 12.53 $ 12.53 $ 12.56 $ 12.34
======== ======== ======== ======= ======== ========
TOTAL RETURN(B)..................................... 2.9% 4.6% 5.1% 5.2% 5.1% 5.4%
RATIOS/SUPPLEMENTAL DATA
Net Assets End of Period (thousands)................ $134,424 $153,589 $128,083 $98,015 $128,672 $105,436
Ratio of Expenses to Average Net Assets............. 0.57% 0.57% 0.57% 0.58% 0.58% 0.60%
Ratio of Net Income (Loss) to Average Net Assets.... 5.54% 4.61% 4.99% 5.04% 4.89% 5.27%
Portfolio Turnover Rate............................. -- -- -- -- -- --
</TABLE>
--------------------------------------------------------------------------------
152
<PAGE> 154
FINANCIAL HIGHLIGHTS (CONTINUED)
SELECTED DATA FOR EACH SHARE OF CAPITAL STOCK OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
SERIES S (SOCIAL AWARENESS) FISCAL PERIOD ENDED DECEMBER 31
---------------------------------------------------------
2000(N) 1999 1998(E) 1997(E) 1996(E) 1995(E)
------- ------- ------- ------- ------- -------
<S> <C> <C> <C> <C> <C> <C>
PER SHARE DATA
NET ASSET VALUE BEGINNING OF PERIOD.................... $ 31.71 $ 28.40 $ 22.25 $ 19.08 $ 16.49 $ 12.97
INCOME FROM INVESTMENT OPERATIONS:
Net Investment Income.................................. 0.00 0.07 0.09 0.06 0.03 0.09
Net Gain (Loss) on Securities (realized and
unrealized).......................................... 0.76 4.60 6.78 4.21 3.07 3.51
------- ------- ------- ------- ------- -------
Total from Investment Operations....................... 0.76 4.67 6.87 4.27 3.10 3.60
LESS DISTRIBUTIONS:
Dividends (from Net Investment Income)................. -- (0.16) (0.06) (0.04) (0.08) (0.08)
Distributions (from Capital Gains)..................... -- (1.20) (0.66) (1.06) (0.43) --
------- ------- ------- ------- ------- -------
Total Distributions.................................. -- (1.36) (0.72) (1.10) (0.51) (0.08)
------- ------- ------- ------- ------- -------
NET ASSET VALUE END OF PERIOD.......................... $ 32.47 $ 31.71 $ 28.40 $ 22.25 $ 19.08 $ 16.49
======= ======= ======= ======= ======= =======
TOTAL RETURN(B)........................................ 2.4% 17.2% 31.4% 22.7% 18.8% 27.7%
RATIOS/SUPPLEMENTAL DATA
Net Assets End of Period (thousands)................... $250,140 $236,576 $152,641 $89,332 $57,497 $36,830
Ratio of Expenses to Average Net Assets................ 0.82% 0.82% 0.82% 0.83% 0.84% 0.86%
Ratio of Net Income (Loss) to Average Net Assets....... (0.06%) 0.29% 0.47% 0.35% 0.30% 0.75%
Portfolio Turnover Rate................................ 18% 24% 23% 49% 67% 122%
</TABLE>
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SERIES T (TECHNOLOGY) FISCAL PERIOD
ENDED
DECEMBER 31
-------------
2000(J)(N)
-------------
<S> <C>
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)..... 0.25
--------
Total from Investment Operations............................ 0.24
LESS DISTRIBUTIONS:
Dividends (from Net Investment Income)...................... --
Distributions (from Capital Gains).......................... --
--------
Total Distributions....................................... --
--------
NET ASSET VALUE END OF PERIOD............................... $ 10.24
========
TOTAL RETURN(B)............................................. 2.4%
RATIOS/SUPPLEMENTAL DATA
Net Assets End of Period (thousands)........................ $10,720
Ratio of Expenses to Average Net Assets..................... 1.77%
Ratio of Net Income (Loss) to Average Net Assets............ (1.41%)
Portfolio Turnover Rate..................................... 98%
</TABLE>
--------------------------------------------------------------------------------
153
<PAGE> 155
FINANCIAL HIGHLIGHTS (CONTINUED)
SELECTED DATA FOR EACH SHARE OF CAPITAL STOCK OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
SERIES G (LARGE CAP GROWTH) FISCAL PERIOD
ENDED
DECEMBER 31
-------------
2000(J)(N)
-------------
<S> <C>
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)..... 0.22
----------
Total from Investment Operations............................ 0.21
LESS DISTRIBUTIONS:
Dividends (from Net Investment Income)...................... --
Distributions (from Capital Gains).......................... --
----------
Total Distributions....................................... --
----------
NET ASSET VALUE END OF PERIOD............................... $ 10.21
==========
TOTAL RETURN(B)............................................. 2.1%
RATIOS/SUPPLEMENTAL DATA
Net Assets End of Period (thousands)........................ $6,246
Ratio of Expenses to Average Net Assets..................... 1.35%
Ratio of Net Income (Loss) to Average Net Assets............ (0.93%)
Portfolio Turnover Rate..................................... 0%
</TABLE>
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SERIES E (DIVERSIFIED INCOME) FISCAL PERIOD ENDED DECEMBER 31
---------------------------------------------------------------
2000(N) 1999 1998(E) 1997(E) 1996(E) 1995(E)
-------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
PER SHARE DATA
NET ASSET VALUE BEGINNING OF PERIOD.................. $ 10.55 $ 12.42 $ 12.25 $ 12.00 $ 12.86 $ 11.52
INCOME FROM INVESTMENT OPERATIONS:
Net Investment Income................................ 0.39 0.76 0.74 0.86 0.75 0.74
Net Gain (Loss) on Securities (realized and
unrealized)........................................ (0.22) (1.22) 0.19 0.31 (0.85) 1.36
-------- -------- -------- -------- -------- --------
Total from Investment Operations..................... 0.17 (0.46) 0.93 1.17 (0.10) 2.10
LESS DISTRIBUTIONS:
Dividends (from Net Investment Income)............... -- (1.41) (0.76) (0.92) (0.76) (0.76)
Distributions (from Capital Gains)................... -- -- -- -- -- --
-------- -------- -------- -------- -------- --------
Total Distributions................................ -- (1.41) (0.76) (0.92) (0.76) (0.76)
-------- -------- -------- -------- -------- --------
NET ASSET VALUE END OF PERIOD........................ $ 10.72 $ 10.55 $ 12.42 $ 12.25 $ 12.00 $ 12.86
======== ======== ======== ======== ======== ========
TOTAL RETURN(B)...................................... 1.6% (3.8%) 8.0% 10.0% (0.7%) 18.6%
RATIOS/SUPPLEMENTAL DATA
Net Assets End of Period (thousands)................. $118,826 $136,632 $154,722 $140,909 $134,041 $125,652
Ratio of Expenses to Average Net Assets.............. 0.70% 0.82% 0.83% 0.83% 0.83% 0.85%
Ratio of Net Income (Loss) to Average Net Assets..... 5.67% 6.34% 6.31% 6.67% 6.77% 6.60%
Portfolio Turnover Rate.............................. 88% 25% 70% 106% 232% 180%
</TABLE>
--------------------------------------------------------------------------------
154
<PAGE> 156
FINANCIAL HIGHLIGHTS (CONTINUED)
SELECTED DATA FOR EACH SHARE OF CAPITAL STOCK OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
SERIES N (MANAGED ASSET ALLOCATION) FISCAL PERIOD ENDED DECEMBER 31
------------------------------------------------------------
2000(N) 1999 1998 1997 1996 1995(A)(C)
------- ------- ------- ------- ------- ----------
<S> <C> <C> <C> <C> <C> <C>
PER SHARE DATA
NET ASSET VALUE BEGINNING OF PERIOD....................... $ 16.94 $ 16.01 $ 13.88 $ 12.02 $ 10.73 $ 10.00
INCOME FROM INVESTMENT OPERATIONS:
Net Investment Income..................................... 0.22 0.38 0.26 0.24 0.19 0.16
Net Gain (Loss) on Securities (realized and unrealized)... 0.01 1.15 2.26 1.96 1.18 0.57
------- ------- ------- ------- ------- -------
Total from Investment Operations.......................... 0.23 1.53 2.52 2.20 1.37 0.73
LESS DISTRIBUTIONS:
Dividends (from Net Investment Income).................... -- (0.60) (0.24) (0.21) (0.07) --
Distributions (from Capital Gains)........................ -- -- (0.15) (0.13) (0.01) --
------- ------- ------- ------- ------- -------
Total Distributions..................................... -- (0.60) (0.39) (0.34) (0.08) --
------- ------- ------- ------- ------- -------
NET ASSET VALUE END OF PERIOD............................. $ 17.17 $ 16.94 $ 16.01 $ 13.88 $ 12.02 $ 10.73
======= ======= ======= ======= ======= =======
TOTAL RETURN(B)........................................... 1.4% 9.7% 18.4% 18.4% 12.8% 7.3%
RATIOS/SUPPLEMENTAL DATA
Net Assets End of Period (thousands)...................... $94,323 $98,487 $76,121 $38,182 $23,345 $10,580
Ratio of Expenses to Average Net Assets................... 1.20% 1.17% 1.22% 1.35% 1.45% 1.90%
Ratio of Net Income (Loss) to Average Net Assets.......... 2.62% 2.45% 2.49% 2.71% 2.67% 2.80%
Portfolio Turnover Rate................................... 60% 24% 10% 28% 41% 26%
</TABLE>
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SERIES W (MAIN STREET GROWTH & INCOME(R)) FISCAL PERIOD
ENDED
DECEMBER 31
-------------
2000(J)(N)
-------------
<S> <C>
PER SHARE DATA
NET ASSET VALUE BEGINNING OF PERIOD......................... $ 10.00
INCOME FROM INVESTMENT OPERATIONS:
Net Investment Income....................................... --
Net Gain (Loss) on Securities (realized and unrealized)..... (0.02)
--------
Total from Investment Operations............................ (0.02)
LESS DISTRIBUTIONS:
Dividends (from Net Investment Income)...................... --
Distributions (from Capital Gains).......................... --
--------
Total Distributions....................................... --
--------
NET ASSET VALUE END OF PERIOD............................... $ 9.98
========
TOTAL RETURN(B)............................................. (0.2%)
RATIOS/SUPPLEMENTAL DATA
Net Assets End of Period (thousands)........................ $13,401
Ratio of Expenses to Average Net Assets..................... 1.22%
Ratio of Net Income (Loss) to Average Net Assets............ 0.20%
Portfolio Turnover Rate..................................... 44%
</TABLE>
--------------------------------------------------------------------------------
155
<PAGE> 157
FINANCIAL HIGHLIGHTS (CONTINUED)
SELECTED DATA FOR EACH SHARE OF CAPITAL STOCK OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
SERIES H (ENHANCED INDEX) FISCAL PERIOD ENDED
DECEMBER 31
-------------------
2000(N) 1999(I)
------- ---------
<S> <C> <C>
PER SHARE DATA
NET ASSET VALUE BEGINNING OF PERIOD......................... $ 11.15 $ 10.00
INCOME FROM INVESTMENT OPERATIONS:
Net Investment Income....................................... 0.03 0.04
Net Gain (Loss) on Securities (realized and unrealized)..... (0.09) 1.19
------- ---------
Total from Investment Operations............................ (0.06) 1.23
LESS DISTRIBUTIONS:
Dividends (from Net Investment Income)...................... -- (0.04)
Distributions (from Capital Gains).......................... -- (0.04)
------- ---------
Total Distributions....................................... -- (0.08)
------- ---------
NET ASSET VALUE END OF PERIOD............................... $ 11.09 $ 11.15
======= =========
TOTAL RETURN(B)............................................. (0.5%) 12.3%
RATIOS/SUPPLEMENTAL DATA
Net Assets End of Period (thousands)........................ $42,355 $25,023
Ratio of Expenses to Average Net Assets..................... 0.98% 1.04%
Ratio of Net Income (Loss) to Average Net Assets............ 0.72% 0.82%
Portfolio Turnover Rate..................................... 42% 52%
</TABLE>
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SERIES L (CAPITAL GROWTH) FISCAL PERIOD
ENDED
DECEMBER 31
-------------
2000(J)(N)
-------------
<S> <C>
PER SHARE DATA
NET ASSET VALUE BEGINNING OF PERIOD......................... $10.00
INCOME FROM INVESTMENT OPERATIONS:
Net Investment Income....................................... --
Net Gain (Loss) on Securities (realized and unrealized)..... (0.07)
------
Total from Investment Operations............................ (0.07)
LESS DISTRIBUTIONS:
Dividends (from Net Investment Income)...................... --
Distributions (from Capital Gains).......................... --
------
Total Distributions....................................... --
------
NET ASSET VALUE END OF PERIOD............................... $ 9.93
======
TOTAL RETURN(B)............................................. (0.7%)
RATIOS/SUPPLEMENTAL DATA
Net Assets End of Period (thousands)........................ $7,853
Ratio of Expenses to Average Net Assets..................... 1.32%
Ratio of Net Income (Loss) to Average Net Assets............ (0.38%)
Portfolio Turnover Rate..................................... 30%
</TABLE>
--------------------------------------------------------------------------------
156
<PAGE> 158
FINANCIAL HIGHLIGHTS (CONTINUED)
SELECTED DATA FOR EACH SHARE OF CAPITAL STOCK OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
SERIES Q (SMALL CAP VALUE) FISCAL PERIOD
ENDED
DECEMBER 31
-------------
2000(J)(N)
-------------
<S> <C>
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)..... (0.15)
--------
Total from Investment Operations............................ (0.16)
LESS DISTRIBUTIONS:
Dividends (from Net Investment Income)...................... --
Distributions (from Capital Gains).......................... --
--------
Total Distributions....................................... --
--------
NET ASSET VALUE END OF PERIOD............................... $ 9.84
========
TOTAL RETURN(B)............................................. (1.6%)
RATIOS/SUPPLEMENTAL DATA
Net Assets End of Period (thousands)........................ $5,920
Ratio of Expenses to Average Net Assets..................... 1.35%
Ratio of Net Income (Loss) to Average Net Assets............ (0.92%)
Portfolio Turnover Rate..................................... 50%
</TABLE>
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SERIES A (EQUITY) FISCAL PERIOD ENDED DECEMBER 31
---------------------------------------------------------------------
2000(M) 1999 1998(E) 1997(E) 1996(E) 1995(E)
---------- ---------- ---------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
PER SHARE DATA
NET ASSET VALUE BEGINNING OF PERIOD............. $ 35.51 $ 34.27 $ 29.39 $ 24.31 $ 21.03 $ 16.00
INCOME FROM INVESTMENT OPERATIONS:
Net Investment Income........................... 0.04 0.11 0.17 0.16 0.18 0.18
Net Gain (Loss) on Securities (realized and
unrealized)................................... (0.63) 2.56 7.05 6.75 4.50 5.65
---------- ---------- ---------- -------- -------- --------
Total from Investment Operations................ (0.59) 2.67 7.22 6.91 4.68 5.83
LESS DISTRIBUTIONS:
Dividends (from Net Investment Income).......... -- (0.27) (0.17) (0.18) (0.20) (0.15)
Distributions (from Capital Gains).............. -- (1.16) (2.17) (1.65) (1.20) (0.65)
---------- ---------- ---------- -------- -------- --------
Total Distributions........................... -- (1.43) (2.34) (1.83) (1.40) (0.80)
---------- ---------- ---------- -------- -------- --------
NET ASSET VALUE END OF PERIOD................... $ 34.92 $ 35.51 $ 34.27 $ 29.39 $ 24.31 $ 21.03
========== ========== ========== ======== ======== ========
TOTAL RETURN(B)................................. (1.7%) 8.1% 25.4% 28.7% 22.7% 36.8%
RATIOS/SUPPLEMENTAL DATA
Net Assets End of Period (thousands)............ $1,217,118 $1,396,995 $1,307,332 $999,929 $714,591 $519,891
Ratio of Expenses to Average Net Assets......... 0.81% 0.81% 0.81% 0.81% 0.83% 0.83%
Ratio of Net Income (Loss) to Average Net
Assets........................................ 0.24% 0.31% 0.59% 0.66% 0.90% 1.21%
Portfolio Turnover Rate......................... 49% 49% 39% 61% 57% 83%
</TABLE>
--------------------------------------------------------------------------------
157
<PAGE> 159
FINANCIAL HIGHLIGHTS (CONTINUED)
SELECTED DATA FOR EACH SHARE OF CAPITAL STOCK OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
SERIES P (HIGH YIELD) FISCAL PERIOD ENDED DECEMBER 31
--------------------------------------------------------
2000(N) 1999(D) 1998(D)(E) 1997(D)(E) 1996(D)(F)
------- ------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C>
PER SHARE DATA
NET ASSET VALUE BEGINNING OF PERIOD......................... $ 15.51 $ 16.80 $ 17.60 $15.99 $15.00
INCOME FROM INVESTMENT OPERATIONS:
Net Investment Income....................................... 0.64 1.30 0.89 0.68 0.51
Net Gain (Loss) on Securities (realized and unrealized)..... (0.94) (1.08) 0.12 1.43 0.48
------- ------- ------- ------ ------
Total from Investment Operations............................ (0.30) 0.22 1.01 2.11 0.99
LESS DISTRIBUTIONS:
Dividends (from Net Investment Income)...................... -- (1.37) (1.63) (0.42) --
Distributions (from Capital Gains).......................... -- (0.10) (0.18) (0.08) --
Return of Capital........................................... -- (0.04) -- -- --
------- ------- ------- ------ ------
Total Distributions....................................... -- (1.51) (1.81) (0.50) --
------- ------- ------- ------ ------
NET ASSET VALUE END OF PERIOD............................... $ 15.21 $ 15.51 $ 16.80 $17.60 $15.99
======= ======= ======= ====== ======
TOTAL RETURN(B)............................................. (1.9%) 1.3% 5.8% 13.4% 6.6%
RATIOS/SUPPLEMENTAL DATA
Net Assets End of Period (thousands)........................ $20,127 $19,152 $14,949 $6,767 $2,665
Ratio of Expenses to Average Net Assets..................... 0.86% 0.18% 0.18% 0.31% 0.28%
Ratio of Net Income (Loss) to Average Net Assets............ 8.10% 8.55% 8.17% 8.58% 8.24%
Portfolio Turnover Rate..................................... 12% 29% 87% 77% 151%
</TABLE>
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SERIES M (GLOBAL TOTAL RETURN) FISCAL PERIOD ENDED DECEMBER 31
---------------------------------------------------------------
2000(N) 1999(K)(M) 1998 1997 1996 1995(A)(C)
------- ---------- ------- ------- ------- ----------
<S> <C> <C> <C> <C> <C> <C>
PER SHARE DATA
NET ASSET VALUE BEGINNING OF PERIOD..................... $ 13.09 $ 12.87 $ 12.29 $ 12.05 $ 10.71 $ 10.00
INCOME FROM INVESTMENT OPERATIONS:
Net Investment Income................................... 0.08 0.15 0.20 0.16 0.15 0.17
Net Gain (Loss) on Securities (realized and
unrealized)........................................... (0.42) 1.49 1.33 0.59 1.36 0.54
------- ------- ------- ------- ------- -------
Total from Investment Operations........................ (0.34) 1.64 1.53 0.75 1.51 0.71
LESS DISTRIBUTIONS:
Dividends (from Net Investment Income).................. -- (0.44) (0.27) (0.26) (0.12) --
Distributions (from Capital Gains)...................... -- (0.98) (0.68) (0.25) (0.05) --
------- ------- ------- ------- ------- -------
Total Distributions................................... -- (1.42) (0.95) (0.51) (0.17) --
------- ------- ------- ------- ------- -------
NET ASSET VALUE END OF PERIOD........................... $ 12.75 $ 13.09 $ 12.87 $ 12.29 $ 12.05 $ 10.71
======= ======= ======= ======= ======= =======
TOTAL RETURN(B)......................................... (2.6%) 14.0% 12.6% 6.2% 14.2% 7.1%
RATIOS/SUPPLEMENTAL DATA
Net Assets End of Period (thousands).................... $38,504 $44,034 $45,174 $48,379 $38,396 $15,976
Ratio of Expenses to Average Net Assets................. 1.40% 1.36% 1.24% 1.26% 1.34% 1.94%
Ratio of Net Income (Loss) to Average Net Assets........ 1.48% 1.09% 1.33% 1.71% 2.73% 3.20%
Portfolio Turnover Rate................................. 154% 155% 49% 64% 40% 181%
</TABLE>
--------------------------------------------------------------------------------
158
<PAGE> 160
FINANCIAL HIGHLIGHTS (CONTINUED)
SELECTED DATA FOR EACH SHARE OF CAPITAL STOCK OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
SERIES O (EQUITY INCOME) FISCAL PERIOD ENDED DECEMBER 31
---------------------------------------------------------------
2000(N) 1999 1998 1997 1996 1995(A)(C)
------- -------- -------- -------- ------- ----------
<S> <C> <C> <C> <C> <C> <C>
PER SHARE DATA
NET ASSET VALUE BEGINNING OF PERIOD................... $17.27 $ 18.35 $ 17.62 $ 14.01 $ 11.70 $ 10.00
INCOME FROM INVESTMENT OPERATIONS:
Net Investment Income................................. 0.18 0.30 0.29 0.19 0.17 0.17
Net Gain (Loss) on Securities (realized and
unrealized)......................................... (0.68) 0.19 1.30 3.77 2.17 1.53
------ -------- -------- -------- ------- -------
Total from Investment Operations...................... (0.50) 0.49 1.59 3.96 2.34 1.70
LESS DISTRIBUTIONS:
Dividends (from Net Investment Income)................ -- (0.59) (0.25) (0.14) (0.03) --
Distributions (from Capital Gains).................... -- (0.98) (0.61) (0.21) -- --
------ -------- -------- -------- ------- -------
Total Distributions................................. -- (1.57) (0.86) (0.35) (0.03) --
------ -------- -------- -------- ------- -------
NET ASSET VALUE END OF PERIOD......................... $16.77 $ 17.27 $ 18.35 $ 17.62 $ 14.01 $ 11.70
====== ======== ======== ======== ======= =======
TOTAL RETURN(B)....................................... (2.9%) 3.1% 9.0% 28.4% 20.0% 17.0%
RATIOS/SUPPLEMENTAL DATA
Net Assets End of Period (thousands).................. $166,180 $207,022 $204,070 $150,391 $62,377 $13,528
Ratio of Expenses to Average Net Assets............... 1.09% 1.09% 1.08% 1.09% 1.15% 1.40%
Ratio of Net Income (Loss) to Average Net Assets...... 1.92% 1.65% 1.93% 2.31% 2.62% 3.00%
Portfolio Turnover Rate............................... 60% 35% 20% 21% 22% 3%
</TABLE>
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SERIES Y (SELECT 25) FISCAL PERIOD ENDED
DECEMBER 31
-------------------
2000(N) 1999(I)
------- ---------
<S> <C> <C>
PER SHARE DATA
NET ASSET VALUE BEGINNING OF PERIOD......................... $ 12.37 $ 10.00
INCOME FROM INVESTMENT OPERATIONS:
Net Investment Income....................................... -- (0.01)
Net Gain (Loss) on Securities (realized and unrealized)..... (0.50) 2.38
------- ---------
Total from Investment Operations............................ (0.50) 2.37
LESS DISTRIBUTIONS:
Dividends (from Net Investment Income)...................... -- --
Distributions (from Capital Gains).......................... -- --
------- ---------
Total Distributions....................................... -- --
------- ---------
NET ASSET VALUE END OF PERIOD............................... $ 11.87 $ 12.37
======= =========
TOTAL RETURN(B)............................................. (4.0%) 23.7%
RATIOS/SUPPLEMENTAL DATA
Net Assets End of Period (thousands)........................ $70,546 $31,399
Ratio of Expenses to Average Net Assets..................... 0.87% 0.97%
Ratio of Net Income (Loss) to Average Net Assets............ (0.02%) (0.16%)
Portfolio Turnover Rate..................................... 114% 54%
</TABLE>
--------------------------------------------------------------------------------
159
<PAGE> 161
FINANCIAL HIGHLIGHTS (CONTINUED)
SELECTED DATA FOR EACH SHARE OF CAPITAL STOCK OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
SERIES I (INTERNATIONAL) FISCAL PERIOD ENDED
DECEMBER 31
----------------------
2000(D)(N) 1999(I)
---------- ---------
<S> <C> <C>
PER SHARE DATA
NET ASSET VALUE BEGINNING OF PERIOD......................... $ 13.00 $ 10.00
INCOME FROM INVESTMENT OPERATIONS:
Net Investment Income....................................... (0.02) (0.04)
Net Gain (Loss) on Securities (realized and unrealized)..... (0.90) 3.04
------- ---------
Total from Investment Operations............................ (0.92) 3.00
LESS DISTRIBUTIONS:
Dividends (from Net Investment Income)...................... -- --
Distributions (from Capital Gains).......................... -- --
------- ---------
Total Distributions....................................... -- --
------- ---------
NET ASSET VALUE END OF PERIOD............................... $ 12.08 $ 13.00
======= =========
TOTAL RETURN(B)............................................. (7.1%) 30.0%
RATIOS/SUPPLEMENTAL DATA
Net Assets End of Period (thousands)........................ $16,886 $9,857
Ratio of Expenses to Average Net Assets..................... 2.25% 2.25%
Ratio of Net Income (Loss) to Average Net Assets............ (0.37%) (0.70%)
Portfolio Turnover Rate..................................... 106% 98%
</TABLE>
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SERIES B (LARGE CAP VALUE) FISCAL PERIOD ENDED DECEMBER 31
---------------------------------------------------------------------
2000(N) 1999 1998(E) 1997(E) 1996(E) 1995(E)
-------- ---------- ---------- ---------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
PER SHARE DATA
NET ASSET VALUE BEGINNING OF PERIOD............. $ 24.39 $ 39.81 $ 41.60 $ 35.40 $ 33.95 $ 26.54
INCOME FROM INVESTMENT OPERATIONS:
Net Investment Income........................... 0.30 0.57 0.83 0.72 0.83 0.79
Net Gain (Loss) on Securities (realized and
unrealized)................................... (2.88) (0.65) 2.60 8.47 5.16 7.16
-------- ---------- ---------- ---------- -------- --------
Total from Investment Operations................ (2.58) (0.08) 3.43 9.19 5.99 7.95
LESS DISTRIBUTIONS:
Dividends (from Net Investment Income).......... -- (0.85) (0.71) (0.86) (0.78) (0.54)
Distributions (from Capital Gains).............. -- (14.49) (4.51) (2.13) (3.76) --
-------- ---------- ---------- ---------- -------- --------
Total Distributions........................... -- (15.34) (5.22) (2.99) (4.54) (0.54)
-------- ---------- ---------- ---------- -------- --------
NET ASSET VALUE END OF PERIOD................... $ 21.81 $ 24.39 $ 39.81 $ 41.60 $ 35.40 $ 33.95
======== ========== ========== ========== ======== ========
TOTAL RETURN(B)................................. (10.6%) 1.5% 7.9% 26.5% 18.3% 30.1%
RATIOS/SUPPLEMENTAL DATA
Net Assets End of Period (thousands)............ $752,796 $1,051,832 $1,196,979 $1,198,302 $956,586 $795,113
Ratio of Expenses to Average Net Assets......... 0.82% 0.82% 0.80% 0.83% 0.84% 0.83%
Ratio of Net Income (Loss) to Average Net
Assets........................................ 1.31% 2.00% 2.02% 1.89% 2.56% 2.70%
Portfolio Turnover Rate......................... 177% 73% 119% 62% 58% 94%
</TABLE>
--------------------------------------------------------------------------------
160
<PAGE> 162
FINANCIAL HIGHLIGHTS (CONTINUED)
SELECTED DATA FOR EACH SHARE OF CAPITAL STOCK OUTSTANDING THROUGHOUT EACH PERIOD
(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 I, K, P, V and X were reduced by the Investment
Manager during the period. Expense ratios absent such reimbursement would
have been as follows:
<TABLE>
<CAPTION>
1995 1996 1997 1998 1999 2000
<S> <C> <C> <C> <C> <C> <C>
Series I................................. -- -- -- -- 4.20% 2.41%
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% 1.33% --
</TABLE>
(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:
<TABLE>
<CAPTION>
1995 1996 1997 1998 1999 2000
<S> <C> <C> <C> <C> <C> <C>
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 Q................................. -- -- -- -- -- 3.82%
Series S................................. 0.84% 0.84% 0.83% 0.82% -- --
</TABLE>
(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 a net
asset value of $10 per share. Percentage amounts for the period have been
annualized, except for total return.
(j) Series G, L, Q, T and W were initially capitalized on May 1, 2000 with net
asset values of $10 per share. Percentage amounts for the period have been
annualized, except for total return.
(k) Meridian Investment Corporation (Meridian) became the sub-advisor of Series
M (Global Total Return Series) effective August 1, 1997. Prior to August 1,
1997, SMC paid Templeton/Franklin Investment Services, Inc. and Meridian
for research services provided to Series M.
(l) Unaudited figures for the six months ended June 30, 2000. Percentage
amounts for the period, except total return, have been annualized.
(m) 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.
(n) Unaudited figures for the six months ended June 30, 2000. Percentage
amounts for the period, except total return, have been annualized.
--------------------------------------------------------------------------------
161
<PAGE> 163
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 2000
1. SIGNIFICANT ACCOUNTING POLICIES
The Fund is registered under the Investment Company Act of 1940, as amended,
as an 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.
A. SECURITIES VALUATION - Valuations of the Fund's securities are supplied
by pricing services approved by the Board of Directors. The Fund's officers
under the general supervision of the Board of Directors, regularly review
procedures used by, and valuations provided by, the pricing service. 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
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.
The funds which invest in foreign securities and currencies do not isolate
that portion of the results of operations resulting from changes in 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.
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 - The Fund may enter into
forward foreign exchange contracts in connection with foreign currency risk from
purchase or sale of securities denominated in foreign currency. A Series may
also enter into such contracts to manage the effect of changes in foreign
currency exchange rates on portfolio positions. These contracts are marked to
market daily, by recognizing the difference between the contract exchange rate
and the current market rate as unrealized gains or losses. Realized gains or
losses are recognized when contracts are settled and are reflected in the
Statement of Operations. These contracts involve market risk in excess of the
amount reflected in the Balance Sheet. The face or contract amount in U.S.
dollars reflects the total exposure the Series have in that particular currency
contract. Losses may arise due to changes in the value of the foreign currency
or if the counter party does not perform under the contract.
D. FUTURES - The Fund may utilize futures contracts to a limited extent,
with the objectives of maintaining full exposure to the underlying stock
markets, enhancing returns, maintaining liquidity, minimizing transaction costs,
and hedging possible variations in foreign exchange rates. The Fund may purchase
or sell financial and foreign currency 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.
--------------------------------------------------------------------------------
162
<PAGE> 164
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
JUNE 30, 2000
E. OPTIONS WRITTEN - The Fund may purchase put and call options and write
such options on a covered basis on securities that are traded on recognized
securities exchanges and over-the-counter markets. Call and put options on
securities give the holder the right to purchase or sell, respectively, (and the
writer the obligation to sell or purchase) a security at a specified price,
until a certain date. The primary risks associated with the use of options are
an imperfect correlation between the change in market value of the securities
held by the Series and the price of the option, the possibility of an illiquid
market, and the inability of the counter party to meet the terms of the
contract.
The premium received for a written option is recorded as an asset with an
equal liability which is marked to market based on the option's quoted daily
settlement price. Fluctuations in the value of such instruments are recorded as
unrealized appreciation (depreciation) until terminated, at which time realized
gains and losses are recognized.
F. SECURITY TRANSACTIONS AND INVESTMENT INCOME - Security transactions are
accounted for on the date the securities are purchased or sold. Realized gains
and losses are reported on an identified cost basis. Dividend income less
foreign taxes withheld (if any) are recorded on the ex-dividend date. Interest
income is recognized on the accrual basis. Premium and discounts (except
original issue discounts) on debt securities are not amortized, except for
Series K, which does amortize premiums and discounts on debt securities.
G. DISTRIBUTIONS TO SHAREHOLDERS - Distributions to shareholders are
recorded on the ex-dividend date. The character of distributions made during the
year from net investment income or net realized gains may differ from their
ultimate characterization for federal income tax purposes. These differences are
primarily due to differing treatments for expiration of net operating losses and
recharacterization of foreign currency gains and losses.
H. TAXES - The Fund complied with the requirements of the Internal Revenue
Code applicable to regulated investment companies and distributed all of its
taxable net income and net realized gains sufficient to relieve it from all, or
substantially all, federal income, excise and state income taxes. Therefore, no
provision for federal or state income tax is required.
I. EARNINGS CREDITS - Under the fee schedule with the custodian, the Fund
earns credits based on overnight custody cash balances. These credits are
utilized to reduce related custodial expenses. The custodian fees disclosed in
the Statement of Operations do not reflect the reduction in expense from the
related earnings credits.
J. USE OF ESTIMATES - The preparation of financial statements in conformity
with accounting principals generally accepted in the United States 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, G, L, M, N, O, Q, T, W and X and 1.10%
for Series I. SMC waived all of the management fees for Series P and X through
November 30, 1999.
SMC pays Oppenheimer Funds, Inc. 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:
<TABLE>
<CAPTION>
Combined Average Daily Net Assets of the Series Annual Fees
----------------------------------------------- -----------
<S> <C>
$0 to $300 Million............................ .35%
$300 Million to $750 Million.................. .30%
$750 Million or more.......................... .25%
</TABLE>
SMC also pays Oppenheimer an annual fee equal to a percentage of the average
daily net assets of Series W, computed on a daily basis as follows:
<TABLE>
<CAPTION>
Average Daily Net Assets of the Series Annual Fees
-------------------------------------- -----------
<S> <C>
$0 to $50 Million............................ .35%
$50 Million to $250 Million.................. .30%
$250 Million or more......................... .25%
</TABLE>
The Investment Manager pays T. Rowe Price Associates, Inc. an annual fee
equal to .50% of the first $25,000,000 of average daily net assets of Series N
and .35% of the average daily net assets of Series N in excess of $25,000,000
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 0 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.
In addition, SMC also pays Strong with respect to Series Q an annual fee
based on the average net assets of Series Q. The fees for these services is
outlined below:
<TABLE>
<CAPTION>
Average Daily Net Assets Annual Fees
------------------------ -----------
<S> <C>
Less Than $150 Million....................... .50%
$150 Million to $500 Million................. .45%
$500 Million or more......................... .40%
</TABLE>
Bankers Trust Company furnishes investment advisory services to Series H and
Series I. For such services to Series H, SMC pays Bankers Trust in annual fee
equal to a percentage of the average daily closing value of the combined net
assets of
--------------------------------------------------------------------------------
163
<PAGE> 165
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
JUNE 30, 2000
Series H and another Fund, managed by SMC, the Enhanced Index Series of Security
Equity Fund as follows:
<TABLE>
<CAPTION>
Combined Average Daily Net Assets of the Series Annual Fees
----------------------------------------------- -----------
<S> <C>
$0 to $100 Million............................ .20%
$100 Million to $300 Million.................. .15%
$300 Million or more.......................... .13%
</TABLE>
SMC also pays Bankers Trust the following minimum fees with respect to
Series H; (i) no minimum fee in the first year the 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:
<TABLE>
<CAPTION>
Combined Average Daily Net Assets of the Series Annual Fees
----------------------------------------------- -----------
<S> <C>
$0 to $200 Million............................ .60%
$200 Million or more.......................... .55%
</TABLE>
SMC pays Wellington Management Company, LLP 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:
<TABLE>
<CAPTION>
Average Daily Net Assets of the Series Annual Fees
-------------------------------------- -----------
<S> <C>
Less Than $50 Million........................ .50%
More than $50 Million........................ .40%
</TABLE>
Wellington Management has agreed to cap its fee at .40% of Series K's net
assets until May 15, 2000.
For the services provided to Series M, 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:
<TABLE>
<CAPTION>
Average Daily Net Assets of the Series Annual Fees
-------------------------------------- -----------
<S> <C>
$0 to $50 million............................ .50%
$50 million to $100 million.................. .40%
$100 million to $250 million................. .35%
$250 million or more......................... .30%
</TABLE>
Wellington Management has agreed to cap its fee at .45% of Series M's net
assets until May 15, 2000.
For the services provided to Series T, SMC pays Wellington Management an
annual fee equal to .50% of the average net assets of Series T.
SMC pays Alliance Capital Management, L.P. an annual fee equal to 0.50% of
the average daily net assets of Series L, computed daily.
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 period ended June 30, 2000, 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, limit Series I
and Series T at an annual rate of 2.25% and limit Series G, H, L, Q, W 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 provided 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 H, X and Y), 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 and Series T the greater of .10% of the average daily net assets or (i)
$30,000 for the first year of operation, (ii) $45,000 for the second year, and
(iii) $60,000 thereafter. With respect to Series G, H, L, Q, W, X, and Y, SMC
receives a fee at an annual rate of .09% of the average daily net assets of the
Series.
--------------------------------------------------------------------------------
164
<PAGE> 166
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
JUNE 30, 2000
<TABLE>
<S> <C>
3. UNREALIZED APPRECIATION/DEPRECIATION OF INVESTMENT 4. INVESTMENT TRANSACTIONS
SECURITIES Investment transactions for the year ended June 30, 2000,
For federal income tax purposes, the amounts of (excluding overnight investments and short-term debt
unrealized appreciation (depreciation) for each Series' securities) are as follows:
investments were as follows:
</TABLE>
<TABLE>
<CAPTION>
Aggregate gross Aggregate gross Net unrealized
unrealized unrealized appreciation Proceeds
appreciation (depreciation) (depreciation) Purchases from sales
--------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
SERIES V
(Mid Cap Value)...... $ 12,386,096 ($ 5,243,008) $ 7,143,088 $ 31,393,758 $ 14,487,007
SERIES X
(Small Cap Growth)... 18,349,686 (1,516,961) 16,832,725 112,562,427 176,076,999
SERIES J
(Mid Cap Growth)..... 227,077,009 (40,609,020) 186,467,989 179,780,267 62,962,849
SERIES D
(Global)............. 144,592,421 (24,851,026) 119,741,395 279,091,746 193,609,284
SERIES K
(Global Strategic
Income)............ 350,821 (782,364) (431,543) 7,320,062 7,576,896
SERIES C
(Money Market)....... 52,236 (8,795) 43,441 -- --
SERIES S
(Social Awareness)... 92,641,089 (8,123,487) 84,517,602 27,999,239 21,083,411
SERIES T
(Technology)......... 627,307 (235,101) 392,206 11,278,918 1,258,102
SERIES G
(Large Cap Growth)... 353,193 (198,962) 154,231 5,699,634 0
SERIES E
(Diversified
Income)............ 223,524 (5,584,053) (5,360,529) 70,458,484 52,548,170
SERIES N
(Managed Asset
Allocation)........ 18,179,001 (5,374,589) 12,804,412 27,454,532 29,320,493
SERIES W
(Main Street Growth &
Income)............ 453,775 (357,400) 96,375 12,329,822 767,954
SERIES H
(Enhanced Index)..... 4,584,072 (2,452,547) 2,131,525 23,337,563 6,245,455
SERIES L
(Capital Growth)..... 310,038 (291,692) 18,346 7,496,587 308,923
SERIES Q
(Small Cap Value).... 298,863 (334,514) (35,651) 5,165,821 323,620
SERIES A
(Equity)............. 457,439,507 (27,463,320) 429,976,187 293,561,533 392,246,698
SERIES P
(High Yield)......... 82,788 (2,558,237) (2,475,449) 960,768 1,558,128
SERIES M
(Global Total
Return)............ 3,875,798 (2,350,681) 1,525,117 26,904,547 35,105,082
SERIES O
(Equity Income)...... 15,532,472 (22,263,319) (6,730,847) 727,453,824 725,413,642
SERIES Y
(Select 25).......... 7,182,466 (1,264,524) 5,917,942 67,497,458 28,588,022
SERIES I
(International)...... 1,568,487 (667,891) 900,956 14,077,990 6,704,148
SERIES B
(Large Cap Value).... 53,636,897 (61,300,163) (7,663,266) 741,377,098 931,941,187
</TABLE>
--------------------------------------------------------------------------------
165
<PAGE> 167
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
JUNE 30, 2000
5. FORWARD FOREIGN EXCHANGE CONTRACTS
At June 30, 2000, Series K, Series M and Series I had the following open
forward exchange contracts to buy or sell currency:
<TABLE>
<CAPTION>
Foreign Currency
to be Amount to U.S. $ Value Net Unrealized
Settlement delivered in be paid in as of Appreciation
Contracts to Buy Date U.S. $ U.S. $ 6/30/00 (Depreciation)
---------------- ------------------- ---------------- ------------ ------------- --------------
<S> <C> <C> <C> <C> <C>
SERIES K
Australian Dollar.................... 09/29/00 35,000 $ 21,103 $ 21,035 $ (68)
European Monetary Unit............... 07/10/00 - 10/03/00 518,500 481,743 497,765 16,022
Hong Kong Dollar..................... 02/22/02 1,778,000 227,890 228,273 383
Israeli Shekel....................... 09/22/00 160,600 39,322 39,334 12
Japan Government Bond
3.0% - 2005........................ 7/27/00 3,400,000 35,170 35,048 (122)
Japan Government Bond,
2.9% - 2005........................ 7/27/00 10,000,000 103,169 102,783 (386)
Japan Government Bond,
4.6% - 2004........................ 8/01/00 3,900,000 42,305 42,234 (71)
Japan Government Bond,
1.9% - 2009........................ 8/10/00 11,000,000 106,456 105,891 (565)
Japanese Yen......................... 07/11/00 - 08/09/00 12,865,000 122,736 122,049 (687)
New Zealand Dollar................... 08/22/00 138,600 64,794 65,201 407
Singapore Dollar..................... 07/11/00 37,000 22,537 21,420 (1,117)
--------
$ 13,808
========
SERIES M
Australian Dollar.................... 04/05/00 - 09/29/00 250,400 148,534 150,443 1,909
British Pound........................ 11/30/00 15,850 23,444 24,062 618
Canadian Dollar...................... 08/23/00 312,000 212,100 210,906 (1,194)
European Monetary Unit............... 07/10/00 - 10/03/00 1,256,850 1,163,280 1,206,832 43,552
Israeli Shekel....................... 09/22/00 430,700 105,725 105,486 (239)
Japan Government Bond, 2.9% - 2005... 7/27/00 30,000,000 309,496 308,349 (1,147)
Japan Government Bond, 1.9% - 2009... 8/10/00 30,000,000 290,336 288,794 (1,542)
Japanese Yen......................... 07/11/00 - 08/09/00 236,636,750 2,263,517 2,251,441 (12,076)
New Zealand Dollar................... 08/22/00 356,000 166,374 167,473 1,099
Singapore Dollar..................... 07/11/00 137,000 83,426 79,312 (4,114)
Swedish Krona........................ 07/19/00 319,000 36,618 36,426 (192)
Swiss Franc.......................... 07/17/00 53,400 31,542 32,888 1,346
--------
$ 28,020
========
SERIES I
European Monetary Unit............... 07/12/00 - 07/13/00 1,452,498 1,368,583 1,393,063 $ 24,480
========
</TABLE>
--------------------------------------------------------------------------------
166
<PAGE> 168
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
JUNE 30, 2000
<TABLE>
<CAPTION>
Amount Net
Foreign Currency to be U.S. $ Value Unrealized
Settlement to be received in as of Appreciation
Contracts to Sell Date delivered U.S. $ 6/30/00 (Depreciation)
----------------- ------------------- ---------------- ------------ ------------ --------------
<S> <C> <C> <C> <C> <C>
SERIES K
British Pound............................. 11/30/00 121,950 180,377 185,134 (4,757)
Danish Kroner............................. 08/14/00 280,000 35,968 36,059 (91)
European Monetary Unit.................... 07/10/00 - 07/18/00 1,390,275 1,274,400 1,333,720 (59,320)
Hong Kong Dollar.......................... 02/22/02 1,778,000 227,578 228,273 (695)
Israeli Shekel............................ 09/22/00 50,000 12,121 12,246 (125)
Japanese Yen.............................. 07/11/00 - 09/05/00 20,648,000 198,521 196,484 2,037
New Zealand Dollar........................ 08/22/00 138,600 63,242 65,202 (1,960)
Norwegian Krone........................... 09/05/00 172,850 19,378 20,229 (851)
Singapore Dollar.......................... 07/11/00 37,000 21,775 21,420 355
Swedish Krona............................. 07/19/00 265,000 28,930 30,260 (1,330)
Thailand Baht............................. 08/22/00 810,000 20,689 20,694 (5)
--------
$(66,889)
========
SERIES M
Australian Dollar......................... 07/05/00 79,700 48,059 47,852 207
Danish Kroner............................. 08/14/00 175,500 22,545 22,602 (57)
European Monetary Unit.................... 07/10/00 - 07/18/00 836,000 782,878 801,886 (19,008)
Israeli Shekel............................ 09/22/00 160,000 38,786 39,187 (401)
Japanese Yen.............................. 07/11/00 - 09/05/00 50,291,500 484,125 478,527 5,598
New Zealand Dollar........................ 08/22/00 356,000 161,765 167,473 (5,708)
Norwegian Krone........................... 09/05/00 672,200 75,359 78,670 (3,311)
Singapore Dollar.......................... 07/11/00 137,000 80,626 79,312 1,314
Thailand Baht............................. 08/22/00 1,430,000 36,526 36,535 (9)
--------
$(21,375)
========
SERIES I
European Monetary Unit.................... 07/12/00 1,452,498 1,370,789 1,393,046 $(22,257)
========
</TABLE>
--------------------------------------------------------------------------------
167
<PAGE> 169
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
JUNE 30, 2000
6. OPEN FUTURE CONTRACTS
<TABLE>
<CAPTION>
Number of Expiration Contract Market Unrealized
Contracts Date Amount Value Gain/Loss
--------- ---------- ------------ ------------ ----------
<S> <C> <C> <C> <C> <C>
SERIES K
Japan 10 Year Bond Future.......................... 2 09/07/00 $ 249,101 $ 250,933 $ 1,832
U.S. 10 Year Note Future........................... (5) 09/29/00 (490,887) (492,422) (1,535)
---------
$ 297
=========
SERIES H
S&P 500 E-mini Index Future........................ 12 09/14/00 $ 894,928 $ 880,800 $ (14,128)
S&P 500 Index Future............................... 16 09/14/00 5,948,386 5,872,400 (75,986)
---------
$ (90,114)
=========
SERIES M
AUD Currency Future................................ 20 09/20/00 $ 1,204,200 $ 1,196,000 $ (8,200)
Australia 10 Year Bond Future...................... 4 09/15/00 333,972 343,386 9,414
CAD Currency Future................................ (10) 09/20/00 (681,300) (676,700) 4,600
Canada 10 Year Bond Future......................... (2) 09/20/00 (136,978) (136,087) 891
DAX Index Future................................... (4) 09/15/00 (705,446) (666,227) 39,219
EUR Currency Future................................ 7 09/20/00 839,720 838,337 (1,383)
Euro Bond Future................................... (16) 09/07/00 (1,599,544) (1,611,522) (11,978)
FTSE 100 Index Future.............................. 5 09/15/00 500,134 481,193 (18,941)
GBP Currency Future................................ 12 09/20/00 1,132,620 1,138,950 6,330
Hang Seng Index Future............................. 21 07/28/00 2,185,546 2,187,472 1,926
Ibex Plus Index Future............................. (3) 07/21/00 (310,023) (301,887) 8,136
Japan 10 Year Bond Future.......................... 5 09/07/00 622,751 627,333 4,582
JPY Currency Future................................ 10 09/20/00 1,196,225 1,197,125 900
Long Gilt Future................................... (3) 09/29/00 (513,818) (516,573) (2,755)
OMX Index Future................................... 196 07/28/00 3,139,560 2,925,977 (213,583)
S&P / TSE 60 Index Future.......................... 14 09/14/00 1,096,845 1,188,635 91,790
S&P 500 Index Future............................... 3 09/14/00 1,100,543 1,101,075 532
Topix Index Future................................. (13) 09/07/00 (1,956,314) (1,955,437) 877
US 10 Year Note Future............................. 9 09/20/00 881,809 886,359 4,550
---------
$ (83,093)
=========
</TABLE>
--------------------------------------------------------------------------------
168
<PAGE> 170
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
JUNE 30, 2000
7. CAPITAL SHARE TRANSACTIONS
The Fund is authorized to issue an unlimited number of shares in an
unlimited number of classes. Transactions in the capital shares of the Fund were
as follows:
<TABLE>
<CAPTION>
2000
2000 2000 2000 2000 2000 2000 Increase/
Shares Amount Shares Amount Shares Amount Decrease
Sold Sold Reinvested Reinvested Redeemed Redeemed Shares
---------- ------------ ---------- ---------- ----------- ------------- ----------
<S> <C> <C> <C> <C> <C> <C> <C>
SERIES V
(Mid Cap Value)................ 1,835,251 $ 33,476,585 -- -- (749,435) $ (13,536,335) 1,085,816
SERIES X
(Small Cap Growth)............. 4,811,960 112,697,778 -- -- (1,833,483) (41,661,188) 2,978,477
SERIES J
(Mid Cap Growth)............... 6,102,115 205,338,384 -- -- (3,523,693) (117,753,016) 2,578,422
SERIES D
(Global)....................... 14,178,095 138,340,547 -- -- (10,418,503) (102,796,391) 3,759,592
SERIES K
(Global Strategic Income)...... 306,483 2,993,194 -- -- (359,823) (3,505,726) (53,340)
SERIES C
(Money Market)................. 21,300,345 259,745,834 -- -- (23,203,993) (282,719,741) (1,903,648)
SERIES S
(Social Awareness)............. 1,687,323 53,255,871 -- -- (1,444,432) (45,222,130) 242,891
SERIES T
(Technology)................... 1,110,888 10,970,796 -- -- (64,111) (614,200) 1,046,777
SERIES G
(Large Cap Growth)............. 635,226 6,333,442 -- -- (23,367) (233,855) 611,859
SERIES E
(Diversified Income)........... 2,098,539 22,238,773 -- -- (3,961,630) (41,943,998) (1,863,091)
SERIES N
(Managed Asset Allocation)..... 1,092,288 18,349,007 -- -- (1,413,180) (23,720,491) (320,892)
SERIES W
(Main Street Growth &
Income(R))................... 1,365,753 13,615,213 -- -- (23,135) (228,669) 1,342,618
SERIES H
(Enhanced Index)............... 2,156,488 23,518,248 -- -- (580,312) (6,259,329) 1,576,176
SERIES L
(Capital Growth)............... 807,281 8,038,575 -- -- (16,491) (162,531) 790,790
SERIES Q
(Small Cap Value).............. 626,303 6,250,389 -- -- (24,678) (245,087) 601,625
SERIES A
(Equity)....................... 5,772,695 198,763,599 -- -- (10,252,834) (350,509,222) (4,480,139)
SERIES P
(High Yield)................... 489,422 7,467,180 -- -- (400,863) (6,117,844) 88,559
SERIES M
(Global Total Return).......... 408,666 5,167,202 -- -- (751,373) (9,495,063) (342,707)
SERIES O
(Equity Income)................ 1,845,224 30,787,674 -- -- (3,928,096) (64,580,861) (2,082,672)
SERIES Y
(Select 25).................... 4,472,488 52,337,607 -- -- (1,068,027) (12,410,457) 3,404,461
SERIES I
(International)................ 1,220,088 15,388,956 -- -- (580,085) (7,237,624) 640,003
SERIES B
(Large Cap Value).............. 2,797,564 63,167,665 -- -- (11,404,333) (256,026,536) (8,606,769)
<CAPTION>
2000
Increase/
Decrease
Amount
-------------
<S> <C>
SERIES V
(Mid Cap Value)................ $ 19,940,250
SERIES X
(Small Cap Growth)............. 71,036,590
SERIES J
(Mid Cap Growth)............... 87,585,368
SERIES D
(Global)....................... 35,544,156
SERIES K
(Global Strategic Income)...... (512,532)
SERIES C
(Money Market)................. (22,973,757)
SERIES S
(Social Awareness)............. 8,033,741
SERIES T
(Technology)................... 10,356,596
SERIES G
(Large Cap Growth)............. 6,099,587
SERIES E
(Diversified Income)........... (19,705,225)
SERIES N
(Managed Asset Allocation)..... (5,371,484)
SERIES W
(Main Street Growth &
Income(R))................... 13,386,544
SERIES H
(Enhanced Index)............... 17,258,919
SERIES L
(Capital Growth)............... 7,876,044
SERIES Q
(Small Cap Value).............. 6,005,302
SERIES A
(Equity)....................... (151,745,623)
SERIES P
(High Yield)................... 1,349,336
SERIES M
(Global Total Return).......... (4,327,861)
SERIES O
(Equity Income)................ (33,793,187)
SERIES Y
(Select 25).................... 39,927,150
SERIES I
(International)................ 8,151,332
SERIES B
(Large Cap Value).............. (192,858,871)
</TABLE>
--------------------------------------------------------------------------------
169
<PAGE> 171
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
JUNE 30, 2000
7. CAPITAL SHARE TRANSACTIONS (CONTINUED)
<TABLE>
<CAPTION>
1999
1999 1999 1999 1999 1999 1999 Increase/
Shares Amount Shares Amount Shares Amount Decrease
Sold Sold Reinvested Reinvested Redeemed Redeemed Shares
---------- ----------- ---------- ----------- ----------- ------------ ----------
<S> <C> <C> <C> <C> <C> <C> <C>
SERIES V
(Mid Cap Value)................. 2,029,713 $32,581,222 103,381 $ 1,576,791 (818,466) $(12,937,497) 1,314,628
SERIES X
(Small Cap Growth).............. 2,414,886 34,988,350 59,402 1,098,875 (728,592) (10,039,599) 1,745,696
SERIES J
(Mid Cap Growth)................ 6,061,314 138,477,874 2,464,999 48,158,309 (6,331,881) (140,165,225) 2,194,432
SERIES D
(Global)........................ 16,626,302 118,392,678 7,168,700 51,432,969 (17,807,219) (125,559,927) 5,987,783
SERIES K
(Global Strategic Income)....... 432,150 4,064,359 8,685 81,725 (620,803) (5,822,764) (179,968)
SERIES C
(Money Market).................. 37,346,545 463,016,230 1,152,391 13,920,392 (35,964,864) (445,116,022) 2,534,072
SERIES S
(Social Awareness).............. 4,020,402 116,405,290 296,421 8,184,046 (2,231,917) (65,006,441) 2,084,906
SERIES E
(Diversified Income)............ 5,355,952 62,221,174 1,610,501 17,705,073 (6,480,137) (74,505,815) 486,316
SERIES N
(Managed Asset Allocation)...... 2,746,352 44,601,549 199,922 3,277,046 (1,886,535) (30,925,422) 1,059,739
SERIES H
(Enhanced Index)................ 2.412,008 24,541,073 15,790 169,904 (183,886) (1,916,109) 2,243,912
SERIES A
(Equity)........................ 14,387,875 488,077,127 1,636,189 53,778,206 (14,831,355) (502,187,599) 1,192,709
SERIES P
(High Yield).................... 839,192 14,247,493 109,820 1,702,368 (604,063) (10,235,157) 344,949
SERIES M
(Global Total Return)........... 586,754 7,362,033 399,419 4,800,670 (1,133,234) (14,187,256) (147,061)
SERIES O
(Equity Income)................. 4,114,745 75,055,060 1,064,216 17,833,507 (4,312,184) (76,270,591) 866,777
SERIES Y
(Select 25)..................... 3,129,371 34,007,124 -- -- (591,953) (6,647,444) 2,537,418
SERIES I
(International)................. 795,967 8,107,206 -- -- (37,572) (404,327) 758,395
SERIES B
(Large Cap Value)............... 6,888,086 185,653,361 19,126,180 446,787,567 (12,955,147) (350,786,312) 13,059,119
<CAPTION>
1999
Increase/
Decrease
Amount
-----------
<S> <C>
SERIES V
(Mid Cap Value)................. $21,220,516
SERIES X
(Small Cap Growth).............. 26,047,626
SERIES J
(Mid Cap Growth)................ 46,470,958
SERIES D
(Global)........................ 44,265,720
SERIES K
(Global Strategic Income)....... (1,676,680)
SERIES C
(Money Market).................. 31,818,600
SERIES S
(Social Awareness).............. 59,582,895
SERIES E
(Diversified Income)............ 5,420,432
SERIES N
(Managed Asset Allocation)...... 17,153,173
SERIES H
(Enhanced Index)................ 22,794,868
SERIES A
(Equity)........................ 39,667,734
SERIES P
(High Yield).................... 5,714,704
SERIES M
(Global Total Return)........... (2,024,553)
SERIES O
(Equity Income)................. 14,617,976
SERIES Y
(Select 25)..................... 27,359,680
SERIES I
(International)................. 7,702,879
SERIES B
(Large Cap Value)............... 281,654,616
</TABLE>
--------------------------------------------------------------------------------
170
<PAGE> 172
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
JUNE 30, 2000
8. OPTIONS WRITTEN
The following options written were outstanding for Series V for the period
ended June 30, 2000:
PUT OPTIONS WRITTEN
<TABLE>
<CAPTION>
Expiration Exercise Number of Market
Common Stock Date Price Contracts Value
------------ ---------- -------- --------- --------
<S> <C> <C> <C> <C>
Archer-Daniels-Midland
Company................ 07/21/2000 10.00 327 $ 14,306
AVT Corporation......... 08/18/2000 10.00 314 82,425
CryoLife, Inc. ......... 09/15/2000 17.50 186 2,325
Material Sciences
Corporation............ 08/18/2000 10.00 300 13,125
Maxwell Technologies,
Inc. .................. 09/15/2000 15.00 200 40,000
USX Marathon............ 07/21/2000 25.00 130 7,313
--------
Total put options outstanding (premiums received, $93,577)... $159,494
========
</TABLE>
CALL OPTIONS WRITTEN
<TABLE>
<CAPTION>
Expiration Exercise Number of Market
Common Stock Date Price Contracts Value
------------ ---------- -------- --------- --------
<S> <C> <C> <C> <C>
Anadarko Petroleum
Corporation............ 07/21/2000 55.00 65 $ 3,250
Apache Corporation...... 07/21/2000 60.00 53 13,250
Forest Oil
Corporation............ 08/18/2000 15.00 65 9,344
Sonic Corporation....... 09/15/2000 35.00 100 6,250
Teva Pharmaceutical
Industries LTD......... 08/18/2000 60.00 57 11,756
--------
Total call options outstanding (premiums received,
$173,123)................................................... $ 43,850
========
</TABLE>
Transactions in options written for Series V for the period ended June 30,
2000 were as follows:
CALL OPTIONS WRITTEN
<TABLE>
<CAPTION>
Number of Premium
Contracts Amount
--------- --------
<S> <C> <C>
Balance at December 31, 1999....... -- $ --
Opened............................. 623 133,826
Expired............................ (220) (19,964)
Exercised.......................... (63) (20,285)
---- --------
Balance at June 30, 2000........... 340 $ 93,577
==== ========
</TABLE>
PUT OPTIONS WRITTEN
<TABLE>
<CAPTION>
Number of Premium
Contracts Amount
--------- --------
<S> <C> <C>
Balance at December 31, 1999....... -- $ --
Opened............................. 1,731 209,013
Expired............................ (273) (35,780)
Exercised.......................... (1) (110)
----- --------
Balance at June 30, 2000........... 1,457 $173,123
===== ========
</TABLE>
The following options written were outstanding for Series J for the period
ended June 30, 2000:
PUT OPTIONS WRITTEN
<TABLE>
<CAPTION>
Expiration Exercise Number of Market
Common Stock Date Price Contracts Value
------------ ---------- -------- --------- -----------
<S> <C> <C> <C> <C>
Engelhard Corporation....... 07/21/2000 17.50 1,571 $ (117,825)
Guilford Pharmaceuticals.... 07/21/2000 12.50 1,635 0
Hyperion Solutions
Corporation................ 07/21/2000 25.00 38 (238)
Lyondell Chemical Company... 07/21/2000 17.50 933 (99,131)
MBIA, Inc................... 07/21/2000 50.00 565 (148,312)
USX-Marathon Group.......... 07/21/2000 25.00 1,065 (59,906)
RCN Corporation............. 07/21/2000 20.00 150 (2,813)
Tidewater, Inc.............. 07/21/2000 30.00 907 0
Talbots, Inc................ 07/21/2000 50.00 562 (70,250)
Winn-Dixie Stores, Inc...... 07/21/2000 15.00 1,833 (183,300)
-----------
Total put options outstanding (premiums received, $1,196,624).. $ (681,775)
===========
</TABLE>
CALL OPTIONS WRITTEN
<TABLE>
<CAPTION>
Expiration Exercise Number of Market
Common Stock Date Price Contracts Value
------------ ---------- -------- --------- -----------
<S> <C> <C> <C> <C>
Apache Corporation.......... 07/21/2000 60.00 446 $ (111,500)
Anadarko Petroleum
Corporation................ 07/21/2000 55.00 484 (24,200)
Comverse Technology,
Inc. ...................... 07/21/2000 105.00 269 (30,263)
Internet Capital Group,
Inc. ...................... 07/21/2000 35.00 205 (89,687)
PerkinElmer, Inc. .......... 07/21/2000 55.00 465 (523,125)
Affymetrix, Inc. ........... 08/18/2000 150.00 212 (633,350)
Forest Oil Corporation...... 08/18/2000 15.00 39 (5,606)
-----------
Total call options outstanding (premiums received,
$1,248,216)................................................... $(1,417,731)
===========
</TABLE>
Transactions in options written for Series J for the period ended June 30,
2000 were as follows:
CALL OPTIONS WRITTEN
<TABLE>
<CAPTION>
Number of Premium
Contracts Amount
--------- ----------
<S> <C> <C>
Balance at December 31, 1999..... -- $ --
Opened........................... 4,375 1,730,506
Bought Back...................... (1,135) (350,396)
Expired.......................... (1,120) (183,486)
Exercised........................ -- --
------ ----------
Balance at June 30, 2000......... 2,120 $1,196,624
====== ==========
</TABLE>
PUT OPTIONS WRITTEN
<TABLE>
<CAPTION>
Number of Premium
Contracts Amount
--------- ----------
<S> <C> <C>
Balance at December 31, 1999..... -- $ --
Opened........................... 9,627 1,297,710
Bought Back...................... -- --
Expired.......................... -- --
Exercised........................ (368) (49,494)
------ ----------
Balance at June 30, 2000......... 9,259 $1,248,216
====== ==========
</TABLE>
--------------------------------------------------------------------------------
171
<PAGE> 173
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
JUNE 30, 2000
8. OPTIONS WRITTEN (CONTINUED)
Transactions in options written for Series Q for the period ended June 30,
2000 were as follows:
CALL OPTIONS WRITTEN
<TABLE>
<CAPTION>
Expiration Exercise Number of Market
Common Stock Date Price Contracts Value
------------ ---------- -------- --------- -------
<S> <C> <C> <C> <C>
Bell Microproducts,
Inc. ................. 07/21/2000 15.00 25 $ 7,188
Bell Microproducts,
Inc. ................. 07/21/2000 17.50 25 5,000
ESS Technology, Inc. ... 08/18/2000 15.00 17 3,187
Glenayre Technologies,
Inc. ................. 07/21/2000 25.00 25 625
JDA Software Group,
Inc. ................. 08/18/2000 20.00 20 4,125
Kforce.com.............. 09/15/2000 7.50 10 1,125
Modis Professions
Services.............. 07/21/2000 10.00 20 1,000
Modis Professions
Services.............. 07/21/2000 12.50 25 781
Tower Automotive........ 08/18/2000 12.50 25 2,969
Tower Automotive........ 08/18/2000 15.00 20 750
-------
Total call options outstanding (premiums received,
$35,518)................................................. $26,750
=======
</TABLE>
Transactions in options written for Series Q for the period ended June 30,
2000 were as follows:
CALL OPTIONS WRITTEN
<TABLE>
<CAPTION>
Number of Premium
Contracts Amount
--------- --------
<S> <C> <C>
Balance at December 31, 1999........ -- $ --
Opened.............................. 347 56,815
Bought Back......................... (130) (19,875)
Expired............................. (5) (1,422)
Exercised........................... -- --
---- --------
Balance at June 30, 2000............ 212 $ 35,518
==== ========
</TABLE>
PUT OPTIONS WRITTEN
<TABLE>
<CAPTION>
Number of Premium
Contracts Amount
--------- -------
<S> <C> <C>
Balance at December 31, 1999........ -- $ --
Opened.............................. 10 1,407
Bought Back......................... (10) (1,407)
Expired............................. -- --
Exercised........................... -- --
--- -------
Balance at June 30, 2000............ -- $ 0
=== =======
</TABLE>
The following options written were outstanding for the Series I for the
period ended June 30, 2000:
CALL OPTIONS WRITTEN
<TABLE>
<CAPTION>
Expiration Exercise Number of Market
Currency Date Price Contracts Value
-------- ---------- -------- --------- ------
<S> <C> <C> <C> <C>
British Sterling Pound..... 07/21/2000 1.50 275,000 $3,795
------
Total call options outstanding (premiums received, $2,695)...... $3,795
======
</TABLE>
Transactions in options written for Series I for the period ended June 30,
2000 were as follows:
CALL OPTIONS WRITTEN
<TABLE>
<CAPTION>
Number of Premium
Contracts Amount
---------- --------
<S> <C> <C>
Balance at December 31, 1999........ -- $ --
Opened.............................. 3,238,172 25,845
Bought Back......................... (525,000) (4,767)
Expired............................. (2,438,172) (18,383)
Exercised........................... -- --
---------- --------
Balance at June 30, 2000............ 275,000 $ 2,695
========== ========
</TABLE>
PUT OPTIONS WRITTEN
<TABLE>
<CAPTION>
Number of Premium
Contracts Amount
---------- -------
<S> <C> <C>
Balance at December 31, 1999........ -- $ --
Opened.............................. 2,405,000 9,288
Expired............................. (2,405,000) (9,288)
Exercised........................... -- --
---------- -------
Balance at June 30, 2000............ -- $ --
========== =======
</TABLE>
--------------------------------------------------------------------------------
172
<PAGE> 174
SHAREHOLDER UPDATE
JUNE 30, 2000
ANNUAL MEETING RESULTS
An annual meeting of the SBL Fund was held on January 26, 2000. Each matter
voted upon at that meeting, as well as the number of votes cast for, against or
withheld, and the number of abstentions with respect to such matters are set
forth below:
(1) The election of six directors to serve on the Board of Directors of the
Fund until the next annual meeting, if any, or until their successors shall have
been duly elected and qualified. The following votes were cast regarding this
matter.
<TABLE>
<CAPTION>
Votes
Votes Against/
Directors For Abstentions
--------- ----- -----------
<S> <C> <C>
Donald A. Chubb, Jr. ........... 211,226,219 3,545,505
John D. Cleland................. 211,224,165 3,547,560
Penny A. Lumpkin................ 211,251,662 3,520,063
Mark L. Morris,Jr............... 211,154,739 3,616,986
Maynard F. Oliverius............ 211,103,095 3,668,629
James R. Schmank................ 211,210,014 3,561,710
</TABLE>
(2) The ratification of Ernst & Young LLP as the independent accountants for
the Fund. The following votes were cast regarding this matter 206,779,305 for
and 7,992,419 against/abstentions.
(3) The approval of an arrangement and new investment advisory contract that
would permit Security Management Company, LLC, the Funds investment advisor,
with Board approval, to enter into or amend sub-advisory agreements without
stockholder approval. The following votes were cast regarding this matter:
<TABLE>
<CAPTION>
Votes
Votes Against/
For Abstentions
----- -----------
<S> <C> <C>
Series of SBL Fund
Series A....................... 34,408,433 5,217,554
Series B....................... 38,273,126 5,781,257
Series C....................... 10,415,554 1,907,045
Series D....................... 48,391,139 6,479,697
Series E....................... 10,841,223 1,534,037
Series H....................... 892,354 133,399
Series I....................... 174,211 44,829
Series J....................... 11,850,080 1,880,229
Series K....................... 1,117,956 92,005
Series M....................... 2,931,242 316,816
Series N....................... 5,218,957 557,804
Series O....................... 10,449,581 1,437,100
Series P....................... 868,045 54,710
Series S....................... 6,270,995 1,057,930
Series V....................... 2,202,275 200,958
Series X....................... 1,603,074 141,123
Series Y....................... 1,909,278 117,707
</TABLE>
(4) The approval of the Brokerage Enhancement Plan pursuant to Rule 12b-1
under the Investment Company Act of 1940, and a new investment advisory contract
that would permit the implementation of the Plan. The following votes were cast
regarding this matter:
<TABLE>
<CAPTION>
Votes
Votes Against/
For Abstentions
----- -----------
<S> <C> <C>
Series of SBL Fund
Series A....................... 34,896,229 4,729,758
Series B....................... 38,852,881 5,201,501
Series C....................... 10,568,970 1,753,629
Series D....................... 49,317,907 5,552,929
Series E....................... 10,951,981 1,423,279
Series H....................... 921,598 104,155
Series I....................... 174,211 44,829
Series J....................... 12,155,854 1,574,455
Series K....................... 1,140,958 69,004
Series M....................... 2,975,968 272,090
Series N....................... 5,258,990 517,771
Series O....................... 10,651,655 1,235,026
Series P....................... 875,390 47,365
Series S....................... 6,460,448 868,478
Series V....................... 2,182,905 220,328
Series X....................... 1,613,347 130,850
Series Y....................... 1,923,832 103,153
</TABLE>
(5) The approval of the proposed changed to SBL Fund's fundamental policies.
The following votes were cast regarding the following issues relating to the
fundamental policies:
a. To amend the Fund's fundamental investment limitation concerning share
ownership of any one issuer.
<TABLE>
<CAPTION>
Votes
Votes Against/
For Abstentions
----- -----------
<S> <C> <C>
Series of SBL Fund
Series A....................... 35,235,823 4,390,163
Series B....................... 39,183,289 4,871,093
Series C....................... 11,209,992 1,112,608
Series D....................... 49,297,056 5,573,780
Series E....................... 11,060,389 1,314,871
Series H....................... 912,776 112,976
Series I....................... 194,098 24,942
Series J....................... 12,142,536 1,587,773
Series K....................... 1,115,682 94,280
Series M....................... 3,001,140 246,917
Series N....................... 5,247,610 529,151
Series O....................... 10,764,222 1,122,459
Series P....................... 846,453 76,303
Series S....................... 6,406,067 922,858
Series V....................... 2,186,991 216,243
Series X....................... 1,622,121 122,076
Series Y....................... 1,948,642 78,343
</TABLE>
--------------------------------------------------------------------------------
173
<PAGE> 175
SHAREHOLDER UPDATE (CONTINUED)
JUNE 30, 2000
b. To eliminate the Fund's fundamental investment limitation concerning
investing for control of portfolio companies.
<TABLE>
<CAPTION>
Votes
Votes Against/
For Abstentions
---------- -----------
<S> <C> <C>
Series of SBL Fund
Series A....................... 35,294,074 4,331,913
Series B....................... 39,258,622 4,795,760
Series C....................... 11,240,922 1,081,678
Series D....................... 49,339,307 5,531,529
Series E....................... 11,094,421 1,280,839
Series H....................... 912,776 112,976
Series I....................... 195,206 23,834
Series J....................... 12,159,974 1,570,335
Series K....................... 1,124,405 85,556
Series M....................... 2,999,776 248,282
Series N....................... 5,239,002 537,759
Series O....................... 10,758,160 1,128,522
Series P....................... 853,530 69,225
Series S....................... 6,434,137 894,789
Series V....................... 2,179,637 223,597
Series X....................... 1,623,743 120,454
Series Y....................... 1,948,825 78,161
</TABLE>
c. To amend the Fund's fundamental investment limitation concerning
underwriting.
<TABLE>
<CAPTION>
Votes
Votes Against/
For Abstentions
----- -----------
<S> <C> <C>
Series of SBL Fund
Series A....................... 35,309,924 4,316,062
Series B....................... 39,238,798 4,815,585
Series C....................... 11,240,675 1,081,924
Series E....................... 11,081,921 1,293,338
Series J....................... 12,165,740 1,564,569
Series K....................... 1,130,141 79,821
Series M....................... 3,001,140 246,917
Series N....................... 5,247,552 529,209
Series O....................... 10,722,262 1,164,419
Series P....................... 853,530 69,225
Series S....................... 6,418,307 910,619
Series V....................... 2,188,385 214,849
Series X....................... 1,623,743 120,454
</TABLE>
d. To amend the Fund's fundamental investment limitation concerning
borrowing.
<TABLE>
<CAPTION>
Votes
Votes Against/
For Abstentions
---------- -----------
<S> <C> <C>
Series of SBL Fund
Series A....................... 34,982,217 4,643,769
Series B....................... 38,964,339 5,090,043
Series C....................... 11,168,588 1,154,011
Series E....................... 11,009,402 1,365,857
Series J....................... 12,107,798 1,622,511
Series S....................... 6,379,244 949,682
</TABLE>
e. To amend the Fund's fundamental investment limitation concerning
lending.
<TABLE>
<CAPTION>
Votes
Votes Against/
For Abstentions
---------- -----------
<S> <C> <C>
Series of SBL Fund
Series A....................... 35,070,583 4,555,403
Series B....................... 39,071,391 4,982,991
Series C....................... 11,204,077 1,118,522
Series E....................... 11,040,588 1,334,672
Series J....................... 12,103,542 1,626,767
Series K....................... 1,119,916 90,045
Series M....................... 2,982,236 265,821
Series N....................... 5,238,194 538,567
Series O....................... 10,644,523 1,242,158
Series P....................... 846,453 76,303
Series S....................... 6,376,532 952,394
Series V....................... 2,178,243 224,991
Series X....................... 1,622,121 122,076
</TABLE>
f. To eliminate the Fund's fundamental investment limitation concerning
short sales and margin purchases of securities.
<TABLE>
<CAPTION>
Votes
Votes Against/
For Abstentions
---------- -----------
<S> <C> <C>
Series of SBL Fund
Series A....................... 35,010,352 4,615,635
Series B....................... 38,936,144 5,118,238
Series C....................... 11,169,204 1,153,395
Series E....................... 11,012,868 1,362,392
Series J....................... 12,052,191 1,678,118
Series S....................... 6,369,203 959,723
</TABLE>
g. To eliminate the Fund's fundamental investment limitation concerning
investment in other investment companies.
<TABLE>
<CAPTION>
Votes
Votes Against/
For Abstentions
---------- -----------
<S> <C> <C>
Series of SBL Fund
Series A....................... 35,225,521 4,400,466
Series B....................... 39,273,160 4,781,222
Series C....................... 11,222,931 1,099,669
Series E....................... 11,090,832 1,284,428
Series J....................... 12,132,513 1,597,796
Series S....................... 6,413,763 915,163
</TABLE>
--------------------------------------------------------------------------------
174
<PAGE> 176
SHAREHOLDER UPDATE (CONTINUED)
JUNE 30, 2000
h. To amend the Fund's fundamental investment limitation concerning buying
or selling real estate.
<TABLE>
<CAPTION>
Votes
Votes Against/
For Abstentions
---------- -----------
<S> <C> <C>
Series of SBL Fund
Series A....................... 35,286,941 4,339,046
Series B....................... 39,175,360 4,879,023
Series C....................... 11,242,154 1,080,446
Series D....................... 49,324,492 5,546,344
Series E....................... 11,114,468 1,260,791
Series H....................... 912,776 112,976
Series I....................... 195,206 23,833
Series J....................... 12,155,443 1,574,866
Series K....................... 1,118,936 91,025
Series M....................... 2,998,509 249,548
Series N....................... 5,243,219 533,542
Series O....................... 10,746,630 1,140,052
Series P....................... 853,530 69,225
Series S....................... 6,406,507 922,419
Series V....................... 2,187,039 216,195
Series X....................... 1,621,127 123,071
Series Y....................... 1,946,798 80,188
</TABLE>
i. To amend the Fund's fundamental investment limitation concerning
commodities or commodity contracts.
<TABLE>
<CAPTION>
Votes
Votes Against/
For Abstentions
---------- -----------
<S> <C> <C>
Series of SBL Fund
Series A....................... 35,132,796 4,493,191
Series B....................... 39,085,048 4,969,334
Series C....................... 11,192,001 1,130,599
Series D....................... 49,084,706 5,786,130
Series E....................... 11,079,818 1,295,442
Series H....................... 912,776 112,976
Series I....................... 195,206 23,834
Series J....................... 12,123,176 1,607,133
Series K....................... 1,129,886 80,075
Series M....................... 2,999,321 248,736
Series N....................... 5,238,078 538,683
Series O....................... 10,660,332 1,226,349
Series P....................... 853,530 69,225
Series S....................... 6,419,333 909,593
Series V....................... 2,188,385 214,849
Series X....................... 1,625,661 118,536
Series Y....................... 1,948,886 78,100
</TABLE>
--------------------------------------------------------------------------------
175
<PAGE> 177
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, Chairman of the Board
James R. Schmank, President
Terry A. Milberger, Vice President
Cindy L. Shields, Vice President
Steven M. Bowser, Vice President
James P. Schier, Vice President
Thomas A. Swank, Vice President
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. LOGO]
PRESORTED
STANDARD
U.S. POSTAGE
PAID
CHICAGO, IL
PERMIT NO. 941
SDI 425A (6-00) 46-04250-01
