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SBL FUND
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ANNUAL REPORT
DECEMBER 31, 1999
- Series A (Growth Series)
- Series B
(Growth-Income Series)
- Series C
(Money Market Series)
- Series D
(Worldwide Equity Series)
- Series E
(High Grade Income Series)
- Series H
(Enhanced Index Series)
- Series I
(International Series)
- Series J (Mid Cap Series)
- Series K
(Global Strategic
Income Series)
- Series M
(Global Total
Return Series)
- Series N
(Managed Asset
Allocation Series)
- Series O
(Equity Income Series)
- Series P
(High Yield Series)
- Series S
(Social Awareness Series)
- Series V (Value Series)
- Series X (Small Cap Series)
- Series Y (Select 25 Series)
[LOGO] SECURITY DISTRIBUTORS, INC.
A Member of The Security Benefit
Group of Companies
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PRESIDENT'S LETTER
February 15, 2000
[PHOTO]
John Cleland
President
TO OUR CONTRACTHOLDERS:
With this report we welcome shareholders in five new series that have been added
to SBL Fund in the past year. The new investment options include the Select 25
Series which is managed by our own Terry Milberger, as well as the portfolios
managed by our two new subadvisory groups, Wellington Management Company, LLP
and Bankers Trust Company. We continue to expand our product line for investors
in our variable annuities, and expect to broaden our scope of offerings further
in the coming year.
OUTSTANDING PERFORMANCE BY SEVERAL SERIES
We were enormously pleased with the investment performance of the Small
Capitalization Series which is subadvised by Strong Capital Management Inc.
Additionally, outstanding results were produced by our subadvisory firm for the
Worldwide Equity Series, OppenheimerFunds, Inc. The Value Series and Midcap
Series also turned in great results for the year, and the new Select 25 Series
got off to a great start, gaining 23.70%(1) from its inception May 3, 1999
through the end of the year.
SOME PORTFOLIOS HAD A DIFFICULT YEAR
Reflecting the continued narrow focus in the equity markets, results were
disappointing for shareholders in the Growth and Income Series and in the Growth
Series as our lack of emphasis in technology penalized results for investors in
these two series. Investors in the High Grade Income Series saw share prices
weaken in 1999, the worst year on record for holders of intermediate- and
long-maturity bonds.
EXPECTATIONS FOR THE YEAR 2000
We expect the new year to bring a broadening in the equity markets as a result
of continuing global economic expansion which we expect will give more companies
an opportunity to improve their earnings. We believe we are nearing a peak in
long-term interest rates, bringing the light at the end of the tunnel into view
for fixed income investors.
On the following pages our portfolio managers will report on their individual
results and their strategies for the coming year. As always, we thank you for
the continued confidence you have expressed in us as represented by your
investment in SBL Fund. We invite your questions and comments at any time.
/s/ John Cleland
John Cleland, President
The Security Funds
(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.
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1
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SERIES A (GROWTH SERIES)
February 15, 2000
[PHOTO]
Terry Milberger
Senior Portfolio Manager
TO OUR CONTRACTHOLDERS:
The year just completed was one of the most unusual and most difficult on record
for portfolio managers who adhered to a traditional investment style of
selecting companies that exhibited steady growth in earnings over long periods
of time. In a year in which, on average, companies with no earnings outperformed
companies with earnings, this traditional management style produced at best only
modest results. The Growth Series of SBL Fund returned +8.14% in 1999, compared
with +21.03% for the benchmark Standard and Poor's 500 Stock Index and a +31.49%
gain for its Lipper peer group of funds.(1)
THE IMPORTANCE OF TECHNOLOGY STOCKS IN 1999
The greatest shortcoming in the portfolio in 1999 was its underweighting in
technology, the sector which contributed about 70% of the benchmark's overall
performance for the year. Because technology stocks had done so well in 1998,
valuations of these stocks were historically very high relative to growth stocks
in other sectors of the market. In addition to being concerned about valuation
levels which looked unattractive for investment at the beginning of 1999, we
were wary of the effects of computer century date change ("Y2K") problems on
orders for technology companies. Despite these concerns, technology stocks led
the markets in 1999.
In addition to an underweighting in the technology sector versus the benchmark
index, two companies which we did own in the sector were poor performers. Compaq
Computer Corporation lost 35% in value during the year primarily because of
earnings disappointments relative to expectations. Compaq's business plan was
faulty as the company continued to avoid selling to the direct markets, an area
in which other companies excelled. The second stock, Xerox Corporation, fell
over 60% in 1999 on earnings disappointments also. The company's traditional
copiers are being used less as companies make wider use of printers connected to
computers. Xerox is now shifting its focus to the printer market, but the change
came too late in the year to boost the stock price.
RISING INTEREST RATES HURT THE FINANCIAL SECTOR
Our overweighting in financial stocks relative to the benchmark index also hurt
performance. As interest rates climbed throughout the year interest-sensitive
stocks declined in value. We held stocks of mortgage lenders Fannie Mae and
Freddie Mac, companies whose business volume is heavily tied to the direction of
interest rates. Other more diversified financial companies whose earnings are
tied in part to the well-being of the stock markets were better performers.
SOME GOOD PERFORMERS ALSO
The best performing stock in the Growth Series during the year was Sprint
Corporation (PCS Group) in the telecommunications sector. This stock rose
steadily throughout the year on the strength of its cellular communications
business, gaining 363% to become the second-best stock in the S&P 500 Stock
Index. (The best performer was Qualcomm Inc., not a portfolio holding, which was
added to the index during the year.) Computer company Sun Microsystems, Inc.
gained 260%. Microsoft Corporation rose 68%, not even qualifying as a top 30
stock in the index--in order to make this list a stock had to rise 100% or more.
ADHERING TO TRADITIONAL STYLE, WITH MODIFICATIONS
Our traditional style of stock selection led us to many good companies which in
1999 were bad stocks. These included well-known companies like retail drugstore
company Walgreen Company and pharmaceutical manufacturer Bristol-Myers Squibb
Company. While we believe selecting companies which have displayed the ability
to generate good earnings consistently will be a winning style over the long
term, we realize that new eras in markets call for some modifications to
standard practices.
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2
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SERIES A (GROWTH SERIES)
February 15, 2000
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AVERAGE ANNUAL TOTAL RETURN
AS OF DECEMBER 31, 1999(1)
1 Year 5 Years 10 Years
Series A 8.14% 23.98% 16.14%
(1) Performance figures do not reflect fees and expenses associated with an
investment in variable insurance products offered by Security Benefit Life
Insurance Company. Shares of a Series of SBL Fund are available only
through the purchase of such products.
The performance data quoted above represents past performance. Past
performance is not predictive of future performance. The investment return
and principal value of an investment will fluctuate so that an investor's
shares, when redeemed, may be worth more or less than their original cost.
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In the year to come, we plan to add more names to the portfolio, bringing the
total number of holdings to a range between 120 and 130 stocks, in order to
minimize the effect of any single stocks that might underperform. We plan to
emphasize growth-oriented stocks and to have more exposure in the higher-growth
areas of the economy, more closely paralleling these qualities in the benchmark
S&P 500 Stock Index. While not deserting the techniques which have served us so
well in the past, we believe these modifications will enable the portfolio to
generate returns more reflective of overall market performance in the year
ahead.
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.
[ GRAPH ]
SERIES A VS. S&P 500
DATE SBL Fund Series A S&P 500
- ---- ----------------- -------
DEC 89 10,000.0000 10,000
MARCH 90 9,612.3077 9,698
JUNE 90 10178.4615 10,308
SEPT 90 8365.5522 8,887
DEC 90 9015.5074 9,683
MARCH 91 10601.9571 11,093
JUNE 91 10601.9571 11,070
SEPT 91 11232.8764 11,665
DEC 91 12270.8511 12,641
MARCH 92 12420.1488 12,318
JUNE 92 12256.6323 12,560
SEPT 92 12282.1930 12,950
DEC 92 13636.1355 13,610
MARCH 93 14327.9853 14,194
JUNE 93 14171.7611 14,267
SEPT 93 15036.4356 14,631
DEC 93 15505.8352 14,970
MARCH 94 14973.8490 14,399
JUNE 94 14723.5025 14,458
SEPT 94 15449.7213 15,170
DEC 94 15249.5707 15,166
MARCH 95 16650.6250 16,642
JUNE 95 18232.7679 18,221
SEPT 95 19646.0823 19,670
DEC 95 20855.9874 20,842
MARCH 96 22383.2447 21,975
JUNE 96 23355.1357 22,967
SEPT 96 24271.4988 23,670
DEC 96 25587.1698 25,651
MARCH 97 25608.2205 26,322
JUNE 97 29881.5200 30,927
SEPT 97 32374.9283 33,254
DEC 97 32935.2421 34,210
MARCH 98 37676.7841 38,982
JUNE 98 38882.0556 40,270
SEPT 98 34314.0769 36,267
DEC 98 41304.6511 43,987
MARCH 99 42020.5580 46,177
JUNE 99 44178.0314 49,431
SEPT 99 40327.1922 46,344
DEC 99 44665.2387 53,239
$10,000 Over Ten Years
The chart above assumes a hypothetical $10,000 investment in Series A (Growth
Series) on December 31, 1989, and reflects the fees and expenses of Series A. On
December 31, 1999, the value of the investment (assuming reinvestment of all
dividends and distributions) would have grown to $44,665. By comparison, the
same $10,000 investment would have grown to $53,239 based on the S&P 500 Index's
performance.
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SERIES B (GROWTH-INCOME SERIES)
February 15, 2000
[PHOTO]
Mike A. Petersen
Senior Portfolio Manager
TO OUR CONTRACTHOLDERS:
1999 was a difficult year for low-risk strategies such as value, income, and a
focus on low-beta stocks. The Growth-Income Series returned 1.50% for the year,
compared with its Lipper peer group average of 14.51%.(1) The greatest negative
factor in our portfolio performance was an underweighting in technology stocks
compared with our peer funds and the benchmark S&P 500 Stock Index.
ENERGY STOCKS PERFORMED WELL
An overweighting in the energy sector served us well as oil prices doubled over
the course of the year. The price increase began when the Organization of
Petroleum Exporting Countries (OPEC) voted early in the year to limit production
of oil. As compliance with OPEC's established quotas became evident, oil prices
continued their climb.
We realized strong performance from oil service company stocks including
Halliburton Company, Schlumberger Ltd., and Baker Hughes, Inc. Apache
Corporation in the exploration and production side of the sector also did well.
We expect oil prices to move a bit higher in 2000, and believe our holdings in
the energy sector will continue to do well in the coming months.
OTHER POSITIVES FOR THE YEAR
Many basic materials companies saw their stock values rise as the global
economic recovery raised demand for their products. USX-U.S. Steel Group, Inc.
rose 44% on the increased demand for its goods as well as on favorable legal
decisions in antidumping court cases. Integrated forest products company,
Champion International Corporation and paper producer, International Paper
Company, also benefited from greater demand.
Merger and acquisition activity was heavy in 1999 as companies sought to boost
earnings through economies of scale. Among our natural gas industry holdings
Sonat, Inc. was acquired by El Paso Energy Corporation, and MCN Energy Group,
Inc. was purchased by DTE Energy Company.
TRADITIONAL STOCK SELECTION STYLES DIDN'T WORK
The greatest detractor to performance in 1999 turned out to be the same factor
that has served us well in past years. The "growth at a reasonable price" style
of stock selection--estimating a company's growth potential over the next two
years and determining an appropriate present value for its stock--didn't work in
a year in which momentum was the favorite catch word. A valuation orientation of
stock selection led portfolio managers who followed such a discipline to stocks
in many market sectors that underperformed for the year.
Additionally, the markets in 1999 were narrowly based, with technology stocks
and a few large cap companies garnering much of the attention. In fact, the
January 14, 2000 issue of the Wall Street Journal reported that if all tech
stocks were removed from the S&P 500 Stock Index, its return would have fallen
to 3.1% last year from its actual 21.03% return. In narrow markets such as this,
a portfolio that is well diversified in order to spread the risk will generally
underperform.
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SERIES B (GROWTH-INCOME SERIES)
February 15, 2000
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AVERAGE ANNUAL TOTAL RETURN
AS OF DECEMBER 31, 1999(1)
1 Year 5 Years 10 Years
Series B 1.50% 16.33% 12.23%
(1) Performance figures do not reflect fees and expenses associated with an
investment in variable insurance products offered by Security Benefit Life
Insurance Company. Shares of a Series of SBL Fund are available only through
the purchase of such products.
The performance data quoted above represents past performance. Past
performance is not predictive of future performance. The investment return
and principal value of an investment will fluctuate so that an investor's
shares, when redeemed, may be worth more or less than their original cost.
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We are optimistic in our outlook for 2000 for traditionally managed portfolios.
As the year begins stock market sentiment is high, margin debt is high, and cash
levels are low. This confluence of conditions often occurs shortly before a
market correction. If such a correction materializes, growth and income
portfolios may outperform because of their generally more defensive nature. If
the technology sector experiences a correction we plan to seek out more
reasonably valued tech stocks to add to the portfolio at that time, positioning
for their move upward when the correction is complete.
Michael A. Petersen
Senior Portfolio Manager
(1) Performance figures do not reflect fees and expenses associated with an
investment in variable insurance products offered by Security Benefit Life
Insurance Company. Shares of a Series of SBL Fund are available only through the
purchase of such products.
[ GRAPH ]
Series B vs. S&P 500 &
S&P 500/BARRA Value Index
Date SBL Fund Series B S&P 500 S&P 500/BARRA Value Index
- ---- ----------------- ------- -------------------------
DEC 89 10,000 10,000 10,000
MARCH 90 9821.8263 9,698 9,678
JUNE 90 10062.3608 10,308 10,634
SEPT 90 9276.9647 8,887 9,098
DEC 90 9555.9356 9,683 10,020
MARCH 91 10832.5821 11,093 11,670
JUNE 91 11059.5415 11,070 11,583
SEPT 91 12200.8004 11,665 12,320
DEC 91 13161.5706 12,641 13,865
MARCH 92 13053.7290 12,318 13,145
JUNE 92 12543.9326 12,560 13,111
SEPT 92 13173.1584 12,950 13,704
DEC 92 13989.5515 13,610 14,567
MARCH 93 14574.1293 14,194 14,495
JUNE 93 14725.3132 14,267 14,197
SEPT 93 15300.8393 14,631 14,191
DEC 93 15331.7814 14,970 14,812
MARCH 94 14877.9648 14,339 14,172
JUNE 94 14346.7931 14,458 14,159
SEPT 94 14873.3458 15,170 15,171
DEC 94 14873.3458 15,166 15,275
MARCH 95 15837.2552 16,642 16,775
JUNE 95 17210.2657 18,221 18,510
SEPT 95 18456.3561 19,670 19,978
DEC 95 19345.2698 20,842 21,099
MARCH 96 20570.3753 21,975 22,011
JUNE 96 21259.8532 22,967 23,555
SEPT 96 22158.8271 23,670 24,384
DEC 96 22876.1295 25,651 26,156
MARCH 97 23069.9550 26,322 27,090
JUNE 97 26410.9438 30,927 32,578
SEPT 97 27915.4447 33,254 34,494
DEC 97 28938.0140 34,210 35,706
MARCH 98 32188.4975 38,982 41,512
JUNE 98 31176.7246 40,270 43,944
SEPT 98 28392.3882 36,267 40,759
DEC 98 31223.7838 43,987 50,755
MARCH 99 31287.1150 46,177 54,249
JUNE 99 35756.7028 49,431 56,329
SEPT 99 31962.7503 46,344 54,367
DEC 99 31689.8976 53,239 65,103
$10,000 Over Ten Years
The chart above assumes a hypothetical $10,000 investment in Series B
(Growth-Income Series) on December 31, 1989, and reflects the fees and expenses
of Series B. On December 31, 1999, the value of the investment would have grown
to $31,690. By comparison, the same $10,000 investment would have grown to
$53,239 based on the S&P 500 Index's performance. Beginning January 1, 2000 the
primary benchmark will be the S&P 500/BARRA Value Index. By comparison, the same
$10,000 investment would have grown to $41,757 based on the S&P 500/BARRA Value
Index.
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SERIES C (MONEY MARKET SERIES)
February 15, 2000
TO OUR CONTRACTHOLDERS:
A market climate in which the Federal Reserve Bank's policy-making Open Market
Committee elects to raise short-term interest rates is a climate in which money
market funds can excel. The Money Market Series' positive return of 4.63% for
the year is close to its Lipper peer group average of 4.75% and led the
performance of the fixed income funds in the Security Fund family.(1)
SHORTER AVERAGE MATURITY IS A BENEFIT
In periods of rising interest rates we try to maintain a shorter-than-average
maturity structure. At the end of the year, for example, the average maturity of
the Money Market Series was 31 days, compared with 48 days for the benchmark IBC
Financial Data, Inc. money market fund average. The maturities of our holdings
are "laddered," with securities maturing almost daily. Thus, when rates are
rising we can quickly adjust the average maturity of the portfolio by
reinvesting the proceeds of maturing securities each day at the new higher
rates. Should interest rates begin to fall we would reinvest the proceeds in
securities with slightly longer maturities in order to hold the current rates as
long as possible.
ADJUSTABLE RATE SECURITIES ALSO BENEFIT
Some of our portfolio holdings have adjustable interest rates that reset
periodically--typically monthly--to reflect current levels. These securities
also help keep the overall portfolio return competitive by reacting quickly to
changes in market levels of rates. Our funding agreements as well as some of the
Federal agency securities in the portfolio have this type of adjustable rate
mechanism.
ASSET MIX AT YEAR END
The commercial paper in the portfolio has been reduced in favor of broader
diversification and increased amounts of the floating rate issues described
above. Commercial paper at year end made up 67.3% of portfolio holdings, with
Federal agency discount notes adding 11.7%, other Federal Agency securities
8.6%, SBA issues 6.7%, and funding agreements 5.8%. This asset mix is more
broadly diversified than in previous years, giving us more flexibility to adjust
in periods such as the current environment of rising interest rates.
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AVERAGE ANNUAL TOTAL RETURN
AS OF DECEMBER 31, 1999(1)
1 Year 5 Years 10 Years
Series C 4.63% 5.09% 4.85%
(1) Performance figures do not reflect fees and expenses associated with an
investment in variable insurance products offered by Security Benefit Life
Insurance Company. Shares of a Series of SBL Fund are available only through
the purchase of such products.
The performance data quoted above represents past performance. Past
performance is not predictive of future performance. The investment return
and principal value of an investment will fluctuate so that an investor's
shares, when redeemed, may be worth more or less than their original cost.
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OUTLOOK FOR THE YEAR AHEAD
We expect the Federal Open Market Committee to continue increasing interest
rates in the first quarter of 2000, and possibly into the second quarter if
economic growth fails to slow to their desired 3% to 3.5% level. We believe Fed
Chairman Alan Greenspan has done an excellent job of keeping inflation under
control, and as global economies recover and put upward pressure on prices of
basic commodities and of goods imported into the United States, Dr. Greenspan
will surely continue his vigilance and adjust rates as conditions dictate. If
rates continue to rise we will manage portfolio holdings to capitalize on more
attractive investment opportunities as they become available.
Fixed Income Team
(1) Performance figures do not reflect fees and expenses associated with an
investment in variable insurance products offered by Security Benefit Life
Insurance Company. Shares of a Series of SBL Fund are available only through
the purchase of such products.
An investment in Series C is not insured or guaranteed by the Federal
Deposit Insurance Corporation or any other government agency and does not
attempt to maintain a stable net asset value at $1.00 per share.
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SERIES D (WORLDWIDE EQUITY SERIES)
February 15, 2000
SUBADVISOR, OPPENHEIMERFUNDS, INC.
[OPPENHEIMERFUNDS (R) LOGO] PORTFOLIO MANAGER, WILLIAM L. WILBY
[PHOTO]
William L. Wilby
Portfolio Manager
TO OUR CONTRACTHOLDERS:
The Worldwide Equity Series of SBL Fund had outstanding performance in 1999,
returning 53.67% versus the average return for its Lipper peer group of
44.18%.(1) The benchmark Morgan Stanley Capital International World Index in
U.S. dollars returned 23.56% for the year.
FACTORS THAT PRODUCED OUTSTANDING RETURNS
We attribute the Series' excellent performance during the reporting period to
our disciplined stock selection strategy. By identifying trends such as
technological change and restructuring that are propelling global growth, we
have been able to take advantage of strong individual companies that have played
important roles in enabling this growth.
In addition, the global financial markets rebounded quickly and dramatically
after 1998's declines. In large part, the markets' recovery was the result of
actions taken by central banks worldwide as the crisis unfolded last year. The
recovery was also enhanced by an increase in corporate earnings. Certain key
sectors of the global markets, including the energy and semiconductor
industries, began to recover after experiencing recession-like conditions for
several years. Higher oil prices and robust demand for microchips helped fuel a
rebound in those sectors, which positively influenced the entire marketplace.
PERFORMANCE OF MARKETS IN ASIA, EUROPE AND THE U.S.
The Asian markets rebounded strongly in early 1999 as the fear of depression
eased and economies stabilized. Within Asia, Japan's stock market has had a
particularly good year, driven by the widespread belief that the Japanese
economy has stabilized.
The advance in European markets paused during the first several months of 1999
as the region adjusted to a new currency, the euro, which remains weak relative
to the U.S. dollar. In the United States, stocks as a whole have performed very
well, with the greatest returns coming from technology and economically
sensitive businesses such as oil companies and other manufacturers of basic
materials.
INVESTMENT FOCUS DURING THE YEAR
Throughout the reporting period we generally maintained our focus on companies
based in Europe and the United States. It is important to note, however, that
this strategy was not so much a reaction to broad economic or market trends as
it was a result of our disciplined, bottom-up stock selection strategy. We
choose investments one company at a time by evaluating their prospects in the
context of long-term growth trends.
OUTLOOK FOR THE COMING YEAR
With regard to our outlook over the coming months, we currently see little
reason for global stock markets to either rise or fall substantially from
current levels. On one hand, most global economies are either stable or growing,
and we see little likelihood of an economic collapse in any major markets. On
the other hand, valuations of many growth companies remain quite
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SERIES D (WORLDWIDE EQUITY SERIES)
February 15, 2000
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AVERAGE ANNUAL TOTAL RETURN
AS OF DECEMBER 31, 1999(1)
1 Year 5 Years 10 Years
Series D 53.67% 20.67% 11.37%
(1) Performance figures do not reflect fees and expenses associated with an
investment in variable insurance products offered by Security Benefit Life
Insurance Company. Shares of a Series of SBL Fund are available only through
the purchase of such products.
The performance data quoted above represents past performance. Past
performance is not predictive of future performance. The investment return
and principal value of an investment will fluctuate so that an investor's
shares, when redeemed, may be worth more or less than their original cost.
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high, which should help prevent markets from rising much further. As a result,
we continue to believe that the greatest returns are likely to be achieved by
focusing on individual companies rather than overall markets.
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, non-uniform accounting practices and political instability,
not associated with investing exclusively in the U.S.
Series D vs. MSCI World Index &
Lehman Brothers High Yield Index
Date SBL Fund Series D MSCI World Index Lehman Brothers High-Yield Index
- ---- ----------------- ---------------- --------------------------------
DEC 89 10,000 10,000 10,000
MARCH 90 9127.1057 8,578 9,835
JUNE 90 9203.6753 9,283 10,249
SEPT 90 8505.5575 7,600 9,202
DEC 90 7727.0167 8,348 9,041
MARCH 91 8349.8493 9,181 10,913
JUNE 91 8096.8236 8,883 11,718
SEPT 91 8555.7529 9,522 12,543
DEC 91 8711.7171 9,933 13,217
MARCH 92 8488.9110 9,134 14,194
JUNE 92 8622.5947 9,312 14,584
SEPT 92 8218.5168 9,481 15,151
DEC 92 8489.4569 9,471 15,298
MARCH 93 9392.5906 10,297 16,227
JUNE 93 9866.7358 10,936 16,911
SEPT 93 10557.5638 11,463 17,263
DEC 93 11167.9583 11,662 17,918
MARCH 94 11258.3871 11,747 17,569
JUNE 94 11461.8520 12,113 17,510
SEPT 94 11879.9260 12,388 17,786
DEC 94 11472.6143 12,313 17,735
MARCH 95 11359.4721 12,906 18,793
JUNE 95 11676.2701 13,472 19,937
SEPT 95 12307.1298 14,241 20,500
DEC 95 12718.8925 14,935 21,135
MARCH 96 13565.2936 15,561 21,509
JUNE 96 14320.1919 16,029 21,866
SEPT 96 14526.6999 16,260 22,741
DEC 96 14940.3581 17,025 23,536
MARCH 97 15329.6834 17,092 23,799
JUNE 97 16838.3189 19,685 24,907
SEPT 97 17432.5109 20,268 26,039
DEC 97 15904.2521 19,788 26,544
MARCH 98 18276.7817 22,642 27,437
JUNE 98 18050.0930 23,123 27,740
SEPT 98 16151.5746 20,371 26,477
DEC 98 19098.5285 24,694 27,040
MARCH 99 19531.1262 25,596 27,540
JUNE 99 21289.8532 26,841 27,637
SEPT 99 21752.6761 26,463 27,245
DEC 99 29348.5392 30,952 27,691
$10,000 Over Ten Years
The chart above assumes a hypothetical $10,000 investment in Series D (Worldwide
Equity Series) on December 31, 1989, and reflects the fees and expenses of
Series D. On December 31, 1999, the value of the investment (assuming
reinvestment of all dividends and distributions) would have grown to $29,349. By
comparison, the same $10,000 investment would have grown to $30,952 based on the
MSCI Index's performance.
For the period of December 31, 1989 through April 30, 1991, the investment
objective of Series D was to seek high current income by investing primarily in
higher yielding, higher risk debt securites. For this period, the Lehman Brother
High Yield Index was the appropriate benchmark index. Effective May 1, 1991, the
investment objective of Series D was changed to seek long-term growth of capital
primarily through investment in common stocks and equivalents of companies
through investment in common stocks and equivalents of companies domiciled in
foreign countries and the United States. The appropriate benchmark index from
that date is the Morgan Stanley Capital International World Index.
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SERIES E (HIGH GRADE INCOME SERIES)
February 15, 2000
[PHOTO]
Steven M. Bowser
Portfolio Manager
TO OUR CONTRACTHOLDERS:
In the year just completed the High Grade Income Series of SBL Fund generated a
total return of -3.77%, compared with its Lipper peer group average return of
- -1.94%.(1) The benchmark Lehman Brothers Government/Corporate Bond Index
returned -2.15% for the year.
A DIFFICULT YEAR FOR FIXED INCOME
The year just completed was the worst year on record for fixed income
investments. The total return on the thirty-year U.S. Treasury bond was -14.9%,
while the ten-year Treasury note didn't fare much better, falling 8.4%. The
yield on the thirty-year bond rose from 5.09% at the close of 1998 to 6.48% on
December 31, 1999. The fear of inflation is a bond investor's worst enemy, and
although inflation has been benign for the past three years the Federal
Reserve's policy making Open Market Committee (FOMC) has kept bond markets
nervous with its series of interest rate increases designed to forestall
inflation's emergence.
SOME FIXED INCOME MARKET SEGMENTS EXPERIENCED LESS DAMAGE
The high yield sector of the bond market experienced the least damage. At the
end of the year the High Grade Income Series held 17% of its assets in this
sector. Since high yield bonds tend to follow the stock markets more closely
than they follow interest rate movements, they were a positive factor in the
portfolio in 1999.
Mortgage-backed securities are also defensive instruments when interest rates
are rising. If rates are declining, mortgage holders are inclined to refinance
their mortgages to take advantage of lower interest rates. This causes more
rapid paydowns of principal in the mortgage-backed securities, decreasing their
attractiveness to investors. But as interest rates rise this refinancing
activity slows, and the securities will generally increase in value as
prepayments diminish. Fifteen percent of the assets of the Series were invested
in mortgage-backed securities issued primarily by Fannie Mae and Freddie Mac
home lending agencies.
In the corporate sector financial company bonds also performed well. We owned
several names in this area, including Countrywide Capital, General Electric
Capital Corporation, Merrill Lynch & Company, Inc. and Morgan Stanley, Dean
Witter, Discover, & Company among others. However, we held a smaller weight in
the financial sector than is represented in the benchmark index.
THE DETRACTORS FROM TOTAL RETURN
Our longer-maturity Federal agency debentures were the weakest performers in the
portfolio when the long end of the fixed income maturity structure suffered
sharp losses. A good deal of damage was done in the ten-year portion of the
maturity curve as well, as issuance of new securities was concentrated heavily n
this area throughout the year.
Certain portions of the corporate bond market performed poorly as well.
Companies in the consumer noncyclical sector of the market tend to do well when
the economy slows, but may underperform in periods of economic strength such as
we have seen recently in the U.S. Bonds which we own that are issued by
companies included in this sector, for example, are food & beverage-related
companies such as Anheuser-Busch Companies, Inc., Pepsi Bottling Holdings, Inc.,
Archer-Daniels-Midland Company, and ConAgra, Inc. We added some of these names
when we felt economic growth would slow in response to actions taken by the
Federal Reserve. That slowdown has yet to materialize.
- -------------------------------------------------------------------------------
9
<PAGE> 11
SERIES E (HIGH GRADE INCOME SERIES)
February 15, 2000
- -------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
AS OF DECEMBER 31, 1999(1)
1 Year 5 Years 10 Years
Series E (3.77%) 6.13% 6.59%
(1) Performance figures do not reflect fees and expenses associated with an
investment in variable insurance products offered by Security Benefit Life
Insurance Company. Shares of a Series of SBL Fund are available only through
the purchase of such products.
The performance data quoted above represents past performance. Past
performance is not predictive of future performance. The investment return
and principal value of an investment will fluctuate so that an investor's
shares, when redeemed, may be worth more or less than their original cost.
- -------------------------------------------------------------------------------
OUTLOOK FOR THE COMING YEAR
We expect the Federal Reserve's Open Market Committee to increase its target
interest rates one or two more times in the first half of 2000. These rate hikes
should finally have the desired effect of bringing about a moderate slowdown in
economic growth in the U.S. While fixed income instruments will continue to
experience difficulties as rates rise, we believe these pressures will ease in
the second half of the year, allowing bonds to once again be attractive
investments.
Steven M. Bowser
Portfolio Manager
(1) Performance figures do not reflect fees and expenses associated with an
investment in variable insurance products offered by Security Benefit Life
Insurance Company. Shares of a Series of SBL Fund are available only through
the purchase of such products.
[GRAPH]
Series E vs. Lehman Brothers
Government/Corporate Index &
Lehman Brothers Corporate Bond Index
Lehman Brothers Government/ Lehman Brothers
Date SBL Fund Series E Corporate Index Corporate Bond Index
- ---- ----------------- --------------------------- ---------------------
DEC 89 10,000 10,000 10,000
MARCH 90 9896.9957 9,886 9,913
JUNE 90 10309.0129 10,242 10,299
SEPT 90 10230.6417 10,304 10,297
DEC 90 10669.4896 10,829 10,706
MARCH 91 11026.0535 11,121 11,163
JUNE 91 11218.0495 11,289 11,385
SEPT 91 11846.2552 11,939 12,053
DEC 91 12478.9639 12,576 12,688
MARCH 92 12323.2202 12,387 12,596
JUNE 92 12790.4513 12,889 13,143
SEPT 92 13315.1545 13,518 13,764
DEC 92 13407.8354 13,528 13,791
MARCH 93 14200.7719 14,159 14,487
JUNE 93 14695.0700 14,584 14,971
SEPT 93 15341.8545 15,068 15,492
DEC 93 15100.7682 15,024 15,468
MARCH 94 14410.3847 14,552 14,924
JUNE 94 13983.0045 14,372 14,689
SEPT 94 13980.3767 14,444 14,797
DEC 94 14053.5724 14,497 14,861
MARCH 95 14724.5329 15,219 15,741
JUNE 95 15468.6890 16,206 16,912
SEPT 95 15812.5544 16,516 17,311
DEC 95 16667.9877 17,286 18,166
MARCH 96 16084.7377 16,882 17,697
JUNE 96 16084.7377 16,961 17,776
SEPT 96 16424.4733 17,261 18,131
DEC 96 16548.5877 17,788 18,762
MARCH 97 16369.3113 17,635 18,573
JUNE 97 17003.6739 18,275 19,339
SEPT 97 17673.7567 18,916 20,096
DEC 97 18208.8746 19,523 20,682
MARCH 98 18479.3452 19,820 20,999
JUNE 98 18906.8879 20,338 21,541
SEPT 98 19635.2939 21,345 22,323
DEC 98 19666.9638 21,371 22,458
MARCH 99 19390.6480 21,116 22,300
JUNE 99 19088.1942 20,886 21,950
SEPT 99 19104.9972 20,998 22,014
DEC 99 18925.7494 20,912 22,023
$10,000 Over Ten Years
The chart above assumes a hypothetical $10,000 investment in Series E (High
Grade Income Series) on December 31, 1989, and reflects the fees and expenses of
Series E. On December 31, 1999, the value of the investment (assuming
reinvestment of all dividends and distributions) would have grown to $18,926. By
comparison, the same $10,000 investment would have grown to $20,912 based on the
Lehman Brothers Government/Corporate Index's performance, and $22,023 based on
the Lehman Brothers Corporate Bond Index.
- --------------------------------------------------------------------------------
10
<PAGE> 12
SERIES H (ENHANCED INDEX SERIES)
February 15, 2000
BANKERS TRUST
TO OUR CONTRACTHOLDERS:
The Enhanced Index Series began operations May 3, 1999. The core portfolio is
designed to contain at least 80% of the companies represented in the Standard
and Poor's 500 Stock Index. Through the use of Bankers Trust's proprietary
screening process we select approximately one-fourth of these core stocks which
in our view have above-average potential for appreciation in the coming months,
and another one-fourth with less than average potential. We overweight or
underweight these stocks accordingly, striving to add extra value above the
return of the S&P 500 Stock Index itself.
We were successful in achieving this goal in the 1999 period since inception of
the Series. The portfolio generated a total return of +12.32% over the period,
compared with the 11% return of the S&P 500 Index.(1)
POSITIVE INFLUENCES ON RETURN
The U.S. equity market ended the year on a high note, surging ahead
substantially in the final two weeks of trading. This last-minute jump in equity
prices helped propel the S&P 500 Index to its fifth straight year of returns in
excess of 20%.
The Series benefited from the dramatic increase in U.S. merger and acquisition
activity which continued at high levels throughout the year as corporations
searched for additional ways to cut costs through economies of scale. As these
mergers were announced the stock prices of the companies involved often jumped
sharply. Additionally, forty-one changes to the benchmark index through
additions of new companies or deletions of existing companies gave boosts to
many of those names as well.
We believe our use of our proprietary screens were the primary reason for our
favorable performance. We consider overweighting a stock when one or more of the
following shows up on our screens: a company reports a positive earnings
surprise, a company becomes an acquisition target, a company is added to the S&P
500 Index, a stock has a high dividend yield or a zero dividend yield (if
research shows that the company uses the funds for internal investment), or a
stock's price shows significant value based on options pricing techniques.
We consider underweighting a stock if the company has a negative earnings
surprise, if a company issues a seasoned equity offering (as opposed to an
initial public offering of stock), or if financials show downward momentum. If
none of these positive or negative screens applies, we usually hold a neutral
position in the stock.
OUR OUTLOOK FOR COMING PERIODS
The central scenario for the U.S. in our view over the next few years is
distinctly less rosy than recent outcomes. We expect growth of U.S. Gross
Domestic Product (GDP) to slow gradually over the next year or two, accompanied
by a mild pickup in inflation, somewhat slower growth in corporate profits, and
a continuation of the recent backup in interest rates. In this context we think
that the U.S. equity markets are likely to be much less ebullient than in recent
years, though we do not anticipate a sharp correction.
We expect the markets to continue to generate positive returns (although less
than in recent years) largely because the macroeconomic backdrop we envision for
the U.S., though clearly not as spectacular as the "nirvana" of the past few
years, is still upbeat by historical standards. We believe the economy will
shift to a less favorable cyclical phase, but we still see it retaining many of
the structural improvements that have taken place in recent years.
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. The return has been calculated from May 3,
1999, (date of inception) to December 31, 1999 and is not annualized.
- -------------------------------------------------------------------------------
11
<PAGE> 13
SERIES H (ENHANCED INDEX SERIES)
February 15, 2000
- -------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
AS OF DECEMBER 31, 1999(1)
Since Inception
(5-3-99)
Series H 12.32%
(1) Performance figures do not reflect fees and expenses associated with an
investment in variable insurance products offered by Security Benefit Life
Insurance Company. Shares of a Series of SBL Fund are available only through
the purchase of such products.
The performance data quoted above represents past performance. Past
performance is not predictive of future performance. The return has been
calculated from May 3, 1999, (date of inception) to December 31, 1999 and is
not annualized. The investment return and principal value of an investment
will fluctuate so that an investor's shares, when redeemed, may be worth
more or less than their original cost.
- -------------------------------------------------------------------------------
[GRAPH]
Series H vs. S&P 500
Date SBL Fund Series H S&P 500
- ---- ----------------- --------
May 99 10,000.00 10,000
May 99 9,740.00 9,764
June 99 10,330.00 10,306
July 99 9,980.00 9,984
Aug 99 9,940.00 9,934
Sept 99 9,700.00 9,662
Oct 99 10,330.00 10,274
Nov 99 10,560.00 10,482
Dec 99 11,231.86 11,099
$10,000 Since Inception
The chart above assumes a hypothetical $10,000 investment in Series H (Enhanced
Index Series) on May 3, 1999 (date of inception), and reflects the fees and
expenses of Series H. On December 31, 1999, the value of the investment
(assuming reinvestment of all dividends and distributions) would have been
$11,232. By comparison, the same $10,000 investment would have grown to $11,099
based on the S&P 500.
- -------------------------------------------------------------------------------
12
<PAGE> 14
SERIES I (INTERNATIONAL SERIES)
February 15, 2000
BANKERS TRUST
TO OUR CONTRACTHOLDERS:
[PHOTO]
Michael Levy
Portfolio Manager
[PHOTO]
Robert Reiner
Portfolio Manager
[PHOTO]
Julie Wang
Portfolio Manager
The International Series of SBL Fund began operations May 3, 1999. The portfolio
is made up largely of high quality, undervalued large cap and midcap stocks of
foreign issuers in both developed and emerging countries. The portfolio managers
at Bankers Trust Company, subadvisors for the Series, employ a bottom-up stock
selection process, looking first at individual companies. After
attractively-valued, inefficiently priced issues are chosen, the political and
economic conditions of the country in which the issuing company is located are
considered.
For the period from inception through December 31, 1999 the Series returned
+30.00%.1 This compares very favorably with the 20.55% return of the benchmark
MSCI-EAFE Index. The largest contribution to positive performance was our stock
selection process, which led us to companies whose stock generally showed
above-average appreciation.
A LOOK AT THE INTERNATIONAL MARKETS IN 1999
At the beginning of 1999 investors were still reeling from the effects of the
Russian currency devaluation, ongoing difficulties in southeast Asia, and the
seemingly imminent Brazilian currency devaluation, which were all having
negative effects on the larger markets worldwide. Concerns at that time were
centered on the possibility of a deflationary spiral prompted by a combination
of faltering business and consumer confidence, higher interest rates and
turbulence in world markets. As a consequence the portfolio was structured
defensively in the early months of its existence.
During the year a series of more favorable data unfolded, helping underpin the
view that global economic growth was not only positive but strengthening, which
eventually led to a rise in interest rates in all G7 countries except Japan.
This rise in interest rates came despite a benign inflationary environment.
While headline inflation rose in response to the increase in oil prices, core
inflation (overall inflation minus the volatile food and energy components)
remained subdued. Global stock markets seemed to largely take this in stride.
Asian markets produced stunning returns from depressed 1998 levels. European
markets, which had been decidedly mixed early in the year, recorded exceptional
gains in the second half driven by increasing signs of economic recovery as well
as a secular rise in telecommunications, media and technology companies. Indeed,
many European markets finished near or at their all-time highs. Japan's
performance by the end of the year was aided considerably by a strengthening
yen.
PORTFOLIO ACTIVITY IN 1999
While we maintained core portfolio positions throughout the year, we raised our
exposure to the telecommunications and technology sectors. We believed
exceptional value still remained in the telecommunications area despite their
already large gains, particularly among new entrants such as Colt Telecom Group
plc in the United Kingdom, Equant NV in France, and NTT Mobile Communications
Network, Inc., in Japan. In a related area, in our view the potential for
revenue and earnings growth was not yet being fully reflected in the prices of
Vodafone AirTouch PLC (U.K.), Nokia Oyj (Finland), Telefonica S.A. (Spain) and
Sonera Oyj (Finland). These stocks were also added to the portfolio.
OUTLOOK FOR GLOBAL TECHNOLOGY IN 2000
Although we are very positive on the outlook for the global markets and
particularly the Internet related sector as a whole, we believe a selective
approach
- -------------------------------------------------------------------------------
13
<PAGE> 15
SERIES I (INTERNATIONAL SERIES)
February 15, 2000
- -------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
AS OF DECEMBER 31, 1999(1)
Since Inception
(5-3-99)
Series I 30.00%
(1) Performance figures do not reflect fees and expenses associated with an
investment in variable insurance products offered by Security Benefit Life
Insurance Company. Shares of a Series of SBL Fund are available only through
the purchase of such products.
The performance data quoted above represents past performance. Past
performance is not predictive of future performance. The investment return
has been calculated from May 3, 1999 (date of inception) to December 31,
1999 and is not annualized. The investment return and principal value of an
investment will fluctuate so that an investor's shares, when redeemed, may
be worth more or less than their original cost.
- -------------------------------------------------------------------------------
is crucial. Our exposure is therefore focused on companies with a
strong potential franchise and convincing business model. For example, in the
Internet arena we held our position in Softbank Corporation, a Japanese Internet
service and development company, because of the strength of its dominant
franchise in the strongly growing Japanese Internet market. Elsewhere in the
technology sector, we are maintaining our positions in Philips Electronics NV
(Netherlands), SAP AG (Germany), and ASM Lithography Holding NV (Netherlands).
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. The investment return has been calculated from May 3,
1999 (date of inception) to December 31, 1999 and is not annualized. Fee waivers
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,
non-uniform accounting practices and political instability, not associated with
investing exclusively in the U.S.
[GRAPH]
Series I vs. MSCI EAFE Index
Date SBL Fund Series I MSCI EAFE Index
- ---- ----------------- ---------------
May 99 9,360.00 9,487
June 99 9,780.00 9,859
July 99 9,930.00 10,155
Aug 99 9,830.00 10,194
Sept 99 9,830.00 10,299
Oct 99 10,320.00 10,688
Nov 99 11,230.00 11,062
Dec 99 13,000.00 12,056
$10,000 Since Inception
The chart above assumes a hypothetical $10,000 investment in Series I
(International Series) on May 3, 1999 (date of inception), and reflects the fees
and expenses of Series I. On December 31, 1999, the value of the investment
(assuming reinvestment of all dividends and distributions) would have been
$13,000. By comparison, the same $10,000 investment would have grown to $12,056
based on the MSCI EAFE Index.
- -------------------------------------------------------------------------------
14
<PAGE> 16
SERIES J (MIDCAP SERIES)
February 15, 2000
[PHOTO]
James P. Schier
Portfolio Manager
TO OUR CONTRACTHOLDERS:
The Midcap Series of SBL Fund had an excellent year, gaining 61.86% compared
with its Lipper peer group average of +46.25% and the benchmark S&P Midcap 400
Stock Index return of +13.35%.1 Portfolio performance, like the broad market
performance, was led by the strength in the technology sector. Analysts at
brokerage firm Merrill Lynch & Co., Inc. noted that 68% of the companies in the
S&P 500 Stock Index's technology sector outperformed the overall market in 1999.
A CLOSER LOOK AT THE TECHNOLOGY HOLDINGS
The average weighting over the year in the portfolio for technology stock
holdings was 37.3%, greater than the 20.7% average position in the benchmark
index. The average return of those tech stocks in the portfolio was +145%. JDS
Uniphase Corporation, a provider of advanced fiberoptic components to the
telecommunications and cable television industries, gained over 730% during the
time we held it. Veritas Software Corporation rose more than 500% and HNC
Software, Inc. climbed over 300%.
Even the weaker performers in the technology sector had good gains. Nine of the
companies we owned were up sharply, but didn't double--making them laggards in
the sector--while six rose less than 25% apiece.
CONSUMER CYCLICALS AND HEALTH CARE ALSO DID WELL
The consumer cyclicals sector also served us well. While Internet stocks would
seem to be part of the technology sector, in the benchmark index a number of
them fall into the consumer cyclicals grouping. CMGI Inc., owner of
business-to-business and business-to-consumer Internet companies, was a part of
the portfolio in 1998 but was only owned in the first four trading days of 1999,
yet gained 88% in those four days. Venture capital company Safeguard
Scientifics, Inc., a company which focuses on startup companies in e-commerce
and network infrastructure, was also a strong performer.
Selection within the health care sector was an important factor in positive
performance as we sought companies within the genomics portion of biotechnology.
Drug discovery and development company Millennium Pharmaceuticals, Inc. rose
threefold during the year. Teva Pharmaceutical Industries, Ltd., a generic drug
manufacturer, gained 77%.
STILL, A FEW PITFALLS
Maxwell Technologies, Inc., a company which is endeavoring to commercialize
technologies developed in its years of working with the Department of Defense
and with NASA, fell 75% in 1999. The company was unable to bring its products to
market as soon as it had hoped to. Despite its problems last year, we continue
to hold the stock and expect it to recover in 2000.
In other areas, our holdings in the energy sector gained ground, but only about
half as much as the companion sector in the benchmark index. We also lagged in
the communication services sector, owning no stocks in this group while the 1%
weighting in the benchmark sector gained 86%.
- -------------------------------------------------------------------------------
15
<PAGE> 17
SERIES J (MIDCAP SERIES)
February 15, 2000
- -------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
AS OF DECEMBER 31, 1999(1)
1 Year 5 Years Since
Inception
(10-1-92)
Series J 61.86% 26.43% 22.45%
(1) Performance figures do not reflect fees and expenses associated with an
investment in variable insurance products offered by Security Benefit Life
Insurance Company. Shares of a Series of SBL Fund are available only through
the purchase of such products.
The performance data quoted above represents past performance. Past
performance is not predictive of future performance. The investment return
and principal value of an investment will fluctuate so that an investor's
shares, when redeemed, may be worth more or less than their original cost.
- -------------------------------------------------------------------------------
THE YEAR AHEAD MAY BE A CHALLENGE
We are not comfortable with the high valuations in many sectors of the stock
market as we enter the new year. We expect to slowly trim those holdings which
have appreciated substantially and which we believe offer less opportunity going
forward. While we recognize the challenge in finding undervalued stocks, we will
be redoubling our efforts to find growth areas that are out of favor currently.
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.
[GRAPH]
Series J vs. S&P Midcap
Date SBL Fund Series J S&P Midcap
- ---- ----------------- ----------
SEPT 92 10,000 10,000
DEC 92 12470.0000 11,176
MARCH 93 13040.0000 11,542
JUNE 93 12980.0000 11,811
SEPT 93 13811.0455 12,405
DEC 93 14171.0728 12,736
MARCH 94 13190.9986 12,253
JUNE 94 12110.9168 11,806
SEPT 94 13267.9504 12,605
DEC 94 13448.0584 12,280
MARCH 95 13858.3042 13,285
JUNE 95 14708.8138 14,443
SEPT 95 16489.8811 15,853
DEC 95 16069.6293 16,080
MARCH 96 17270.3488 17,071
JUNE 96 18611.1522 17,561
SEPT 96 19073.0633 18,072
DEC 96 18969.1229 19,166
MARCH 97 17472.3812 18,881
JUNE 97 20102.0733 21,655
SEPT 97 23179.9947 25,138
DEC 97 22753.3036 25,347
MARCH 98 25324.0315 28,141
JUNE 98 24763.9235 27,536
SEPT 98 20685.6880 23,554
DEC 98 26837.7428 30,194
MARCH 99 26724.7913 28,266
JUNE 99 31040.2457 32,269
SEPT 99 31308.1987 29,559
DEC 99 43439.0762 34,640
$10,000 Since Inception
The chart above assumes a hypothetical $10,000 investment in Series J (Midcap
Series) on October 1, 1992 (date of inception), and reflects the fees and
expenses of Series J. On December 31, 1999, the value of the investment
(assuming reinvestment of all dividends and distributions) would have been
$43,439. By comparison, the same $10,000 investment would have grown to $34,640
based on the S&P Midcap Index's performance.
- -------------------------------------------------------------------------------
16
<PAGE> 18
SERIES K (GLOBAL STRATEGIC INCOME SERIES)
February 15, 2000
WELLINGTON(R)
MANAGEMENT MANAGED BY WELLINGTON MANAGEMENT COMPANY, LLP
[PHOTO]
L.T. Hill
Portfolio Manager
TO OUR CONTRACTHOLDERS:
Wellington Management Company, LLP assumed subadvisory responsibilities for the
management of the Global Strategic Income Series on May 15, 1999. For all of
1999 the total return for the Series was +1.19%, ahead of the Lipper peer group
average of +0.04%, but slightly lagging the benchmark Salomon Smith Barney World
Government Bond Index return of +1.31%.(1)
WORLD BOND MARKETS IN 1999
The story of the world's bond markets in 1999 was simple: yields rose and prices
fell. With the capital markets' disturbances of the fall of 1998 still fresh in
their minds, bond investors began the year hoping for continued short-term
interest rate reductions from the Federal Reserve and the world's other central
banks. By the end of the year these same investors were hoping to avoid further
interest rate increases from those very same central banks.
This dramatic change in psychology was provoked by the surprising resilience of
the global economy, led by the United States' apparent fourth consecutive year
of 4% real Gross Domestic Product (GDP) growth in 1999. In the face of this
unexpected strength the Federal Reserve Bank raised short term interest rates
three times during the year to forestall inflation. In response, interest rates
on intermediate term U.S. Treasury securities shot up by approximately 1.75% and
most segments of the bond markets, both in the U.S. and overseas, registered
negative total returns for the year. Notable exceptions were high yield
corporate bonds and emerging markets sovereign debt issues, which responded well
to quickening world GDP growth and rising commodity prices.
OUR OUTLOOK FOR THE BOND MARKETS IN 2000
We expect the Federal Reserve to raise short term interest rates another 50 to
75 basis points in response to persistent above-trend economic growth. The risk
of tightening more than this is small as ongoing productivity gains have likely
persuaded the Fed that the economy's noninflationary speed limit is roughly 3.5%
real GDP growth, not far below the 3.7% we anticipate in 2000. Further, we take
some comfort in the fact that much of the bad news on monetary policy is already
discounted in bond prices. However, although bonds are certainly not overvalued
at their present levels, we believe that strengthening overseas economies,
resurgent commodity prices, continued robust consumer spending in the U.S., and
a distinctly hawkish Fed all point in the direction of somewhat higher U.S.
interest rates over the coming months.
PLANS FOR THE PORTFOLIO STRUCTURE
Because of this expectation for higher rates in the near term we will continue
to position the portfolio defensively with regard to interest rate risk. Longer
term, however, we believe bond valuations are attractive, and we will be looking
for buying opportunities once economic momentum slows.
As for sector weightings, we note that the global economic crisis of fall 1998
pushed U.S. Treasury yields down to an overbought level and Treasury yield
spreads versus corporate bonds, high yield corporate bonds, and emerging markets
debt issues moved to historically wide spreads. During 1999 Treasury yields
reversed as liquidity and confidence returned to the
- -------------------------------------------------------------------------------
17
<PAGE> 19
SERIES K (GLOBAL STRATEGIC INCOME SERIES)
February 15, 2000
- -------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
AS OF DECEMBER 31, 19991
1 Year Since
Inception
(6-1-95)
Series K 1.19% 7.52%
(1) Performance figures do not reflect fees and expenses associated with an
investment in variable insurance products offered by Security Benefit Life
Insurance Company. Shares of a Series of SBL Fund are available only through
the purchase of such products.
The performance data quoted above represents past performance. Past
performance is not predictive of future performance. The investment return
and principal value of an investment will fluctuate so that an investor's
shares, when redeemed, may be worth more or less than their original cost.
----------------------------------------------------------------------------
financial markets, and yield spreads tightened back toward what we would
consider fair value levels. At current valuations we still like the incremental
yield advantage offered by corporate bonds and high yield issues. We also
continue to believe the global economic environment favors emerging market
countries. These sectors, however, are no longer the "screaming buys" that they
were a year ago, and we will be reducing portfolio exposures going forward.
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,
non-uniform accounting practices and political instability, not associated with
investing exclusively in the U.S.
[GRAPH]
Series K vs. Lehman Brothers
Global Bond Index, Salomon Smith
Barney World Government Non-U.S.
Hedged Index and Blended Index
Lehman
Brothers Salomon Smith Barney
SBL FUND Global World Government
Date Series K Bond Index Non U.S. Hedged Index Blended Index
- ---- -------- ---------- --------------------- -------------
JUNE 95 10,000 10,000
JUNE 95 9960.0000 10,015
SEPT 95 10360.0000 10,308
DEC 95 10761.0588 10,742
MARCH 96 10824.2353 10,726
JUNE 96 11182.2353 10,926
SEPT 96 11761.3529 11,288
DEC 96 12234.1235 11,676
MARCH 97 12119.9992 11,761
JUNE 97 12530.8467 12,141
SEPT 97 12899.8938 12,554
DEC 97 12890.9666 12,914
MARCH 98 13198.1743 13,241
JUNE 98 13339.2627 13,562
SEPT 98 12967.3024 14,293
DEC 98 13779.2018 14,341
MARCH 99 13782.9392 14,459
JUNE 99 13420.2302 14,357
SEPT 99 13391.2135 14,436
DEC 99 13942.5311 14,531
$10,000 Since Inception
The chart above assumes a hypothetical $10,000 investment in Series K (Global
Strategic Income Series) on June 1, 1995 (date of inception), and reflects the
fees and expenses of Series K. On December 31, 1999, the value of the investment
(assuming reinvestment of all dividends and distributions) would have been
$13,943. By comparison, the same $10,000 investment would have grown to $15,450
based on the Lehman Brothers Global Bond Index's performance.
Effective May 15, 1999, Wellington Management Company, LLP became the subadvisor
for Series K. The appropriate benchmark going forward will be the Salomon Smith
Barney World Government Bond Index. By comparison, the same $10,000 investment
would have grown to $15,324 based on the Salomon Smith Barney World Government
Bond Non-U.S. Hedged Index. Comparison is also made to a blended index of 25%
Lehman Brother Aggregate Bond Index, 25% Lehman Brothers High Yield Bond Index,
25% Salomon Smith Barney World Government Non U.S. Hedged Index and 25% JP
Morgan Emerging Markets Bond Index Plus. The same $10,000 investment would have
grown to $15,702 based on the blended index.
- -------------------------------------------------------------------------------
18
<PAGE> 20
SERIES M (GLOBAL TOTAL RETURN SERIES)
February 15, 2000
WELLINGTON(R)
MANAGEMENT MANAGED BY WELLINGTON MANAGEMENT COMPANY, LLP
[PHOTO]
David J. Goerz, III
Portfolio Manager
TO OUR CONTRACTHOLDERS:
Wellington Management Company, LLP assumed subadvisory responsibilities for the
management of the Global Total Return Series on May 15, 1999. For all of 1999
the total return for the Series was +13.97%, above the Lipper peer group average
return of +13.57%.(1)
THE NATURE OF THE SERIES
The objective of the Global Total Return Series is to maximize long-term total
return through investment in a portfolio of global equity and fixed income
securities. The Series offers investors global participation in multiple asset
classes including stocks, bonds and cash which are managed to benefit from
security selection as well as asset allocation and currency opportunities. On
December 31, 1999 the Series held 69.9% global equities and 30.1% global bonds
and cash. Regionally the portfolio was overweight in non-U.S. equities
(primarily in Europe) and underweight in North American equities.
The Series seeks to outperform a blended benchmark consisting of 80% MSCI World
Equity Index and 20% Salomon Brothers World Government Bond Index. For the year
as a whole (including the first four months of the year when the Series was
managed in a different style) the blended index returned +20.27%.
GLOBAL MARKETS IN 1999
Global equities as represented by the MSCI World Index delivered extraordinary
performance gains of over 25% during 1999, far surpassing disappointing global
bond markets as represented by the 1.31% rise in the Salomon Brothers World
Government Bond Index. Continued low inflation and robust growth in world
economies and corporate earnings elated equity investors, as did rising
confidence in Year 2000 readiness and increased liquidity extended by central
banks. Performance in Europe and the Pacific Basin was particularly noteworthy
as non-U.S. equities trounced the S&P 500 Stock Index during the year. U.S.
value stocks paled versus the favored large-cap growth stocks, particularly in
technology and communications.
Overall, high global equity exposure of the Series added considerably to 1999's
total return. Investors have benefited from active currency decisions, primarily
underweighting the euro, and tactical bond exposure. Returns were held back
somewhat by our too-cautious stance on Japanese equities relative to U.S.
stocks. In addition, our overweight to continental Europe was helpful as well.
OUR OUTLOOK FOR 2000
We recently tempered our view on global equity markets following strong
performance since October. Many factors that were so constructive in 1999 for
equities and detrimental for bonds have reversed. Equity valuations have
deteriorated with rising stock prices and higher bond yields. Interest rate
increases, required to slow economic growth and preserve low inflation,
influence our current outlook despite relatively good earnings growth.
While inflation remains subdued, wages and commodity prices have begun to rise.
A 15% decline in the value of the euro provides room for some optimism in
continental Europe, but equities generally appear stretched by a variety of
important factors that should begin soon to weigh on the markets.
- -------------------------------------------------------------------------------
19
<PAGE> 21
SERIES M (GLOBAL TOTAL RETURN SERIES)
February 15, 2000
- -------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
AS OF DECEMBER 31, 1999(1)
1 Year Since Inception
(6-1-95)
Series M 13.97% 11.79%
(1) Performance figures do not reflect fees and expenses associated with an
investment in variable insurance products offered by Security Benefit Life
Insurance Company. Shares of a Series of SBL Fund are available only through
the purchase of such products.
The performance data quoted above represents past performance. Past
performance is not predictive of future performance. The investment return
and principal value of an investment will fluctuate so that an investor's
shares, when redeemed, may be worth more or less than their original cost.
----------------------------------------------------------------------------
The outlook for bonds has improved somewhat in recent months, although our
return forecasts are still not compelling enough to increase bond exposure given
accelerating economic growth and burgeoning confidence. Our outlook for the U.S.
dollar also has deteriorated; thus non-U.S. holdings in our global portfolio
should benefit from currency exposure.
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,
non-uniform accounting practices and political instability, not associated with
investing exclusively in the U.S.
[GRAPH]
Series M vs Blended Index,
S&P 500 & MSCI World Index
Date SBL Fund Series M Blended Index S&P 500 MSCI World Index
- ----
JUNE 95 10,000 10,000 10,000 10,000
JUNE 95 10080.0000 10,002 10,235 9,999
SEPT 95 10490.0000 10,519 11,049 10,570
DEC 95 10710.0000 11,019 11,707 11,085
MARCH 96 11140.0000 11,384 12,343 11,549
JUNE 96 11450.0000 11,700 12,901 11,896
SEPT 96 11605.2734 11,915 13,295 12,068
DEC 96 12234.7808 12,447 14,408 12,635
MARCH 97 12275.3942 12,503 14,785 12,686
JUNE 97 13138.4285 14,093 17,372 14,610
SEPT 97 13865.4726 14,529 18,679 15,043
DEC 97 12988.3124 14,340 19,216 14,687
MARCH 98 14299.0727 16,059 21,897 16,805
JUNE 98 14412.7379 16,410 22,620 17,162
SEPT 98 12821.4261 15,017 20,371 15,119
DEC 98 14628.7016 17,546 24,708 18,328
MARCH 99 14759.9278 18,088 25,938 18,997
JUNE 99 15586.0892 18,769 27,766 19,921
SEPT 99 15142.1816 18,579 26,031 19,641
DEC 99 16672.3689 21,102 29,905 22,972
$10,000 Since Inception
The chart above assumes a hypothetical $10,000 investment in Series M (Global
Total Return Series) on June 1, 1995 (date of inception), and reflects the fees
and expenses of Series M. On December 31, 1999, the value of the investment
(assuming reinvestment of all dividends and distributions) would have grown to
$16,672. By comparison, the same $10,000 investment would have grown to $29,905
based on the S&P 500 Index's performance. Effective May 15, 1999, Wellington
Management Company became subadvisor for Series M. The appropriate benchmark
going forward will be the MSCI World Index. By comparison, the same $10,000
investment would have grown to $22,972 based on the MSCI World Index. Comparison
is also made to a blended index of 80% MSCI World Index and 20% Salomon Smith
Barney World Government Bond Unhedged Index. The same $10,000 investment would
have grown to $21,673 based on the blended index.
- -------------------------------------------------------------------------------
20
<PAGE> 22
SERIES N (MANAGED ASSET ALLOCATION SERIES)
February 15, 2000
T. ROWE PRICE [LOGO] SUBADVISOR, T. ROWE PRICE ASSOCIATES, INC.
INVEST WITH CONFIDENCE PORTFOLIO MANAGER, NED NOTZON
[PHOTO]
Edmund M. Notzon
Portfolio Manager
TO OUR CONTRACTHOLDERS:
The Managed Asset Allocation Series did well compared with its peer group of
balanced funds, gaining 9.74% versus the Lipper peer group average increase of
8.58%.1 Performance lagged its blended benchmark, however. The benchmark, made
up of 60% S&P 500 Stock Index and 40% Lehman Brothers Aggregate Bond Index, rose
12.00% during the year.
STRONG STOCK MARKETS AROUND THE WORLD
Large-cap U.S. stocks produced their fifth consecutive year of returns in excess
of 20%, which was made possible by a strong fourth quarter rally. The rally in
the fourth quarter reflected a significant broadening in global equity markets,
as international and small-cap stocks saw sharp gains. International stocks as
represented by the MSCI EAFE Index outperformed domestic stocks as represented
by the S&P 500 Stock Index for the first time since 1993. Strong recoveries in
Japanese and Latin American markets supplemented solid returns from European
equities. Among domestic large-cap stocks, valuation disparities between growth
and value stocks grew even more pronounced in 1999. We believe that foreign
markets currently offer solid growth prospects with more attractive valuations
than domestic equities.
THE ADDITION OF SMALL CAP STOCKS TO THE PORTFOLIO
As total assets in the Managed Asset Allocation portfolio approached $100
million, we felt this allowed for a suitably diversified allocation to small-cap
stocks. In late 1999 we invested a portion of the portfolio in small-cap
equities, represented by a blend of growth and value stocks. Despite the recent
small-cap rally, which has been focused in the small-cap growth sector, we
believe small-cap stocks continue to offer compelling valuations given their
growth potential.
PERFORMANCE IN THE FIXED INCOME SECTOR
Our fixed income returns were bolstered by our high yield holdings, although our
fixed income overweighting hampered overall returns during 1999's rising
interest rate environment. The fourth quarter of 1999 saw a strong rally in
spread sectors of the domestic fixed income markets as market liquidity began to
return following a period of a growing supply of new corporate issuance and
decreasing demand in late summer. While we think that improved liquidity over
the next few months should favor bonds in general, we believe the attractive
income offered by high yield bonds (those rated below the top four ratings
classes by the major bond rating agencies) makes this sector particularly
appealing, and we currently favor high yield bonds over investment grade
securities.
OUTLOOK FOR 2000
We expect the U.S. economy to slow somewhat during the next year, although
consumption is still robust, which has been putting upward pressure on rates. We
expect the Fed to remain vigilant in its fight to head off inflation before it
becomes a problem, but real interest rates are already high--providing
attractive income for investors--and the Fed appears to be ahead of the
inflation curve so far.
- -------------------------------------------------------------------------------
21
<PAGE> 23
SERIES N (MANAGED ASSET ALLOCATION SERIES)
February 15, 2000
- -------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
AS OF DECEMBER 31, 19991
1 Year Since Inception
(6-1-95)
Series N 9.74% 14.53%
(1) Performance figures do not reflect fees and expenses associated with an
investment in variable insurance products offered by Security Benefit Life
Insurance Company. Shares of a Series of SBL Fund are available only through
the purchase of such products.
The performance data quoted above represents past performance. Past
performance is not predictive of future performance. The investment return
and principal value of an investment will fluctuate so that an investor's
shares, when redeemed, may be worth more or less than their original cost.
- -------------------------------------------------------------------------------
Overall, we foresee a lessening of volatility in the financial market and an
improvement in bond liquidity compared with 1999. Accordingly, we believe bonds
offer an attractive opportunity for investors searching for income and long-term
appreciation. On the equity side of the ledger, we expect corporate profit
growth to remain strong, getting a boost from continuing high demand from
domestic and, increasingly, international consumers. In this environment we
remain optimistic about the prospects for attractive stock and bond returns over
the long term.
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, non-uniform accounting practices and political instability,
not associated with investing exclusively in the U.S.
[GRAPH]
SERIES N VS BLENDED INDEX & S&P 500
DATE SBL FUND SEREIS N BLENDED INDEX S&P 500
- ---- ----------------- ------------- -------
JUNE 95 10,000 10,000 10,000
JUNE 95 10070.0000 10,170 10,235
SEPT 95 10440.0000 10,734 11,049
DEC 95 10730.0000 11,302 11,707
MARCH 96 10970.0000 11,585 12,343
JUNE 96 11160.0000 11,925 12,901
SEPT 96 11448.6844 12,238 13,295
DEC 96 12103.1827 13,001 14,408
MARCH 97 12203.8747 13,181 14,785
JUNE 97 13512.8712 14,741 17,372
SEPT 97 14117.2225 15,612 18,679
DEC 97 14334.0928 16,073 19,216
MARCH 98 15544.0252 17,505 21,897
JUNE 98 15946.9399 18,019 22,620
SEPT 98 15225.9347 17,270 20,371
DEC 98 16975.4327 19,445 24,708
MARCH 99 17327.5542 19,986 25,938
JUNE 99 17855.8990 20,757 27,766
SEPT 99 18955.7189 20,030 26,031
DEC 99 18628.5722 21,777 29,905
$10,000 Since Inception
The chart above assumes a hypothetical $10,000 investment in Series N (Managed
Asset Allocation Series) on June 1, 1995 (date of inception), and reflects the
fees and expenses of Series N. On December 31, 1999, the value of the investment
(assuming reinvestment of all dividends and distributions) would have grown to
$18,629. By comparison, the same $10,000 investment would have grown to $29,905
based on the S&P 500 Index's performance. Comparison is also made to a blended
index of 60% S&P 500 and 40% Lehman Brothers Aggregate Bond Index. The same
$10,000 would have grown to $21,777 based on the blended index.
- -------------------------------------------------------------------------------
22
<PAGE> 24
SERIES O (EQUITY INCOME SERIES)
February 15, 2000
T. ROWE PRICE [LOGO] SUBADVISOR, T. ROWE PRICE ASSOCIATES, INC.
INVEST WITH CONFIDENCE PORTFOLIO MANAGER, BRIAN C. ROGERS
[PHOTO]
Brian C. Rogers
Portfolio Manager
TO OUR CONTRACTHOLDERS:
The Equity Income Series of SBL Fund returned +3.13% in the year just completed,
lagging its Lipper peer group average of 9.78% and the benchmark S&P 500 Stock
Index's total return of 21.04%.1 It was a year in which many conservatively
managed funds such as the Equity Income Series underperformed.
A STRONG, BUT UNUSUAL, MARKET PERFORMANCE
The last year of the millennium will be remembered as the year the S&P 500 Stock
Index continued its unprecedented five-year streak of returns in excess of 20%,
but also the year in which more S&P 500 stocks declined than advanced. It was
unquestionably a disappointing year for value stocks and for the Equity Income
Series. Some factors that affected us were beyond our control, but with the
benefit of hindsight we can see that there are some stocks we could have avoided
in favor of others.
The Series enjoyed a very strong first six months of the year, outperforming
both the S&P 500 Stock Index and its Lipper peer group. However, during the
second half of 1999 we struggled relative to the broad market. We discuss the
large gap between performance of equity income funds and the S&P 500 Index in
the following paragraphs.
A CLOSER LOOK AT 1999'S MARKET PERFORMANCE
In terms of overall market environment, 1999 was a year characterized by both a
pronounced investor preference for growth stocks and an advance led by a
relatively small number of companies. It is hard to imagine that in the context
of such robust stock market performance more than half of the stocks in the S&P
500 Index declined in value while the rest advanced, in some cases
significantly. Some of the most highly valued companies provided a
disproportionate amount of the S&P 500 Index's return, with only seven companies
accounting for half of it.
Most of the excitement centered on the Nasdaq Composite Index, which is
dominated by technology stocks and enjoyed the lion's share of gains in 1999.
The major factor behind the Equity Income Series portfolio's lagging relative
performance was its underweighting in technology, a sector that nearly doubled
in value last year. We would not normally expect to hold large positions in this
sector, since the lofty valuations of most technology shares exclude them as
candidates for purchase.
A DIFFICULT YEAR FOR VALUE INVESTORS
Value investing was rendered even more challenging by a deteriorating interest
rate environment. As fixed income investors can testify, bond returns were
mostly negative as interest rates rose throughout the year. Similarly, it was
difficult to profit from investments in stocks with above-average dividend
yields since they also suffered as rates climbed. A look at the universe of
stocks with low price/earnings ratios and high dividends shows that, inversely,
the lower the p/e ratio and the higher the yield, the more difficult the going
in 1999--the opposite of what one would expect. This damaged our portfolio
performance since these are precisely the kinds of stocks we prefer to own.
However, every cloud has a silver lining. Because of their weak performance in
1999, we believe value stocks are currently extremely attractive as they are
selling at the greatest price/earnings discount to the general market in 25
years.
STILL, WE HAD SOME SUCCESSES
Aside from these issues, a number of investments were successful for us. The
portfolio benefited from several companies' involvement in merger and
acquisition activities. Our winners included BCE Inc., Citigroup Inc., Reynolds
Metals Company, Dow Jones & Company, Inc., and U.S. West, Inc. We took advantage
of market volatility by adding new positions and beefing up existing holdings.
Among our purchases were The Walt Disney Company, Lockheed Martin Corporation,
Unilever plc, and Xerox Corporation. In our view, these companies possess far
more value and appreciation potential than the market is currently giving them
credit for.
- -------------------------------------------------------------------------------
23
<PAGE> 25
SERIES O (EQUITY INCOME SERIES)
February 15, 2000
- -------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
AS OF DECEMBER 31, 1999(1)
1 Year Since Inception
(6-1-95)
Series O 3.13% 16.66%
(1) Performance figures do not reflect fees and expenses associated with an
investment in variable insurance products offered by Security Benefit Life
Insurance Company. Shares of a Series of SBL Fund are available only through
the purchase of such products.
The performance data quoted above represents past performance. Past
performance is not predictive of future performance. The investment return
and principal value of an investment will fluctuate so that an investor's
shares, when redeemed, may be worth more or less than their original cost.
- -------------------------------------------------------------------------------
A CAUTIOUS BUT GENERALLY POSITIVE OUTLOOK
We expect the Fed to maintain its monetary stance in favor of tightening with a
view toward restraining inflation in a rapidly growing economy. While the
economic news and low rate of inflation continue to be positive, it is difficult
to envision an even more positive environment for stocks than we have so far
experienced. These factors prompt us to remain cautious in our expectations for
2000. However, since so many sectors were left behind in the great bull market
of the past couple of years, many interesting opportunities have become
available in the midst of the general euphoria.
In particular, we believe value stocks offer good potential for appreciation
especially when compared with some of the more extended sectors of the market.
The best strategy when our investment style has been out of favor with the
overall market has been to stick to basics and concentrate on companies with
below average price/earnings ratios and above-average dividend yields. We plan
to continue to manage the fund in our traditionally conservative style.
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.
[GRAPH]
SERIES O VS S&P 500
DATE SBL FUND SERIES O S&P 500
- ---- ----------------- -------
JUNE 95 10,000 10,000
JUNE 95 10060.0000 10,235
SEPT 95 10790.0000 11,049
DEC 95 11700.0000 11,707
MARCH 96 12270.0000 12,343
JUNE 96 12630.0000 12,901
SEPT 96 13082.1726 13,295
DEC 96 14044.5393 14,408
MARCH 97 14445.5254 14,785
JUNE 97 16079.5439 17,372
SEPT 97 17337.6004 18,679
DEC 97 18033.5607 19,216
MARCH 98 19638.6474 21,897
JUNE 98 19156.5204 22,620
SEPT 98 17710.1388 20,371
DEC 98 19660.0754 24,708
MARCH 99 19475.3297 25,938
JUNE 99 22015.5901 27,766
SEPT 99 20116.1161 26,031
DEC 99 20275.3066 29,905
$10,000 Since Inception
The chart above assumes a hypothetical $10,000 investment in Series O (Equity
Income Series) on June 1, 1995 (date of inception), and reflects the fees and
expenses of Series O. On December 31, 1999, the value of the investment
(assuming reinvestment of all dividends and distributions) would have grown to
$20,275. By comparison, the same $10,000 investment would have grown to $29,905
based on the S&P 500 Index's performance.
- -------------------------------------------------------------------------------
24
<PAGE> 26
SERIES P (HIGH YIELD SERIES)
February 15, 2000
[PHOTO]
David Eshnaur
Portfolio Manager
TO OUR CONTRACTHOLDERS:
The year just completed was difficult for fixed income securities, and a
particularly difficult year for the High Yield Series of SBL Fund. The Series
generated a total return of +1.32%, compared with the Lipper peer group average
of +3.83%.1 The benchmark Lehman Brothers High Yield Index gained 2.39% for the
year.
1999'S TRENDS REVERSED MANY OF 1998'S
Many of the things that worked well for us in 1998 hurt us in 1999. In 1998, for
example, high yield bonds rated BB by the major rating agencies, the sector of
the market where we prefer to be, outperformed the lower-rated B issues. In 1999
this trend reversed and the lower-rated issues were the stronger performers. Our
portfolio also held a 10% position in investment-grade BBB-rated issues.
Unfortunately one of these issues, home security monitoring company Protection
One Inc., which is 80.1% owned by electric utility provider Western Resources,
Inc., was downgraded after the company advised that is was not likely to meet
covenant terms on its borrowing facility. A second BBB-rated issue, manufactured
housing producer Oakwood Homes Corporation, was downgraded when the rating
agencies saw deterioration of the company's financial condition.
A year ago nonrated high yield bonds, which generally have a very small presence
in our portfolios, fell over 7%. In 1999 nonrated issues reversed direction and
gained 6.5%. The telecommunications sector has many issues that are nonrated,
and this sector was a strong performer in 1999. The High Yield Series was
underweighted in telecommunications, ending the year with a 12.0% weighting
compared with a 21% presence in the benchmark Lehman High Yield Index.
TWO BANKRUPTCIES DAMAGED RETURNS
Oil exploration and production company Coho Energy, Inc. filed for Chapter 11
bankruptcy protection in August after failing to reach agreement with creditors
on restructuring payments on its $240 million in debt. Coho saw its cash flows
diminish sharply in 1998 when oil prices plunged to about $10 per barrel. They
were hurt further when a limited partnership formed by private equity firm
Hicks, Muse, Tate & Furst Inc. backed out of a contract to inject $250 million
of equity capital into the company. We are still holding these bonds, since oil
has moved rapidly upward to over $26 per barrel. We expect the company to be
able to solve its problems and reward its debtholders accordingly.
The Loewen Group Inc., North America's second largest operator of funeral homes
and cemeteries, filed its Chapter 11 bankruptcy petition in early June. The
cemetery business is cash-intensive, selling prepaid burial plans with seven- to
ten-year payment plans but with commissions that must be paid to sales staff at
the time of sale. Loewen Group had made a number of expensive acquisitions, and
was overly aggressive in selling these prepaid plans. The combination of these
two elements created a negative cash flow situation from which the company was
unable to recover.
STILL, SOME POSITIVES DURING THE YEAR
Some sectors within the portfolio performed very well in 1999. An overweighted
position in the gaming industry produced favorable results. Companies such as
International Game Technology, which manufactures computerized casino gaming
systems, and Boyd Gaming Corporation, owner and operator of casino entertainment
facilities, fared well in a period of economic strength. This sector had
underperformed in 1998 because of fears that new capacity in the industry would
make it difficult to generate good results. Those fears didn't become
actualities, as visitations to casino properties increased in 1999.
Another sector benefiting from economic strength, particularly in global
economic recovery, was the steel industry. Our holdings in AmeriSteel
Corporation and
- -------------------------------------------------------------------------------
25
<PAGE> 27
SERIES P (HIGH YIELD SERIES)
February 15, 2000
- -------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
AS OF DECEMBER 31, 1999(1)
1 Year Since Inception
(8-5-96)
Series P 1.32% 7.88%
1 Performance figures do not reflect fees and expenses associated with an
investment in variable insurance products offered by Security Benefit Life
Insurance Company. Shares of a Series of SBL Fund are available only through
the purchase of such products. The Investment Manager waived its advisory fee
for the period ended November 30,1999, and in the absence of such waiver the
performance quoted would be reduced.
The performance data quoted above represents past performance. Past
performance is not predictive of future performance. The investment return and
principal value of an investment will fluctuate so that an investor's shares,
when redeemed, may be worth more or less than their original cost.
- -------------------------------------------------------------------------------
California Steel Industries gained not only because of increased
demand for steel, but in the wake of favorable settlements of antidumping suits
which reduced foreign imports of competing products.
OUTLOOK FOR THE COMING MONTHS
We expect interest rates to continue their upward move for a few more months as
the Federal Reserve works to slow the rate of economic growth and keep inflation
at its current low levels. During this period of rising rates we believe our
strategy of investing in the upper tiers of the high yield bond spectrum will
serve us well. We will monitor economic conditions and interest rate movements
closely so that we may be able to change from our defensive posturing if such a
step would be advantageous.
David Eshnaur
Portfolio Manager
(1) Performance figures do not reflect fees and expenses associated with an
investment in variable insurance products offered by Security Benefit Life
Insurance Company. Shares of a Series of SBL Fund are available only through the
purchase of such products. Fee waivers reduced expenses of the Series and in the
absence of such waivers, the performance quoted would be reduced.
[GRAPH]
SERIES P VS LEHMAN BROTHERS
HIGH YIELD INDEX
Date SBL Fund Series P Lehman Brothers High Yield Index
- ---- ----------------- --------------------------------
AUG 96 10000.0000 10,000
SEPT 96 10246.6667 10,352
DEC 96 10660.0000 10,713
MARCH 97 10846.6667 10,833
JUNE 97 11320.0000 11,338
SEPT 97 11754.4573 11,853
DEC 97 12076.9672 12,083
MARCH 98 12485.5442 12,489
JUNE 98 12628.6450 12,627
SEPT 98 12464.0790 12,052
DEC 98 12782.4783 12,308
MARCH 99 12972.8015 12,536
JUNE 99 12957.5574 12,580
SEPT 99 12858.4702 12,402
DEC 99 12950.5941 12,605
$10,000 Since Inception
The chart above assumes a hypothetical $10,000 investment in Series P (High
Yield Series) on August 5, 1996 (date of inception), and reflects the fees and
expenses of Series P. On December 31, 1999, the value of the investment
(assuming reinvestment of all dividends and distributions) would have grown to
$12,951. By comparison, the same $10,000 investment would have grown to $12,605
based on the Lehman Brothers High Yield Index's performance.
- -------------------------------------------------------------------------------
26
<PAGE> 28
SERIES S (SOCIAL AWARENESS SERIES)
February 15, 2000
[PHOTO]
Cindy L. Shields
Portfolio Manager
TO OUR CONTRACTHOLDERS:
The Social Awareness Series gained 17.18% in the year just completed, compared
with its Lipper peer group average of +24.23%.(1) The benchmark Domini Social
Index (DSI) rose 24.49% over the same period.
TWO PRIMARY FACTORS MADE THE DIFFERENCE
Our underweighting in technology stocks compared with the benchmark index
accounted for a large part of the difference in performance. The portfolio
averaged a weighting of approximately 26% of its holdings in technology-related
issues during the year, while the DSI averaged about 29%. Our technology stocks
gained 65% on average, versus a 71% average gain for those in the index.
The second major factor contributing to the difference in performance was the
absence of Wal-Mart Stores, Inc. as a holding in the Social Awareness Series
portfolio for most of the year. This stock was a part of the original DSI
portfolio, and the sponsors of the benchmark index have not seen enough negative
news on the company to merit its removal from their holdings. Wal-Mart stock
gained 69% in 1999.
MANY OF OUR STOCKS WERE STRONG PERFORMERS
While our weighting in technology stocks overall was less than that of the
benchmark index, some names which we owned did particularly well. Comverse
Technology, Inc., a telecommunication equipment manufacturer, gained nearly
200%. Also in the telecommunication equipment business, Scientific-Atlanta, Inc.
climbed 145% during the year. Computer software manufacturer Adobe Systems,
Inc., was up 188%, and Analog Devices, Inc., a company that manufactures
integrated circuits, also rose 188%.
ENERGY AND BASIC MATERIALS SECTORS ADDED VALUE
The portfolio was overweighted in both energy and basic materials relative to
the corresponding sectors in the benchmark index. Oilfield services companies BJ
Services Company and Noble Drilling Corporation rose 172% and 79% respectively,
reflecting the sharp upward movement in oil prices and the anticipation that
oilfield drilling activity would increase.
The energy sector and the basic materials sector can present problems as
holdings in social awareness portfolios. We seek out companies in these sectors
that manage social issues best within their industry and add them to the
portfolios in order to participate in gains in this sector. In the basic
materials group the Mead Corporation, a forest products company, gained over 50%
during the year as prices of paper goods recovered. Integrated aluminum company
Alcoa, Inc. also saw its stock price increase over 50% as the global economic
recovery got underway and demand for basic materials revived.
NEWS IN THE SOCIAL INVESTING ARENA
In September Dow Jones & Company launched the world's first global equity index
for companies committed to social and environmental issues. The index, named the
Dow Jones Sustainability Group Index (DJSGI) consists of 225 securities selected
from the largest 2000 in the Dow Jones Global Index and represents 73 industry
groups in 33 countries.
President Clinton has proposed a New Markets Tax Credit as a part of his Fiscal
Year 2000 budget. The tax credit worth 25% of the amount invested would be given
to investors in low- and moderate-income communities, and could spur as much as
$6 billion in private sector investment for business growth in these
communities.
- -------------------------------------------------------------------------------
27
<PAGE> 29
SERIES S (SOCIAL AWARENESS SERIES)
February 15, 2000
- -------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
AS OF DECEMBER 31, 1999(1)
1 Year 5 Year Since Inception
(5-1-91)
Series S 17.18% 23.45% 16.60%
(1) Performance figures do not reflect fees and expenses associated with an
investment in variable insurance products offered by Security Benefit Life
Insurance Company. Shares of a Series of SBL Fund are available only through
the purchase of such products.
The performance data quoted above represents past performance. Past
performance is not predictive of future performance. The investment return
and principal value of an investment will fluctuate so that an investor's
shares, when redeemed, may be worth more or less than their original cost.
- -------------------------------------------------------------------------------
OUTLOOK FOR THE YEAR AHEAD
As the new year unfolds we expect to keep our sector weightings close to those
of the Domini Social Index, relying on individual stock selection within each
sector to add value. We will take this conservative approach because of the
current uncertainty over the magnitude of interest rate increases the Federal
Reserve might put in place over the coming months. We believe technology will
continue to be a growing part of the economy, and plan to add to our holdings in
this sector as opportunities arise.
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.
[GRAPH]
Series S vs S&P 500 &
Domini Social Index
Date SBL Fund Series S S&P 500 Domini Social Index
- ---- ----------------- ------- -------------------
MAY 91 10000.0000 10,000 10,000
JUNE 91 9560.0000 9,951 9,907
SEPT 91 10330.0000 10,487 10,570
DEC 91 10550.0000 11,364 11,697
MARCH 92 11130.0000 11,074 11,474
JUNE 92 10050.0000 11,292 11,463
SEPT 92 10230.8997 11,642 12,078
DEC 92 12275.0755 12,236 13,111
MARCH 93 12184.8913 12,760 13,706
JUNE 93 12525.5873 12,826 13,508
SEPT 93 13479.8218 13,154 13,982
DEC 93 13730.5625 13,458 14,231
MARCH 94 13319.3477 12,945 13,696
JUNE 94 12807.8366 12,997 13,678
SEPT 94 13294.6683 13,637 14,308
DEC 94 13213.1684 13,634 14,256
MARCH 95 13997.6048 14,961 15,722
JUNE 95 15026.5408 16,381 17,276
SEPT 95 16571.6927 17,683 18,652
DEC 95 16878.7654 18,737 19,704
MARCH 96 18025.1703 19,755 20,720
JUNE 96 19366.0547 20,647 21,687
SEPT 96 20286.9989 21,279 22,585
DEC 96 20055.7481 23,060 24,376
MARCH 97 19277.9047 23,664 25,206
JUNE 97 22263.1418 27,803 29,698
SEPT 97 24001.6052 29,895 32,191
DEC 97 24598.6050 30,755 33,701
MARCH 98 27879.9223 35,045 38,558
JUNE 98 28483.2853 36,203 40,080
SEPT 98 25910.4546 32,603 36,233
DEC 98 32331.1472 39,544 45,345
MARCH 99 33233.3222 41,512 47,702
JUNE 99 35724.6294 44,438 50,938
SEPT 99 33507.4852 41,663 47,858
DEC 99 37887.2200 47,861 56,451
$10,000 Since Inception
The chart above assumes a hypothetical $10,000 investment in Series S (Social
Awareness Series) on May 1, 1991 (date of inception), and reflects the fees and
expenses of Series S. On December 31, 1999, the value of the investment
(assuming reinvestment of all dividends and distributions) would have grown to
$37,887. By comparison, the same $10,000 investment would have grown to $47,861
based on the S&P 500 Index's performance and $56,451 based on the Domini Social
Index.
- -------------------------------------------------------------------------------
28
<PAGE> 30
SERIES V (VALUE SERIES)
February 15, 2000
[PHOTO]
James P. Schier
Portfolio Manager
TO OUR CONTRACTHOLDERS:
The Value Series of SBL Fund had a favorable year in 1999, returning +18.88%
compared with the average for its Lipper peer group of funds of +14.51%.1 The
benchmark Standard & Poor's Barra Value Index gained 12.68% over the same time
period.
HIGHER OIL AND GAS PRICES PLAYED AN IMPORTANT ROLE
The most favorable component of the portfolio during the year was an
overweighting in the energy sector. Our holdings in this sector were mostly
gas-oriented exploration and production service companies and oil service
companies, with BJ Services Company gaining 175% to lead the group. Other strong
performers included Apache Corporation, up 88%, and offshore contract drilling
company Ensco International Inc., which gained 61%. The decision by the
Organization of Petroleum Exporting Countries (OPEC) early in the year to limit
oil production caused oil prices to double over the course of the year.
Additionally, declining supplies of gas for delivery from the Gulf of Mexico
drove gas prices higher.
CERTAIN HEALTH CARE COMPANIES PERFORMED WELL
Although health care companies in general experienced a difficult year, with the
sector falling 7.6% in the benchmark index, careful selection of stocks led the
sector in the Value Series portfolio to gain 11.7%. For example, Noven
Pharmaceuticals, Inc. is a developer of transdermal drug delivery systems, most
notably estrogen patches. Its stock rose over 200% during the year as earnings
reached record levels.
A second holding in the health care sector, Teva Pharmaceutical Industries Ltd.,
is based in Israel but has more than 70% of its sales outside of that country,
primarily in the United States. Teva manufactures and markets both branded and
generic drugs. Its stock gained over 75% during the period it was included in
the portfolio.
In other sectors, Midway Games, Inc. in the consumer cyclicals sector
manufactures and markets games for home video systems such as Nintendo, Sony,
and Sega as well as for personal computers. Its stock was up 185% on very strong
sales. Mandalay Resort Group which owns and operates various properties in
Nevada gained over 100% before we sold the stock during the year. Advertising
companies True North Communications, Inc., The Interpublic Group of Companies,
Inc., and Omnicom Group Inc. all experienced favorable internal growth and added
to the positive performance of the portfolio.
NOT ALL HOLDINGS WERE WINNERS
Not everything in the portfolio was a positive during the year, however. Maxwell
Technologies, Inc., a company which is endeavoring to commercialize technologies
developed in its years of working with the Department of Defense and with NASA,
lost 75% during the year as it experienced difficulty bringing its products to
market on schedule. The lack of any communication services companies such as the
Bell telephone operating companies was also a negative as this group rose over
27% in the benchmark index.
AN UNCERTAIN OUTLOOK FOR 2000
With the stock markets at all-time high levels it is difficult to expect such
stellar results to repeat in the year ahead. We have already begun to reduce the
technology weighting in the portfolio, taking some gains on the best-performing
stocks. The proceeds
- --------------------------------------------------------------------------------
29
<PAGE> 31
SERIES V (VALUE SERIES)
February 15, 2000
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
AS OF DECEMBER 31, 1999(1)
1 Year Since Inception
(5-1-97)
Series V 18.88% 25.12%
(1) Performance figures do not reflect fees and expenses associated with an
investment in variable insurance products offered by Security Benefit Life
Insurance Company. Shares of a Series of SBL Fund are available only
through the purchase of such products. Fee waivers reduced expenses of the
Series and in the absence of such waivers, the performance quoted would be
reduced.
The performance data quoted above represents past performance. Past
performance is not predictive of future performance. The investment return
and principal value of an investment will fluctuate so that an investor's
shares, when redeemed, may be worth more or less than their original cost.
- --------------------------------------------------------------------------------
were reinvested in health care, energy, and capital goods issues. The Series is
as conservatively positioned now as it was at any time in the past year, and
should be well positioned to capitalize on opportunities as they present
themselves in the future.
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.
[GRAPH]
SERIES V vs S&P 500 & BARRA VALUE INDEX
DATE SBL Fund Series V S&P 500 BARRA Value Index
- ---- ----------------- ------- -----------------
MAY 97 10000.0000 10,000 10,000
JUNE 97 11140.0000 11,087 11,033
SEPT 97 13030.0000 11,922 12,044
DEC 97 13130.0000 12,264 12,311
MARCH 98 15081.9443 13,975 13,734
JUNE 98 14980.1768 14,437 13,805
SEPT 98 12731.1149 13,002 12,023
DEC 98 15307.8681 15,770 14,118
MARCH 99 15014.2301 16,554 14,521
JUNE 99 18300.2438 17,721 16,088
SEPT 99 17243.6478 16,614 14,604
DEC 99 18197.5762 19,086 15,913
$10,000 Since Inception
The chart above assumes a hypothetical $10,000 investment in Series V (Value
Series) on May 1, 1997 (date of inception), and reflects the fees and expenses
of Series V. On December 31, 1999, the value of the investment (assuming
reinvestment of all dividends and distributions) would have grown to $18,198. By
comparison, the same $10,000 investment would have grown to $19,086 based on the
S&P 500 Index's performance and $15,913 based on the BARRA Value Index's
performance.
- --------------------------------------------------------------------------------
30
<PAGE> 32
SERIES X (SMALL CAP SERIES)
February 15, 2000
SUBADVISOR, STRONG CAPITAL MANAGEMENT
PORTFOLIO MANAGER, RONALD C. OGNAR
[PHOTO]
Ronald C. Ognar
Portfolio Manager
TO OUR CONTRACTHOLDERS:
The Small Cap Series of SBL Fund had an outstanding year in 1999, finishing the
year with a total return of 87.20%.(1) This compares very favorably with our
Lipper peer group's average return of 38.28% and the benchmark Russell 2000
Index's return of 21.35%. Our technology, healthcare, and financial sectors all
had strong performance led by computer software, telecommunications,
electronics, biogenetics and real estate.
STRONG ECONOMIC GROWTH DISTURBS POLICYMAKERS
Investors focused on international events during much of 1998, but domestic
economic fundamentals drove the market in 1999. As the economy and the stock
markets continued their torrid pace, the Federal Reserve's policy-making Open
Market Committee (FOMC) became very vocal in expressing the desire to keep
inflation in check. Every release of economic data was scrutinized for signs of
inflation and economic overheating. The FOMC subsequently took back their three
interest rate easings instituted in 1998 by putting in place three 25 basis
point rate increases in 1999.
Much of the Fed's concern in 1999 was centered around the economy's growing at a
rate faster than the so-called "sustainable rate." Through the end of the third
quarter the economy had grown at an annualized rate of 3.8%. Forecasts for the
fourth quarter ranged from 4.75% to 5.75% on an annualized basis. Fed Chairman
Alan Greenspan has indicated his belief that the growth rate should remain in
the 3% to 3.5% range.
This robust growth and the economy's ability to create jobs pushed down the
unemployment rate to a twenty-nine year low of 4.1%, depleting the pool of
available workers, to the consternation of the Fed. This shortage of workers,
the Fed believes, will ultimately lead to higher wages and an increase in
inflation. Thanks largely to improvements in worker productivity, excess global
capacity and fierce competition, this has not yet happened.
CONCENTRATIONS IN TECHNOLOGY AND HEALTH
CARE LED PERFORMANCE
Holdings in the Small Cap Series remain concentrated in selected technology and
health care companies. The prospects for leading semiconductor companies
continue to improve, driven by the rapid build-out of the Internet, the need for
enhanced transmission capacity (bandwidth), and signs of accelerating Asian
demand. Following a sharp market correction in the second quarter we increased
our exposure to Internet-related issues, with particular emphasis on Internet
infrastructure beneficiaries. As the "Net" grows in depth and scope, E-commerce
software enablers and companies involved in the expansion of its infrastructure
are likely to prosper.
We remain overweighted in technology with an emphasis on computer software,
telecommunication equipment, and Internet infrastructure beneficiaries. We have
increased our exposure within the health care sector going into the new year,
emphasizing the pharmaceuticals and human genome industries. We remain
underweight in the financial, consumer cyclical, retail, and capital equipment
sectors.
THE IMPACT OF INITIAL PUBLIC OFFERINGS
Portfolio performance was given a boost in 1999 from purchases of "IPOs", or
initial public offerings of equity securities issued by a formerly privately
owned company selling stock to the public for the first time. These IPOs, many
of which were in the technology sector, often jumped rapidly in value upon
issuance. In some cases we elect to sell the stocks within a short time after
their purchase in order to "lock in" the gain; in other cases we choose to
continue holding the stock in the portfolio because its long-term prospects are
particularly attractive. These initial public offerings generated nearly one
fourth of the Series' total return for the year. We stress that this is an
unusually favorable time for IPOs and may not be repeated in future years.
- --------------------------------------------------------------------------------
31
<PAGE> 33
SERIES X (SMALL CAP SERIES)
February 15, 2000
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
AS OF DECEMBER 31, 1999(1)
1 Year Since Inception
(10-15-97)
Series X 87.20% 36.78%
(1) Performance figures do not reflect fees and expenses associated with an
investment in variable insurance products offered by Security Benefit Life
Insurance Company. Shares of a Series of SBL Fund are available only
through the purchase of such products. The investment manager waived its
advisory fee for the period ended November 30, 1999, and in the absence of
such waivers, the performance quoted would be reduced.
The performance data quoted above represents past performance. Past
performance is not predictive of future performance. The investment return
and principal value of an investment will fluctuate so that an investor's
shares, when redeemed, may be worth more or less than their original cost.
- --------------------------------------------------------------------------------
OUTLOOK AND POSITIONING FOR THE YEAR AHEAD
We expect the U.S. economy to continue to grow at a more moderate pace during
the next six months. We believe the Fed will remain vigilant, poised to nudge
interest rates higher preemptively to offset signs of inflationary pressure. In
our view, companies able to generate unit growth will continue to be the big
winners in this environment. When companies lack the ability to raise prices, as
they have experienced in this competitive environment, unit growth will support
the higher revenue run rates needed to offset cost pressures.
Our preference is for pure plays in dynamic niche markets, new product cycles or
innovative new services. As growth investors, our investment team is constantly
on the lookout for companies exhibiting sustainable fundamental improvement
regardless of industry in order to consistently outperform the broader market
averages.
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. Fee waivers reduced expenses of the Series and in the
absence of such waivers, the performance quoted would be reduced.
[GRAPH]
SERIES X VS RUSSELL 2000 GROWTH FUNDS INDEX & RUSSELL 2000 INDEX
RUSSELL 2000 GROWTH
DATE SBL FUND SERIES X FUNDS INDEX RUSSELL 2000 INDEX
- ---- ----------------- ------------------- ------------------
OCT 97 10000.0000 10,000 10,000
DEC 97 9580.0000 9,181 9,665
MARCH 98 10695.1275 10,273 10,636
JUNE 98 10404.7167 9,682 10,140
SEPT 98 8722.3371 7,517 8,097
DEC 98 10685.1133 9,295 9,418
MARCH 99 10671.0694 9,139 8,907
JUNE 99 11403.2011 10,486 10,292
SEPT 99 13218.4864 9,971 9,642
DEC 99 20002.6584 13,300 11,420
$10,000 Since Inception
The chart above assumes a hypothetical $10,000 investment in Series X (Small Cap
Series) on October 15, 1997 (date of inception), and reflects the fees and
expenses of Series X. On December 31, 1999, the value of the investment
(assuming reinvestment of all dividends and distributions) would have grown to
$20,003. By comparison, the same $10,000 investment would have grown to $13,300
based on the Russell 2000 Growth Funds Index's performance and $11,420 based on
the Russell 2000 Index's performance.
- --------------------------------------------------------------------------------
32
<PAGE> 34
SERIES Y (SELECT 25 SERIES)
February 15, 2000
[PHOTO]
Terry Milberger
Portfolio Manager
TO OUR CONTRACTHOLDERS:
We are pleased to manage for you the new Select 25 Series, a portfolio which
focuses on choosing the best growth stocks in the strongest-growing sectors of
the economy. Some of these companies have long histories as leaders in their
industries, such as General Electric Company. Others such as America Online,
Inc. must be judged by their potential for outperformance. While changes will be
made from time to time in the portfolio holdings, we expect turnover to be
relatively low.
Since inception of the portfolio May 3, 1999 the total return through the end of
the year was +23.70%, compared with +20.24% over the same period for the
benchmark Standard & Poor's Barra Growth Index.1 This benchmark is a
capitalization-weighted index of all the stocks in the Standard & Poor's 500
Index that have high price-to-book ratios. It is designed so that approximately
50% of the S&P 500 Index's market capitalization is included.
TECHNOLOGY AND CONSUMER CYCLICAL STOCKS WERE THE STARS
Our holdings in the technology sector were the largest contributors to total
return. Included among the top-performing names were Sun Microsystems, Inc., EMC
Corporation, and Cisco Systems, Inc. Consumer cyclical companies such as
Wal-Mart Stores, Inc., Home Depot, Inc., and advertising company Omnicom Group,
Inc. also did well in an economy in which consumers were spending at a record
pace.
A FEW UNDERPERFORMERS IN THE PORTFOLIO
Stocks of health care companies generally turned in negative results as
investors worried about the effects of legislation and regulation on the
industry. Medtronic, Inc., a manufacturer of medical devices and products, and
pharmaceutical giant Bristol-Myers Squibb Company barely held their ground from
inception of the portfolio.
Sungard Data Systems Inc., a provider of computer services and software to
financial firms, was hurt by the century date change ("Y2K") stigma and by an
earnings shortfall. Another disappointing stock was retail food and drug chain
Safeway Inc. which also preannounced poor earnings and had difficulty digesting
a large acquisition the company made earlier in the year.
TECHNOLOGY WILL CONTINUE TO OUTPERFORM
In the year ahead we expect the growth area to be the best-performing part of
the stock markets, with large-cap issues leading once again. Although this
portfolio is not restricted as to capitalization size, we believe the larger
companies in the various sectors have the potential to be the best performers.
We expect to keep about 40% of the portfolio in companies within the technology
sector, which at this time we believe has the best growth potential.
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.
- -------------------------------------------------------------------------------
33
<PAGE> 35
SERIES Y (SELECT 25 SERIES)
February 15, 2000
- -------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
AS OF DECEMBER 31, 1999(1)
Since Inception
(5-3-99)
Series Y 23.70%
(1) Performance figures do not reflect fees and expenses associated with an
investment in variable insurance products offered by Security Benefit Life
Insurance Company. Shares of a Series of SBL Fund are available only through
the purchase of such products.
The performance data quoted above represents past performance. Past
performance is not predictive of future performance. The return has been
calculated from May 3, 1999 (date of inception) to December 31, 1999 and is
not annualized. The investment return and principal value of an investment
will fluctuate so that an investor's shares, when redeemed, may be worth
more or less than their original cost.
- -------------------------------------------------------------------------------
[GRAPH]
SERIES Y VS
S&P/BARRA 500 GROWTH INDEX
DATE SBL FUND SERIES Y S&P BARRA 500 GROWTH INDEX
- ---- ----------------- --------------------------
MAY 99 10,000 10,000
MAY 99 9,700.00 9,708
JUNE 99 10,510.00 10,403
JULY 99 10,210.00 10,074
AUG 99 10,310.00 10,214
SEPT 99 10,340.00 10,041
OCT 99 11,070.00 10,736
NOV 99 11,530.00 11,195
DEC 99 12,370.00 12,023
$10,000 Since Inception
The chart above assumes a hypothetical $10,000 investment in Series Y (Select 25
Series) on May 3, 1999 (date of inception), and reflects the fees and expenses
of Series Y. On December 31, 1999, the value of the investment (assuming
reinvestment of all dividends and distributions) would have grown to $12,370. By
comparison, the same $10,000 investment would have grown to $12,023 based on the
S&P/BARRA 500 Growth Index's performance.
- -------------------------------------------------------------------------------
34
<PAGE> 36
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1999
<TABLE>
<CAPTION>
- -----------------
SERIES A (GROWTH)
- -----------------
NUMBER MARKET
PREFERRED STOCK OF SHARES VALUE
- --------------------------------------------------------------------------------
<S> <C> <C>
PUBLISHING - NEWSPAPER - 0.7%
News Corporation, Ltd. ADR ........................... 300,000 $ 10,031,250
COMMON STOCKS
- -------------
AEROSPACE/DEFENSE - 0.2%
General Dynamics Corporation ......................... 60,000 3,165,000
AIRLINES - 0.2%
Southwest Airlines Company ........................... 200,000 3,237,500
ALUMINUM - 0.3%
Alcoa, Inc. .......................................... 55,000 4,565,000
AUTOMOBILES - 0.5%
Ford Motor Company ................................... 125,000 6,679,688
BANKS - MAJOR REGIONAL - 2.8%
Bank of New York Company, Inc. ....................... 340,000 13,600,000
First Tennessee National Corporation ................. 120,000 3,420,000
Northern Trust Corporation ........................... 180,000 9,540,000
SunTrust Banks, Inc. ................................. 30,000 2,064,375
Wells Fargo Company .................................. 240,000 9,705,000
------------
38,329,375
BANKS - MONEY CENTER - 1.7%
Bank of America Corporation .......................... 150,000 7,528,125
Chase Manhattan Corporation .......................... 200,000 15,537,500
------------
23,065,625
BEVERAGES - ALCOHOLIC - 0.9%
Anheuser-Busch Companies, Inc. ....................... 185,000 13,111,875
BEVERAGES - SOFT DRINK - 0.7%
Coca-Cola Company .................................... 40,000 2,330,000
PepsiCo, Inc. ........................................ 225,000 7,931,250
------------
10,261,250
BROADCAST MEDIA - 1.1%
AMFM, Inc.* .......................................... 200,000 15,650,000
BUILDING MATERIALS - 0.7%
Masco Corporation .................................... 400,000 10,150,000
CHEMICALS - BASIC - 0.9%
Dow Chemical Company ................................. 25,000 3,340,625
E.I. du Pont de Nemours
and Company ....................................... 100,000 6,587,500
Rohm & Haas Company .................................. 70,000 2,848,125
------------
12,776,250
CHEMICALS - SPECIALTY - 0.5%
Ecolab, Inc. ......................................... 170,000 6,651,250
COMMUNICATIONS EQUIPMENT - 4.7%
ADC Telecommunications, Inc.* ........................ 75,000 5,442,188
Lucent Technologies, Inc. ............................ 265,000 19,825,312
Motorola, Inc. ....................................... 70,000 10,307,500
Nokia Oyj ADR ........................................ 50,000 9,500,000
Nortel Networks Corporation .......................... 150,000 15,150,000
Tellabs, Inc.* ....................................... 80,000 5,135,000
------------
65,360,000
COMPUTER HARDWARE - 4.4%
Dell Computer Corporation* ........................... 225,000 11,475,000
Hewlett-Packard Company .............................. 90,000 10,254,375
International Business Machines
Corporation ................................... 180,000 19,440,000
Sun Microsystems, Inc.* .............................. 255,000 19,746,562
------------
60,915,937
COMPUTER-NETWORKING - 2.6%
Cisco Systems, Inc.*(3) .............................. 345,000 36,958,125
COMPUTER-PERIPHERALS - 0.5%
EMC Corporation* ..................................... 60,000 6,555,000
COMPUTER SOFTWARE/SERVICES - 7.8%
America Online, Inc.* ................................ 180,000 13,578,750
BMC Software, Inc.* .................................. 185,000 14,788,438
Computer Sciences Corporation* ....................... 185,000 17,505,625
Microsoft Corporation*(3)............................. 420,000 49,035,000
Oracle Corporation* .................................. 120,000 13,447,500
------------
108,355,313
CONSUMER FINANCE - 0.5%
Household International, Inc. ........................ 185,000 6,891,250
DISTRIBUTION - FOOD & HEALTH - 0.9%
Cardinal Health, Inc. ................................ 250,000 11,968,750
ELECTRICAL EQUIPMENT - 4.7%
Emerson Electric Company ............................. 120,000 6,885,000
General Electric Company(3) .......................... 340,000 52,615,000
Solectron Corporation* ............................... 70,000 6,658,750
------------
66,158,750
ELECTRONICS - SEMICONDUCTORS - 2.7%
Intel Corporation(3).................................. 350,000 28,809,375
National Semiconductor Corporation*................... 60,000 2,568,750
Texas Instruments, Inc. .............................. 65,000 6,296,875
------------
37,675,000
ENTERTAINMENT - 2.0%
Seagram Company, Ltd. ................................ 150,000 6,740,625
Time Warner, Inc. .................................... 160,000 11,590,000
Viacom, Inc. (Cl.B)* ................................. 150,000 9,065,625
------------
27,396,250
EQUIPMENT - SEMICONDUCTORS - 0.4%
Applied Materials, Inc.* ............................. 40,000 5,067,500
FINANCIAL - DIVERSE - 3.4%
American Express Company ............................. 50,000 8,312,500
Citigroup, Inc. ...................................... 260,000 14,446,250
Fannie Mae ........................................... 210,000 13,111,875
Freddie Mac .......................................... 240,000 11,295,000
------------
47,165,625
FOODS - 0.9%
Bestfoods ............................................ 240,000 12,615,000
</TABLE>
- --------------------------------------------------------------------------------
35 See accompanying notes.
<PAGE> 37
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1999
<TABLE>
<CAPTION>
- -----------------------------
SERIES A (GROWTH) (CONTINUED)
- -----------------------------
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
- --------------------------------------------------------------------------------
<S> <C> <C>
HEALTH CARE - DIVERSE - 3.2%
American Home Products
Corporation ..................................... 170,000 $ 6,704,375
Bristol-Myers Squibb Company ....................... 225,000 14,442,187
Johnson & Johnson .................................. 115,000 10,709,375
Warner-Lambert Company ............................. 160,000 13,110,000
-----------
44,965,937
HEALTH CARE - PHARMACEUTICALS - GENERIC - 0.5%
Watson Pharmaceuticals, Inc.* ...................... 200,000 7,162,500
HEALTH CARE - PHARMACEUTICALS - MAJOR - 3.0%
Elan Corporation PLC ADR* .......................... 400,000 11,800,000
Merck & Company, Inc. .............................. 130,000 8,718,125
Pharmacia & Upjohn, Inc. ........................... 60,000 2,700,000
Schering-Plough Corporation ........................ 250,000 10,546,875
SmithKline Beecham PLC ADR ......................... 135,000 8,699,063
-----------
42,464,063
HOUSEHOLD FURNISHINGS & APPLIANCES - 0.8%
Leggett & Platt, Inc. .............................. 520,000 11,147,500
HOUSEHOLD PRODUCTS - 3.1%
Colgate-Palmolive Company .......................... 260,000 16,900,000
Dial Corporation ................................... 400,000 9,725,000
Procter & Gamble Company ........................... 150,000 16,434,375
-----------
43,059,375
INSURANCE - LIFE/HEALTH - 0.8%
American General Corporation ....................... 100,000 7,587,500
Lincoln National Corporation ....................... 91,100 3,644,000
-----------
11,231,500
INSURANCE - MULTILINE - 2.1%
American International Group, Inc. ................. 210,937 22,807,563
Hartford Financial Services Group, Inc. ............ 150,000 7,106,250
-----------
29,913,813
LODGING - HOTELS - 1.0%
Carnival Corporation ............................... 280,000 13,387,500
MACHINERY - DIVERSE - 0.6%
Caterpillar, Inc. .................................. 70,000 3,294,375
Deere & Company .................................... 55,000 2,385,625
Ingersoll-Rand Company ............................. 40,000 2,202,500
-----------
7,882,500
MANUFACTURING - DIVERSIFIED - 4.0%
Honeywell International, Inc. ...................... 200,000 11,537,500
Illinois Tool Works, Inc. .......................... 65,000 4,391,563
Textron, Inc. ...................................... 165,000 12,653,437
Tyco International, Ltd. ........................... 360,000 13,995,000
United Technologies Corporation .................... 200,000 13,000,000
-----------
55,577,500
MEDICAL PRODUCTS & SUPPLIES - 2.6%
Baxter International, Inc. ......................... 140,000 8,793,750
Becton, Dickinson & Company ........................ 230,000 6,152,500
Guidant Corporation* ............................... 150,000 7,050,000
Medtronic, Inc. .................................... 400,000 14,575,000
-----------
36,571,250
NATURAL GAS - 2.0%
Coastal Corporation ................................ 340,000 12,048,750
El Paso Energy Corporation ......................... 160,000 6,210,000
Williams Companies, Inc. ........................... 300,000 9,168,750
-----------
27,427,500
OIL - DOMESTIC - 0.4%
Conoco, Inc. ....................................... 240,000 5,940,000
OIL - INTERNATIONAL - 3.1%
Chevron Corporation ................................ 120,000 10,395,000
Exxon Mobil Corporation ............................ 250,000 20,140,625
Royal Dutch Petroleum
Company NY ...................................... 200,000 12,087,500
-----------
42,623,125
PERSONAL CARE - 0.6%
Avon Products, Inc. ................................ 80,000 2,640,000
Gillette Company ................................... 130,000 5,354,375
-----------
7,994,375
PUBLISHING - 0.5%
McGraw-Hill Companies, Inc. ........................ 120,000 7,395,000
PUBLISHING - NEWSPAPER - 1.5%
Gannett Company, Inc. .............................. 140,000 11,418,750
Tribune Company .................................... 185,000 10,186,563
-----------
21,605,313
RESTAURANT - 0.4%
McDonald's Corporation ............................. 130,000 5,240,625
RETAIL - APPAREL - 0.5%
TJX Companies, Inc. ................................ 350,000 7,153,125
RETAIL - BUILDING SUPPLIES - 1.5%
Home Depot, Inc. ................................... 225,000 15,426,563
Lowe's Companies, Inc. ............................. 100,000 5,975,000
-----------
21,401,563
RETAIL - DEPARTMENT STORES - 0.2%
Kohl's Corporation* ................................ 35,000 2,526,562
RETAIL - DRUG STORES - 1.0%
Walgreen Company ................................... 500,000 14,625,000
RETAIL - FOOD CHAINS - 1.3%
Kroger Company* .................................... 520,000 9,815,000
Safeway, Inc.* ..................................... 220,000 7,823,750
-----------
17,638,750
RETAIL - GENERAL MERCHANDISE - 2.3%
Dayton Hudson Corporation .......................... 200,000 14,687,500
Wal-Mart Stores, Inc. .............................. 260,000 17,972,500
-----------
32,660,000
RETAIL - SPECIALTY - 0.6%
Staples, Inc.* ..................................... 400,000 8,300,000
SERVICES - ADVERTISING/MARKETING - 1.0%
Omnicom Group, Inc. ................................ 140,000 14,000,000
</TABLE>
- --------------------------------------------------------------------------------
36 See accompanying notes.
<PAGE> 38
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1999
<TABLE>
<CAPTION>
- -----------------------------
SERIES A (GROWTH) (CONTINUED)
- -----------------------------
PRINCIPAL
AMOUNT OF
NUMBER MARKET
COMMERCIAL PAPER OF SHARES VALUE
- --------------------------------------------------------------------------------
<S> <C> <C>
SERVICES - COMMERCIAL & CONSUMER - 0.5%
Viad Corporation ............................ 260,000 $ 7,247,500
SERVICES - DATA PROCESSING - 0.5%
First Data Corporation ...................... 145,000 7,150,312
TELECOMMUNICATION - CELLULAR - 0.6%
Sprint Corporation (PCS Group)* ............. 80,000 8,200,000
TELECOMMUNICATION - LONG DISTANCE - 3.6%
AT & T Corporation .......................... 300,000 15,225,000
MCI WorldCom, Inc.* ......................... 375,000 19,898,438
Sprint Corporation (FON Group) .............. 235,000 15,818,437
--------------
50,941,875
TELEPHONE - 3.3%
BellSouth Corporation ....................... 225,000 10,532,812
CenturyTel, Inc. ............................ 150,000 7,106,250
GTE Corporation ............................. 200,000 14,112,500
SBC Communications, Inc. .................... 300,000 14,625,000
--------------
46,376,562
--------------
Total common stocks - 93.1% ............................... 1,300,535,938
COMMERCIAL PAPER
- ----------------
ELECTRIC UTILITIES - 0.2%
Duke Energy Corporation,
6.00% - 1-4-00 ........................... $ 400,000 399,133
E.I. du Pont de Nemours & Company, ..........
5.325% - 1-18-00 ......................... $ 1,600,000 1,595,977
Southern California Edison Company,
6.125% - 1-19-00 ......................... $ 1,600,000 598,163
--------------
2,593,273
--------------
Total investments - 94.0% ................................. 1,313,160,461
Cash and other assets,
less liabilities - 6.0% ................................. 83,834,592
--------------
Total net assets - 100.0% ................................. $1,396,995,053
==============
- ------------------------
SERIES B (GROWTH-INCOME)
- ------------------------
CORPORATE BONDS
- ---------------
BANKING - 0.1%
Homeside, Inc., 11.25% - 2003 ............... $ 1,335,000 1,525,238
CONSUMER CYCLICAL - OTHER - 0.1%
Golden Books Publishing,
7.65% - 2002* ............................ $ 3,500,000 1,487,500
CONSUMER - NON-CYCLICAL - 0.2%
Foodmaker Corporation 1993A,
9.75% - 2003 ............................. $ 1,250,000 1,262,500
Standard Commercial Tobacco,
8.875% - 2005 ............................ $ 350,000 284,375
--------------
1,546,875
--------------
Total corporate bonds - 0.4% .............................. 4,559,613
COMMON STOCKS
- -------------
AEROSPACE/DEFENSE - 2.0%
Boeing Company .............................. 500,000 20,781,250
AGRICULTURAL PRODUCTS - 0.4%
Archer-Daniels-Midland Company .............. 383,250 4,670,859
AIRLINES - 0.6%
AMR Corporation* ............................ 100,000 6,700,000
AUTOMOBILES - 1.0%
Ford Motor Company .......................... 200,000 10,687,500
AUTO PARTS & EQUIPMENT - 1.4%
Dana Corporation ............................ 200,000 5,987,500
Genuine Parts Company ....................... 250,000 6,203,125
TRW, Inc. ................................... 50,000 2,596,875
--------------
14,787,500
BANKS - MAJOR REGIONAL - 5.7%
Bank One Corporation ........................ 390,000 12,504,375
FleetBoston Financial Corporation ........... 350,000 12,184,375
KeyCorp ..................................... 430,000 9,513,750
PNC Bank Corporation ........................ 300,000 13,350,000
Wachovia Corporation ........................ 100,000 6,800,000
Wells Fargo Company ......................... 150,000 6,065,625
--------------
60,418,125
BANKS - MONEY CENTER - 4.8%
Bank of America Corporation ................. 500,000 25,093,750
J.P. Morgan & Company, Inc. ................. 200,000 25,325,000
--------------
50,418,750
BEVERAGES - SOFT DRINK - 1.0%
PepsiCo, Inc. ............................... 300,000 10,575,000
BUILDING MATERIALS - 0.3%
Owens Corning Corporation ................... 140,000 2,703,750
CHEMICALS - BASIC - 3.0%
Air Products & Chemicals, Inc. .............. 216,000 7,249,500
E.I. du Pont de Nemours & Company ........... 210,000 13,833,750
Praxair, Inc. ............................... 200,000 10,062,500
--------------
31,145,750
</TABLE>
- --------------------------------------------------------------------------------
37 See accompanying notes.
<PAGE> 39
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1999
<TABLE>
<CAPTION>
- ----------------------------------
SERIES B (GROWTH-INCOME)(CONTINUED)
- ----------------------------------
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
- --------------------------------------------------------------------------------
<S> <C> <C>
CHEMICALS - DIVERSIFIED - 1.2%
Engelhard Corporation ......................... 200,000 $ 3,775,000
FMC Corporation* .............................. 161,000 9,227,312
-----------
13,002,312
COMPUTER HARDWARE - 2.6%
Compaq Computer Corporation ................... 630,000 17,049,375
International Business Machines
Corporation ................................ 100,000 10,800,000
-----------
27,849,375
COMPUTER SOFTWARE/SERVICES - 0.6%
Autodesk, Inc. ................................ 200,000 6,750,000
CONTAINERS - METAL/GLASS - 0.5%
Crown Cork & Seal Company, Inc. ............... 245,000 5,481,875
CONTAINERS & PACKAGING - 0.3%
Pactiv Corporation* ........................... 300,000 3,187,500
DISTRIBUTION - FOOD & HEALTH - 0.5%
SUPERVALU, Inc. ............................... 250,000 5,000,000
ELECTRIC COMPANIES - 6.1%
Allegheny Energy, Inc. ........................ 171,000 4,606,313
American Electric Power Company, Inc. ......... 349,500 11,227,688
Duke Energy Corporation ....................... 200,000 10,025,000
GPU, Inc. ..................................... 100,000 2,993,750
Kansas City Power & Light Company ............. 303,200 6,689,350
LG&E Energy Corporation ....................... 100,000 1,743,750
Northern States Power Company ................. 200,000 3,900,000
Southern Company .............................. 400,000 9,400,000
Texas Utilities Company ....................... 375,000 13,335,938
-----------
63,921,788
ELECTRICAL EQUIPMENT - 2.4%
Emerson Electric Company ...................... 350,000 20,081,250
Hubbell, Inc. (Cl. B) ......................... 200,000 5,450,000
-----------
25,531,250
ELECTRONICS - DEFENSE - 0.2%
Raytheon Company (Cl. B) ...................... 100,000 2,656,250
ELECTRONICS - DISTRIBUTION - 0.3%
W.W. Grainger, Inc. ........................... 75,000 3,585,938
ELECTRONICS - SEMICONDUCTORS - 0.2%
Advanced Micro Devices, Inc.* ................. 75,000 2,170,313
ENGINEERING & CONSTRUCTION - 0.4%
McDermott International, Inc. ................. 500,000 4,531,250
ENTERTAINMENT - 1.7%
Walt Disney Company ........................... 600,000 17,550,000
FINANCIAL - DIVERSE - 2.7%
Fannie Mae .................................... 300,000 18,731,250
Freddie Mac ................................... 200,000 9,412,500
-----------
28,143,750
FOODS - 3.0%
Bestfoods, Inc. ............................... 100,000 5,256,250
ConAgra, Inc. ................................. 450,000 10,153,125
Kellogg Company ............................... 150,000 4,621,875
Tyson Foods, Inc. (Cl. A) ..................... 443,900 7,213,375
Universal Foods Corporation ................... 200,000 4,075,000
-----------
31,319,625
GOLD & PRECIOUS METALS MINING - 2.2%
Barrick Gold Corporation ...................... 500,000 8,843,750
Newmont Mining Corporation .................... 300,000 7,350,000
Placer Dome, Inc. ............................. 600,000 6,450,000
-----------
22,643,750
HEALTH CARE - DIVERSE - 0.9%
Abbott Laboratories ........................... 250,000 9,078,125
HEALTH CARE - MANAGED CARE - 0.5%
Aetna, Inc. ................................... 100,000 5,581,250
HEALTH CARE - PHARMACEUTICALS - MAJOR - 1.0%
Elan Corporation PLC ADR* ..................... 350,000 10,325,000
HOSPITAL MANAGEMENT - 0.1%
Columbia/HCA Healthcare
Corporation ................................ 50,000 1,465,625
HOUSEHOLD FURNISHINGS & APPLIANCES - 0.6%
Whirlpool Corporation ......................... 100,000 6,506,250
HOUSEWARES - 0.3%
Fortune Brands, Inc. .......................... 100,000 3,306,250
INSURANCE - LIFE & HEALTH - 2.9%
American General Corporation .................. 175,000 13,278,125
Conseco, Inc. ................................. 350,000 6,256,250
UnumProvident Corporation ..................... 330,000 10,580,625
-----------
30,115,000
INSURANCE - MULTILINE - 0.9%
Loews Corporation ............................. 155,000 9,406,563
INSURANCE - PROPERTY & CASUALTY - 2.3%
Chubb Corporation ............................. 135,000 7,602,188
Safeco Corporation ............................ 250,000 6,218,750
St. Paul Companies, Inc. ...................... 300,000 10,106,250
-----------
23,927,188
IRON & STEEL - 0.3%
USX-U.S. Steel Group, Inc. .................... 100,000 3,300,000
LEISURE TIME PRODUCTS - 0.2%
Mattel, Inc. .................................. 161,000 2,113,125
MACHINERY - DIVERSE - 2.3%
Caterpillar, Inc. ............................. 125,000 5,882,812
Deere & Company ............................... 412,000 17,870,500
-----------
23,753,312
</TABLE>
- --------------------------------------------------------------------------------
38 See accompanying notes.
<PAGE> 40
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1999
<TABLE>
<CAPTION>
- ------------------------------------
SERIES B (GROWTH-INCOME) (CONTINUED)
- ------------------------------------
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
- --------------------------------------------------------------------------------
<S> <C> <C>
MANUFACTURING - DIVERSIFIED - 2.8%
Minnesota Mining & Manufacturing
Company .................................... 75,000 $ 7,340,625
Textron, Inc. ................................. 100,000 7,668,750
Tyco International, Ltd. ...................... 200,000 7,775,000
United Technologies Corporation ............... 100,000 6,500,000
-----------
29,284,375
MEDICAL PRODUCTS & SUPPLIES - 3.4%
Baxter International, Inc. .................... 200,000 12,562,500
Becton, Dickinson & Company ................... 200,000 5,350,000
Dentsply International, Inc. .................. 300,000 7,087,500
St. Jude Medical, Inc.* ....................... 214,300 6,576,331
VISX, Inc.* ................................... 75,000 3,881,250
-----------
35,457,581
NATURAL GAS - 1.3%
El Paso Energy Corporation .................... 200,000 7,762,500
People's Energy Corporation ................... 188,600 6,318,100
-----------
14,080,600
OIL - DOMESTIC - 2.4%
Atlantic Richfield Company .................... 75,000 6,487,500
Conoco, Inc. (Cl.B) ........................... 122,840 3,055,645
Phillips Petroleum Company NY ................. 200,000 9,400,000
USX-Marathon Group ............................ 250,000 6,171,875
-----------
25,115,020
OIL - INTERNATIONAL - 5.1%
Chevron Corporation ........................... 150,000 12,993,750
Royal Dutch Petroleum
Company NY ................................. 400,000 24,175,000
Texaco, Inc. .................................. 309,100 16,787,994
-----------
53,956,744
OIL & GAS - DRILLING & EQUIPMENT - 3.7%
Halliburton Company ........................... 410,000 16,502,500
Schlumberger, Ltd. ............................ 350,000 19,687,500
Transocean Sedco Forex, Inc. .................. 67,900 2,287,381
-----------
38,477,381
OIL & GAS - EXPLORATION & PRODUCTION - 1.8%
Burlington Resources, Inc. .................... 245,000 8,100,312
EOG Resources, Inc. ........................... 250,000 4,390,625
Unocal Corporation ............................ 200,000 6,712,500
-----------
19,203,437
OIL & GAS - REFINING &MARKETING- 0.8%
Ashland, Inc. ................................. 268,000 8,827,250
PAPER & FOREST PRODUCTS - 1.8%
International Paper Company ................... 200,000 11,287,500
Louisiana-Pacific Corporation ................. 500,000 7,125,000
-----------
18,412,500
PERSONAL CARE - 0.4%
Gillette Company .............................. 100,000 4,118,750
PHOTOGRAPHY / IMAGING - 1.8%
Eastman Kodak Company ......................... 250,000 16,562,500
Polaroid Corporation .......................... 100,000 1,881,250
-----------
18,443,750
PUBLISHING - 0.4%
Harcourt General .............................. 100,000 4,025,000
PUBLISHING - NEWSPAPER - 0.3%
Dow Jones & Company, Inc. ..................... 50,000 3,400,000
RAILROADS - 1.4%
Norfolk Southern Corporation .................. 300,000 6,150,000
Union Pacific Corporation ..................... 200,000 8,725,000
-----------
14,875,000
REAL ESTATE INVESTMENT TRUSTS - 0.9%
Highwoods Properties, Inc. .................... 150,000 3,487,500
Hospitality Properties Trust .................. 300,000 5,718,750
-----------
9,206,250
RESTAURANT - 0.2%
CBRL Group, Inc. .............................. 185,000 1,795,078
RETAIL - COMPUTERS & ELECTRONICS - 0.5%
Best Buy Company, Inc.* ....................... 100,000 5,018,750
RETAIL - DEPARTMENT STORES - 1.0%
Dillard's Inc. ................................ 226,000 4,562,375
J.C. Penney Company, Inc. ..................... 300,000 5,981,250
-----------
10,543,625
RETAIL - FOOD CHAINS - 0.7%
Albertson's Inc. .............................. 227,500 7,336,875
RETAIL SPECIALTY - 0.3%
Toys "R" Us, Inc.* ............................ 200,000 2,862,500
SAVINGS & LOANS - 0.5%
Washington Mutual, Inc. ....................... 200,000 5,200,000
SERVICES - COMMERCIAL & CONSUMER - 0.2%
Laidlaw, Inc. ................................. 400,000 2,100,000
SPECIALTY PRINTING - 0.4%
R.R. Donnelley & Sons Company ................. 150,000 3,721,875
TELECOMMUNICATION - LONG DISTANCE - 4.8%
AT&T Corporation .............................. 450,000 22,837,500
MCI WorldCom, Inc.* ........................... 525,000 27,857,812
-----------
50,695,312
TELEPHONE - 2.3%
SBC Communications, Inc. ...................... 500,000 24,375,000
TEXTILES - APPAREL - 0.2%
Russell Corporation ........................... 130,000 2,177,500
</TABLE>
- --------------------------------------------------------------------------------
39 See accompanying notes.
<PAGE> 41
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1999
<TABLE>
<CAPTION>
- ----------------------------------
SERIES B (GROWTH-INCOME)(CONTINUED)
- ----------------------------------
PRINCIPAL
AMOUNT OR
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
- --------------------------------------------------------------------------------
<S> <C> <C>
TOBACCO - 1.8%
Philip Morris Companies, Inc. ............... 566,800 $ 13,142,675
UST, Inc. ................................... 250,000 6,296,875
--------------
19,439,550
--------------
Total common stocks - 98.6% ............................... 1,037,240,851
--------------
Total investments - 99.0% ................................. 1,041,800,464
Cash and other assets,
less liabilities - 1.0% ................................ 10,031,627
--------------
Total net assets - 100.0% ................................. $1,051,832,091
==============
SERIES C (MONEY MARKET)
COMMERCIAL PAPER
- ----------------
AEROSPACE/DEFENSE - 2.4%
Rockwell International Group,
5.70%, 2-1-00 ............................ $ 3,650,000 $ 3,633,978
BROKERAGE - 2.9%
Merrill Lynch & Company, Inc.,
4.93%, 2-4-00 ............................ 450,000 447,786
5.07%, 2-18-00 ........................... 650,000 645,352
6.00%, 3-15-00 ........................... 3,500,000 3,460,660
--------------
4,553,798
BUSINESS SERVICES - 4.0%
A1 Credit Corporation ....................... 1,600,000 1,594,032
General Electric Capital Corporation,
5.97%, 1-19-00 ........................... 3,000,000 2,992,830
6.05%, 2-24-00 ........................... 500,000 495,960
6.05%, 2-28-00 ........................... 105,000 104,087
6.10%, 3-15-00 ........................... 1,000,000 988,760
--------------
6,175,669
CHEMICALS - BASIC - 2.1%
E.I. duPont de Nemours and Company,
5.75%, 1-26-00 ........................... 3,200,000 3,188,992
COMBINATION GAS & ELECTRIC - 5.8%
Baltimore Gas & Electric Company,
6.18%, 1-13-00 ........................... 1,750,000 1,746,395
Central Illinois Light Company,
6.40%, 1-25-00 ........................... 1,500,000 1,495,065
6.33%, 2-2-00 ............................ 800,000 795,499
6.35%, 2-7-00 ............................ 2,000,000 1,989,240
6.50%, 3-8-00 ............................ 400,000 395,940
Madison Gas & Electric Company,
6.00%, 1-10-00 ........................... 1,600,000 1,597,600
Pacific Gas & Electric Company,
6.52%, 1-19-00 ........................... 900,000 897,066
--------------
8,916,805
COMPUTER SYSTEMS - 3.7%
International Business Machines,
5.60%, 2-7-00 ............................ 5,700,000 5,669,163
ELECTRIC UTILITIES - 11.0%
Duke Energy Corporation,
5.61%, 1-14-00 ........................... 1,700,000 1,697,195
5.33%, 1-21-00 ........................... 4,200,000 4,188,660
Georgia Power Company,
5.71%, 2-1-00 ............................ 1,200,000 1,194,780
5.72%, 2-2-00 ............................ 3,000,000 2,986,500
Potomac Electric Power Company,
5.77%, 1-26-00 ........................... 2,400,000 2,391,720
5.77%, 1-27-00 ........................... 3,200,000 3,188,480
Southern California Edison Company,
5.67%, 1-24-00 ........................... 1,300,000 1,295,905
--------------
16,943,240
ELECTRONICS - 2.3%
Emerson Electric Company,
5.90%, 1-31-00 ........................... 3,500,000 3,482,792
ENTERTAINMENT - 2.1%
Walt Disney Company
5.80%, 2-2-00 ............................ 1,600,000 1,592,800
5.85%, 3-17-00 ........................... 1,600,000 1,581,408
--------------
3,174,208
FINANCIAL SERVICES - 2.8%
Toyota Motor Credit Corporation,
5.80%, 2-10-00 ........................... 1,400,000 1,391,824
5.84%, 2-16-00 ........................... 2,500,000 2,483,100
5.83%, 2-17-00 ........................... 400,000 397,232
--------------
4,272,156
FOOD PROCESSING - 3.6%
General Mills, Inc. .........................
5.85%, 1-5-00 ............................ 2,500,000 2,498,375
McCormick &Company, Inc.,6.25%, 1-12-00 ..... 3,000,000 2,994,271
--------------
5,492,646
INDUSTRIAL SERVICES - 1.3%
PPG Industries, Inc.,
5.87%, 1-28-00 ........................... 2,050,000 2,040,975
NATURAL GAS - 4.6%
Laclede Gas Company,
5.25%, 1-5-00 ............................ 349,000 348,796
6.60%, 1-7-00 ............................ 200,000 199,780
New Jersey Natural Gas Company,
5.93%, 1-10-00 ........................... 4,500,000 4,495,275
Northern Illinois Gas Company
(Nicor Gas), 5.95% - 1-24-00 ............. 2,000,000 1,992,397
--------------
7,036,248
</TABLE>
- --------------------------------------------------------------------------------
40 See accompanying notes.
<PAGE> 42
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1999
<TABLE>
<CAPTION>
- ---------------------------------
SERIES C (MONEY MARKET)(CONTINUED)
- ---------------------------------
PRINCIPAL MARKET
COMMERCIAL PAPER (CONTINUED) AMOUNT VALUE
- --------------------------------------------------------------------------------
<S> <C> <C>
NUCLEAR - 2.9%
Bayshore Fuel Company,
5.90%, 2-11-00 ............................... $ 4,000,000 $ 3,975,880
6.00%, 2-11-00 ............................... 500,000 496,583
-------------
4,472,463
PHARMACEUTICALS - 2.6%
Schering Corporation,
6.05%, 1-11-00 ............................... 1,750,000 1,747,059
6.00%, 2-8-00 ................................ 2,300,000 2,285,433
-------------
4,032,492
PHOTOGRAPH/IMAGING - 2.4%
Eastman Kodak Company,
5.15%, 1-20-00 ............................... 450,000 448,777
5.84%, 1-20-00 ............................... 3,200,000 3,191,840
-------------
3,640,617
PUBLISHING - 1.5%
McGraw-Hill Companies, Inc.,
6.18%, 1-20-00 ............................... 1,300,000 1,295,760
6.35%, 1-21-00 ............................... 1,000,000 996,472
-------------
2,292,232
TELECOMMUNICATIONS - 8.8%
AT&T Corporation,
5.75%, 1-25-00 ............................... 2,000,000 1,993,420
5.84%, 2-25-00 ............................... 2,300,000 2,281,071
Bell Atlantic Network Funding Corporation,
5.80%, 1-19-00 ............................... 2,000,000 1,994,200
5.80%, 1-20-00 ............................... 1,000,000 996,902
5.87%, 1-21-00 ............................... 1,000,000 996,733
6.05%, 1-25-00 ............................... 500,000 497,983
BellSouth Telecommunications, Inc.,
5.45% - 1-18-00 ............................. 4,800,000 4,789,248
-------------
13,549,557
TOYS &SPORTING GOODS - 0.5%
Hasbro, Inc.,
5.05%, 1-21-00 ............................... 787,000 784,875
-------------
Total commercial paper - 67.3% ............................... 103,352,906
U.S. GOVERNMENT & AGENCIES
FEDERAL HOME LOAN BANKS - 1.9%
Federal Home Loan Bank Discount Corporation,
5.52%, 1-14-00 ............................... 1,000,000 998,650
5.77%, 3-23-00 ............................... 2,000,000 1,975,540
-------------
2,974,190
FEDERAL HOME LOAN MORTGAGES - 3.5%
Federal Home Loan Mortgage Corporation,
5.60%, 3-9-00 ................................ 900,000 890,820
5.07%, 3-31-00 ............................... 4,470,000 4,409,208
-------------
5,300,028
FEDERAL NATIONAL MORTGAGE ASSOCIATION - 6.3%
Federal National Mortgage Association,
5.52%, 1-24-00 ............................... 3,000,000 2,992,110
5.52%, 1-25-00 ............................... 3,000,000 2,991,750
4.86%, 4-12-00 ............................... 3,700,000 3,641,281
-------------
9,625,141
STUDENT LOAN MORTGAGE ASSOCIATION - 8.6%
Student Loan Mortgage Association,
5.52%, 7-25-04 ............................... 1,640,427 1,624,006
4.92%, 10-25-05 .............................. 4,553,283 4,531,939
5.15%, 10-28-06 .............................. 2,000,000 1,965,220
5.21%, 1-25-07 ............................... 3,749,908 3,742,291
5.33%, 4-25-08 ............................... 1,388,155 1,372,122
-------------
13,235,578
SMALL BUSINESS ASSOCIATION POOLS - 6.7%
#502406, 6.25% - 2006(1)...................... 293,595 293,595
#502163, 6.50% - 2012(1)...................... 678,078 678,078
#502353, 6.25% - 2018(1)...................... 87,617 87,617
#503176, 6.125% - 2020(1)..................... 371,559 373,417
#503295, 5.75% - 2021(1)...................... 721,333 721,333
#503303, 5.75% - 2021(1)...................... 803,222 803,223
#503283, 6.00% - 2021(1)...................... 896,617 892,834
#503308, 6.00% - 2021(1)...................... 606,014 606,014
#503459, 6.00% - 2021(1)...................... 1,322,247 1,317,289
#503343, 6.125% - 2021(1)..................... 1,176,365 1,176,365
#503347, 6.125% - 2021(1)..................... 3,334,043 3,334,043
-------------
10,283,808
-------------
Total U.S. government
& agencies - 27.0% ........................ 41,692,463 41,418,745
MISCELLANEOUS ASSETS
FUNDING AGREEMENTS - 5.8%
Security Life of Denver Insurance Company,
6.50625% - 10-31-011 ......................... 3,000,000 3,000,000
Travelers Insurance Company,
6.49630% - 8-21-011 .......................... 3,000,000 3,000,000
United of Omaha Life Insurance Company,
6.57625% - 1-21-021 .......................... 3,000,000 3,000,000
-------------
9,000,000
-------------
Total investments - 100.1% .................................. 153,771,651
Liabilities, less cash and other assets - (0.1%) ............ (183,063)
-------------
Total net assets - 100.0% ................................... $ 153,588,588
=============
</TABLE>
- --------------------------------------------------------------------------------
41 See accompanying notes.
<PAGE> 43
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1999
<TABLE>
<CAPTION>
- ---------------------------
SERIES D (WORLDWIDE EQUITY)
- ---------------------------
NUMBER MARKET
COMMON STOCKS OF SHARES VALUE
- --------------------------------------------------------------------------------
<S> <C> <C>
ARGENTINA - 0.3%
IRSA Inversiones y Representaciones S.A. GDR .......... 55,218 $ 1,780,781
AUSTRALIA - 1.2%
Australia & New Zealand Banking
Group, Ltd. ........................................ 559,500 4,057,162
Telstra Corporation, Ltd. ............................. 364,900 1,977,186
-----------
6,034,348
BELGIUM - 0.8%
Lernout & Hauspie Speech Products N.V.* ............... 86,200 3,986,750
BRAZIL - 1.2%
Tele Norte Leste Participacoes S.A.. .................. 235,751,000 6,375,201
CANADA - 0.9%
Bombardier, Inc. ...................................... 234,100 4,782,653
CROATIA - 0.6%
Pliva d.d. GDR 144-A .................................. 247,500 3,294,374
FINLAND - 0.9%
Nokia Corporation ADR ................................. 25,700 4,883,000
FRANCE- 10.3%
Alcatel ............................................... 39,400 9,004,760
Axa ................................................... 25,681 3,562,781
Canal Plus ............................................ 75,800 10,979,387
Cap Gemini S.A ........................................ 35,000 8,841,168
Genset ADR* ........................................... 240,800 4,590,250
Sidel S.A ............................................. 37,500 3,852,975
Societe BIC S.A ....................................... 94,200 4,266,170
Societe Television Francaise 1 ........................ 17,000 8,861,216
-----------
53,958,707
GERMANY - 6.6%
Fresenius AG .......................................... 43,400 7,917,757
Porsche AG ............................................ 4,950 13,397,076
ProSieben Media AG .................................... 75,726 4,395,058
Volkswagen AG ......................................... 53,680 3,000,919
Wella AG .............................................. 259,660 5,726,230
-----------
34,437,040
GREECE - 0.3%
Hellenic Telecommunications
Organization S.A ................................... 57,375 1,357,282
HONG KONG - 0.6%
Television Broadcasts, Ltd. ........................... 421,000 2,870,393
IRELAND - 1.0%
Elan Corporation PLC ADR* ............................. 180,730 5,331,535
ITALY - 1.8%
Telecom Italia Mobile SpA ............................. 685,800 7,623,776
UniCredito Italiano SpA ............................... 390,900 1,912,170
-----------
9,535,946
JAPAN - 5.6%
Credit Saison Company, Ltd. ........................... 115,700 2,012,076
DDI Corporation ....................................... 170 2,325,241
Eisai Company, Ltd. ................................... 233,000 4,473,108
Hoya Corporation ...................................... 26,000 2,044,844
Nintendo Company, Ltd. ................................ 15,400 2,554,755
NTT Mobile Communications
Network, Inc. ...................................... 180 6,911,240
Taisho Pharmaceutical Company, Ltd. ................... 65,000 1,905,134
Toshiba Corporation ................................... 954,000 7,269,992
-----------
29,496,390
MEXICO - 1.5%
Grupo Televisa S.A. GDR* .............................. 118,200 8,067,150
NETHERLANDS - 6.5%
Aegon N.V ............................................. 42,300 4,066,306
Getronics N.V ......................................... 152,660 12,119,690
Koninklijke (Royal) Philips
Electronics N.V .................................... 64,600 8,741,930
STMicroelectronics N.V ................................ 61,700 9,343,694
-----------
34,271,620
PORTUGAL - 0.9%
Portugal Telecom S.A .................................. 215,000 2,346,969
Telecel-Comunicacoes Pessoais S.A ..................... 142,100 2,465,655
-----------
4,812,624
SINGAPORE - 0.9%
Dairy Farm International
Holdings, Ltd. ..................................... 2,565,000 2,308,500
Singapore Press Holdings, Ltd. ........................ 110,800 2,400,888
-----------
4,709,388
SWEDEN - 0.5%
Autoliv, Inc. ......................................... 93,400 2,722,299
Telefonaktiebolaget
LM Ericsson ........................................ 900 57,626
-----------
2,779,925
UNITED KINGDOM - 8.8%
Allied Zurich PLC ..................................... 309,500 3,661,347
BP Amoco PLC ADR ...................................... 32,000 1,898,000
Cadbury Schweppes PLC ................................. 579,830 3,396,951
Dixons Group PLC ...................................... 227,200 5,452,394
Glaxo Wellcome PLC ADR ................................ 46,100 2,575,838
Hanson PLC ............................................ 510,000 4,208,471
Peninsular and Oriental Steam
Navigation Company ................................. 160,400 2,657,552
Reed International PLC ................................ 473,800 3,524,122
Rentokil Initial PLC .................................. 955,500 3,472,654
Royal Bank of Scotland Group PLC ...................... 103,100 1,817,859
Telewest Communications PLC* .......................... 442,472 2,353,336
WPP Group PLC ......................................... 717,800 11,279,563
-----------
46,298,087
</TABLE>
- --------------------------------------------------------------------------------
42 See accompanying notes.
<PAGE> 44
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1998
<TABLE>
<CAPTION>
- --------------------------------------
SERIES D (WORLDWIDE EQUITY)(CONTINUED)
- --------------------------------------
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
- ----------------------------------------------------------------------------------
<S> <C> <C>
UNITED STATES - 36.0%
Affymetrix, Inc.* ................................. 40,200 $ 6,821,437
ALZA Corporation* ................................. 112,100 3,881,462
American Express Company .......................... 26,150 4,347,437
American International Group, Inc. ................ 18,750 2,027,344
Amgen, Inc.* ...................................... 91,400 5,489,712
Associates First Capital Corporation .............. 42,700 1,171,581
C.R. Bard, Inc. ................................... 53,300 2,824,900
Cadence Design Systems, Inc.* ..................... 474,200 11,380,800
Circuit City Stores -
Circuit City Group ............................. 84,000 3,785,250
Cisco Systems, Inc.* .............................. 43,000 4,606,375
Citigroup, Inc. ................................... 79,500 4,417,219
Fannie Mae ........................................ 61,700 3,852,394
General Motors Corporation ........................ 58,400 4,244,950
Genzyme Corporation* .............................. 54,100 2,434,500
Gilead Sciences, Inc.* ............................ 56,900 3,079,713
Hasbro, Inc. ...................................... 143,650 2,738,328
ICICI, Ltd.* ...................................... 100,000 1,387,500
ICICI, Ltd. ADR* .................................. 236,000 3,481,000
International Business Machines
Corporation .................................... 44,000 4,752,000
International Flavors &
Fragrances, Inc. ............................... 142,300 5,371,825
International Game Technology ..................... 169,900 3,451,094
Lehman Brothers Holdings, Inc. .................... 67,400 5,707,938
Manpower, Inc. .................................... 119,200 4,484,900
MCI WorldCom, Inc.* ............................... 60,900 3,231,506
Millennium Pharmaceuticals, Inc.* ................. 63,400 7,734,800
National Semiconductor
Corporation* ................................... 354,400 15,172,750
Oracle Corporation* ............................... 102,600 11,497,613
QUALCOMM, Inc.* ................................... 108,320 19,091,400
Quintiles Transnational
Corporation* ................................... 136,400 2,548,975
Scientific-Atlanta, Inc. .......................... 122,365 6,806,553
Sun Microsystems, Inc.* ........................... 127,260 9,854,696
Sybase, Inc.* ..................................... 97,900 1,664,300
Synopsys, Inc.* ................................... 32,700 2,182,725
Telefonaktiebolaget LM
Ericsson ADR ................................... 168,800 11,088,050
Telesp Celular
Participacoes S.A. ADR ......................... 21,300 902,588
Walt Disney Company ............................... 64,800 1,895,400
------------
189,411,015
------------
Total common stocks - 87.2% .................................... 458,474,209
RIGHTS
- ------
UNITED KINGDOM - 0.0%
Telewest Communications Rights* ................... 8 $ 10
------------
Total investments - 87.2% ...................................... 458,474,219
Cash and other assets, less liabilities - 12.8% ................ 67,273,963
------------
Total net assets - 100.0% ...................................... $525,748,182
============
INVESTMENT CONCENTRATION
- ------------------------
At December 31, 1999, Series D's investment concentration by industry was as
follows:
Advertising .............................. 2.2%
AutoParts & Supplies ..................... 0.5%
Automobiles .............................. 3.9%
Banks & Credit ........................... 1.5%
Broadcast Media .......................... 6.7%
Building & Construction .................. 0.8%
Communications ........................... 3.6%
Computer Software ........................ 2.2%
Computer Systems ......................... 7.9%
Cosmetics ................................ 1.1%
Electrical Equipment ..................... 1.4%
Electronics .............................. 4.7%
Entertainment ............................ 1.5%
Financial Services ....................... 5.0%
Food Wholesalers ......................... 0.7%
Health Care .............................. 6.3%
Household Products ....................... 1.0%
Insurance ................................ 2.5%
Machinery ................................ 0.7%
Manufacturing ............................ 0.9%
Medical .................................. 0.9%
Office Equipment ......................... 0.8%
Oil ...................................... 0.4%
Pharmaceuticals .......................... 5.2%
Publishing ............................... 0.7%
Real Estate Development .................. 0.3%
Retail ................................... 2.2%
Semiconductors ........................... 5.1%
Services ................................. 1.8%
Telecommunications ....................... 13.7%
Toys & Sporting Goods .................... 0.5%
Transportation ........................... 0.5%
Cash & other assets, less liabilities .... 12.8%
-----
100.0%
=====
</TABLE>
- --------------------------------------------------------------------------------
43 See accompanying notes.
<PAGE> 45
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1999
<TABLE>
<CAPTION>
- ----------------------------
SERIES E (HIGH GRADE INCOME)
- ----------------------------
PRINCIPAL
AMOUNT OR
NUMBER MARKET
CORPORATE BONDS OF SHARES VALUE
- --------------------------------------------------------------------------------
<S> <C> <C>
AIRLINES - 3.4%
Southwest Airlines Company,
7.875% - 2007 ................................... $2,475,000 $2,505,938
United Airlines, 11.21% - 2014 ..................... $1,825,000 2,164,906
----------
4,670,844
AUTOMOTIVE - 3.3%
Federal-Mogul Corporation,
7.75% - 2006 .................................... $ 250,000 235,000
7.50% - 2009 .................................... $ 250,000 225,937
7.785% - 2010 ................................... $ 250,000 228,438
Ford Motor Company,
7.25% - 2008 .................................... $1,000,000 973,750
General Motors Corporation,
7.70% - 2016 .................................... $2,375,000 2,372,031
Mark IV Industries, 7.50% - 2007 ................... $ 500,000 453,750
----------
4,488,906
BANKING - 2.6%
Bank of New York Company, Inc.,
6.50% - 2003 .................................... $ 25,000 24,375
B.F. Saul REIT, 9.75% - 2008 ....................... $ 250,000 235,938
Homeside, Inc., 11.25% - 2003 ...................... $1,250,000 1,428,125
Washington Mutual Capital,
8.375% - 20274 .................................. $2,025,000 1,895,906
----------
3,584,344
BASIC INDUSTRY - OTHER 1.1%
Pioneer Hi Bred International, Inc.,
5.75% - 2009 .................................... $1,650,000 1,470,562
BEVERAGE - 3.1%
Anheuser-Busch Companies, Inc.,7.10% - 2007 ........ $2,425,000 2,352,250
Canadaigua Brands, 8.625% - 2006 ................... $ 250,000 248,750
Pepsi Bottling Holdings, Inc.,
5.625% - 2009 ................................... $1,900,000 1,676,750
----------
4,277,750
BROKERAGE - 1.9%
SI Financing Trust, Inc.,
9.50% - 20264 ................................... 102,610 2,616,555
BUILDING MATERIALS - 3.0%
LaFarge Corporation, 6.375% - 2005 $1,025,000 960,937
Martin Marietta Material,
5.875% - 2008 ................................... $1,850,000 1,651,125
Nortek, Inc., 8.875% - 2008 ........................ $ 500,000 475,000
Vulcan Materials Company,
5.75% - 2004 .................................... $1,100,000 1,047,750
----------
4,134,812
CONSTRUCTION MACHINERY - 1.2%
AGCO Corporation, 8.50% - 2006 ..................... $ 500,000 465,625
Columbus Mckinnon Corporation,
8.50% - 2008 .................................... $ 500,000 431,250
Sequa Corporation, 9.00% - 2009 .................... $ 300,000 291,375
Titan Wheel International, Inc.,
8.75% - 2007 .................................... $ 500,000 420,625
----------
1,608,875
CONSUMER CYCLICALS - OTHER - 0.2%
American ECO Corporation,
9.625% - 2008 ................................... $ 500,000 258,750
ENERGY - OTHER - 0.2%
P&L Coal Holdings Corporation,
8.875% - 2008 ................................... $ 300,000 293,250
ENTERTAINMENT - 0.7%
Paramount Communications,
7.50% - 2023 .................................... $1,000,000 882,500
FINANCE - OTHER - 1.4%
EOP Operating LP, REIT,
6.625% - 2005 ................................... $2,050,000 1,944,937
FINANCIAL COMPANIES - 6.5%
American RE Capital, 8.50% - 20254 ................. 46,000 1,104,000
Associates Corporation, N.A.,
7.55% - 2006 .................................... $ 925,000 923,844
CB Richard Ellis Service,
8.875% - 2006 ................................... $ 500,000 451,250
Countrywide Capital, 8.00% - 2026(4)................ $1,000,000 891,250
Merrill Lynch & Company, Inc.,
7.375% - 2006 ................................... $2,500,000 2,481,250
Morgan Stanley Dean Witter Discover
& Company, 7.25% - 2023 ......................... $2,500,000 2,193,750
PNC Funding Corporation,
7.75% - 2004 .................................... $ 800,000 807,000
----------
8,852,344
FINANCIAL COMPANIES - CAPTIVE - 0.7%
Bayer Corporation, 6.20% - 2008 .................... $1,000,000 925,000
FOOD - 5.4%
Archer-Daniels-Midland Company,
8.875% - 2011 ................................... $2,025,000 2,212,313
Cargill, Inc., 6.15% - 2008 ........................ $1,625,000 1,478,750
Chiquita Brands International, Inc.,
10.25% - 2006 ................................... $ 500,000 361,250
Conagra, Inc., 6.70% - 2027 ........................ $2,000,000 1,902,500
Nash Finch Company, 8.50% - 2008 ................... $ 500,000 413,750
Supervalu, Inc., 7.875% - 2009 ..................... $1,000,000 973,750
----------
7,342,313
</TABLE>
- --------------------------------------------------------------------------------
44 See accompanying notes.
<PAGE> 46
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1999
<TABLE>
<CAPTION>
- ----------------------------------------
SERIES E (HIGH GRADE INCOME)(CONTINUED)
- ----------------------------------------
PRINCIPAL MARKET
CORPORATE BONDS (CONTINUED) AMOUNT VALUE
- --------------------------------------------------------------------------------
<S> <C> <C>
GAMING - 2.6%
Boyd Gaming Corporation,
9.25% - 2003 .................................. $ 500,000 $ 503,750
Circus Circus Enterprise,
9.25% - 2005 .................................. 250,000 253,750
MGM Grand, Inc., 6.95% - 2005 .................... 1,410,000 1,298,962
Mirage Resorts, Inc., 6.625% - 2005 ............. 1,160,000 1,064,300
Park Place Entertainment,
7.875% - 2005 ................................. 500,000 478,750
----------
3,599,512
HEALTHCARE - 0.5%
Rural/Metro Corporation,
7.875% - 2008 ................................. 250,000 196,250
Tenet Healthcare Corporation, 8.125% - 2008 ...... 500,000 466,875
----------
663,125
HOME CONSTRUCTION - 0.9%
D.R. Horton, Inc., 8.375% - 2004 ................. 125,000 122,187
MDC Holdings, 8.375% - 2008 ...................... 250,000 227,813
Oakwood Homes Corporation,
8.125% - 2009 ................................. 500,000 257,500
Standard Pacific Corporation,
8.50% - 2009 .................................. 500,000 462,500
Toll Corporation, 7.75% - 2007 ................... 125,000 117,187
----------
1,187,187
INDEPENDENT ENERGY - 0.6%
Seagull Energy Corporation,
8.625% - 2005 ................................. 800,000 801,000
INSURANCE - LIFE - 2.4%
Chubb Corporation, 6.15% - 2005 .................. 2,475,000 2,338,875
St. Paul Companies, Inc.,
6.38% - 2008 .................................. 1,000,000 901,250
----------
3,240,125
LODGING - 0.3%
HMH Properties, 7.875% - 2008 .................... 500,000 446,250
MEDIA - CABLE - 2.5%
Adelphia Communications, Inc.,
9.50% - 2004 .................................. 43,388 42,629
8.375% - 2008 ................................. 250,000 232,500
Century Communications
Corporation, 8.375% - 2007 .................... 125,000 118,437
Comcast Corporation, 9.125% - 2006 ............... 150,000 156,188
Jones Intercable, Inc., 7.625% - 2008 ............ 500,000 496,250
Lenfest communications, Inc.,
10.50% - 2006 ................................. 500,000 561,250
Rogers Cablesystems, 9.625% - 2002.. 500,000 518,750
Rogers Communications, Inc.,
9.125% - 2006 ................................. 450,000 451,125
Time Warner Entertainment Company,
10.15% - 2012 ................................. 670,000 785,575
----------
3,362,704
MEDIA - NON-CABLE - 1.1%
K-III Communications Corporation,
10.25% - 2004 ................................. 555,000 548,756
News American Holdings,
8.625% - 2003 ................................. 500,000 516,250
USA Network, 6.75% - 2005 ........................ 500,000 476,875
----------
1,541,881
METALS - 0.9%
AK Steel Corporation, 7.875% - 2009............... 500,000 475,000
California Steel Industries,
8.50% - 2009 .................................. 500,000 483,750
WHX Corporation, 10.50% - 2005 ................... 250,000 244,375
----------
1,203,125
OIL FIELD SERVICES - 1.4%
Transocean Offshore, Inc.,
8.00% - 2027 .................................. 2,000,000 1,962,500
RAILROADS - 2.5%
ROCS Series Burlington Northern
Santa Fe 1998-1, 6.50% - 2017 ................. 1,439,117 1,297,420
ROCS Series NSC 1998-1,
6.375% - 2017 ................................. 2,360,691 2,105,046
----------
3,402,466
RETAILERS - 3.4%
Ames Department Stores,
10.00% - 2006 ................................. 250,000 246,875
Lowe's Companies, Inc.,
6.70% - 2007 .................................. 1,625,000 1,551,875
Mattel, Inc., 6.125% - 2005 ...................... 700,000 639,625
Sears Roebuck Acceptance,
6.41% - 2001 .................................. 350,000 345,625
Tandy Corporation, 6.95% - 2007 .................. 1,100,000 1,053,250
Zale Corporation, 8.50% - 2007 ................... 750,000 743,438
----------
4,580,688
SERVICES - 0.7%
Loewen Group International, Inc.,
8.25% - 2003 .................................. 850,000 446,250
Protection One Alarm,
7.375% - 2005 ................................. 500,000 397,500
Unisys Corporation, 7.875% - 2008 ................ 175,000 168,438
----------
1,012,188
SUPERMARKETS - 0.7%
Safeway, Inc., 6.50% - 2008 ...................... 1,000,000 921,250
TECHNOLOGY - 0.7%
Electronic Data Systems,
7.125% - 2009 ................................. 1,000,000 976,250
</TABLE>
- --------------------------------------------------------------------------------
45 See accompanying notes.
<PAGE> 47
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1999
<TABLE>
<CAPTION>
- ----------------------------------------
SERIES E (HIGH GRADE INCOME)(CONTINUED)
- ----------------------------------------
PRINCIPAL
AMOUNT OR
NUMBER MARKET
CORPORATE BONDS (CONTINUED) OF SHARES VALUE
- --------------------------------------------------------------------------------
<S> <C> <C>
TELECOMMUNICATIONS - 5.1%
Alestra, SA., 12.625% - 2009 ............... $ 500,000 $ 501,875
AT&T Corporation, 7.00% - 2005 ............. 2,475,000 2,428,594
Cable & Wireless, PLC
6.75% - 2008 ............................ 700,000 693,000
Call-Net Enterprises, Inc.,
9.375% - 2009 ........................... 500,000 413,750
GTE Corporation, 7.51% - 2009 .............. 1,500,000 1,498,125
Mastec, Inc., 7.75% - 2008 ................. 500,000 486,250
SBC Communications Capital
Corporation, 6.625% - 2007 .............. 1,025,000 984,000
------------
7,005,594
TEXTILES - 0.2%
Westpoint Stevens, Inc.,
7.875% - 2008 ........................... 300,000 269,250
TOBACCO - 0.6%
Dimon, Inc., 8.875% - 2006 ................. 400,000 357,000
Standard Commercial Tobacco
Corporation, 8.875% - 2005 .............. 500,000 406,250
------------
763,250
TRANSPORTATION - OTHER - 0.3%
Allied Holdings, Inc.,
8.625% - 2007 ........................... 500,000 443,750
TRANSPORTATION - SERVICES - 0.6%
ROCS Series FDX 1997 - 1,
7.00% - 2017 ............................ 950,149 867,193
UTILITIES - ELECTRIC - 1.7%
Calpine Corporation, 8.75% - 2007 .......... 500,000 501,875
CMS Energy Corporation,
6.75% - 2004 ............................ 500,000 463,750
East Coast Power LLC,
6.737% - 2008 ........................... 236,435 221,953
7.066% - 2012 ........................... 250,000 222,188
National Rural Utilities,
5.50% - 2005 ............................ 1,000,000 915,000
------------
2,324,766
UTILITIES - NATURAL GAS - 1.1%
National Fuel Gas Company,
6.303% - 2008 ........................... 1,750,000 1,577,187
YANKEE - CANADIANS - 1.6%
Quebecor Printing Capital,
7.25% - 2007 ............................ 2,350,000 2,194,312
YANKEE - CORPORATE - 10.4%
Abbey National PLC, 6.69% - 2005 ........... $ 2,375,000 2,277,031
ABN AMRO Bank NV,
7.30% - 2026 ............................ $ 1,500,000 1,357,500
Agrium, Inc., 7.00% - 2004 ................. $ 1,000,000 952,500
Argentaria Capital Funding,
6.375% - 2006 ........................... $ 2,000,000 1,858,978
BCH Cayman Islands, Ltd.,
7.70% - 2006 ........................... $ 2,500,000 2,490,625
Den Danske Bank, 7.40% - 2010 .............. $ 2,175,000 2,093,438
PanAmerican Beverages, Inc.,
8.125% - 2003 ........................... $ 2,050,000 1,957,750
Petroleum Geo-Services,
7.50% - 2007 ............................ $ 1,200,000 1,174,500
------------
14,162,322
------------
Total corporate bonds - 77.5% .......................... 105,859,617
PREFERRED STOCK
- ---------------
BANKS & CREDIT - 0.6%
ABN AMRO Capital Fund II,
7.125% .................................. 40,000 792,500
MORTGAGE BACKED SECURITIES
- --------------------------
U.S. GOVERNMENT AGENCIES - 5.2%
Federal Home Loan Bank,
6.375% - 2006 ........................... $ 900,000 870,516
Federal Home Loan Mortgage Corporation,
FHR 1250 H, 7.00% - 2020 CMO ............ $ 4,598 4,587
FHR 188 H, 7.00% - 2021 CMO ............. $ 22,077 21,653
FHR 1311 J, 7.50% - 2021 CMO ............ $ 3,325,000 3,284,102
FHR 1930 AB, 7.50% - 2023 CMO ........... $ 364,347 366,373
FHLMC Series 1339 CL:C,
8.00% - 2006 .......................... $ 946,297 962,422
FHLMC, 6.25% - 2004 ..................... $ 750,000 733,125
Federal National Mortgage Association,
FNR 1992-58 J, 6.50% - 2018 ............. $ 10,258 10,216
FNR 1990-68 J, 6.95% - 2020 ............. $ 92,354 90,161
FNR 1990-103 K, 7.50% - 2020 ............ $ 17,767 17,737
FNMA, 6.00% - 2008 ...................... $ 850,000 795,745
------------
7,156,637
</TABLE>
- --------------------------------------------------------------------------------
46 See accompanying notes.
<PAGE> 48
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1999
<TABLE>
<CAPTION>
- ----------------------------------------
SERIES E (HIGH GRADE INCOME)(CONTINUED)
- ----------------------------------------
MORTGAGE PRINCIPAL MARKET
BACKED SECURITIES (CONTINUED) AMOUNT VALUE
- --------------------------------------------------------------------------------
<S> <C> <C>
U.S. GOVERNMENT SECURITIES - 9.8%
Government National Mortgage Association,
GNMA 39238, 9.50% - 2009 ........................ $ 159,490 $ 168,860
GNMA 305617, 9.00% - 2021 ....................... 147,670 153,960
GNMA 301465, 9.00% - 2021 ....................... 114,108 118,970
GNMA 313107, 7.00% - 2022 ....................... 1,225,573 1,200,779
GNMA 352022, 7.00% - 2023 ....................... 1,306,755 1,261,828
GNMA 369303, 7.00% - 2023 ....................... 1,282,442 1,254,959
GNMA 780454, 7.00% - 2026 ....................... 2,033,962 1,965,316
GNMA 462680, 7.00% - 2028 ....................... 2,252,516 2,181,967
GNMA 482668, 7.00% - 2028 ....................... 991,125 959,756
GNMA 494109, 7.50% - 2029 ....................... 708,190 700,237
GNMA 510704, 7.50% - 2029 ....................... 1,197,310 1,183,853
GNMA 518436, 7.25% - 2029 ....................... 997,508 974,785
GNMA II 181907, 9.50% - 2020 .................... 163,687 171,558
GNMA II 2445, 8.00% - 2027 ...................... 989,139 991,464
GNR 1997-10B, 7.50% - 2019 ...................... 72,481 72,321
------------
13,360,613
NON-AGENCY SECURITIES - 1.6%
Chase Commercial Mortgage Securities
Company, 1997-1B, 7.37% - 2007 CMO .............. 1,500,000 1,473,945
Chase Commercial Mortgage
Securities Company, 1998-1B,
6.56% - 2008 CMO ................................ 500,000 468,649
Global Rated Eligible Asset Trust
7.33% - 2006 .................................... 856,367 188,401
------------
2,130,995
------------
Total mortgage backed securities - 16.6% ....................... 22,648,245
U.S. GOVERNMENT SECURITIES
- --------------------------
U.S. Treasury Bonds,
6.625% - 2027 ................................... 1,500,000 1,486,770
Tennessee Valley Authority,
6.00% - 2013 .................................... 1,000,000 897,500
U.S. Department of Housing
and Urban Development,
6.93% - 2013 .................................... 3,000,000 2,827,659
------------
Total government securities - 3.8% ............................. 5,211,929
------------
Total investments - 98.5% ...................................... 134,512,291
Cash and other assets, less liabilities - 1.5% .. 2,120,180
------------
Total net assets - 100.0% ...................................... $136,632,471
============
- -------------------------
SERIES H (ENHANCED INDEX)
- -------------------------
NUMBER MARKET
COMMON STOCKS OF SHARES VALUE
- --------------------------------------------------------------------------------
AEROSPACE/DEFENSE - 0.5%
Boeing Company ..................................... 1,600 $ 66,500
General Dynamics Corporation ....................... 300 15,825
BF Goodrich Company ................................ 900 24,750
Lockheed Martin Corporation ........................ 700 15,313
------------
122,388
AGRICULTURAL PRODUCTS - 0.0%
Archer-Daniels-Midland Company ..................... 1,005 12,248
AIR FREIGHT - 0.1%
FDX Corporation* ................................... 700 28,656
AIRLINES - 0.2%
AMR Corporation* ................................... 400 26,800
Delta Air Lines, Inc. .............................. 500 24,906
Southwest Airlines Company ......................... 500 8,094
------------
59,800
ALUMINUM - 0.4%
Alcan Aluminum, Ltd. ............................... 700 28,831
ALCOA, Inc. ........................................ 200 16,600
Reynolds Metals Company ............................ 600 45,975
------------
91,406
AUTO PARTS &EQUIPMENT - 0.2%
Dana Corporation ................................... 100 2,994
Delphi Automotive Systems Corporation .............. 689 10,852
Genuine Parts Company .............................. 300 7,444
Goodyear Tire & Rubber Company ..................... 300 8,456
TRW, Inc. .......................................... 200 10,387
------------
40,133
AUTOMOBILES - 0.8%
Ford Motor Company3 ................................ 1,900 101,531
General Motors Corporation3 ........................ 1,300 94,494
------------
196,025
BANKS - MAJOR REGIONAL - 2.6%
Amsouth Bancorporation ............................. 587 11,336
BB&T Corporation ................................... 500 13,688
Bank of New York Company, Inc. ..................... 1,300 52,000
Bank One Corporation ............................... 1,900 60,919
Comerica, Inc. ..................................... 200 9,337
Fifth Third Bancorp ................................ 500 36,688
Firstar Corporation ................................ 1,654 34,941
FleetBoston Financial Corporation .................. 1,565 54,482
Huntington Bancshares, Inc. ........................ 200 4,775
KeyCorp ............................................ 400 8,850
Mellon Financial Corporation ....................... 800 27,250
National City Corporation .......................... 1,100 26,056
Northern Trust Corporation ......................... 200 10,600
Old Kent Financial Corporation ..................... 200 7,075
PNCBank Corporation ................................ 400 17,800
Regions Financial Corporation ...................... 200 5,025
</TABLE>
- --------------------------------------------------------------------------------
47 See accompanying notes.
<PAGE> 49
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1999
<TABLE>
<CAPTION>
- ----------------------------------------
SERIES H (ENHANCED INDEX)(CONTINUED)
- ----------------------------------------
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
- --------------------------------------------------------------------------------
<S> <C> <C>
BANKS - MAJOR REGIONAL (CONTINUED)
Republic New York Corporation ............... 200 $ 14,400
Southtrust Corporation ...................... 300 11,344
State Street Boston ......................... 200 14,613
Summit Bancorp .............................. 300 9,187
Suntrust Banks, Inc. ........................ 500 34,406
Synovus Financial Corporation ............... 300 5,962
U.S. Bancorp ................................ 1,262 30,051
Union Planters Corporation .................. 600 23,663
Wachovia Corporation ........................ 300 20,400
Wells Fargo Company(3) ...................... 2,700 109,181
----------
654,029
BANKS - MONEY CENTER - 1.5%
Bank of America Corporation(3) .............. 3,000 150,563
Chase Manhattan Corporation(3) .............. 1,400 108,763
First Union Corporation ..................... 1,300 42,656
J.P. Morgan & Company, Inc. ................. 500 63,312
----------
365,294
BEVERAGES - ALCOHOLIC - 0.2%
Anheuser-Busch Companies, Inc. .............. 800 56,700
BEVERAGES - SOFT DRINK - 1.3%
Coca-Cola Company(3) ........................ 3,900 227,175
Coca-Cola Enterprises, Inc. ................. 800 16,100
PepsiCo, Inc. ............................... 2,100 74,025
----------
317,300
BIOTECHNOLOGY - 0.4%
Amgen, Inc.* ................................ 1,800 108,113
BROADCAST MEDIA - 1.6%
CBS Corporation* ............................ 1,753 112,082
Clear Channel
Communications, Inc.* .................... 800 71,400
Comcast Corporation ......................... 1,300 65,731
MediaOne Group, Inc.*(3) .................... 2,100 161,306
----------
410,519
BUILDING MATERIALS - 0.1%
Armstrong World Industries, Inc. ............ 100 3,337
Masco Corporation ........................... 700 17,763
TJ International, Inc. ...................... 300 12,600
----------
33,700
CHEMICALS - BASIC - 0.9%
Air Products & Chemicals, Inc. .............. 200 6,712
Dow Chemical Company ........................ 300 40,088
E.I. du Pont de Nemours
& Company(3) ............................. 2,001 131,816
Eastman Chemical Company .................... 100 4,769
Praxair, Inc. ............................... 100 5,031
Rohm & Haas Company ......................... 200 8,137
Union Carbide Corporation ................... 600 40,050
----------
236,603
CHEMICALS - DIVERSIFIED - 0.3%
Engelhard Company ........................... 200 3,775
FMC Corporation* ............................ 300 17,194
Monsanto Company ............................ 900 32,063
PPG Industries, Inc. ........................ 200 12,512
----------
65,544
CHEMICALS - SPECIALTY - 0.1%
Ecolab, Inc. ................................ 200 7,825
W.R. Grace & Company* ....................... 100 1,387
Great Lakes Chemical Company ................ 100 3,819
International Flavors &
Fragrances, Inc. ......................... 300 11,325
----------
24,356
COMMUNICATION EQUIPMENT - 4.0%
ADC Telecommunications, Inc.* ............... 400 29,025
Andrew Corporation* ......................... 100 1,894
Comverse Technology, Inc.* .................. 100 14,475
General Instrument Corporation* ............. 1,200 102,000
Lucent Technologies, Inc.(3) ................ 5,348 400,097
Motorola, Inc. .............................. 600 88,350
Nortel Networks Corporation(3) .............. 1,000 101,000
Qualcomm, Inc.* ............................. 1,200 211,500
Tellabs, Inc.* .............................. 800 51,350
----------
999,691
COMPUTER HARDWARE - 4.6%
Apple Computer, Inc.* ....................... 400 41,125
Compaq Computer Corporation ................. 2,600 70,363
Dell Computer Corporation*(3)................ 4,600 234,600
Gateway, Inc.* .............................. 700 50,444
Hewlett-Packard Company(3) .................. 1,700 193,694
International Business Machines
Corporation(3) ........................... 3,200 345,600
Silicon Graphics, Inc.* ..................... 1,100 10,794
Sun Microsystems, Inc.*(3)................... 2,800 216,825
----------
1,163,445
COMPUTER SOFTWARE/SERVICES - 8.6%
Adobe Systems, Inc. ......................... 500 33,625
America Online, Inc.*(3) .................... 4,300 324,381
BMC Software, Inc.* ......................... 400 31,975
Citrix Systems, Inc.* ....................... 200 24,600
Clarify, Inc.* .............................. 700 88,200
Computer Associates International, Inc. ..... 900 62,944
Computer Sciences Corporation* .............. 300 28,387
Compuware Corporation* ...................... 500 18,625
Microsoft Corporation*(3).................... 8,600 1,004,050
Novell, Inc.* ............................... 1,000 39,938
Oracle Corporation*(3)....................... 2,500 280,156
Parametric Technology Company* .............. 100 2,706
Peoplesoft, Inc.* ........................... 700 14,919
Unisys Corporation* ......................... 500 15,969
Visio Corporation* .......................... 400 19,000
Yahoo, Inc.* ................................ 400 173,075
----------
2,162,550
</TABLE>
- --------------------------------------------------------------------------------
48 See accompanying notes.
<PAGE> 50
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1999
<TABLE>
<CAPTION>
- ------------------------------------
SERIES H (ENHANCED INDEX)(CONTINUED)
- ------------------------------------
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
- --------------------------------------------------------------------------------
<S> <C> <C>
COMPUTERS - NETWORKING - 2.7%
Cabletron Systems, Inc.* ................. 600 $ 15,600
Cisco Systems, Inc.* ..................... 5,700 610,6133
3COM Corporation* ........................ 900 42,300
Network Appliance, Inc.* ................. 200 16,612
---------
685,125
COMPUTERS - PERIPHERALS - 1.0%
EMC Corporation*(3) ...................... 1,762 192,498
Lexmark International Group, Inc.* ....... 300 27,150
Seagate Technology, Inc.* ................ 700 32,594
---------
252,242
CONSUMER FINANCE - 0.4%
Capital One Financial
Corporation ........................... 200 9,637
Countrywide Credit Industries, Inc. ...... 100 2,525
Household International, Inc. ............ 600 22,350
MBNA Corporation ......................... 1,300 35,425
Providian Financial Corporation .......... 200 18,213
---------
88,150
CONSUMER - JEWELS & GIFTS - 0.2%
American Greetings
Corporation (Cl. A) ...................... 600 14,175
Jostens, Inc. ............................ 1,600 38,900
---------
53,075
CONSTRUCTION - CEMENT - 0.0%
Vulcan Materials Company ................. 200 7,987
CONTAINERS - METAL & GLASS - 0.0%
Crown Cork & Seal Company, Inc. .......... 200 4,475
CONTAINERS & PACKAGING - 0.1%
Pactiv Corporation* ...................... 300 3,188
Temple-Inland, Inc. ...................... 400 26,375
---------
29,563
DISTRIBUTION - FOOD & HEALTH - 0.2%
Cardinal Health, Inc. .................... 200 9,575
McKesson HBOC, Inc. ...................... 500 11,281
Supervalu, Inc. .......................... 800 16,000
Sysco Corporation ........................ 300 11,869
---------
48,725
ELECTRIC COMPANIES - 1.9%
Ameren Corporation ....................... 100 3,275
American Electric Power Company, Inc. .... 300 9,638
CMS Energy Corporation ................... 200 6,237
Carolina Power & Light Company ........... 300 9,131
Central & South West Company ............. 300 6,000
Cinergy Corporation ...................... 300 7,238
Consolidated Edison, Inc. ................ 700 24,150
DTE Energy Company ....................... 600 18,825
Dominion Resources, Inc. ................. 100 3,925
Duke Energy Corporation .................. 600 30,075
Edison International ..................... 1,100 28,806
Entergy Corporation ...................... 1,400 36,050
FPL Group, Inc. .......................... 200 8,563
FirstEnergy Corporation .................. 1,000 22,688
Florida Progress Corporation ............. 600 25,388
GPU, Inc. ................................ 200 5,987
Niagara Mohawk Holdings, Inc.* ........... 1,500 20,906
Northern States Power Company ............ 300 5,850
Peco Energy Company ...................... 300 10,425
PG&E Corporation ......................... 1,100 22,550
PP&L Resources, Inc. ..................... 300 6,863
Pinnacle West Capital Corporation ........ 100 3,056
Public Service Enterprise Group, Inc. .... 900 31,331
Reliant Energy, Inc. ..................... 1,200 27,450
Southern Company ......................... 1,300 30,550
Texas Utilities Company .................. 500 17,781
Unicom Corporation ....................... 1,200 40,200
United Water Resources, Inc. ............. 400 13,675
---------
476,613
ELECTRICAL EQUIPMENT - 4.0%
Cooper Industries, Inc. .................. 200 8,087
Emerson Electric Company ................. 600 34,425
General Electric Company(3) .............. 5,500 851,125
Molex, Inc. .............................. 200 11,338
Oak Industries, Inc. ..................... 400 42,450
Rockwell International Company ........... 200 9,575
Solectron Corporation* ................... 500 47,563
---------
1,004,563
ELECTRONICS - DEFENSE - 0.0%
Raytheon Company (Cl. B) ................. 300 7,969
ELECTRONICS - DISTRIBUTION - 0.0%
W.W. Grainger, Inc. ...................... 100 4,781
ELECTRONICS - INSTRUMENTATION - 0.2%
PE Corporation - PE Biosystems Group ..... 200 24,062
PerkinElmer, Inc. ........................ 400 16,675
Teledyne Technologies, Inc.* ............. 100 944
---------
41,681
ELECTRONICS - SEMICONDUCTORS - 3.0%
Adaptec, Inc.* ........................... 400 19,950
Advanced Micro Devices, Inc.* ............ 500 14,469
Analog Devices, Inc.* .................... 300 27,900
Intel Corporation(3) ..................... 5,674 467,041
LSI Logic Corporation* ................... 300 20,250
Micron Technology, Inc.* ................. 400 31,100
National Semiconductor Corporation* ..... 400 17,125
Texas Instruments, Inc. .................. 1,250 121,094
Xilinx, Inc.* ............................ 800 36,375
---------
755,304
</TABLE>
- --------------------------------------------------------------------------------
49 See accompanying notes.
<PAGE> 51
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1999
<TABLE>
<CAPTION>
- ------------------------------------
SERIES H (ENHANCED INDEX)(CONTINUED)
- ------------------------------------
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
- --------------------------------------------------------------------------------
<S> <C> <C>
ENTERTAINMENT - 1.4%
Seagram Company, Ltd. ........................ 700 $ 31,456
Time Warner, Inc.(3) ......................... 2,200 159,362
Viacom, Inc. (Cl.B)* ......................... 900 54,394
Walt Disney Company .......................... 3,200 93,600
--------
338,812
EQUIPMENT - SEMICONDUCTORS - 0.7%
Applied Materials, Inc.* ..................... 1,000 126,688
KLA-Tencor Corporation* ...................... 100 11,137
Teradyne, Inc.* .............................. 300 19,800
--------
157,625
FINANCIAL - DIVERSE - 3.3%
American Express Company(3) .................. 800 133,000
Associates First Capital Corporation ......... 1,100 30,181
Citigroup, Inc.(3) ........................... 6,200 344,487
Fannie Mae3 .................................. 1,700 106,144
Freddie Mac .................................. 1,100 51,769
Morgan Stanley, Dean Witter,
Discover & Company(3) ..................... 1,000 142,750
SLM Holding Corporation ...................... 200 8,450
--------
816,781
FOODS - 0.7%
Bestfoods .................................... 200 10,512
Conagra, Inc. ................................ 300 6,769
General Mills, Inc. .......................... 300 10,725
Heinz (H.J.) Company ......................... 400 15,925
Kellogg Company .............................. 700 21,569
Nabisco Group Holdings
Corporation ............................... 500 5,312
Quaker Oats Company .......................... 200 13,125
Ralston Purina Group ......................... 300 8,362
Sara Lee Corporation ......................... 1,500 33,094
Unilever NY .................................. 900 48,994
Wm. Wrigley, Jr. Company ..................... 100 8,294
--------
182,681
FOOTWEAR - 0.1%
Nike, Inc. (Cl. B) ........................... 400 19,825
Reebok International, Ltd.* .................. 400 3,275
--------
23,100
GAMING & LOTTERY - 0.0%
Harrah's Entertainment, Inc.* ................ 400 10,575
Mirage Resorts, Inc.* ........................ 300 4,594
--------
15,169
GOLD & PRECIOUS METALS MINING - 0.0%
Barrick Gold Corporation ..................... 400 7,075
Homestake Mining Company ..................... 100 781
--------
7,856
HARDWARE & TOOLS - 0.0%
Stanley Works ................................ 200 6,025
HEALTH CARE - DIVERSE - 2.9%
Abbott Laboratories .......................... 2,600 94,412
Allergan, Inc. ............................... 100 4,975
American Home Products
Corporation(3) ............................ 2,000 78,875
Bristol-Myers Squibb Company(3) .............. 3,300 211,819
Johnson & Johnson3 ........................... 2,300 214,188
Warner-Lambert Company ....................... 1,400 114,712
Water Pik Technologies, Inc.* ................ 35 335
--------
719,316
HEALTH CARE - LONG TERM CARE - 0.0%
Manor Care, Inc.* ............................ 400 6,400
HEALTH CARE - MANAGED CARE - 0.2%
Aetna, Inc. .................................. 100 5,581
Humana, Inc.* ................................ 300 2,456
United Healthcare Corporation ................ 200 10,625
Wellpoint Health Networks, Inc.* ............. 300 19,781
--------
38,443
HEALTH CARE - PHARMACEUTICALS - GENERIC - 0.1%
ALZA Corporation* ............................ 500 17,313
Watson Pharmaceuticals, Inc.* ................ 200 7,162
--------
24,475
HEALTH CARE - PHARMACEUTICALS - MAJOR - 2.9%
Eli Lilly & Company(3) ....................... 1,800 119,700
Merck & Company, Inc3 ........................ 4,000 268,250
Pharmacia & Upjohn, Inc. ..................... 500 22,500
Pfizer, Inc.(3) .............................. 6,500 210,844
Schering-Plough Corporation(3) ............... 2,400 101,250
--------
722,544
HEALTH CARE - SPECIALIZED SERVICES - 0.0%
HealthSouth Corporation* ..................... 1,200 6,450
Quintiles Transnational Corporation* ......... 200 3,738
--------
10,188
HOMEBUILDING - 0.0%
Centex Corporation ........................... 100 2,469
Pulte Corporation ............................ 400 9,000
--------
11,469
HOSPITAL MANAGEMENT - 0.2%
Columbia/HCA Healthcare
Corporation ............................... 900 26,381
Tenet Healthcare Corporation* ................ 500 11,750
--------
38,131
</TABLE>
- --------------------------------------------------------------------------------
50 See accompanying notes.
<PAGE> 52
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1999
<TABLE>
<CAPTION>
- ------------------------------------
SERIES H (ENHANCED INDEX)(CONTINUED)
- ------------------------------------
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
- --------------------------------------------------------------------------------
<S> <C> <C>
HOUSEHOLD FURNISHINGS & APPLIANCES - 0.2%
Leggett & Platt, Inc. ....................... 400 $ 8,575
Maytag Corporation .......................... 600 28,800
Whirlpool Corporation ....................... 100 6,506
--------
43,881
HOUSEHOLD PRODUCTS - 1.6%
Clorox Company .............................. 400 20,150
Colgate-Palmolive Company ................... 1,000 65,000
Fort James Corporation ...................... 100 2,737
Kimberly-Clark Corporation .................. 1,100 71,775
Procter & Gamble Company(3) ................. 2,200 241,038
--------
400,700
HOUSEWARES - 0.1%
Fortune Brands, Inc. ........................ 100 3,306
Newell Rubbermaid, Inc. ..................... 200 5,800
Tupperware Corporation ...................... 400 6,775
--------
15,881
INSURANCE - BROKERS - 0.3%
AON Corporation ............................. 300 12,000
Marsh & McLennan Companies, Inc. ............ 300 28,706
--------
40,706
INSURANCE - LIFE & HEALTH - 0.3%
AFLAC, Inc. ................................. 400 18,875
American General Corporation ................ 400 30,350
Jefferson-Pilot Corporation ................. 100 6,825
Lincoln National Corporation ................ 200 8,000
Torchmark Corporation ....................... 200 5,812
UnumProvident Corporation ................... 200 6,413
--------
76,275
INSURANCE - MULTILINE - 1.3%
American International Group, Inc.(3) ...... 2,850 308,156
Cigna Corporation ........................... 300 24,169
Hartford Financial Services
Group, Inc. .............................. 100 4,737
--------
337,062
INSURANCE - PROPERTY & CASUALTY - 0.3%
Allstate Corporation ........................ 700 16,800
Chubb Corporation ........................... 223 12,558
Cincinnati Financial Corporation ............ 200 6,237
MBIA, Inc. .................................. 200 10,563
Progressive Corporation Ohio ................ 100 7,312
St. Paul Companies, Inc. .................... 400 13,475
--------
66,945
INVESTMENT BANK/BROKERAGE - 0.6%
Bear Stearns Companies, Inc. ................ 210 8,978
Lehman Brothers Holdings, Inc. .............. 200 16,938
Merrill Lynch & Company, Inc. ............... 600 50,100
Paine Webber Group, Inc. .................... 200 7,762
T. Rowe Price Associates .................... 300 11,081
Schwab (Charles) Corporation ................ 1,400 53,725
--------
148,584
INVESTMENT MANAGEMENT - 0.0%
Franklin Resources, Inc. .................... 200 6,412
IRON & STEEL - 0.3%
Allegheny Technologies, Inc. ................ 450 10,097
Bethlehem Steel Corporation* ................ 4,100 34,338
USX-US Steel Group, Inc. .................... 200 6,600
Worthington Industries, Inc. ................ 900 14,906
--------
65,941
LEISURE TIME PRODUCTS - 0.1%
Brunswick Corporation ....................... 200 4,450
Hasbro, Inc. ................................ 300 5,719
Mattel, Inc. ................................ 400 5,250
--------
15,419
LODGING - HOTELS - 0.2%
Carnival Corporation ........................ 1,000 47,812
Hilton Hotels Corporation ................... 400 3,850
Marriott International, Inc. ................ 300 9,469
--------
61,131
MACHINERY - DIVERSE - 0.5%
Caterpillar, Inc. ........................... 900 42,356
Deere & Company ............................. 400 17,350
Dover Corporation ........................... 400 18,150
Ingersoll-Rand Company ...................... 200 11,013
Parker-Hannifin Corporation ................. 600 30,788
Timken Company .............................. 200 4,087
--------
123,744
MANUFACTURING - DIVERSIFIED - 1.6%
Danaher Corporation ......................... 100 4,825
Honeywell International, Inc. ............... 1,150 66,341
ITT Industries, Inc. ........................ 200 6,687
Illinois Tool Works, Inc. ................... 400 27,025
Minnesota Mining &
Manufacturing Company .................... 700 68,512
Textron, Inc. ............................... 500 38,344
Tyco International, Ltd.(3) ................. 2,800 108,850
United Technologies Corporation ............. 1,100 71,500
--------
392,084
</TABLE>
- --------------------------------------------------------------------------------
51 See accompanying notes.
<PAGE> 53
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1999
<TABLE>
<CAPTION>
- ------------------------------------
SERIES H (ENHANCED INDEX)(CONTINUED)
- ------------------------------------
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
- --------------------------------------------------------------------------------
<S> <C> <C>
MANUFACTURING - SPECIALIZED - 0.2%
Avery Dennison Corporation ..................... 100 $ 7,287
Briggs & Stratton Corporation .................. 100 5,362
Millipore Corporation .......................... 100 3,862
Pall Corporation ............................... 1,000 21,563
Sealed Air Corporation* ........................ 200 10,363
--------
48,437
MEDICAL PRODUCTS & SUPPLIES - 0.7%
C.R. Bard, Inc. ................................ 200 10,600
Baxter International, Inc. ..................... 500 31,406
Becton, Dickinson & Company .................... 100 2,675
Boston Scientific Corporation* ................. 800 17,500
Guidant Corporation* ........................... 500 23,500
Medtronic, Inc. ................................ 2,000 72,875
St. Jude Medical, Inc.* ........................ 300 9,206
--------
167,762
METALS & MINING - 0.1%
Freeport-McMoran Copper
& Gold, Inc.* ............................... 300 6,338
Inco, Ltd.* .................................... 200 4,700
Phelps Dodge Corporation ....................... 112 7,518
--------
18,556
NATURAL GAS - 0.6%
Coastal Corporation ............................ 900 31,894
Consolidated Natural Gas Company ............... 100 6,494
El Paso Energy Corporation ..................... 200 7,762
Enron Corporation .............................. 1,000 44,375
NICOR, Inc. .................................... 300 9,750
ONEOK, Inc. .................................... 300 7,537
Peoples Energy Corporation ..................... 200 6,700
Sempra Energy .................................. 400 6,950
Williams Companies, Inc. ....................... 700 21,394
--------
142,856
OFFICE EQUIPMENT & SUPPLIES - 0.1%
Pitney Bowes, Inc. ............................. 400 19,325
OIL - DOMESTIC - 0.5%
Atlantic Richfield Company ..................... 600 51,900
Conoco, Inc. (Cl.B) ............................ 1,072 26,666
Occidental Petroleum Corporation ............... 1,000 21,625
Phillips Petroleum Company ..................... 400 18,800
USX-Marathon Group ............................. 400 9,875
--------
128,866
OIL - INTERNATIONAL - 3.4%
Chevron Corporation(3) ......................... 1,100 95,288
Exxon Corporation(3) ........................... 6,052 487,564
Royal Dutch Petroleum
Company NY3 ................................. 3,500 211,531
Texaco, Inc. ................................... 900 48,881
--------
843,264
OIL & GAS - DRILLING & EQUIPMENT - 0.4%
Baker Hughes, Inc. ............................. 600 $ 12,638
Halliburton Company ............................ 600 24,150
Rowan Companies, Inc.* ......................... 300 6,506
Schlumberger, Ltd. ............................. 900 50,625
Transocean Sedco Forex, Inc. ................... 475 15,988
--------
109,907
OIL & GAS - EXPLORATION & PRODUCTION - 0.1%
Burlington Resources, Inc. ..................... 200 6,612
Kerr-McGee Corporation ......................... 100 6,200
Union Pacific Resources Group, Inc. ............ 400 5,100
Unocal Corporation ............................. 200 6,713
--------
24,625
OIL & GAS - REFINING & MARKETING - 0.0%
Ashland, Inc. .................................. 100 3,294
Tosco Corporation .............................. 300 8,156
--------
11,450
PAPER & FOREST PRODUCTS - 0.7%
Boise Cascade Corporation ...................... 100 4,050
Champion International Corporation ............. 100 6,194
Georgia-Pacific Group .......................... 300 15,225
International Paper Company .................... 1,000 56,438
Louisiana-Pacific Corporation .................. 500 7,125
Mead Corporation ............................... 200 8,687
Potlatch Corporation ........................... 900 40,162
Westvaco Corporation ........................... 200 6,525
Weyerhaeuser Company ........................... 300 21,544
Willamette Industries, Inc. .................... 100 4,644
--------
170,594
PERSONAL CARE - 0.3%
Alberto-Culver Company ......................... 100 2,581
Avon Products, Inc. ............................ 300 9,900
Gillette Company ............................... 1,600 65,900
--------
78,381
PHOTOGRAPHY/IMAGING - 0.3%
Eastman Kodak Company .......................... 900 59,625
Xerox Corporation .............................. 1,000 22,688
--------
82,313
POWER PRODUCERS - 0.1%
AES Corporation* ............................... 500 37,375
PUBLISHING - 0.0%
McGraw-Hill Companies, Inc. .................... 200 12,325
PUBLISHING - NEWSPAPER - 0.3%
Gannett Company, Inc. .......................... 400 32,625
Knight-Ridder, Inc. ............................ 300 17,850
New York Times Company (Cl.A) .................. 100 4,912
Tribune Company ................................ 300 16,519
--------
71,906
</TABLE>
- --------------------------------------------------------------------------------
52 See accompanying notes.
<PAGE> 54
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1999
<TABLE>
<CAPTION>
- ------------------------------------
SERIES H (ENHANCED INDEX)(CONTINUED)
- ------------------------------------
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
- --------------------------------------------------------------------------------
<S> <C> <C>
RAILROADS - 0.2%
Burlington Northern Sante Fe
Corporation .............................. 600 $ 14,550
CSX Corporation ............................. 400 12,550
Norfolk Southern Corporation ................ 600 12,300
Union Pacific Corporation ................... 300 13,087
--------
52,487
RESTAURANTS - 0.4%
Darden Restaurants, Inc. .................... 600 10,875
McDonald's Corporation ...................... 2,100 84,656
Tricon Global Restaurants, Inc.* ............ 300 11,588
--------
107,119
RETAIL - APPAREL - 0.4%
Gap, Inc. ................................... 1,450 66,700
TJX Companies, Inc. ......................... 500 10,219
The Limited, Inc. ........................... 396 17,152
--------
94,071
RETAIL - BUILDING SUPPLIES - 1.2%
Home Depot, Inc.(3) ......................... 3,750 257,109
Lowe's Companies, Inc. ...................... 700 41,825
--------
298,934
RETAIL - COMPUTERS & ELECTRONICS - 0.2%
Best Buy Company, Inc.* ..................... 300 15,056
Circuit City Stores - Circuit City Group .... 400 18,025
Tandy Corporation ........................... 300 14,756
--------
47,837
RETAIL - DEPARTMENT STORES - 0.5%
Dillard's, Inc. ............................. 200 4,037
Federated Department Stores, Inc.* .......... 600 30,338
J.C. Penney Company, Inc. ................... 300 5,981
Kohl's Corporation* ......................... 600 43,313
May Department Stores Company ............... 600 19,350
Nordstrom, Inc. ............................. 400 10,475
--------
113,494
RETAIL - DISCOUNTERS - 0.1%
Consolidated Stores Corporation* ............ 200 3,250
Dollar General Corporation .................. 400 9,100
--------
12,350
RETAIL - DRUG STORES - 0.3%
CVS Corporation ............................. 500 19,969
Longs Drug Stores Corporation ............... 200 5,162
Rite Aid Corporation ........................ 400 4,475
Walgreen Company ............................ 1,700 49,725
--------
79,331
RETAIL - FOOD CHAINS - 0.7%
Albertson's, Inc. ........................... 263 $ 8,482
Great Atlantic & Pacific Tea
Company, Inc. ............................ 500 13,937
Hannaford Brothers Company .................. 1,500 103,969
Kroger Company* ............................. 1,300 24,538
Safeway, Inc.* .............................. 900 32,006
--------
182,932
RETAIL - GENERAL MERCHANDISE - 2.6%
Costco Companies, Inc.* ..................... 500 45,625
Dayton Hudson Corporation ................... 800 58,750
Kmart Corporation* .......................... 2,500 25,156
Sears, Roebuck & Company .................... 200 6,087
Wal-Mart Stores, Inc.(3) .................... 7,500 518,438
--------
654,056
RETAIL - SPECIALTY - 0.3%
Autozone, Inc.* ............................. 600 19,388
Bed Bath & Beyond, Inc.* .................... 400 13,900
Office Depot, Inc.* ......................... 900 9,844
Staples, Inc.* .............................. 800 16,600
Toys `R' Us, Inc.* .......................... 900 12,881
--------
72,613
SAVINGS & LOANS - 0.1%
Golden West Financial Corporation ........... 300 10,050
Washington Mutual, Inc. ..................... 500 13,000
--------
23,050
SERVICES - ADVERTISING & MARKETING - 0.2%
Interpublic Group of Companies, Inc. ........ 400 23,075
Omnicom Group, Inc. ......................... 200 20,000
--------
43,075
SERVICES - COMMERCIAL & CONSUMER - 0.2%
H&R Block, Inc. ............................. 200 8,750
Cendant Corporation* ........................ 1,200 31,875
Dun & Bradstreet Corporation ................ 100 2,950
IMS Health, Inc. ............................ 300 8,156
--------
51,731
SERVICES - COMPUTER SYSTEMS - 0.2%
Electronic Data Systems Corporation ......... 800 53,550
SERVICES - DATA PROCESSING - 0.4%
Automatic Data Processing, Inc. ............. 1,000 53,875
Ceridian Corporation* ....................... 300 6,469
First Data Corporation ...................... 700 34,519
Paychex, Inc. ............................... 400 16,000
--------
110,863
</TABLE>
- --------------------------------------------------------------------------------
53 See accompanying notes.
<PAGE> 55
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1999
<TABLE>
<CAPTION>
- ------------------------------------
SERIES H (ENHANCED INDEX)(CONTINUED)
- ------------------------------------
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
- --------------------------------------------------------------------------------
<S> <C> <C>
SPECIALTY PRINTING - 0.0%
Deluxe Corporation .................................. 100 $ 2,744
R.R. Donnelley & Sons Company ....................... 200 4,962
-----------
7,706
TELECOMMUNICATION - CELLULAR - 0.6%
Nextel Communications, Inc.* ........................ 600 61,875
Sprint Corporation (PCS Group)* ..................... 800 82,000
-----------
143,875
TELECOMMUNICATION - LONG DISTANCE - 2.7%
AT&T Corporation(3) ................................. 4,600 233,450
MCI WorldCom, Inc.*(3) .............................. 3,900 206,944
Sprint Corporation (Fon Group)3 ..................... 2,400 161,550
Global Crossing, Ltd. ............................... 1,315 65,750
-----------
667,694
TELEPHONE - 3.3%
Alltel Corporation .................................. 434 35,886
Bell Atlantic Corporation(3) ........................ 2,500 153,906
BellSouth Corporation(3) ............................ 3,100 145,119
Centurytel, Inc. .................................... 200 9,475
GTE Corporation(3) .................................. 1,600 112,900
SBC Communications, Inc.(3) ......................... 6,173 300,934
U S West, Inc. ...................................... 900 64,800
-----------
823,020
TEXTILES - APPAREL - 0.0%
Liz Claiborne, Inc. ................................. 200 7,525
V.F. Corporation .................................... 100 3,000
-----------
10,525
TOBACCO - 0.5%
Philip Morris Companies, Inc.(3) .................... 4,100 95,069
R.J. Reynolds Tobacco Holdings, Inc. ................ 1 18
UST, Inc. ........................................... 800 20,150
-----------
115,237
TRUCKING - 0.0%
Ryder System, Inc. .................................. 100 2,444
TRUCKS & PARTS - 0.2%
Navistar International Corporation* ................. 300 14,212
Paccar, Inc. ........................................ 600 26,588
-----------
40,800
WASTE MANAGEMENT - 0.1%
Allied Waste Industries, Inc.* ...................... 300 2,644
Waste Management, Inc. .............................. 900 15,469
-----------
18,113
-----------
Total common stocks - 85.2% ...................... 21,317,382
U.S. TREASURY - 1.2%
U.S. Treasury Bill,
5.10% - 4/6/003 .................................. $ 300,000 295,941
-----------
Total investments - 86.4% ...................................... 21,613,323
Cash and other assets,
less liabilities - 13.6% ..................................... 3,409,761
-----------
Total net assets - 100.0% ...................................... $25,023,084
===========
- ------------------------
SERIES I (INTERNATIONAL)
- ------------------------
FOREIGN STOCKS
- --------------
AUSTRALIA - 1.7%
Brambles Industries, Ltd. ........................... 1,370 $ 37,765
Cable & Wireless Optus, Ltd.* ....................... 7,680 25,581
Tabcorp Holdings, Ltd. .............................. 5,300 35,772
Telstra Corporation, Ltd.* .......................... 5,940 20,874
WMC, Ltd. ........................................... 7,900 43,426
-----------
163,418
AUSTRIA - 0.1%
Erste Bank der oesterreichischen
Sparkassen AG .................................... 260 11,468
BERMUDA - 0.5%
Tyco International, Ltd.(3) ......................... 1,200 46,650
BOTSWANA - 0.1%
Sechaba Breweries, Ltd. ............................. 11,500 13,159
BRAZIL - 0.6%
Telecomunicacoes Brasilerias
S.A. ADR ......................................... 460 59,110
CANADA - 3.1%
Inco, Ltd.* ......................................... 2,400 55,812
Nortel Networks Corporation ......................... 1,700 170,843
Rogers Communications, Inc.(Cl. B)* ................. 3,270 79,536
-----------
306,191
FINLAND - 5.7%
Nokia Oyj ADR3 ...................................... 1,000 190,000
Sonera Oyj .......................................... 2,930 199,865
Stora Enso Oyj ...................................... 4,430 76,867
Tietoenator Oyj ..................................... 520 32,317
UPM-Kymmene Oyj ..................................... 1,510 60,545
-----------
559,594
</TABLE>
- --------------------------------------------------------------------------------
54 See accompanying notes.
<PAGE> 56
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1999
- -----------------------------------
SERIES I (INTERNATIONAL)(CONTINUED)
- -----------------------------------
NUMBER MARKET
FOREIGN STOCKS (CONTINED) OF SHARES VALUE
- ---------------------------------------------------------------
FRANCE - 14.1%
Alcatel............................. 210 $ 47,995
Aventis S.A.*....................... 1,335 77,622
AXA-UAP(3).......................... 670 92,951
Banque Nationale de Paris(3)........ 1,070 98,247
Canal Plus(3)....................... 1,594 230,886
Carrefour S.A.(3)................... 552 101,314
Christian Dior S.A.................. 120 29,591
Elf Aquitaine S.A................... 20 3,067
Societe Generale - (Cl.A)(3)........ 350 81,044
Societe Generale d'Enterprises S.A.. 1,330 61,994
Stmicroelectronics N.V.(3).......... 930 140,837
Suez Lyonnaise des Eaux(3).......... 670 106,853
Total Fina S.A. (Cl.B)(3)........... 1,144 151,944
Union du Credit-Bail Immobilier(3).. 350 43,960
Usinor S.A.(3)...................... 3,940 73,657
Vivendi............................. 490 44,034
------------
1,385,996
GERMANY - 7.2%
Bayer AG(3)......................... 2,240 105,757
Celanese AG*(3)..................... 167 3,022
Deutsche Lufthansa AG............... 1,270 30,171
EM.TV & Merchandising AG............ 300 18,765
Epcos AG*(3)........................ 1,440 108,259
Intershop Communications AG*(3)..... 250 69,917
Mannesmann AG(3).................... 1,001 242,823
SAP AG(3)........................... 130 78,057
Veba AG(3).......................... 1,140 55,366
------------
712,137
GREECE - 0.6%
Hellenic Telecommunications
Organization S.A................. 1,600 37,850
Panafon Hellenic Telecom S.A........ 1,300 17,438
------------
55,288
HONG KONG - 2.5%
Cable & Wireless (Hong Kong
Telecom), Ltd.................... 7,600 21,949
China Telecom (Hong Kong), Ltd.*.... 16,900 105,659
Cosco Pacific, Ltd.................. 20,800 17,259
HSBC Holdings PLC................... 3,200 44,870
Hutchison Whampoa, Ltd.............. 4,000 58,146
------------
247,883
INDIA - 0.3%
Larsen & Toubro, Ltd. GDR(3)........ 1,100 28,103
IRELAND - 1.8%
Bank of Ireland .................... 10,066 79,712
CRH PLC............................. 4,770 102,323
------------
182,035
ISRAEL - 0.4%
Partner Communications
Company, Ltd.*................... 1,670 43,211
ITALY - 5.2%
Eni SpA............................. 9,930 54,348
San Paolo - IMI SpA................. 6,377 86,232
Seat Pagine Gialle SpA.............. 38,960 127,314
Telecom Italia Mobile SpA........... 4,590 51,025
Telecom Italia SpA.................. 7,510 105,392
Unicredito Italiano SpA............. 17,650 86,339
------------
510,650
JAPAN - 13.2%
Aiful Corporation(3)................ 200 24,425
Fancl Corporation................... 100 26,770
Fuji Heavy Industries, Ltd.(3)...... 10,000 68,390
Fujitsu, Ltd.(3).................... 4,000 182,111
Furukawa Electric Company........... 5,000 75,717
Murata Manufacturing
Company, Ltd.(3)................. 1,000 234,478
Nippon Telegraph & Telephone
Corporation(3)................... 6 102,584
Nissan Motor Co., Ltd.(3)........... 8,000 31,420
NTT Mobile Communications
Network, Inc.(3)................. 4 153,583
Rohm Company Ltd.(3)................ 300 123,101
Softbank Corporation(3)............. 100 95,550
Takeda Chemical Industries3......... 1,900 93,742
Takefuji Corporation................ 200 24,991
Yamanouchi Pharmaceutical
Company, Ltd.(3)................. 2,000 69,757
------------
1,306,619
MEXICO - 0.9%
Grupo Televisa S.A. GDR*(3)......... 800 54,600
Telefonos de Mexico S.A. ADR(3)..... 300 33,750
------------
88,350
NETHERLANDS - 7.6%
Akzo Nobel N.V...................... 949 47,374
ASM Lithography Holding N.V.*....... 1,260 139,312
Buhrmann N.V........................ 1,790 26,825
DSM N.V............................. 1,371 54,697
Equant N.V.*........................ 760 85,858
Fortis (NL) N.V..................... 1,970 70,597
Ing Groep N.V....................... 1,920 115,361
Koninklijke (Royal) Philips
Electronics N.V.................. 900 121,792
KPNQwest N.V.*...................... 1,270 84,149
------------
745,965
Norway - 0.7%
Norsk Hydro ASA..................... 1,640 68,561
- --------------------------------------------------------------------------------
55 See accompanying notes.
<PAGE> 57
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1999
- -----------------------------------
SERIES I (INTERNATIONAL)(CONTINUED)
- -----------------------------------
NUMBER MARKET
FOREIGN STOCKS (CONTINED) OF SHARES VALUE
- ---------------------------------------------------------------
POLAND - 0.2%
Telekomunikacja Polska S.A. GDR(3).. 3,150 $ 20,620
PORTUGAL - 0.3%
PT Multimedia - Servicos De
Telecomunicacoes E*.............. 460 26,038
SINGAPORE - 1.6%
City Developments Ltd............... 3,000 17,557
DBS Group Holdings, Ltd............. 2,000 32,773
Natsteel Electronics, Ltd........... 8,400 44,370
Neptune Orient Lines Limited*....... 15,600 20,881
Singapore Press Holdings, Ltd....... 1,700 36,837
Wing Tai Holdings, Ltd.............. 1,000 990
------------
153,408
SOUTH KOREA - 1.6%
Korea Telecom Corporation ADR(3).... 740 55,315
Pohang Iron & Steel ADR(3).......... 1,100 38,500
SK Telecom Company, Ltd.(3)......... 1,751 67,195
------------
161,010
SPAIN - 4.2%
Argentaria, Caja Postal y Banco
Hipotecario de Espana S.A........ 3,400 79,512
Banco Santander Central
Hispano S.A...................... 3,790 42,702
Fomento de Construcciones y
Contratas S.A.................... 3,010 60,948
Repsol S.A.......................... 3,480 80,302
Telefonica S.A...................... 4,888 121,513
Terra Networks, S.A.*............... 500 27,190
------------
412,167
SWEDEN - 4.1%
Electrolux AB (Cl. B)*.............. 4,440 111,221
S.K.F. AB (Cl. B)*.................. 2,130 51,611
Sandvik AB (Cl. B).................. 3,800 120,543
Telefonaktiebolaget
LM Ericsson (Cl. B).............. 1,970 126,137
------------
409,512
SWITZERLAND - 1.7%
ABB Ltd.*........................... 794 96,602
Zurich Allied AG.................... 120 68,070
------------
164,672
TAIWAN - 0.8%
Ritek Corporation GDR 144A*(3)...... 1,690 19,562
Synnex Technology International
Corporation GDR.................. 1,400 36,797
Taiwan Semiconductor
Manufacturing Company*........... 5,012 26,699
------------
83,058
TURKEY - 0.7%
Akbank T.A.S........................ 1,058,800 31,233
Haci Omer Sabanci Holding AS........ 603,900 35,072
------------
66,305
UNITED KINGDOM - 9.9%
Barclays PLC(3)..................... 3,780 108,807
BP Amoco PLC ADR(3)................. 1,320 78,292
British Airways PLC................. 3,450 22,408
Cable & Wireless PLC................ 3,150 53,155
Colt Telecom Group PLC*(3).......... 3,580 184,348
Invensys PLC(3)..................... 17,832 96,278
Old Mutual PLC*(3).................. 15,990 42,393
Peninsular & Oriental Steam
Navigation Company(3)............ 5,820 96,427
RecKitt Benckiser PLC(3)............ 7,740 72,851
Sema Group PLC(3)................... 2,350 41,965
Shell Transport & Trading Company(3) 13,480 111,725
Vodafone AirTouch PLC(3)............ 13,370 65,777
------------
974,426
UNITED STATES - 1.6%
Global Telesystems Group, Inc.*..... 1,440 49,860
Infonet Services Corporation*....... 2,136 56,070
NTL, Inc.*.......................... 430 53,643
------------
159,573
------------
Total foreign stocks - 93.0%................ 9,165,177
------------
NUMBER MARKET
CALL OPTIONS PURCHASED - 0.2% OF CONTRACTS VALUE
- ---------------------------------------------------------------
Nikkei 225 5%, expires March 2000,
strike price 18,613.55........... 11 10,026
Nikkei 225 5%, expires June 2000,
strike price 19,727.46........... 11 8,934
------------
18,960
------------
Total investments - 93.2%................... 9,184,137
Cash and other assets,
less liabilities - 6.8%................ 672,878
------------
Total net assets - 100.0%................... $ 9,857,015
============
- --------------------------------------------------------------------------------
56 See accompanying notes.
<PAGE> 58
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1999
- -----------------------------------
SERIES I (INTERNATIONAL)(CONTINUED)
- -----------------------------------
INVESTMENT CONCENTRATION
- ---------------------------------------------------------------
At December 31, 1999, Series I's investment concentration, by
industry, was as follows:
Airlines............................................. 0.5%
Appliances .......................................... 1.1%
Automobiles ......................................... 1.0%
Banks & Credit ...................................... 9.5%
Beverages............................................ 0.1%
Broadcast Media ..................................... 3.1%
Building & Construction ............................. 3.4%
Chemicals............................................ 2.2%
Communications....................................... 0.3%
Computer Software.................................... 3.2%
Computer Systems .................................... 4.7%
Cosmetics............................................ 0.6%
Electronics ......................................... 5.2%
Engineering ......................................... 1.0%
Entertainment ....................................... 0.4%
Financial Services .................................. 2.2%
Household Products .................................. 0.7%
Industrial Services ................................. 0.4%
Insurance ........................................... 1.6%
Machinery............................................ 2.5%
Manufacturing........................................ 5.0%
Medical ............................................. 1.0%
Metals & Minerals.................................... 1.9%
Oil ................................................. 4.9%
Paper & Forest Products.............................. 1.4%
Pharmaceuticals...................................... 1.5%
Publishing........................................... 1.3%
Real Estate Development ............................. 0.6%
Retail .............................................. 1.0%
Semiconductors....................................... 2.9%
Services ............................................ 0.7%
Steel................................................ 0.7%
Telecommunications................................... 24.8%
Transportation....................................... 1.6%
Cash, call options and other assets, less liabilities 7.0%
--------
100.0%
========
- -----------------------------------
SERIES J (MIDCAP)
- -----------------------------------
NUMBER MARKET
COMMON STOCKS OF SHARES VALUE
- ---------------------------------------------------------------
AIR FREIGHT - 1.8%
Expeditors International of
Washington, Inc.................. 180,000 $ 7,886,250
BANKS - MAJOR REGIONAL - 2.1%
FleetBoston Financial Corporation... 76,156 2,651,181
Northern Trust Corporation(3)......... 120,000 6,360,000
------------
9,011,181
BIOTECHNOLOGY - 4.0%
Ligand Pharmaceuticals, Inc. (Cl.B)* 558,000 7,184,250
Millennium Pharmaceuticals, Inc.*... 75,000 9,150,000
Trimeris, Inc.*..................... 29,200 689,850
------------
17,024,100
BROADCAST MEDIA - 1.9%
Cinar Corporation (Cl.B)*3.......... 327,000 8,011,500
CHEMICALS - SPECIALTY - 0.5%
Great Lakes Chemical Company........ 59,300 2,264,519
COMMUNICATION EQUIPMENT - 5.9%
Comverse Technology, Inc.*.......... 140,000 20,265,000
Pac-West Telecomm, Inc.*............ 11,300 299,450
RCN Corporation*.................... 72,000 3,492,000
Transcrypt International, Inc.*..... 419,700 1,259,100
------------
25,315,550
COMPUTER SOFTWARE/SERVICES - 25.7%
Aspect Development, Inc.*........... 25,300 1,733,050
AXENT Technologies, Inc.*........... 326,000 6,846,000
Computer Sciences Corporation*...... 88,000 8,327,000
Electronic Processing, Inc.*........ 125,000 1,875,000
HNC Software, Inc.*................. 89,100 9,422,325
Harbinger Corporation*.............. 455,900 14,503,319
Hyperion Corporation*............... 65,000 2,827,500
Jack Henry & Associates, Inc........ 92,900 4,987,569
Lernout & Hauspie Speech
Products N.V.*................... 230,000 10,637,500
New Era of Networks, Inc.*.......... 72,000 3,429,000
Rational Software Corporation*...... 372,000 18,274,500
Safeguard Scientifics, Inc.*........ 113,000 18,313,062
Take-Two Interactive Software, Inc.* 150,000 1,940,625
VERITAS Software Corporation*....... 50,000 7,156,250
------------
110,272,700
DISTRIBUTION - FOOD & HEALTH - 0.8%
Cardinal Health, Inc................ 74,000 3,542,750
ELECTRICAL EQUIPMENT - 1.1%
Maxwell Technologies, Inc.*......... 490,000 4,900,000
- --------------------------------------------------------------------------------
57 See accompanying notes.
<PAGE> 59
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1999
- ------------------------------
SERIES J (MID CAP) (CONTINUED)
- ------------------------------
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
- ------------------------------------------------------------------------
ELECTRONICS - INSTRUMENTATION - 4.5%
PE Corp - PE Biosystems Group....... 120,000 $ 14,437,500
PerkinElmer, Inc.................... 120,000 5,002,500
------------
19,440,000
ELECTRONICS - SEMICONDUCTORS - 3.5%
JDS Uniphase Corporation*........... 72,000 11,614,500
S3, Inc.*........................... 298,000 3,445,625
------------
15,060,125
HEALTH CARE - PHARMACEUTICALS - GENERIC - 3.7%
Dura Pharmaceuticals, Inc.*......... 247,000 3,442,563
Mylan Laboratories, Inc.(3)......... 498,700 12,561,006
------------
16,003,569
HEALTH CARE - PHARMACEUTICALS - MAJOR - 4.1%
Guilford Pharmaceuticals, Inc.*..... 140,000 2,380,000
Shire Pharmaceuticals Group PLC*.... 169,000 4,922,125
Teva Pharmaceutical Industries,
Ltd. ADR(3)...................... 145,000 10,394,688
------------
17,696,813
HEALTH CARE - SPECIALIZED SERVICES - 0.3%
Cryolife, Inc.*..................... 93,000 1,092,750
HOSPITAL MANAGEMENT - 0.4%
Quorum Health Group, Inc.*.......... 181,400 1,689,288
INSURANCE - LIFE/HEALTH - 3.2%
AFLAC, Inc.(3)...................... 210,000 9,909,375
UnumProvident Corporation........... 120,000 3,847,500
------------
13,756,875
INSURANCE - PROPERTY & CASUALTY - 0.5%
Horace Mann Educators Corporation... 114,000 2,237,250
INVESTMENT MANAGEMENT - 0.8%
Internet Capital Group, Inc.*....... 20,560 3,495,200
LEISURE TIME PRODUCTS - 0.7%
Hasbro, Inc......................... 156,000 2,973,750
MANUFACTURING - SPECIALIZED - 0.7%
Catalytica, Inc.*................... 228,000 3,092,250
MEDICAL PRODUCTS & SUPPLIES - 2.2%
Chromavision Medical Systems, Inc.* 83,000 1,265,750
CLOSURE Medical Corporation*........ 230,000 2,961,250
Stryker Corporation................. 58,000 4,038,250
Sunrise Medical, Inc.*.............. 220,000 1,361,250
------------
9,626,500
OIL - INTERNATIONAL - 0.6%
Tesoro Petroleum Corporation*....... 215,100 2,487,094
OIL & GAS - DRILLING & EQUIPMENT - 2.7%
ENSCO International, Inc............ 277,400 6,345,525
Nabors Industries, Inc.*............ 140,000 4,331,250
R & B Falcon Corporation*........... 72,200 956,650
------------
11,633,425
OIL & GAS - EXPLORATION & PRODUCTION - 5.2%
Anadarko Petroleum Corporation...... 188,000 6,415,500
Apache Corporation.................. 200,000 7,387,500
Burlington Resources, Inc........... 140,000 4,628,750
Callon Petroleum Company*........... 265,000 3,925,312
------------
22,357,062
PUBLISHING - 0.2%
John Wiley & Sons, Inc.............. 39,000 653,250
PUBLISHING - NEWSPAPER - 1.0%
E.W. Scripps Company................ 91,000 4,077,937
RESTAURANTS - 0.9%
Cheesecake Factory, Inc.*........... 106,500 3,727,500
RETAIL - APPAREL - 0.7%
Abercrombie & Fitch Company*........ 112,000 2,989,000
RETAIL - DISCOUNTERS - 1.2%
Consolidated Stores Corporation*.... 240,000 3,900,000
Land's End, Inc.*................... 34,000 1,181,500
------------
5,081,500
SERVICES - ADVERTISING & MARKETING - 4.5%
Acxiom Corporation*................. 580,000 13,920,000
True North Communications, Inc...... 120,000 5,362,500
------------
19,282,500
SERVICES - COMMERCIAL & CONSUMER - 2.5%
Angelica Corporation................ 98,300 958,425
Cerner Corporation*................. 255,000 5,020,312
DeVry, Inc.*........................ 150,000 2,793,750
FTI Consulting, Inc.*............... 172,200 861,000
High Speed Access Corporation*...... 43,000 774,000
U.S. Interactive, Inc.*............. 5,140 221,020
------------
10,628,507
SERVICES - COMPUTER SYSTEMS - 2.8%
Comdisco, Inc....................... 226,000 8,418,500
Sungard Data Systems, Inc.*......... 160,000 3,800,000
------------
12,218,500
SERVICES - DATA PROCESSING - 0.8%
DST Systems, Inc.*(3)............... 45,700 3,487,481
SPECIALTY PRINTING - 0.7%
Valassis Communications, Inc.*...... 66,000 2,788,500
TELECOMMUNICATION - CELLULAR - 0.6%
Metromedia International Group, Inc.* 580,000 2,755,000
------------
Total common stocks - 92.8%............................ 398,560,176
Cash and other assets, less liabilities - 7.2%......... 30,968,173
------------
Total net assets - 100.0%.............................. $429,528,349
============
- -------------------------------------------------------------------------------
58 See accompanying notes
<PAGE> 60
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1999
- ----------------------------------
SERIES K (GLOBAL STRATEGIC INCOME)
- ----------------------------------
PRINCIPAL MARKET
CORPORATE BONDS AMOUNT VALUE
- --------------------------------------------------------------------------
AIRLINES - 0.2%
Airtran Airlines, Inc.,
10.5% - 2001(3).................. $25,000 $ 24,187
AUTOMOTIVE - 2.0%
Accuride Corporation, 9.25% - 2008.. 50,000 46,125
Exide Corporation, 10% - 2005(3).... 50,000 48,125
Federal-Mogul Corporation,
7.50% - 2009..................... 50,000 45,187
Hayes Lemmerz International, Inc.,
8.25% - 2008..................... 50,000 45,875
LDM Technologies, Inc.,
10.75% - 2007.................... 50,000 44,563
------------
229,875
BANKING - 0.8%
American General Finance,
6.875% - 2001.................... 10,000 9,987
Norwest Corporation, 6.0% - 2000.... 25,000 24,982
Wells Fargo Company,
5.31% - 2000(3).................. 45,000 44,947
6.32125% - 2001(1),(3)........... 15,000 15,024
------------
94,940
BASIC INDUSTRY - OTHER - 2.9%
Allied Waste of North America,
7.625% - 2006.................... 25,000 22,687
Corning Consumer Product,
9.625% - 2008.................... 50,000 39,437
Fairfield Manufacturing
Company,Inc., 9.625% - 2008(3).. 25,000 24,719
Grove Worldwide LLC/CAPL,
9.25% 2008(3).................... 50,000 15,875
Insight Midwest, 9.75% - 2009....... 5,000 5,187
Integrated Circuit Systems,
11.5% - 2009(3).................. 50,000 49,000
Intersil Corporation, 13.25% - 2009(3) 25,000 30,750
Numatics, Inc., 9.625% - 2008....... 50,000 37,375
Prestolite Electric, Inc.,
9.625% - 2008(3)................. 20,000 15,650
Roller Bearing Company of
America, 9.625% - 2007........... 25,000 22,938
Waste Management, Inc., 7% - 2006(3) 80,000 68,600
------------
332,218
BUILDING MATERIALS - 0.2%
Nortek, Inc., 9.25% - 2007.......... 25,000 24,438
CAPITAL GOODS - 1.8%
Advanced Micro Devices, 11% - 2003(3) 50,000 49,375
Amkor Technologies, Inc.,
9.25% - 2006..................... 50,000 49,000
Anthony Crane Rental LP,
10.375% - 2008................... 50,000 42,625
Clark Material Handling,
10.75% - 2006(3)................. 50,000 15,875
Fonda Group, Inc., 9.50% - 2007..... 25,000 20,969
Polaroid Corporation, 11.5% - 2006(3) 25,000 24,312
------------
202,156
CHEMICALS - 1.3%
Borden Chemicals and Plastics,
9.5% - 2005(3)................... 20,000 18,550
Georgia Gulf Corporation,
10.375% - 2007................... 5,000 5,225
Huntsman ICI Chemicals,
0% - 2009........................ 75,000 22,219
Key Plastics, Inc., 10.25% - 2007(3) 20,000 9,350
Lyondell Chemical Company,
9.625% - 2007(3)................. 15,000 15,412
10.875% - 2009(3)................ 25,000 25,937
Sterling Chemicals, Inc.,
11.75% - 2006.................... 10,000 7,475
Terra Industries, 10.5% - 2005(3)... 30,000 21,000
Texas Petrochemical Corporation,
11.125% - 2006................... 20,000 17,350
------------
142,518
COMMUNICATIONS - OTHER - 1.0%
Covad Communications Group,
13.5% - 2008..................... 50,000 31,250
Loral Space and Communications
Ltd., 9.50% - 2006............... 50,000 45,000
Metromedia Fiber Network,
10% - 2009(3).................... 15,000 15,413
Nextel Communications,
9.75% - 2007(3).................. 30,000 21,487
------------
113,150
CONSTRUCTION MACHINERY - 1.1%
Argo-Tech Corporation,
8.625% - 2007(3)................. 50,000 43,625
Bucyrus International, 9.75% - 2007. 50,000 35,875
Henry Company, 10.00% - 2008(3)..... 50,000 41,375
------------
120,875
- -------------------------------------------------------------------------------
59 See accompanying notes
<PAGE> 61
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1999
- ---------------------------------------------
SERIES K (GLOBAL STRATEGIC INCOME)(CONTINUED)
- ---------------------------------------------
PRINCIPAL MARKET
CORPORATE BONDS (CONTINED) AMOUNT VALUE
- ---------------------------------------------------------------
CONSUMER NONCYCLICAL - OTHER - 2.0%
Crown Castle International Corporation,
9.00% - 2011(3).................. $40,000 $ 39,200
Deutsche Bank,
7.872% - 2049(1),(3)............. 100,000 94,294
Von Hoffman Press, Inc.,
10.375% - 2007(3)................ 50,000 49,000
World Color Press, Inc.,
8.375% - 2008(3)................. 50,000 49,062
------------
231,556
CONSUMER PRODUCTS - 0.8%
Bell Sports, Inc., 11.00% - 2008.... 50,000 49,500
Chattem, Inc., 8.875% - 2008(3)..... 20,000 18,800
Evenflo Company, Inc., 11.75% - 2006(3) 25,000 24,563
Purina Mills, Inc., 9.00% - 2010*(3) 15,000 3,750
------------
96,613
ENERGY - REFINING - 0.3%
Clark Refining & Marketing, Inc.,
8.375% - 2007.................... 30,000 22,125
8.625% - 2008.................... 20,000 13,150
------------
35,275
ENTERTAINMENT - 1.0%
AMC Entertainment, Inc., 9.5% - 2011 25,000 22,000
Loews Cineplex Entertainment,
8.875% - 2008(3)................. 50,000 43,875
True Temper Sports, Inc.,
10.875% - 2008(3)................ 50,000 47,437
------------
113,312
FINANCE - OTHER - 6.0%
APP International Finance,
11.75% - 2005(3)................. 50,000 41,875
Associates Corporation, 6.19% - 2002 15,000 14,984
BNP US Funding LLC,
7.738% - 2049(1),(3)............. 100,000 92,500
Doral Financial Corporation,
8.5% - 2004(3)................... 70,000 68,337
General Motors Acceptance
Corporation, 6.875%- 2004....... 8,000 12,731
IBM International Finance,
6.75% - 2000(3).................. 75,000 75,146
KFW International Finance,
5.75% - 2000..................... 70,000 69,459
Natexis AMBS Company LLC,
8.44% - 2049(1),(3).............. 100,000 94,081
RBF Finance Company,
11.00% - 2006(3)................. 25,000 26,750
Socgen Real Estate LLC,
7.64% - 2049(1),(3).............. 100,000 91,625
Sun Life of Canada, 8.526% - 2049(3) 100,000 92,750
------------
680,238
FOOD - 0.8%
B & G Foods, Inc., 9.625% - 2007.... 50,000 44,500
Pathmark Stores, 9.625% - 2003...... 25,000 18,750
Vlasic Foods International, Inc.,
10.25% - 2009(3)................. 25,000 23,844
------------
87,094
GAMING - 0.2%
Hollywood Casino Corporation,
11.25% - 2007.................... 15,000 15,638
Venetian Casino / LV Sands,
12.25% - 2004(3)................. 15,000 13,087
------------
28,725
HEALTHCARE - 1.3%
Alaris Medical, Inc.,
11.125% - 2008(3)................ 50,000 21,438
Conmed Corporation, 9% - 2008(3).... 25,000 22,656
DJ Orthopedics LLC, 12.625% - 2009.. 25,000 24,188
Mediq, Inc., 11.00% - 2008.......... 50,000 19,375
Triad Hospitals Holdings,
11.00% - 2009(3)................. 40,000 41,600
Universal Hospital Services,
10.25% - 2008(3)................. 25,000 17,969
------------
147,226
HOME CONSTRUCTION - 1.0%
Beazer Homes USA, 8.875% - 2008(3).. 50,000 46,875
Engle Homes, Inc., 9.25% - 2008..... 25,000 22,438
Standard Pacific Corporation,
8.5% - 2009(3)................... 50,000 46,250
------------
115,563
INSURANCE - PROPERTY & CASUALTY - 0.8%
American Financial Group,
7.125% - 2009(3)................. 100,000 90,875
LODGING - 0.4%
John Q. Hammons Hotels,
8.875% - 2004(3)................. 50,000 45,187
MEDIA - CABLE - 2.1%
Adelphia Communications,
8.375% - 20083................... 50,000 46,500
Cablevision SA, 13.75% - 2009....... 25,000 24,688
Charter Communications
Holdings LLC, 8.25% - 2007(3).... 50,000 46,250
Echostar DBS Corporation,
9.375% - 2009.................... 50,000 50,125
Granite Broadcasting, 8.875% - 2008(3) 50,000 48,500
Gray Communications System, Inc.,
10.625% - 2006(3)................ 20,000 20,650
------------
236,713
- --------------------------------------------------------------------------------
60 See accompanying notes.
<PAGE> 62
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1999
- ---------------------------------------------
SERIES K (GLOBAL STRATEGIC INCOME)(CONTINUED)
- ---------------------------------------------
PRINCIPAL MARKET
CORPORATE BONDS (CONTINED) AMOUNT VALUE
- ---------------------------------------------------------------
METALS - 2.0%
Armco, Inc., 9.00% - 2007........... $50,000 $ 50,250
Bayou Steel Corporation,
9.50% - 2008..................... 50,000 46,625
Bulong Operations PTY,
12.5% - 2008..................... 10,000 7,000
LTV Corporation, 8.2% - 2007(3)..... 20,000 17,950
Neenah Corporation,
11.125% - 2007................... 25,000 23,188
Silgan Holdings, Inc., 9.00% - 2009(3) 75,000 72,000
Wells Aluminum Corporation,
10.125% - 2005(3)................ 15,000 14,681
------------
231,694
OIL FIELD SERVICES - 1.9%
Cross Timbers Oil Company,
9.25% - 2007(3).................. 25,000 24,781
Husky Oil Ltd., 7.55% - 2016(3)..... 80,000 72,500
Key Energy Services, Inc.,
14% - 2009(3).................... 20,000 21,825
Pride Petroleum Services, Inc.,
9.375% - 2007(3)................. 50,000 50,000
Tuboscope, Inc., 7.50% - 2008(3).... 50,000 42,250
------------
211,356
PACKAGING - 1.1%
Container Corporation of America,
10.75% - 2002(3)................. 50,000 51,625
Gaylord Container Corporation,
9.375% - 2007(3)................. 50,000 46,375
Sweetheart Cup Company, Inc.,
9.625% - 2000(3)................. 25,000 24,875
------------
122,875
PHARMACEUTICALS - 0.4%
Glaxo Wellcome PLC, 6.75% - 2000(3). 45,000 45,111
REAL ESTATE INVESTMENT TRUST - 0.8%
Avalon Properties,
6.625% - 2005(3)................. 100,000 92,875
SCHOOLS - 0.1%
Columbia University, 5.89% - 2000... 10,000 9,925
TECHNOLOGY - 0.7%
Fisher Scientific International,
9.00% - 2008(3).................. 25,000 24,000
Verio, Inc., 11.25% - 2008(3)....... 50,000 52,625
------------
76,625
TELECOMMUNICATIONS - 2.6%
Alaska Communications Systems,
9.375% - 2009(3)................. 40,000 38,700
BTI Telecom Corporation,
10.50% - 2007.................... 25,000 23,313
Hyperion Telecommunications,
12.25% - 2004.................... 25,000 26,875
Intermedia Communication,
0.00% - 2007(5).................. 50,000 37,437
Iridium LLC/Capital Corporation,
14.00% - 2005*(3)................ 50,000 2,375
Level 3 Communications, Inc.,
9.125% - 2008(3)................. 20,000 18,850
McLeodUSA, Inc., 9.25% - 20073...... 25,000 25,125
Nextlink Communications, PP,
12.125% - 2009(3)................ 45,000 26,831
RCN Corporation,
10% - 2007(3).................... 20,000 19,900
10.125% - 2010................... 25,000 24,875
Teligent, Inc., 11.50% - 2007(3).... 50,000 48,625
------------
292,906
TEXTILES - 0.6%
Pillowtex Corporation, 9.00% - 2007(3) 50,000 21,375
Westpoint Stevens, Inc.,
7.875% - 2008(3)................. 50,000 44,875
------------
66,250
TRANSPORTATION - OTHER - 0.4%
Iron Mountain, Inc., 8.25% - 2011... 50,000 45,875
YANKEE - 2.3%
Acetex Corporation, 9.75% - 2003.... 50,000 45,375
Consumers International,
10.25% - 2005.................... 50,000 39,000
Doman Industries, Ltd.,
8.75% - 2004(3).................. 25,000 21,438
12% - 20043...................... 25,000 26,000
Grupo Industrial Durango,
12.625% - 2003................... 35,000 35,131
Hermes Europe Railtel BV,
10.375% - 2009................... 25,000 24,812
PSINet, Inc., 11% - 2009(3)......... 40,000 41,300
Repap New Brunswick,
10.625% - 2005................... 25,000 23,063
------------
256,119
------------
Total corporate bonds - 40.9%................ 4,644,345
- --------------------------------------------------------------------------------
61 See accompanying notes.
<PAGE> 63
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1999
- ---------------------------------------------
SERIES K (GLOBAL STRATEGIC INCOME)(CONTINUED)
- ---------------------------------------------
PRINCIPAL MARKET
MISCELLANEOUS ASSETS AMOUNT VALUE
- ---------------------------------------------------------------
ASSET BACKED SECURITIES - 0.7%
Capital Auto Receivables Asset Trust
1999-2 A3, 6.25% - 2003(3)....... $10,000 $ 9,931
Ford Credit Auto Owner Trust,
1999-D A3, 6.2% - 2002........... 25,000 24,944
Premier Auto Trust, 1998-3 A2,
5.82% - 2000..................... 23,289 23,160
USAA Auto Loan Grantor Trust,
1999-1 A, 6.1% - 2006(3)......... 21,021 20,783
------------
78,818
MORTGAGE BACKED SECURITIES - 0.3%
Money Store Home Equity Trust,
1996-D A13, 6.635% - 2014(3)..... 25,000 24,899
Structured Assets Securities Company
1999-C3 A, 6.86125% - 2001(1).... 9,958 9,958
------------
34,857
------------
Total miscellaneous assets - 1.0%........... 113,675
U.S. GOVERNMENT & GOVERNMENT AGENCY SECURITIES
- ----------------------------------------------
U.S. GOVERNMENT AGENCIES - 3.7%
Government National Mortgage
Association, 7.50% - 2029........ 418,976 414,267
U.S. GOVERNMENT SECURITES - 1.4%
U.S. Treasury Notes,
5.50% - 2003..................... 20,000 19,536
7.00% - 2006(3).................. 83,000 84,992
U.S. Treasury Bonds,
6.25% - 2023..................... 37,000 34,887
10.75% - 2005.................... 20,000 23,858
------------
163,273
------------
Total U.S. government & government
agency securites - 5.1%.................. 577,540
FOREIGN BONDS
JAPAN - 0.7%
International Bank Reconstruction
& Development, 5.15% - 2000...... 75,000 74,832
MEXICO - 1.0%
Bepensa SA, 9.75% - 2004............ 45,000 38,587
Innova S DE R.L., 12.875% - 2007.... 40,000 35,500
Sanluis Corp SA DE CV,
8.875% - 2008.................... 40,000 35,635
------------
109,722
POLAND - 0.8%
Delphes Company No.2 Ltd.,
7.75% - 2009..................... 100,000 92,670
UNITED KINGDOM - 0.8%
BG Group PLC, 5.375% - 2009(2)...... 10,000 14,456
European Investment Bank,
6.0% - 2004(2)................... 15,000 23,550
General Motors Acceptance
Corporation, 6.875% - 2004(2).... 7,000 11,139
RSL Communications PLC,
9.875% - 2009(3)................. 50,000 45,500
------------
94,645
------------
Total foreign bonds - 3.3%................... 371,869
FOREIGN GOVERNMENT BONDS
ARGENTINA - 8.8%
Republic of Argentina,
2.868% - 2001(1),(2)............. 60,000 24,002
0.00% - 2004..................... 55,000 32,725
6.8125% - 2005(1)................ 294,800 266,795
11.00% - 2006.................... 80,000 79,225
11.75% - 2011(2)................. 25,000 13,464
6.875% - 2023(1)................. 365,000 289,011
9.75% - 2027..................... 325,000 294,125
------------
999,347
BRAZIL - 8.8%
Republic of Brazil,
14.5% - 2009..................... 145,861 161,541
7.00% - 2012(1).................. 430,000 319,275
8.00% - 2014..................... 379,673 283,805
6.9375% - 2024(1)................ 310,000 235,213
------------
999,834
BULGARIA - 1.4%
Bulgaria, 6.5% - 2024(1)............ 205,000 164,256
CANADA - 0.4%
Province of Ontario, 6.875% - 2000(2) 30,000 48,241
FRANCE - 4.3%
O.A.T. Government Bond,
4.0% - 2009(2),(3)............... 100,000 89,269
6.00% - 2025(2).................. 107,000 107,369
Treasury Note,
3.00% - 2001(2),(3).............. 300,000 295,608
------------
492,246
GERMANY - 0.7%
Bundesrepub. Deutschland,
6.25% - 2024(2).................. 78,000 81,004
GREECE - 0.0%
Hellenic Republic, 6.5% - 2014(2)... 2,000,000 6,017
KOREA - 1.9%
Republic of Korea,
8.75% - 2003(3).................. 105,000 108,806
8.875% - 2008(3)................. 100,000 105,000
------------
213,806
- --------------------------------------------------------------------------------
62 See accompanying notes
<PAGE> 64
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1999
- ---------------------------------------------
SERIES K (GLOBAL STRATEGIC INCOME)(CONTINUED)
- ---------------------------------------------
PRINCIPAL
AMOUNT OR
FOREIGN NUMBER MARKET
GOVERNMENT BONDS (CONTINUED) OF SHARES VALUE
- ---------------------------------------------------------------
MEXICO - 4.9%
United Mexican States,
10.375% - 2009................... $ 45,000 $ 47,497
6.25% - 2019(3).................. 650,000 510,250
------------
557,747
NETHERLANDS - 2.4%
Netherlands Government,
5.75% - 2004(2).................. 260,000 268,998
PANAMA - 1.0%
Republic of Panama,
7.875% - 2002.................... 30,000 28,941
6.5% - 2016(1)................... 43,189 34,144
8.875% - 2027.................... 60,000 50,867
------------
113,952
PERU - 1.0%
Republic of Peru,
3.75% - 2017(1).................. 50,000 30,938
4.50% - 2017(1),(3).............. 120,000 82,500
------------
113,438
PHILIPPINES - 0.4%
Republic of Philippines,
9.5% - 2024...................... 45,000 45,506
RUSSIA - 1.8%
Russia Federation, 12.75% - 2028.... 310,000 203,050
SPAIN - 0.3%
Republic of Trinidad & Tobago,
9.875% - 2009(3)................. 35,000 35,263
SWEDEN - 0.3%
Swedish Government, 9.00% - 2009(2). 200,000 28,798
TURKEY - 0.4%
Republic of Turkey, 11.875% - 2004.. 40,000 41,506
UNITED KINGDOM - 0.9%
Abbey National Treasury Service,
6.12875% - 2000(1).............. 50,000 49,928
United Kingdom Treasury Bond,
7.75% - 2006(2),(3).............. 20,000 35,331
Federal Home Loan Bank,
5.625% - 2003(2)................. 10,000 15,510
------------
100,769
VENEZUELA - 1.3%
Republic of Venezuela, 7.00% -
2007(1),(3)...................... 190,475 150,139
------------
Total foreign government bonds - 41.0%...... 4,663,917
COMMERCIAL PAPER
- ----------------
FINANCIAL SERVICES - 1.5%
American General Finance,
6.19% - 2-15-00.................. 50,000 49,667
General Electric Capital Corporation,
6.083% - 2-17-00................. 45,000 44,689
Private Export Funding,
6.01% - 2-28-00.................. 75,000 74,348
------------
168,704
CERTIFICATE OF DEPOSIT - 0.4%
- -----------------------------
Deutsche Bank New York,
5.90% - 2-14-00.................. 45,000 45,005
REPURCHASE AGREEMENT - 4.7%
- ---------------------------
Chase Manhattan Bank,
2.5% - 1/3/00 (Collateralized by
U.S. Treasury Strip, 2.50% - 2018
with a value of $554,037)(3).... 540,000 540,000
------------
Total investments - 97.9%................... 11,125,055
Cash and other assets less liabilities - 2.1% 244,157
------------
Total net assets - 100.0%................... $ 11,369,212
============
- ---------------------------------------------
SERIES M (GLOBAL TOTAL RETURN)
- ---------------------------------------------
CORPORATE BONDS
BANKING - 0.5%
American General Finance,
6.875% - 2001.................... $40,000 39,950
Bank of New York, 6.5% - 2003....... $85,000 82,875
Wells Fargo Company,
5.31% - 2000..................... $65,000 64,892
6.32125% - 2001.................. $65,000 65,104
------------
252,821
CAPITAL GOODS - 0.1%
Raytheon Company, 6.75% - 2007...... $35,000 32,550
CONSUMER - CYCLICAL - 0.3%
General Motors Acceptance
Corporation, 6.85% - 2004........ $50,000 49,188
Lowe's Companies, Inc.,
6.70% - 2007..................... $65,000 62,075
------------
111,263
FINANCIAL - 0.2%
Ford Motor Credit Global Notes,
6.25% - 2000..................... $100,000 99,731
REAL ESTATE INVESTMENT TRUST - 0.3%
EOP Operating LP, 6.625% - 2005..... $50,000 47,437
Spieker Properties, 6.80% - 2004.... $90,000 85,950
------------
133,387
SCHOOLS - 0.1%
Columbia University, 5.89% - 2000... $50,000 49,625
YANKEE CORPORATES - 0.2%
Abbey National PLC, 6.69% - 2005.... $75,000 71,906
------------
Total corporate bonds - 1.7%................ 751,283
- --------------------------------------------------------------------------------
63 See accompanying notes.
<PAGE> 65
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1999
- ---------------------------------------------------------------
SERIES M (GLOBAL TOTAL RETURN)(CONTINUED)
- ---------------------------------------------------------------
NUMBER MARKET
COMMON STOCKS OF SHARES VALUE
- ---------------------------------------------------------------
AIRLINES - 0.3%
Ryanair Holdings PLC ADR*........... 2,100 $ 115,763
Auto Parts & Equipment - 0.5%
Delphi Automotive Systems
Corporation...................... 14,866 234,140
Banks - Major Regional - 0.8%
Unionbancal Corporation............. 6,300 248,456
U.S. Bancorp........................ 5,100 121,444
------------
369,900
Beverages - Alcoholic - 1.0%
Anheuser-Busch Companies, Inc....... 6,400 453,600
Biotechnology - 1.0%
Genzyme Corporation*................ 3,900 175,500
Genzyme Molecular Oncology*......... 16,500 115,500
Gilead Sciences, Inc.*.............. 2,400 129,900
------------
420,900
Broadcast Media - 0.6%
AT&T Corporation - Liberty Media
Group............................ 4,800 272,400
Chemicals - Diversified - 0.8%
Monsanto Company.................... 9,800 349,125
COMMUNICATION EQUIPMENT - 1.4%
Echostar Communications Corporation* 1,800 175,500
Motorola, Inc....................... 3,000 441,750
------------
617,250
Computer Hardware - 2.2%
Hewlett-Packard Company............. 3,500 398,781
International Business Machines
Corporation...................... 5,300 572,400
------------
971,181
COMPUTER SOFTWARE & SERVICES - 4.5%
America Online, Inc.*............... 4,300 324,381
BMC Software, Inc.*................. 3,700 295,769
Microsoft Corporation*.............. 11,600 1,354,300
------------
1,974,450
COMPUTERS - NETWORKING - 1.8%
Cisco Systems, Inc.*................ 6,050 648,106
3Com Corporation*................... 3,400 159,800
------------
807,906
CONTAINERS & PACKAGING - 0.5%
Temple-Inland, Inc.................. 3,200 211,000
ELECTRIC COMPANIES - 0.5%
Unicom Corporation.................. 6,800 227,800
ELECTRICAL EQUIPMENT - 0.7%
General Electric Company............ 2,100 324,975
ELECTRONICS - SEMICONDUCTORS - 1.8%
Adeptec, Inc.*...................... 5,600 $ 279,300
Analog Devices, Inc.*............... 3,000 279,000
Intel Corporation................... 3,100 255,169
------------
813,469
FINANCIAL - DIVERSE - 1.4%
Associates First Capital Corporation 3,500 96,031
Citigroup, Inc...................... 9,350 519,509
------------
615,540
HOUSEHOLD PRODUCTS - 1.5%
Kimberly-Clark Corporation.......... 7,100 463,275
Procter & Gamble Company............ 1,900 208,169
------------
671,444
INSURANCE - BROKERS - 0.8%
Marsh & McLennan Companies, Inc..... 3,500 334,906
INSURANCE - MULTILINE - 0.7%
Hartford Financial Services
Group, Inc....................... 6,600 312,675
INVESTMENT BANK/BROKERAGE - 0.3%
Merrill Lynch & Company, Inc........ 1,800 150,300
MANUFACTURING - DIVERSIFIED - 2.3%
Corning, Inc........................ 2,200 283,663
Honeywell International............. 2,700 155,756
United Technologies Corporation..... 8,600 559,000
------------
998,419
MEDICAL PRODUCTS & SUPPLIES - 0.3%
Baxter International................ 2,200 138,188
METALS & MINING - 0.3%
Freeport-McMoran
Copper & Gold, Inc.*............. 6,700 124,369
PAPER & FOREST PRODUCTS - 1.0%
Abitibi-Consolidated, Inc........... 16,300 193,563
Weyerhaeuser Company................ 3,700 265,706
------------
459,269
PUBLISHING - NEWSPAPER - 0.6%
Central Newspapers, Inc............. 6,600 259,875
RAILROADS - 0.7%
Canadian National Railway Company...11,200294,700
RETAIL - BUILDING SUPPLIES - 1.3%
Home Depot, Inc..................... 8,100 555,356
RETAIL - DEPARTMENT STORES - 0.4%
May Department Store Company........ 5,100 164,475
RETAIL - GENERAL MERCHANDISE - 2.3%
Dayton Hudson Corporation........... 2,200 161,562
Wal-Mart Stores, Inc................ 12,200 843,325
------------
1,004,887
- --------------------------------------------------------------------------------
64 See accompanying notes.
<PAGE> 66
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1999
- ---------------------------------------------------------------
SERIES M (GLOBAL TOTAL RETURN)(CONTINUED)
- ---------------------------------------------------------------
PRINCIPAL
AMOUNT OR
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
- ---------------------------------------------------------------
RETAIL - SPECIALTY - 0.4%
Bed Bath & Beyond, Inc.*............ 5,000 $ 173,750
SERVICES - DATA PROCESSING - 0.7%
BISYS Group, Inc.*.................. 2,600 169,650
First Data Corporation.............. 2,900 143,006
------------
312,656
TELECOMMUNICATION - LONG DISTANCE - 1.4%
AT&T Corporation*................... 5,500 279,125
MCI Worldcom, Inc.*................. 6,750 358,172
------------
637,297
TELEPHONE - 1.0%
Bell Atlantic Corporation........... 3,300 203,156
SBC Communications, Inc............. 4,700 229,125
------------
432,281
TOBACCO - 0.5%
Philip Morris Companies, Inc........ 8,800 204,050
------------
Total common stocks - 36.3%...... 16,008,296
U.S. GOVERNMENT & GOVERNMENT AGENCIES
U.S. GOVERNMENT AGENCIES - 0.7%
Federal Home Loan Mortgage Corporation
6.00% - 2006..................... $15,594 15,534
7.00% - 2020..................... $11,494 11,467
------------
27,001
Federal National Mortgage Association,
6.50% - 2018..................... $28,723 28,604
Government National Mortgage Association,
6.50% - 2029..................... $29,817 27,997
7.00% - 2029..................... $234,097 226,070
------------
254,067
U.S. GOVERNMENT SECURITIES - 1.6%
U.S. Treasury Notes,
10.75% - 2005.................... $50,000 59,646
U.S. Treasury Bonds,
9.00% - 2018..................... $40,000 49,146
6.25% - 2023..................... $220,000 207,436
6.125% - 2027.................... $150,000 139,604
5.50% - 2028..................... $60,000 51,177
6.125% - 2029.................... $200,000 190,556
------------
697,565
------------
Total U.S. government & government
agencies - 2.3%............... 1,007,237
MISCELLANEOUS ASSETS
ASSET-BACKED SECURITIES - 0.6%
Chase Manhattan Auto Owner Trust,
6.50% - 2001..................... $100,000 99,587
Ford Credit Auto Owner Trust,
6.20% - 2002..................... $130,000 129,705
USAA Auto Loan Grantor Trust,
6.10% - 2006..................... $ 54,657 54,038
------------
283,330
MORTGAGE-BACKED SECURITIES - 0.5%
Advanta Credit Card Company
Home Equity 99-4M, 5.90% - 2029 $ 59,934 $ 59,906
Capital Auto Receivables Asset Trust
6.25% - 2003..................... 25,000 24,828
Premier Auto Trust - Series 1998-3 A2,
5.82% - 2000..................... 53,100 52,805
Structured Assets Securities Company
99-C3, 5.81% - 2013.............. 39,833 39,833
The Money Store Home Equity Trust,
6.635% - 2014.................... 50,000 49,799
------------
227,171
------------
Total miscellaneous assets - 1.1%........ 510,501
MUNICIPAL BONDS
CALIFORNIA - 0.1%
Los Angeles County, California
Pension Obligation, 8.49% - 2004. 40,000 41,798
FOREIGN CORPORATE BONDS
ARGENTINA - 0.1%
Republic of Argentina,
11.75% - 2009.................... $23,000 22,914
11.75% - 2011.................... $30,000 16,156
------------
39,070
BRAZIL - 0.1%
Republic of Brazil,
11.625% - 2004................... $50,000 49,625
GERMANY - 0.2%
KFW International Finance,
5.75% - 2000..................... $85,000 84,343
JAPAN - 0.4%
KFW International Finance,
1.0% - 2004(2)................... 17,000,000 166,410
UNITED KINGDOM - 1.3%
BG Group PLC, 5.375% - 2009(2)...... 30,000 43,368
Diageo Capital PLC, 5.90% - 2000.... $100,000 99,884
General Motors Acceptance
Corporation, 6.875% - 2004(2).... 60,000 95,480
International Bank Recon &
Development, 6.00% - 2000........ $250,000 249,952
National Westminster Bank,
7.375% - 2009.................... $20,000 19,525
Xerox Cap Europe PLC, 5.75% - 2002.. $65,000 62,696
------------
570,905
------------
Total foreign corporate bonds - 2.1%........ 910,353
- --------------------------------------------------------------------------------
65 See accompanying notes.
<PAGE> 67
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1999
- -----------------------------------------
SERIES M (GLOBAL TOTAL RETURN)(CONTINUED)
- -----------------------------------------
PRINCIPAL
AMOUNT OR
FOREIGN NUMBER MARKET
GOVERNMENT BONDS (CONTINUED) OF SHARES VALUE
- ---------------------------------------------------------------
FRANCE - 3.8%
O.A.T. Government Bond,4.00% -
2009(2) ......................... 620,000 $ 553,468
6.00% - 2025(2).................. 107,000 107,369
Treasury Note,
3.00% - 2001(2).................. 510,000 502,533
3.50% - 2004(2).................. 525,000 499,338
------------
1,662,708
GERMANY - 2.3%
Bundesschatzanweisungen,
3.25% - 2000(2).................. 200,000 200,120
Bundesrepub Deutschland,
3.75% - 2009(2).................. 510,000 455,526
6.25% - 2024(2).................. 230,000 238,859
6.50% - 2027(2).................. 105,000 111,512
------------
1,006,017
JAPAN - 0.2%
Japan Finance Corporation,
9.75% - 2000..................... $100,000 101,258
MEXICO - 0.1%
United Mexican States,
10.375% - 2009................... $25,000 26,387
SPAIN - 0.0%
Trinidad & Tobago, 9.875% - 2009.... $20,000 20,150
SWEDEN - 0.2%
Swedish Government Bond,
9.00% - 2009(2).................. 600,000 86,394
UNITED KINGDOM - 0.7%
Abby National Treasury,
6.21387% - 2000.................. $100,000 99,857
Fannie Mae, 5.50% - 2003(2)......... 90,000 138,395
Federal Home Loan Bank,
5.625% - 2003(2)................. 40,000 62,040
------------
300,292
------------
Total foreign government bonds - 7.3%....... 3,203,206
FOREIGN STOCKS
AUSTRALIA - 1.3%
Australia & New Zealand Banking
Group Ltd........................ 49,614 359,771
Woocside Petroleum, Ltd............. 27,300 200,983
------------
560,754
BELGIUM - 0.3%
Fortis (Cl.B)....................... 4,000 143,624
FINLAND - 1.4%
Mertia PLC.......................... 27,250 159,795
Nokia Oyj........................... 2,500 451,080
------------
610,875
FRANCE - 3.2%
Aventis S.A......................... 5,300 306,544
Axa................................. 2,100 291,337
Saint Gobain........................ 1,700 318,152
Societe Generale (Cl.A)............. 1,200 277,865
Suez Lyonnaise Des Eaux............. 600 95,689
Technip............................. 1,100 112,249
------------
1,401,836
GERMANY - 2.3%
Bayer AG............................ 6,465 305,232
Mannesmann AG....................... 1,400 339,613
Primacom AG*........................ 2,400 153,969
RWE AG.............................. 6,600 202,445
------------
1,001,259
HONG KONG - 1.0%
Cheung Kong Holdings................ 8,000 101,627
HSBC Holdings....................... 8,993 126,104
Hutchison Whampoa Ltd............... 7,000 101,756
Sun Hung Kai Properties............. 10,000 104,200
------------
433,687
IRELAND - 0.2%
Bank of Ireland..................... 13,800 109,282
ITALY - 1.8%
Banca Nazionale*.................... 33,400 110,819
Eni Spa............................. 58,700 321,271
Telecom Italia Spa.................. 33,500 372,407
------------
804,497
JAPAN - 9.9%
Bank of Yokohama, Ltd............... 28,000 128,846
Banyu Pharmaceutical Company, Ltd... 16,000 247,765
Dia Nippon Printing Company, Ltd.... 23,000 366,274
Eisai Company, Ltd.................. 14,000 268,770
Fujisawa Pharmaceutical
Company, Ltd..................... 19,000 460,359
Hitachi, Ltd........................ 49,000 785,111
Kyudenko Corporation................ 29,000 101,998
Nagase & Company, Ltd............... 40,000 163,744
Nichiei Company, Ltd................ 4,000 86,757
Nikko Securities Company............ 18,000 227,385
Nippon Telegraph & Telephon
Corporation...................... 34 581,310
Okumura Corporation................. 37,000 124,713
Shizuoka Bank, Ltd.................. 8,000 81,911
Softbank Corporation................ 100 95,550
Sony Corporation.................... 600 177,617
Takefuji Corporation................ 2,000 249,914
Tokyo Style......................... 11,000 90,274
Yamato Kogyo Company, Ltd........... 32,000 144,126
------------
4,382,424
- --------------------------------------------------------------------------------
66 See accompanying notes.
<PAGE> 68
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1999
- -----------------------------------------
SERIES M (GLOBAL TOTAL RETURN)(CONTINUED)
- -----------------------------------------
PRINCIPAL
AMOUNT OR
NUMBER MARKET
FOREIGN STOCKS (CONTINUED) OF SHARES VALUE
- ---------------------------------------------------------------
NETHERLANDS - 1.7%
Akzo Nobel N.V...................... 3,900 $ 194,686
Ing Groep N.V....................... 3,037 182,475
Koninklijke (Royal) Philips
Electronics N.V.................. 2,844 384,861
------------
762,022
NEW ZEALAND - 0.2%
Air New Zealand, Ltd................ 58,531 85,467
SINGAPORE - 1.1%
Natsteel Electronics, Ltd........... 22,000 116,206
Overseas Union Bank, Ltd............ 28,000 163,866
Venture Manufacturing, Ltd.......... 16,000 183,433
------------
463,505
SPAIN - 1.6%
Banco Popular Espanol S.A........... 2,600 168,754
Endesa S.A.......................... 10,400 205,476
Iberdrola S.A....................... 12,900 177,930
Repsol YPF, S.A..................... 6,500 149,989
------------
702,149
Sweden - 0.8%
Gambro AB........................... 7,990 72,016
Hennes & Mauritz AB................. 7,880 262,882
------------
334,898
SWITZERLAND - 0.8%
Holderbank Financiere Glarus AG..... 500 176,485
Sandvik AB (Cl.A)................... 5,400 168,454
------------
344,939
United Kingdom - 6.0%
AstraZeneca Group PLC............... 5,600 231,775
Barclays PLC........................ 7,457 214,649
BP Amoco PLC........................ 40,300 404,973
British Telecom PLC................. 16,619 401,773
Burmam Castrol PLC.................. 6,983 132,240
Colt Telecom Group PLC*............. 5,400 278,067
Invensys PLC........................ 53,700 289,937
Scottish Power PLC.................. 8,700 65,622
Smith & Nephew PLC.................. 6,020 203,751
SmithKline Beecham PLC.............. 35,400 449,016
------------
2,671,803
------------
Total foreign stocks - 33.6%................ 14,813,021
SHORT TERM INVESTMENTS
CERTIFICATES OF DEPOSIT - 1.0%
Deutsche Bank NY, 5.90% - 2/14/00... $175,000 175,019
Svenska Handels NY, 5.97% - 2/18/00. $250,000 250,048
------------
425,067
U.S. GOVERNMENT AGENCIES - 2.9%
U.S. Treasury Bill
5.206% - 2/10/00(3).............. $800,000 795,880
5.34% - 3/16/00(3)............... $500,000 494,589
------------
1,290,469
------------
Total short term investments - 3.9%......... 1,715,536
PRINCIPAL MARKET
COMMERCIAL PAPER AMOUNT VALUE
- ---------------------------------------------------------------
BANKS & CREDIT - 0.3%
JP Morgan & Company, Inc.,
6.156% - 2/24/00................. $120,000 $ 119,030
FINANCIAL SERVICES - 1.8%
Aegon NV, 6.175% - 2/4/00........... 150,000 149,262
American General Finance,
6.19% - 2/15/00.................. 175,000 173,837
GTE Funding, Inc., 6.169% - 4/27/00. 175,000 173,801
General Electric Capital
Corporation, 6.206% - 4/27/00.... 150,000 147,293
Riverwoods Funding Corporation,
6.221% - 2/15/00................. 175,000 173,843
------------
818,036
TELECOMMUNICATIONS - 0.7%
British Telecommunications PLC,
6.393% - 2/16/00................. 300,000 297,604
------------
Total commercial paper - 2.8%............... 1,234,670
REPURCHASE AGREEMENT - 8.4%
- ---------------------------
Chase Manhattan Bank, 2.53% - 1/3/00
(Collateralized by U.S. Treasury Strip,
2.50% - 2018 with a value
of $3,827,470(3)................ 3,716,000 3,716,000
------------
Total investments - 99.7%................... 43,911,901
Cash & other assets, less liabilities - 0.3% 121,811
------------
Total net assets - 100.0%................... $44,033,712
============
- -----------------------------------
SERIES N (MANAGED ASSET ALLOCATION)
- -----------------------------------
CORPORATE BONDS
AEROSPACE/DEFENSE - 0.2%
Raytheon Company, 6.50% - 2005...... $250,000 $232,500
AUTOMOTIVE - 0.1%
Federal-Mogul Corporation,
7.75% - 2006..................... 100,000 94,000
Venture Holdings Trust,
11.00% - 2007.................... 50,000 46,375
------------
140,375
BANKING - 0.1%
Bankers Trust - NY, 7.25% - 2003.... 100,000 99,375
BASIC INDUSTRY - OTHER - 0.1%
Westinghouse Air Brake,
9.375% - 2005.................... 150,000 148,875
BUILDING MATERIALS - 0.1%
ABC Supply Company (Series B),
10.625% - 2007................... 100,000 89,750
Associated Materials, Inc.,
9.25% - 2008..................... 50,000 49,312
------------
139,062
- --------------------------------------------------------------------------------
67 See accompanying notes.
<PAGE> 69
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1999
- ----------------------------------------------
SERIES N (MANAGED ASSET ALLOCATION)(CONTINUED)
- ----------------------------------------------
PRINCIPAL MARKET
CORPORATE BONDS (CONTINUED) AMOUNT VALUE
- ---------------------------------------------------------------
CAPITAL GOODS - OTHER - 0.1%
International Wire Group,
11.75% - 2005.................... $100,000 $103,250
CONSUMER - NONCYCLICAL - OTHER - 0.1%
Coinmach Corporation Series D,
11.75% - 2005.................... 50,000 51,500
CONSUMER PRODUCTS - 0.5%
Anchor Advanced Products,
11.75% - 2004.................... 150,000 128,625
Chattem, Inc., 12.75% - 2004........ 50,000 53,250
Doane Products Company,
9.75% - 2007..................... 86,000 84,065
Holmes Products Corporation,
9.875% - 2007.................... 25,000 18,688
9.875% - 2007.................... 50,000 37,375
Keebler Corporation, 10.75% - 2006.. 150,000 161,625
------------
483,628
ELECTRIC UTILITY - 0.7%
Entergy Louisiana, Inc.,
6.50% - 2008..................... 500,000 454,375
Midwest Power System,
7.125% - 2003.................... 140,000 139,825
Southern California Edison,
6.50% - 2001..................... 50,000 49,750
------------
643,950
ENTERTAINMENT - 0.4%
Bally Total Fitness Holding,
9.875% - 2007.................... 75,000 72,750
Cinemark USA, Inc. (Series B),
8.50% - 2008..................... 100,000 86,000
Premier Parks, Inc., 9.75% - 2007... 100,000 99,750
Six Flags Entertainment,
8.875%- 2006.................... 50,000 48,625
Time Warner Entertainment,
7.25% - 2008..................... 100,000 97,500
------------
404,625
FINANCIAL INSTITUTIONS - 0.6%
Intertek Finance PLC, 10.25% - 2006. 50,000 46,625
Lehman Brothers, Inc.,
7.25% - 2003..................... 350,000 347,375
Penske Truck Leasing,
6.65% - 2000..................... 100,000 100,000
Salomon, Inc., 6.75% - 2003......... 100,000 98,625
------------
592,625
FINANCE - OTHER - 0.1%
Herff Jones, Inc. (Series B),
11.00% - 2005.................... 50,000 53,313
FOOD - 0.4%
Aurora Foods, Inc., 9.875% - 2007... 50,000 50,875
B&G Foods, Inc., 9.625% - 2007...... 25,000 22,250
International Home Foods,
10.375% - 2006................... 150,000 154,875
McDonald's Corporation,
6.625% - 2005.................... 50,000 48,937
Price/Costco, Inc., 7.125% - 2005... 100,000 96,875
------------
373,812
GAMING - 0.6%
Harrahs Operating, Inc.,
7.875% - 2005.................... 150,000 144,375
Isle of Capri Casinos, 8.75% - 2009. 150,000 138,375
Mohegan Tribal Gaming,
8.125% - 2006.................... 150,000 147,000
Park Place Entertainment,
7.875% - 2005.................... 150,000 143,625
------------
573,375
HEALTHCARE - 0.3%
Dade International, Inc.,
11.125% - 2006................... 150,000 146,625
Owens & Minor, Inc.,
10.875% - 2006................... 25,000 25,688
Quest Diagnostic, Inc.,
10.75% - 2006.................... 25,000 26,312
Tenet Healthcare Corporation,
8.00% - 2005..................... 150,000 144,375
-----------
343,000
INSURANCE - 0.1%
New York Life Insurance,
7.50% - 2023..................... 100,000 87,625
LODGING - 0.3%
Courtyard by Marriott, 10.75% - 2008 100,000 97,750
Host Marriott Travel Plaza,
9.50% - 2005..................... 150,000 155,437
------------
253,187
Media - Cable - 1.0%
Adelphia Communications,
9.875% - 2005.................... 125,000 127,500
7.875% - 2009.................... 25,000 22,500
Charter Comm Hlds LLC,
8.25% - 2007..................... 150,000 138,750
Classic Cable, Inc., 9.375% - 2009.. 150,000 148,125
Comcast Cable Communications,
8.125% - 2004.................... 100,000 102,500
Frontiervision, 11.00% - 2006....... 100,000 106,000
Mediacom LLC/Capital Corporation,
7.875% - 2011.................... 150,000 132,375
NTL, Inc., 0.00% - 2008(5).......... 225,000 156,656
Northland Cable Television,
10.25% - 2007.................... 100,000 100,500
------------
1,034,906
- --------------------------------------------------------------------------------
68 See accompanying notes.
<PAGE> 70
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1999
- ----------------------------------------------
SERIES N (MANAGED ASSET ALLOCATION)(CONTINUED)
- ----------------------------------------------
PRINCIPAL MARKET
CORPORATE BONDS (CONTINUED) AMOUNT VALUE
- ---------------------------------------------------------------
MEDIA - NON-CABLE - 0.3%
American Radio Systems, 9.00% - 2006 $50,000 $ 52,312
Chancellor Media Corporation,
8.125% - 2007.................... 50,000 50,000
8.00% - 2008..................... 50,000 50,125
9.00% - 2008..................... 50,000 52,000
Hollinger International Publishing,
9.25% - 2007..................... 50,000 49,500
Sun Media Corporation,
9.50% - 2007..................... 32,000 31,760
------------
285,697
METALS 0.0%
Freeport McMoran Resources,
7.00% - 2008..................... 50,000 45,250
NATURAL GAS - 0.2%
Energy Corporation of America,
9.50% - 2007..................... 100,000 72,750
Nuevo Energy Company,
9.50% - 2008..................... 148,500 148,314
------------
221,064
OIL FIELD SERVICES - 0.1%
Pride Petroleum Services, Inc.,
9.375% - 2007.................... 50,000 50,000
PACKAGING - 0.3%
Bway Corporation (Series B),
10.25% - 2007.................... 50,000 50,063
Consolidated Container,
10.125% - 2009................... 75,000 76,125
Container Corporation of America,
10.75% - 2002.................... 100,000 103,250
US Can Corporation, 10.125% - 2006..50,00051,875
------------
281,313
PAPER - 0.7%
International Paper Company,
6.875% - 2029.................... 500,000 431,875
Packaging Corporation of America,
9.625% - 2009.................... 150,000 154,312
Repap New Brunswick,
9.00% - 2004..................... 50,000 48,875
11.50% - 2004.................... 50,000 52,000
------------
687,062
SERVICES - 0.1%
Dyncorp, Inc., 9.50% - 2007......... 50,000 44,625
Group Maintenance America,
9.75% - 2009..................... 75,000 74,438
------------
119,063
SUPERMARKETS - 0.0%
Jitney-Jungle Stores, 0.00% - 20065 75,000 18,563
TECHNOLOGY - 0.1%
Communications & Power Industry,
12.00% - 2005.................... $100,000 $ 82,750
TELECOMMUNICATIONS - 2.8%
AT&T Corporation, 6.50% - 2029...... 500,000 427,500
Intermedia Communications, Inc.,
8.60% - 2008..................... 100,000 92,250
9.50% - 2009..................... 50,000 48,250
Lucent Technologies, Inc.,
6.90% - 2001..................... 100,000 100,125
Metromedia Fiber Network,
10.00% - 2008.................... 150,000 153,750
Metronet Communications
Corporation, 0.00% - 20085 ...... 200,000 157,250
Nextel Communications,
0.00% - 20075 ................... 200,000 143,250
Nextlink Communications,
0.00%- 20095 .................... 225,000 140,344
Orange PLC, 9.00% - 2009............ 100,000 106,000
Price Communications Wireless,
9.125% - 2006.................... 100,000 102,250
Qwest Communications International,
0.00% - 20075 ................... 50,000 40,563
7.50% - 2008..................... 50,000 48,687
Rogers Cantel, Inc.,
9.75% - 2016..................... 100,000 112,750
Sprint Capital Corporation,
6.125% - 2008.................... 500,000 451,875
Voicestream Wireless Corporation,
10.375% - 2009................... 150,000 154,125
Worldcom, Inc., 7.75% - 2007........ 500,000 508,125
------------
2,787,094
TEXTILE - 0.2%
Dan River, Inc., 10.125% - 2003..... 50,000 50,938
Westpoint Stevens, Inc.,
7.875% - 2008.................... 150,000 134,625
------------
185,563
TRANSPORTATION - OTHER - 0.2%
Allied Holdings, Inc., 8.625% - 2007 75,000 66,563
Avis Rent A Car, Inc., 11.00% - 2009 100,000 105,500
------------
172,063
YANKEE - 0.1%
Rogers Cantel, Inc., 9.375% - 2008.. 75,000 80,062
------------
Total corporate bonds - 10.9%............... 10,774,527
- --------------------------------------------------------------------------------
69 See accompanying notes.
<PAGE> 71
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1999
- ----------------------------------------------
SERIES N (MANAGED ASSET ALLOCATION)(CONTINUED)
- ----------------------------------------------
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
- ---------------------------------------------------------------
AEROSPACE/DEFENSE - 0.2%
Boeing Company...................... 2,814 $116,957
Lockheed Martin Corporation......... 2,000 43,750
Northrop Grumman Corporation........ 600 32,437
Precision Castparts Corporation..... 400 10,500
Primex Technologies, Inc............ 200 4,150
------------
207,794
AGRICULTURAL PRODUCTS - 0.0%
Archer-Daniels-Midland Company...... 1,847 22,510
Universal Corporation............... 500 11,406
------------
33,916
AIR FREIGHT - 0.0%
CNF Transportation, Inc............. 600 20,700
AIRLINES - 0.2%
AMR Corporation*.................... 600 40,200
Alaska Air Group, Inc.*............. 700 24,587
Alexander & Baldwin, Inc............ 700 15,969
Delta Air Lines, Inc................ 600 29,888
KLM Royal Dutch Airlines NY Reg..... 600 14,962
Southwest Airlines Company.......... 2,000 32,375
------------
157,981
ALUMINUM - 0.1%
ALCOA, Inc.......................... 1,300 107,900
AUTO PARTS & EQUIPMENT - 0.3%
Arvin Industries, Inc............... 500 14,187
Dana Corporation.................... 1,443 43,200
Delphi Automotive Systems
Corporation...................... 2,026 31,909
Genuine Parts Company............... 950 23,572
Goodyear Tire & Rubber Company...... 900 25,369
Lear Corporation*................... 1,000 32,000
Mark IV Industries, Inc............. 1,200 21,225
Modine Manufacturing Company........ 300 7,500
Superior Industries International... 700 18,769
TRW, Inc............................ 1,100 57,131
------------
274,862
AUTOMOBILES - 0.5%
Ford Motor Company.................. 3,800 203,062
General Motors Corporation.......... 2,100 152,644
Honda Motor Company, Ltd. ADR....... 1,600 122,400
------------
478,106
BANKS - MAJOR REGIONAL - 1.8%
BB&T Corporation.................... 1,000 27,375
Banco Bilboa Viz ADR................ 9,000 127,688
Banco Frances S.A. ADR.............. 805 19,068
Bank of New York Company, Inc....... 2,400 96,000
Bank One Corporation................ 3,404 109,141
CCB Financial Corporation........... 500 21,781
City National Corporation........... 500 16,469
Comerica, Inc....................... 750 35,016
Compass Bancshares, Inc............. 1,200 26,775
Fifth Third Bancorp................. 1,125 82,547
First Security Corporation.......... 2,200 56,169
First Tennessee National Corporation 1,400 39,900
First Virginia Banks, Inc........... 500 21,500
Firstar Corporation................. 4,191 88,535
FleetBoston Financial Corporation... 3,021 105,169
Hibernia Corporation................ 1,500 15,937
Huntington Bancshares, Inc.......... 1,167 27,862
KeyCorp............................. 1,500 33,187
Marshall & Ilsley Corporation....... 1,300 81,656
Mellon Financial Corporation........ 1,600 54,500
Mercantile Bankshares Corporation... 900 28,744
National City Corporation........... 1,400 33,163
North Fork Bancorporation, Inc...... 1,200 21,000
Northern Trust Corporation.......... 900 47,700
PNC Bank Corporation................ 1,015 45,168
Pacific Century Financial
Corporation...................... 1,000 18,687
Regions Financial Corporation....... 1,000 25,125
Silicon Valley Bancshares*.......... 400 19,800
State Street Corporation............ 500 36,531
Summit Bancorp...................... 500 15,312
Suntrust Banks, Inc................. 900 61,931
TCF Financial Corporation........... 1,300 32,338
U.S. Bancorp........................ 2,131 50,744
Union Planters Corporation.......... 900 35,494
Wells Fargo Company................. 5,200 210,275
Zions Bancorporation................ 700 41,431
------------
1,809,718
BANKS - MONEY CENTER - 0.7%
Bank of America Corporation......... 5,755 288,829
Chase Manhattan Corporation......... 2,424 188,315
First Union Corporation............. 2,958 97,059
J.P. Morgan & Company, Inc.......... 600 75,975
------------
650,178
BEVERAGES - ALCOHOLIC - 0.3%
Anheuser-Busch Companies, Inc....... 1,200 85,050
Compania Cervecerias Unidas S.A. ADR 300 9,619
Diageo PLC ADR...................... 2,577 82,464
LVMH Moet Hennessy Lou ADR.......... 1,100 100,100
------------
277,233
- --------------------------------------------------------------------------------
70 See accompanying notes.
<PAGE> 72
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1999
- ----------------------------------------------
SERIES N (MANAGED ASSET ALLOCATION)(CONTINUED)
- ----------------------------------------------
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
- ---------------------------------------------------------------
BEVERAGES - SOFT DRINK - 0.7%
Coca-Cola Company................... 9,000 $524,250
Coca-Cola Enterprises, Inc.......... 1,400 28,175
PepsiCo, Inc........................ 4,700 165,675
Whitman Corporation................. 1,300 17,469
------------
735,569
BIOTECHNOLOGY - 0.6%
Amgen, Inc.*........................ 3,800 228,238
Biogen, Inc.*....................... 2,200 185,900
Chiron Corporation*................. 2,000 84,750
Genzyme Corporation*................ 600 27,000
Genzyme Molecular Oncology*......... 100 700
Gilead Sciences, Inc.*.............. 500 27,062
------------
553,650
BROADCAST MEDIA - 0.8%
A.H. Belo Corporation............... 900 17,156
CBS Corporation*.................... 2,500 159,844
Chris-Craft Industries, Inc.*....... 400 28,850
Clear Channel Communications, Inc.*. 1,300 116,025
Comcast Corporation................. 2,600 131,462
Cox Communications, Inc.*........... 600 30,900
Hispanic Broadcasting Corporation*.. 500 46,109
MediaOne Group, Inc.*............... 2,200 168,988
Univision Communications, Inc.*..... 900 91,969
------------
791,303
BUILDING MATERIALS - 0.1%
Armstrong World Industries, Inc..... 300 10,013
Martin Marietta Materials, Inc...... 800 32,800
Masco Corporation................... 1,400 35,525
USG Corporation..................... 500 23,562
------------
101,900
CHEMICALS - BASIC - 0.6%
Air Products and Chemicals, Inc..... 1,200 40,275
Akzo Nobel NV ADR................... 2,600 129,350
Dow Chemical Company................ 800 106,900
E.I. du Pont de Nemours & Company... 3,151 207,572
IMC Global, Inc..................... 1,600 26,200
Imperial Chemical Industries PLC ADR 1,400 59,588
Solutia, Inc........................ 2,780 42,916
------------
612,801
CHEMICALS - DIVERSIFIED - 0.2%
Cabot Corporation................... 1,100 22,413
FMC Corporation*.................... 600 34,387
Monsanto Company.................... 1,900 67,688
Olin Corporation.................... 1,000 19,812
------------
144,300
CHEMICALS - SPECIALTY - 0.2%
Arch Chemicals, Inc................. 300 $ 6,281
CK Witco Corporation................ 2,500 33,438
Dexter Corporation.................. 400 15,900
Great Lakes Chemical Company........ 700 26,731
M.A. Hanna Company.................. 900 9,844
International Flavors & Fragrances, Inc. 700 26,425
IVAX Corporation*................... 2,000 51,500
Lubrizol Corporation................ 800 24,700
Omnova Solutions, Inc............... 800 6,200
A. Schulman, Inc.................... 800 13,050
Sequa Corporation*.................. 300 16,181
------------
230,250
Communication Equipment - 2.2%
Ericsson (L.M.) Telecom
Company ADR (Cl.B)............... 2,400 157,650
Leap Wireless International, Inc.*.. 100 7,850
Lucent Technologies, Inc............ 11,394 852,414
Motorola, Inc....................... 2,000 294,500
Nokia Corporation ADR............... 1,200 228,000
Nortel Networks Corporation......... 5,740 579,740
Tellabs, Inc.*...................... 1,400 89,862
------------
2,210,016
COMPUTER HARDWARE - 2.2%
Compaq Computer Corporation......... 5,456 147,653
Dell Computer Corporation*.......... 9,500 484,500
Hewlett-Packard Company............. 3,100 353,206
International Business Machines
Corporation...................... 6,000 648,000
Sun Microsystems, Inc.*............. 7,100 549,806
------------
2,183,165
COMPUTER SOFTWARE/SERVICES - 4.6%
Adobe Systems, Inc.................. 400 26,900
America Online, Inc.*............... 7,600 573,325
BMC Software, Inc.*................. 800 63,950
Cadence Design Systems, Inc.*....... 2,500 60,000
Computer Associates International, Inc. 1,700 118,894
Computer Sciences Corporation*...... 1,200 113,550
Compuware Corporation*.............. 1,100 40,975
Electronic Arts, Inc.*.............. 800 67,200
Informix Corporation*............... 2,000 22,750
Intuit, Inc.*....................... 2,100 125,869
Legato Systems, Inc.*............... 800 55,050
Microsoft Corporation*.............. 16,400 1,914,700
Network Associates, Inc.*........... 1,700 45,369
NOVA Corporation*................... 800 25,250
Novell, Inc.*....................... 1,300 51,919
Oracle Corporation*................. 4,775 535,098
Parametric Technology Company*...... 900 24,356
Siebel Systems, Inc.*............... 2,100 176,400
- --------------------------------------------------------------------------------
71 See accompanying notes.
<PAGE> 73
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1999
- ---------------------------------------------------------------
SERIES N (MANAGED ASSET ALLOCATION)(CONTINUED)
- ---------------------------------------------------------------
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
- ---------------------------------------------------------------
COMPUTER SOFTWARE/SERVICES (CONTINUED)
Sterling Commerce*.................. 900 $ 30,656
Structural Dynamics Research
Corporation*..................... 700 8,925
Symantec Corporation*............... 900 52,762
Synopsys, Inc.*..................... 600 40,050
Veritas Software Corporation*....... 2,600 372,125
------------
4,546,073
COMPUTERS - NETWORKING - 1.3%
Cisco Systems, Inc.*................ 11,400 1,221,225
3COM Corporation*................... 1,000 47,000
------------
1,268,225
COMPUTERS - PERIPHERALS - 0.5%
EMC Corporation*.................... 3,800 415,150
Quantum Corporation - DLT &
Storage Systems*................. 1,700 25,713
Quantum Corporation - Hard
Disk Drive*...................... 700 4,856
Seagate Technology, Inc.*........... 1,000 46,562
Storage Technology Corporation*..... 1,000 18,438
------------
510,719
CONSUMER FINANCE - 0.2%
Capital One Financial Corporation... 600 28,913
Household International, Inc........ 1,400 52,150
MBNA Corporation.................... 2,400 65,400
------------
146,463
CONSUMER - JEWEL/GIFT - 0.0%
Lancaster Colony.................... 400 13,250
CONTAINER - METAL/GLASS - 0.0%
Owens-Illinois, Inc.*............... 1,000 25,062
CONTAINERS & PACKAGING - 0.1%
Bemis Company, Inc.................. 800 27,900
Sonoco Products Company............. 1,000 22,750
------------
50,650
DISTRIBUTION - FOOD & HEALTH - 0.0%
Bergen Brunswig Corporation......... 1,000 8,313
McKesson HBOC, Inc.................. 740 16,696
U.S. Foodservice, Inc.*............. 1,100 18,425
------------
43,434
ELECTRIC COMPANIES - 1.2%
Allegheny Energy, Inc............... 1,400 37,712
American Electric Power
Company, Inc..................... 900 28,912
American Water Works
Company, Inc..................... 900 19,125
Consolidated Edison, Inc............ 1,000 34,500
Constellation Energy Group.......... 1,000 29,000
ELECTRIC COMPANIES (CONTINUED)
DPL, Inc............................ 1,500 25,969
Dominion Resources, Inc............. 1,200 47,100
Duke Energy Corporation............. 1,200 60,150
Edison International................ 1,700 44,519
Empresa Nacional Electricidad
Chile S.A. ADR................... 1,833 26,006
Endesa S.A. ADR..................... 2,400 48,450
Energy East Corporation............. 1,800 37,462
Enersis S.A. ADR.................... 600 14,100
Entergy Corporation................. 1,000 25,750
FPL Group, Inc...................... 700 29,969
FirstEnergy Corporation............. 800 18,150
IdaCorp, Inc........................ 700 18,769
Illinova Corporation................ 1,000 34,750
Ipalco Enterprises, Inc............. 1,300 22,181
Kansas City Power & Light Company... 1,100 24,269
LG & E Energy Corporation........... 1,500 26,156
New England Electric Systems........ 700 36,225
Niagra Mohawk Holdings, Inc.*....... 2,400 33,450
NiSource, Inc....................... 1,200 21,450
OGE Energy Corporation.............. 800 15,200
Peco Energy Company................. 700 24,325
PG&E Corporation.................... 1,600 32,800
Potomac Electric Power Company...... 1,300 29,819
Public Service Company of
New Mexico....................... 500 8,125
Public Service Enterprise Group, Inc. 900 31,331
Reliant Energy, Inc................. 1,000 22,875
SCANA Corporation................... 1,000 26,875
Sierra Pacific Resources............ 1,100 19,044
Southern Company.................... 2,900 68,150
Teco Energy, Inc.................... 1,600 29,700
Texas Utilities Company............. 1,100 39,119
Unicom Corporation.................. 900 30,150
UtiliCorp United, Inc............... 900 17,494
Wisconsin Energy Corporation........ 1,400 26,950
------------
1,166,081
ELECTRICAL EQUIPMENT - 2.3%
American Power Conversion
Corporation*..................... 2,400 63,300
Emerson Electric Company............ 1,600 91,800
General Electric Company............ 11,400 1,764,150
Hitachi, Ltd. ADR................... 800 129,500
Hubbell, Inc. (Cl.B)................ 700 19,075
Rockwell International Corporation.. 700 33,513
SCI Systems, Inc.*.................. 600 49,312
Sanmina Corporation*................ 600 59,925
------------
2,210,575
- --------------------------------------------------------------------------------
72 See accompanying notes.
<PAGE> 74
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1999
- ---------------------------------------------------------------
SERIES N (MANAGED ASSET ALLOCATION)(CONTINUED)
- ---------------------------------------------------------------
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
- ---------------------------------------------------------------
ELECTRONICS - DEFENSE - 0.2%
Arrow Electronics, Inc.*............ 1,500 $ 38,063
Litton Industries, Inc.*............ 500 24,937
Raytheon Company (Cl. A)............ 421 10,446
Raytheon Company (Cl. B)............ 679 18,036
Symbol Technologies, Inc............ 800 50,850
Teleflex, Inc....................... 500 15,656
------------
157,988
ELECTRONICS - INSTRUMENTATION - 0.1%
Waters Corporation*................. 600 31,800
ELECTRONICS - SEMICONDUCTORS - 1.8%
Altera Corporation*................. 4,400 218,075
Analog Devices, Inc.*............... 667 62,031
Atmel Corporation*.................. 2,500 73,906
Intel Corporation................... 10,000 823,125
Linear Technology Corporation....... 1,600 114,500
Maxim Integrated Products, Inc.*.... 2,400 113,250
Micron Technology, Inc.*............ 800 62,200
Texas Instruments, Inc.............. 2,400 232,500
Xilinx, Inc.*....................... 1,400 63,656
------------
1,763,243
ENGINEERING & CONSTRUCTION - 0.0%
Granite Construction, Inc........... 700 12,906
Jacobs Engineering Group, Inc.*..... 600 19,500
------------
32,406
ENTERTAINMENT - 0.7%
Seagram Company, Ltd................ 1,400 62,912
Time Warner, Inc.................... 4,100 296,994
Viacom, Inc. (Cl.B)*................ 2,100 126,919
Walt Disney Company................. 6,542 191,354
------------
678,179
EQUIPMENT - SEMICONDUCTORS - 0.2%
Applied Materials, Inc.*............ 1,700 215,369
FINANCIAL - DIVERSE - 1.6%
American Express Company............ 1,400 232,750
Associates First Capital Corporation 2,128 58,387
Berkshire Hathaway, Inc. (Cl. B)*... 42 76,860
Citigroup, Inc...................... 11,570 642,858
Echelon International
Corporation, Inc.*............... 200 4,600
Fannie Mae.......................... 3,200 199,800
Freddie Mac......................... 2,600 122,363
Finova Group, Inc................... 700 24,850
Morgan Stanley, Dean Witter,
Discover & Company............... 1,630 232,682
Wilmington Trust Corporation........ 500 24,125
------------
1,619,275
FOODS - 0.9%
BestFoods........................... 900 47,306
Campbell Soup Company............... 1,400 54,163
ConAgra, Inc........................ 1,600 36,100
Dean Foods Company.................. 400 15,900
Dole Foods, Inc..................... 800 13,000
Flowers Industries, Inc............. 800 12,750
General Mills, Inc.................. 1,200 42,900
Heinz (H.J.) Company................ 1,400 55,737
Hershey Foods Corporation........... 600 28,500
Hormel Foods Corporation............ 800 32,500
IBP, Inc............................ 1,200 21,600
Interstate Bakeries................. 800 14,500
Kellogg Company..................... 1,100 33,894
Lance, Inc.......................... 900 9,000
McCormick & Company, Inc............ 1,100 32,725
Ralston-Ralston Purina Company...... 1,100 30,662
Sara Lee Corporation................ 2,800 61,775
Smucker (J.M.) Company.............. 400 7,800
Tyson Foods, Inc.................... 2,000 32,500
Unilever N.V. ...................... 3,785 206,046
Universal Foods Corporation......... 1,000 20,375
Wm. Wrigley, Jr. Company............ 400 33,175
------------
842,908
FOOTWEAR - 0.1%
Nike, Inc. (Cl. B).................. 1,100 54,519
GAMING & LOTTERY - 0.1%
International Game Technology....... 1,600 32,500
Mandalay Resort Group*.............. 1,300 26,162
Mirage Resorts, Inc.*............... 1,600 24,500
------------
83,162
GOLD & PRECIOUS METALS MINING - 0.1%
Barrick Gold Corporation............ 2,400 42,450
Placer Dome, Inc.................... 2,000 21,500
------------
63,950
HARDWARE & TOOLS - 0.0%
Black & Decker Corporation.......... 500 26,125
HEALTH CARE - DIVERSE - 1.5%
Abbott Laboratories................. 4,700 170,669
American Home Products
Corporation...................... 4,400 173,525
Apria Healthcare Group, Inc.*....... 2,000 35,875
Bristol-Myers Squibb Company........ 6,700 430,056
Johnson & Johnson................... 4,300 400,438
Warner-Lambert Company.............. 2,700 221,231
------------
1,431,794
- --------------------------------------------------------------------------------
73 See accompanying notes.
<PAGE> 75
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1999
- ----------------------------------------------
SERIES N (MANAGED ASSET ALLOCATION)(CONTINUED)
- ----------------------------------------------
<TABLE>
<CAPTION>
NUMBER MARKET
COMMON STOCKS (continued) OF SHARES VALUE
- ---------------------------------------------------------------
<S> <C> <C>
HEALTH CARE - MANAGED CARE - 0.1%
Aetna, Inc.......................... 744 $ 41,525
Foundation Health Systems, Inc.*.... 1,700 16,894
Oxford Health Plans, Inc.*.......... 300 3,806
Pacificare Health Systems, Inc.*.... 500 26,500
Total Renal Care Holdings, Inc.*.... 700 4,681
United Healthcare Corporation....... 700 37,187
-----------
130,593
HEALTH CARE - PHARMACEUTICALS - GENERIC - 0.0%
Mylan Laboratories, Inc............. 1,400 35,263
HEALTH CARE - PHARMACEUTICALS - MAJOR - 1.9%
Astrazeneca Group PLC - ADR......... 2,700 112,725
Forest Laboratories, Inc.*.......... 900 55,294
Glaxo Wellcome PLC ADR.............. 2,100 117,337
ICN Pharmaceuticals, Inc............ 700 17,719
Eli Lilly & Company................. 3,600 239,400
Medimmune, Inc.*.................... 600 99,525
Merck & Company, Inc................ 8,200 549,913
Pharmacia & Upjohn, Inc............. 1,800 81,000
Pfizer, Inc......................... 14,000 454,125
Schering-Plough Corporation......... 4,300 181,406
-----------
1,908,444
HEALTH CARE - SPECIALIZED SERVICES - 0.0%
HEALTHSOUTH Corporation*............ 3,200 17,200
Omnicare, Inc....................... 1,000 12,000
-----------
29,200
HOMEBUILDING - 0.0%
Clayton Homes, Inc.................. 1,700 15,619
HOSPITAL MANAGEMENT - 0.2%
Columbia/HCA Healthcare Corporation. 3,000 87,937
Health Management Association, Inc.* 3,200 42,800
Lifepoint Hospitals, Inc.*.......... 157 1,855
Quorum Health Group, Inc.*.......... 1,000 9,312
Tenet Healthcare Corporation*....... 1,100 25,850
Triad Hospitals, Inc.*.............. 157 2,375
-----------
170,129
HOUSEHOLD FURNISHINGS & APPLIANCES - 0.3%
Koninklijke (Royal) Philips
Electronics N.V.................. 1,840 248,400
HOUSEHOLD PRODUCTS - 0.8%
Church & Dwight Company, Inc........ 500 13,344
Clorox Company...................... 700 35,263
Colgate-Palmolive Company........... 1,800 117,000
Dial Corporation, The............... 1,000 24,312
Fort James Corporation.............. 1,100 30,112
Kimberly-Clark Corporation.......... 1,900 123,975
Procter & Gamble Company............ 4,200 460,163
-----------
804,169
HOUSEWARES - 0.0%
Fortune Brands, Inc................. 900 29,756
National Presto Industries.......... 200 7,100
-----------
36,856
INSURANCE - BROKERS - 0.2%
Allmerica Financial Corporation..... 600 33,375
Ambac, Inc.......................... 600 31,312
Marsh & McLennan Companies, Inc..... 900 86,119
Transatlantic Holdings, Inc......... 300 23,419
-----------
174,225
INSURANCE - LIFE & HEALTH - 0.2%
American General Corporation........ 800 60,700
Conseco, Inc........................ 1,049 18,751
Lincoln National Corporation........ 700 28,000
ReliaStar Financial Corporation..... 800 31,350
Torchmark Corporation............... 800 23,250
UnumProvident Corporation........... 1,538 49,312
-----------
211,363
INSURANCE - MULTILINE - 0.7%
American International Group, Inc... 4,917 531,650
Cigna Corporation................... 700 56,394
Hartford Financial Services
Group, Inc....................... 800 37,900
Loews Corporation................... 800 48,550
-----------
674,494
INSURANCE - PROPERTY & CASUALTY - 0.3%
Allstate Corporation................ 2,400 57,600
American Financial Group, Inc....... 900 23,738
Chubb Corporation................... 600 33,787
HSB Group, Inc...................... 400 13,525
MGIC Investment Corporation......... 600 36,113
Old Republic International
Corporation...................... 2,000 27,250
Progressive Corporation Ohio........ 400 29,250
Selective Insurance Group........... 800 13,750
Unitrin, Inc........................ 800 30,100
-----------
265,113
INVESTMENT BANK/BROKERAGE - 0.4%
Bear Stearns Companies, Inc......... 376 16,074
E*TRADE Group, Inc.*................ 2,400 62,700
Edwards (A.G.), Inc................. 900 28,856
Merrill Lynch & Company, Inc........ 1,100 91,850
Schwab (Charles) Corporation........ 3,850 147,744
-----------
347,224
INVESTMENT MANAGEMENT - 0.0%
Franklin Resources, Inc............. 900 28,856
</TABLE>
- -------------------------------------------------------------------------------
74 See accompanying notes.
<PAGE> 76
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1999
- ----------------------------------------------
SERIES N (MANAGED ASSET ALLOCATION)(CONTINUED)
- ----------------------------------------------
<TABLE>
<CAPTION>
NUMBER MARKET
COMMON STOCKS (continued) OF SHARES VALUE
- ---------------------------------------------------------------
<S> <C> <C>
IRON & STEEL - 0.1%
Carpenter Technology Corporation.... 600 $ 16,463
Kennametal, Inc..................... 300 10,087
Nucor Corporation................... 900 49,331
-----------
75,881
LEISURE TIME PRODUCTS - 0.2%
Brunswick Corporation............... 1,000 22,250
Callaway Golf Company............... 600 10,612
Harley-Davidson, Inc................ 1,600 102,500
Mattel, Inc......................... 1,400 18,375
Premier Parks, Inc.*................ 800 23,100
-----------
176,837
LODGING - HOTELS - 0.1%
Carnival Corporation................ 1,700 81,281
Marriott International, Inc......... 1,000 31,562
Starwood Hotels & Resorts
Worldwide, Inc................... 367 8,625
-----------
121,468
MACHINERY - DIVERSE - 0.3%
AGCO Corporation.................... 600 8,063
Caterpillar, Inc.................... 1,000 47,062
Deere & Company..................... 1,100 47,713
Dover Corporation................... 900 40,837
Harsco Corporation.................. 700 22,225
Ingersoll-Rand Company.............. 700 38,544
Kaydon Corporation.................. 600 16,087
Tecumseh Products Company........... 400 18,875
Trinity Industries, Inc............. 700 19,906
-----------
259,312
MANUFACTURING - DIVERSIFIED - 1.0%
Corning, Inc........................ 800 103,150
Danaher Corporation................. 600 28,950
Eaton Corporation................... 700 50,838
Hillenbrand Industries, Inc......... 700 22,181
Honeywell International, Inc........ 2,387 137,700
Illinois Tool Works, Inc............ 1,200 81,075
Minnesota Mining & Manufacturing
Company.......................... 1,200 117,450
Textron, Inc........................ 600 46,012
Thermo Electron Corporation*........ 1,500 22,500
Tomkins PLC ADR..................... 248 3,643
Tyco International, Ltd............. 5,200 202,150
United Technologies Corporation..... 1,800 117,000
-----------
932,649
MANUFACTURING - SPECIALIZED - 0.1%
Cross (A.T.) Company*............... 400 1,800
Diebold, Inc........................ 700 16,450
Federal Signal Corporation.......... 1,000 16,062
Flowserve Corporation............... 800 13,600
GenCorp, Inc........................ 800 7,900
Nordson Corporation................. 300 14,475
Pall Corporation.................... 1,000 21,562
Sealed Air Corporation*............. 700 36,269
York International Corporation...... 500 13,719
-----------
141,837
MEDICAL PRODUCTS & SUPPLIES - 0.5%
Baxter International, Inc........... 900 56,531
Beckman Coulter, Inc................ 600 30,525
Becton, Dickinson & Company......... 800 21,400
Boston Scientific Corporation*...... 1,500 32,813
Genzyme Surgical Products*.......... 100 581
Guidant Corporation*................ 1,000 47,000
Medtronic, Inc...................... 3,500 127,531
Steris Corporation*................. 1,100 11,344
Stryker Corporation................. 900 62,662
Sybron International Corporation*... 1,000 24,688
Varian Medical Systems, Inc.*....... 500 14,906
Varian, Inc.*....................... 500 11,250
Varian Semiconductor Equipment
Associates, Inc.*................ 500 17,000
VISX, Inc.*......................... 600 31,050
-----------
489,281
METALS & MINING - 0.0%
Brush Wellman, Inc.................. 600 10,088
NATURAL GAS - 0.3%
El Paso Energy Corporation.......... 800 31,050
Enron Corporation................... 2,600 115,375
KeySpan Corporation................. 1,700 39,419
MCN Energy Group, Inc............... 1,000 23,750
National Fuel Gas Company........... 700 32,550
Washington Gas Light Company........ 800 22,000
Williams Companies, Inc............. 1,800 55,012
-----------
319,156
OFFICE EQUIPMENT & SUPPLIES - 0.1%
Herman Miller, Inc.................. 1,000 23,000
Pitney Bowes, Inc................... 1,000 48,313
Standard Register Company........... 700 13,562
Wallace Computer Services, Inc...... 800 13,300
-----------
98,175
</TABLE>
- -------------------------------------------------------------------------------
75 See accompanying notes.
<PAGE> 77
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1999
- ----------------------------------------------
SERIES N (MANAGED ASSET ALLOCATION)(CONTINUED)
- ----------------------------------------------
<TABLE>
<CAPTION>
NUMBER MARKET
COMMON STOCKS (continued) OF SHARES VALUE
- ---------------------------------------------------------------
<S> <C> <C>
OIL - DOMESTIC - 0.2%
Amerada Hess Corporation............ 500 $ 28,375
Atlantic Richfield Company.......... 1,000 86,500
Conoco, Inc. (Cl.B)................. 734 18,258
Occidental Petroleum Corporation.... 1,400 30,275
Phillips Petroleum Company.......... 1,000 47,000
USX-Marathon Group.................. 1,300 32,094
-----------
242,502
OIL - INTERNATIONAL - 2.4%
BP Amoco PLC ADR.................... 2,800 166,075
Chevron Corporation................. 2,100 181,913
Exxon Mobil Corporation............. 10,460 842,684
Ranger Oil, Ltd.*................... 2,100 6,562
Repsol S.A. ADR..................... 1,200 27,900
Royal Dutch Petroleum
Company NY....................... 13,500 815,906
Shell Transport & Trading
Company ADR...................... 3,700 182,225
Texaco, Inc......................... 1,800 97,763
Total Fina S.A. ADR................. 1,000 69,250
-----------
2,390,278
OIL & GAS - DRILLING & EQUIPMENT - 0.5%
BJ Services Company*................ 3,400 142,163
Ensco International, Inc............ 1,500 34,312
Global Marine, Inc.*................ 2,300 38,237
Halliburton Company................. 1,700 68,425
Helmerich & Payne, Inc.............. 400 8,725
Nabors Industries, Inc.*............ 1,200 37,125
Noble Drilling Corporation*......... 900 29,475
Schlumberger Ltd.................... 1,600 90,000
Smith International, Inc.*.......... 500 24,844
Transocean Offshore, Inc............ 1,110 37,407
Weatherford International, Inc.*.... 600 23,962
-----------
534,675
OIL & GAS - EXPLORATION & PRODUCTION - 0.3%
Anadarko Petroleum Corporation...... 600 20,475
Apache Corporation.................. 500 18,469
Burlington Resources, Inc........... 900 29,756
Devon Energy Corporation............ 800 26,300
ENI SA ADR.......................... 1,300 71,663
Murphy Oil Corporation.............. 600 34,425
Noble Affiliates, Inc............... 700 15,006
Union Pacific Resources Group, Inc.. 1,238 15,785
Unocal Corporation.................. 900 30,206
-----------
262,085
OIL & GAS - REFINING & MARKETING - 0.0%
Ultramar Diamond Shamrock Corporation 1,000 22,688
Valero Energy Corporation........... 1,000 19,875
-----------
42,563
PAPER & FOREST PRODUCTS - 0.3%
Bowater, Inc........................ 600 32,588
Consolidated Papers, Inc............ 1,200 38,175
Deltic Timber Corporation........... 100 2,187
Georgia-Pacific Corporation (GP Group) 800 40,600
Georgia-Pacific Corporation
(Timber Group)................... 2,000 49,250
P.H. Glatfelter Company............. 700 10,194
International Paper Company......... 1,900 107,231
Rayonier, Inc....................... 400 19,325
Wausau-Mosinee Paper Company........ 1,000 11,687
Weyerhaeuser Company................ 400 28,725
-----------
339,962
PERSONAL CARE - 0.2%
Avon Products, Inc.................. 1,000 33,000
Carter-Wallace, Inc................. 1,000 17,938
Gillette Company.................... 3,100 127,681
Perrigo Company*.................... 2,300 18,400
-----------
197,019
PHOTOGRAPHY/IMAGING - 0.1%
Eastman Kodak Company............... 1,000 66,250
Ikon Office Solutions, Inc.......... 1,100 7,494
Xerox Corporation................... 2,800 63,525
-----------
137,269
POWER PRODUCERS - 0.1%
AES Corporation*.................... 600 44,850
MidAmerican Energy Holdings
Company*......................... 600 20,213
-----------
65,063
PUBLISHING - 0.1%
McGraw-Hill Companies, Inc.......... 600 36,975
Readers Digest Association, Inc..... 1,100 32,175
-----------
69,150
PUBLISHING - NEWSPAPER - 0.2%
Gannett Company, Inc................ 900 73,406
Tribune Company..................... 1,400 77,088
Washington Post Company (Cl.B)...... 100 55,587
-----------
206,081
RAILROADS - 0.2%
Burlington Northern Santa Fe
Corporation...................... 1,800 43,650
CSX Corporation..................... 800 25,100
Kansas City Southern Industries, Inc. 500 37,313
Norfolk Southern Corporation........ 1,000 20,500
Union Pacific Corporation........... 1,300 56,712
-----------
183,275
</TABLE>
- -------------------------------------------------------------------------------
76 See accompanying notes.
<PAGE> 78
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1999
- ----------------------------------------------
SERIES N (MANAGED ASSET ALLOCATION)(CONTINUED)
- ----------------------------------------------
<TABLE>
<CAPTION>
NUMBER MARKET
COMMON STOCKS (continued) OF SHARES VALUE
- ---------------------------------------------------------------
<S> <C> <C>
RESTAURANTS - 0.4%
Brinker International, Inc.*........ 2,000 $ 48,000
CBRL Group, Inc..................... 700 6,792
Darden Restaurants, Inc............. 1,000 18,125
McDonald's Corporation.............. 4,100 165,281
Outback Steakhouse, Inc.*........... 1,000 25,938
Starbucks Corporation*.............. 2,000 48,500
Tricon Global Restaurants, Inc.*.... 840 32,445
-----------
345,081
RETAIL - APPAREL - 0.3%
Abercrombie & Fitch Company*........ 1,000 26,688
AnnTaylor Stores Corporation*....... 400 13,775
Benetton Group SpA ADR.............. 2,080 94,510
GAP, Inc............................ 2,812 129,352
TJX Companies, Inc.................. 1,400 28,612
-----------
292,937
RETAIL - BUILDING SUPPLIES - 0.7%
Fastenal Company.................... 600 26,962
Home Depot, Inc..................... 7,950 545,072
Lowe's Companies, Inc............... 1,300 77,675
-----------
649,709
RETAIL - COMPUTERS & ELECTRONICS - 0.1%
Circuit City Stores - Circuit City Group 1,400 63,088
CompUSA, Inc.*...................... 900 4,612
Tandy Corporation................... 800 39,350
Tech Data Corporation*.............. 500 13,563
-----------
120,613
RETAIL - DEPARTMENT STORES - 0.2%
Federated Department Stores, Inc.*.. 900 45,506
Kohl's Corporation*................. 500 36,094
May Department Stores Company....... 1,350 43,538
Nordstrom, Inc...................... 1,200 31,425
J.C. Penney Company, Inc............ 1,000 19,937
Saks, Inc.*......................... 1,400 21,788
-----------
198,288
RETAIL - DISCOUNTERS - 0.1%
Dollar General Corporation.......... 781 17,768
Family Dollar Stores, Inc........... 2,000 32,625
Land's End, Inc.*................... 800 27,800
Ross Stores, Inc.................... 1,400 25,112
-----------
103,305
RETAIL - DRUG STORES - 0.2%
CVS Corporation..................... 1,400 55,913
Rite Aid Corporation................ 1,500 16,781
Walgreen Company.................... 3,200 93,600
-----------
166,294
RETAIL - FOOD CHAINS - 0.1%
Albertson's, Inc.................... 1,293 41,699
Kroger Company*..................... 2,500 47,188
Safeway, Inc.*...................... 1,600 56,900
-----------
145,787
RETAIL - GENERAL MERCHANDISE - 1.3%
BJ's Wholesale Club, Inc.*.......... 1,100 40,150
Costco Wholesale Companies, Inc.*... 700 63,875
Dayton Hudson Corporation........... 1,800 132,188
Sears, Roebuck and Company.......... 1,400 42,612
Wal-Mart Stores, Inc................ 14,700 1,016,138
-----------
1,294,963
RETAIL - SPECIALTY - 0.2%
Barnes & Nobel, Inc.*............... 900 18,563
Payless Shoesource, Inc.*........... 1,044 49,068
School Specialty, Inc.*............. 100 1,512
Staples, Inc.*...................... 1,650 34,238
Tiffany & Company................... 1,100 98,175
Toys "R" Us, Inc.*.................. 1,600 22,900
U.S. Office Products Company*....... 100 312
-----------
224,768
SAVINGS & LOANS - 0.2%
Astoria Financial Corporation....... 900 27,394
Charter One Financial, Inc.......... 1,700 32,512
Dime Bancorp, Inc................... 1,400 21,175
Golden West Financial
Corporation...................... 1,000 33,500
Greenpoint Financial Corporation.... 800 19,050
Washington Mutual, Inc.............. 2,100 54,600
-----------
188,231
SERVICES - ADVERTISING & MARKETING - 0.2%
Acnielson Corporation*.............. 800 19,700
Interpublic Group of Companies, Inc. 1,000 57,688
Omnicom Group, Inc.................. 800 80,000
-----------
157,388
Services - Commercial & Consumer - 0.4%
Aztec Technology Partners, Inc.*.... 100 456
Cendant Corporation*................ 2,191 58,198
Cintas Corporation.................. 1,000 53,125
Convergys Corporation*.............. 1,200 36,900
Dun & Bradstreet Corporation........ 400 11,800
H & R Block, Inc.................... 800 35,000
IMS Health, Inc..................... 1,200 32,625
Manpower, Inc....................... 1,000 37,625
Navigant International, Inc.*....... 100 1,169
Ogden Corporation................... 700 8,356
Olsten Corporation.................. 500 5,656
Pittston Brink's Group.............. 300 6,600
Robert Half International, Inc.*.... 1,000 28,563
Service Corporation International... 1,700 11,794
</TABLE>
- -------------------------------------------------------------------------------
77 See accompanying notes.
<PAGE> 79
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1999
- ----------------------------------------------
SERIES N (MANAGED ASSET ALLOCATION)(CONTINUED)
- ----------------------------------------------
<TABLE>
<CAPTION>
NUMBER MARKET
COMMON STOCKS (continued) OF SHARES VALUE
- ---------------------------------------------------------------
<S> <C> <C>
Services - Commercial & Consumer (continued)
Sodexho Marriott Services........... 75 $ 975
Sotheby's Holdings, Inc............. 900 27,000
Stewart Enterprises, Inc............ 2,400 11,400
Tetra Tech, Inc.*................... 600 9,225
Viad Corporation.................... 1,200 33,450
Workflow Management, Inc.*.......... 100 2,863
-----------
412,780
SERVICES - COMPUTER SYSTEMS - 0.2%
Comdisco, Inc....................... 1,500 55,875
Electronic Data Systems
Corporation...................... 1,400 93,713
Keane, Inc.*........................ 700 22,225
Micro Warehouse, Inc.*.............. 700 12,950
NCR Corporation*.................... 600 22,725
Policy Management
Systems Corporation*............. 500 12,781
Sungard Data Systems, Inc.*......... 900 21,375
-----------
241,644
SERVICES - DATA PROCESSING - 0.4%
Automatic Data Processing, Inc...... 2,700 145,463
Ceridian Corporation*............... 1,200 25,875
Concord EFS, Inc.*.................. 1,700 43,775
DST Systems, Inc.*.................. 200 15,262
Equifax, Inc........................ 800 18,850
First Data Corporation.............. 1,400 69,038
Fiserv, Inc.*....................... 1,200 45,975
Paychex, Inc........................ 800 32,000
-----------
396,238
Specialty Printing - 0.0%
Banta Corporation................... 800 18,050
R.R. Donnelley & Sons Company....... 1,000 24,813
-----------
42,863
TELECOMMUNICATION - CELLULAR - 0.2%
Sprint Corporation ( PCS Group)*.... 1,550 158,875
TELECOMMUNICATION - LONG DISTANCE - 2.1%
AT&T Corporation.................... 10,759 546,019
British Telecom PLC ADR............. 700 166,600
Cable & Wireless HKT, Ltd........... 800 23,300
Deutsche Telekom AG ADR............. 2,700 191,700
France Telecom S.A. ADR............. 1,400 186,900
MCI WorldCom, Inc.*................. 10,923 579,602
Sprint Corporation (FON Group)...... 2,700 181,744
Vodafone AirTouch PLC ADR........... 3,000 148,500
-----------
2,024,365
TELEPHONE - 2.2%
Alltel Corporation.................. 1,500 124,031
Bell Atlantic Corporation........... 4,974 306,212
BellSouth Corporation............... 5,800 271,513
Broadwing, Inc...................... 1,200 44,250
Cia de Telecomunicaciones
de Chile S.A. ADR................ 1,725 31,481
GTE Corporation..................... 3,200 225,800
SBC Communciations, Inc............. 12,012 585,585
Telecom New Zealand ADR............. 400 15,400
Telcomunicacoes Brasilerias S.A. ADR 1,000 128,500
Telefonica S.A. ADR*................ 1,272 100,249
Telefonos de Mexico S.A. ADR........ 700 78,750
Telephone & Data Systems, Inc....... 700 88,200
U.S. West, Inc...................... 1,649 118,728
-----------
2,118,699
TEXTILES - APPAREL - 0.1%
Jones Apparel Group, Inc.*.......... 1,400 37,975
Unifi, Inc.*........................ 1,300 16,006
Warnaco Group, Inc.................. 700 8,619
-----------
62,600
TEXTILES - HOME FURNISHINGS - 0.0%
Shaw Industries, Inc................ 1,400 21,613
Springs Industries, Inc. ........... 300 11,981
Westpoint Stevens, Inc.............. 600 10,500
-----------
44,094
TOBACCO - 0.2%
Gallaher Group PLC ADR.............. 500 7,688
Philip Morris Companies, Inc........ 7,700 178,544
R.J. Reynolds Tobacco Holdings, Inc. 1,100 19,387
-----------
205,619
TRUCKS & PARTS - 0.0%
Federal-Mogul Corporation........... 700 14,087
WASTE MANAGEMENT - 0.0%
Waste Management, Inc............... 2,312 39,737
-----------
Total common stocks - 51.4%................ 50,586,111
</TABLE>
- -------------------------------------------------------------------------------
78 See accompanying notes.
<PAGE> 80
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1999
- ----------------------------------------------
SERIES N (MANAGED ASSET ALLOCATION)(CONTINUED)
- ----------------------------------------------
<TABLE>
<CAPTION>
U.S. GOVERNMENT & PRINCIPAL MARKET
GOVERNMENT AGENCIES AMOUNT VALUE
- ---------------------------------------------------------------
<S> <C> <C>
U.S. GOVERNMENT AGENCIES - 9.9%
Fannie Mae, 7.00% - 2022............ $595,000 $ 592,531
Government National Mortgage Association,
#67365, 11.50% - 2013............ 21,181 23,420
#353937, 6.00% - 2023............ 218,614 205,449
#410777, 7.00% - 2025............ 82,365 80,152
#780057, 7.50% - 2025............ 45,661 45,352
#2102, 8.00% - 2025.............. 20,822 20,870
#412429, 8.50% - 2025............ 22,512 23,093
#424476, 7.50% - 2026............ 235,182 233,263
#410891, 7.00% - 2026............ 186,319 181,350
#426384, 7.00% - 2026............ 277,445 269,347
#432891, 7.50% - 2026............ 61,555 61,040
#402684, 8.00% - 2026............ 81,697 82,459
#427029, 8.50% - 2026............ 106,725 109,583
#435589, 8.50% - 2026............ 52,886 54,298
#436062, 6.50% - 2028............ 546,931 517,271
#457815, 6.50% - 2028............ 179,135 168,636
#464835, 6.50% - 2028............ 163,794 154,126
#468260, 6.50% - 2028............ 185,569 174,776
#480423, 6.50% - 2028............ 166,802 156,929
#457971, 6.50% - 2029............ 910,792 855,771
#464553, 6.50% - 2029............ 177,382 166,764
#492673, 6.50% - 2029............ 619,174 581,497
#494262, 6.50% - 2029............ 182,625 171,628
#496338, 6.50% - 2029............ 1,348,350 1,266,087
#496341, 6.50% - 2029............ 250,597 235,311
#497229, 6.50% - 2029............ 639,727 600,697
#497237, 6.50% - 2029............ 792,425 744,095
#498528, 6.50% - 2029............ 816,171 766,409
#499145, 6.50% - 2029............ 637,746 599,762
#506284, 6.50% - 2029............ 200,995 188,741
#426735, 7.50% - 2029............ 397,813 393,353
------------
9,724,060
U.S. GOVERNMENT SECURITIES - 12.6%
U.S. Treasury Bonds,
6.875% - 2025.................... 35,000 35,633
6.75% - 2026..................... 2,590,000 2,600,878
6.625% - 2027.................... 550,000 545,149
5.50% - 2028..................... 260,000 221,767
U.S. Treasury Notes,
5.625% - 2000.................... 3,075,000 3,062,884
6.25% - 2000..................... $475,000 475,993
5.625% - 2001.................... $700,000 694,652
6.25% - 2002..................... $380,000 379,738
5.50% - 2003..................... $1,000,000 973,660
6.50% - 2005..................... $100,000 100,016
5.625% - 2006.................... $100,000 95,667
6.50% - 2006..................... $175,000 174,487
6.125% - 2007.................... $900,000 877,743
6.25% - 2007..................... $1,000,000 984,090
5.625% - 2008.................... $1,300,000 1,222,546
------------
Total U.S. government securities.......... 12,444,903
------------
Total U.S. government & government
agencies - 22.5%...................... 22,168,963
MISCELLANEOUS ASSETS
ASSET-BACKED SECURITIES - 0.1%
Advanta Home Equity Loan Trust
(Cl. A2), 5.95% - 2009........... $90,814 86,612
FOREIGN CORPORATE BONDS
UNITED KINGDOM - 0.0%
BG Transco Holdings PLC,
Floating Rate - 20092............ $1,000 1,621
BG Transco Holdings PLC,
4.1875% - 20222.................. $1,000 1,608
BG Transco Holdings PLC,
7.00% - 20242.................... $1,000 1,566
------------
4,795
NUMBER MARKET
FOREIGN STOCKS OF SHARES VALUE
AUSTRALIA - 0.3%
Australia & New Zealand Banking
Group, Ltd....................... 7,600 55,111
Coles Myer, Ltd..................... 8,100 41,705
Rio Tinto, Ltd...................... 2,100 44,966
Pacific Dunlop, Ltd................. 16,000 22,574
Publishing & Broadcasting........... 6,400 48,708
Santos, Ltd......................... 7,400 20,097
Westfield Trust..................... 10,000 19,567
------------
252,728
BELGIUM - 0.1%
Cimentaries CBR Cementbedrijven..... 300 31,034
Electrabel S.A...................... 150 48,867
KBC Bancassurance Holding NV........ 1,000 53,629
------------
133,530
</TABLE>
- -------------------------------------------------------------------------------
79 See accompanying notes.
<PAGE> 81
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1999
- ----------------------------------------------
SERIES N (MANAGED ASSET ALLOCATION)(CONTINUED)
- ----------------------------------------------
<TABLE>
<CAPTION>
NUMBER MARKET
FOREIGN STOCKS (CONTINUED) OF SHARES VALUE
- ---------------------------------------------------------------
<S> <C> <C>
DENMARK - 0.0%
Danisco A/S......................... 1,000 $ 38,791
FRANCE - 1.1%
Accor S.A........................... 2,000 96,170
Axa - UAP........................... 1,100 152,605
Carrefour S.A....................... 300 55,062
Eridania Beghin-Say S.A............. 200 21,411
L'Air Liquide....................... 236 39,317
Louis Vuitton Moet Hennessy......... 500 222,884
Pinault-Printemps-Redoute S.A....... 700 183,840
Societe Generale.................... 708 163,941
Technip............................. 400 40,818
Total Fina S.A...................... 1,007 133,748
------------
1,109,796
GERMANY - 1.0%
Altana AG........................... 300 19,998
Axa Colonia Konzern AG.............. 1,200 114,274
Bank of Berlin*..................... 2,000 33,079
BASF AG............................. 1,700 87,249
Bayer AG............................ 2,000 94,426
DaimlerChrylser AG.................. 1,100 84,903
Deutsche Bank AG.................... 1,900 159,488
GEHE AG............................. 2,500 96,481
M.A.N. AG........................... 2,000 73,877
Siemens AG.......................... 800 101,844
Takkt AG*........................... 2,500 16,289
Veba AG............................. 2,000 97,132
------------
979,040
HONG KONG - 0.4%
Cheung Kong Holdings................ 10,000 127,034
Hong Kong Electric Holdings, Ltd.... 9,000 28,134
Hutchinson Whampoa, Ltd............. 14,000 203,512
------------
358,680
ITALY - 0.5%
Banco Commerciale Italiana.......... 13,000 70,369
Instituto Nazionale
Delle Assicurazioni.............. 29,200 76,980
Mediobanca SpA...................... 7,500 76,157
Telecom Italia Mobile SpA........... 15,100 167,861
Telecom Italia SpA.................. 9,555 134,091
------------
525,458
JAPAN - 3.2%
Bridgestone Corporation............. 5,000 109,912
Canon, Inc.......................... 4,000 158,663
Daiichi Pharmaceutical
Company, Ltd..................... 6,000 77,905
Dai Nippon Printing Company, Ltd.... 9,000 143,325
Jusco Company, Ltd.................. 5,000 87,001
Kao Corporation..................... 6,000 170,876
Kuraray Company, Ltd................ 10,000 101,119
Marui Company, Ltd.................. 9,000 134,180
Matsushita Electric Works........... 5,000 49,338
Mitsubishi Electric Corporation..... 9,000 58,033
Mitsubishi Heavy Industries, Ltd.... 32,000 106,609
Mitsui & Company, Ltd............... 20,000 139,710
Nippon Telegraph & Telephone
Corporation...................... 13 222,266
Nippon Express Company, Ltd......... 23,000 126,960
Omron Corporation................... 5,000 115,041
Ricoh Corporation, Ltd.............. 6,000 112,901
Sharp Corporation................... 2,000 51,097
Sony Corporation.................... 1,000 296,029
Sumitomo Bank, Ltd.................. 8,000 109,345
Sumitomo Chemical Company, Ltd...... 33,000 154,756
Sumitomo Marine & Fire.............. 20,000 123,101
Takeda Chemical Industries.......... 3,000 148,014
Terumu Corporation.................. 6,000 160,031
Tokyo Electric Power Company........ 6,000 160,617
------------
3,116,829
MALAYSIA - 0.0%
Malayan Cement Berhad............... 7,500 2,191
MEXICO - 0.1%
Carso Global Telecom*............... 2,300 21,593
Cemex S.A. - CPO.................... 4,000 22,363
Kimberly - Clark de Mexico S.A. DE CV 12,500 48,787
------------
92,743
NETHERLANDS - 0.6%
ABN AMRO Holding N.V................ 7,600 188,932
CSM N.V............................. 1,200 25,501
Ing Groep N.V....................... 3,600 216,302
Oce N.V............................. 1,200 20,184
Wolters Kluwer N.V.................. 3,000 101,042
------------
551,961
NEW ZEALAND - 0.0%
Lion Nathan, Ltd.................... 10,000 23,207
</TABLE>
- -------------------------------------------------------------------------------
80 See accompanying notes.
<PAGE> 82
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1999
- ----------------------------------------------
SERIES N (MANAGED ASSET ALLOCATION)(CONTINUED)
- ----------------------------------------------
NUMBER MARKET
FOREIGN STOCKS (CONTINUED) OF SHARES VALUE
- ---------------------------------------------------------------
SINGAPORE - 0.4%
City Developments, Ltd.............. 2,000 $ 11,705
Cycle & Carriage, Ltd............... 3,000 9,274
DBS Holdings Group, Ltd............. 4,652 76,230
DBS Land, Ltd....................... 8,000 15,750
Oversea - Chinese Banking
Corporation, Ltd................. 6,300 57,857
Singapore Airlines, Ltd............. 6,000 68,067
Singapore Land, Ltd................. 6,000 15,774
Singapore Press Holdings, Ltd....... 3,000 65,006
Singapore Telecommunications, Ltd... 26,000 53,686
------------
373,349
SWEDEN - 0.1%
Astrazeneca Group PLC............... 1,614 68,013
SWITZERLAND - 1.0%
ABB, Ltd.*.......................... 1,102 134,075
Holderbank Financiere Glarus AG..... 61 83,076
Nestle S.A.......................... 109 198,634
Novartis AG......................... 136 198,643
Schweizerische Rueckversicherungs-
Gesellschaft..................... 60 122,609
Sig Schweiz Industrie - Reg......... 120 71,219
UBS AG.............................. 656 176,223
------------
984,479
UNITED KINGDOM - 2.2%
Abbey National PLC.................. 5,800 92,263
Allied Zurich PLC................... 10,300 121,848
Associated British Foods PLC........ 8,000 43,935
BAA PLC............................. 12,000 82,874
Bank of Scotland.................... 7,400 85,335
Barclays PLC........................ 6,200 178,467
BASS PLC............................ 7,800 96,610
BG Group PLC........................ 8,889 56,839
Blue Circle Industries PLC.......... 13,045 74,480
Cadbury Schweppes PLC............... 18,400 107,797
GKN PLC............................. 8,400 136,060
HSBC Holdings PLC................... 12,159 168,335
Lonrho Africa PLC................... 2,500 1,249
Pearson PLC......................... 6,000 194,178
Powergen PLC........................ 5,000 35,558
Royal & Sun Alliance
Insurance Group.................. 13,636 101,644
Railtrack Group PLC................. 5,000 81,794
Rolls-Royce PLC..................... 22,800 78,454
Slough Estates PLC.................. 10,600 60,392
Smith & Nephew PLC.................. 23,100 78,183
Tesco PLC........................... 40,700 123,813
Tomkins PLC......................... 21,100 68,354
United Utilities PLC................ 10,400 107,526
------------
2,175,988
------------
Total foreign stocks - 11.0%................ 10,786,783
PRINCIPAL
AMOUNT OR
NUMBER MARKET
SHORT TERM INVESTMENTS OF SHARES VALUE
- ---------------------------------------------------------------
Vista Treasury Institutional Money
Market Fund - 0.0% 27,595 27,595
COMMERCIAL PAPER
FINANCIAL SERVICES - 3.2%
Alpine Securitization Corporation,
6.40% - 1-13-00.................. $1,000,000 997,866
General Electric Capital,
6.10% - 1-26-00.................. $1,000,000 995,764
Stanford, 6.75% - 1-13-00........... $905,000 902,964
Tulip Funding Corporation,
6.90% - 1-21-00.................. $292,000 290,881
------------
3,187,475
INDUSTRIAL SERVICES - 0.6%
Merck & Company, Inc.
4.25% - 1-6-00................... $562,000 561,688
------------
Total commercial paper - 3.8%............... 3,749,163
------------
Total investments - 99.7%................... 98,184,549
Cash & other assets, less liabilites - 0.3%. 302,846
------------
Total net assets - 100.0%................... $98,487,395
============
- ----------------------------------------------
SERIES O (EQUITY INCOME)
- ----------------------------------------------
NUMBER MARKET
COMMON STOCKS OF SHARES VALUE
AEROSPACE/DEFENSE - 1.6%
Boeing Company...................... 32,900 $1,367,406
Lockheed Martin Corporation......... 87,100 1,905,313
-----------
3,272,719
ALUMINUM - 0.6%
Reynolds Metals Company............. 16,600 1,271,975
AMERICAN GOLD - 0.5%
Newmont Mining Corporation.......... 43,400 1,063,300
AUTO PARTS & EQUIPMENT - 1.5%
Dana Corporation.................... 20,000 598,750
Genuine Parts Company............... 55,600 1,379,575
TRW, Inc............................ 19,900 1,033,556
------------
3,011,881
AUTOMOBILES - 0.4%
General Motors Corporation.......... 12,700 923,131
- -------------------------------------------------------------------------------
81 See accompanying notes.
<PAGE> 83
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1999
- ----------------------------------------------
SERIES O (EQUITY INCOME)(CONTINUED)
- ----------------------------------------------
<TABLE>
<CAPTION>
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
- ---------------------------------------------------------------
<S> <C> <C>
BANKS - MAJOR REGIONAL - 6.0%
Bank One Corporation................ 45,467 $ 1,457,786
Firstar Corporation................. 33,700 711,912
FleetBoston Financial Corporation... 70,220 2,444,534
KeyCorp............................. 22,200 491,175
Mellon Financial Corporation........ 107,800 3,671,938
Mercantile Bankshares Corporation... 38,600 1,232,787
National City Corporation........... 37,600 890,650
Wells Fargo Company................. 37,000 1,496,187
------------
12,396,969
BANKS - MONEY CENTER - 1.9%
Bank of America Corporation......... 23,300 1,169,369
Chase Manhattan Corporation......... 8,316 646,049
J.P. Morgan & Company, Inc.......... 16,600 2,101,975
------------
3,917,393
BEVERAGES - ALCOHOLIC - 1.7%
Anheuser-Busch Companies, Inc....... 30,000 2,126,250
Brown-Forman Corporation (CI. B).... 25,700 1,471,325
------------
3,597,575
BUILDING MATERIALS - 0.5%
Armstrong World Industries, Inc..... 29,300 977,888
CHEMICALS - BASIC - 2.7%
Dow Chemical Company................ 15,000 2,004,375
E.I. du Pont de Nemours & Company... 38,500 2,536,187
Imperial Chemical Industries PLC ADR 24,800 1,055,550
------------
5,596,112
CHEMICALS - DIVERSIFIED - 0.7%
PPG Industries, Inc................. 23,700 1,482,731
CHEMICALS - SPECIALTY - 2.7%
CK Witco Corporation................ 41,426 554,073
Great Lakes Chemical Corporation.... 35,700 1,363,294
Hercules, Inc....................... 60,300 1,680,862
International Flavors &
Fragrances, Inc.................. 55,100 2,080,025
------------
5,678,254
COMPUTER HARDWARE - 1.4%
Compaq Computer Corporation......... 33,200 898,475
Hewlett-Packard Company............. 16,700 1,902,756
------------
2,801,231
ELECTRIC COMPANIES - 4.7%
DQE, Inc............................ 31,600 1,094,150
Duke Energy Corporation............. 31,200 1,563,900
Entergy Corporation................. 27,800 715,850
FirstEnergy Corporation............. 51,157 1,160,624
Niagara Mohawk Holdings, Inc.*...... 31,800 443,212
Reliant Energy, Inc................. 33,500 766,313
ScottishPower PLC ADR............... 28,768 805,504
Southern Company.................... 57,300 1,346,550
Teco Energy, Inc.................... 31,900 592,144
Unicom Corporation.................. 38,700 1,296,450
------------
9,784,697
ELECTRICAL EQUIPMENT - 1.0%
Cooper Industries, Inc.............. 26,388 1,067,065
Hubbell, Inc. (Cl. B)............... 34,800 948,300
------------
2,015,365
ENTERTAINMENT - 1.2%
Walt Disney Company................. 82,800 2,421,900
FINANCIAL - DIVERSE - 2.6%
Citigroup, Inc...................... 53,650 2,980,928
Fannie Mae.......................... 38,200 2,385,113
------------
5,366,041
FOODS - 5.7%
Campbell Soup Company............... 33,000 1,276,688
General Mills, Inc.................. 78,800 2,817,100
Heinz (H.J.) Company................ 50,350 2,004,559
Hershey Foods Corporation........... 37,200 1,767,000
Kellogg Company..................... 31,400 967,512
McCormick & Company, Inc............ 47,300 1,407,175
Quaker Oats Company................. 23,200 1,522,500
------------
11,762,534
HARDWARE & TOOLS - 0.7%
Stanley Works....................... 48,200 1,452,025
HEALTH CARE - DIVERSE - 2.2%
Abbott Laboratories................. 37,300 1,354,456
American Home Products Corporation.. 80,600 3,178,663
------------
4,533,119
HEALTH CARE - PHARMACEUTICALS - MAJOR - 1.7%
Merck & Company, Inc................ 16,000 1,073,000
Pharmacia & Upjohn, Inc............. 53,995 2,429,775
------------
3,502,775
HOUSEHOLD FURNISHINGS & APPLIANCES - 0.5%
Whirlpool Corporation............... 16,600 1,080,037
HOUSEHOLD PRODUCTS - 2.3%
Fort James Corporation.............. 67,000 1,834,125
Kimberly-Clark Corporation.......... 44,300 2,890,575
-----------
4,724,700
HOUSEWARES - 0.8%
Fortune Brands, Inc................. 28,900 955,506
Tupperware Corporation.............. 35,800 606,363
-----------
1,561,869
INSURANCE - LIFE & HEALTH - 2.5%
American General Corporation........ 32,200 2,443,175
Lincoln National Corporation........ 28,600 1,144,000
UnumProvident Corporation........... 48,700 1,561,444
------------
5,148,619
</TABLE>
- -------------------------------------------------------------------------------
82 See accompanying notes.
<PAGE> 84
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1999
- ----------------------------------------------
SERIES O (EQUITY INCOME)(CONTINUED)
- ----------------------------------------------
<TABLE>
<CAPTION>
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
- ---------------------------------------------------------------
<S> <C> <C>
INSURANCE - PROPERTY & CASUALTY - 2.5%
Chubb Corporation................... 24,800 $ 1,396,550
Safeco Corporation.................. 41,400 1,029,825
St. Paul Companies, Inc............. 63,404 2,135,922
XL Capital, Ltd. (Cl. A)............ 13,500 700,313
------------
5,262,610
LEISURE TIME PRODUCTS - 0.4%
Hasbro, Inc......................... 47,800 911,188
LODGING - HOTELS - 1.1%
Hilton Hotels Corporation........... 80,700 776,737
Starwood Hotels & Resorts........... 64,049 1,505,152
------------
2,281,889
MANUFACTURING - DIVERSIFIED - 1.5%
Honeywell International, Inc........ 10,437 602,084
Minnesota Mining &
Manufacturing Company............ 24,900 2,437,088
------------
3,039,172
MANUFACTURING - SPECIALIZED - 0.7%
Pall Corporation.................... 70,400 1,518,000
MEDICAL PRODUCTS & SUPPLIES - 0.2%
Becton, Dickinson & Company......... 16,600 444,050
METALS & MINING - 1.0%
Inco, Ltd.*......................... 33,300 782,550
Phelps Dodge Corporation............ 18,900 1,268,662
------------
2,051,212
OIL - DOMESTIC - 3.7%
Amerada Hess Corporation............ 37,500 2,128,125
Atlantic Richfield Company.......... 41,100 3,555,150
Phillips Petroleum Company.......... 17,800 836,600
USX-Marathon Group.................. 41,900 1,034,406
-------------
7,554,281
OIL - INTERNATIONAL - 8.7%
BP Amoco PLC ADR.................... 59,080 3,504,183
Chevron Corporation................. 32,100 2,780,662
Exxon Mobil Corporation............. 85,584 6,894,861
Royal Dutch Petroleum
Company NY....................... 39,900 2,411,456
Texaco, Inc......................... 43,600 2,368,025
-------------
17,959,187
OIL & GAS - DRILLING & EQUIPMENT - 0.9%
Baker Hughes, Inc................... 91,500 1,927,219
OIL & GAS - EXPLORATION & PRODUCTION - 1.0%
Unocal Corporation.................. 62,300 2,090,944
PAPER & FOREST PRODUCTS - 2.4%
Consolidated Papers, Inc............ 41,600 1,323,400
International Paper Company......... 65,720 3,709,073
------------
5,032,473
PHOTOGRAPHY/IMAGING - 1.7%
Eastman Kodak Company............... 33,100 2,192,875
Xerox Corporation................... 62,400 1,415,700
------------
3,608,575
PUBLISHING - 0.4%
Readers' Digest Association, Inc.... 31,500 921,375
PUBLISHING - NEWSPAPER - 1.8%
Dow Jones & Company, Inc............ 20,000 1,360,000
Knight-Ridder, Inc.................. 37,900 2,255,050
------------
3,615,050
RAILROADS - 2.2%
Burlington Northern Santa Fe
Corporation...................... 20,600 499,550
GATX Corporation.................... 11,600 391,500
Norfolk Southern Corporation........ 84,400 1,730,200
Union Pacific Corporation........... 44,700 1,950,038
------------
4,571,288
REAL ESTATE INVESTMENT TRUSTS - 1.4%
Rouse Company....................... 41,300 877,625
Simon Property Group, Inc........... 60,636 1,390,838
Vornado Realty Trust................ 16,600 539,500
------------
2,807,963
RETAIL - DEPARTMENT STORES - 0.8%
J.C. Penney Company, Inc............ 29,700 592,144
May Department Stores Company....... 31,050 1,001,362
------------
1,593,506
RETAIL - DRUG STORES - 0.3%
Rite Aid Corporation................ 49,700 556,019
RETAIL - SPECIALTY - 0.6%
Toys "R" Us, Inc.*.................. 82,700 1,183,644
SERVICES - COMMERCIAL & CONSUMER - 1.2%
Dun & Bradstreet Corporation........ 44,200 1,303,900
H & R Block, Inc.................... 28,700 1,255,625
------------
2,559,525
SPECIALTY PRINTING - 0.5%
R.R. Donnelley & Sons Company....... 38,200 947,837
TELECOMMUNICATIONS - LONG DISTANCE - 1.8%
AT&T Corporation.................... 19,150 971,862
BCE, Inc............................ 30,100 2,714,644
------------
3,686,506
TELEPHONE - 7.7%
Alltel Corporation.................. 36,500 3,018,094
Bell Atlantic Corporation........... 40,800 2,511,750
Bellsouth Corporation............... 16,700 781,769
GTE Corporation..................... 47,500 3,351,718
SBC Communications, Inc............. 80,452 3,922,035
U.S. West, Inc...................... 33,300 2,397,600
------------
15,982,966
</TABLE>
- -------------------------------------------------------------------------------
83 See accompanying notes.
<PAGE> 85
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1999
- ----------------------------------------------
SERIES O (EQUITY INCOME)(CONTINUED)
- ----------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT OR
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
- ---------------------------------------------------------------
<S> <C> <C>
TOBACCO - 1.5%
Philip Morris Companies, Inc........ 64,700 1,500,231
UST, Inc............................ 66,000 1,662,375
------------
3,162,606
WASTE MANAGEMENT - 0.6%
Waste Management, Inc............... 75,222 1,292,878
------------
Total common stocks - 94.7%................. 195,906,803
FOREIGN STOCKS
NETHERLANDS - 0.6%
Unilever NV - CVA................... 23,200 1,275,342
UNITED KINGDOM - 0.4%
Smith & Nephew PLC.................. 243,800 825,158
------------
Total foreign stocks - 1.0%................. 2,100,500
TEMPORARY CASH INVESTMENTS
Vista Treasury Institutional
Money Market Fund - 0.5%......... 1,003,501 1,003,501
COMMERCIAL PAPER
FINANCIAL SERVICES - 4.2%
FCAR Owner Trust, 6.38% - 1-12-00... $5,810,000 5,798,625
Preferred Receiving Funding,
6.45% - 1-21-00.................. $1,000,000 996,417
Leland Stanford Jr. University,
6.75% - 1-13-00.................. $2,000,000 1,995,500
------------
8,790,542
INDUSTRIAL SERVICES - 0.8%
Merck & Company, Inc.,
4.25% - 1-6-00................... $1,650,000 1,649,026
------------
Total commercial paper - 5.0%............... 10,439,568
------------
Total investments - 101.2%.................. 209,450,372
Liabilities, less cash and other assets - (1.2)% (2,428,627)
------------
Total net assets - 100.0%................... $207,021,745
============
- ----------------------------------------------
SERIES P (HIGH YIELD)
- ----------------------------------------------
PRINCIPAL
AMOUNT OR
NUMBER MARKET
CORPORATE BONDS OF SHARES VALUE
- ---------------------------------------------------------------
AEROSPACE/DEFENSE - 0.5%
Burke Industries, Inc.,
10.0% - 2007..................... 200,000 95,500
AUTOMOTIVE - 5.2%
Federal-Mogul Corporation,
7.50% - 2009..................... $75,000 67,781
7.875% - 2010.................... $200,000 182,750
Hayes Lemmerz International, Inc.,
8.25% - 2008..................... $250,000 229,375
Lear Corporation, 7.96% - 2005...... $250,000 239,688
Mark IV Industries, Inc.,
7.75% - 2006..................... $200,000 192,000
7.50% - 2007..................... $100,000 90,750
------------
1,002,344
BANKING - 2.5%
BF SAUL REIT, 9.75% - 2008.......... $175,000 165,156
FCB/NC Capital Trust, 8.05% - 2028.. $75,000 66,750
Golden State Holdings, Inc.,
7.125% - 2005.................... $200,000 181,250
Homeside, Inc., 11.25% - 2003....... $50,000 57,125
------------
470,281
BEVERAGES - 1.3%
Canadaigua Brands, 8.625% - 2006.... $200,000 199,000
Delta Beverage Group,
9.75% - 2003..................... $50,000 49,375
------------
248,375
BROKERAGE - 0.5%
SI Financing Trust, Inc., 9.5% - 20264 3,500 89,250
BUILDING MATERIALS - 2.7%
American Plumbing &
Mechanical, Inc., 11.625% - 2008. $300,000 284,250
Knoll, Inc., 10.875% - 2006......... $63,000 63,315
Nortek, Inc., 8.875% - 2008......... $175,000 166,250
------------
513,815
CAPITAL GOODS - OTHER - 0.3%
Iron Mountain, Inc., 10.125% - 2006. $50,000 51,125
CONSTRUCTION MACHINERY - 4.4%
AGCO Corporation, 8.50% - 2006...... $200,000 186,250
Columbus McKinnon Corporation,
8.50% - 2008..................... $175,000 150,937
Navistar International, 8.00% - 2008 $175,000 168,000
SEQUA Corporation, 9.0% - 2009...... $200,000 194,250
Titan Wheel International, Inc.,
8.75% - 2007..................... $175,000 147,219
------------
846,656
CONSUMER CYCLICAL - OTHER - 0.5%
American ECO Corporation,
9.625% - 2008.................... $200,000 103,500
CONSUMER PRODUCTS - 1.2%
Chattem, Inc., 8.875% - 2008........ $250,000 235,000
</TABLE>
- -------------------------------------------------------------------------------
84 See accompanying notes.
<PAGE> 86
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1999
- --------------------------------
SERIES P (HIGH YIELD)(CONTINUED)
- --------------------------------
<TABLE>
<CAPTION>
PRINCIPAL MARKET
CORPORATE BONDS (CONTINUED) AMOUNT VALUE
- ---------------------------------------------------------------
<S> <C> <C>
ELECTRIC UTILITY - 2.8%
AES Corporation, 10.25% - 2006...... $100,000 $ 101,000
Calpine Corporation-Utility-Electric,
8.75% - 2007..................... 175,000 175,656
East Coast Power, LLC,
6.737% - 2008.................... 141,861 133,172
7.066% - 2012.................... 150,000 133,313
------------
543,141
ENERGY - INDEPENDENT - 0.6%
COHO Energy, Inc.,
8.875% - 2007*................... 100,000 54,750
Seagull Energy Corporation,
8.625% - 2005.................... 50,000 50,063
------------
104,813
ENERGY - OTHER - 0.6%
P&L Coal Holdings Corporation,
8.875% - 2008.................... 125,000 122,188
ENERGY - REFINING - 1.0%
Crown Central Petroleum,
10.875% - 2005................... 125,000 98,437
Giant Industries, Inc., 9.0% - 2007. 100,000 92,000
------------
190,437
ENTERTAINMENT - 0.9%
Premier Parks, 9.75% - 2007......... 175,000 178,938
FINANCIAL COMPANIES - 0.9%
CB Richard Ellis Service,
8.875% - 2006.................... 125,000 112,812
Dollar Financial Group, Inc.,
10.875% - 2006.................... 50,000 50,250
------------
163,062
FOOD - 1.4%
Chiquita Brands International, Inc.,
10.25% - 2006..................... 25,000 18,062
Nash Finch Company,
8.50% - 2008..................... 300,000 248,250
------------
266,312
GAMING - 8.0%
Boyd Gaming Corporation,
9.50% - 2007..................... 225,000 223,313
Circus Circus Enterprise,
6.75% - 2003..................... 150,000 135,938
9.25% - 2005..................... 125,000 126,875
Harrahs Operating, Inc.
7.875% - 2005.................... 250,000 240,625
Hollywood Park, Inc.,
9.25% - 2007..................... 150,000 148,500
Isle of Capri Casinos, 8.75% - 2009. 150,000 138,375
MGM Grand, Inc., 6.95% - 2005....... 125,000 115,156
Mirage Resorts, Inc., 6.625% - 2005. 150,000 137,625
Park Place Entertainment,
7.875% - 2005.................... 275,000 263,313
------------
1,529,720
HEALTHCARE - 2.9%
Genesis Health Ventures, Inc.,
9.875% - 2009.................... $150,000 61,125
Multicare Companies, Inc.,
9.0% - 2007..................... 150,000 40,125
Packard Bioscience Company,
9.375% - 2007.................... 75,000 65,250
Prime Medical Services,
8.75% - 2008..................... 100,000 92,000
Rural/Metro, 7.875% - 2008.......... 150,000 117,750
Tenet Healthcare Corporation,
8.125% - 2008..................... 175,000 163,406
------------
539,656
HOME CONSTRUCTION - 5.0%
D.R. Horton, Inc., 8.375% - 2004.... 200,000 195,500
MDC Holdings, Inc., 8.375% - 2008... 100,000 91,125
NVR, Inc., 8.0% - 2005.............. 225,000 209,531
Oakwood Homes Corporation,
8.125% - 2009.................... 275,000 141,625
Standard Pacific Corporation,
8.5% - 2009...................... 225,000 208,125
Toll Corporation, 7.75% - 2007...... 125,000 117,188
------------
963,094
INSURANCE - 0.4%
GENAMERICA Capital, Inc.,
8.525% - 2027.................... 100,000 81,500
LODGING - 3.8%
HMH Properties,
7.875% - 2008.................... 225,000 200,812
8.45% - 2008..................... 50,000 46,375
Prime Hospitality, 9.25% - 2006..... 200,000 199,500
Vail Resorts, Inc., 8.75% - 2009.... 300,000 280,500
------------
727,187
MEDIA - CABLE - 3.7%
Adelphia Communications,
9.50% - 2004..................... 21,694 21,314
8.375% - 2008.................... 100,000 93,000
Century Communications,
9.50% -2005...................... 125,000 125,938
8.375% - 2007.................... 75,000 71,062
Diamond Holdings, 9.125% - 2008..... 150,000 148,875
Jones Intercable, Inc.,
7.625% -2008..................... 200,000 198,500
Rogers Cablesystems, 9.625% - 2002.. 50,000 51,875
------------
710,564
</TABLE>
- -------------------------------------------------------------------------------
85 See accompanying notes.
<PAGE> 87
SCHEDULE OF INVESTMENTS
December 31, 1999
SERIES P (HIGH YIELD)(CONTINUED)
PRINCIPAL
AMOUNT OR
NUMBER MARKET
CORPORATE BONDS(CONTINUED) OF SHARES VALUE
- ---------------------------------------------------------------
MEDIA - NON-CABLE - 4.7%
Allbritton Communications,
9.75% - 2007..................... $100,000 $101,000
Emmis Communications,
8.125% - 2009.................... 250,000 241,250
Golden Books Publishing, Inc.,
7.65% - 20025.................... 50,000 21,250
Heritage Media Corporation,
8.75% - 2006..................... 50,000 50,938
Hollinger International
Publishing, Inc.,
8.625% - 2005.................... 300,000 297,000
K-III Communications Corporation,
10.25% - 2004.................... 20,000 19,775
USA Networks, 6.75% - 2005.......... 175,000 166,906
------------
898,119
METALS - 4.2%
AK Steel Corporation,
7.875% - 2009.................... 150,000 142,500
Bulong Operations, 12.50% - 2008.... 175,000 143,063
California Steel Industries,
8.50% - 2009..................... 300,000 290,250
Simcala, Inc., 9.625% - 2006........ 100,000 57,750
Wheeling Pittsburgh Corporation,
9.25% - 2007..................... 100,000 93,750
WHX Corporation, 10.50% - 2005...... 75,000 73,313
------------
800,626
OIL FIELD SERVICES - 1.1%
Pioneer Natural, 6.50% - 2008....... 250,000 211,875
PACKAGING & CONTAINERS - 2.4%
Ball Corporation, 7.75% - 2006...... 150,000 146,625
Huntsman Packaging Corporation,
9.125% - 2007.................... 125,000 120,937
Indesco International, Inc.,
9.75% - 2008..................... 175,000 78,312
Packaged Ice, Inc., 9.75% - 2005.... 125,000 114,063
------------
459,937
PAPER - 1.3%
DOMTAR Inc., 8.75% - 2006........... 250,000 257,812
RETAILERS - 4.2%
Ames Department Stores, 10.0% - 2006 300,000 296,250
Musicland Group, 9.0% - 2003........ 300,000 290,250
Zale Corporation, 8.50% - 2007...... 225,000 223,031
------------
809,531
SERVICES - 1.7%
Loewen Group, Inc. - Pats,
6.70% - 1999*.................... 75,000 39,375
Protection One Alarm, 7.375% - 2005. 250,000 198,750
UNISYS Corporation, 7.875% - 2008... 75,000 72,187
------------
310,312
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
- ---------------------------------------------------------------
TECHNOLOGY - 1.5% AMKOR Technologies, Inc.,
9.25% - 2006..................... $300,000 294,000
TELECOMMUNICATIONS - 12.0%
ALESTRA SA, 12.625% - 2009.......... $300,000 301,125
Call-Net Enterprise, Inc.,
9.375% - 2009.................... $150,000 124,125
Loral Space & Communications,
9.5% - 2006...................... $300,000 270,000
Mastec, Inc., 7.75% - 2008.......... $300,000 291,750
Mcleodusa, Inc., 8.375% - 2008...... $175,000 164,719
MJD Communications, Inc.,
9.50% - 2008..................... $175,000 161,219
Pac-West Telecom, Inc,
13.5% - 2009..................... $300,000 311,250
RCN Corporation, 10.00% - 2007...... $275,000 273,625
Satelites Mexicanos, Inc.,
10.125% - 2004................... $125,000 85,000
Williams Communication,
10.875% - 2009................... $300,000 314,250
------------
2,297,063
TEXTILES - 0.5%
Westpoint Stevens, 7.875% - 2008.... $100,000 89,750
TOBACCO - 0.2%
Dimon, Inc., 8.875% - 2006.......... $25,000 22,313
Standard Commercial Tobacco
Corporation, 8.875% - 2005....... $25,000 20,312
------------
42,625
TRANSPORTATION - OTHER - 1.6%
Allied Holdings, Inc., 8.625% - 2007 $100,000 88,750
Pegasus Aviation Lease Securitization,
5.878% - 2029.................... $300,000 159,468
Teekay Shipping Corporation,
8.32% - 2008 $65,000 58,338
------------
306,556
------------
Total corporate bonds - 86.5%............... 16,554,664
PREFERRED STOCKS
BANKS & CREDIT - 0.1%
California Federal Bank, 9.125%..... 1,000 22,562
BROADCAST MEDIA - 1.0%
CSC Holdings, Inc., 11.125%......... 972 105,496
PRIMEDIA, INC., 10.0%............... 800 82,000
------------
187,496
------------
Total preferred stocks - 1.1%............... 210,058
- -------------------------------------------------------------------------------
86 See accompanying notes.
<PAGE> 88
SCHEDULE OF INVESTMENTS
December 31, 1999
SERIES P (HIGH YIELD)(CONTINUED)
NUMBER MARKET
COMMON STOCKS OF SHARES VALUE
- ---------------------------------------------------------------
BROADCAST MEDIA - 0.3%
Infinity Broadcasting Corporation*.. 1,500 $ 54,281
GAMING - 0.2%
MGM Grand, Inc.*.................... 1,000 50,313
REAL ESTATE INVESTMENT TRUST - 1.7%
Bedford Property Investors, Inc..... 2,400 40,950
Centerpoint Properties Corporation.. 875 31,390
Duke-Weeks Realty Corporation....... 2,075 40,462
First Industrial Realty Trust, Inc.. 1,620 44,449
KIMCO Realty Corporation............ 750 25,406
Prentiss Properties Trust........... 3,375 70,875
Prologis Trust...................... 2,000 38,500
Reckson Associates Realty
Corporation...................... 1,795 36,798
------------
328,830
------------
Total common stocks - 2.2%.................. 433,424
------------
Total investments - 89.8%................... 17,198,146
Cash and other assets, less liabilities - 10.2% 1,953,357
------------
Total net assets - 100.0%................... $19,151,503
============
SERIES S (SOCIAL AWARENESS)
COMMON STOCKS
- -------------
AIR FREIGHT - 0.2%
FDX Corporation*.................... 13,000 $ 532,188
AIRLINES - 0.6%
Southwest Airlines Company.......... 81,400 1,317,662
ALUMINUM - 0.6%
Alcoa, Inc.......................... 16,400 1,361,200
BANKS - MAJOR REGIONAL - 3.6%
Bank of New York Company, Inc....... 59,600 2,384,000
Northern Trust Corporation.......... 52,000 2,756,000
PNC Bank Corporation................ 24,400 1,085,800
Wells Fargo Company................. 59,400 2,401,987
------------
8,627,787
BANKS - MONEY CENTER - 1.6%
Bank of America Corporation......... 40,800 2,047,650
Chase Manhattan Corporation......... 23,600 1,833,425
------------
3,881,075
BEVERAGES - SOFT DRINK - 1.6%
Coca-Cola Company................... 47,500 2,766,875
PepsiCo, Inc........................ 28,700 1,011,675
------------
3,778,550
Broadcast Media - 1.4%
AMFM, Inc.*......................... 15,700 1,228,525
Comcast Corporation ................ 41,200 2,083,175
------------
3,311,700
SERIES S (SOCIAL AWARENESS)(CONTINUED)
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
- ---------------------------------------------------------------
CHEMICALS - BASIC - 0.9%
Praxair, Inc........................ 43,300 2,178,531
COMMUNICATION EQUIPMENT - 5.5%
ADC Telecommunications, Inc.*....... 37,600 2,728,350
Comverse Technology, Inc.*.......... 22,500 3,256,875
Lucent Technologies, Inc............ 48,260 3,610,451
Scientific-Atlanta, Inc............. 24,400 1,357,250
Tellabs, Inc.*...................... 30,200 1,938,462
------------
12,891,388
COMPUTER HARDWARE - 5.6%
Compaq Computer Corporation......... 55,200 1,493,850
Dell Computer Corporation*.......... 87,000 4,437,000
Hewlett-Packard Company............. 22,900 2,609,169
International Business Machines
Corporation...................... 44,400 4,795,200
------------
13,335,219
COMPUTER SOFTWARE/SERVICES - 10.4%
Adobe Systems, Inc. ................ 29,600 1,990,600
Computer Associates
International, Inc............... 29,500 2,063,156
Microsoft Corporation*.............. 175,800 20,524,650
------------
24,578,406
COMPUTERS - NETWORKING - 5.0%
Cisco Systems, Inc.*................ 110,750 11,864,094
COMPUTERS - PERIPHERALS - 1.5%
EMC Corporation*.................... 32,800 3,583,400
CONSUMER FINANCE - 0.5%
Household International, Inc........ 29,200 1,087,700
DISTRIBUTION - FOOD & HEALTH - 0.4%
Cardinal Health, Inc................ 20,700 991,012
ELECTRICAL EQUIPMENT - 2.6%
Cooper Industries, Inc.............. 38,300 1,548,756
Emerson Electric Company............ 31,900 1,830,263
Molex, Inc.......................... 48,800 2,766,350
------------
6,145,369
ELECTRONICS - SEMICONDUCTORS - 6.1%
Analog Devices, Inc.*............... 33,000 3,069,000
Intel Corporation................... 113,600 9,350,700
Micron Technology, Inc.*............ 12,600 979,650
Texas Instruments, Inc.............. 11,800 1,143,125
------------
14,542,475
ENTERTAINMENT - 2.2%
Time Warner, Inc.................... 28,600 2,071,713
Viacom, Inc. (Cl.B)*................ 24,800 1,498,850
Walt Disney Company................. 52,000 1,521,000
------------
5,091,563
- -------------------------------------------------------------------------------
87 See accompanying notes.
<PAGE> 89
SCHEDULE OF INVESTMENTS
December 31, 1999
SERIES S (SOCIAL AWARENESS)(CONTINUED)
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
- ---------------------------------------------------------------
FINANCIAL - DIVERSE - 2.8%
American Express Company............ 14,400 $2,394,000
Fannie Mae.......................... 32,500 2,029,219
Freddie Mac......................... 28,800 1,355,400
Finova Group,~Inc................... 24,400 866,200
------------
6,644,819
FOODS - 0.6%
Bestfoods........................... 10,800 567,675
General Mills, Inc.................. 25,000 893,750
------------
1,461,425
HEALTH CARE - DIVERSE - 2.3%
Allergan, Inc....................... 23,400 1,164,150
Johnson & Johnson................... 46,532 4,333,292
------------
5,497,442
HEALTH CARE - PHARMACEUTICALS - GENERIC - 0.4%
Watson Pharmaceuticals, Inc.*....... 29,500 1,056,469
HEALTH CARE - PHARMACEUTICALS - MAJOR - 3.4%
Merck & Company, Inc................ 84,700 5,680,194
Schering-Plough Corporation......... 55,100 2,324,531
------------
8,004,725
HOUSEHOLD PRODUCTS - 3.4%
Colgate-Palmolive Company........... 34,000 2,210,000
Kimberly-Clark Corporation.......... 16,000 1,044,000
Procter & Gamble Company............ 44,400 4,864,575
------------
8,118,575
INSURANCE - LIFE/HEALTH - 0.7%
American General Corporation........ 21,100 1,600,963
INSURANCE - MULTI-LINE - 2.7%
American International Group, Inc... 58,466 6,321,636
INSURANCE - PROPERTY & CASUALTY - 0.6%
Chubb Corporation................... 24,000 1,351,500
MACHINERY - DIVERSE - 1.0%
Deere & Company..................... 55,200 2,394,300
MANUFACTURING - DIVERSIFIED - 0.5%
Illinois Tool Works, Inc............ 17,400 1,175,587
MANUFACTURING - SPECIALIZED - 0.6%
Avery Dennison Corporation.......... 18,200 1,326,325
MEDICAL PRODUCTS & SUPPLIES - 1.5%
Boston Scientific Corporation*...... 26,400 577,500
Guidant Corporation*................ 29,800 1,400,600
Medtronic, Inc...................... 41,800 1,523,088
------------
3,501,188
OFFICE EQUIPMENT & SUPPLIES - 0.3%
Pitney Bowes, Inc................... 16,200 782,663
OIL - DOMESTIC - 0.8%
Atlantic Richfield Company.......... 23,200 2,006,800
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
- ---------------------------------------------------------------
OIL - INTERNATIONAL - 1.1%
BP Amoco PLC........................ 42,080 2,495,870
OIL & GAS - DRILLING & EQUIPMENT - 2.2%
BJ Services Company*................ 55,200 2,308,050
Noble Drilling Corporation*......... 89,600 2,934,400
------------
5,242,450
OIL & GAS - EXPLORATION & PRODUCTION - 0.9%
Apache Corporation.................. 60,700 2,242,106
PAPER & FOREST PRODUCTS - 1.1%
Mead Corporation.................... 45,200 1,963,375
Westvaco Corporation................ 21,600 704,700
------------
2,668,075
PERSONAL CARE - 0.6%
Gillette Company.................... 33,000 1,359,187
PUBLISHING - 0.4%
McGraw-Hill Companies, Inc.......... 14,200 875,075
PUBLISHING - NEWSPAPER - 0.6%
New York Times Company.............. 29,400 1,444,275
RESTAURANTS - 0.7%
McDonald's Corporation.............. 41,400 1,668,938
RETAIL - APPAREL - 0.9%
Talbots, Inc........................ 23,500 1,048,688
TJX Companies, Inc.................. 55,000 1,124,062
------------
2,172,750
RETAIL - BUILDING SUPPLIES - 1.5%
Lowe's Companies, Inc............... 57,700 3,447,575
RETAIL - DEPARTMENT STORES - 0.4%
Kohl's Corporation*................. 13,200 952,875
RETAIL - DISCOUNTERS - 0.5%
Family Dollar Stores................ 70,000 1,141,875
RETAIL - DRUG STORES - 0.6%
CVS Corporation..................... 32,800 1,309,950
RETAIL - FOOD CHAINS - 0.4%
Kroger Company*..................... 49,000 924,875
RETAIL - GENERAL MERCHANDISE - 4.0%
Dayton Hudson Corporation........... 32,800 2,408,750
Wal-Mart Stores, Inc................ 101,300 7,002,363
------------
9,411,113
SAVINGS & LOAN - 0.2%
Washington Mutual, Inc.............. 15,120 393,120
SERVICES - ADVERTISING & MARKETING - 1.1%
Omnicom Group, Inc.................. 26,900 2,690,000
- --------------------------------------------------------------------------------
88 See accompanying notes.
<PAGE> 90
SCHEDULE OF INVESTMENTS
December 31, 1999
SERIES S (SOCIAL AWARENESS)(CONTINUED)
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
- ---------------------------------------------------------------
SERVICES - DATA PROCESSING - 0.6%
Paychex, Inc........................ 37,300 $ 1,492,000
TELECOMMUNICATIONS - CELLULAR - 1.0%
Sprint Corporation (PCS Group)*..... 22,650 2,321,625
TELECOMMUNICATIONS - LONG DISTANCE - 3.9%
AT&T Corporation.................... 104,112 5,283,684
MCI Worldcom, Inc.*................. 35,850 1,902,291
Sprint Corporation (FON Group)...... 31,000 2,086,687
------------
9,272,662
TELEPHONE - 4.2%
Bell Atlantic Corporation........... 44,900 2,764,156
Bellsouth Corporation............... 45,200 2,115,925
SBC Communications.................. 101,464 4,946,370
------------
9,826,451
------------
Total common stocks - 98.8%................. 233,696,583
Cash and other assets, less liabilities - 1.2% 2,879,209
------------
Total net assets - 100.0%................... $236,575,792
============
SERIES V (VALUE)
COMMON STOCKS
- -------------
AEROSPACE/DEFENSE - 2.2%
Alliant Techsystems, Inc............ 15,000 $ 934,687
AIR FREIGHT - 0.2%
Hub Group, Inc.*.................... 4,100 82,000
AUTO PARTS & EQUIPMENT - 0.1%
Motorcar Parts & Accessories, Inc.*. 54,000 57,240
BANKS - MAJOR REGIONAL - 0.4%
FleetBoston Financial Corporation... 5,092 177,265
BANKS - MONEY CENTER - 1.6%
J.P. Morgan & Company, Inc.......... 5,300 671,112
BIOTECHNOLOGY - 0.7%
Ligand Pharmaceuticals, Inc. (Cl. B) 22,000 283,250
CHEMICALS - BASIC - 1.1%
Solutia, Inc........................ 30,800 475,475
CHEMICALS - SPECIALTY - 0.5%
Material Sciences Corporation*...... 22,000 224,125
COMMUNICATION EQUIPMENT - 0.4%
Protection One, Inc.*............... 65,000 125,937
Transcrypt International, Inc.*..... 17,800 53,400
------------
179,337
COMPUTER SOFTWARE/SERVICES - 8.1%
AXENT Technologies, Inc.*........... 26,000 546,000
Computer Sciences Corporation*...... 11,000 1,040,875
JDA Software Group, Inc.*........... 56,000 917,000
Mediconsult.com, Inc.*.............. 81,000 506,250
UNOVA, Inc.*........................ 35,000 455,000
------------
3,465,125
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
- ---------------------------------------------------------------
CONTAINERS - METAL/GLASS - 0.7%
Crown Cork & Seal Company, Inc...... 13,600 304,300
ELECTRIC COMPANIES - 1.0%
Western Resources, Inc.............. 26,400 448,800
ELECTRICAL EQUIPMENT - 3.8%
Benchmark Electronics, Inc.*........ 31,700 727,119
Maxwell Technologies, Inc.*......... 90,000 900,000
------------
1,627,119
ELECTRONICS - DEFENSE - 1.3%
Raytheon Company.................... 22,000 545,875
ELECTRONICS - INSTRUMENTATION - 1.0%
PerkinElmer, Inc.................... 10,500 437,719
FOODS - 2.3%
Agribrands International, Inc.*..... 13,800 634,800
Hormel Foods Corporation............ 8,600 349,375
------------
984,175
HEALTH CARE - LONG TERM CARE - 1.3%
Morrison Management Specialists, Inc. 25,000 539,062
HEALTH CARE - PHARMACEUTICALS - GENERIC - 4.5%
Mylan Laboratories, Inc............. 46,000 1,158,625
Noven Pharmaceuticals, Inc.*........ 41,250 747,656
------------
1,906,281
HEALTH CARE - PHARMACEUTICALS - MAJOR - 3.3%
Teva Pharmaceuticals
Industries Ltd. ADR.............. 20,000 1,433,750
HEALTH CARE - SPECIALIZED SERVICES - 1.9%
CryoLife, Inc.*..................... 70,000 822,500
HOSPITAL MANAGEMENT - 4.4%
Quorum Health Group, Inc.*.......... 54,000 502,875
Tenet Healthcare Corporation*....... 28,000 658,000
Veterinary Centers of America, Inc.* 56,000 721,000
------------
1,881,875
INSURANCE - LIFE/HEALTH - 2.3%
Aflac, Inc.......................... 6,000 283,125
UnumProvident Corporation........... 22,000 705,375
------------
988,500
INSURANCE - PROPERTY & CASUALTY - 0.7%
Horace Mann Educators Corporation... 14,400 282,600
INVESTMENT BANK/BROKERAGE - 1.6%
Goldman Sachs Group, Inc............ 7,400 696,987
LEISURE TIME PRODUCTS - 5.1%
Hasbro, Inc......................... 30,000 571,875
Mattel, Inc......................... 64,000 840,000
Midway Games, Inc.*................. 33,000 789,938
------------
2,201,813
MANUFACTURING - SPECIALIZED - 1.6%
Brady Corporation................... 20,000 678,750
- -------------------------------------------------------------------------------
89 See accompanying notes.
<PAGE> 91
SCHEDULE OF INVESTMENTS
December 31, 1999
SERIES V (VALUE)(CONTINUED)
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
- ---------------------------------------------------------------
MEDICAL PRODUCTS & SUPPLIES - 0.8%
Sunrise Medical, Inc.*.............. 55,000 $ 340,313
NATURAL GAS - 3.6%
Equitable Resources, Inc............ 17,000 567,375
Kinder Morgan, Inc.................. 42,000 847,875
MCN Energy Group, Inc............... 5,500 130,625
------------
1,545,875
OIL - DOMESTIC - 1.6%
TransMontaigne, Inc.*............... 96,700 676,900
OIL - INTERNATIONAL - 1.2%
Tesoro Petroleum Corporation*....... 45,600 527,250
OIL & GAS - DRILLING & EQUIPMENT - 5.6%
BJ Services Company*................ 20,000 836,250
ENSCO International, Inc............ 27,000 617,625
Global Marine, Inc.*................ 38,000 631,750
R&B Falcon Corporation*............. 25,000 331,250
------------
2,416,875
OIL & GAS - EXPLORATION & PRODUCTION - 10.6%
Anadarko Petroleum Corporation...... 13,000 443,625
Apache Corporation.................. 15,000 554,063
Burlington Resources, Inc........... 16,500 545,531
Callon Petroleum Company*........... 52,000 770,250
Chieftain International, Inc.*...... 45,000 776,250
Evergreen Resources, Inc............ 12,000 237,000
Murphy Oil Corporation.............. 12,000 688,500
Ocean Energy, Inc.*................. 70,000 542,500
------------
4,557,719
PUBLISHING - NEWSPAPER - 1.3%
E.W. Scripps Company................ 12,500 560,156
RAILROADS - 1.4%
RailAmerica, Inc.*.................. 70,000 599,375
RESTAURANTS - 1.3%
Sonic Corporation*.................. 20,000 570,000
RETAIL - APPAREL - 1.0%
Talbots, Inc........................ 9,700 432,863
RETAIL - DISCOUNTERS - 1.0%
Consolidated Stores Corporation*.... 25,000 406,250
SERVICES - ADVERTISING & MARKETING - 4.3%
Acxiom Corporation*................. 58,000 1,392,000
True North Communications, Inc...... 10,300 460,281
------------
1,852,281
SERVICES - COMMERCIAL & CONSUMER - 4.9%
Angelica Corporation................ 75,000 731,250
Cerner Corporation.................. 28,000 551,250
Tier Technologies, Inc.*............ 97,000 818,438
------------
2,100,938
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
- ---------------------------------------------------------------
SERVICES - COMPUTER SYSTEMS - 4.2%
Comdisco, Inc....................... 33,000 1,229,250
SunGard Data Systems, Inc.*......... 24,000 570,000
------------
1,799,250
TEXTILES - APPAREL - 3.0%
Kellwood Company.................... 65,000 1,263,438
TRUCKING - 0.4%
Motor Cargo Industries, Inc.*....... 34,800 160,950
------------
Total common stocks - 98.3%...... 42,140,155
Cash and other assets, less liabilities - 1.7% 744,583
------------
Total net assets - 100.0%................... $42,884,738
============
SERIES X (SMALL CAP)
COMMON STOCKS
- -------------
AIR FREIGHT - 1.0%
Eagle USA Airfreight, Inc.*......... 10,000 $ 431,250
BANKS - MAJOR REGIONAL - 0.7%
Silicon Valley Bancshares*.......... 6,000 297,000
BIOTECHNOLOGY - 5.5%
Medarex, Inc.*...................... 7,000 260,750
Myraid Genetics, Inc.*.............. 5,600 257,600
Protein Design Labs, Inc.*.......... 10,500 735,000
Titan Pharmaceuticals, Inc.*........ 62,500 1,187,500
------------
2,440,850
BROADCAST MEDIA - 2.8%
Cumulus Media, Inc.*................ 2,000 101,500
Pegasus Communications
Corporation*..................... 6,300 615,825
ValueVision International, Inc.*.... 9,000 515,813
------------
1,233,138
COMMUNICATION EQUIPMENT - 9.7%
ACTV, Inc.*......................... 18,500 845,219
Aironet Wireless
Communications, Inc.*............ 9,500 634,422
Commscope, Inc.*.................... 7,000 282,187
Digital Microwave Corporation*...... 32,000 750,000
P-Com, Inc.*........................ 55,000 486,406
Polycom, Inc.*...................... 8,900 566,819
Tekelec*............................ 11,500 258,750
World Access, Inc.*................. 6,000 115,500
Z-Tel Technologies, Inc.*........... 8,000 323,000
------------
4,262,303
- -------------------------------------------------------------------------------
90 See accompanying notes.
<PAGE> 92
SCHEDULE OF INVESTMENTS
December 31, 1999
SERIES X (SMALL CAP)(CONTINUED)
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
- ---------------------------------------------------------------
COMPUTER HARDWARE - 2.1%
Advanced Digital Information
Corporation*..................... 11,100 $ 539,737
Radisys Corporation*................ 8,000 408,000
------------
947,737
Computer Software/Services - 15.7%
Bindview Development
Corporation*..................... 5,000 248,437
Brio Technology, Inc.*.............. 6,500 273,000
Broadvision, Inc.*.................. 4,000 680,250
Business Objects ADR*............... 2,500 334,063
Clarify, Inc.*...................... 3,900 491,400
Diversinet Corporation*............. 18,500 407,000
Documentum, Inc.*................... 3,100 185,612
esoft, Inc.*........................ 10,500 305,812
Hyperion Solutions Corporation*..... 13,200 574,200
Interactive Pictures Corporation*... 9,000 209,812
ITXC Corporation*................... 8,600 289,175
Jacada, Ltd.*....................... 12,500 348,438
Micromuse, Inc.*.................... 4,000 680,000
Mission Critical Software, Inc.*.... 4,200 294,000
NetScout Systems, Inc.*............. 6,000 186,000
Onyx Software Corporation*.......... 7,000 259,000
RSA Security, Inc.*................. 8,500 658,750
Take-Two Interactive Software, Inc.* 17,000 219,938
Zamba Corporation*.................. 15,000 260,625
------------
6,905,512
ELECTRICAL EQUIPMENT - 4.7%
Black Box Corporation*.............. 4,500 301,500
C-Cor.net Corporation*.............. 6,000 459,750
Electro Scientific Industries, Inc.* 4,000 292,000
Kemet Corporation*.................. 11,000 495,688
Plexus Corporation*................. 11,500 506,000
------------
2,054,938
ELECTRONICS - DEFENSE - 0.5%
Titan Corporation*.................. 5,000 235,625
ELECTRONICS - DISTRIBUTION - 0.5%
Power Integrated, Inc.*............. 4,500 215,719
ELECTRONICS - INSTRUMENTATION - 6.1%
Alpha Industries, Inc.*............. 9,000 515,813
Interlink Electronics, Inc.*........ 3,500 205,625
Macrovision Corporation*............ 7,400 547,600
Sandisk Corporation*................ 6,500 625,625
Sawtek, Inc.*....................... 11,700 778,781
------------
2,673,444
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
- ---------------------------------------------------------------
ELECTRONICS - SEMICONDUCTORS - 2.4%
Credence Systems Corporation*....... 3,800 328,700
Micrel, Inc.*....................... 4,000 227,750
Photronics, Inc.*................... 4,500 128,812
PRI Automation, Inc.*............... 5,400 362,475
------------
1,047,737
EQUIPMENT - SEMICONDUCTORS - 1.3%
Asyst Technologies, Inc.*........... 8,800 576,950
GAMING & LOTTERY - 0.8%
Isle of Capri Casinos, Inc.*........ 28,500 375,844
HEALTH CARE - PHARMACEUTICALS - GENERIC - 1.7%
King Pharmaceuticals, Inc.*......... 13,500 756,844
HEALTH CARE - PHARMACEUTICALS - MAJOR - 5.3%
Alkermes, Inc.*..................... 12,000 589,500
Emisphere Technologies, Inc.*....... 11,000 330,688
Enzon, Inc.*........................ 23,000 997,625
QLT Phototherapeutics, Inc.*........ 6,800 399,500
------------
2,317,313
HEALTH CARE - SPECIALIZED SERVICES - 0.2%
Hooper Holmes, Inc.................. 4,000 103,000
HOUSEHOLD PRODUCTS - 0.7%
Church & Dwight Company, Inc........ 11,000 293,562
IRON & STEEL - 0.4%
Lone Star Technologies, Inc.*....... 7,000 195,125
LEISURE TIME PRODUCTS - 2.7%
Midway Games, Inc.*................. 49,000 1,172,938
MANUFACTURING - SPECIALIZED - 2.7%
Optical Coating Laboratory, Inc.*... 4,000 1,184,000
MEDICAL PRODUCTS & SUPPLIES - 3.2%
Cytyc Corporation*.................. 9,500 580,094
Datascope Corporation*.............. 5,500 220,000
Varian, Inc.*....................... 27,000 607,500
------------
1,407,594
OIL & GAS - DRILLING & EQUIPMENT - 4.7%
BJ Services Company*................ 11,500 480,844
Key Energy Group, Inc.*............. 73,500 381,281
Marine Drilling Companies, Inc.*.... 20,500 459,969
Maverick Tube Corporation*.......... 11,300 278,969
Pride International, Inc.*.......... 32,500 475,312
------------
2,076,375
PERSONAL CARE - 0.6%
NBTY, Inc.*......................... 24,000 277,500
PHOTOGRAPHY / IMAGING - 0.2%
Getty Imaging, Inc.*................ 1,600 78,200
PUBLISHING - 1.0%
Hollywood.com, Inc.*................ 24,500 465,500
- -------------------------------------------------------------------------------
91 See accompanying notes.
<PAGE> 93
SCHEDULE OF INVESTMENTS
December 31, 1999
SERIES X (SMALL CAP)(CONTINUED)
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
- ---------------------------------------------------------------
RETAIL - APPAREL - 1.4%
Chico's FAS, Inc.*.................. 4,300 $ 161,788
Pacific Sunwear of California, Inc.* 14,000 450,625
------------
612,413
RETAIL - COMPUTERS & ELECTRONICS - 0.7%
Tweeter Home Entertainment
Group, Inc.*..................... 9,000 319,500
RETAIL - SPECIALTY - 0.5%
Cost Plus, Inc.*.................... 5,700 203,062
SERVICES - ADVERTISING & MARKETING - 0.5%
Exactis.Com, Inc.................... 10,000 243,125
SERVICES - COMMERCIAL & CONSUMER - 6.2%
Braun Consulting, Inc.*............. 6,000 429,000
Corporate Executive Board Company*.. 4,000 223,500
Diamond Technology Partners, Inc.*.. 2,100 180,469
Intervu, Inc.*...................... 5,400 567,000
Invitrogen Corporation*............. 9,500 570,000
Multex.com, Inc.*................... 6,500 244,562
WebTrends Corporation*.............. 6,500 526,500
------------
2,741,031
SERVICES - COMPUTER SYSTEMS - 1.4%
Technology Solutions Company*....... 18,500 605,875
TELECOMMUNICATIONS - CELLULAR - 2.9%
Advanced Radio Telecom
Corporation*..................... 7,500 180,000
Airgate PCS, Inc.*.................. 11,500 606,625
Pinnacle Holdings, Inc.*............ 11,500 487,312
------------
1,273,937
TELECOMMUNICATIONS - LONG DISTANCE - 3.1%
Powertel, Inc.*..................... 6,000 602,250
Primus Telecommunications
Group, Inc.*..................... 20,000 765,000
------------
1,367,250
------------
Total common stocks - 93.9%................. 41,392,191
Cash and other assets, less liabilities - 6.1% 2,702,649
------------
Total net assets - 100.0%................... $44,094,840
============
SERIES Y (SELECT 25)
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
- ---------------------------------------------------------------
BROADCAST MEDIA - 3.6%
Clear Channel Communications, Inc.*.12,800$1,142,400
COMMUNICATION EQUIPMENT - 3.3%
Lucent Technologies, Inc............ 13,900 1,039,894
COMPUTER HARDWARE - 7.8%
Dell Computer Corporation*.......... 25,300 1,290,300
Sun Microsystems, Inc.*............. 14,900 1,153,819
------------
2,444,119
COMPUTER SOFTWARE/SERVICES - 13.4%
America Online, Inc.*............... 12,800 965,600
BMC Software, Inc.*................. 11,300 903,294
Microsoft Corporation*.............. 19,900 2,323,325
------------
4,192,219
COMPUTERS - NETWORKING - 3.8%
Cisco Systems, Inc.*................ 11,100 1,189,087
COMPUTERS - PERIPHERALS - 4.0%
EMC Corporation*.................... 11,500 1,256,375
DISTRIBUTION - FOOD & HEALTH - 3.0%
Cardinal Health, Inc................ 20,000 957,500
ELECTRICAL EQUIPMENT - 10.3%
General Electric Company............ 13,000 2,011,750
Solectron Corporation*.............. 12,800 1,217,600
------------
3,229,350
ELECTRONICS - SEMICONDUCTORS - 3.7%
Intel Corporation................... 14,300 1,177,069
ENTERTAINMENT - 3.8%
Time Warner, Inc.................... 16,300 1,180,731
FINANCIAL - DIVERSE - 2.9%
Citigroup, Inc...................... 16,200 900,113
HEALTH CARE - DIVERSE - 3.6%
Bristol-Myers Squibb Company........ 17,700 1,136,119
HOUSEHOLD PRODUCTS - 3.8%
Colgate-Palmolive Company........... 18,400 1,196,000
MANUFACTURING - DIVERSIFIED - 3.9%
Tyco International, Ltd............. 31,500 1,224,562
MEDICAL PRODUCTS & SUPPLIES - 3.8%
Medtronic, Inc...................... 32,400 1,180,575
RETAIL - BUILDING SUPPLIES - 3.9%
Home Depot, Inc..................... 18,000 1,234,125
RETAIL - DRUG STORES - 2.8%
Walgreen Company.................... 29,900 874,575
- -------------------------------------------------------------------------------
92 See accompanying notes.
<PAGE> 94
SCHEDULE OF INVESTMENTS
December 31, 1999
SERIES Y (SELECT 25)(CONTINUED)
NUMBER MARKET
COMMON STOCKS (CONTINUED) OF SHARES VALUE
- ---------------------------------------------------------------
RETAIL - GENERAL MERCHANDISE - 3.8%
Wal-Mart Stores, Inc................ 17,100 $ 1,182,037
SERVICES - ADVERTISING & MARKETING - 3.5%
Omnicom Group, Inc.................. 11,000 1,100,000
SERVICES - DATA PROCESSING - 3.7%
Automatic Data Processing, Inc...... 21,400 1,152,925
TELECOMMUNICATIONS - LONG DISTANCE - 3.5%
MCI WorldCom, Inc.*................. 20,850 1,106,353
------------
Total common stocks - 95.9%................. 30,096,128
Cash and other assets, less liabilities - 4.1% 1,302,935
------------
Total net assets - 100.0%................... $31,399,063
============
The identified cost of investments owned at December 31, 1999, was the same for
federal income tax and financial statement purposes for Series A, C, S, V and X.
The identified cost of investments for federal income tax purposes for Series B,
D, E, H, I, K, M, N, O, P and Y was $1,158,004,241, $315,853,678, $145,417,731,
$19,647,476, $6,932,100, $11,050,957, $41,432,707, $82,097,936, $198,440,955,
$18,847,897 and $25,950,774, respectively.
*Non-income producing security.
ADR (American Depositary Receipt)
(1) Variable rate security
(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.
- -------------------------------------------------------------------------------
93 See accompanying notes.
<PAGE> 95
STATEMENTS OF ASSETS AND LIABILITIES
DECEMBER 31, 1999
<TABLE>
<CAPTION>
Series B Series C Series D Series E
Series A (Growth- (Money (Worldwide (High Grade
(Growth) Income) Market) Equity) Income)
--------------- --------------- ------------- -------------- -------------
<S> <C> <C> <C> <C> <C>
ASSETS
Investments, at value (identified cost:
$785,553,090,$1,134,499,899, $50,490,548,
$315,409,487 and $144,913,200 respectively) ..... $ 1,310,567,188 $ 1,041,800,464 $ 50,418,745 $ 458,474,219 $ 134,512,291
Short-term investments, at market or at
amortized cost which approximates market
value (identified cost: $2,593,273,$0,
$103,310,775, $0 and $0 respectively) ........ 2,593,273 -- 103,352,906 -- --
Cash ........................................... 85,143,387 10,772,175 135,574 55,275,325 359,301
Receivables:
Fund shares sold .............................. 926,105 342,602 741,699 256,563 99,109
Securities sold ............................... -- -- 31,846 14,968,835 555
Interest ...................................... 265,120 226,818 302,609 153,042 2,421,427
Dividends ..................................... 1,055,604 2,267,416 -- 80,536 --
Variation margin ............................... 160,650 -- -- -- --
Foreign taxes recoverable ...................... -- -- -- 250,377 --
--------------- --------------- ------------- ------------- -------------
Total assets ................................ $ 1,400,711,327 $ 1,055,409,475 $ 154,983,379 $ 529,458,897 $ 137,392,683
--------------- --------------- ------------- ------------- -------------
LIABILITIES
Payable for:
Securities purchased ......................... $ -- $ -- $ -- $ 2,824,084 $ --
Fund shares redeemed ......................... 2,702,724 2,789,163 1,309,138 331,552 652,223
Management fees .............................. 873,602 667,107 65,894 414,640 88,762
Custodian fees ............................... 10,500 8,741 2,700 52,600 1,500
Transfer and administration fees ............. 52,904 40,487 6,406 41,464 5,724
Professional fees ............................ 20,000 26,600 5,000 19,116 6,900
Miscellaneous ................................ 56,544 45,286 5,653 27,259 5,103
--------------- --------------- ------------- ------------- -------------
Total liabilities ........................ 3,716,274 3,577,384 1,394,791 3,710,715 760,212
--------------- --------------- ------------- ------------- -------------
NET ASSETS ..................................... $ 1,396,995,053 $ 1,051,832,091 $ 153,588,588 $ 525,748,182 $ 136,632,471
=============== =============== ============= ============= =============
NET ASSETS CONSIST OF:
Paid in capital ................................ $ 777,149,474 $ 1,076,934,661 $ 153,070,293 $ 325,300,234 $ 159,164,904
Accumulated undistributed
net investment income (loss) ................ 121,533 23,272,563 547,967 (965,924) 791,900
Accumulated undistributed net realized gain
(loss) on sale of investments, futures,
and foreign currency transactions ............ 94,366,231 44,324,302 -- 58,368,203 (12,923,424)
Net unrealized appreciation (depreciation)
in value of investments, futures and
translation of assets and liabilities in
foreign currency ............................. 525,357,815 (92,699,435) (29,672) 143,045,669 (10,400,909)
--------------- --------------- ------------- ------------- -------------
Total net assets ............................. $ 1,396,995,053 $ 1,051,832,091 $ 153,588,588 $ 525,748,182 $ 136,632,471
=============== =============== ============= ============= =============
Capital shares authorized ...................... indefinite indefinite indefinite indefinite indefinite
Capital shares outstanding ..................... 39,336,233 43,128,529 12,757,783 57,875,010 12,948,622
Net asset value per share ...................... $ 35.51 $ 24.39 $ 12.04 $ 9.08 $ 10.55
=============== =============== ============= ============= =============
</TABLE>
See accompanying notes.
- --------------------------------------------------------------------------------
94
<PAGE> 96
STATEMENTS OF ASSETS AND LIABILITIES (CONTINUED)
DECEMBER 31, 1999
<TABLE>
<CAPTION>
Series K
Series H (Global
(Enhanced Series I Series J Strategic
Index) (International) (MidCap) Income)
------------ --------------- ------------ -------------
<S> <C> <C> <C> <C>
ASSETS
Investments, at value (identified cost:
$19,636,217,$6,925,681, $244,520,228
and $10,740,506, respectively) ................ $ 21,613,323 $ 9,184,137 $398,560,176 $ 10,371,346
Short-term investments, at market or at
amortized cost which approximates
market value (identified cost: $0, $0, $0
and $753,563, respectively) .................. -- -- -- 753,709
Cash denominated in a foreign currency, at
value (identified cost: $0, $314,244, $0,
$2,302, respectively) ........................ -- 316,044 -- 2,300
Cash ........................................... 3,393,119 401,760 30,716,309 10,264
Net unrealized appreciation on forward
foreign exchange contracts ................... -- -- -- 38,692
Receivables:
Fund shares sold .............................. 23,427 5,229 583,838 10,711
Securities sold ............................... 6,339 3,153 -- 24,679
Interest ...................................... 14,652 118 105,068 225,716
Dividends ..................................... 18,033 4,037 151,460 --
Variation margin .............................. 9,382 -- 45,900 --
Foreign taxes recoverable ...................... -- 6,524 -- 536
Security Management Company .................... -- 17,894 -- --
------------ ------------ ------------ ------------
Total assets ................................ $ 25,078,275 $ 9,938,896 $430,162,751 $ 11,437,953
------------ ------------ ------------ ------------
LIABILITIES
Net unrealized depreciation on
forward foreign exchange contracts ......... $ -- $ 1,240 $ -- $ --
Payable for:
Securities purchased ......................... 10,201 34,775 -- 22,950
Fund shares redeemed ......................... 19,458 364 345,160 23,769
Management fees .............................. 14,823 8,264 248,938 7,277
Custodian fees ............................... 4,892 30,000 2,400 3,800
Transfer and administration fees ............. 1,905 439 15,333 5,730
Professional fees ............................ 3,300 4,100 14,045 4,800
Miscellaneous ................................ 612 2,699 8,526 415
------------ ------------ ------------ ------------
Total liabilities ........................... 55,191 81,881 634,402 68,741
------------ ------------ ------------ ------------
NET ASSETS ..................................... $ 25,023,084 $ 9,857,015 $429,528,349 $ 11,369,212
============ ============ ============ ============
NET ASSETS CONSIST OF:
Paid in capital ................................ $ 22,794,868 $ 7,603,413 $232,399,647 $ 12,218,695
Accumulated undistributed net
investment income (loss) .................... -- (102) -- (34,188)
Accumulated undistributed net realized
gain (loss) on sale of investments,
futures, and foreign currency transactions .... 131,851 (5,076) 42,220,029 (474,919)
Net unrealized appreciation (depreciation)
in value of investments, futures and
translation of assets and liabilities in
foreign currency .............................. 2,096,365 2,258,780 154,908,673 (340,376)
------------ ------------ ------------ ------------
Total net assets ............................. $ 25,023,084 $ 9,857,015 $429,528,349 $ 11,369,212
============ ============ ============ ============
Capital shares authorized ...................... indefinite indefinite indefinite indefinite
Capital shares outstanding ..................... 2,243,912 758,395 14,246,858 1,182,854
Net asset value per share ...................... $ 11.15 $ 13.00 $ 30.15 $ 9.61
============ ============ ============ ============
</TABLE>
See accompanying notes.
- --------------------------------------------------------------------------------
95
<PAGE> 97
STATEMENTS OF ASSETS AND LIABILITIES (CONTINUED)
DECEMBER 31, 1999
<TABLE>
<CAPTION>
Series M Series N
(Global (Managed Series O
Total Asset (Equity Series P
Return) Allocation) Income) (High Yield)
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
ASSETS
Investments, at value (identified cost:
$33,710,637, $78,280,536, $186,874,285,
and $18,848,772 respectively) ....................... $ 37,245,695 $ 94,407,791 $198,007,303 $ 17,198,146
Short-term investments, at market or at amortized
cost which approximates market value
(identified cost: $6,664,804, $3,776,758,
$11,443,068 and $0 respectively) ................... 6,666,206 3,776,758 11,443,069 --
Cash denominated in a foreign currency, at
value (identified cost: $5,755, $0, $0,
and $0 respectively) ............................... 5,828 -- -- --
Cash ................................................. 932 -- -- 1,554,401
Net unrealized appreciation on
forward foreign exchange contracts ................. 31,203 -- -- --
Receivables:
Fund shares sold .................................... 5,861 61,723 210,831 17,641
Securities sold ..................................... -- -- 211,266 --
Interest ............................................ 120,104 443,745 3,328 424,412
Dividends ........................................... 30,923 55,202 390,864 4,659
Variation margin .................................... 82 -- -- --
Foreign taxes recoverable .......................... 15,585 8,775 334 --
------------ ------------ ------------ ------------
Total assets ...................................... $ 44,122,419 $ 98,753,994 $210,266,995 $ 19,199,259
------------ ------------ ------------ ------------
LIABILITIES AND NET ASSETS
Payable for:
Securities purchased ............................... $ -- $ 14,305 $ 2,681,158 $ --
Fund shares redeemed ............................... 33,945 146,533 353,751 29,586
Management fees .................................... 36,635 82,875 176,564 12,166
Custodian fees ..................................... 4,800 2,897 7,000 525
Transfer and administration fees ................... 1,945 4,073 8,419 852
Professional fees .................................. 9,800 13,027 10,600 4,000
Miscellaneous ...................................... 1,582 2,889 7,758 627
------------ ------------ ------------ ------------
Total liabilities ................................. 88,707 266,599 3,245,250 47,756
------------ ------------ ------------ ------------
NET ASSETS ........................................... $ 44,033,712 $ 98,487,395 $207,021,745 $ 19,151,503
============ ============ ============ ============
NET ASSETS CONSIST OF:
Paid in capital ...................................... $ 36,580,313 $ 78,585,993 $180,291,749 $ 20,803,004
Accumulated undistributed net investment income
(loss)............................................... (14,886) 129,146 306,151 --
Accumulated undistributed net realized
gain (loss) on sale of investments, futures,
and foreign currency transactions ................... 3,883,786 3,645,472 15,290,848 (875)
Net unrealized appreciation (depreciation)
in value of investments, futures and
translation of assets and liabilities in
foreign currency .................................... 3,584,499 16,126,784 11,132,997 (1,650,626)
------------ ------------ ------------ ------------
Total net assets ................................... $ 44,033,712 $ 98,487,395 $207,021,745 $ 19,151,503
============ ============ ============ ============
Capital shares authorized ............................ indefinite indefinite indefinite indefinite
Capital shares outstanding ........................... 3,363,764 5,813,776 11,989,831 1,234,776
Net asset value per share ............................ $ 13.09 $ 16.94 $ 17.27 $ 15.51
============ ============ ============ ============
</TABLE>
See accompanying notes.
- --------------------------------------------------------------------------------
96
<PAGE> 98
STATEMENTS OF ASSETS AND LIABILITIES (CONTINUED)
DECEMBER 31, 1999
<TABLE>
<CAPTION>
Series S
(Social Series V Series X Series Y
Awareness) Value (Small Cap) (Select 25)
------------- ------------- ------------- ------------
<S> <C> <C> <C> <C>
ASSETS
Investments, at value (identified cost:
$152,672,221, $37,888,878, $29,630,030
and $25,696,799 respectively) ................................. $ 233,696,583 $ 42,140,155 $ 41,392,191 $ 30,096,128
Cash ........................................................... 2,850,180 708,317 3,048,100 1,251,066
Receivables:
Fund shares sold .............................................. 266,965 76,199 238,353 105,986
Securities sold ............................................... -- -- 693,256 --
Interest ...................................................... 14,519 5,432 13,712 6,278
Dividends ..................................................... 145,666 55,815 220 8,268
Prepaid expenses ............................................... 2,500 -- -- --
------------- ------------- ------------- -------------
Total assets ................................................ $ 236,976,413 $ 42,985,918 $ 45,385,832 $ 31,467,726
------------- ------------- ------------- -------------
LIABILITIES AND NET ASSETS
Payable for:
Securities purchased ......................................... $ -- $ -- $ 1,203,990 $ --
Fund shares redeemed ......................................... 228,846 68,585 45,166 44,007
Management fees .............................................. 145,250 25,337 30,404 17,318
Custodian fees ............................................... 1,800 629 4,200 1,500
Transfer and administration fees ............................. 9,124 1,683 2,864 2,230
Professional fees ............................................ 10,800 4,000 4,000 3,300
Miscellaneous ................................................ 4,801 946 368 308
------------- ------------- ------------- -------------
Total liabilities ........................................... 400,621 101,180 1,290,992 68,663
------------- ------------- ------------- -------------
NET ASSETS ..................................................... $ 236,575,792 $ 42,884,738 $ 44,094,840 $ 31,399,063
============= ============= ============= =============
NET ASSETS CONSIST OF:
Paid in capital ................................................ $ 156,987,147 $ 37,809,231 $ 31,230,985 $ 27,345,047
Accumulated undistributed net
investment income (loss) ...................................... -- -- -- --
Accumulated undistributed net realized
gain (loss) on sale of investments ............................ (1,435,717) 824,230 1,101,694 (345,313)
Net unrealized appreciation in value
of investments ................................................ 81,024,362 4,251,277 11,762,161 4,399,329
------------- ------------- ------------- -------------
Total net assets ............................................. $ 236,575,792 $ 42,884,738 $ 44,094,840 $ 31,399,063
============= ============= ============= =============
Capital shares authorized ...................................... indefinite indefinite indefinite indefinite
Capital shares outstanding ..................................... 7,460,509 2,564,059 2,272,452 2,537,418
Net asset value per share ...................................... $ 31.71 $ 16.73 $ 19.40 $ 12.37
============= ============= ============= =============
</TABLE>
See accompanying notes.
- --------------------------------------------------------------------------------
97
<PAGE> 99
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED DECEMBER 31, 1999
<TABLE>
<CAPTION>
Series B Series C Series D Series E
Series A (Growth- (Money (Worldwide (High Grade
(Growth) Income) Market) Equity) Income)
------------- ------------- ------------- ------------- -------------
<S> <C> <C> <C> <C> <C>
INVESTMENT INCOME:
Dividends .................................. $ 12,311,102 $ 27,734,045 $ -- $ 5,314,421 $ --
Interest ................................... 2,788,730 5,238,787 8,635,560 795,795 10,852,015
------------- ------------- ------------- ------------- -------------
15,099,832 32,972,832 8,635,560 6,110,216 10,852,015
Less foreign tax expense ................... -- -- -- (213,600) --
------------- ------------- ------------- ------------- -------------
Total investment income ................ 15,099,832 32,972,832 8,635,560 5,896,616 10,852,015
EXPENSES:
Management fees ............................ 10,043,537 8,783,145 833,521 3,859,953 1,136,783
Administration fees ........................ 602,612 526,989 75,017 559,693 68,207
Custodian fees ............................. 42,047 47,770 11,139 151,687 9,958
Transfer/maintenance fees .................. 5,836 5,523 5,690 5,153 4,684
Directors' fees ............................ 21,970 18,976 2,517 6,802 2,684
Professional fees .......................... 45,246 30,400 6,178 18,363 13,254
Reports to shareholders .................... 103,694 96,167 14,052 39,142 7,277
Registration fees .......................... 830 1,494 81 195 98
Other expenses ............................. 41,168 39,983 4,954 11,132 4,691
------------- ------------- ------------- ------------- -------------
Total expenses ......................... 10,906,940 9,550,447 953,149 4,652,120 1,247,636
------------- ------------- ------------- ------------- -------------
Net investment income ....................... 4,192,892 23,422,385 7,682,411 1,244,496 9,604,379
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) during the
period on:
Investments ............................... 94,396,918 49,157,604 -- 82,104,795 (793,645)
Foreign currency transactions ............. -- -- -- (3,358,909) --
------------- ------------- ------------- ------------- -------------
Net realized gain (loss) ............... 94,396,918 49,157,604 -- 78,745,886 (793,645)
Net change in unrealized appreciation
(depreciation) during the period on:
Investments ............................... 4,840,005 (52,593,722) (75,437) 101,982,200 (14,615,805)
Futures ................................... 343,717 -- -- -- --
Translation of assets and liabilities
in foreign currencies .................. -- -- -- 1,148,623 --
------------- ------------- ------------- ------------- -------------
Net unrealized appreciation
(depreciation) ....................... 5,183,722 (52,593,722) (75,437) 103,130,823 (14,615,805)
------------- ------------- ------------- ------------- -------------
Net gain (loss) ........................ 99,580,640 (3,436,118) (75,437) 181,876,709 (15,409,450)
------------- ------------- ------------- ------------- -------------
Net increase (decrease) in net
assets resulting from operations ... $ 103,773,532 $ 19,986,267 $ 7,606,974 $ 183,121,205 $ (5,805,071)
============= ============= ============= ============= =============
</TABLE>
See accompanying notes.
- --------------------------------------------------------------------------------
98
<PAGE> 100
STATEMENTS OF OPERATIONS (CONTINUED)
FOR THE YEAR ENDED DECEMBER 31, 1999,
EXCEPT AS NOTED.
<TABLE>
<CAPTION>
Series K
Series H (Global
(Enhanced Series I Series J Strategic
Index)* (International)* (Mid Cap) Income)
------------- ------------- ------------- -------------
<S> <C> <C> <C> <C>
INVESTMENT INCOME:
Dividends ......................................... $ 117,601 $ 63,117 $ 1,092,991 $ --
Interest .......................................... 77,417 8,680 603,900 1,136,329
------------- ------------- ------------- -------------
195,018 71,797 1,696,891 1,136,329
Less foreign tax expense .......................... -- (6,469) -- (834)
------------- ------------- ------------- -------------
Total investment income ....................... 195,018 65,328 1,696,891 1,135,495
EXPENSES:
Management fees ................................... 78,723 46,597 2,224,898 90,411
Administration fees ............................... 9,447 21,906 133,494 65,425
Custodian fees .................................... 14,236 102,540 13,740 22,513
Transfer/maintenance fees ......................... 731 595 4,574 3,626
Directors' fees ................................... 309 83 5,342 220
Professional fees ................................. 4,226 5,713 13,516 9,255
Reports to shareholders ........................... 1,097 271 23,332 3,754
Registration fees ................................. 200 -- -- --
Other expenses .................................... 60 25 8,178 --
------------- ------------- ------------- -------------
Total expenses ................................ 109,029 177,730 2,427,074 195,204
Less reimbursement of expenses ................ -- (82,419) -- --
------------- ------------- ------------- -------------
Net expenses ..................................... 109,029 95,311 2,427,074 195,204
------------- ------------- ------------- -------------
Net investment income (loss) .................. 85,989 (29,983) (730,183) 940,291
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) during the period on:
Investments ...................................... 94,815 (5,738) 52,332,408 (1,421,592)
Foreign currency transactions .................... -- (68,923) -- (68,498)
Futures ........................................ 120,951 -- 599,135 (11,446)
------------- ------------- ------------- -------------
Net realized gain (loss) ................. 215,766 (74,661) 52,931,543 (1,501,536)
Net change in unrealized appreciation
(depreciation) during the period on:
Investments ...................................... 1,977,106 2,258,456 107,889,585 633,074
Futures ........................................ 119,259 -- (156,593) (2,439)
Translation of assets and liabilities
in foreign currencies .......................... -- 324 -- 30,707
------------- ------------- ------------- -------------
Net unrealized appreciation .................... 2,096,365 2,258,780 107,732,992 661,342
------------- ------------- ------------- -------------
Net gain (loss) ............................... 2,312,131 2,184,119 160,664,535 (840,194)
------------- ------------- ------------- -------------
Net increase in net
assets resulting from operations ........... $ 2,398,120 $ 2,154,136 $ 159,934,352 $ 100,097
============= ============= ============= =============
</TABLE>
*Period May 3, 1999 (inception) through December 31, 1999.
See accompanying notes.
- --------------------------------------------------------------------------------
99
<PAGE> 101
STATEMENTS OF OPERATIONS (CONTINUED)
FOR THE YEAR ENDED DECEMBER 31, 1999
<TABLE>
<CAPTION>
Series M Series N
(Global (Managed Series O
Total Asset (Equity Series P
Return) Allocation Income) (High Yield)
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
INVESTMENT INCOME:
Dividends .................................... $ 456,586 $ 744,456 $ 5,137,753 $ 26,152
Interest ..................................... 645,528 2,601,720 797,024 1,518,665
------------ ------------ ------------ ------------
1,102,114 3,346,176 5,934,777 1,544,817
Less foreign tax expense ...................... (34,454) (8,335) (2,522) --
------------ ------------ ------------ ------------
Total investment income .................. 1,067,660 3,337,841 5,932,255 1,544,817
EXPENSES:
Management fees .............................. 436,129 921,838 2,162,031 132,788
Administration fees .......................... 79,626 41,483 97,291 7,967
Custodian fees ............................... 45,258 27,697 41,928 2,345
Transfer/maintenance fees .................... 3,454 3,976 5,508 1,513
Directors' fees .............................. 708 1,624 3,590 306
Professional fees ............................ 9,408 71,229 12,314 5,064
Reports to shareholders ...................... 15,511 7,982 21,548 1,531
Registration fees ............................ 44 60 177 9
Other expenses ............................... 1,589 1,499 5,746 356
------------ ------------ ------------ ------------
Total expenses ........................... 591,727 1,077,388 2,350,133 151,879
Less reimbursement of expenses ........... -- -- -- (120,622)
------------ ------------ ------------ ------------
Net expenses ................................. 591,727 1,077,388 2,350,133 31,257
------------ ------------ ------------ ------------
Net investment income .................... 475,933 2,260,453 3,582,122 1,513,560
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) during the period on:
Investments ................................. 5,469,566 3,607,737 17,317,087 115,624
Foreign currency transactions ............... (10,337) (86,228) (6,116) --
Futures contracts ......................... (317,357) -- -- --
------------ ------------ ------------ ------------
Net realized gain ......................... 5,141,872 3,521,509 17,310,971 115,624
Net change in unrealized appreciation
(depreciation) during the period on:
Investments ................................. 19,999 2,709,153 (14,725,423) (1,439,420)
Futures ..................................... 33,986 -- -- --
Translation of assets and liabilities
in foreign currencies ..................... 13,476 (595) (177) --
------------ ------------ ------------ ------------
Net unrealized appreciation
(depreciation) ......................... 67,461 2,708,558 (14,725,600) (1,439,420)
------------ ------------ ------------ ------------
Net gain (loss) ........................... 5,209,333 6,230,067 2,585,371 (1,323,796)
------------ ------------ ------------ ------------
Net increase in net assets resulting
from operations ....................... $ 5,685,266 $ 8,490,520 $ 6,167,493 $ 189,764
============ ============ ============ ============
</TABLE>
See accompanying notes.
- --------------------------------------------------------------------------------
100
<PAGE> 102
STATEMENTS OF OPERATIONS (CONTINUED)
FOR THE YEAR ENDED DECEMBER 31, 1999,
EXCEPT AS NOTED.
<TABLE>
<CAPTION>
Series S
(Social Series V Series X Series Y
Awareness) Value (Small Cap) (Select 25)*
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
INVESTMENT INCOME:
Dividends ....................................... $ 1,825,964 $ 260,234 $ 3,977 $ 36,816
Interest ........................................ 391,736 57,677 67,662 34,620
------------ ------------ ------------ ------------
Total investment income ..................... 2,217,700 317,911 71,639 71,436
EXPENSES:
Management fees ................................. 1,509,527 204,645 124,270 66,821
Administration fees ............................. 90,572 12,279 11,184 8,019
Custodian fees .................................. 7,805 2,832 21,133 5,567
Transfer/maintenance fees ....................... 4,868 1,676 1,366 830
Directors' fees ................................. 3,560 514 296 217
Professional fees ............................... 12,007 5,650 5,560 4,219
Reports to shareholders ......................... 11,360 1,726 448 359
Registration fees ............................... 128 175 4 7
Other expenses .................................. 4,016 676 693 30
------------ ------------ ------------ ------------
Total expenses .............................. 1,643,843 230,173 164,954 86,069
Less reimbursement of expenses .............. -- -- (93,866) --
------------ ------------ ------------ ------------
Net expenses ..................................... 1,643,843 230,173 71,088 86,069
------------ ------------ ------------ ------------
Net investment income (loss) ................ 573,857 87,738 551 (14,633)
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) during the period on:
Investments .................................... (1,435,718) 1,899,622 2,994,127 (345,313)
------------ ------------ ------------ ------------
Net realized gain (loss) .................... (1,435,718) 1,899,622 2,994,127 (345,313)
Net change in unrealized appreciation
during the period on:
Investments .................................... 33,398,262 2,730,527 10,530,439 4,399,329
Net unrealized appreciation ................... 33,398,262 2,730,527 10,530,439 4,399,329
------------ ------------ ------------ ------------
Net gain .................................... 31,962,544 4,630,149 13,524,566 4,054,016
------------ ------------ ------------ ------------
Net increase in net assets resulting
from operations .......................... $ 32,536,401 $ 4,717,887 $ 13,525,117 $ 4,039,383
============ ============ ============ ============
</TABLE>
*Period May 3, 1999 (inception) through December 31, 1999.
See accompanying notes.
- --------------------------------------------------------------------------------
101
<PAGE> 103
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE YEAR ENDED DECEMBER 31, 1999
<TABLE>
<CAPTION>
Series B Series C Series D Series E
Series A (Growth- (Money (Worldwide (High Grade
(Growth) Income) Market) Equity) Income)
-------------- -------------- ------------- ------------- -------------
<S> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET
ASSETS FROM OPERATIONS:
Net investment income ........................ $ 4,192,892 $ 23,422,385 $ 7,682,411 $ 1,244,496 $ 9,604,379
Net realized gain (loss) ..................... 94,396,918 49,157,604 -- 78,745,886 (793,645)
Unrealized appreciation (depreciation)
during the period ........................... 5,183,722 (52,593,722) (75,437) 103,130,823 (14,615,805)
-------------- -------------- ------------- ------------- -------------
Net increase (decrease) in net assets
resulting from operations .................. 103,773,532 19,986,267 7,606,974 183,121,205 (5,805,071)
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income ........................ (10,232,416) (24,760,036) (13,920,392) -- (17,705,073)
Net realized gain ............................ (43,545,790) (422,027,531) -- (51,432,968) --
-------------- -------------- ------------- ------------- -------------
Total distributions to shareholders ........ (53,778,206) (446,787,567) (13,920,392) (51,432,968) (17,705,073)
NET INCREASE FROM CAPITAL SHARE
TRANSACTIONS: (NOTE 7) .................... 39,667,734 281,654,616 31,818,600 44,265,720 5,420,432
-------------- -------------- ------------- ------------- -------------
Total increase (decrease) in net assets .. 89,663,060 (145,146,684) 25,505,182 175,953,957 (18,089,712)
NET ASSETS:
Beginning of period .......................... 1,307,331,993 1,196,978,775 128,083,406 349,794,225 154,722,183
-------------- -------------- ------------- ------------- -------------
End of period ................................ $1,396,995,053 $1,051,832,091 $ 153,588,588 $ 525,748,182 $ 136,632,471
============== ============== ============= ============= =============
Accumulated undistributed net investment
income at end of period ................. $ 121,533 $ 23,272,563 $ 547,967 $ (965,924) $ 791,900
============== ============== ============= ============= =============
</TABLE>
See accompanying notes.
- --------------------------------------------------------------------------------
102
<PAGE> 104
STATEMENTS OF CHANGES IN NET ASSETS -(CONTINUED)
FOR THE YEAR ENDED DECEMBER 31, 1999,
EXCEPT AS NOTED.
<TABLE>
<CAPTION>
Series K
Series H (Global
(Enhanced) Series I Series J Strategic
Index)* (International)* (Mid Cap) Income)
------------- ------------- ------------- -------------
<S> <C> <C> <C> <C>
INCREASE IN NET ASSETS
FROM OPERATIONS:
Net investment income (loss) .................... $ 85,989 $ (29,983) $ (730,183) $ 940,291
Net realized gain (loss) ........................ 215,766 (74,661) 52,931,543 (1,501,536)
Unrealized appreciation during the period ...... 2,096,365 2,258,780 107,732,992 661,342
------------- ------------- ------------- -------------
Net increase in net assets
resulting from operations ..................... 2,398,120 2,154,136 159,934,352 100,097
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income ........................... (88,178) -- -- --
Net realized gain ............................... (81,726) -- (48,158,309) (81,725)
------------- ------------- ------------- -------------
Total distributions to shareholders ........... (169,904) -- (48,158,309) (81,725)
NET INCREASE (DECREASE)
FROM CAPITAL SHARE: (NOTE 7) ................... 22,794,868 7,702,879 46,470,958 (1,676,680)
------------- ------------- ------------- -------------
Total increase (decrease) in net assets ....... 25,023,084 9,857,015 158,247,001 (1,658,308)
NET ASSETS:
Beginning of period ............................. -- -- 271,281,348 13,027,520
------------- ------------- ------------- -------------
End of period ................................... $ 25,023,084 $ 9,857,015 $ 429,528,349 $ 11,369,212
============= ============= ============= =============
Accumulated undistributed net investment
income (loss) at end of period ............. $ -- $ (102) $ -- $ (34,188)
============= ============= ============= =============
</TABLE>
*Period May 3, 1999 (inception) through December 31, 1999.
See accompanying notes.
- --------------------------------------------------------------------------------
103
<PAGE> 105
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
FOR THE YEAR ENDED DECEMBER 31, 1999
<TABLE>
<CAPTION>
Series M Series N
(Global (Managed Series 0
Total Asset (Equity Series P
Return) Allocation) Income) (High Yield)
------------- ------------- ------------- -------------
<S> <C> <C> <C> <C>
INCREASE IN NET ASSETS FROM OPERATIONS:
Net investment income .......................... $ 475,933 $ 2,260,453 $ 3,582,122 $ 1,513,560
Net realized gain .............................. 5,141,872 3,521,509 17,310,971 115,624
Unrealized appreciation (depreciation)
during the period ............................. 67,461 2,708,558 (14,725,600) (1,439,420)
------------- ------------- ------------- -------------
Net increase in net assets resulting
from operations ............................ 5,685,266 8,490,520 6,167,493 189,764
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income .......................... (1,493,592) (3,277,045) (6,785,975) (1,547,324)
Net realized gain .............................. (3,307,078) -- (11,047,532) (109,150)
Return of Capital ............................. -- -- -- (45,894)
------------- ------------- ------------- -------------
Total distributions to shareholders .......... (4,800,670) (3,277,045) (17,833,507) (1,702,368)
NET INCREASE (DECREASE)
FROM CAPITAL SHARE
TRANSACTIONS: (NOTE 7) ........................ (2,024,553) 17,153,173 14,617,976 5,714,704
------------- ------------- ------------- -------------
Total increase (decrease) in net assets .... (1,139,957) 22,366,648 2,951,962 4,202,100
NET ASSETS:
Beginning of period ............................ 45,173,669 76,120,747 204,069,783 14,949,403
------------- ------------- ------------- -------------
End of period .................................. $ 44,033,712 $ 98,487,395 $ 207,021,745 $ 19,151,503
============= ============= ============= =============
Accumulated undistributed net investment
income (loss) at end of period ............ $ (14,886) $ 129,146 $ 306,151 $ --
============= ============= ============= =============
</TABLE>
See accompanying notes.
- --------------------------------------------------------------------------------
104
<PAGE> 106
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
FOR THE YEAR ENDED DECEMBER 31, 1999,
EXCEPT AS NOTED.
<TABLE>
<CAPTION>
Series S
(Social Series V Series X Series Y
Awareness) (Value) (Small Cap) (Select 25)*
------------- ------------- ------------- -------------
<S> <C> <C> <C> <C>
INCREASE IN NET ASSETS FROM OPERATIONS:
Net investment income (loss) ................ $ 573,857 $ 87,738 $ 551 $ (14,633)
Net realized gain (loss) .................... (1,435,718) 1,899,622 2,994,127 (345,313)
Unrealized appreciation
during the period ......................... 33,398,262 2,730,527 10,530,439 4,399,329
------------- ------------- ------------- -------------
Net increase in net assets
resulting from operations ................ 32,536,401 4,717,887 13,525,117 4,039,383
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income ....................... (1,071,702) (131,193) (13,341) --
Net realized gain ........................... (7,109,000) (1,445,598) (1,085,535) --
Return of capital ........................... (3,344) -- -- --
------------- ------------- ------------- -------------
Total distributions to shareholders ....... (8,184,046) (1,576,791) (1,098,876) --
NET INCREASE FROM CAPITAL SHARE
TRANSACTIONS: (NOTE 7) .................. 59,582,895 21,220,516 26,047,626 27,359,680
------------- ------------- ------------- -------------
Total increase in net assets ............ 83,935,250 24,361,612 38,473,867 31,399,063
NET ASSETS:
Beginning of period ......................... 152,640,542 18,523,126 5,620,973 --
------------- ------------- ------------- -------------
End of period ............................... $ 236,575,792 $ 42,884,738 $ 44,094,840 $ 31,399,063
============= ============= ============= =============
Accumulated undistributed net investment
income (loss) at end of period ......... $ -- $ -- $ -- $ --
============= ============= ============= =============
</TABLE>
*Period May 3, 1999 (inception) through December 31, 1999.
See accompanying notes.
- --------------------------------------------------------------------------------
105
<PAGE> 107
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE YEAR ENDED DECEMBER 31, 1998
<TABLE>
<CAPTION>
Series B Series C Series D Series E
Series A (Growth- (Money (Worldwide (High Grade
(Growth) Income) Market) Equity) Income)
-------------- -------------- ------------ ------------ ------------
<S> <C> <C> <C> <C> <C>
INCREASE IN NET ASSETS FROM OPERATIONS:
Net investment income .......................... $ 6,571,082 $ 24,733,030 $ 7,061,247 $ 2,936,510 $ 9,064,282
Net realized gain .............................. 43,677,682 417,467,664 -- 30,651,579 1,732,602
Unrealized appreciation (depreciation)
during the period ............................ 211,484,476 (351,732,956) 49,595 24,704,566 (127,525)
-------------- -------------- ------------ ------------ ------------
Net increase in net assets resulting
from operations ............................ 261,733,240 90,467,738 7,110,842 58,292,655 10,669,359
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income .......................... (5,787,007) (20,380,169) (6,397,306) (4,184,565) (8,568,936)
Net realized gain .............................. (73,869,447) (129,457,129) -- (23,945,010) --
-------------- -------------- ------------ ------------ ------------
Total distributions to shareholders .......... (79,656,454) (149,837,298) (6,397,306) (28,129,575) (8,568,936)
NET INCREASE FROM CAPITAL SHARE
TRANSACTIONS: (NOTE 7) ...................... 125,326,240 58,045,914 29,355,040 33,849,484 11,713,225
-------------- -------------- ------------ ------------ ------------
Total increase (decrease) in net assets .... 307,403,026 (1,323,646) 30,068,576 64,012,564 13,813,648
NET ASSETS:
Beginning of period ............................ 999,928,967 1,198,302,421 98,014,830 285,781,661 140,908,535
-------------- -------------- ------------ ------------ ------------
End of period .................................. $1,307,331,993 $1,196,978,775 $128,083,406 $349,794,225 $154,722,183
============== ============== ============ ============ ============
Undistributed net investment income at
end of year .................................. $ 6,161,057 $ 24,610,214 $ 6,785,948 $ 1,148,489 $ 8,846,810
============== ============== ============ ============ ============
</TABLE>
See accompanying notes.
- -------------------------------------------------------------------------------
106
<PAGE> 108
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
FOR THE YEAR ENDED DECEMBER 31, 1998
<TABLE>
<CAPTION>
Series K Series M Series N
Series J (Global (Specialized (Managed Series O
(Emerging Aggressive Asset Asset (Equity
Growth) Bond) Allocation) Allocation) Income)
------------ ----------- ----------- ----------- -------------
<S> <C> <C> <C> <C> <C>
INCREASE IN NET ASSETS FROM OPERATIONS:
Net investment income (loss) .................... $ (488,607) $ 1,568,224 $ 615,103 $ 1,351,512 $ 3,581,134
Net realized gain (loss) ........................ 38,692,459 (43,718) 2,680,838 (27,454) 9,127,147
Unrealized appreciation (depreciation)
during the period .............................. 5,868,580 (585,308) 2,181,450 8,340,157 2,309,610
------------ ----------- ----------- ----------- -------------
Net increase in net assets resulting
from operations ............................. 44,072,432 939,198 5,477,391 9,664,215 15,017,891
DISTRIBUTIONS TO SHAREHOLDERS FROM:
In excess of net investment income .............. (1,431,865) -- -- -- --
Net investment income ........................... -- (1,241,557) (959,469) (745,652) (2,449,984)
Net realized gain ............................... (23,930,511) (229,064) (2,398,671) (466,032) (5,928,963)
------------ ----------- ----------- ----------- -------------
Total distributions to shareholders ......... (25,362,376) (1,470,621) (3,358,140) (1,211,684) (8,378,947)
NET INCREASE (DECREASE)
FROM CAPITAL SHARE
TRANSACTIONS: (NOTE 7) ......................... 26,273,852 (1,119,728) (5,324,392) 29,486,414 47,039,536
------------ ----------- ----------- ----------- -------------
Total increase (decrease) in net assets .... 44,983,908 (1,651,151) (3,205,141) 37,938,945
53,678,480
NET ASSETS:
Beginning of year ............................... 226,297,440 14,678,671 48,378,810 38,181,802 150,391,303
------------ ----------- ----------- ----------- -------------
End of year ..................................... $271,281,348 $13,027,520 $45,173,669 $76,120,747 $ 204,069,783
============ =========== =========== =========== =============
Undistributed net investment income at
end of year ................................... $ -- $ -- $ 635,203 $ 1,302,811 $ 3,516,121
============ =========== =========== =========== =============
</TABLE>
See accompanying notes.
- --------------------------------------------------------------------------------
107
<PAGE> 109
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
FOR THE YEAR ENDED DECEMBER 31, 1998
<TABLE>
<CAPTION>
Series S
Series P (Social Series V Series X
(High Yield) Awareness) (Value) (Small Cap)
------------- ------------- ------------- -------------
<S> <C> <C> <C> <C>
INCREASE IN NET ASSETS FROM OPERATIONS:
Net investment income ..................... $ 899,449 $ 519,719 $ 53,017 $ 9,957
Net realized gain (loss) .................. 22,641 7,420,553 626,418 (582,156)
Unrealized appreciation (depreciation)
during the period ....................... (341,245) 24,109,291 1,175,313 1,112,790
------------- ------------- ------------- -------------
Net increase in net assets
resulting from operations ............. 580,845 32,049,563 1,854,748 540,591
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income ..................... (1,158,950) (252,822) (81,597) (5,176)
Net realized gain ......................... (105,911) (2,781,038) (365,630) --
------------- ------------- ------------- -------------
Total distributions to shareholders ..... (1,264,861) (3,033,860) (447,227) (5,176)
NET INCREASE FROM CAPITAL SHARE
TRANSACTIONS: (NOTE 7) ................. 8,866,252 34,293,181 10,624,608 2,445,574
------------- ------------- ------------- -------------
Total increase in net assets .......... 8,182,236 63,308,884 12,032,129 2,980,989
NET ASSETS:
Beginning of period ....................... 6,767,167 89,331,658 6,490,997 2,639,984
------------- ------------- ------------- -------------
End of period ............................. $ 14,949,403 $ 152,640,542 $ 18,523,126 $ 5,620,973
============= ============= ============= =============
Undistributed net investment income at
end of period ........................... $ 26,415 $ 519,719 $ -- $ 8,547
============= ============= ============= =============
</TABLE>
See accompanying notes.
- --------------------------------------------------------------------------------
108
<PAGE> 110
FINANCIAL HIGHLIGHTS
SELECTED DATA FOR EACH SHARE OF CAPITAL STOCK OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
SERIES A (GROWTH) FISCAL YEARS ENDED DECEMBER 31
-------------------------------------------------------------------------
1999 1998(e) 1997(e) 1996(e) 1995(e)
---------- ---------- -------- --------- ---------
<S> <C> <C> <C> <C> <C>
PER SHARE DATA
NET ASSET VALUE BEGINNING OF PERIOD ............... $ 34.27 $ 29.39 $ 24.31 $ 21.03 $ 16.00
INCOME FROM INVESTMENT OPERATIONS:
Net Investment Income (Loss) ...................... 0.11 0.17 0.16 0.18 0.18
Net Gain (Loss) on Securities
(realized and unrealized) ........................ 2.56 7.05 6.75 4.50 5.65
---------- ---------- -------- -------- --------
Total from Investment Operations .................. 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 Realized 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 ..................... $ 35.51 $ 34.27 $ 29.39 $ 24.31 $ 21.03
========== ========== ======== ======== ========
TOTAL RETURN (b) .................................. 8.1% 25.4% 28.7% 22.7% 36.8%
RATIOS/SUPPLEMENTAL DATA
Net Assets End of Period (thousands) .............. $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% 0.83% 0.83%
Ratio of Net Investment Income (Loss) to Average
Net Assets ...................................... 0.31% 0.59% 0.66% 0.90% 1.21%
Portfolio Turnover Rate ........................... 49% 39% 61% 57% 83%
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
SERIES B (GROWTH-INCOME) FISCAL YEARS ENDED DECEMBER 31
-----------------------------------------------------------------
1999 1998(e) 1997(e) 1996(e) 1995(e)
----------- ----------- ----------- ---------- ---------
<S> <C> <C> <C> <C> <C>
PER SHARE DATA
NET ASSET VALUE BEGINNING OF PERIOD ............... $ 39.81 $ 41.60 $ 35.40 $ 33.95 $ 26.54
INCOME FROM INVESTMENT OPERATIONS:
Net Investment Income (Loss) ...................... 0.57 0.83 0.72 0.83 0.79
Net Gain (Loss) on Securities
(realized and unrealized) ........................ (0.65) 2.60 8.47 5.16 7.16
----------- ----------- ----------- --------- ---------
Total from Investment Operations .................. (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 Realized 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 ..................... $ 24.39 $ 39.81 $ 41.60 $ 35.40 $ 33.95
=========== =========== =========== ========= =========
TOTAL RETURN (b) .................................. 1.5% 7.9% 26.5% 18.3% 30.1%
RATIOS/SUPPLEMENTAL DATA
Net Assets End of Period (thousands) .............. $ 1,051,832 $ 1,196,979 $ 1,198,302 $ 956,586 $ 795,113
Ratio of Expenses to Average Net Assets ........... 0.82% 0.80% 0.83% 0.84% 0.83%
Ratio of Net Investment Income (Loss) to Average
Net Assets ...................................... 2.00% 2.02% 1.89% 2.56% 2.70%
Portfolio Turnover Rate ........................... 73% 119% 62% 58% 94%
</TABLE>
- --------------------------------------------------------------------------------
109
<PAGE> 111
FINANCIAL HIGHLIGHTS (CONTINUED)
SELECTED DATA FOR EACH SHARE OF CAPITAL STOCK OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
SERIES C (MONEY MARKET) FISCAL YEARS ENDED DECEMBER 31
---------------------------------------------------------------------------
1999(a) 1998(a)(e) 1997(e) 1996(a)(e) 1995(e)
----------- ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C>
PER SHARE DATA
NET ASSET VALUE BEGINNING OF PERIOD ............... $ 12.53 $ 12.53 $ 12.56 $ 12.34 $ 12.27
INCOME FROM INVESTMENT OPERATIONS:
Net Investment Income (Loss) ...................... 0.57 0.68 0.79 0.61 0.74
Net Gain (Loss) on Securities
(realized and unrealized) ........................ (0.01) (0.06) (0.15) 0.01 (0.08)
----------- ----------- ----------- ----------- -----------
Total from Investment Operations .................. 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 Realized Gains) ............... -- -- -- -- --
----------- ----------- ----------- ----------- -----------
Total Distributions ............................ (1.05) (0.62) (0.67) (0.40) (0.59)
----------- ----------- ----------- ----------- -----------
NET ASSET VALUE END OF PERIOD ..................... $ 12.04 $ 12.53 $ 12.53 $ 12.56 $ 12.34
=========== =========== =========== =========== ===========
TOTAL RETURN (b) .................................. 4.6% 5.1% 5.2% 5.1% 5.4%
RATIOS/SUPPLEMENTAL DATA
Net Assets End of Period (thousands) .............. $ 153,589 $ 128,083 $ 98,015 $ 128,672 $ 105,436
Ratio of Expenses to Average Net Assets ........... 0.57% 0.57% 0.58% 0.58% 0.60%
Ratio of Net Investment Income (Loss) to Average
Net Assets ...................................... 4.61% 4.99% 5.04% 4.89% 5.27%
Portfolio Turnover Rate ........................... -- -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
SERIES D (WORLDWIDE EQUITY) FISCAL YEARS ENDED DECEMBER 31
---------------------------------------------------------------------------
1999 1998 1997 1996 1995
----------- ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C>
PER SHARE DATA
NET ASSET VALUE BEGINNING OF PERIOD ............... $ 6.74 $ 6.14 $ 6.14 $ 5.56 $ 5.07
INCOME FROM INVESTMENT OPERATIONS:
Net Investment Income (Loss) ...................... 0.02 0.03 0.04 0.03 0.05
Net Gain (Loss) on Securities
(realized and unrealized) ........................ 3.29 1.18 0.38 0.93 0.50
----------- ----------- ----------- ----------- -----------
Total from Investment Operations .................. 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 Realized 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 ..................... $ 9.08 $ 6.74 $ 6.14 $ 6.14 $ 5.56
=========== =========== =========== =========== ===========
TOTAL RETURN (b) .................................. 53.7% 20.1% 6.5% 17.5% 10.9%
RATIOS/SUPPLEMENTAL DATA
Net Assets End of Period (thousands) .............. $ 525,748 $ 349,794 $ 285,782 $ 247,026 $ 177,781
Ratio of Expenses to Average Net Assets ........... 1.21% 1.26% 1.24% 1.30% 1.31%
Ratio of Net Investment Income (Loss) to Average
Net Assets ...................................... 0.32% 0.92% 0.74% 0.74% 0.90%
Portfolio Turnover Rate ........................... 76% 166% 129% 115% 169%
</TABLE>
- --------------------------------------------------------------------------------
110
<PAGE> 112
FINANCIAL HIGHLIGHTS (CONTINUED)
SELECTED DATA FOR EACH SHARE OF CAPITAL STOCK OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
SERIES E (HIGH GRADE INCOME) FISCAL YEARS ENDED DECEMBER 31
-------------------------------------------------------------------------------
1999 1998(e) 1997(e) 1996(e) 1995(e)
----------- ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C>
PER SHARE DATA
NET ASSET VALUE BEGINNING OF PERIOD ............... $ 12.42 $ 12.25 $ 12.00 $ 12.86 $ 11.52
INCOME FROM INVESTMENT OPERATIONS:
Net Investment Income (Loss) ...................... 0.76 0.74 0.86 0.75 0.74
Net Gain (Loss) on Securities
(realized and unrealized) ........................ (1.22) 0.19 0.31 (0.85) 1.36
----------- ----------- ----------- ----------- -----------
Total from Investment Operations .................. (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 Realized Gains) ............... -- -- -- -- --
----------- ----------- ----------- ----------- -----------
Total Distributions ............................ (1.41) (0.76) (0.92) (0.76) (0.76)
----------- ----------- ----------- ----------- -----------
NET ASSET VALUE END OF PERIOD ..................... $ 10.55 $ 12.42 $ 12.25 $ 12.00 $ 12.86
=========== =========== =========== =========== ===========
TOTAL RETURN (b) .................................. (3.8%) 8.0% 10.0% (0.7%) 18.6%
RATIOS/SUPPLEMENTAL DATA
Net Assets End of Period (thousands) .............. $ 136,632 $ 154,722 $ 140,909 $ 134,041 $ 125,652
Ratio of Expenses to Average Net Assets ........... 0.82% 0.83% 0.83% 0.83% 0.85%
Ratio of Net Investment Income (Loss) to Average
Net Assets ...................................... 6.34% 6.31% 6.67% 6.77% 6.60%
Portfolio Turnover Rate ........................... 25% 70% 106% 232% 180%
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
SERIES H (ENHANCED INDEX) FISCAL PERIOD ENDED DECEMBER 31
-------------------------------
1999(i)
--------
<S> <C>
PER SHARE DATA
NET ASSET VALUE BEGINNING OF PERIOD..................... 10.00
INCOME FROM INVESTMENT OPERATIONS:
Net Investment Income (Loss)............................ 0.04
Net Gain (Loss) on Securities
(realized and unrealized).............................. 1.19
-------
Total from investment operations........................ 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........................... 11.15
=======
TOTAL RETURN (b)........................................ 12.3%
RATIOS/SUPPLEMENTAL DATA
Net Assets End of Period (thousands).................... 25,023
Ratio of Expenses to Average Net Assets................. 1.04%
Ratio of Net Investment Income (Loss) to Average
Net Assets............................................ 0.82%
Portfolio Turnover Rate................................. 52%
</TABLE>
- --------------------------------------------------------------------------------
111
<PAGE> 113
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
-------------------------------
1999(d)(i)
----------
<S> <C>
PER SHARE DATA
NET ASSET VALUE BEGINNING OF PERIOD ............... $ 10.00
INCOME FROM INVESTMENT OPERATIONS:
Net Investment Income (Loss) ...................... (0.04)
Net Gain (Loss) on Securities
(realized and unrealized) ........................ 3.04
---------
Total from Investment Operations .................. 3.00
LESS DISTRIBUTIONS:
Dividends (from Net Investment Income) ............ --
Distributions (from Realized Gains) ............... --
---------
Total Distributions ............................ --
---------
NET ASSET VALUE END OF PERIOD ..................... $ 13.00
=========
TOTAL RETURN (b) .................................. 30.0%
RATIOS/SUPPLEMENTAL DATA
Net Assets End of Period (thousands) .............. $ 9,857
Ratio of Expenses to Average Net Assets ........... 2.25%
Ratio of Net Investment Income (Loss) to Average
Net Assets ...................................... (0.7%)
Portfolio Turnover Rate ........................... 98%
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
SERIES J (MIDCAP) FISCAL YEARS DECEMBER 31
-------------------------------------------------------------------------
1999 1998(e) 1997(e) 1996(e) 1995(e)
--------- ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C>
PER SHARE DATA
NET ASSET VALUE BEGINNING OF PERIOD ............... $ 22.51 $ 21.33 $ 18.25 $ 16.06 $ 13.44
INCOME FROM INVESTMENT OPERATIONS:
Net Investment Income (Loss) ...................... (0.05) (0.04) (0.03) (0.04) 0.04
Net Gain (Loss) on Securities
(realized and unrealized) ........................ 11.65 3.70 3.67 2.93 2.58
--------- ----------- ----------- ----------- -----------
Total from Investment Operations .................. 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 Realized 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 ..................... $ 30.15 $ 22.51 $ 21.33 $ 18.25 $ 16.06
========= =========== =========== =========== ===========
TOTAL RETURN (b) .................................. 61.9% 18.0% 20.0% 18.0% 19.5%
RATIOS/SUPPLEMENTAL DATA
Net Assets End of Period (thousands) .............. $ 429,528 $ 271,281 $ 226,297 $ 148,421 $ 93,379
Ratio of Expenses to Average Net Assets ........... 0.82% 0.82% 0.82% 0.84% 0.84%
Ratio of Net Investment Income (Loss) to Average
Net Assets ...................................... (0.25%) (0.21%) (0.11%) (0.21%) 0.26%
Portfolio Turnover Rate ........................... 55% 94% 107% 123% 202%
</TABLE>
- --------------------------------------------------------------------------------
112
<PAGE> 114
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
--------------------------------------------------------------------------
1999(k) 1998(d) 1997(d) 1996(d) 1995(a)(c)(d)
---------- ---------- ---------- ---------- --------------
<S> <C> <C> <C> <C> <C>
PER SHARE DATA
NET ASSET VALUE BEGINNING OF PERIOD ............... $ 9.56 $ 10.06 $ 10.72 $ 10.22 $ 10.00
INCOME FROM INVESTMENT OPERATIONS:
Net Investment Income (Loss) ...................... 0.79 1.02 1.12 0.90 0.54
Net Gain (Loss) on Securities
(realized and unrealized) ........................ (0.68) (0.32) (0.56) 0.50 0.22
---------- ---------- ---------- ---------- ----------
Total from Investment Operations .................. 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 Realized 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 ..................... $ 9.61 $ 9.56 $ 10.06 $ 10.72 $ 10.22
========== ========== ========== ========== ==========
TOTAL RETURN (b) .................................. 1.2% 6.9% 5.4% 13.7% 7.6%
RATIOS/SUPPLEMENTAL DATA
Net Assets End of Period (thousands) .............. $ 11,369 $ 13,028 $ 14,679 $ 12,720 $ 5,678
Ratio of Expenses to Average Net Assets ........... 1.62% 1.13% 0.64 0.84% 1.63%
Ratio of Net Investment Income (Loss) to Average
Net Assets ...................................... 7.80% 10.85% 9.81% 10.79% 11.03%
Portfolio Turnover Rate ........................... 208% 57% 85% 86% 127%
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
SERIES M (GLOBAL TOTAL RETURN) FISCAL PERIOD ENDED DECEMBER 31
----------------------------------------------------------
1999(k) 1998 1997(j) 1996 1995(a)(c)
-------- ------- -------- -------- ----------
<S> <C> <C> <C> <C> <C>
PER SHARE DATA
NET ASSET VALUE BEGINNING OF PERIOD..................... $ 12.87 $ 12.29 $ 12.05 $ 10.71 $ 10.00
INCOME FROM INVESTMENT OPERATIONS:
Net Investment Income (Loss)............................ 0.15 0.20 0.16 0.15 0.17
Net Gain (Loss) on Securities
(realized and unrealized).............................. 1.49 1.33 0.59 1.36 0.54
------- ------- ------- ------- -------
Total from Investment Operations........................ 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 Realized 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........................... $ 13.09 $ 12.87 $$12.29 $ 12.05 $ 10.71
======= ======= ======= ======= =======
TOTAL RETURN (b)........................................ 14.0% 12.6% 6.2% 14.2% 7.1%
RATIOS/SUPPLEMENTAL DATA
Net Assets End of Period (thousands).................... $44,034 $45,174 $48,379 $38,396 $15,976
Ratio of Expenses to Average Net Assets................. 1.36% 1.24% 1.26% 1.34% 1.94%
Ratio of Net Investment Income (Loss) to Average
Net Assets............................................ 1.09% 1.33% 1.71% 2.73% 3.20%
Portfolio Turnover Rate................................. 155% 49% 64% 40% 181%
</TABLE>
- --------------------------------------------------------------------------------
113
<PAGE> 115
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
---------------------------------------------------------------------
1999 1998 1997 1996 1995(a)(c)
---------- ----------- ---------- ---------- -----------
<S> <C> <C> <C> <C> <C>
PER SHARE DATA
NET ASSET VALUE BEGINNING OF PERIOD ............... $ 16.01 $ 13.88 $ 12.02 $ 10.73 $ 10.00
INCOME FROM INVESTMENT OPERATIONS:
Net Investment Income (Loss) ...................... 0.38 0.26 0.24 0.19 0.16
Net Gain (Loss) on Securities
(realized and unrealized) ........................ 1.15 2.26 1.96 1.18 0.57
---------- ---------- ---------- ---------- --------
Total from Investment Operations .................. 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 Realized Gains) ............... -- (0.15) (0.13 (0.01) --
---------- ---------- ---------- ---------- --------
Total Distributions ............................ (0.60) (0.39) (0.34 (0.08) --
---------- ---------- ---------- ---------- --------
NET ASSET VALUE END OF PERIOD ..................... $ 16.94 $ 16.01 $ 13.88 $ 12.02 $ 10.73
========== ========== ========== ========== ========
TOTAL RETURN (b) .................................. 9.7% 18.4% 18.4 12.8% 7.3%
RATIOS/SUPPLEMENTAL DATA
Net Assets End of Period (thousands) .............. $ 98,487 $ 76,121 $ 38,182 $ 23,345 $ 10,580
Ratio of Expenses to Average Net Assets ........... 1.17% 1.22% 1.35 1.45% 1.90%
Ratio of Net Investment Income (Loss) to Average
Net Assets ...................................... 2.45% 2.49% 2.71 2.67% 2.80%
Portfolio Turnover Rate ........................... 24% 10% 28 41% 26%
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
SERIES O (EQUITY INCOME) FISCAL PERIOD ENDED DECEMBER 31
---------------------------------------------------------
1999 1998 1997 1996 1995(a)(c)
-------- -------- -------- -------- ----------
<S> <C> <C> <C> <C> <C>
PER SHARE DATA
NET ASSET VALUE BEGINNING OF PERIOD..................... $ 18.35 $ 17.62 $ 14.01 $ 11.70 $ 10.00
INCOME FROM INVESTMENT OPERATIONS:
Net Investment Income (Loss)............................ 0.30 0.29 0.19 0.17 0.17
Net Gain (Loss) on Securities
(realized and unrealized).............................. 0.19 1.30 3.77 2.17 1.53
-------- -------- -------- -------- --------
Total from Investment Operations........................ 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 Realized Gains)..................... (0.98) (0.61) (0.21) -- --
-------- -------- -------- -------- --------
Total Distributions.................................. (1.57) (0.86) (0.35) (0.03) --
-------- -------- -------- -------- --------
NET ASSET VALUE END OF PERIOD........................... $ 17.27 $ 18.35 $ 17.62 $ 14.01 $ 11.70
======== ======== ======== ======== ========
TOTAL RETURN (b)........................................ 3.1% 9.0% 28.4% 20.0% 17.0%
RATIOS/SUPPLEMENTAL DATA
Net Assets End of Period (thousands).................... $207,022 $204,070 $150,391 $ 62,377 $ 13,528
Ratio of Expenses to Average Net Assets................. 1.09% 1.08% 1.09% 1.15% 1.40%
Ratio of Net Investment Income (Loss) to Average
Net Assets............................................ 1.66% 1.93% 2.31% 2.62% 3.00%
Portfolio Turnover Rate................................. 35% 20% 21% 22% 3%
</TABLE>
- --------------------------------------------------------------------------------
114
<PAGE> 116
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
-------------------------------------------------------
1999(d) 1998(d)(e) 1997(d)(e) 1996(d)(f)
---------- ---------- ---------- -----------
<S> <C> <C> <C> <C>
PER SHARE DATA
NET ASSET VALUE BEGINNING OF PERIOD ............... $ 16.80 $ 17.60 $ 15.99 $ 15.00
INCOME FROM INVESTMENT OPERATIONS:
Net Investment Income (Loss) ...................... 1.30 0.89 0.68 0.51
Net Gain (Loss) on Securities
(realized and unrealized) ........................ (1.08) 0.12 1.43 0.48
---------- ---------- ---------- ----------
Total from Investment Operations .................. 0.22 1.01 2.11 0.99
LESS DISTRIBUTIONS:
Dividends (from Net Investment Income) ............ (1.37) (1.63) (0.42) --
Distributions (from Realized 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 ..................... $ 15.51 $ 16.80 $ 17.60 $ 15.99
========== ========== ========== ==========
TOTAL RETURN (b) .................................. 1.3% 5.8% 13.4% 6.6%
RATIOS/SUPPLEMENTAL DATA
Net Assets End of Period (thousands) .............. $ 19,152 $ 14,949 $ 6,767 $ 2,665
Ratio of Expenses to Average Net Assets ........... 0.18% 0.18% 0.31% 0.28%
Ratio of Net Investment Income (Loss) to Average
Net Assets ...................................... 8.55% 8.17% 8.58% 8.24%
Portfolio Turnover Rate ........................... 29% 87% 77% 151%
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
SERIES S (SOCIAL AWARENESS) FISCAL PERIOD ENDED DECEMBER 31
----------------------------------------------------------------------------
1999 1998(e) 1997(e) 1996(e) 1995(e)
----------- ----------- ----------- ------------ ------------
<S> <C> <C> <C> <C> <C>
PER SHARE DATA
NET ASSET VALUE BEGINNING OF PERIOD ............... $ 28.40 $ 22.25 $ 19.08 $ 16.49 $ 12.97
INCOME FROM INVESTMENT OPERATIONS:
Net Investment Income (Loss) ...................... 0.07 0.09 0.06 0.03 0.09
Net Gain (Loss) on Securities
(realized and unrealized) ........................ 4.60 6.78 4.21 3.07 3.51
----------- ----------- ----------- ----------- -----------
Total from Investment Operations .................. 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 Realized 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 ..................... $ 31.71 $ 28.40 $ 22.25 $ 19.08 $ 16.49
=========== =========== =========== =========== ===========
TOTAL RETURN (b) .................................. 17.2% 31.4% 22.7% 18.8% 27.7%
RATIOS/SUPPLEMENTAL DATA
Net Assets End of Period (thousands) .............. $ 236,576 $ 152,641 $ 89,332 $ 57,497 $ 36,830
Ratio of Expenses to Average Net Assets ........... 0.82% 0.82% 0.83% 0.84% 0.86%
Ratio of Net Investment Income (Loss) to Average
Net Assets ...................................... 0.29% 0.47% 0.35% 0.30% 0.75%
Portfolio Turnover Rate ........................... 24% 23% 49% 67% 122%
</TABLE>
- --------------------------------------------------------------------------------
115
<PAGE> 117
FINANCIAL HIGHLIGHTS (CONTINUED)
SELECTED DATA FOR EACH SHARE OF CAPITAL STOCK OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
SERIES V (VALUE) FISCAL PERIOD ENDED DECEMBER 31
-------------------------------------------
1999 1998(d) 1997(a)(d)(g)
---------- ---------- -------------
<S> <C> <C> <C>
PER SHARE DATA
NET ASSET VALUE BEGINNING OF PERIOD ............... $ 14.83 $ 13.13 $ 10.00
INCOME FROM INVESTMENT OPERATIONS:
Net Investment Income (Loss) ...................... 0.03 0.03 0.12
Net Gain (Loss) on Securities
(realized and unrealized) ........................ 2.66 2.14 3.01
---------- ---------- ----------
Total from Investment Operations .................. 2.69 2.17 3.13
LESS DISTRIBUTIONS:
Dividends (from Net Investment Income) ............ (0.05) (0.08) --
Distributions (from Realized Gains) ............... (0.74) (0.39) --
---------- ---------- ----------
Total Distributions ............................ (0.79) (0.47) --
---------- ---------- ----------
NET ASSET VALUE END OF PERIOD ..................... $ 16.73 $ 14.83 $ 13.13
========== ========== ==========
TOTAL RETURN (b) .................................. 18.9% 16.6% 31.3%
RATIOS/SUPPLEMENTAL DATA
Net Assets End of Period (thousands) .............. $ 42,885 $ 18,523 $ 6,491
Ratio of Expenses to Average Net Assets ........... 0.84% 0.71% 0.40%
Ratio of Net Investment Income (Loss) to Average
Net Assets ...................................... 0.32% 0.42% 1.55%
Portfolio Turnover Rate ........................... 57% 72% 79%
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
SERIES X (SMALL COMPANY) FISCAL PERIOD ENDED DECEMBER 31
-------------------------------------------
1999(d) 1998(d) 1997(d)(h)
---------- ---------- ----------
<S> <C> <C> <C>
PER SHARE DATA
NET ASSET VALUE BEGINNING OF PERIOD ............... $ 10.67 $ 9.60 $ 10.00
INCOME FROM INVESTMENT OPERATIONS:
Net Investment Income (Loss) ...................... -- 0.02 0.01
Net Gain (Loss) on Securities
(realized and unrealized) ........................ 9.27 1.07 (0.41)
---------- ---------- ----------
Total from Investment Operations .................. 9.27 1.09 (0.40)
LESS DISTRIBUTIONS:
Dividends (from Net Investment Income) ............ (0.02) (0.02) --
Distributions (from Realized Gains) ............... (0.52) -- --
---------- ---------- ----------
Total Distributions ............................ (0.54) (0.02) --
---------- ---------- ----------
NET ASSET VALUE END OF PERIOD ..................... $ 19.40 $ 10.67 $ 9.60
========== ========== ==========
TOTAL RETURN (b) .................................. 87.2% 11.5% (4.0%)
RATIOS/SUPPLEMENTAL DATA
Net Assets End of Period (thousands) .............. $ 44,095 $ 5,621 $ 2,640
Ratio of Expenses to Average Net Assets ........... 0.57% 0.59% 0.98%
Ratio of Net Investment Income (Loss) to Average
Net Assets ...................................... -- 0.26% 0.73%
Portfolio Turnover Rate ........................... 283% 367% 402%
</TABLE>
- --------------------------------------------------------------------------------
116
<PAGE> 118
FINANCIAL HIGHLIGHTS (CONTINUED)
SELECTED DATA FOR EACH SHARE OF CAPITAL STOCK OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
SERIES Y (SELECT 25) FISCAL PERIOD ENDED DECEMBER 31
-------------------------------
1999(i)
----------
<S> <C>
PER SHARE DATA
NET ASSET VALUE BEGINNING OF PERIOD ............... $ 10.00
INCOME FROM INVESTMENT OPERATIONS:
Net Investment Income (Loss) ...................... (0.01)
Net Gain (Loss) on Securities
(realized and unrealized) ........................ 2.38
----------
Total from Investment Operations .................. 2.37
LESS DISTRIBUTIONS:
Dividends (from Net Investment Income) ............ --
Distributions (from Realized Gains) ............... --
----------
Total Distributions ............................ --
----------
NET ASSET VALUE END OF PERIOD ..................... $ 12.37
==========
TOTAL RETURN (a) .................................. 23.7%
RATIOS/SUPPLEMENTAL DATA
Net Assets End of Period (thousands) .............. $ 31,399
Ratio of Expenses to Average Net Assets ........... 0.97%
Ratio of Net Investment Income (Loss) to Average
Net Assets ...................................... (0.16%)
Portfolio Turnover Rate ........................... 54%
</TABLE>
- --------------------------------------------------------------------------------
(a) Net investment income per share has been calculated using the weighted
monthly average number of capital shares outstanding.
(b) Total return does not take into account any of the expenses associated with
an investment in variable insurance products offered by Security Benefit
Life Insurance Company. Shares of a series of SBL Fund are available only
through the purchase of such products.
(c) Series K, M, N and O were initially capitalized on June 1, 1995 with net
asset values of $10.00 per share. Percentage amounts for the period have
been annualized, except for total return.
(d) Fund expenses for Series 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:
1995 1996 1997 1998 1999
---- ---- ---- ---- ----
Series I -- -- -- -- 4.20%
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%
(e) Expense ratios were calculated without the reduction for custodian fees
earnings credits beginning February 1, 1995. Expense ratios with such
reductions would have been as follows:
1995 1996 1997 1998
---- ---- ---- ----
Series A 0.83% 0.83% 0.81% 0.81%
Series B 0.83% 0.84% 0.83% 0.80%
Series C 0.60% 0.58% 0.58% 0.57%
Series E 0.85% 0.83% 0.83% 0.83%
Series J 0.83% 0.84% 0.82% 0.82%
Series P -- -- 0.31% 0.18%
Series S 0.84% 0.84% 0.83% 0.82%
(f) Series P was initially capitalized on August 5, 1996, with a net asset value
of $15 per share. Percentage amounts for the period have been annualized,
except for total return.
(g) Series V was initially capitalized on May 1, 1997, with a net asset value of
$10 per share. Percentage amounts for the period have been annualized,
except for total return.
(h) Series X was initially capitalized on October 15, 1997, with a net asset
value of $10 per share. Percentage amounts for the period have been
annualized, except for total return.
(i) Series H, I and Y were initially capitalized on May 3, 1999, with net asset
values of $10.00 per share. Percentage amounts for the period have been
annualized, except for total return.
(j) Meridian Investment Management 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.
(k) Wellington Management Company became Subadvisor for Series K and M on May
15, 1999. Prior to May 15, Meridian Investment Management served as
Subadvisor to Series M.
- --------------------------------------------------------------------------------
117
<PAGE> 119
NOTES TO FINANCIAL STATEMENTS
DECEMBER 31, 1999
1. SIGNIFICANT ACCOUNTING POLICIES
The Fund is registered under the Investment Company Act of 1940, as
amended, as a diversified, open-end management investment company of the series
type. Each series, in effect, represents a separate fund. The Fund is required
to account for the assets of each series separately and to allocate general
liabilities of the Fund to each series based on the net asset value of each
series. Shares of the Fund will be sold only to Security Benefit Life Insurance
Company (SBL) separate accounts. The following is a summary of the significant
accounting policies followed by the Fund in the preparation of its financial
statements.
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
price or if the bid price is deemed to be unsatisfactory by the Board of
Directors or by the Fund's investment manager, then the securities are valued in
good faith by such method as the Board of Directors determines will reflect the
fair value. The Fund generally will value short-term debt securities at prices
based on market quotations for such securities or securities of similar type,
yield, quality and duration, except those securities purchased with 60 days or
less to maturity are valued on the basis of amortized cost which approximates
market value.
Generally, trading in foreign securities markets is substantially completed
each day at various times prior to the close of the New York Stock Exchange. The
values of foreign securities are determined as of the close of such foreign
markets or the close of the New York Stock Exchange, if earlier. All investments
quoted in foreign currency are valued in U.S. dollars on the basis of the
foreign currency exchange rates prevailing at the close of business. Investment
in foreign securities may involve risks not present in domestic investments.
Since foreign securities may be denominated in a foreign currency and involve
settlement and pay interest or dividends in foreign currencies, changes in the
relationship of these foreign currencies to the U.S. dollar can significantly
affect the value of the investments and earnings of the Fund. Foreign
investments may also subject the Fund to foreign government exchange
restrictions, expropriation, taxation or other political, social or economic
developments, all of which could affect the market and/or credit risk of the
investments.
B. FOREIGN CURRENCY TRANSACTIONS - The accounting records of the Fund are
maintained in U.S. dollars. All assets and liabilities initially expressed in
foreign currencies are converted into U.S. dollars at prevailing exchange rates.
Purchases and sales of investment securities, dividend and interest income, and
certain expenses are translated at the rates of exchange prevailing on the
respective dates of such transactions.
The funds which invest in foreign securities and currencies do not isolate
that portion of the results of operations resulting from changes in the foreign
exchange rates on investments from the fluctuation arising from changes in the
market prices of securities held. Such fluctuations are included with the net
realized and unrealized gain or loss on investments.
Net realized foreign exchange gains or losses arise from sales of portfolio
securities, sales of foreign currencies, and the difference between asset and
liability amounts initially stated in foreign currencies and the U.S. dollar
value of the amounts actually received or paid. Net unrealized foreign exchange
gains or losses arise from changes in the value of portfolio securities and
other assets and liabilities at the end of the reporting period, resulting from
changes in the exchange rates.
C. FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS - Series D, I, K, M, N, O
and X may enter into forward foreign exchange contracts in connection with
foreign currency risk from purchase or sale of securities denominated in foreign
currency. These Series may also enter into such contracts to manage the effect
of changes in foreign currency exchange rates on portfolio positions. These
contracts are marked to market daily, by recognizing the difference between the
contract exchange rate and the current market rate as unrealized gains or
losses. Realized gains or losses are recognized when contracts are settled and
are reflected in the Statement of Operations. These contracts involve market
risk in excess of the amount reflected in the 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. Series A, H, I, J,
Kand M 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.
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.
- --------------------------------------------------------------------------------
118
<PAGE> 120
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
DECEMBER 31, 1999
E. OPTIONS WRITTEN (CONTINUED)
The premium received for a written option is recorded as an asset with an equal
liability which is marked to market based on the option's quoted daily
settlement price. Fluctuations in the value of such instruments are recorded as
unrealized appreciation (depreciation) until terminated, at which time realized
gains and losses are recognized.
F. SECURITY TRANSACTIONS AND INVESTMENT INCOME - Security transactions are
accounted for on the date the securities are purchased or sold. Realized gains
and losses are reported on an identified cost basis. Dividend income less
foreign taxes withheld (if any) are recorded on the ex-dividend date. Interest
income is recognized on the accrual basis. Premium and discounts (except
original issue discounts) on debt securities are not amortized, except for
Series K, which does amortize premiums and discounts on debt securities.
G. DISTRIBUTIONS TO SHAREHOLDERS - Distributions to shareholders are
recorded on the ex-dividend date. The character of distributions made during the
year from net investment income or net realized gains may differ from their
ultimate characterization for federal income tax purposes. These differences are
primarily due to differing treatments for expiration of net operating losses and
recharacterization of foreign currency gains and losses.
H. TAXES - The Fund complied with the requirements of the Internal Revenue
Code applicable to regulated investment companies and distributed all of its
taxable net income and net realized gains sufficient to relieve it from all, or
substantially all, federal income, excise and state income taxes. Therefore, no
provision for federal or state income tax is required.
I. EARNINGS CREDITS - Under the fee schedule with the custodian, the Fund
earns credits based on overnight custody cash balances. These credits are
utilized to reduce related custodial expenses. The custodian fees disclosed in
the Statement of Operations do not reflect the reduction in expense from the
related earnings credits.
J. USE OF ESTIMATES - The preparation of financial statements in conformity
with generally accepted accounting principals requires management to make
estimates and assumptions that affect the reported amounts of assets and
liabilities and disclosure of contingent assets and liabilities at the date of
the financial statements and the reported amounts of increases and decreases in
net assets from operations during the reporting period. Actual results could
differ from those estimates.
2. MANAGEMENT FEES AND OTHER TRANSACTIONS WITH AFFILIATES
Management fees are payable to Security Management Company, LLC (SMC) (the
Investment Manager) under an investment advisory contract at an annual rate of
.50% of the average daily net assets for Series C, .75% for Series A, B, E, H,
J, K, P, S, V and Y, 1.00% for Series D, M, N, O and X and 1.10% for Series I.
SMC waived all of the management fees for Series P and X through November 30,
1999.
SMC pays OppenheimerFunds, 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:
Combined Average Daily Net Assets of the Series Annual Fees
----------------------------------------------- -----------
$0 to $300 Million........................................ .35%
$300 Million to $750 Million.............................. .30%
$750 million or more...................................... .25%
The Investment Manager pays T. Rowe Price Associates, Inc. an annual fee
equal to .50% of the first $50,000,000 of average daily net assets of Series N
and .40% of the average daily net assets of Series N in excess of $50,000,000
for management services provided to that Series. The Investment Manager pays T.
Rowe Price Associates, Inc. an annual fee equal to .50% of the first $20,000,000
of average daily net assets of Series O and .40% of the average daily net assets
in excess of $20,000,000 for management services provided to Series O.
SMC pays Strong Capital Management, Inc. ("Strong") with respect to Series
X, an annual fee based on the combined average net assets of the Series and
another Fund managed by SMC, the Small Company Series of Equity Fund as follows:
Combined Average Daily Net Assets of the Series Annual Fees
----------------------------------------------- -----------
Less Than $150 Million.................................... .50%
$150 Million to $500 Million.............................. .45%
$500 million or more...................................... .40%
Bankers Trust Company furnishes investment advisory services to Series H
and Series I. For such services to Series H, SMC pays Bankers Trust an annual
fee equal to a percentage of the average daily closing value of the combined net
assets of Series H and another Fund, managed by SMC, the Enhanced Index Series
of Security Equity Fund as follows:
Combined Average Daily Net Assets of the Series Annual Fees
----------------------------------------------- -----------
$0 to $100 Million........................................ .20%
$100 Million to $300 Million.............................. .15%
$300 million or more...................................... .13%
SMC 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:
Combined Average Daily Net Assets of the Series Annual Fees
----------------------------------------------- -----------
$0 to $200 Million........................................ .60%
$200 Million or more...................................... .55%
- --------------------------------------------------------------------------------
119
<PAGE> 121
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
DECEMBER 31, 1999
A special meeting of the shareholders of SBL Series K and Series M was held
on May 14, 1999. At this meeting, shareholders voted to approve a new
subadvisory contract, with respect to each series, effective May 15, 1999, with
Wellington Management Company, LLP. Under this new agreement, SMC pays
Wellington Management for Series K an annual fee equal to a percentage of the
average daily closing value of the average daily net assets of Series K,
computed on a daily basis as follows:
Average Daily Net Assets of the Series Annual Fees
-------------------------------------- -----------
Less Than $50 Million..................................... .50%
More than $50 Million..................................... .40%
Wellington Management has agreed to cap its fee at .40% of Series K's net
assets for the first year.
For the services provided to Series M under the agreement, SMC pays
Wellington Management an annual fee equal to a percentage of the average daily
closing value of the net assets of Series M, according to the following
schedule:
Average Daily Net Assets of the Series Annual Fees
-------------------------------------- -----------
$0 to $50 million......................................... .50%
$50 million to $100 million............................... .40%
$100 million to $250 million.............................. .35%
$250 million or more...................................... .30%
Wellington Management has agreed to cap its fee at .45% of Series M's net
assets for the first year.
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 December 31, 1999, SMC
agreed to limit the total expenses for Series K, M, P, V and X to an annual rate
of 2% of the average daily net asset value of each respective Series, limit
Series I at an annual rate of 2.25% and limit Series H and Y to an annual rate
of 1.75%.
The Fund has entered into a contract with SMC for transfer agent services
and administrative services 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 the greater of .10% of the average daily net assets or (i) $30,000 for
the year ending May 31, 2000, (ii) $45,000 for the year ending May 31, 2001, and
(iii) $60,000 thereafter. With respect to Series H, X and Y, SMC receives a fee
at an annual rate of .09% of the average daily net assets of the Series.
- --------------------------------------------------------------------------------
120
<PAGE> 122
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
DECEMBER 31, 1999
3. UNREALIZED APPRECIATION/DEPRECIATION OF INVESTMENT SECURITIES
For federal income tax purposes, the amounts of unrealized appreciation
(depreciation) for each Series' investments were as follows:
<TABLE>
<CAPTION>
AGGREGATE GROSS AGGREGATE GROSS NET UNREALIZED
UNREALIZED UNREALIZED APPRECIATION
APPRECIATION DEPRECIATION (DEPRECIATION)
--------------- ---------------- --------------
<S> <C> <C> <C>
SERIES A
(Growth) .......................... $ 547,518,195 $ (22,504,097) $ 525,014,098
SERIES B
(Growth-Income) ................... 36,015,118 (152,218,895) (116,203,777)
SERIES C
(Money Market) .................... 50,792 (80,464) (29,672)
SERIES D
(Worldwide Equity) ................ 161,417,468 (18,796,927) 142,620,541
SERIES E
(High Grade Income) ............... 47,823 (10,953,263) (10,905,440)
SERIES H
(Enhanced Index) .................. 2,997,086 (1,031,239) 1,965,847
SERIES I
(International) ................... 2,424,285 (172,248) 2,252,037
SERIES J
(Emerging Growth) ................. 174,858,757 (20,818,809) 154,039,948
SERIES K
(Global Aggressive) ............... 698,912 (624,814) 74,098
SERIES M
(Specialized Asset Allocation) .... 4,710,793 (2,233,501) 73,931,862
SERIES N
(Managed Asset Allocation) ........ 20,152,096 (4,065,483) 20,464,398
SERIES O
(Equity Income) ................... 28,418,993 (17,409,576) 11,009,417
SERIES P
(High Yield) ...................... 115,973 (1,765,724) (1,649,751)
SERIES S
(Social Awareness) ................ 85,019,727 (3,995,365) 81,024,362
SERIES V
(Value) ........................... 8,282,598 (4,031,321) 4,251,277
SERIES X
(Small Cap) ....................... 11,928,465 (166,304) 11,762,161
SERIES Y
(Select 25) ....................... 4,526,646 (381,292) 4,145,354
</TABLE>
4. INVESTMENT TRANSACTIONS
Investment transactions for the year ended December 31, 1999, (excluding
overnight investments and short-term debt securities) are as follows:
<TABLE>
<CAPTION>
PROCEEDS
PURCHASES FROM SALES
------------ ------------
<S> <C> <C>
SERIES A ............................ $623,615,332 $627,590,362
(Growth)
SERIES B ............................ 813,668,284 910,313,352
(Growth-Income)
SERIES C
(Money Market)
SERIES D ............................ 277,035,391 341,558,955
(Worldwide Equity)
SERIES E ............................ 37,475,593 40,067,613
(High Grade Income)
SERIES H ............................ 24,126,884 4,876,073
(Enhanced Index)
SERIES I ............................ 10,965,526 4,057,150
(International)
SERIES J ............................ 157,748,126 176,223,965
(Emerging Growth)
SERIES K ............................ 21,656,949 22,964,317
(Global Aggressive)
SERIES M ............................ 2,477,292 61,446,242
(Specialized Asset Allocation)
SERIES N ............................ 16,086,613 39,367,005
(Managed Asset Allocation)
SERIES O
(Equity Income) ................... 71,547,695 71,573,712
SERIES P
(High Yield) ...................... 9,892,998 4,834,621
SERIES S
(Social Awareness) ................ 106,341,219 46,221,969
SERIES V
(Value) ........................... 34,351,334 15,125,230
SERIES X
(Small Cap) ....................... 57,125,230 34,633,113
SERIES Y
(Select 25) ....................... 31,299,067 5,256,956
</TABLE>
- --------------------------------------------------------------------------------
121
<PAGE> 123
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
DECEMBER 31, 1999
5. FORWARD FOREIGN EXCHANGE CONTRACTS
At December 31, 1999, Series D, Series I, Series K and Series M had the
following open forward foreign exchange contracts to buy or sell currency:
<TABLE>
<CAPTION>
NET UNREALIZED
--------------
CONTRACTS SETTLEMENT FOREIGN CURRENCY AMOUNT TO BE U.S. $ VALUE APPRECIATION
--------- ---------- ------------------------- -------------- --------------- -------------
TO BUY DATE TO BE DELIVERED IN U.S. $ PAID IN U.S. $ AS OF 12/31/99 (DEPRECIATION)
--------- ---------- ------------------------- -------------- --------------- -------------
<S> <C> <C> <C> <C> <C>
SERIES I
--------
Japanese Yen 1/27/00 21,228,000 $ 210,053 $ 208,275 $ (1,778)
SERIES K
--------
Canadian Dollar 1/20/00 128,000 $ 87,287 $ 88,247 $ 960
European Monetary Unit 1/12/00 - 1/20/00 182,675 190,649 183,248 (7,401)
Japanese Yen 1/12/00 900,000 8,669 8,806 137
Korean Won 2/9/00 - 2/22/00 39,900,000 33,776 35,154 1,378
New Zealand Dollar 2/14/00 42,000 21,378 21,896 518
Polish Zloty 3/6/00 242,000 56,774 57,562 788
Singapore Dollar 2/9/00 50,782 (30,629) 30,570 (59)
Japan Government
Bond .9% - 2008 1/21/00 23,000,000 206,700 208,875 2,175
Japan Government 1/31/00 8,000,000 91,096 91,151 55
Bond 4.6% - 2008
Japan Government 1/27/00 9,000,000 96,308 96,486 178
Bond 2.9% - 2005
Japan Government 1/27/00 8,200,000 84,402 85,254 852
Bond 2.4% - 2007
--------
$ (419)
========
SERIES M
--------
Australian Dollar 2/3/00 85,000 $ 54,133 $ 55,606 $ 1,473
British Pound 1/26/00 111,500 180,827 179,697 (1,130)
Canadian Dollar 1/20/00 - 1/21/00 595,000 405,191 410,219 5,028
Danish Kroner 6/13/00 806,000 111,560 109,751 (1,809)
European Monetary Unit 1/12/00 - 1/20/00 801,950 845,714 804,488 (41,226)
Japanese Yen 1/12/00 - 1/22/00 222,961,000 2,143,584 2,196,061 52,477
Korean Won 2/9/00 - 2/22/00 98,700,000 83,523 86,960 3,437
New Zealand Dollar 2/14/00 162,000 82,458 84,455 1,997
Poland Zloty 3/6/00 336,300 76,624 79,992 3,368
Singapore Dollar 2/9/00 99,992 60,309 60,193 (116)
Swedish Krona 2/22/00 62,000 7,470 7,287 (183)
Swiss Franc 1/20/00 53,400 34,788 33,436 (1,352)
Japan Government
Bond .9% - 2008 1/21/00 71,000,000 637,072 644,788 7,716
Japan Government 1/31/00 27,000,000 276,917 280,714 3,797
Bond 4.6% - 2008
Japan Government 1/27/00 12,000,000 128,411 128,648 237
Bond 2.9% - 2005
--------
$ 33,714
========
</TABLE>
- --------------------------------------------------------------------------------
122
<PAGE> 124
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
DECEMBER 31, 1999
5. FORWARD FOREIGN EXCHANGE CONTRACTS (CONTINUED)
<TABLE>
<CAPTION>
NET UNREALIZED
--------------
CONTRACTS SETTLEMENT FOREIGN CURRENCY AMOUNT TO BE U.S. $ VALUE APPRECIATION
--------- ---------- ---------------- ------------ ------------ ------------
TO SELL DATE TO BE DELIVERED RECEIVED IN U.S.$ AS OF 12/31/99 (DEPRECIATION)
------- ---- --------------- ----------------- -------------- --------------
<S> <C> <C> <C> <C> <C>
SERIES I
--------
Japanese Yen 1/27/00 21,228,000 $ 208,813 $ 208,275 $ 538
SERIES K
--------
Canadian Dollar 1/20/00 65,000 $ 43,867 $ 44,813 $ (946)
European Monetary Unit 1/12/00 - 1/20/00 922,350 964,930 925,473 39,457
British Pound 1/26/00 100,450 163,247 161,889 1,358
Japanese Yen 1/12/00 - 2/22/00 19,000,000 183,075 186,230 (3,155)
Korean Won 2/9/00 13,000,000 11,449 11,454 (5)
Polish Zloty 3/6/00 132,000 31,132 31,397 (265)
Swedish Krona 2/22/00 265,000 31,928 31,146 782
United Kingdom Gilt 8.00% - 2021 1/21/00 15,000 36,571 34,564 1,885
---------
$ 39,111
---------
SERIES M
--------
British Pound 1/26/00 4,650 $ 7,574 $ (7,494) $ 80
Canadian Dollar 1/20/00 125,000 84,360 (86,179) (1,819)
European Monetary Unit 1/12/00 - 1/20/00 451,000 460,699 (452,490) 8,209
Japanese Yen 1/12/00 - 2/22/00 56,105,000 540,730 549,581 (8,851)
Korean Won 2/9/00 47,800,000 42,096 (42,115) (19)
Singapore Dollar 2/9/00 30,000 17,948 (18,059) (111)
---------
$ (2,511)
=========
</TABLE>
- --------------------------------------------------------------------------------
123
<PAGE> 125
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
DECEMBER 31, 1999
6. OPEN FUTURES CONTRACTS
At December 31, 1999, Series A, H, J, K and Series M had the following open
futures contracts:
<TABLE>
<CAPTION>
APPRECIATION
NUMBER OF (DEPRECIATION)
POSITION CONTRACTS EXPIRATION DATE CONTRACT AMOUNT MARKET VALUE UNREALIZED
-------- --------- --------------- --------------- ------------ -------------
<S> <C> <C> <C> <C> <C> <C>
SERIES A -
- ----------
S&P 500 Index Long 189 3/17/00 $69,784,733 $70,128,450 $343,717
SERIES H -
- ---------
S&P 500 Index Long 10 3/17/00 $ 3,600,141 $ 3,710,500 $110,359
S&P 500 E-mini Index Long 5 3/17/00 362,150 371,050 8,900
----------- ----------- --------
$ 3,962,291 $ 4,081,550 $119,259
=========== =========== ========
SERIES J -
- ---------
S&P 500 Index Long 54 3/17/00 $19,167,975 $20,036,700 $868,725
SERIES K -
- ---------
Euro Bond Long 2 3/10/00 $ 214,485 $ 208,780 $ (5,705)
SERIES M -
- ---------
ASX All Ordinaries SPI Short (7) 3/31/00 $(352,444) $ (359,364) $ (6,920)
Australian 10 YR Bond Long 18 3/16/00 1,581,990 1,590,815 8,825
Great Britain Pound Currency Long 21 3/15/00 2,123,772 2,124,938 1,166
CAC 40 10 Euro Index Long 15 3/31/00 821,172 905,769 84,597
Canadian 10 YR Bond Short (3) 3/31/00 (243,546) (244,953) (1,407)
Canadian Dollar Currency Short (10) 3/15/00 (677,830) (692,200) (14,370)
Euro Bond Short (14) 3/10/00 (1,523,921) (1,461,459) 62,462
Euro FX Currency Long 7 3/13/00 902,962 889,000 (13,962)
UK Long Gilt 10 YR Short (1) 3/31/00 (185,938) (179,560) 6,378
DAX Index Long 2 3/17/00 323,561 352,193 28,632
Hang Seng Stock Index Long 2 1/31/00 213,240 218,306 5,066
IBEX 35 Index Long 23 1/21/00 2,764,550 2,706,681 (57,869)
Japanese Yen Currency Long 5 3/15/00 615,622 618,250 2,628
Japanese 10 YR Bond Short (1) 3/13/00 (633,397) (648,869) (15,472)
Milan MIB 30 Index Short (3) 3/20/00 (590,972) (652,096) (61,124)
OMX Index Short (27) 1/28/00 (374,483) (380,878) (6,395)
S&P 500 Index Long 1 3/17/00 357,558 371,050 13,492
S&P/TSE 60 Index Short (10) 3/17/00 (647,396) (685,730) (38,334)
Swiss Franc Currency Short (12) 3/15/00 (970,116) (952,050) 18,066
TOPIX Index Short (5) 3/15/00 (785,098) (836,305) (51,207)
FTSE 100 Index Long 14 3/17/00 1,522,710 1,574,276 51,566
----------- ----------- --------
$ 4,241,996 $ 4,257,814 $ 15,818
=========== =========== ========
</TABLE>
At December 31, 1999, each Series had sufficient cash and/or securities to cover
any margin requirements under these contracts.
- --------------------------------------------------------------------------------
124
<PAGE> 126
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
DECEMBER 31, 1999
7. CAPITAL SHARE TRANSACTIONS
The Fund is authorized to issue unlimited number of shares in an unlimited
number of classes. Transactions in the capital shares of the Fund were as
follows:
<TABLE>
<CAPTION>
1999 1999
1999 1999 1999 1999 1999 1999 INCREASE INCREASE
SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT (DECREASE) (DECREASE)
SOLD SOLD REINVESTED REINVESTED REDEEMED REDEEMED SHARES AMOUNT
---------- ----------- ----------- ------------- ------------ ------------- ---------- ------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
SERIES A
(Growth) 14,387,875 488,077,127 1,636,189 $ 53,778,206 (14,831,355) (502,187,599) 1,192,709 $ 39,667,734
SERIES B
(Growth-Income) 6,888,086 185,653,361 19,126,180 446,787,567 (12,955,147) (350,786,312) 13,059,119 281,654,616
SERIES C
(Money Market) 37,346,545 463,016,230 1,152,391 13,920,392 (35,964,864) (445,118,022) 2,534,072 31,818,600
SERIES D
(Worldwide
Equity) 16,626,302 118,392,678 7,168,700 51,432,969 (17,807,219) (125,559,927) 5,987,783 44,265,720
SERIES E
(High Grade
Income) 5,355,952 62,221,174 1,610,501 17,705,073 (6,480,137) (74,505,815) 486,316 5,420,432
SERIES H 2,412,008 24,541,073 15,790 169,904 (183,886) (1,916,109) 2,243,912 22,794,868
(Enhanced Index)
SERIES I
(International) 795,967 8,107,206 -- -- (37,572) (404,327) 758,395 7,702,879
SERIES J 6,061,314 138,477,874 2,464,999 48,158,309 (6,331,881) (140,165,225) 2,194,432 46,470,958
(Mid Cap)
SERIES K
(Global Strategic
Income) 432,150 4,064,359 8,685 81,725 (620,803) (5,822,764) (179,968) (1,676,680)
SERIES M
(Global Total
Return) 586,754 7,362,033 399,419 4,800,670 (1,133,234) (14,187,256) (147,061) (2,024,553)
SERIES N
(Managed Asset
Allocation) 2,746,352 44,801,549 199,922 3,277,046 (1,886,535) (30,925,422) 1,059,739 17,153,173
SERIES O
(Equity Income) 4,114,745 75,055,060 1,064,216 17,833,507 (4,312,184) (78,270,591) 866,777 14,617,976
SERIES P
(High Yield) 839,192 14,247,493 109,820 1,702,368 (604,063) (10,235,157) 344,949 5,714,704
SERIES S
(Social) 4,020,402 116,405,290 296,421 8,184,046 (2,231,917) (65,006,441) 2,084,906 59,582,895
SERIES V
(Value) 2,029,713 32,581,222 103,381 1,576,791 (818,466) (12,937,497) 1,314,628 21,220,516
SERIES X
(Small Cap) 2,414,886 34,988,350 59,402 1,098,875 (728,592) (10,039,599) 1,745,696 26,047,626
SERIES Y
(Select 25) 3,129,371 34,007,124 -- -- (591,953) (6,647,444) 2,537,418 27,359,680
</TABLE>
- --------------------------------------------------------------------------------
125
<PAGE> 127
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
DECEMBER 31, 1999
<TABLE>
<CAPTION>
1998 1998
1998 1998 1998 1998 1998 1998 INCREASE INCREASE
SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT (DECREASE) (DECREASE)
SOLD SOLD REINVESTED REINVESTED REDEEMED REDEEMED SHARES AMOUNT
---------- ------------- ---------- ------------- ----------- ------------ --------- -------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
SERIES A 13,115,840 $ 403,874,053 2,571,222 $ 79,656,454 (11,564,167) $(358,204,267) 4,122,895 $ 125,326,240
(Growth)
SERIES B 5,555,901 221,999,609 3,659,924 $ 149,837,298 (7,951,710) (313,790,993) 1,264,115 58,045,914
(Growth-Income)
SERIES C 33,024,715 408,017,212 530,017 6,397,306 (31,152,783) (385,059,478) 2,401,949 29,355,040
(Money Market)
SERIES D 21,025,414 132,226,186 4,367,946 28,129,575 (20,050,195) (126,506,277) 5,343,165 33,849,484
(Worldwide
Equity)
SERIES E 9,193,741 111,833,663 736,163 8,568,936 (8,974,467) (108,689,374) 955,437 11,713,225
(High Grade
Income)
SERIES J 5,406,352 107,368,787 1,204,066 25,362,376 (5,166,083) (106,457,311) 1,444,335 26,273,852
(Mid Cap)
SERIES K 806,113 8,305,713 153,600 1,470,621 (1,055,973) (10,896,062) (96,260) (1,119,728)
(Global Strategic
Income)
SERIES M 884,712 11,022,394 268,436 3,358,140 (1,577,250) (19,704,926) (424,102) (5,324,392)
(Global Total
Return)
SERIES N 2,885,843 42,450,822 82,992 1,211,684 (964,871) (14,176,092) 2,003,964 29,486,414
(Managed Asset
Allocation)
SERIES O 5,624,422 100,221,196 458,869 8,378,947 (3,493,846) (61,560,607) 2,589,445 47,039,536
(Equity Income)
SERIES P 766,900 13,512,225 74,465 1,264,861 (335,963) (5,910,834) 505,402 8,866,252
(High Yield)
SERIES S 2,302,241 56,874,790 125,263 3,033,860 (1,066,288) (25,615,469) 1,361,216 34,293,181
(Social)
SERIES V 943,201 13,173,169 30,259 447,227 (218,251) (2,995,788) 755,209 10,624,608
(Value)
SERIES X 313,489 3,021,171 489 5,176 (62,341) (580,773) 251,637 2,445,574
(Small Cap)
</TABLE>
8. DIRECTED BROKERAGE
The Fund has directed certain portfolio trades to brokers who paid a
portion of each Series expenses. Expenses were reduced as indicated in the table
below:
YEAR ENDED
12/31/99
--------
Series A $9,652
Series B 8,654
Series J 2,006
Series M 423
Series S 1,404
Series V 173
Series Y 33
9. FEDERAL TAX MATTERS
Realized gains and losses are determined on an identified cost basis for
federal income tax purposes. For federal income tax purposes, Series A, B, D, H,
J, K, M, O, P, S, V, and X hereby designate $43,545,790, $294,935,723,
$27,806,329, $30,010, $28,323,218, $61,725, $2,417,605, $6,790,759, $19,266,
$7,112,344, $1,216,424 and $3,970 respectively as capital gains dividends for
the fiscal year ended December 31, 1999.
At December 31, 1999, Series E, K, S and Y have capital loss carry forwards
of: $12,418,893 (expires in 2002, 2004, 2005 and 2007), $452,492 (expires in
2007), $1,435,718 (expires in 2007) and $91,338 (expires in 2007) respectively.
The income dividends paid by the Funds are taxable as ordinary income on
the shareholder's tax return. The portion of ordinary income of dividends
(including net short-term capital gains) attributed to the fiscal year ended
December 31, 1999 that qualified for the dividends received deduction for
corporate shareholders in accordance with the provisions of the Internal Revenue
code for each Series was: A, 100%; Series B, 46%; Series C, 0%; Series D, 1%;
Series E, 0%; Series H, 39%; Series I, 0%; Series J, 10%; Series K, 0%; Series
M, 11%; Series N, 29%; Series O, 81%; Series P, 2%; Series S, 100%; Series V,
100%; Series X, 0%; and Series Y, 0%.
- --------------------------------------------------------------------------------
126
<PAGE> 128
REPORT OF INDEPENDENT AUDITORS
TO THE CONTRACT OWNERS AND BOARD OF DIRECTORS
SBL FUND
We have audited the accompanying statements of assets and liabilities, including
the schedule of investments, of SBL Fund (comprised of Series A, B, C, D, E, H,
I, J, K, M, N, O, P, S, V, X and Y portfolios) (the Fund) as of December 31,
1999, and the related statements of operations, changes in net assets and
financial highlights for the periods indicated therein. These financial
statements and financial highlights are the responsibility of the Fund's
management. Our responsibility is to express an opinion on these financial
statements and financial highlights based on our audits.
We conducted our audits in accordance with auditing standards generally accepted
in the United States. Those standards require that we plan and perform the audit
to obtain reasonable assurance about whether the financial statements and
financial highlights are free of material misstatement. An audit includes
examining, on a test basis, evidence supporting the amounts and disclosures in
the financial statements and financial highlights. Our procedures included
confirmation of investments owned as of December 31, 1999, by correspondence
with the custodians and brokers. As to certain securities relating to
uncompleted transactions, we performed other audit procedures. An audit also
includes assessing the accounting principles used and the significant estimates
made by management, as well as evaluating the overall financial statement
presentation. We believe that our audits provide a reasonable basis for our
opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of each
of the respective portfolios constituting the Fund at December 31, 1999, and the
results of their operations, changes in their net assets and the financial
highlights for the periods indicated therein in conformity with accounting
principles generally accepted in the United States.
/s/ERNST & YOUNG LLP
Kansas City, Missouri
February 11, 2000
- --------------------------------------------------------------------------------
127
<PAGE> 129
SECURITY FUNDS
OFFICERS AND DIRECTORS
- ----------------------
DIRECTORS
- ---------
Donald A. Chubb, Jr.
John D. Cleland
Penny A. Lumpkin
Mark L. Morris, Jr., D.V.M.
Maynard F. Oliverius
James R. Schmank
OFFICERS
- --------
John D. Cleland, President
James R. Schmank, Vice President
Terry A. Milberger, Vice President
Cindy L. Shields, Vice President
Steven M. Bowser, Vice President
David Eshnaur, Vice President
Michael A. Petersen, Vice President
James P. Schier, Vice President
Thomas A. Swank, Vice President
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.
- ----------------------------------- -----------------
[LOGO] SECURITY DISTRIBUTORS, INC. BULK RATE
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700 SW Harrison St. PERMIT NO. 941
Topeka, KS 66636-0001 CHICAGO, IL
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