Aetna Variable Fund
For the six month period ended June 30, 1996, the Aetna Variable Fund achieved a
total return of 10.50%, net of fund expenses, versus the S&P 500 Index (an
unmanaged index) return of 10.24%. The Fund's longer-term performance places it
in the top 11% (35 out of 309), 88% (137 out of 155), and 44% (18 out of 41) of
all Growth and Income variable funds within the Morningstar universe for the
past 1, 5, and 10 years, respectively.
The S&P 500 Index has historically tended to provide about a 10% annual return,
with considerable variation around that average, of course. Taking this into
account, you might consider the six month performance for the stock market as a
year's worth of return in six months. This return was especially surprising in
light of the upward march of interest rates over the period, as shown by the
benchmark 30 Year Treasury Bond which began the year at under 6.0%, and by the
end of June hovered near 7.0%. As interest rates rose, bond prices naturally
fell, resulting in negative returns for most bond indices. Typically, under
these circumstances, stocks would not perform very well since stocks and bonds
tend to move in tandem as they compete for investors' dollars.
Due to the divergence of stock and bond performance during the first six months
of 1996, the going-forward expected return spread of stocks over bonds narrowed
considerably. Stocks are normally expected to have a higher return than bonds to
compensate for the higher risk, but by the end of June, this "equity risk
premium" had declined to well below its normal level. Consequently, our
assessment of the outlook for equities changed from quite bullish at the
beginning of the year to moderately bearish by June.
Guided by our asset allocation disciplines, we decreased our equity exposure and
increased our cash equivalent holdings, primarily through the use of options and
futures contracts. We find that using these financial instruments to effect
asset allocation shifts is very beneficial because their high liquidity makes
using them quicker and less expensive than outright selling of individual
stocks. We carefully assess the relative attractiveness of all alternatives when
making an asset allocation move, including futures, options and stock
transactions.
<TABLE>
<CAPTION>
Portfolio of Notional Value Notional Value Economic
Investments of Options * of Futures * Exposure *
<S> <C> <C> <C> <C>
Large Cap Stocks 72.5% -- 2.1% 74.6%
Mid Cap Stocks 10.3% (7.0%) -- 3.3%
Small Cap Stocks 4.5% 0.2% -- 4.7%
International Stocks 3.3% -- 0.6% 3.9%
Real Estate Stocks 2.9% -- -- 2.9%
Special Situations 2.0% -- -- 2.0%
Convertible Securities 1.1% -- -- 1.1%
Cash Equivalents 3.4% 6.8% (2.7%) 7.5%
======== ======= ===== ========
Total Investments 100.0% 0.0% 0.0% 100.0%
======== ======= ===== ========
</TABLE>
* "Notional value" refers to the economic value at risk, or the exposure to the
financial instruments underlying the options and futures positions. "Economic
exposure" reflects the Fund's exposure to both changes in value of the
portfolio of investments as well as the financial instruments underlying the
options and futures positions.
Please note that a new type of equity investment was introduced to the Fund's
lineup during the past six months. The "special situations" category was created
to take advantage of investment opportunities which are "special" in the sense
that they do not fit well into our normal valuation and modeling framework. The
largest category within this group is initial public offerings, but other
categories include spin-offs, newly created securities, and stocks of companies
which derive their value from something other than assets, earnings, and
dividends.
Looking forward to the second half of 1996, we believe that the Fund is
well-positioned to provide downside protection should the market weaken, not
only through an increased cash position, but also through participation in
equity asset
39
<PAGE>
Aetna Variable Fund (continued)
classes (such as international, real estate, and convertible securities) which
have a relatively low correlation to the U.S. equity market. In addition, we
expect our stock selection disciplines, which favor stocks that have
demonstrated characteristics such as positive earnings surprise, upward
revisions of earnings estimates, low price/earnings, low price/book value, and
high insider ownership, to continue to perform relatively well regardless of the
market environment.
Of course, past performance is no assurance of future returns.
Investment Summary:
Top Ten Holdings % of Portfolio
Exxon Corp. 2.7%
Johnson and Johnson 2.1%
Nike, Inc. CL B 2.0%
Pfizer, Inc. 1.8%
Bristol Meyers Squibb 1.7%
Cisco Systems, Inc. 1.6%
Pepsico, Inc. 1.6%
Mobil Corp. 1.5%
AMR Corp. 1.4%
BankAmerica Corp. 1.4%
Large Cap Portfolio Sector Breakdown:
Portfolio S&P 500
Sector Weight Weight Over/(Under)
Basic Materials 14.2% 14.5% (0.3)%
Producer Goods & Services 8.7% 11.5% (2.8)%
Technology 7.4% 11.5% (4.1)%
Consumer Goods 29.4% 25.5% 3.9 %
Services 12.8% 11.6% 1.2 %
Financial Services 14.6% 13.7% 0.9 %
Utilities 12.9% 11.7% 1.2 %
40
<PAGE>
Aetna Income Shares
Aetna Income Shares generated a total return of -0.97%, net of fund expenses,
for the six month period ended June 30, 1996. The Fund outperformed the Lehman
Brothers Aggregate Bond Index which reported a return of -1.21% for the same six
month period. The Fund's performance among Morningstar's universe of variable
annuity corporate bond funds for the past 1, 5, and 10 years, ranked in the top
26% (67 out of 259), 43% (64 out of 148), and 14% (13 out of 90), respectively.
The average maturity of the Fund's bond holdings and its investments in
diversifying asset classes (certain categories of bonds) were two factors that
contributed to performance during the period. At the start of the year, we
positioned the portfolio's interest rate exposure by targeting securities with
longer maturities, according to our expectation that 1995's bond market rally
would carry over into the first half of 1996. However, the rally subsided in
February amid mounting evidence that the economy's growth potential appeared
somewhat higher than consensus forecasts. As interest rates rose in reaction to
stronger economic growth, we moved to reduce the average duration of the Fund's
assets and lowered the Fund's overall interest rate risk exposure by decreasing
the holdings in longer maturities. Relative performance improved as interest
rates rose by approximately 1.00%.
Within the bond market's investment grade sector, mortgage-backed securities
outperformed both government and corporate bonds. The Lehman Brothers
Mortgage-Backed Index generated a year-to-date return of 0.35% versus returns of
- -1.79% and -2.14%, respectively, for the Lehman Brothers Government and
Corporate Indices (unmanaged indices). While the Fund did not have a large
mortgage-backed securities allocation, its holdings of premium pass-throughs and
collateralized mortgage obligations generally outperformed the index, aiding
performance. Foreign holdings outperformed the index as yield spread
differentials to Treasuries narrowed for Asian bonds. Although high grade
corporate bonds continued to be the largest sector exposure within the Fund,
modest holdings in diversifying asset classes such as high-yield securities and
emerging market debt helped to boost the Fund's returns.
Looking forward, we remain cautious on the near term outlook for the bond
market. The Federal Reserve is likely to raise interest rates in the second half
of 1996 if the economy continues to expand at its current pace. Employment and
home sales remain persistently strong, and while key inflation indicators remain
muted, wages will be the key inflation determinant. Longer term, we are more
complacent as we believe the 100 basis point increase in interest rate levels
thus far this year should ultimately begin to temper the economic growth that
proved challenging to bond market performance for the first half of 1996.
Past performance is no assurance of future returns.
Investment Summary:
<TABLE>
<CAPTION>
Quality Ratings % of Portfolio Top Ten Long Term Holdings % of Portfolio
<S> <C> <C> <C>
AAA 55.6% U.S. Treasury 6.875% 3/31/00 3.8%
AA 7.5% U.S. Treasury 6.875% 7/31/99 3.1%
A 13.0% U.S. Treasury 6.250% 5/31/00 3.0%
BBB 8.7% U.S. Treasury 5.750% 8/15/03 2.9%
BB 10.6% Associates Corp. 7.950% 2/15/10 2.4%
B 2.2% U.S. Treasury 6.875% 5/15/06 2.3%
Other 2.4% FNMA 30 Yr. 8.00% 6/12/26 2.3%
Average AA- Ford Motor Credit 5.50% 2/22/99 2.3%
FNMA 30 Yr. 7.50% 7/15/26 2.2%
African Development Bank 8.80% 9/1/19 2.0%
</TABLE>
41
<PAGE>
Aetna Variable Encore Fund
The total return for Aetna Variable Encore Fund for the six month period ended
June 30, 1996 was 2.58%, net of fund expenses. The Fund placed in the top 16%
(38 out of 237), 15% (24 out of 155), and 15% (17 out of 110) versus the
variable money market funds universe reported by Morningstar, Inc. for 1, 5, and
10 year periods, respectively. As of June 30, 1996, Encore Fund had an average
maturity of 53 days and reported a 7-day average yield of 5.13%, net of fund
expenses.
The range of maturities of the securities and the selection of particular
securities for the Fund were the major contributors to the Fund's above average
performance during the period. In targeting securities with shorter maturities
and securities with adjustable rate features, the Fund was able to take
advantage of higher yields for most of the year. The Fund's atypical strategy of
targeting securities with short maturities when the Federal Reserve was lowering
short-term interest rates worked well in 1995 and into early 1996. Normally,
money market funds extend the average maturity of the securities in their
portfolios by targeting securities with longer maturities during such periods in
order to lock in the higher yields as interest rates decline. However,
heightened bullish market sentiment had created a phenomenon known as an
inverted yield curve, in which yields offered on securities with shorter
maturities were greater than those offered on longer maturities. That situation
began to reverse itself in the first quarter of 1996 amid signs of economic
strength which, in turn, caused longer term interest rates to increase. In
response to the reshaping of the money market yield curve, the Fund has adjusted
the maturity rates targeted for its portfolio securities and currently maintains
an average maturity that is competitive with that of its peers.
The Fund also enhanced its yield through selective purchases of commercial paper
issued by smaller and less well-known companies. The yield premium investors
demand from issuers is not always a reflection of increased risks, but often
exists because these companies are not common household names. Be assured that
the Fund adheres to strict credit quality standards and monitors each issuer on
a regular basis.
We are cautious in our near term outlook for short-term interest rates. The
economy has shown persistent signs of strength, particularly in the employment
and housing sectors, and consumer confidence remains at relatively high levels.
While inflation has been relatively subdued, the potential for wage inflation
has increased. Considering that 1996 is an election year, the Federal Reserve
may temper any action on interest rates. We believe, however, that any signs of
inflationary pressure will prompt the Fed to increase interest rates.
Past performance is no assurance of future returns.
Investment Summary:
Quality Breakdown % of Portfolio
Tier 1 97.7%
Tier 2 2.3%
Maturity Distribution % of Portfolio
1 - 30 days 53.8%
31-60 days 14.5%
61-90 days 7.7%
91 days or more 24.0%
42
<PAGE>
Aetna Investment Advisers Fund
The Aetna Investment Advisers Fund, Inc. generated a total return of 6.09%, net
of fund expenses, for the six month period ended June 30, 1996, as compared with
a 5.57% return of the 60%/40% weighted S&P 500 Index and the Lehman Aggregate
Bond Index. The Fund placed well within Morningstar's Balanced Fund universe,
ranking in the top 13% (47 out of 361) for the one year, and 36% (77 out of 213)
for the 5 year time periods.
Over the past six months, we've seen a significant divergence between the
performance of the stock market and the bond market. In early 1996, the economy
began to show signs of slightly higher growth, strong employment expansion, and
a pick-up in manufacturing activity with little threat of wage or price
inflation. This created an environment in which stocks significantly
outperformed bonds. For example, the stocks of larger companies, when measured
by the S&P 500 Index, returned 10.24% for the six month period, while the stocks
of smaller companies as measured by the Russell 2000 led the performance of all
stocks during the period with a 10.36% return. Bonds, on the other hand,
suffered from the unexpected increase in economic growth, as evidenced by the
- -1.21% return of the Lehman Brothers Aggregate Bond Index. All indices are
unmanaged.
Over the period, we remained overweighted in stocks with an emphasis on larger
companies. The Fund maintained an average allocation of 65% stocks and 35%
bonds. We reduced the amount of stocks slightly in the latter half of the period
to be closer to our benchmark of 60% stocks and 40% bonds. Also, the cash
component of the bond portion was increased over the period; a move which proved
to be profitable as bonds underperformed cash instruments.
In addition to having an overweight standing in stocks, the Fund's exposure to
different sub-categories of stocks (also known as diversifying asset classes),
especially stocks of smaller companies, added to fund performance. This
outperformance was especially encouraging as smaller company stocks (small caps)
had lagged stocks of larger companies (large caps) somewhat in 1995. We recently
have become a bit more defensive in our view of the U.S. equity markets in both
small and large cap stocks. Going forward we expect to target a more neutral
weight to underweight position in stocks in the Fund, given the strong
performance of stocks we have seen to date and our belief that the earnings
growth trend (the level of profits that companies report over time) will decline
during 1996.
The Fund's bond portion outperformed the Lehman Brothers Aggregate Bond Index,
primarily because we targeted bonds with shorter rates of maturities and had
modest holdings in diversifying asset classes of bonds. The percentage of
holdings in Treasuries of longer maturities was reduced in the early part of
1996 as rates started to rise. The proceeds from this action were then invested
in securities with shorter maturities. Adding to performance, the Fund remained
slightly overweight in intermediate term investment grade corporate bonds, the
types of bonds that had the strongest performance among corporate bonds. The
diversifying asset classes of international and domestic high yield bonds also
produced strong positive returns.
Our outlook for domestic bonds remains cautious over the short term due to
concerns over continued economic growth and a potential inflation increase. We
believe the Federal Reserve will likely take action to tighten monetary policy
and restrain economic growth with an increase in interest rates. With a
potential slowdown in growth forecasted for late 1996 or early 1997, we will
look to adjust the Fund's allocations in stocks and bonds as relative
opportunities arise.
Past performance is no assurance of future returns.
43
<PAGE>
Aetna Investment Advisers Fund (continued)
Investment Summary:
Top Ten Holdings % of Portfolio
U.S. Treasury 7.5% 1/31/97 2.8%
U.S. Treasury Strips 5/15/04 2.5%
U.S. Treasury 6.25% 8/31/96 1.5%
U.S. Treasury 6.375% 6/30/98 1.3%
HFS, Inc. 1.3%
Pitney Bowes Credit 8.55% 9/15/09 1.1%
Nike, Inc. CL. B 1.0%
Johnson and Johnson 1.0%
Cisco Systems, Inc. 1.0%
Grand Casinos Inc. 10.125% 12/1/03 0.9%
Large Cap Portfolio Sector Breakdown:
<TABLE>
<CAPTION>
Portfolio S&P 500
Sector Weight Weight Over/(Under)
<S> <C> <C> <C>
Basic Materials 14.1% 14.5% (0.5)%
Producer Goods & Services 22.5% 11.5% 11.0 %
Technology 17.0% 11.5% 5.5 %
Consumer Goods 25.2% 25.5% (0.3)%
Services 6.6% 11.6% (5.0)%
Financial Services 9.9% 13.7% (3.8)%
Utilities 4.7% 11.7% (7.0)%
</TABLE>
44
<PAGE>
Aetna Variable Fund
Portfolio of Investments - June 30, 1996 (Unaudited)
- -------------------------------------------------------------------------------
Number of Market
Shares Value
----------- ------------
COMMON STOCKS (91.0%)
Aerospace and Defense (1.4%)
General Dynamics Corp. ........................ 23,200 $ 1,438,400
Kaman Corp. Class A ........................... 30,800 311,850
McDonnell Douglas Corp. ....................... 971,000 47,093,499
Mitsubishi Heavy Industries Ltd ............... 300,000 2,606,555
Raytheon Co. .................................. 120,700 6,231,138
United Technologies Corp. ..................... 282,600 32,498,999
------------
90,180,441
------------
Apparel (2.3%)
Chic By H.I.S., Inc.+ ......................... 28,900 151,725
Gap, Inc. ..................................... 238,300 7,655,388
Nike, Inc. Class B............................. 1,166,000 119,806,499
Payless ShoeSource, Inc.+ ..................... 23,492 745,871
TJX Companies, Inc. ........................... 421,800 14,235,750
------------
142,595,233
------------
Autos and Auto Equipment (2.6%)
Borg Warner Automotive, Inc. .................. 61,700 2,437,150
Chrysler Corp.................................. 1,127,200 69,886,399
Ford Motor Co.................................. 2,525,700 81,769,537
Kaydon Corp. .................................. 38,000 1,634,000
Mitsubishi Motors Corp. ....................... 190,000 1,662,944
Shinmaywa Industries Ltd. ..................... 151,000 1,541,870
Smith (A.O.) Corp. ............................ 93,100 2,327,500
T & N Plc ..................................... 441,500 960,404
------------
162,219,804
------------
Banks (4.3%)
Associated Banc-Corp .......................... 14,700 569,625
Banco Frances del Rio de la Plata S.A. ADR .... 38,000 1,092,500
Bank of Boston Corp. .......................... 632,100 31,288,949
Bankers Corp. ................................. 42,000 735,000
Barnett Banks, Inc. ........................... 120,596 7,356,356
CCB Financial Corp. ........................... 14,500 743,125
Charter One Financial, Inc. ................... 38,000 1,325,250
CITICORP ...................................... 390,352 32,252,833
Citizens Bancorp .............................. 10,000 292,500
City National Corp. ........................... 210,800 3,320,100
Cullen/Frost Bankers, Inc. .................... 76,000 2,109,000
Den Norske Bank ASA ........................... 345,000 1,046,163
Deutsche Pfandbrief-Hypothekenbank AG ......... 50,000 1,987,255
FFY Financial Corp. ........................... 21,500 510,625
First American Corp. (Tenn.) ................. 84,900 3,576,413
First Chicago Corp............................. 1,196,772 46,823,704
First Commonwealth Financial Corp ............. 18,900 335,475
First Empire State Corp. ...................... 3,900 939,900
First of America Bank Corp. ................... 61,700 2,761,075
First Union Corp. ............................. 505,200 30,754,049
Golden West Financial Corp. ................... 103,500 5,796,000
ING Groep N.V ................................. 51,102 1,523,780
Investors Financial Services
Corp ........................................ 105,300 2,448,225
JSB Financial, Inc. ........................... 27,700 917,563
Banks (continued)
KeyCorp ....................................... 1,500 $ 58,125
Mark Twain Bancshares, Inc. ................... 4,200 155,400
Nations Bank, Inc. ............................ 794,800 65,670,349
North Fork Bancorporation,
Inc ......................................... 50,000 1,306,250
Onbancorp Inc. ................................ 11,900 312,375
Oversea-Chinese Banking Corp. Ltd. ............
(Foreign-Registered shares) 107,000 1,250,797
Queens County Bancorp, Inc. ................... 50,000 2,450,000
Reliance Bancorp, Inc. ........................ 74,900 1,170,313
Royal Bank of Canada .......................... 89,800 2,153,438
Security Capital Corp. ........................ 33,000 1,963,500
St. Francis Capital Corp. ..................... 12,200 305,000
Standard Financial, Inc. ...................... 44,000 726,000
Star Banc Corp. ............................... 62,100 4,183,988
Susquehanna Bancshares, Inc. .................. 5,600 149,800
Trustmark Corp. ............................... 17,900 375,900
UnionBancal Corp. ............................. 78,100 4,129,538
Zion Bancorporation ........................... 36,500 2,655,375
------------
269,521,613
------------
Building Materials and Construction (0.8%)
American Buildings Co.+ ......................... 60,500 1,769,625
Arvin Industries, Inc. .......................... 4,700 104,575
Beazer Homes USA, Inc.+ ......................... 55,200 883,200
Bouygues ........................................ 14,500 1,616,650
Butler Manufacturing Co. ........................ 9,300 313,875
Centex Corp. .................................... 143,800 4,475,775
Champion Enterprises, Inc.+...................... 271,600 5,669,650
Cimenteries CBR Cementbedrijven ................. 33,600 2,520,268
Continental Homes Holding Corp .................. 31,200 670,800
Cubiertas Y Mzov SA ............................. 12,400 807,550
DMCI Holdings, Inc.+ ............................ 500,000 357,824
Elcor Corp. ..................................... 36,800 671,600
Granite Construction, Inc. ...................... 128,850 2,963,550
Jacobs Engineering Group, Inc.+ ................. 32,800 865,100
Koninklijke Volker Stevin N.V ................... 10,400 808,483
Lennar Corp. .................................... 238,000 5,950,000
Lindab AB Class B ............................... 136,000 1,530,304
Masco Corp. ..................................... 52,400 1,585,100
NCI Building Systems, Inc.+ ..................... 14,300 482,625
Nippon Densetsu Kogyo ........................... 203,000 2,424,488
Redman Industries, Inc.+ ........................ 99,400 2,062,550
Skyline Corp. ................................... 32,000 800,000
Stone & Webster, Inc. ........................... 18,000 614,250
Strabag Oesterreich AG .......................... 3,400 269,773
Texas Industries, Inc. .......................... 36,300 2,491,088
Toll Brothers, Inc.+ ............................ 88,000 1,441,000
Tredegar Industries, Inc. ....................... 16,500 499,125
VA Technologie AG ............................... 16,800 2,057,521
Vulcan Materials Co. ............................ 35,800 2,125,625
Webb (Del E.) Corp. ............................. 52,900 1,058,000
WHX Corp.+ ...................................... 66,700 608,638
----------
50,498,612
----------
See Notes to Portfolio of Investments. 45
<PAGE>
Aetna Variable Fund
Portfolio of Investments - June 30, 1996 (Unaudited) - continued
- -------------------------------------------------------------------------------
Number of Market
Shares Value
----------- -----------
Chemicals (1.0%)
ARCO Chemical Co. .............................. 66,200 $ 3,442,400
Chemed Corp. ................................... 28,700 1,072,663
Cytec Industries+ .............................. 101,400 8,669,700
Dow Chemical Co. ............................... 415,200 31,555,199
Fuji Photo Film+ ............................... 80,000 2,523,590
Goodrich (B.F.) Co. ............................ 128,000 4,784,000
Hanna (M. A.) Co. .............................. 13,950 291,206
Industrial Oxygen, Inc. Bhd..................... 298,000 413,209
Konica Corp. ................................... 260,000 1,957,971
Mallinckrodt Group, Inc. ....................... 174,700 6,791,463
OM Group, Inc. ................................. 28,200 1,106,850
Shin-Etsu Chemical Co. ......................... 115,500 2,211,332
-----------
64,819,583
-----------
Commercial Services (0.4%)
AccuStaff, Inc.+ ............................... 44,000 1,199,000
Devry, Inc.+ ................................... 85,600 3,852,000
GATX Corp. ..................................... 95,000 4,583,750
Health Management Systems, Inc.+ ............... 10,700 339,725
Inchcape Plc ................................... 454,079 2,074,311
ISS International Service System AS ............ 106,100 2,369,636
Kindercare Learning Centers, Inc.+ ............. 58,000 891,750
May & Speh, Inc.+ .............................. 32,200 507,150
Measurex Corp. ................................. 42,300 1,237,275
PhyMatrix Corp.+ ............................... 46,200 1,074,150
PIA Merchandising Services, Inc.+ .............. 3,900 56,550
Robert Half International Inc.+ ................ 286,800 7,994,550
The Vincam Group, Inc.+ ........................ 14,000 364,000
Wackenhut Corp. Class B ........................ 66,900 1,229,288
-----------
27,773,135
-----------
Computer Software (3.4%)
Acxiom Corp.+ .................................. 35,000 1,194,375
American Management Systems, Inc.+ ............. 66,750 1,952,438
Analysts International Corp. ................... 8,700 365,400
BMC Software Inc.+ ............................. 15,000 896,250
Boole & Babbage, Inc.+ ......................... 24,000 576,000
Cadence Design Systems, Inc.+ .................. 303,600 10,246,500
Check Point Software Tecnologies Ltd.+ ......... 4,600 110,400
Cisco Systems, Inc.+............................ 1,781,020 100,850,257
Computer Associates International, Inc. ........ 549,800 39,173,249
Computer Horizons Corp.+ ....................... 13,650 539,175
Computer Sciences Corp.+ ....................... 85,400 6,383,650
Compuware Corp.+ ............................... 22,700 896,650
Comshare, Inc.+ ................................ 17,700 548,700
Continum, Inc.+ ................................ 29,272 1,697,776
Control Data Systems, Inc.+ .................... 17,700 378,338
DecisionOne Corp.+ ............................. 55,800 1,325,250
Diamond Multimedia Systems, Inc.+ .............. 25,300 240,350
DST Systems, Inc.+ ............................. 24,200 774,400
Edify Corp.+ ................................... 25,600 678,400
Engineering Animation, Inc.+ .................. 18,600 372,000
Farallon Communications+ ....................... 9,300 137,175
Henry (Jack) & Associates ...................... 15,300 520,200
Computer Software (continued)
Hyperion Software Corp.+ ....................... 29,600 $ 366,300
Kronos, Inc.+ .................................. 29,550 1,049,025
Meridian Data, Inc.+ ........................... 39,600 351,450
Microsoft Corp.+ ............................... 185,500 22,283,188
Netscape Communications Corp.+ ................. 23,000 1,431,750
Network General Corp.+ ......................... 72,000 1,548,000
Project Software & Development, Inc.+ .......... 27,600 1,293,750
Reynolds & Reynolds Co. ........................ 71,600 3,812,700
Softdesk, Inc.+ ................................ 12,400 117,800
SPSS, Inc.+ .................................... 16,800 420,000
Structural Dynamics Research Corp.+ ............ 203,800 4,483,600
Sungard Data Systems, Inc.+..................... 125,300 5,027,663
------------
212,042,159
------------
Computers and Office Equipment (2.7%)
Adaptec, Inc.+ ................................. 110,800 5,249,150
Applied Magnetics Corp.+ ....................... 46,400 487,200
Boise Cascade Office Product+ .................. 18,000 623,250
Cabletron Systems, Inc.+ ....................... 272,400 18,693,450
Canon, Inc. .................................... 145,000 3,014,086
Comdisco, Inc. ................................. 92,850 2,472,131
CompUSA, Inc.+ ................................. 82,000 2,798,250
Computervision Corp.+ .......................... 138,300 1,383,000
Dell Computer Corp.+ ........................... 412,300 20,975,763
Gateway 2000, Inc.+ ............................ 117,000 3,978,000
Harris Corp. ................................... 107,300 6,545,300
HBO & Co. ...................................... 38,200 2,588,050
In Focus Systems, Inc.+ ........................ 75,500 1,830,875
Komag, Inc.+ ................................... 100,000 2,637,500
Mylex Corp.+ ................................... 16,100 285,775
Standard Register Co. .......................... 31,700 780,613
Sun Microsystems, Inc.+......................... 1,166,800 68,695,349
Trident Microsystems, Inc.+ .................... 35,300 445,663
Western Digital Corp.+ ......................... 107,200 2,800,600
Xerox Corp. .................................... 398,400 21,314,400
------------
167,598,405
------------
Consumer Products (1.2%)
AJL PEPS Trust ................................. 71,800 1,516,775
Eastman Kodak Co. .............................. 389,200 30,260,299
First Brands Corp. ............................. 139,200 3,758,400
Libbey, Inc. ................................... 18,000 499,500
Liz Claiborne, Inc. ............................ 962,200 33,316,174
Premark International, Inc. .................... 281,300 5,204,050
------------
74,555,198
------------
Diversified (2.2%)
ALFA, SA de CV ................................. 345,700 1,555,194
Astec Industries, Inc.+ ........................ 9,600 88,800
Dover Corp...................................... 1,100,400 50,755,949
Email Ltd. ..................................... 646,856 1,680,163
Hagemeyer N.V .................................. 23,316 1,660,941
Harsco Corp. ................................... 95,700 6,435,825
Helix Technology Corp. ......................... 8,400 325,500
46 See Notes to Portfolio of Investments.
<PAGE>
Aetna Variable Fund
Portfolio of Investments - June 30, 1996 (Unaudited) - continued
- -------------------------------------------------------------------------------
Number of Market
Shares Value
-------- -----------
Diversified (continued)
Lonrho Plc .................................... 484,510 $ 1,392,739
Lydall, Inc.+ ................................. 18,800 413,600
Minnesota Mining and Manufacturing Co. ........ 90,200 6,223,800
Mizuno Corp. .................................. 88,000 826,366
Oakley, Inc.+ ................................ 62,300 2,834,650
Opal, Inc.+ ................................... 35,200 448,800
Oriental Holdings Bhd ......................... 169,500 1,107,222
Orkla AS Class A .............................. 43,000 2,263,646
Plantronics, Inc.+ ............................ 9,100 334,425
Standex International Corp. ................... 14,100 401,850
Swire Pacific Ltd. Class A .................... 100,000 855,855
Textron, Inc. ................................. 553,600 44,218,799
The Manitowoc Co., Inc. ....................... 1,000 35,875
Varlen Corp. .................................. 26,400 554,400
VF Corp. ...................................... 165,500 9,867,938
Wing Tai Holdings ............................. 334,000 709,883
------------
134,992,220
------------
Electrical and Electronics (0.8%)
ADT Ltd.+ ..................................... 162,200 3,061,525
Amphenol Corp.+ ............................... 88,000 2,024,000
ASE Test Limited ADR+ ........................ 37,000 430,125
Austria Mikro Systeme International ........... 10,120 944,673
Cohu, Inc. .................................... 20,300 411,075
Dallas Semiconductor Corp. .................... 55,500 1,005,938
DII Group, Inc.+ .............................. 18,000 459,000
Electro Scientific Industries, Inc.+ .......... 13,000 273,000
Esterline Technologies+ ....................... 57,000 1,425,000
Hadco Corp.+ .................................. 112,400 2,416,600
Hitachi Koki .................................. 215,000 2,116,971
Integrated Packaging Assembly Corp.+ .......... 13,500 126,563
Logicon, Inc. ................................. 93,200 2,784,350
Matsushita Electric Industrial Co. Ltd. ....... 27,000 502,165
Maxim Integrated Products, Inc.+ .............. 63,400 1,731,613
MEMC Electronic Materials, Inc.+ .............. 20,600 798,250
Mentor Graphics Corp.+ ........................ 242,000 3,932,500
MTS Systems Corp. ............................. 22,600 474,600
Nintendo Co. Ltd. ............................. 37,000 2,752,610
Novellus Systems, Inc.+ ....................... 135,000 4,860,000
Philips Electronics N.V ....................... 52,200 1,697,188
Quickturn Design System, Inc.+ ................ 85,000 1,232,500
Rohm Co. ...................................... 39,000 2,574,281
Symbol Technologies, Inc.+ .................... 22,600 1,005,700
TDK Corp. ..................................... 47,000 2,802,389
Technitrol, Inc. ............................. 17,700 701,363
Tencor Instruments+ ........................... 12,500 235,938
Waters Corp.+ ................................. 93,000 3,069,000
Watkins-Johnson Co. ........................... 8,900 243,638
Wyle Electronics .............................. 31,500 1,043,438
------------
47,135,993
------------
Electrical Equipment (2.1%)
ADflex Solutions, Inc.+ ....................... 38,000 $ 418,000
Allgon AB Class B ............................. 20,000 333,047
Belden Inc. ................................... 80,300 2,409,000
Berg Electronics Corp.+ ....................... 116,600 2,769,250
Burr-Brown Corp.+ ............................. 35,150 623,913
C-Cube Microsystems, Inc.+ .................... 75,000 2,475,000
Charter Power Systems, Inc. ................... 14,700 510,825
Cidco, Inc.+ .................................. 50,000 1,762,500
Clipsal Industries Ltd. ....................... 240,000 674,400
Dionex Corp.+ ................................. 18,000 580,500
Draka Holding N.V ............................. 23,000 711,424
Fore Systems, Inc.+ ........................... 168,600 6,090,675
Furukawa Electric Co. ......................... 285,000 1,701,919
General Electric Co. .......................... 785,400 67,937,099
General Instrument Corp.+ ..................... 18,600 537,075
Grainger (W. W.), Inc. ........................ 101,600 7,874,000
Hitachi Ltd. (Hit .............................
Seisakusho) ................................. 267,000 2,482,928
International Rectifier
Corp.+ ...................................... 242,800 3,915,150
Kemet Corp.+ .................................. 118,400 2,368,000
Kent Electronics Corp.+ ....................... 190,200 5,943,750
Methode Electronics, Inc. Class A ............. 51,500 875,500
Mitsubishi Electric Corp. ..................... 79,400 553,053
Pittway Corp. Class A ......................... 9,500 441,750
Raychem Corp. ................................. 136,100 9,782,188
SCI Systems, Inc.+ ............................ 109,300 4,440,313
Vishay Intertechnology, Inc.+ ................. 26,250 620,156
-----------
128,831,415
-----------
Financial Services (5.0%)
ABN Amro Holding N.V .......................... 25,593 1,373,356
Advanta Corp. Class A ......................... 31,000 1,581,000
ALBANK Financial Corp. ........................ 15,020 396,153
Alex Brown & Sons, Inc. ....................... 72,000 4,068,000
Astoria Financial Corp. ....................... 99,400 2,696,225
Bank of Ayudhya PCL ........................... 158,000 870,866
Barclays Plc .................................. 184,644 2,217,736
Bear Sterns Co., Inc. ......................... 363,825 8,595,366
Beneficial Corp. .............................. 121,700 6,830,413
Chase Manhattan Corp........................... 1,175,168 82,996,241
Commercial Federal Corp. ...................... 50,000 1,912,500
ContiFinancial Corp.+ ......................... 28,000 826,000
Deposit Guaranty Corp. ........................ 25,800 1,135,200
Downey Financial Corp. ........................ 2,700 59,063
Edwards (A.G.), Inc. .......................... 32,100 870,713
Fokus Banken AS+ .............................. 199,000 1,084,352
Great Financial Corp. ......................... 40,000 1,035,000
Greenpoint Financial Corp. .................... 103,600 2,926,700
Home Financial Corp. .......................... 10,000 130,000
HSBC Holdings Plc ............................. 124,762 1,885,747
47
<PAGE>
Aetna Variable Fund
Portfolio of Investments - June 30, 1996 (Unaudited) - continued
- -------------------------------------------------------------------------------
Number of Market
Shares Value
-------- -----------
Financial Services (continued)
Istituto Mobiliare Italiano SpA ................ 325,400 $ 2,716,973
J.P. Morgan & Co. .............................. 57,400 4,857,475
Leader Financial Corp. ......................... 70,000 3,132,500
Lehman Brothers Holdings, Inc .................. 92,600 2,291,850
Lion Land Bhd .................................. 471,000 526,626
MBF Capital Bhd ................................ 350,000 482,507
Merrill Lynch & Co., Inc. ...................... 453,611 29,540,930
Morgan Stanley Goup, Inc. ...................... 139,600 6,857,850
Paine Webber Group, Inc. ....................... 42,600 1,011,750
Peoples Heritage Financial Group ............... 71,000 1,446,625
RCSB Financial, Inc. ........................... 61,500 1,591,313
Salomon, Inc. .................................. 634,800 27,931,199
Sanyo Shinpan Finance Co. ...................... 38,100 2,434,982
Siam Commercial Bank PCL ....................... 60,000 869,291
Sparbanken Sverige AB .......................... 123,000 1,594,105
TR Financial Corp. ............................. 64,100 1,762,750
Transamerica Corp. ............................. 280,100 22,688,100
Travelers Group, Inc............................ 1,729,500 78,908,437
Union Planters Corp. ........................... 74,200 2,253,825
------------
316,389,719
------------
Foods and Beverages (5.9%)
Allied Domecq Plc .............................. 130,000 913,013
Annheuser-Busch Co., Inc. ...................... 260,100 19,507,500
Cagle's, Inc. .................................. 21,200 341,850
Campbell Soup Co. .............................. 603,800 42,567,899
Coca-Cola Co. .................................. 839,600 41,035,449
Conagra, Inc. .................................. 645,100 29,271,412
Cultor Oy ...................................... 15,500 793,999
Eridania Beghin-Say SA ......................... 12,500 1,956,957
Golden Vale Plc ................................ 561,000 654,224
Heinz (H.J.) Co. ............................... 51,600 1,567,350
Hershey Foods Corp. ............................ 125,200 9,186,550
Hillsdown Holdings Plc ......................... 502,600 1,358,835
Hormel Foods Corp. ............................. 8,500 227,375
Hudson Foods, Inc. Class A ..................... 148,800 2,083,200
Huhtamaki Group Class I ........................ 30,100 1,004,176
International Multifoods Corp .................. 61,100 1,115,075
Kroger Co. (The)+............................... 1,299,100 51,314,449
Mondavi (Robert) Corp. Class A+ ................ 55,200 1,738,800
Nash-Finch Co. ................................. 17,000 272,000
Panamerican Beverages, Inc. Class A ............ 43,000 1,924,250
Parmalat Finanziaria SpA........................ 1,075,600 1,445,359
PepsiCo, Inc.................................... 2,751,800 97,344,924
Quilmes Industrial SA+ ......................... 40,200 412,050
Safeway, Inc.+ ................................. 184,600 6,091,800
Sara Lee Corp................................... 1,524,300 49,349,212
Super Food Services, Inc. ...................... 23,000 218,500
Supervalu, Inc. ................................ 220,000 6,930,000
------------
370,626,208
------------
Health Services (0.5%)
Bergen Brunswig Corp. Class A .................. 40,000 1,110,000
Genetics Institute, Inc.+ ...................... 26,900 1,708,150
Health Services (continued)
Health Management Associates, Inc.+ ............ 40,750 $ 825,188
HEALTHSOUTH Corp.+ ............................. 73,800 2,656,800
Invacare Corp. ................................. 79,400 1,865,900
Lincare Holdings, Inc.+ ........................ 148,600 5,832,550
Maxicare Health Plans, Inc.+. .................. 141,200 2,665,150
Sun Healthcare Group, Inc.+..................... 105,000 1,496,250
Sunrise Assisted Living, Inc.+ ................. 14,000 336,000
Tenet Healthcare Corp.+ ........................ 318,300 6,803,663
Universal Health Services, Inc.+ ............... 137,200 3,584,350
Wellpoint Health Networks, Inc.+ ............... 28,881 902,531
------------
29,786,532
------------
Home Furnishings & Appliances (0.1%)
Haverty Furniture Co., Inc. .................... 32,000 328,000
Kimball International, Inc. Class B ............ 11,500 317,688
Leggett & Platt, Inc. .......................... 170,000 4,717,500
Oneida, Ltd. ................................... 19,800 371,250
----------
5,734,438
----------
Hotels and Restaurants (1.0%)
HomeTown Buffet, Inc.+ ......................... 31,200 440,700
Interstate Hotels Co.+ ......................... 9,300 206,925
La Quinta Inns, Inc. ........................... 71,900 2,408,650
Marcus Corp. ................................... 13,400 336,675
Marriott International, Inc..................... 879,900 47,294,624
Prime Hospitality Corp.+ ....................... 110,000 1,815,000
Promus Hotel Corp.+ ............................ 101,800 3,015,825
Regal Hotels International...................... 3,900,000 1,045,435
RFS Hotel Investors, Inc. ...................... 180,000 2,790,000
Sun International Hotels Ltd.+ ................. 52,300 2,536,550
----------
61,890,384
----------
Household Products (0.4%)
Carlisle Cos., Inc. ............................ 1,400 74,375
Clorox Co. ..................................... 249,600 22,120,800
Leifheit AG .................................... 23,100 1,069,866
Toro Co. ....................................... 36,700 1,215,688
Waterford Wedgewood Plc ........................ 360,000 483,084
----------
24,963,813
----------
Insurance (2.7%)
Aegon N.V ...................................... 32,481 1,495,587
Allied Group, Inc. ............................. 18,400 800,400
Allmerica Property & Casualty Cos., Inc......... 16,400 442,800
Allstate Corp................................... 1,173,436 53,538,017
AMBAC, Inc. ................................... 87,500 4,560,938
American Bankers Insurance Group ............... 76,100 3,319,863
Baloise Holding Ltd. ........................... 650 1,412,479
Bankers Life Holding Corp. ..................... 1,200 26,550
Capital American Financial Corp ................ 13,900 349,238
CIGNA Corp. .................................... 220,500 25,991,437
CMAC Investment Corp. .......................... 100,500 5,778,750
Conseco, Inc. .................................. 308,600 12,344,000
Enhance Financial Services Group, Inc. ......... 2,100 58,800
Equitable of Iowa Cos .......................... 9,400 333,700
48 See Notes to Portfolio of Investments.
<PAGE>
Aetna Variable Fund
Portfolio of Investments - June 30, 1996 (Unaudited) - continued
- -------------------------------------------------------------------------------
Number of Market
Shares Value
-------- -----------
Insurance (continued)
First Colony Corp. ............................. 23,300 $ 722,300
Fremont General Corp. .......................... 108,570 2,497,110
Frontier Insurance Group, Inc .................. 10,340 356,730
Highlands Insurance Co.+ ....................... 74,610 1,398,938
Horace Mann Educators Corp. .................... 89,600 2,844,800
IPC Holdings Ltd. .............................. 159,300 3,205,913
Lawyers Title Corp. ............................ 18,200 327,600
MAIC Holdings, Inc.+ ........................... 11,236 418,541
Markel Corp.+ .................................. 5,000 465,000
Mutual Risk Management Ltd. .................... 105,467 3,295,833
NAC Re Corp. ................................... 15,000 502,500
Old Republic International Corp ............... 275,728 5,928,152
Orion Capital Corp. ............................ 32,800 1,672,800
PXRE Corp. ..................................... 15,000 363,750
RISCORP, Inc.+ ................................. 35,500 647,875
Safeco Corp. ................................... 218,000 7,711,750
Security-Connecticut Corp. ..................... 19,100 520,475
Selective Insurance Group, Inc ................. 32,000 1,040,000
TIG Holdings, Inc. ............................. 525,400 15,236,600
Transatlantic Holdings, Inc. ................... 42,800 3,001,350
Union des Assurances Federales ................. 15,100 1,862,459
Vesta Insurance Group, Inc. .................... 93,000 3,103,875
Winterthur Schweizerische Versicherungs -
Gesellschaft ................................. 1,980 1,178,477
------------
168,755,387
------------
Machinery and Equipment (1.4%)
AGCO Corp. ..................................... 198,738 5,514,980
Allied Products, Corp. ......................... 20,000 567,500
Applied Power, Inc. ............................ 11,900 333,200
Barnes Group, Inc. ............................. 23,600 1,206,550
Blount, Inc. Class A ........................... 45,000 1,417,500
Brunswick Corp. ................................ 72,900 1,458,000
Case Corp. ..................................... 333,100 15,988,800
Caterpillar, Inc. .............................. 213,500 14,464,625
Electroglas, Inc.+ ............................. 23,000 327,750
FSI International, Inc.+ ....................... 22,600 285,325
Global Industrial Technologies, Inc.+ .......... 105,000 1,680,000
Illinois Tool Works, Inc. ...................... 127,500 8,622,188
JLG Industries, Inc. ........................... 40,000 2,970,000
Komatsu Ltd. ................................... 273,000 2,688,061
Lam Research Corp.+ ............................ 196,280 5,103,280
Parker-Hannifin Corp. .......................... 557,900 23,641,012
Regal Beloit ................................... 61,500 1,214,625
Tecumseh Products Co. Class A .................. 21,500 1,155,625
Tsukishima Kikai ............................... 85,700 1,820,495
------------
90,459,516
------------
Media and Entertainment (0.7%)
AMC Entertainment+ ............................. 27,500 766,563
American Portable+ ............................. 213,900 2,299,425
Belo Corp. Class A ............................. 24,700 920,075
Media and Entertainment (continued)
Callaway Golf Co. .............................. 200,000 $ 6,650,000
Chris-Craft Industries Inc.+ .................. 48,925 2,152,700
Granada Group Plc .............................. 167,000 2,236,757
Grand Casinos, Inc.+ ........................... 33,200 854,900
GTECH Holdings Corp.+ .......................... 34,500 1,022,063
Jones Intercable, Inc.+ ........................ 11,600 155,150
King World Production, Inc.+.................... 442,900 16,110,488
Ladbroke Group Plc ............................. 508,572 1,422,395
Magnum Corp. Bhd ............................... 423,000 715,369
Media General, Inc. ............................ 29,700 1,106,325
Mirage Resorts, Inc.+ .......................... 74,500 4,023,000
Premier Parks, Inc.+ ........................... 23,000 500,250
Regal Cinemas, Inc.+ ........................... 84,300 3,856,725
------------
44,792,185
------------
Medical Supplies (2.2%)
Baxter International, Inc. ............... 350,100 16,542,225
Bio-Rad Labs, Inc. Class A+ .............. 57,000 2,044,875
Cardiac Pathways Corp.+ .................. 7,000 101,500
Coherent, Inc.+ .......................... 79,800 4,149,600
Collagen Corp. ........................... 26,000 497,250
Guidant Corp. ............................ 1,026,419 50,551,135
Haemonetics Corp.+ ....................... 40,200 733,650
Medtronic, Inc. .......................... 991,400 55,518,399
Nycomed ASA Class A+ ..................... 70,000 1,007,450
OrNda HealthCorp+ ........................ 40,000 960,000
OrthoLogic Corp.+ ........................ 18,800 239,700
Sola International, Inc.+ ................ 31,300 899,875
Sybron International Corp.+ .............. 131,800 3,295,000
US Surgical Corp. ........................ 45,800 1,419,800
-----------
137,960,459
-----------
Metals and Mining (1.4%)
AK Steel Holding Corp. ................... 28,000 1,095,500
Alcan Aluminum Ltd. ...................... 94 2,847
Alumax, Inc.+ ............................ 25,600 777,600
Asarco, Inc. ............................. 186,800 5,160,350
Ashland Coal Inc. ........................ 13,300 345,800
Carpenter Technology Corp. ............... 73,200 2,342,400
China Steel Corp.+ ....................... 17,000 433,500
Cleveland-Cliffs, Inc. ................... 58,000 2,269,250
Commonwealth Aluminum Corp. .............. 70,000 1,093,750
Cyprus Amax Minerals Co. ................. 3,000 67,875
Dofasco, Inc. ............................ 67,215 989,256
Freeport McMoRan, Inc. ................... 377,100 13,387,050
Handy & Harman ........................... 82,200 1,397,400
J & L Specialty Steel, Inc. .............. 162,100 2,411,238
MAF Bancorp, Inc. ........................ 12,900 316,050
Mueller Industries, Inc.+ ................ 120,000 4,980,000
North Ltd.+ .............................. 618,000 1,775,461
Phelps Dodge Corp. ....................... 733,500 45,752,062
Svenskt Stal AB (SSAB) ................... 74,000 936,751
Tambang Timah ............................ 847,500 1,565,736
49
<PAGE>
Aetna Variable Fund
Portfolio of Investments - June 30, 1996 (Unaudited) - continued
- --------------------------------------------------------------------------------
Number of Market
Shares Value
--------- ---------
Metals and Mining (continued)
Titanium Metals Corp.+ ........................ 76,000 $ 1,966,500
Usinor Sacilor ................................ 99,600 1,436,455
------------
90,502,831
------------
Oil and Gas (10.4%)
Amoco Corp. ................................... 882,509 63,871,588
Apache Corp. .................................. 70,200 2,307,825
Ashland, Inc. ................................. 45,900 1,818,788
Atlantic Richfield Co. ........................ 603,100 71,467,349
Australian Gas Light Co. Ltd................... 300,000 1,249,128
Belco Oil & Gas Corp.+ ........................ 43,200 1,533,600
Camco International, Inc. ..................... 72,000 2,439,000
Chevron Corp. ................................. 92,500 5,457,500
Columbia Gas System, Inc. ..................... 21,500 1,120,688
El Paso Natural Gas Co. ....................... 46,200 1,778,700
Exxon Corp..................................... 1,933,500 167,972,812
Halliburton Co. ............................... 946,100 52,508,549
HS Resources, Inc.+ ........................... 10,576 122,941
KCS Energy, Inc. .............................. 10,000 287,500
Kerr-Mcgee Corp. .............................. 106,300 6,471,013
Mobil Corp. ................................... 822,500 92,222,812
National Fuel Gas Co. ......................... 22,200 799,200
Neste ......................................... 70,500 1,502,228
NGC Corp. ..................................... 13,200 198,000
Oneok, Inc. ................................... 70,000 1,750,000
Petro-Canada .................................. 127,400 1,581,189
Phillips Petroleum Co. ........................ 221,300 9,266,938
Pride Petroleum Services, Inc.+ ............... 118,000 1,681,500
Reading & Bates Corp.+ ........................ 90,700 2,006,738
Royal Dutch Petroleum Co. ..................... 363,800 55,934,249
Shell Transport & Trading Co................... 130,000 1,904,803
Smith International, Inc.+ .................... 292,500 8,811,563
Sonat Offshore Drilling Co. ................... 168,800 8,524,400
Tesoro Petroleum Corp.+ ....................... 70,000 805,000
Texaco, Inc. .................................. 878,400 73,675,799
Tosco Corp. ................................... 15,300 768,825
USX Marathon Group ............................ 335,500 6,751,938
VEBA AG ....................................... 15,000 797,201
------------
649,389,364
------------
Paper and Containers (0.1%)
Asia Pulp & Paper Co. Ltd.+ ................... 38,400 470,400
Intertape Polymer Group, Inc. ................. 61,600 1,251,666
Metsa-Serla Oy ................................ 156,900 1,114,419
Stora Kopparbergs ............................. 45,000 593,381
------------
3,429,866
------------
Pharmaceuticals (10.1%)
Abbott Laboratories ........................... 531,600 23,124,600
Alliance Pharmaceutical+ ...................... 2,900 47,850
American Home Products Corp.................... 607,800 36,543,974
Autoimmune, Inc.+ ............................. 34,300 321,563
Becton, Dickinson & Co. ....................... 494,300 39,667,574
Bristol-Myers Squibb Co........................ 1,161,500 104,534,999
Pharmaceuticals (continued)
Cardinal Health Inc. .......................... 106,500 $ 7,681,313
COR Therapeutics, Inc.+ ....................... 43,500 494,813
Daiichi Pharmaceuticals Co. Ltd ............... 150,000 2,311,164
Dura Pharmaceuticals, Inc.+ ................... 47,500 2,660,000
Eli Lilly & Co. ............................... 46,500 3,022,500
ICN Pharmaceuticals, Inc. ..................... 52,500 1,220,625
Immulogic Pharmaceutical Corp.+ ............... 42,100 384,163
Johnson & Johnson.............................. 2,635,108 130,437,845
Jones Medical Industries, Inc ................. 67,275 2,236,894
Merck & Co., Inc. ............................. 754,000 48,727,249
Pfizer, Inc.................................... 1,507,300 107,583,537
Pharmacia & Upjohn, Inc. ...................... 449,200 19,933,250
Rhone-Poulenc Rorer, Inc. ..................... 80,000 5,370,000
Schering Plough Corp........................... 1,238,900 77,740,974
Vical, Inc.+ .................................. 22,600 361,600
Warner Lambert Co. ............................ 250,200 13,761,000
Watson Pharmaceuticals, Inc.+ ................. 83,400 3,158,775
------------
631,326,262
------------
Printing and Publishing (2.4%)
Banta Corp. .................................... 233,400 5,893,350
Central Newspapers, Inc. Class A ............... 50,700 1,901,250
Devon Group, Inc.+ ............................. 17,700 575,250
Gannett Company, Inc. .......................... 770,900 54,541,174
Knight-Ridder, Inc. ............................ 94,600 6,858,500
Lee Enterprises, Inc. .......................... 12,000 283,500
Meredith Corp. ................................. 28,200 1,177,350
Mondadori (Arnoldo) Editore SpA ................ 214,000 1,619,309
New York Times Co. ............................. 280,500 9,151,313
Pulitzer Publishing Co. ........................ 41,000 2,429,250
Quebecor, Inc. Class B ........................ 53,000 828,550
Schibsted Group ................................ 160,500 2,075,239
Scholastic Corp.+ .............................. 66,000 4,092,000
Scientific Games Holdings Corp.+ ............... 11,000 319,000
Times Mirror Co. ............................... 534,300 23,242,049
Toppan Printing Co. Ltd. ....................... 180,000 2,625,701
Tribune Co. .................................... 461,000 33,480,124
-----------
151,092,909
-----------
Real Estate (0.0%)
Fastighets AB Tornet ........................... 3,300 26,855
Rouse Co. ...................................... 51,000 1,319,625
-----------
1,346,480
-----------
Real Estate Investment Trusts (2.8%)
Ambassador Apartments, Inc. .................... 118,900 2,006,438
AMLI Residential Properities Trust ............. 55,900 1,152,938
Apartment Investment & Management Co. .......... 104,200 1,953,750
Associated Estates Realty Corp ................. 118,000 2,478,000
Atlantic Realty Trust, Inc.+ .................. 8,237 68,985
Beacon Properties Corp. ........................ 266,900 6,839,313
Bre Properties, Inc. Class A ................... 28,400 553,800
CALI Realty Corp. .............................. 58,500 1,418,625
Camden Property Trust .......................... 75,500 1,793,125
50 See Notes to Portfolio of Investments.
<PAGE>
Aetna Variable Fund
Portfolio of Investments - June 30, 1996 (Unaudited) - continued
- -------------------------------------------------------------------------------
Number of Market
Shares Value
-------- ----------
Real Estate Investment Trusts (continued)
Carr Realty Corp. ............................... 36,300 $ 871,200
CBL & Associates Properties, Inc ................ 107,900 2,414,263
Centerpoint Properties Corp. .................... 23,400 567,450
Chelsea GCA Realty, Inc. ........................ 126,900 4,029,075
Colonial Properties Trust ....................... 111,400 2,701,450
Commercial Net Lease Realty ..................... 41,700 578,588
Cousins Properties, Inc. ........................ 29,000 569,125
Crescent Real Estate Equities, Inc. ............. 216,500 7,956,375
Crown America Realty Trust ...................... 228,300 1,769,325
Daibiru Corp. ................................... 90,000 1,197,976
Debartolo Realty Corp. .......................... 303,300 4,890,713
Developers Diversified Realty Corp. ............. 303,100 9,661,313
Duke Realty Investments, Inc. ................... 276,700 8,370,175
Equity Inns, Inc. ............................... 186,500 2,144,750
Equity Residential Properties Trust ............. 149,400 4,911,525
Essex Property Trust, Inc. ...................... 70,600 1,517,900
Evans Withycombe Residential, Inc. .............. 70,900 1,480,038
Excel Realty Trust, Inc. ........................ 153,500 3,146,750
Healthcare Realty Trust, Inc. .................. 121,200 2,878,500
Highwood Properties, Inc. ....................... 264,000 7,293,000
Horizon Group, Inc. ............................. 133,400 2,734,700
Hysan Development Co. Ltd. ...................... 390,000 1,194,063
Innkeepers USA Trust ............................ 86,900 869,000
Kimco Realty Corp. .............................. 187,050 5,284,163
Kranzco Realty Trust ............................ 27,300 385,613
LTC Properties, Inc. ............................ 56,900 938,850
Macerich Co. (The) .............................. 52,000 1,092,000
Manufactured Home Communities, Inc. ............. 44,800 862,400
Merry Land & Investment Co., Inc. ............... 51,700 1,085,700
MGI Properties, Inc. ............................ 72,300 1,238,138
Mid-America Apartment Communities, Inc. ......... 87,800 2,227,925
National Golf Properties, Inc ................... 97,200 2,357,100
National Health Investors, Inc .................. 152,800 5,004,200
New World Development Co. Ltd ................... 332,827 1,543,573
Oasis Residential, Inc. ......................... 264,200 5,779,375
OMEGA Healthcare Investors, Inc ................. 48,400 1,337,050
Patriot American Hospitality, Inc. .............. 46,600 1,380,525
Post Properties, Inc. ........................... 119,000 4,209,625
Price REIT, Inc. ................................ 17,500 566,563
Public Storage, Inc. ............................ 442,900 9,134,813
Ramco-Gerhenson Properties ...................... 16,475 255,363
Realty Income Corp. ............................. 76,000 1,577,000
Security Capital Industrial Trust ............... 121,000 2,132,625
Simon Property Group, Inc. ...................... 100,000 2,450,000
Smith (Charles E.) Residential Realty Co. ....... 35,400 849,600
South West Property Trust ....................... 282,600 3,779,775
Spieker Properties, Inc. ........................ 252,100 6,869,725
Starwood Lodging Trust .......................... 33,800 1,229,475
Storage USA, Inc. ............................... 79,000 2,547,750
Sun Communities, Inc. ........................... 24,000 645,000
Vornado Realty Trust ............................ 188,800 7,717,200
Tanger Factory Outlet Centers, Inc. ............. 94,100 2,187,825
Walden Residential Properties, Inc. ............. 164,800 3,357,800
Real Estate Investment Trusts (continued)
Weeks Corp. ..................................... 26,800 $ 696,800
Weingarten Realty Investors...................... 101,000 3,913,750
Winston Hotels, Inc. ............................ 93,100 1,082,288
------------
177,731,817
------------
Retail (4.1%)
American Stores Co. ........................... 602,500 24,853,124
Arbor Drugs, Inc. ............................. 15,700 327,738
Asda Group Plc ................................ 600,000 1,086,106
Big B, Inc. ................................... 77,400 735,300
Borders Group, Inc.+ .......................... 26,200 844,950
Burton Group Plc............................... 1,263,759 3,053,443
Carson Pirie Scott & Co.+ ..................... 10,500 280,875
Claire's Stores, Inc. ......................... 123,900 3,422,738
Dayton Hudson Corp. ........................... 670,500 69,145,312
Docs de France, SA ............................ 9,000 1,905,483
Eckerd Corp.+ ................................. 69,700 1,576,963
Fabri-Centers of America Class A+ ............. 17,700 292,050
Fabri-Centers of America Class B+ ............. 8,100 122,513
Familymart .................................... 30 1,335
Fay's Drug Co. ................................ 52,300 411,863
G.I.B. Holdings Ltd. .......................... 55,400 2,486,192
General Host Corp.+ ........................... 83,580 229,845
Hannaford Brothers, Co. ....................... 71,000 2,316,375
Hasbro, Inc. .................................. 18,600 664,950
Ito-Yokado Co., Ltd. .......................... 44,000 2,651,593
Kroger Equity, Inc.+ .......................... 22,700 303,613
Laclede Gas Co. ............................... 41,200 921,850
Matahari Putra Prima .......................... 194,000 354,243
May Department Stores Co. ..................... 41,900 1,833,125
Melville Corp. ................................ 46,600 1,887,300
Mercantile Stores Co., Inc. ................... 324,700 19,035,538
Merkur Holding AG ............................. 1,225 257,390
Proffitt's, Inc.+ ............................. 23,000 816,500
Rex Stores Corp.+ ............................. 25,000 384,375
Ross Stores, Inc. ............................. 323,500 11,241,625
Russ Berrie & Co. Inc. ........................ 33,000 606,375
Saks Holdings, Inc.+ .......................... 23,300 795,113
Sears, Roebuck & Co............................ 1,439,200 69,981,099
Shopko Stores, Inc. ........................... 31,300 504,713
Tiffany & Co. ................................. 24,200 1,766,600
Urban Shopping Centers, Inc. .................. 68,200 1,619,750
Vendex International N.V ...................... 40,754 1,420,541
Vons Companies, Inc.+ ......................... 133,000 4,970,875
Waban, Inc.+ .................................. 140,000 3,342,500
Woolworth Corp.+ .............................. 646,700 14,550,750
Zale Corp.+ ................................... 90,800 1,532,250
-----------
254,534,873
-----------
Specialty Consumer Durables (0.2%)
Fusion Systems Corp.+ ......................... 12,200 301,950
Harley-Davidson, Inc. ......................... 124,100 5,103,613
Polaris Industries, Inc. ...................... 147,850 5,045,381
-----------
10,450,944
-----------
51
<PAGE>
Aetna Variable Fund
Portfolio of Investments - June 30, 1996 (Unaudited) - continued
- -------------------------------------------------------------------------------
Number of Market
Shares Value
-------- ----------
Telecommunications (1.5%)
360 Communications Co.+ ........................ 150,500 $ 3,612,000
Ameritech Corp.................................. 1,089,600 64,694,999
Ascend Communications, Inc.+. .................. 204,200 11,486,250
Diana Corp.+ ................................... 123,400 5,013,125
Indosat ........................................ 50,000 1,675,000
LCI International, Inc.+ ....................... 32,500 1,019,688
Lucent Technologies, Inc. ...................... 69,700 2,639,888
Northern Telecom Ltd. .......................... 50,200 2,729,625
P.T. Pasifik Satelit Nusantara ADR+ ............ 54,600 1,092,000
Telecomunicacoes Brasileiras SA ................ 5,500 382,938
Teleport Communications Group, Inc.+ ........... 4,600 87,975
------------
94,433,488
------------
Textiles (0.1%)
Carli Gry International AS+ .................... 60,000 1,964,027
Donna Karan International, Inc.+ ............... 46,500 1,302,000
------------
3,266,027
------------
Transportation (2.3%)
Alaska Air Group, Inc.+ ........................ 22,100 604,988
America West Airlines, Inc. Class B+ ........... 70,800 1,557,600
AMR Corp.+ ..................................... 956,300 87,023,299
APL Ltd.+ ...................................... 185,300 4,840,963
Canadian National Railway Co.................... 120,000 2,205,000
Comair Holdings, Inc. .......................... 272,550 7,358,850
CSX Corp. ...................................... 259,000 12,496,750
Eagle USA Airfreight, Inc.+ .................... 9,100 336,700
East Japan Railway Co. ......................... 434 2,275,152
Expeditors International of Washington, Inc. ... 27,100 840,100
Harper Group, Inc. ............................. 45,000 877,500
Kvaerner AS .................................... 46,200 1,952,083
M.S. Carriers, Inc.+ ........................... 20,600 422,300
NFC Plc ........................................ 432,131 1,242,174
Malaysian International Shipping Bhd ........... 113,000 350,960
Norfolk Southern Corp. ......................... 32,100 2,720,475
Peninsular & Orient Steam Navigation Co. ....... 205,400 1,551,072
PHH Corp. ...................................... 64,300 3,665,100
Singapore Airlines Ltd. ........................ 210,000 2,216,791
Steady Safe (Foreign-Registered shares) ........ 300,000 373,792
Transportacion Maritima Mexicana SA de CV ...... 50,000 368,750
UAL Corp.+ ..................................... 126,000 6,772,500
Werner Enterprises, Inc. ....................... 28,000 728,000
------------
142,780,899
------------
Utilities - Electric (4.6%)
Allegheny Power System, Inc. ................... 73,300 2,263,138
Boston Edison Co. .............................. 137,400 3,503,700
Centerior Energy Corp. ......................... 126,500 932,938
Central Hudson Gas & Electric Co. .............. 41,900 1,309,375
CILCORP, Inc. .................................. 22,800 974,700
Commonwealth Energy System, Inc ................ 48,400 1,246,300
Consolidated Edison Co. of New York, Inc. ...... 715,400 20,925,450
Destec Energy, Inc.+ ........................... 23,100 294,525
Utilities - Electric (continued)
DQE, Inc. ...................................... 152,550 $ 4,195,125
Edison International............................ 1,104,200 19,461,525
Electrabel SA .................................. 8,400 1,793,680
Electrowatt AG ................................. 6,420 2,374,738
Empresa Nacional Electricidad SA ADR ........... 60,000 1,290,000
Enova Corp. .................................... 100,000 2,312,500
Entergy Corp.................................... 1,189,600 33,754,899
Florida Progress Corp. ......................... 112,400 3,905,900
General Public Utilities Corp .................. 534,500 18,841,125
Green Mountain Power Corp. ..................... 4,500 109,125
IES Industries, Inc. ........................... 86,000 2,569,250
Illinova Corp. ................................. 213,600 6,141,000
IPALCO Enterprises, Inc. ....................... 26,100 685,125
Korea Electric Power Corp. ..................... 60,000 1,455,000
LG&E Corp. ..................................... 70,800 1,619,550
Long Island Lighting Corp. ..................... 38,000 636,500
MDU Resources Group, Inc. ...................... 17,200 369,800
National Power Plc ADR (c) ..................... 42,050 1,024,969
New England Electric System .................... 93,000 3,382,875
New York State Electric & Gas Corp. ............ 226,100 5,511,188
Nipsco Industries, Inc. ........................ 170,000 6,842,500
Oesterreichisch Elektrizitatswirtschafts-AG
(Verbundgesellschaft) ........................ 25,000 1,907,782
Oklahoma Gas & Electric Co. .................... 58,700 2,325,988
Orange & Rockland Utilities, Inc ............... 40,000 1,470,000
Pinnacle West Capital Corp. .................... 160,300 4,869,113
Portland General Corp. ......................... 179,500 5,542,063
Public Service Co. of New Mexico ............... 180,000 3,690,000
Public Service Co. of Colorado ................. 124,600 4,579,050
Sierra Pacific Resources+ ...................... 124,400 3,156,650
SIGCORP, Inc. .................................. 15,000 519,375
Texas Utilities Co.............................. 1,388,400 59,354,099
TNP Enterprises, Inc. .......................... 24,300 689,513
Unicom Corp..................................... 1,381,400 38,506,524
Union Electrica Fenosa SA ...................... 253,500 1,629,170
United Illuminating Co. ........................ 36,000 1,345,500
Western Resources, Inc. ........................ 165,500 4,944,313
WPS Resources Corp. ............................ 36,300 1,147,988
------------
285,403,628
------------
Utilities - Oil and Gas (0.5%)
AGL Resources, Inc. ............................... 157,200 2,967,150
Brooklyn Union Gas Co. (The) ..................... 82,700 2,253,575
Coastal Corp. (The) ............................... 366,500 15,301,375
Connecticut Energy Corp. .......................... 14,700 279,300
New Jersey Resources Corp. ........................ 43,000 1,236,250
Northwest Natural Gas Co. ......................... 12,100 423,500
Pacific Enterprises ............................... 225,100 6,668,588
Piedmont Natural Gas, Inc. ........................ 15,500 358,438
Valero Energy Corp. ............................... 88,000 2,200,000
Washington Gas Light Co. .......................... 26,200 576,400
Wicor, Inc. ....................................... 13,500 509,625
------------
32,774,201
------------
52 See Notes to Portfolio of Investments.
<PAGE>
Aetna Variable Fund
Portfolio of Investments - June 30, 1996 (Unaudited) - continued
- -------------------------------------------------------------------------------
Number of Market
Shares Value
-------- -----------
Utilities - Telephone (5.4%)
AT&T Corp. ................................. 539,900 $ 33,473,799
BCE, Inc. .................................. 44,900 1,767,134
Bell Atlantic Corp. ........................ 235,600 15,019,500
BellSouth Corp.............................. 1,826,000 77,376,749
Century Telephone Enterprises .............. 156,000 4,972,500
Cincinnati Bell, Inc. ...................... 312,500 16,289,063
GTE Corp.................................... 1,225,500 54,841,124
MCI Communications Corp. ................... 91,600 2,347,250
Nippon Telegraph & Telephone Corp .......... 364 2,694,698
NYNEX Corp. ................................ 823,200 39,101,999
Philippine Long Distance Telephone Co. ..... 13,400 797,863
SBC Communications, Inc. ................... 345,600 17,020,800
Southern New England Telecommunications
Corp. .................................... 211,600 8,887,200
Sprint Corp................................. 1,362,200 57,212,399
Telecom Italia SpA.......................... 1,200,000 2,579,256
------------
334,381,334
------------
TOTAL COMMON STOCKS (cost
$4,268,567,055) .......................... $5,686,967,375
------------
PREFERRED STOCKS (2.5%)
Banks (1.4%)
BankAmerica Corp............................ 1,116,900 84,605,174
Creditanstalt-Bankverein ................... 36,600 1,853,454
------------
86,458,628
------------
Chemicals (0.1%)
Union Carbide Corp. ........................ 112,300 4,463,925
------------
Computers and Office Equipment (0.1%)
Ceridian Corp. ............................. 21,000 2,331,000
------------
Diversified (0.0%)
Sea Containers Ltd. ........................ 36,000 1,692,000
Teledyne, Inc. ............................. 490 7,534
------------
1,699,534
------------
Electrical Equipment (0.1%)
Nokia AB Class A ........................... 76,000 2,797,185
------------
Financial Services (0.6%)
Alexander & Alexander (b) .................. 49,000 2,425,500
American Express Exch Note
First Data Corp. ......................... 504,300 33,094,687
RCSB Financial, Inc. ....................... 2,300 92,000
Travelers Group, Inc. ...................... 41,800 3,845,600
------------
39,457,787
------------
Foods and Beverages (0.0%)
Corning Delaware L.P. ...................... 13,900 794,038
Union Planters Co. ......................... 18,600 706,800
------------
1,500,838
------------
Machinery and Equipment (0.0%)
Case Corp. (b) ............................. 14,200 1,682,700
------------
Media and Entertainment (0.0%)
AMC Entertainment .......................... 15,850 754,856
------------
Metals and Mining (0.1%)
Cyprus Amax Minerals Co. ..................... 42,100 $2,304,975
Freeport McMoRan, Inc. ....................... 23,000 687,125
----------
2,992,100
----------
Paper and Containers (0.0%)
International Paper Co.(b) ................... 9,300 413,850
----------
Pollution Control (0.0%)
William Cos., Inc. ........................... 27,900 2,218,050
----------
Real Estate Investment Trusts (0.0%)
Security Capital Pacific Trust ............... 19,400 509,250
----------
Retail (0.1%)
Dillard Department Stores, Inc ............... 180,300 6,580,950
Tanger Factory Outlet Centers, Inc. .......... 55,800 1,231,088
----------
7,812,038
----------
Textiles (0.0%)
Gerry Weber International AG ................. 19,550 1,021,039
----------
Utilities - Oil and Gas (0.0%)
Valero Energy Corp. .......................... 37,200 1,953,000
----------
TOTAL PREFERRED STOCKS (cost $115,714,464) ... $158,065,780
----------
WARRANTS (0.0%)
Morgan Stanley American
Express Hong Kong Exchange Call+ ........... 87,300 425,588
----------
TOTAL WARRANTS (cost $429,843) ............... $ 425,588
----------
Principal Market
Amount Value
------- -----------
LONG-TERM BONDS AND NOTES (1.1%)
Convertible Bonds (1.1%)
Agnico-Eagle Mines Ltd., 3.50%, 01/27/04 ... $2,900,000 $2,888,511
Alza Corp., 0.00%, 07/14/14 ................ 1,860,000 778,875
Alza Corp., 5.00%, 05/01/06 ................ 930,000 904,425
Aspect Telecommunications,
5.00%, 10/15/03 (b) ...................... 930,000 2,373,825
Automatic Data Processing,
Inc., 0.00%, 02/20/12 .................... 3,800,000 1,986,456
Baker Hughes, Inc., 0.00%, 05/05/08 ........ 9,975,000 6,872,924
Bindley Western, 6.50%, 10/01/02 ........... 930,000 953,250
Boston Chicken, Inc., 0.00%, 06/01/15 ...... 3,730,000 1,095,688
California Energy Co., Inc.,
5.00%, 07/31/00 (b) ...................... 2,113,000 2,408,820
Career Horizons, Inc., 7.00%, 11/01/02 ..... 930,000 1,935,563
Carnival Corp., 4.50%, 07/01/97 ............ 680,000 1,116,900
Cityscape Financial Corp. ,
6.00%, 05/01/06 (b) ...................... 930,000 1,004,400
Consolidated Natural Gas
Co., 7.25%, 12/15/15 ..................... 950,000 1,014,125
Continental Airlines, Inc.,
6.75%, 04/15/06 .......................... 1,860,000 2,222,700
Continental Homes Holding
Corp., 6.875%, 11/01/02 .................. 700,000 777,000
Costco Wholesale, Inc., 5.75%, 05/15/02 .... 2,225,000 2,062,565
Cross Timbers Oil Co., 5.25%, 11/01/03 ..... 930,000 1,040,438
53
<PAGE>
Aetna Variable Fund
Portfolio of Investments - June 30, 1996 (Unaudited) - continued
- -------------------------------------------------------------------------------
Principal Market
Amount Value
------- -----------
Convertible Bonds (continued)
Fremont General Corp.,
0.00%, 10/12/13 ....................... $ 930,000 $ 430,125
Integrated Health Services,
5.75%, 01/01/01 ....................... 930,000 920,700
Mitsubishi Bank, 3.00%, 11/30/02 ........ 1,680,000 1,959,384
Marriott International,
Inc., 0.00%, 03/25/11 ................. 2,730,000 1,484,438
NAC Re Corp., 5.25%, 12/15/02 (b) ....... 930,000 850,950
National Semiconductor
Corp., 6.50%, 10/01/02 (b)............. 4,650,000 4,068,750
Office Depot, Inc., 0.00%, 12/11/07 ..... 1,100,000 715,000
Ogden Corp., 6.00%, 06/01/02 ........... 475,000 437,000
Omnicom Group, 4.50%, 09/01/00 (b) ...... 1,395,000 2,252,925
Pennzoil Co., 6.50%, 01/15/03 ........... 465,000 655,069
Pennzoil Co., 4.75%, 10/01/03 .......... 1,000,000 1,088,750
Pioneer Financial Services,
6.50%, 04/01/03 ....................... 465,000 474,300
Pogo Producing, 5.50%, 03/15/04 ......... 930,000 1,497,300
Potomac Electric Power,
7.00%, 01/15/18 ....................... 750,000 762,656
Prime Hospitality Corp.,
7.00%, 04/15/02 ....................... 330,000 487,575
Proffitt's, Inc., 4.75%, 11/01/03 ....... 3,255,000 3,092,250
Richey Electronics, Inc.,
7.00%, 03/01/06 (b) ................... 1,859,000 1,958,921
Rotech Medical Corp., 5.25%,
06/01/03 (b) .......................... 2,790,000 2,734,200
Sanmina Corp., 5.50%, 08/15/02 (b) ...... 930,000 1,050,900
Sholodge Inc., 7.50%, 05/01/04 .......... 1,860,000 1,641,450
U.S. Filter Corp., 6.00%, 09/15/05 ...... 2,795,000 3,815,175
Veterinary Centers of
America, 5.25%, 05/01/06 (b) .......... 1,395,000 1,227,600
Battle Mountain Gold Co.,
6.00%, 01/04/05 ....................... 500,000 400,000
Comverse Technology, Inc.,
5.25%, 12/01/03 (b) ................... 1,830,000 2,955,450
Apache Corp., 6.00%, 01/15/02 (b) ....... 1,470,000 1,786,050
---------
Total Convertible Bonds (cost
$64,844,574) .......................... $70,183,383
---------
Total Long-Term Bonds and Notes
(cost $64,844,574) .................... $70,183,383
---------
Call Options (0.0%)
Russell 2000 Index, 360, Sept 96 ........ 30,000 155,625
---------
Total Call Options (cost $570,900) ...... $ 155,625
---------
Put Options Purchased (0.2%)
S & P Midcap Index, 230, Sept 96 ........ 604,800 2,381,400
S & P Midcap Index, 240, Sept 96 ........ 1,155,600 9,100,350
---------
Total Put Options Purchased
(cost $11,585,762) .................... $11,481,750
---------
SHORT-TERM INVESTMENTS (3.4%)
Bridgestone/Firestone Master
Trust, Inc., Asset-Backed
Securities, 5.55%, 07/08/96 7,948,000 7,948,000
Columbus Trust Certificate/BOCC MT,
Asset-Backed Securities,
5.45%, 07/01/96............ 29,000,000 29,000,000
Columbus Trust Certificates,
Comm. Paper, 5.70%,
07/01/96................... 5,950,000 5,950,000
Cooperative Association of
Tractor Dealers, Comm.
Paper, 5.62%, 07/01/96..... 45,955,000 45,955,000
Dealers Capital Accident
Trust, Comm. Paper, 5.62%,
07/01/96................... 9,821,000 9,821,000
Mid-Atlantic Fuel Co., Comm.
Paper, 5.70%, 07/01/96..... $58,404,000 $58,404,000
Renaissance Energy Co.,
Comm. Paper, 5.55%,
07/01/96................... 10,430,000 10,430,000
Renaissance Energy Co.,
Comm. Paper, 5.75%,
07/01/96................... 10,661,000 10,661,000
U.S. Treasury Bill, Time
Deposit, 4.94%, 11/14/96 ++ 1,200,000 1,175,808
U.S. Treasury Bill, Time
Deposit, 4.95%, 11/14/96... 16,580,000 16,245,747
U.S. Treasury Bill, Time
Deposit, 4.85%, 11/14/96
(d)........................ 1,000,000 979,840
U.S. Treasury Bill, Time
Deposit, 5.07%, 11/14/96... 8,000,000 7,838,720
USL Capital Corp., Comm.
Paper, 5.43%, 07/01/96..... 5,991,000 5,991,000
-----------
Total Short-Term Investments
(cost $210,436,007) ....... $210,400,115
-----------
TOTAL INVESTMENTS
(cost $4,672,148,605) (a) . $6,137,679,616
Other assets less
liabilities ............... 111,405,441
-----------
Total Net Assets ............
$6,249,085,057
===========
Notes to Portfolio of Investments
+ Non-income producing security.
++ Security pledged to cover initial margin deposits on open futures contracts
at June 30, 1996.
(a) The cost of investments for federal income tax purposes amounted to
$4,670,455,595. Unrealized gains and losses, based on identified tax cost at
June 30, 1996, are as follows:
Unrealized gains ............ $1,532,112,808
Unrealized losses ........... (64,888,787)
-----------
Net unrealized gain ....... $1,467,224,021
===========
(b) Securities that may be resold to "qualified institutional buyers" under rule
144A or securities offered pursuant to Section 4(2) of the Securities Act of
1933, as amended. These securities have been determined to be liquid under
guidelines determined by the Board of Trustees.
(c) Represents an installment purchase. Remaining amount to be paid is $355,435
on September 17, 1996.
(d) Security segregated as collateral for installment purchase.
Category percentages are based on net assets.
Exercise Expiration Market
Call Options Contracts Price Date Value
- ------------------------------------------------------------------------
S & P Midcap Index 6,048 $ 230 Sept. 96 $(6,463,800)
S & P Midcap Index 11,556 240 Sept. 96 (5,561,325)
Put Options
- -----------
Russell 2000 Index 300 360 Sept. 96 (489,375)
-----------
Total Deferred Premiums on Written Options $(12,514,500)
===========
54 See Notes to Financial Statements.
<PAGE>
Aetna Variable Fund
Portfolio of Investments - June 30, 1996 (Unaudited) - continued
- -------------------------------------------------------------------------------
Information concerning open futures contracts is shown below:
No. of Initial Expiration Unrealized
Long Contacts Contracts Value Date Gain/(Loss)
---------- --------- -------- ----------
All Ordinaries
Share Price
Index Future...... 65 $2,916,095 Sept 96 $(19,186)
DAX-30 German
Stock Index
Future............ 94 15,838,466 Sept 96 142,031
FTSE 100
Index Future ..... 50 7,149,489 Sept 96 (28,318)
Milan MIB30
Index Future ..... 8 824,705 Sept 96 5,479
Topix Index
Future ........... 43 6,652,120 Sept 96 106,487
TSE 35 Index
Future ........... 31 2,990,986 Sept 96 3,405
S&P 500 Index
Future............ 386 130,740,100 Sept 96 (118,27)
--------
$ 91,625
========
55
<PAGE>
Aetna Income Shares
Portfolio of Investments - June 30, 1996 (Unaudited)
- ---------------------------------------------------------
Principal Market
Amount Value
--------- ---------
LONG-TERM BONDS AND NOTES (79.9%)
U.S. Government and Agency Obligations (36.5%)
Agency Mortgage-Backed Securities (14.3%)
Federal Home Loan Mortgage
Corp. 20 6-B, 2.24%, 07/15/19 ........ $ 912,383 $ 893,207
Federal National Mortgage
Association, 5.99%, 06/25/19 .......... 1,634,466 1,462,847
Federal National Mortgage
Association, 7.00%,
08/01/25 - 03/01/26 ................... 15,056,865 14,506,235
Federal National Mortgage
Association, 7.50%, 07/15/26 .......... 15,000,000 14,807,813
Federal National Mortgage
Association, 8.00%,
08/25/26(b) ........................... 15,000,000 15,079,688
Government National Mortgage
Association, 7.00%, 04/15/26 .......... 10,168,803 9,765,151
Government National Mortgage
Association, 7.50%,
03/15/24 - 10/15/25 ................... 9,216,281 9,092,369
Government National Mortgage
Association, 10.00%,
10/15/09 - 01/15/21 ................... 12,016,276 13,105,191
Government National Mortgage
Association, 10.50%, .................. 12,267,911 13,540,639
02/15/13 - 01/15/21
Government National Mortgage
Association, 11.00%, 02/15/10 ......... 38,821 43,006
------------
92,296,146
------------
U.S. Agencies (2.9%)
Small Business Administration
92-20K, 7.55%, 11/01/12 ............... 9,259,864 9,335,795
Student Loan Marketing
Association, 7.82%, 10/14/99 .......... 9,000,000 9,022,545
------------
18,358,340
------------
U.S. Treasuries (19.3%)
U.S. Treasury Bond, 6.875%, 08/15/25 .... 5,000,000 4,949,981
U.S. Treasury Note, 5.75%, 08/15/03 ..... 20,000,000 19,053,051
U.S. Treasury Note, 6.25%, 05/31/00 ..... 20,000,000 19,878,051
U.S. Treasury Note, 6.375%, 05/15/99(b) . 9,500,000 9,526,714
U.S. Treasury Note, 6.50%, 05/31/01 ..... 10,000,000 10,003,120
U.S. Treasury Note, 6.875%, 07/31/99 .... 20,000,000 20,290,650
U.S. Treasury Note, 6.875%, 03/31/00 .... 25,000,000 25,371,065
U.S. Treasury Note, 6.875%, 05/15/06 .... 15,000,000 15,168,750
------------
124,241,382
------------
Total U.S. Government and
Agency Obligations (cost
$235,476,040) ......................... $234,895,868
------------
Corporate Bonds (40.3%)
Financial Services (14.1%)
American General, 8.125%, 08/15/09 ...... 10,000,000 10,559,900
Associates Corp., 7.95%, 02/15/10 ....... 15,000,000 15,909,601
Capital One Bank, 8.625%, 01/15/97 ...... 5,000,000 5,064,975
Chase Manhattan Corp-New,
6.625%, 01/15/98 ...................... 10,000,000 10,040,400
Dean Witter, Discover & Co.,
6.00%, 03/01/98 ....................... 6,000,000 5,969,550
Ford Motor Credit Corp., FRN,
5.90%, 06/02/98 ....................... 7,000,000 7,042,785
Ford Motor Credit Corp., FRN,
5.50%, 02/22/99 ....................... 15,000,000 15,043,922
Financial Services (continued)
General Electric Capital
Corp., 8.625%, 06/15/08 ............... $ 10,000,000 $ 11,132,700
General Electric Capital
Corp., 7.96%, 02/02/98 ................ 10,000,000 10,289,200
------------
91,053,033
------------
Foreign and Supranationals (12.4%)
African Development Bank,
8.80%, 09/01/19 ....................... 11,650,000 13,390,044
China International Trust,
9.00%, 10/15/06 ....................... 10,000,000 10,644,500
Inter-American Development
Bank, 12.25%, 12/15/08 ................ 4,000,000 5,615,120
International Bank for Reconstruction &
Development, 9.25%, 07/15/17 .......... 11,000,000 13,213,695
Korea Electric, 6.375%, 12/01/03 ........ 4,500,000 4,267,980
Korean Development Bank,
9.25%, 06/15/98 ....................... 5,000,000 5,235,825
Panama-IRB-US, 3.50%, 07/17/14(b) ....... 6,000,000 3,330,000
Republic of Argentina, 9.25%, 02/23/01 .. 5,000,000 4,800,000
Republic of Colombia, 8.70%, 02/15/16 ... 6,000,000 5,515,938
Rogers Cablesystem, 10.00%, 03/15/05(c) . 8,500,000 8,393,750
Swire Pacific, Ltd, 8.50%, 09/29/04(c) .. 5,500,000 5,729,790
------------
80,136,642
------------
Other Corporate Bonds (13.8%)
Alliance Entertainment,
11.25%, 07/15/05 ...................... 5,000,000 4,800,000
Exide Corp., 10.00%, 04/15/05 ........... 3,000,000 2,943,750
Georgia-Pacific Corp., 9.50%, 12/01/11 .. 5,500,000 6,284,520
Grand Casinos Inc., 10.125%, 12/01/03 ... 9,600,000 9,864,000
Heritage Media Corp., 8.75%, 02/15/06 ... 3,810,000 3,552,825
MFS Communications, Inc.,
8.875%, 01/15/06 ...................... 5,000,000 3,037,500
MGM Grand Hotel, 12.00%, 05/01/02 ....... 4,000,000 4,385,000
Paramount Communications,
Inc., 7.50%, 07/15/23 ................. 11,500,000 9,882,007
Tele-Communcations, Inc.,
9.80%, 02/01/12 ....................... 5,000,000 5,424,860
Telewest Plc, 11.00%, 10/01/07 .......... 6,850,000 4,058,625
Tenet Healthcare Corp.,
9.625%, 09/01/02 ...................... 5,000,000 5,312,500
Time Warner Inc., 7.95%, 02/01/00 ....... 7,000,000 7,172,998
Time Warner Inc., 6.85%, 01/15/26 ....... 5,000,000 4,826,855
Trump Atlantic City, 11.25%, 05/01/06 ... 5,000,000 5,050,000
TRW, Inc., 9.35%, 06/04/20 .............. 10,000,000 11,946,450
------------
88,541,890
------------
Total Corporate Bonds (cost $257,955,100) $259,731,565
------------
Non-Agency Mortgage-Backed
Securities (3.1%)
Asset-Backed Securities (3.1%)
Chase Mortgage Finance, ................. 9,156,253 9,113,333
6.75%, 11/25/09
First Chicago Master Trust
94I-A, 5.67%, 01/15/99 ................ 8,000,000 8,012,720
Security Pacific National
Bank, 8.50%, 03/01/17 ................. 2,582,208 2,556,386
------------
19,682,439
------------
Total Non-Agency
Mortgage-Backed Securities
(cost $19,510,334) .................... $ 19,682,439
------------
Total Long-Term Bonds and
Notes
(cost $512,941,474) ................... $514,309,872
------------
56 See Notes to Portfolio of Investments.
<PAGE>
Aetna Income Shares
Portfolio of Investments - June 30, 1996 (Unaudited) - continued
- ------------------------------------------------------------------------------
Principal Market
Amount Value
-------- ------
Short-Term Investments (23.1%)
Baxter International, Inc.,
Comm. Paper, 5.60%, 07/18/96 ............ $ 5,500,000 $ 5,488,193
Baxter International, Inc.,
Comm. Paper, 5.55%, 07/15/96 ............ 10,000,000 9,978,417
Baxter International, Inc.,
Comm. Paper, 5.67%, 07/26/96 ............ 3,925,000 3,909,545
Columbia/HCA Healthcare
Corp., Comm. Paper, 5.59%, 08/12/96 ..... 15,500,000 15,398,914
ConAgra, Inc., Comm. Paper,
5.75%, 07/01/96 ........................ 20,656,000 20,656,000
Deer Park Refining L.P.,
Comm. Paper, 5.50%, 07/23/96 ............ 69,000,000 9,000,000
Detroit Edison Co., Comm
Paper, 5.53%, 07/02/96 .................. 8,000,000 7,998,771
Finova Capital Corp., Comm
Paper, 5.51%, 07/02/96 .................. 8,000,000 7,998,776
Finova Capital Corp., Comm
Paper, 5.55%, 07/26/96 .................. 10,000,000 9,961,458
General American Transportion
Corp., Comm. Paper, 5.65%, 07/03/96 ..... 8,000,000 7,997,489
Pennsylvania Power & Light
Co., Comm. Paper, 5.60%, 07/05/96 ....... 2,000,000 1,998,756
PS Colorado Credit Corp.,
Comm. Paper, 5.65%, 07/12/96 ............ 9,000,000 8,990,113
Public Service Co. of Colorado,
Comm. Paper, 5.65%, 07/12/96 ............ 6,000,000 5,989,642
Renaissance Energy Co., Comm
Paper, 5.55%, 07/01/96 .................. 22,000,000 22,000,000
Source One Mortgage Service
Corp., Comm. Paper, 5.52%, 07/01/96 ..... 505,000 505,000
Union Pacific Corp., Comm Paper,
5.62%, 07/10/96 ......................... 11,000,000 10,984,545
------------
Total Short-Term Investments
(cost $148,855,618) ..................... $148,855,619
------------
TOTAL INVESTMENTS
(cost $661,797,092)(a) .................. $663,165,491
Other assets less liabilities ............. (19,275,032)
-------------
Total Net Assets .......................... $643,890,459
============
Notes to Portfolio of Investments
(a) The cost of investments for federal income tax purposes amounted to
$662,446,507. Unrealized gains and losses, based on identified tax cost at June
30, 1996, are as follows:
Unrealized gains ............. $9,299,774
Unrealized losses ............ (8,580,790)
---------
Net unrealized gain ........ $ 718,984
=========
(b) Security purchased on a delayed delivery basis.
(c) Securities that may be resold to "qualified institutional buyers" under Rule
144A or securities offered pursuant to section 4(2) of the Securities Act of
1933, as amended. These securities have been determined to be liquid under
guidelines established by the Board of Trustees.
Category percentages are based on net assets.
See Notes to Financial Statements. 57
<PAGE>
Aetna Variable Encore Fund
Portfolio of Investments - June 30, 1996 (Unaudited)
- ----------------------------------------------------------------
Principal Market
Amount Value
-------- --------
Asset-Backed Securities (12.7%)
Bridgestone/Firestone Master
Trust, Inc., 5.45%, 07/17/96 ... $ 5,220,000 $ 5,220,000
Bridgestone/Firestone Master
Trust, Inc., 5.52%, 08/29/96 ... 5,500,000 5,449,125
Bridgestone/Firestone Master
Trust, Inc., 5.52%, 08/30/96 ... 5,500,000 5,448,300
CARCO Auto Loan Master Trust
1993-2, 3.225%, 11/15/98 ....... 15,500,000 15,551,150
Columbus Trust Certificate/BOCCMT,
5.33%, 07/24/96 ................ 7,000,000 6,976,163
Columbus Trust Certificate/BOCCMT,
5.33%, 07/29/96 ................ 7,000,000 6,970,981
Columbus Trust Certificates -
Standard Credit Card Master
Trust 1, 5.70%, 07/01/96 ....... 4,529,000 4,529,000
Dakota Certificates -
Standard Credit Card Master
Trust 1, 5.33%, 08/13/96 ....... 6,000,000 5,961,802
Dakota Certificates -
Standard Credit Card Master
Trust 1, 5.35%, 08/05/96 ....... 6,073,000 6,041,412
Dakota Certificates -
Standard Credit Card Master
Trust 1, 5.45%, 09/16/96 ....... 6,000,000 5,928,780
-----------
Total Asset-Backed Securities .... $68,076,713
-----------
Certificates of Deposit (7.5%)
Advanta National Bank, 5.20%,
11/15/96 ........................ 9,000,000 8,972,010
Advanta National Bank, 6.17%,
08/28/96 ........................ 15,000,000 15,014,550
Deutsche Bank AG, New York
Branch, 5.22%, 02/28/97 ......... 9,000,000 8,964,900
Deutsche Bank AG, New York
Branch, 5.32%, 03/06/97 ......... 7,500,000 7,475,250
-----------
Total Certificates of Deposit ..... $40,426,710
-----------
Commercial Paper - Domestic (32.8%)
Avon Capital Corp., 5.42%,
07/08/96 ........................ 2,900,000 2,896,944
Avon Capital Corp., 5.42%,
07/19/96 ........................ 5,500,000 5,485,095
Avon Capital Corp., 5.45%,
07/12/96 ........................ 7,500,000 7,487,510
Avon Capital Corp., 5.48%,
07/25/96 ........................ 4,000,000 3,985,387
Cooperative Assoc. of Tractor
Dealers, Inc., 5.10%,
07/02/96 ........................ 500,000 499,929
Cooperative Assoc. of Tractor
Dealers, Inc., 5.15%,
07/01/96 ........................ 5,800,000 5,800,000
Cooperative Assoc. of Tractor
Dealers, Inc., 5.25%,
07/10/96 ........................ 7,200,000 7,190,550
Cooperative Assoc. of Tractor
Dealers, Inc., 5.35%,
07/19/96 ........................ 2,000,000 1,994,650
Cooperative Assoc. of Tractor
Dealers, Inc., 5.44%,
09/19/96 ........................ 2,500,000 2,469,200
Cooperative Assoc. of Tractor
Dealers, Inc., 5.52%,
12/19/96 ........................ 2,800,000 2,725,548
CSW Credit Inc., 5.45%,
08/23/96 ........................ 12,200,000 12,102,112
Daewoo International
(America) Corp., 5.48%,
09/13/96 ........................ 2,900,000 2,866,679
Dealers Capital Access Trust,
Inc., 5.35%, 07/23/96 ........... 8,700,000 8,671,556
Dealers Capital Access Trust,
Inc., 5.35%, 11/15/96 ........... 2,100,000 2,055,480
Commercial Paper - Domestic (continued)
Dealers Capital Access Trust,
Inc., 5.50%, 07/25/96 ........... $ 6,000,000 $ 5,978,000
Deer Park Refining L.P., .......... 6,000,000 6,000,000
5.50%, 07/23/96
EG&G, Inc., 5.40%, 07/25/96 ....... 4,600,000 4,583,440
EG&G, Inc., 5.42%, 07/18/96 ....... 5,800,000 5,785,155
EG&G, Inc., 5.50%, 07/02/96 ....... 1,459,000 1,458,777
EG&G, Inc., 5.50%, 07/11/96 ....... 2,500,000 2,496,181
FINOVA Capital Corp., 5.55%,
08/05/96 ........................ 5,000,000 4,973,021
General Signal Corp., 5.35%,
07/17/96 ........................ 3,470,000 3,461,749
General Signal Corp., 5.42%,
07/12/96 ........................ 3,800,000 3,793,707
Government Development Bank
of Puerto Rico, 5.45%,
08/16/96 ........................ 2,600,000 2,581,894
GTE Corp., 5.41%, 07/23/96 ........ 7,000,000 6,976,857
GTE Corp., 5.41%, 07/26/96 ........ 3,000,000 2,988,729
GTE Corp., 5.42%, 08/06/96 ........ 5,800,000 5,768,564
International Lease Finance
Co., 5.44%, 11/19/96 ............ 5,800,000 5,673,560
Jefferson Smurfit Finance
Co., 5.33%, 07/16/96 ............ 1,200,000 1,197,335
Jefferson Smurfit Finance
Co., 5.42%, 08/06/96 ............ 1,000,000 994,580
Jefferson Smurfit Finance
Co., 5.42%, 08/27/96 ............ 3,600,000 3,566,556
Jefferson Smurfit Finance
Co., 5.45%, 07/15/96 ............ 2,500,000 2,494,701
Jefferson Smurfit Finance
Co., 5.45%, 07/23/96 ............ 2,000,000 1,993,339
Sheffield Receivables Corp.,
5.42%, 07/08/96 ................. 3,265,000 3,261,559
Transamerica Finance Group,
5.33%, 11/18/96 ................. 7,000,000 6,846,000
Transamerica Finance Group,
5.47%, 11/18/96 ................. 6,500,000 6,360,055
USL Capital Corp., 5.38%,
07/22/96 ........................ 4,500,000 4,485,878
Whirlpool Corp., 5.35%,
10/29/96 ........................ 7,000,000 6,868,400
Whirlpool Corp., 5.45%,
09/27/96 ........................ 7,000,000 6,903,540
WMX Technologies, Inc.,
5.43%, 01/24/97 ................. 3,000,000 2,903,730
------------
Total Commercial Paper -
Domestic ........................ $176,625,947
------------
Commercial Paper - Foreign (8.5%)
British Columbia (Province
of), 5.30%, 11/18/96............ 2,200,000 2,152,634
Abbey National North America,
5.30%, 11/29/96................. 4,000,000 3,905,880
Abbey National North America,
5.42%, 12/04/96................. 4,000,000 3,902,800
Abbey National Plc, 5.34%,
11/12/96........................ 5,800,000 5,680,346
Export- Import Bank of Korea,
7.85%, 11/01/96................. 7,525,000 7,562,625
Svenska Handelsbanken, Inc.,
5.30%, 07/22/96................. 2,950,000 2,940,880
Svenska Handelsbanken, Inc.,
5.50%, 12/16/96................. 5,800,000 5,647,634
Xerox Mexicana S.A. de C.V.,
5.45%, 07/22/96................. 5,297,000 5,280,160
Xerox Mexicana S.A. de C.V.,
5.35%, 07/22/96................. 8,500,000 8,473,473
-----------
Total Commercial Paper -
Foreign......................... $45,546,432
-----------
58 See Notes to Portfolio of Investments.
<PAGE>
Aetna Variable Encore Fund
Portfolio of Investments - June 30, 1996 (Unaudited) - continued
- ----------------------------------------------------------------
Principal Market
Amount Value
------- ---------
Corporate Notes (8.3%)
Advanta Corp., 5.125%, 11/15/96 ...... $ 2,000,000 $ 1,994,700
AVCO Financial Services,
7.50%, 11/15/96 .................... 1,000,000 1,006,180
CAFCO, 5.787%, 12/02/96 .............. 9,000,000 9,000,000
Caterpillar Financial Services Corp.
6.07%, 07/29/96 .................... 7,000,000 7,000,000
Caterpillar Inc., 9.125%, 12/15/96 ... 600,000 608,250
Chrysler Financial Corp.,
6.25%, 11/15/96 .................... 9,000,000 9,018,000
General Motors Acceptance Corp.,
8.625%, 07/15/96 ..................... 2,000,000 2,002,125
Hertz Corp., 9.125%, 08/01/96 ........ 1,800,000 1,804,415
International Lease Finance Corp.,
6.375%, 11/01/96 ................... 2,000,000 2,004,040
Money Funding, Inc., 8.125%, 04/07/97 4,000,000 4,045,000
Money Funding, Inc., 8.25%, 10/29/96 . 1,800,000 1,813,500
Public Service Electric & Gas
Co., 8.75%, 11/01/96 ................. 3,000,000 3,142,500
Sears Roebuck & Co., 8.55%, 08/01/96 1,000,000 1,002,424
------------
Total Corporate Notes ................ $ 44,441,134
------------
Medium Term Notes (22.7%)
America Honda Finance Corp.,
5.488%, 05/01/97 ................... 14,000,000 14,000,000
America Honda Finance Corp.,
5.55%, 04/15/97 .................... 5,800,000 5,800,000
AT&T Capital Corp., 5.45%, 11/01/96 .. 10,000,000 10,000,000
AT&T Capital Corp., 7.87%, 07/01/96 .. 6,000,000 6,000,000
BanPonce Financial Corp., 6.87%,
08/23/96 ........................... 4,900,000 4,908,479
Chrysler Financial Corp., 5.16%,
12/17/96 ........................... 2,900,000 2,893,620
Chrysler Financial Corp.,
7.11%, 03/21/97 .................... 3,000,000 3,027,000
Chrysler Financial Corp.,
7.13%, 09/30/96 .................... 900,000 903,411
Columbia/HCA Healthcare Corp.,
4.65%, 07/28/97 .................... 4,200,000 4,200,000
Dean Witter Discover & Co.,
6.02%, 09/29/96 .................... 3,000,000 3,002,970
Discover Credit, 7.81%, 03/18/97 ..... 6,000,000 6,084,540
Discover Credit Corp., 7.76%, 05/13/97 5,800,000 5,884,738
Finova Capital Corp., 5.595%, 04/15/97 14,000,000 14,000,000
FNB Boston, 5.43%, 07/01/96 .......... 2,850,000 2,850,000
Ford Motor Credit Co., 9.00%, 07/26/96 1,180,000 1,182,378
Ford Motor Credit Co., 9.20%, 07/16/96 500,000 500,576
General Motors Acceptance Corp.,
6.445%, 04/13/98 ................... 10,500,000 10,492,647
General Motors Acceptance Corp.,
7.75%, 01/17/97 .................... 1,000,000 1,011,050
GMAC Australia Finance,
6.145%, 12/06/96 ................... 4,000,000 4,003,200
GMAC European Finance,
6.375%, 11/21/96 ................... 3,000,000 3,001,200
International Lease Finance
Co., 8.73%, 08/09/96 ............... 5,000,000 5,016,419
Paccar Financial Corp.,
5.83%, 09/20/96 .................... 9,000,000 9,005,760
Sears Roebuck & Co., 5.588%,
05/12/97 ........................... 2,900,000 2,903,625
Sears Roebuck & Co., 8.98%,
07/11/96 ........................... 1,425,000 1,426,361
------------
Total Medium Term Notes .............. $122,097,974
------------
U.S. Government Agency
Obligations (7.5%)
Federal Home Loan Bank, 3.40%, 04/27/98 $20,000,000 $ 20,060,000
Federal National Mortgage
Association, 4.84%, 02/18/97 ........ 10,000,000 10,023,000
Studen Loan Marketing
Association, FRN, 4.752%,
01/21/97 ............................ 10,000,000 10,018,000
------------
Total U.S. Government Agency
Obligations ......................... $ 40,101,000
------------
TOTAL INVESTMENTS
(cost $537,425,013)(a) .............. $537,315,910
Other assets less liabilities ......... 738,222
-------------
Total Net Assets ...................... $538,054,132
============
Notes to Portfolio of Investments
(a) The cost of investments for federal income tax purposes are identical.
Unrealized gains and losses, based on identified tax cost at June 30, 1996, are
as follows:
Unrealized gains ............. $202,656
Unrealized losses ............ (311,759)
---------
Net unrealized loss ........ $(109,10)
=========
Category percentages are based on net assets.
See Notes to Financial Statements. 59
<PAGE>
Aetna Investment Advisers Fund, Inc.
Portfolio of Investments - June 30, 1996 (Unaudited)
- ---------------------------------------------------------------------------
Number of Market
Shares Value
-------- -----------
COMMON STOCKS (58.0%)
Aerospace and Defense (1.7%)
McDonnell Douglas Corp. ............................ 189,800 $ 9,205,300
United Technologies Corp. .......................... 105,600 12,143,999
-----------
21,349,299
-----------
Apparel (3.4%)
Gap, Inc. .......................................... 224,400 7,208,850
Nike, Inc. Class B ................................. 130,000 13,357,499
St. John Knits, Inc. ............................... 10,800 481,950
TJX Companies, Inc. ................................ 341,500 11,525,624
Tommy Hilfiger Corp.+ .............................. 188,800 10,124,400
Unifirst Corp. ..................................... 35,900 758,388
-----------
43,456,711
-----------
Autos and Auto Equipment (0.9%)
Chrysler Corp. ..................................... 140,100 8,686,200
Intermet Corp.+ .................................... 68,000 947,750
Kaydon Corp. ....................................... 15,000 645,000
SPX Corp. .......................................... 16,500 404,250
Titan Wheel International, Inc ..................... 38,000 608,000
Wynn's International, Inc. ......................... 5,100 144,075
-----------
11,435,275
-----------
Banks (1.3%)
Bancorp Hawaii, Inc. ............................... 16,000 576,000
BayBanks, Inc. ..................................... 7,000 754,250
CCB Financial Corp. ................................ 11,700 599,625
Citizens Banking Corp. Michigan .................... 2,400 69,600
City National Corp. ................................ 97,600 1,537,200
Community First Bankshares, Inc..................... 31,000 728,500
Corus Bankshares, Inc. ............................. 8,200 246,000
Cullen/Frost Bankers, Inc. ......................... 63,600 1,764,900
First Indiana Corp. ................................ 26,800 643,200
Hibernia Corp. -Class A ............................ 54,000 587,250
HUBCO, Inc. ........................................ 38,000 802,750
Imperial Bancorp+ .................................. 31,000 744,000
Liberty Bancorp, Inc. Oklahoma ..................... 10,200 362,100
Mercantile Bankshares Corp. ........................ 16,800 428,400
MLF Bancorp, Inc. .................................. 29,000 703,250
North Side Savings Bank Bronx NY ................... 17,600 611,600
Peoples Bank of Bridgeport, Connecticut ............ 24,000 534,000
Provident Bancorp .................................. 9,600 338,400
Provident Bankshares Corp. ......................... 17,850 589,050
Riggs National Corp. ............................... 47,000 569,875
Security Capital Corp. ............................. 12,200 725,900
Silicon Valley Bancshares+ ......................... 10,600 272,950
Star Banc Corp. .................................... 9,000 606,375
Usbancorp, Inc. .................................... 2,700 86,063
Westamerica Bancorp ................................ 10,900 547,725
Zion Bancorporation ................................ 18,500 1,345,875
-----------
16,774,838
-----------
Building Materials and Construction (1.1%)
American Buildings Co.+ ............................ 30,900 903,825
Centex Corp. ....................................... 45,900 1,428,638
Building Materials and Construction (continued)
Champion Enterprises, Inc.+ ........................ 75,300 $ 1,571,888
Continental Homes Holding Corp. .................... 37,100 797,650
Granite Construction, Inc. ......................... 88,650 2,038,950
Lennar Corp. ....................................... 57,500 1,437,500
NCI Building Systems, Inc.+ ........................ 40,100 1,353,375
Oakwood Homes Corp. ................................ 26,400 544,500
Redman Industries, Inc.+ ........................... 36,200 751,150
Stone & Webster, Inc. .............................. 17,400 593,775
Texas Industries, Inc. ............................. 25,800 1,770,525
Tredegar Industries, Inc. .......................... 7,500 226,875
U.S. Home Corp.+ ................................... 24,100 593,463
Webb (Del E.) Corp. ................................ 17,600 352,000
-----------
14,364,114
-----------
Chemicals (1.8%)
Cambrex Corp. ...................................... 17,500 894,688
Hercules, Inc. ..................................... 164,800 9,105,200
Learonal, Inc. ..................................... 14,100 352,500
Monsanto Co. ....................................... 361,000 11,732,499
Praxair, Inc. ...................................... 22,700 959,075
-----------
23,043,962
-----------
Commercial Services (1.0%)
Allied Waste Industries, Inc.+ ..................... 70,000 621,250
Daisytek International Corp.+ ...................... 22,000 924,000
Electro Rent Corp.+ ................................ 26,000 643,500
Measurex Corp. ..................................... 30,300 886,275
Regis Corp. Minn ................................... 14,400 450,000
Robert Half International Inc.+ .................... 26,400 735,900
Service Corp. International......................... 122,600 7,049,500
United Waste Systems, Inc.+ ........................ 20,400 657,900
US Filter Corp.+ ................................... 17,800 618,550
Wackenhut Corp. Class B ............................ 31,600 580,650
-----------
13,167,525
-----------
Computer Software (3.3%)
BMC Software Inc.+ ................................. 135,000 8,066,250
Check Point Software Tecnologies Ltd.+ ............. 5,000 120,000
Cisco Systems, Inc.+ ............................... 224,600 12,717,974
Computer Associates International, Inc. ............ 158,600 11,300,249
Dessault Systemes SA ADR+ .......................... 5,000 155,000
HCIA, Inc.+ ........................................ 7,000 441,000
McAfee Associates, Inc.+ ........................... 15,000 735,000
Microsoft Corp.+ ................................... 57,000 6,847,125
Structural Dynamics Research Corp.+ ................ 51,300 1,128,600
Xeikon N.V.+ ....................................... 16,300 185,413
-----------
41,696,611
-----------
Computers and Office Equipment (4.4%)
3Com Corp.+ ........................................ 192,000 8,784,000
Adaptec, Inc.+ ..................................... 163,300 7,736,338
Applied Magnetics Corp.+ ........................... 36,000 378,000
Cabletron Systems, Inc.+ ........................... 128,700 8,832,038
Comdisco, Inc. ..................................... 34,700 923,888
CompUSA, Inc.+ ..................................... 46,800 1,597,050
60 See Notes to Portfolio of Investments.
<PAGE>
Aetna Investment Advisers Fund, Inc.
Portfolio of Investments - June 30, 1996 (Unaudited) - continued
- --------------------------------------------------------------------------
Number Market
of Value
Shares
-------- ----------
Computers and Office Equipment (continued)
Computervision Corp.+ .............................. 98,600 $ 986,000
Converse Technology, Inc.+ ......................... 23,000 701,500
DH Technology, Inc.+ ............................... 26,000 624,000
Gateway 2000, Inc.+ ................................ 209,300 7,116,200
HBO & Co. .......................................... 123,800 8,387,450
Komag, Inc.+ ....................................... 18,000 474,750
Mylex Corp.+ ....................................... 31,000 550,250
Sun Microsystems, Inc.+ ............................ 139,600 8,218,950
Wallace Computer Services,
Inc .............................................. 10,000 597,500
-----------
55,907,914
-----------
Consumer Products (0.5%)
First Brands Corp. ................................. 25,000 675,000
Helen of Troy Ltd.+ ................................ 25,000 712,500
Lewis Galoob Toys, Inc.+ ........................... 24,000 678,000
Liz Claiborne, Inc. ................................ 141,700 4,906,363
-----------
6,971,863
-----------
Diversified (3.6%)
AlliedSignal, Inc. ................................. 190,700 10,893,738
Day Runner, Inc.+ .................................. 19,700 509,738
Deere & Co. ........................................ 274,200 10,967,999
Dover Corp. ........................................ 176,300 8,131,838
DT Industries, Inc. ................................ 24,200 441,650
Eastern Enterprises ................................ 14,000 465,500
Greenbrier Companies, Inc. ......................... 31,000 430,125
Harsco Corp. ....................................... 11,300 759,925
Robbins & Myers, Inc. .............................. 7,000 311,500
Textron, Inc. ...................................... 60,000 4,792,500
The Manitowoc Co., Inc. ............................ 900 32,288
Tyco International, Ltd. ........................... 205,300 8,365,975
-----------
46,102,776
-----------
Electrical and Electronics (2.6%)
BMC Industries, Inc. ............................... 71,400 2,052,750
Checkpoint Systems, Inc. ........................... 31,400 1,079,375
Computer Products, Inc.+ ........................... 51,000 873,375
CTS Corporation .................................... 5,200 244,400
DuPont Photomasks, Inc.+ ........................... 32,800 672,400
Eltron International, Inc.+ ........................ 25,000 681,250
Esterline Technologies+ ............................ 43,800 1,095,000
Hadco Corp.+ ....................................... 21,000 451,500
Hewlett Packard Co. ................................ 93,600 9,324,900
Intel Corp. ........................................ 108,800 7,990,000
Logicon, Inc. ...................................... 22,000 657,250
Novellus Systems, Inc.+ ............................ 14,000 504,000
Seagate Technology, Inc.+ .......................... 116,400 5,238,000
Sierra Semiconductor Corp. ......................... 26,100 303,413
Silicon Valley Group, Inc. ......................... 20,000 375,000
Siliconix, Inc.+ ................................... 5,600 120,400
Technitrol, Inc. .................................. 24,000 951,000
Wyle Electronics ................................... 4,100 135,813
-----------
32,749,826
-----------
Electrical Equipment (2.0%)
Berg Electronics Corp.+ ........................ 24,000 $ 570,000
Fluke Corp. .................................... 36,500 1,473,688
General Electric Co. ........................... 118,600 10,258,900
Harman International Industries ................ 17,700 871,725
International Rectifier Corp.+ ................. 43,700 704,663
Jabil Circuit, Inc.+ ........................... 34,700 425,075
Kemet Corp.+ ................................... 46,600 932,000
Kent Electronics Corp.+ ........................ 31,900 996,875
Merix Corp.+ ................................... 9,300 186,000
Microchip Technology, Inc.+ .................... 79,000 1,955,250
Raychem Corp. .................................. 83,700 6,015,938
SCI Systems, Inc.+ ............................. 20,000 812,500
Valmont Industries ............................. 20,000 680,000
-----------
25,882,614
-----------
Financial Services (5.3%)
Alex Brown & Sons, Inc. ........................ 25,700 1,452,050
Astoria Financial Corp. ........................ 83,400 2,262,225
Cal Fed Bancorp, Inc.+ ......................... 17,200 313,900
Chase Manhattan Corp. .......................... 160,600 11,342,374
Deposit Guaranty Corp. ......................... 30,400 1,337,600
Great Financial Corp. .......................... 46,600 1,205,775
Green Tree Financial Corp. ..................... 301,100 9,409,375
Imperial Credit Industries, Inc.+ .............. 27,000 816,750
Leader Financial Corp. ......................... 39,800 1,781,050
Money Store, Inc. (The) ........................ 63,300 1,400,513
Olympic Financial Ltd.+ ........................ 44,000 1,012,000
Peoples Heritage Financial Group ............... 40,900 833,338
Quick & Reilly Group, Inc. ..................... 22,000 715,000
Raymond James Financial, Inc. .................. 26,000 588,250
RCSB Financial, Inc. ........................... 18,500 478,688
Sunamerica, Inc. ............................... 195,800 11,062,699
T. Rowe Price Associates ....................... 278,600 8,566,950
TR Financial Corp. ............................. 21,500 591,250
Travelers Group, Inc. .......................... 240,000 10,949,999
WFS Financial, Inc.+ ........................... 47,000 1,057,500
-----------
67,177,286
-----------
Foods and Beverages (1.3%)
Mondavi (Robert) Corp. Class A+ ................ 16,300 513,450
PepsiCo, Inc. .................................. 280,000 9,905,000
Safeway, Inc.+ ................................. 198,000 6,534,000
Universal Corp. ................................ 11,000 291,500
-----------
17,243,950
-----------
Health Services (1.0%)
HEALTHSOUTH Corp.+ ............................. 311,800 11,224,799
Physician Reliance Network, Inc.+ .............. 50,000 1,112,500
-----------
12,337,299
-----------
Home Furnishings & Appliances (0.1%)
Bush Industries, Inc., Class A ................. 16,100 547,400
Herman Miller, Inc. ............................ 18,000 551,250
-----------
1,098,650
-----------
61
<PAGE>
Aetna Investment Advisers Fund, Inc.
Portfolio of Investments - June 30, 1996 (Unaudited) - continued
- -------------------------------------------------------------------------------
Number of Market
Shares Value
-------- -----------
Hotels and Restaurants (2.1%)
Boston Chicken, Inc.+ ........................ 186,800 $ 6,071,000
Consolidated Products, Inc.+ ................ 23,800 392,700
Foodmaker, Inc.+ ............................. 79,300 683,963
HFS, Inc.+ ................................... 233,700 16,358,999
Red Lion Hotels, Inc.+ ....................... 35,400 743,400
Sun International Hotels Ltd.+ ............... 42,000 2,037,000
-----------
26,287,062
-----------
Household Products (0.1%)
Carlisle Cos., Inc. .......................... 17,400 924,375
Ethan Allen Interiors, Inc. .................. 28,000 693,000
-----------
1,617,375
-----------
Insurance (2.2%)
Allied Group, Inc. ........................... 26,400 1,148,400
American Bankers Insurance Group ............. 27,000 1,177,875
American International Group, Inc. ........... 112,100 11,055,862
American Travellers Corp.+ ................... 71,250 1,638,750
Arbatax International Inc.+ .................. 21,400 94,160
Capital RE Corp. ............................. 18,700 687,225
CMAC Investment Corp. ........................ 12,000 690,000
Enhance Financial Services Group, Inc. ....... 31,000 868,000
Fremont General Corp. ........................ 73,200 1,683,600
Fund American Enterprises, Inc ............... 4,600 372,600
Horace Mann Educators Corp. .................. 41,000 1,301,750
Markel Corp.+ ................................ 8,000 744,000
Orion Capital Corp. .......................... 21,300 1,086,300
PartnerRe Ltd. ............................... 19,400 579,575
Penncorp Financial Group, Inc ................ 38,700 1,228,725
Presidential Life Corp. ...................... 12,200 126,575
Protective Life Corp. ........................ 14,000 491,750
Reinsurance Group of America ................. 22,000 830,500
Reliastar Financial Corp. .................... 15,000 646,875
Selective Insurance Group, Inc ............... 17,700 575,250
Vesta Insurance Group, Inc. .................. 29,250 976,219
Washington National Corp. .................... 15,900 409,425
-----------
28,413,416
-----------
Machinery and Equipment (1.4%)
AGCO Corp. ................................... 28,800 799,200
Bearings, Inc. ............................... 6,400 172,800
Case Corp. ................................... 118,800 5,702,400
Cooper Cameron Corp.+ ........................ 26,300 1,150,625
Fluor Corp. .................................. 86,500 5,654,938
Gleason Corp. ................................ 16,000 624,000
Global Industrial Technologies, Inc.+ ........ 21,100 337,600
JLG Industries, Inc. ......................... 39,900 2,962,575
Regal Beloit ................................. 46,200 912,450
-----------
18,316,588
-----------
Media and Entertainment (0.3%)
American Radio Systems Corp.+ .................. 15,100 649,300
Cannondale Corp.+ .............................. 39,000 789,750
Coachmen Industries, Inc. ...................... 29,000 1,015,000
Fleetwood Enterprises, Inc. .................... 19,400 601,400
Media and Entertainment (continued)
Grand Casinos, Inc.+ ........................... 22,800 $ 587,100
K2, Inc.+ ...................................... 25,000 678,125
-----------
4,320,675
-----------
Medical Supplies (1.4%)
Boston Scientific Corp.+ ....................... 128,400 5,778,000
Coherent, Inc.+ ................................ 30,200 1,570,400
Hologic, Inc.+ ................................. 22,000 973,500
Medtronic, Inc. ................................ 136,000 7,616,000
OrNda HealthCorp+ .............................. 34,200 820,800
PLC Systems, Inc.+ ............................. 12,000 268,500
Respironics, Inc.+ ............................. 12,200 225,700
-----------
17,252,900
-----------
Metals and Mining (1.1%)
AK Steel Holding Corp. ......................... 14,000 547,750
Aluminum Co. of America ........................ 28,000 1,606,500
Commercial Metals Co. .......................... 18,200 605,150
Gibraltar Steel Corp.+ ......................... 8,800 178,200
Mueller Industries, Inc.+ ...................... 48,000 1,992,000
Olympic Steel, Inc.+ ........................... 42,900 1,195,838
Penn Engineering & Manufacturing Corp.+ ........ 55,000 1,038,125
Phelps Dodge Corp. ............................. 98,000 6,112,750
Shiloh Industries, Inc.+ ....................... 53,000 854,625
-----------
14,130,938
-----------
Oil and Gas (4.6%)
Camco International, Inc. ...................... 22,000 745,250
Chesapeake Energy Corp.+ ....................... 16,950 1,523,381
Cliffs Drilling Co.+ ........................... 18,400 625,600
Consolidated Natural Gas Co. ................... 95,900 5,010,775
Exxon Corp. .................................... 70,800 6,150,750
Halliburton Co. ................................ 142,800 7,925,400
Helmerich & Payne, Inc. ........................ 19,800 725,175
Mobil Corp. .................................... 74,900 8,398,163
NorAm Energy Corp. ............................. 65,000 706,875
NUI Corp. ...................................... 33,600 600,600
Pride Petroleum Services, Inc.+ ................ 37,600 535,800
Reading & Bates Corp.+ ......................... 34,000 752,250
Royal Dutch Petroleum Co. ...................... 41,800 6,426,750
Santa Fe Energy Resources, Inc.+ ............... 56,700 673,313
Seacor Holdings+ ............................... 17,000 760,750
Smith International, Inc.+ ..................... 63,000 1,897,875
Swift Energy Co.+ .............................. 33,600 604,800
Tesoro Petroleum Corp.+ ........................ 60,900 700,350
Texaco, Inc. ................................... 70,000 5,871,250
Tidewater, Inc. ................................ 175,000 7,678,125
Tuboscope Vetco International Corp.+ .......... 66,500 739,813
-----------
59,053,045
-----------
Paper and Containers (0.1%)
US Can Corp.+ .................................. 41,000 666,250
-----------
Pharmaceuticals (4.1%)
Amgen, Inc.+ ................................... 167,000 9,018,000
Becton, Dickinson & Co. ........................ 65,400 5,248,350
62 See Notes to Portfolio of Investments.
<PAGE>
Aetna Investment Advisers Fund, Inc.
Portfolio of Investments - June 30, 1996 (Unaudited) - continued
- -----------------------------------------------------------------------------
Number
of Market
Shares Value
-------- ----------
Pharmaceuticals (continued)
Biovail Corp. International+ .................. 21,000 $ 656,250
IDEC Pharmaceuticals Corp.+ .................... 43,000 994,375
Johnson & Johnson .............................. 260,384 12,889,007
Medeva Plc ..................................... 38,000 589,000
Pfizer, Inc. ................................... 94,000 6,709,250
Pharmacia & Upjohn, Inc. ....................... 203,500 9,030,313
Schering Plough Corp. .......................... 97,600 6,124,400
Watson Pharmaceuticals, Inc.+ .................. 47,000 1,780,125
-----------
53,039,070
-----------
Printing and Publishing (0.1%)
Applied Graphics Technologies, Inc. ............ 47,000 746,125
Harte-Hanks Communications ..................... 12,000 333,000
Pulitzer Publishing Co. ........................ 6,300 373,275
-----------
1,452,400
-----------
Real Estate Investment Trusts (0.2%)
CWM Mortgage Holdings, Inc. .................... 36,000 612,000
Patriot American Hospitality, Inc. ............. 20,000 592,500
Public Storage, Inc. ........................... 23,400 482,625
Starwood Lodging Trust ......................... 27,000 982,125
-----------
2,669,250
-----------
Retail (1.2%)
Borders Group, Inc.+ ........................... 19,600 632,100
Carson Pirie Scott & Co.+ ...................... 31,800 850,650
Claire's Stores, Inc. .......................... 70,500 1,947,563
Compucom Systems, Inc. ......................... 81,000 880,875
Inacom Corp.+ .................................. 17,100 320,625
Insight Enterprises, Inc.+ ..................... 17,100 397,575
Kenneth Cole Productions, Inc.+ ................ 54,000 1,066,500
Laclede Gas Co. ................................ 24,100 539,238
Orchard Supply Hardware Stores Corp.+ .......... 34,300 1,033,288
Ross Stores, Inc. .............................. 38,900 1,351,775
Sears, Roebuck & Co. ........................... 106,000 5,154,250
Waban, Inc.+ ................................... 37,600 897,700
Zale Corp.+ .................................... 40,000 675,000
-----------
15,747,139
-----------
Telecommunications (0.5%)
360 Communications Co.+ ........................ 66,433 1,594,392
Digital Systems International, Inc.+ ........... 46,000 695,750
U.S. Robotics Corp.+ ........................... 46,500 3,975,750
-----------
6,265,892
-----------
Transportation (0.8%)
Alaska Air Group, Inc.+ ........................ 40,300 1,103,213
America West Airlines, Inc. Class B+ ........... 22,800 501,600
AMR Corp.+ ..................................... 56,500 5,141,500
Avondale Industries, Inc.+ ..................... 44,100 793,800
Comair Holdings, Inc. .......................... 85,500 2,308,500
-----------
9,848,613
-----------
Utilities - Electric (1.0%)
Atlantic Energy, Inc. .......................... 36,400 664,300
Calenergy, Inc.+ ............................... 26,000 663,000
Utilities - Electric (continued)
Central Hudson Gas & Electric Co. ......... 28,500 $ 890,625
Central Maine Power Co. ................... 39,000 565,500
Central Vermont Public Service ............ 19,200 244,800
CILCORP, Inc. ............................. 19,100 816,525
Commonwealth Energy System, Inc ........... 30,000 772,500
Eastern Utilities Assoc ................... 32,000 628,000
Idaho Power Co. ........................... 24,000 747,000
IES Industries, Inc. ...................... 16,200 483,975
Interstate Power Co. ...................... 18,000 578,250
MDU Resources Group, Inc. ................. 5,500 118,250
Sierra Pacific Resources+ ................. 42,200 1,070,825
TNP Enterprises, Inc. ..................... 31,800 902,325
United Illuminating Co. ................... 27,700 1,035,288
Washington Water Power Co. ................ 31,000 577,375
WPL Holdings, Inc. ........................ 24,100 792,288
WPS Resources Corp. ....................... 26,500 838,063
-----------
12,388,889
-----------
Utilities - Oil and Gas (1.5%)
Atmos Energy Corp. ........................ 30,000 918,750
Bay State Gas Co. ......................... 17,900 498,963
Coastal Corp. (The) ....................... 148,600 6,204,050
Indiana Energy, Inc. ...................... 21,900 626,888
New Jersey Resources Corp. ................ 28,200 810,750
People's Energy Corp. ..................... 30,000 1,005,000
Valero Energy Corp. ....................... 15,800 395,000
Washington Gas Light Co. .................. 22,400 492,800
Wicor, Inc. ............................... 29,600 1,117,400
Williams Cos., Inc. ....................... 146,800 7,266,600
-----------
19,336,201
-----------
Utilities - Water (0.0%)
American Water Works Company, Inc. ........ 14,800 595,700
-----------
Total Common Stocks (cost $608,322,928) ... $742,161,916
-----------
PREFERRED STOCKS (0.4%)
Chemicals (0.4%)
Union Carbide Corp. ....................... 120,000 4,770,000
-----------
Total Preferred Stocks (cost $3,739,907) .. $ 4,770,000
-----------
Principal Market
Amount Value
------- -----------
LONG-TERM BONDS AND NOTES (26.6%)
Corporate Bonds (11.6%)
AT&T Corp., 7.50%, 06/01/06 ................ $11,500,000 $11,787,039
African Development Bank, 8.80%, 09/01/19 .. 7,000,000 8,045,520
American General Finance, 8.45%, 10/15/09 .. 7,000,000 7,627,725
CMS Energy, 9.875%, 10/01/99 .............. 6,000,000 6,210,000
Centennial Cellular Corp., 10.125%, 05/15/05 5,550,000 5,341,875
Exide Corp., 10.75%, 12/15/02 .............. 2,000,000 2,050,000
Exide Corp., 10.00%, 04/15/05 .............. 7,595,000 7,452,594
Grand Casinos Inc., 10.125%, 12/01/03 ...... 11,900,000 12,227,249
63
<PAGE>
Aetna Investment Advisers Fund, Inc.
Portfolio of Investments - June 30, 1996 (Unaudited) - continued
- --------------------------------------------------------------------------
Principal Market
Amount Value
-------- -----------
Corporate Bonds (continued)
Kaman Corp., 6.00%, 03/15/12 .................... $ 6,275,000 $ 5,082,750
MFS Communications, Inc., 8.875%, 01/15/06 ...... 4,650,000 2,819,063
News America Holdings, 8.50%, 02/23/25 .......... 9,300,000 10,040,280
Pitney Bowes Credit Corp., 8.55%, 09/15/09 ...... 13,100,000 14,478,447
Pittston Co., 4.00%, 07/01/97 ................... 3,249,000 3,114,979
Rogers Cantel, Inc., 9.375%, 06/01/08 ........... 6,100,000 5,932,250
Swire Pacific, Ltd, 8.50%, 09/29/04(c) .......... 10,000,000 10,417,800
Tele-Communcations, Inc., 9.80%, 02/01/12 ....... 9,200,000 9,981,742
Trump Atlantic City, 11.25%, 05/01/06 ........... 5,000,000 5,050,000
Viacom, Inc., 8.00%, 07/07/06 ................... 10,000,000 9,175,000
Panama-IRB-US, 3.50%, 07/17/14(b) ............... 22,000,000 12,209,999
------------
Total Corporate Bonds (cost $145,319,415) ....... $149,044,312
------------
U.S. Government and Agency
Obligations (10.2%)
Federal Home Loan Mortgage
Corp. 1604I, 6.00%, 11/15/08 .................. 8,200,000 7,643,056
U.S. Treasury Bond, 7.625%, 02/15/25 ............ 4,650,000 5,011,102
U.S. Treasury Bond, 6.375%, 03/31/01(b) ......... 12,000,000 11,947,499
U.S. Treasury Bond, 6.375%, 06/30/98(b) ......... 16,800,000 16,847,241
U.S. Treasury Note, 6.25%, 08/31/96 ............. 20,050,000 20,074,986
U.S. Treasury Note, 7.50%, 01/31/97 ............. 36,600,000 36,994,410
U.S. Treasury Strip, 0.00%, 05/15/04 ............ 54,000,000 32,142,608
-----------
Total U.S. Government and
Agency Obligations (cost $131,616,553) ........ $130,660,902
-----------
Non-Agency Mortgage-Backed Securities (2.5%)
American Southwest Financial
Securities Corp., 8.00%, 01/18/09 ............. 7,723,998 7,549,001
Chase Mortgage Finance, 6.75%, 11/25/09 ......... 4,194,344 4,174,683
Kidder Peabody Acceptance Corp., 6.50%, 11/25/25 5,000,000 4,757,813
Kidder Peabody Acceptance Corp., 8.80%, 04/01/07 5,000,000 5,254,688
Merrill Lynch Mortgage Investors, Inc.,
7.795%, 06/15/21 .............................. 10,166,891 10,189,131
-----------
Total Non-Agency Mortgage-Backed Securities
(cost $30,592,767) ............................ $ 31,925,316
-----------
Foreign and Supranationals (2.3%)
App International Finance, 10.25%, 10/01/00 ..... 4,650,000 4,696,500
App International Finance, 11.75%, 10/01/05 ..... 2,800,000 2,877,000
Transport De Gas Del Sur, 7.75%, 12/23/98 ....... 4,600,000 4,508,000
Poland Discount Bond, 7.125%, 10/27/24 .......... 10,000,000 9,393,750
Poland Non-US Glb Reg'd, 3.75%, 10/27/14 ........ 10,000,000 7,700,000
-----------
Total Foreign and Supranationals
(cost $27,565,743) ............................ $ 29,175,250
-----------
Total Long-Term Bonds and Notes
(cost $335,094,478) ........................... $340,805,780
-----------
SHORT-TERM INVESTMENTS (16.8%)
Avon Capital Corp., Comm. Paper, 5.48%, 07/25/96. $ 7,160,000 $ 7,133,842
Baxter International, Inc., Comm. Paper,
5.60%, 07/18/96 ............................... 10,000,000 9,973,556
Columbus Trust Certificate/BOCC MT,
Asset-Backed Securities, 5.45%, 07/01/96 ...... 14,955,000 14,950,472
Dealers Capital Access Trust, Inc.,
Comm. Paper, 5.62%, 07/01/96 .................. 49,415,000 49,415,000
Detroit Edison Co., Comm. Paper, 5.53%, 07/02/96. 11,094,000 11,092,296
Finova Capital Corp., Comm.
Paper, 5.51%, 07/02/96 ........................ 11,000,000 10,998,316
GTE Corp., Comm. Paper, 5.50%, 07/03/96 ......... 15,650,000 15,645,218
PS Colorado Credit Corp.,
Comm. Paper, 5.65%, 07/12/96 .................. 15,000,000 14,974,104
Renaissance Energy Co.,
Comm. Paper, 5.55%, 07/01/96 .................. 18,000,000 18,000,000
Renaissance Energy Co.,
Comm. Paper, 5.75%, 07/01/9 ................... 20,466,000 20,466,000
Sundstrand Corp., Comm. Paper, 5.75%, 07/01/96 .. 9,087,000 9,087,000
U.S. Treasury Bill, Time
Deposit, 4.94%, 11/14/96 ...................... 2,700,000 2,645,568
U.S. Treasury Bill, Time
Deposit, 4.95%, 11/14/96 ...................... 2,120,000 2,077,261
USL Capital Corp., Comm. Paper, 5.43%, 07/01/96 . 27,809,000 27,809,000
-----------
Total Short-Term Investments (cost $214,277,934) $ 214,267,633
-----------
TOTAL INVESTMENTS
(cost $1,161,435,247)(a) ...................... $1,302,005,329
Other assets less liabilities ................... (22,908,762)
-----------
Total Net Assets ................................ $1,279,096,567
===========
Notes to Portfolio of Investments
+ Non-income producing security.
(a) The cost of investments for income tax purposes amounted to $1,161,593,231.
Unrealized gains and losses, based on identified tax cost at June 30, 1996, are
as follows:
Unrealized gains ............ $158,897,592
Unrealized losses ........... (18,485,49)
-----------
Net unrealized gain ....... $140,412,098
===========
(b) Security purchased on a delayed delivery basis.
(c) Securities that may be resold to "qualified institutional buyers" under Rule
144A or securities offered pursuant to section 4(2) of the Securities Act of
1933, as amended. These securities have been determined to be liquid under
guidelines established by the Board of Directors.
Category percentages are based on net assets.
64 See Notes to Financial Statements.
<PAGE>
Statements of Assets and Liabilities
June 30, 1996 (Unaudited)
- -------------------------------------------------------------------------
<TABLE>
<CAPTION>
Aetna Aetna
Aetna Aetna Variable Investment
Variable Income Encore Advisers
Fund Shares Fund Fund, Inc.
---------- ----------- ---------- --------------
<S> <C> <C> <C> <C>
Assets:
Investments, at market value (Note 1) .............. $6,137,679,616 $663,165,491 $537,315,910 $1,302,005,329
Cash ............................................... 1,562,966 632 20,723 72,457
Cash denominated in foreign currencies ............. 3,534,050 -- -- --
Receivable for:
Dividends and interest ........................... 11,057,354 8,781,939 3,492,763 5,855,250
Investments sold ................................. 127,956,987 9,553,452 -- 15,001,952
Fund shares sold ................................. 1,838,635 -- -- 4,982
Variation margin ................................. 1,220,014 -- -- --
Recoverable taxes ................................ 115,232 -- -- --
Gross unrealized gain on forward foreign currency
exchange contracts (Note 6) ...................... 1,607,873 -- -- --
-------------- ----------- -------------- -------------
Total assets ............................... 6,286,572,727 681,501,514 540,829,396 1,322,939,970
-------------- ----------- -------------- -------------
Liabilities:
Payable for:
Investments purchased ............................ 23,052,189 37,346,154 -- 42,637,277
Fund shares redeemed ............................. 13,211 67,401 2,583,934 809,286
Gross unrealized loss on forward foreign currency
exchange contracts (Note 6) ...................... 183,334 -- -- --
Deferred premiums on options written, at market .... 12,514,500 -- -- --
value (Note 5)
Accrued investment advisory fees ................... 1,190,147 122,254 103,978 244,104
Other liabilities .................................. 534,289 75,246 87,352 152,736
-------------- ----------- -------------- -------------
Total liabilities .......................... 37,487,670 37,611,055 2,775,264 43,843,403
-------------- ----------- -------------- -------------
Net assets applicable to outstanding shares ........ $6,249,085,057 $643,890,459 $538,054,132 $1,279,096,567
============== =========== ============== =============
Net assets represented by:
Paid-in capital .................................... $4,410,141,462 $633,436,968 $495,654,691 $ 969,017,968
Net unrealized gain (loss) ......................... 1,477,157,879 1,368,399 (109,103) 140,570,082
Undistributed net investment income ................ 78,071,847 21,125,681 42,571,925 21,765,619
Accumulated net realized gain (loss) ............... 283,713,869 (12,040,58) (63,381) 147,742,898
-------------- ----------- -------------- -------------
Total--representing net assets applicable to
outstanding shares ........................ $6,249,085,057 $643,890,459 $538,054,132 $1,279,096,567
============== =========== ============= = =============
Shares authorized .................................. Unlimited Unlimited Unlimited Unlimited
Par value .......................................... $ 1.00 $ 1.00 $ 1.00 $ 0.001
Shares outstanding ................................. 194,636,309 50,010,090 39,446,035 83,133,640
Net asset value per share .......................... $ 32.11 $ 12.88 $ 13.64 $ 15.39
Cost of investments ................................ $4,672,148,605 $661,797,092 $537,425,013 $1,161,435,247
Cost of foreign currencies ......................... $ 3,503,782 -- -- --
</TABLE>
See Notes to Financial Statements.
65
<PAGE>
Statements of Operations
Six Month Period Ended June 30, 1996 (Unaudited)
- --------------------------------------------------------------------------
<TABLE>
<CAPTION>
Aetna Aetna
Aetna Aetna Variable Investment
Variable Income Encore Advisers
Fund Shares Fund Fund, Inc.
---------- ---------- ---------- -------------
<S> <C> <C> <C> <C>
Investment Income: (Note 1)
Interest ............................................... $ 8,454,389 $ 22,296,228 $14,599,498 $ 16,205,992
Dividends .............................................. 66,152,473 27,167 -- 5,984,100
----------- ---------- ---------- -----------
74,606,862 22,323,395 14,599,498 22,190,092
Foreign taxes withheld ................................. (509,190) -- -- (20,408)
----------- ---------- ---------- -----------
Total investment income ........................ 74,097,672 22,323,395 14,599,498 22,169,684
----------- ---------- ---------- -----------
Expenses: (Note 2)
Investment advisory fee ................................ 7,393,394 811,274 657,134 1,540,919
Administrative services fees ........................... 1,325,101 218,482 153,393 457,629
Audit fees ............................................. 24,201 -- -- --
Printing and Postage ................................... 660,961 50,045 -- 96,429
Miscellaneous .......................................... 388,478 1,132 47,749 35,660
----------- ---------- ---------- -----------
Total expenses ................................. 9,792,135 1,080,933 858,276 2,130,637
----------- ---------- ---------- -----------
Net investment income .................................. 64,305,537 21,242,462 13,741,222 20,039,047
----------- ---------- ---------- -----------
Net Realized and Unrealized Gain (Loss): (Notes 1, 3, 5 and 6)
Net realized gain (loss) on:
Sale of investments .................................. 349,084,203 1,635,707 370 63,718,251
Written options ...................................... (11,305,81) -- -- --
Futures and forward foreign exchange contracts ....... 14,421,829 -- -- 248,685
Foreign currency related transactions ................ (209,731) -- -- --
----------- ---------- ---------- -----------
Net realized gain on investments ............... 351,990,483 1,635,707 370 63,966,936
----------- ---------- ---------- -----------
Net change in unrealized gain (loss) on:
Investments .......................................... 167,162,245 (29,562,591) (216,512) (10,335,402)
Written Options ...................................... 10,298,626 -- -- --
Futures and forward foreign exchange contracts ....... (535,832) -- -- --
Foreign currency related transactions ................ 44,601 -- -- --
----------- ---------- ---------- -----------
Net change in unrealized gain (loss) on
investments ................................... 176,969,640 (29,562,591) (216,512) (10,335,402)
----------- ---------- ---------- -----------
Net realized and change in unrealized gain (loss) ...... 528,960,123 (27,926,884) (216,142) 53,631,534
----------- ---------- ---------- -----------
Net increase (decrease) in net assets resulting from
operations ........................................... $593,265,660 $(6,684,422) $13,525,080 $73,670,581
=========== ========== ========== ===========
</TABLE>
See Notes to Financial Statements.
66
<PAGE>
- ----------------------------------------------------------------------------
Statements of Changes in Net Assets
<TABLE>
<CAPTION>
Aetna Variable Fund Aetna Income Shares
------------------------- ------------------------
Six month Six month
Period Period
Ended Year Ended Ended Year Ended
June December June December 31,
30,1996 31, 1995 30,1996 1995
(Unaudited) (Unaudited)
---------- ------------- ---------- --------------
<S> <C> <C> <C> <C>
Operations:
Net investment income ................................. $ 64,305,537 $ 121,449,354 $ 21,242,462 $ 42,658,844
Net realized gain ..................................... 351,990,483 618,484,874 1,635,707 5,548,431
Net change in unrealized gain (loss) .................. 176,969,640 655,688,100 (29,562,591) 53,970,465
------------ ------------ ----------- -----------
Net increase (decrease) in net assets resulting from
operations ......................................... 593,265,660 1,395,622,328 (6,684,422) 102,177,740
------------ ------------ ----------- -----------
Distributions to Shareholders: (Note 1)
From net investment income ............................ -- (121,467,727) -- (40,862,116)
From net realized gains ............................... -- (812,495,987) -- --
------------ ------------ ----------- -----------
Decrease in net assets from distributions to
shareholders ....................................... -- (933,963,714) -- (40,862,116)
------------ ------------ ----------- -----------
Share Transactions:
Proceeds from shares sold ............................. 91,761,809 293,617,310 13,930,963 70,377,292
Net asset value of shares issued upon reinvestment of
distributions ....................................... -- 933,736,815 -- 40,782,267
Payments for shares redeemed .......................... (97,449,018) (451,382,489) (30,316,571) (67,218,527)
------------ ------------ ----------- -----------
Net increase (decrease) in net assets from share
transactions ....................................... (5,687,209) 775,971,636 (16,385,608) 43,941,032
------------ ------------ ----------- -----------
Change in net assets .................................. 587,578,451 1,237,630,250 (23,070,030) 105,256,656
Net assets:
Beginning of period ................................... 5,661,506,606 4,423,876,356 666,960,489 561,703,833
------------ ------------ ----------- -----------
End of period ......................................... $6,249,085,057 $5,661,506,606 $643,890,459 $666,960,489
============ ============ =========== ===========
End of period net assets includes undistributed
(distributions in excess of) net investment income .. $ 78,071,847 $ 13,766,310 $ 21,125,681 $ (116,781)
============ ============ =========== ===========
Share Transactions:
Shares sold ........................................... 2,992,309 10,162,782 1,076,632 5,565,388
Shares issued upon reinvestment ....................... -- 31,806,470 -- 3,165,606
Shares redeemed ....................................... (3,206,885) (15,783,222) (2,364,221) (5,364,352)
------------ ------------ ----------- -----------
Net increase (decrease) ............................... (214,576) 26,186,030 (1,287,589) 3,366,642
============ ============ =========== ===========
</TABLE>
See Notes to Financial Statements.
67
<PAGE>
- -----------------------------------------------------------------------------
Statements of Changes in Net Assets
<TABLE>
<CAPTION>
Aetna Variable Encore Aetna Investment
Fund Advisers Fund, Inc.
----------------------------------------------------
Six-month Six-month
Period Period
Ended Year Ended Ended Year Ended
June December June December
30,1996 31, 1995 30,1996 31, 1995
(Unaudited) (Unaudited)
---------- ------------- ---------- -------------
<S> <C> <C> <C> <C>
Operations:
Net investment income ................................ $ 13,741,222 $ 29,137,815 $ 20,039,047 $ 42,225,550
Net realized gain (loss) ............................. 370 (52,156) 63,966,936 88,067,506
Net change in unrealized gain (loss) ................. (216,512) 472,281 (10,335,402) 125,951,337
------------ ----------- ------------ -------------
Net increase in net assets resulting from
operations ........................................ 13,525,080 29,557,940 73,670,581 256,244,393
------------ ----------- ------------ -------------
Distributions to Shareholders: (Note 1)
From net investment income ........................... -- (385,007) -- (52,754,265)
From net realized gains .............................. -- -- -- (25,336,005)
------------ ----------- ------------ -------------
Decrease in net assets from distributions to
shareholders ...................................... -- (385,007) -- (78,090,270)
------------ ----------- ------------ -------------
Share Transactions:
Proceeds from shares sold ............................ 140,748,134 245,248,012 36,675,830 74,184,396
Net asset value of shares issued upon reinvestment of
distributions ...................................... -- 385,007 -- 78,090,270
Payments for shares redeemed ......................... (130,255,685) (243,808,588) (27,236,924) (92,449,914)
------------ ----------- ------------ -------------
Net increase in net assets from share transactions . 10,492,449 1,824,431 9,438,906 59,824,752
------------ ----------- ------------ -------------
Change in net assets ................................. 24,017,529 30,997,364 83,109,487 237,978,875
Net assets:
Beginning of period .................................. 514,036,603 483,039,239 1,195,987,080 958,008,205
------------ ----------- ------------ -------------
End of period ........................................ $ 538,054,132 $ 514,036,603 $1,279,096,567 $1,195,987,080
============ =========== ============ =============
End of period net assets includes undistributed net
investment income .................................. $ 42,571,925 $ 28,830,703 $ 21,765,619 $ 1,726,572
============ =========== ============ =============
Share Transactions:
Shares sold .......................................... 10,443,166 19,041,695 2,470,155 5,556,544
Shares issued upon reinvestment ...................... -- 28,953 -- 5,582,169
Shares redeemed ...................................... (9,653,671) (18,919,850) (1,805,851) (7,030,152)
------------ ----------- ----------- -------------
Net increase ......................................... 789,495 150,798 664,304 4,108,561
============ =========== =========== =============
</TABLE>
See Notes to Financial Statements.
68
<PAGE>
Notes to Financial Statements
June 30, 1996 (Unaudited)
- ------------------------------------------------------------------------------
1. Summary of Significant Accounting Policies
Aetna Variable Fund ("Variable Fund") is registered under the Investment Company
Act of 1940 as a diversified open-end management investment company whose shares
are currently sold to Aetna Life Insurance and Annuity Company (the "Company"),
an Aetna Life Insurance Company Separate Account, and to other shareholders of
Variable Fund only through reinvestment of dividends. The Company's shares are
allocated to certain of its variable life/annuity accounts. The Company's
accounts and affiliates held 99.6% of Variable Fund's shares outstanding at June
30, 1996. The investment objective of Variable Fund is to maximize total return
through investments in a diversified portfolio of common stocks and securities
convertible into common stock.
Aetna Income Shares ("Income Shares") is registered under the Investment Company
Act of 1940 as a diversified open-end management investment company whose shares
are currently sold to the Company for allocation to certain of its variable
life/annuity accounts and to other shareholders of Income Shares only through
reinvestment of dividends. The Company's accounts and affiliates held 99.2% of
Income Shares' outstanding shares at June 30, 1996. The investment objective of
Income Shares is to maximize total return, consistent with reasonable risk,
through investments in a diversified portfolio consisting primarily of debt
securities.
Aetna Variable Encore Fund ("Encore Fund") is registered under the Investment
Company Act of 1940 as a diversified open-end management investment company
organized by the Company to serve as an investment vehicle for certain of the
Company's variable life/annuity accounts. The Company's accounts held all of
Encore Fund's outstanding shares at June 30, 1996. The investment objective of
Encore Fund is to provide high current return, consistent with preservation of
capital and liquidity, through investment in high-quality money market
instruments.
Aetna Investment Advisers Fund, Inc. ("Advisers Fund") is registered under the
Investment Company Act of 1940 as a diversified open-end management investment
company whose shares are currently sold to the Company for allocation to certain
of its variable life/annuity separate accounts. The separate accounts held all
of Advisers Fund's shares outstanding at June 30, 1996. The investment objective
of Advisers Fund is to produce the maximum investment return consistent with
reasonable safety of principal.
Variable Fund, Income Shares, Encore Fund, and Advisers Fund are referred to
individually as a "Fund", and collectively as the "Funds".
The accompanying financial statements of the Funds have been prepared in
accordance with generally accepted accounting principles. The preparation of
financial statements in conformity with generally accepted accounting principles
requires management to make estimates and assumptions that affect amounts
reported therein. Although actual results could differ from these estimates, any
such differences are expected to be immaterial to the net assets of the Funds.
A. Valuation of Investments
Investments are stated at market values based upon closing sales prices as
reported on national securities exchanges or, for over-the-counter securities,
at the mean of the bid and asked prices. Short-term investments maturing in more
than sixty days for which market quotations are readily available are valued at
current market value. Short-term investments maturing in less than sixty days
are valued at amortized cost which when combined with accrued interest
approximates market. Securities for which market quotations are not considered
to be readily available are valued in good faith using methods approved by the
Board of Trustees/Directors.
The accounting records of the Funds are maintained in U.S. dollars. Investment
securities and other assets and liabilities denominated in a foreign currency
are translated into U.S. dollars at the prevailing rates of exchange at the end
of the period. Purchases and sales of securities, income receipts, and expense
payments are translated into U.S. dollars at the prevailing exchange rate on the
respective dates of the transactions.
B. Option Contracts
The Funds may purchase put and call options and write covered call options as a
hedge against adverse movements in the value of portfolio holdings or to
increase market exposure.
69
<PAGE>
Notes to Financial Statements
June 30, 1996 (Unaudited) - continued
- ------------------------------------------------------------------------------
1. Summary of
Significant Accounting Policies (continued)
B. Option Contracts (continued)
Option contracts are valued daily. Unrealized gains or losses are recorded based
upon the last sales price on the principal exchange on which the option is
traded.
The Funds will realize a gain or loss upon the expiration or closing of the
option contract. When an option is exercised, the proceeds on sales for a
written call option, the purchase cost of the security for a written put option,
or the cost of the security for a purchased put or call option is adjusted by
the amount of premium received or paid.
The risk in writing a call option is that the Funds give up the opportunity for
profit if the market price of the security increases and the option is
exercised. The risk in writing a put option is that the Funds may incur a loss
if the market price of the security decreases and the option is exercised. The
risk in buying an option is that the Funds pay a premium whether or not the
option is exercised. Risks may also arise from an illiquid secondary market, or
from the inability of counterparties to meet the terms of the contract.
C. Futures and Foreign Currency Exchange Contracts
A futures contract is an agreement between two parties to buy and sell a
specific amount of a commodity, security or financial instrument including an
index of stocks at a set price on a future date. The Funds "sell" futures
contracts as a hedge against declines in the value of portfolio securities. The
Funds may enter into futures contracts to manage the risk of changes in interest
rates, equity prices, currency exchange rates or in anticipation of future
purchases and sales of portfolio securities.
Upon entering into a futures contract, each Fund is required to deposit with a
broker, an amount (initial margin) equal to a percentage of the purchase price
indicated by the futures contract. Subsequent deposits (variation margin) are
received or paid each day by each Fund equal to the daily fluctuations in the
market value of the contract. These amounts are recorded by each Fund as
unrealized gains or losses. When a contract is closed, each Fund records a
realized gain or loss equal to the difference between the value of the contract
at the time it was opened and the value at the time it was closed. Generally,
futures contracts are closed prior to expiration.
A forward foreign currency exchange contract is an agreement to pay or receive
specific amounts of a currency at a future date in exchange for another currency
at an agreed upon exchange rate. The Funds may use forward foreign currency
exchange contracts to hedge certain foreign currency assets. Contracts are
recorded at market value and marked-to-market daily.
The risks associated with futures and forward foreign currency exchange
contracts may arise from an imperfect correlation between the change in market
value of the securities held by the Funds and the price of futures contracts.
Risks may also arise from an illiquid secondary market, or from the inability of
counterparties to meet the terms of the contract.
Realized and unrealized gains or losses on futures and foreign currency exchange
contracts are reflected in the accompanying financial statements. For federal
tax purposes, any futures and forward foreign currency exchange contracts which
remain open at the end of the fiscal year are marked-to-market and the resultant
net gain or loss is included in federal taxable income.
D. Delayed Delivery Transactions
The Funds may purchase or sell securities on a when-issued or forward commitment
basis. The price of the underlying securities and date when the securities will
be delivered and paid for are fixed at the time the transaction is negotiated.
The market value of the securities purchased or sold are identified in the
Funds' portfolio of investments. Losses may arise due to changes in the market
value of the securities or from the inability of counterparties to meet the
terms of the contract.
70
<PAGE>
Notes to Financial Statements
June 30, 1996 (Unaudited) - continued
- ------------------------------------------------------------------------------
1. Summary of Significant Accounting Policies (continued)
E. Federal Income Taxes
As qualified regulated investment companies, the Funds are relieved of federal
income and excise taxes by distributing their net taxable investment income and
capital gains, if any, in compliance with the applicable provisions of the
Internal Revenue Code.
F. Distributions
The Funds distribute all net investment income and net capital gains, if any, to
shareholders annually. Distributions from net investment income are based on
taxable net income. Distributions are recorded on the ex-dividend date. Income
and capital gain distributions are determined in accordance with income tax
regulations which may differ from generally accepted accounting principles.
These differences are primarily due to differing treatments for foreign currency
transactions and deferred losses on wash sales.
G. Other
Investment transactions are accounted for on the day following trade-date,
except same day settlements which are accounted for on the trade date. Interest
income is recorded on an accrual basis. Discounts and premiums on securities
purchased are amortized, using an effective yield method, over the life of the
respective security. Dividend income and stock splits are recorded on the
ex-dividend date. Realized gains and losses from investment transactions are
determined on an identified cost basis.
2. Investment Advisory and Administrative Services Fees (See Note 7)
For the six month period ended June 30, 1996, each Fund paid the Company (its
investment adviser) an investment advisory fee at an annual rate of one-quarter
of one percent (.25%) of its average daily net assets. On June 17, 1996, the
shareholders of Variable Fund, Advisers Fund and Income Shares approved a new
Investment Advisory Agreement, effective August 1, 1996, which provides for an
increase in the annual advisory fee to .50% of average daily net assets for
Variable and Advisers Funds and an increase in the annual advisory fee to .40%
of average daily net assets for Income Shares.
The Funds have entered into an administrative services agreement (the
"Agreement") with the Company whereby the Company is reimbursed for a share of
its overhead related to managing the Funds. In addition, the Company has been
paying, and the Funds have been reimbursing the Company for, the Funds'
ordinary, recurring expenses such as legal fees, Trustees'/Directors' fees,
custodial fees and insurance premiums. Effective May 1, 1996, the Agreement was
modified to enable each Fund to fix the amount of its costs and expenses. Under
the terms of the new Agreement, the Company will receive a fixed fee in exchange
for providing the services described above, including reimbursement of its
overhead related to managing the Funds. The new Agreement provides for the
Company to receive a fixed fee at an annual rate of .06% of average daily net
assets for Variable Fund, .08% of average daily net assets for each of Advisers
Fund and Income Shares and .10% of average daily net assets for Encore Fund.
During June and July, the shareholders of each Fund voted to approve a
subadvisory agreement (the "Subadvisory Agreement") among the Funds, the Company
and the Company's affiliate, Aeltus Investment Management, Inc. ("Aeltus").
Under the terms of the Subadvisory Agreement, Aeltus will supervise the
investment and reinvestment of cash and securities and provide certain related
administrative services for each Fund in exchange for fees to be paid by the
Company. The fees vary by Fund, depending on the Fund's investment objective,
and range from .15% to .30% of a Fund's average daily net assets.
3. Purchases and Sales of Investments
Purchases and sales of investment securities, excluding short-term investments,
for all Funds except Encore Fund, a money market fund, for the six month period
ended June 30, 1996 were:
Cost of Purchases Proceeds from Sales
----------------- -------------------
Variable Fund $2,228,848,707 $2,246,965,017
Income Shares 259,840,743 256,513,079
Advisers Fund 698,874,604 763,267,179
71
<PAGE>
Notes to Financial Statements
June 30, 1996 (Unaudited) - continued
- ------------------------------------------------------------------------------
4. Capital Loss Carryforward
At June 30, 1996, for federal income tax purposes, Income Shares and Encore Fund
had the following capital loss carryforwards available to offset future long
term capital gains of approximately:
Capital Loss Carryforward Year of Expiration
Income Shares $13,000,000 2002
Encore Fund 64,000 2003
5. Options
The following reflects the call and put option activity for the six month period
ended June 30, 1996:
Variable Fund
<TABLE>
<CAPTION>
Put Options Written
-------------------------------------------------------------
Number of Option Premium Realized
Contracts Paid Gain (Loss)
<S> <C> <C> <C>
Outstanding December 31, 1995..... -- $ -- $ --
Purchased....................... 600 571,930 --
Closed.......................... (300) (227,842) 204,442
Expired......................... -- -- --
----- ---------
Outstanding June 30, 1996......... 300 $344,088 $204,442
===== ========= =========
Call Options Written
-------------------------------------------------------------
Number of Option Deferred Premium Realized
Contracts Received Gain (Loss)
Outstanding December 31, 1995..... -- $ -- $ --
Written......................... 37,413 42,334,979 --
Closed.......................... (19,006) (19,636,113) (11,587,766)
Expired......................... (247) (77,506) 77,506
Exercised....................... (556) (152,322) --
------- ----------- ----------
Outstanding June 30, 1996......... 17,604 $22,469,038 $(11,510,260)
======= =========== ============
</TABLE>
6. Forward Foreign Currency Exchange Contracts
At June 30, 1996, Variable Fund had the following open forward foreign currency
exchange contracts that obligate the Fund to deliver currencies at specified
future dates. The unrealized gain of $1,424,539 on these contracts is included
in the accompanying financial statements. The terms of the open contracts are as
follows:
<TABLE>
<CAPTION>
Exchange Currency to be U.S. $ Value as of Currency to be U.S. $ Value as of Unrealized
Date Delivered June 30, 1996 Received June 30, 1996 Gain (Loss)
---- --------- ------------- -------- ------------- ----------
<S> <C> <C> <C> <C> <C>
Contracts to Buy
- ----------------
8/9/96 794,465 $794,465 952,000 $763,236 $(31,229)
U.S. Dollar Swiss Franc
- ---------------------------------------------------------------------------------------------------
6/28/96 1,450,900 1,450,900 7,454,000 1,447,659 (3,241)
U.S. Dollar French Franc
- ---------------------------------------------------------------------------------------------------
8/13/96 1,030,000 1,030,000 5,150,000 1,002,490 (27,510)
U.S. Dollar French Franc
- ---------------------------------------------------------------------------------------------------
9/13/96 5,341,197 5,341,197 568,530,000 5,240,878 (100,319)
U.S. Dollar Japanese Yen
- ---------------------------------------------------------------------------------------------------
</TABLE>
72
<PAGE>
Notes to Financial Statements
June 30, 1996 (Unaudited) - continued
- ------------------------------------------------------------------------------
6. Forward Foreign Currency Exchange Contracts (continued)
<TABLE>
<CAPTION>
Exchange Currency to be U.S. $ Value as of Currency to be U.S. $ Value as of Unrealized
Date Delivered June 30, 1996 Received June 30, 1996 Gain (Loss)
---- --------- ------------- -------- ------------- ----------
<S> <C> <C> <C> <C> <C>
Contracts to Sell
- -----------------
8/9/96 5,335,000 $4,277,170 4,451,415 $4,451,415 $174,245
Swiss Franc U.S. Dollar
- ---------------------------------------------------------------------------------------------------
9/3/96 4,620,000 3,047,554 3,051,313 3,051,313 3,759
German Deutschemark U.S. Dollar
- ---------------------------------------------------------------------------------------------------
8/13/96 32,470,000 6,320,556 6,404,276 6,404,276 83,720
French Franc U.S. Dollar
- ---------------------------------------------------------------------------------------------------
9/13/96 3,234,620,000 29,817,685 30,997,855 30,997,855 1,180,170
Japanese Yen U.S. Dollar
- ---------------------------------------------------------------------------------------------------
10/25/96 1,220,650,000 11,320,376 11,341,696 11,341,696 21,320
Japanese Yen U.S. Dollar
- ---------------------------------------------------------------------------------------------------
10/18/96 12,630,000 7,458,319 7,581,943 7,581,943 123,624
Dutch Guilder U.S. Dollar
- ---------------------------------------------------------------------------------------------------
$1,424,539
===========
</TABLE>
7. Special Shareholder Meetings
During June and July, Special Shareholder Meetings were held for shareholders in
each Fund. Variable Fund's, Income Shares' and Advisers Fund's shareholders met
on June 17, 1996, while Encore Fund's shareholders met on July 19, 1996.
Shareholders of record on April 30, 1996 were entitled to vote at the meetings
held on behalf of Variable Fund, Income Shares and Advisers Fund. Shareholders
of record on May 31, 1996 were entitled to vote at the meeting held on behalf of
Encore Fund.
At each separately held meeting, shareholders voted to elect nine
Trustees/Directors, approve a subadvisory agreement among each of the Funds, the
Company and Aeltus, and approve a new Investment Advisory Agreement between each
Fund and the Company. In addition, shareholders in each Fund, except Advisers
Fund, voted to amend the Fund's Declaration of Trust to modify the Fund's
liability and indemnification provisions. (Shareholders of Advisers Fund were
not asked to vote on this measure because it is organized as a corporation and
as such its Directors are subject to different legal liability requirements).
Following is a brief description and the results of each vote.
A. Election of Trustees/Directors
The following individuals were elected to serve as Trustees/Directors for each
of the Funds. Every individual named served as a Trustee/Director in each Fund
prior to this election. There are no other individuals currently serving as
Trustees/Directors to any Fund.
<TABLE>
<CAPTION>
Trustee/Director Votes Cast Votes Trustee/Director Votes Cast Votes
Fund For Withheld Fund For Withheld
- -------------------------------------------------- --------------------------------------------------
<S> <C> <C> <C> <C> <C>
Morton Ehrlich Sidney Koch
- -------------- -----------
Variable Fund 161,372,922 5,644,517 Variable Fund 161,306,419 5,711,020
Income Shares 37,916,952 1,263,478 Income Shares 37,939,127 1,241,303
Advisers Fund 62,941,680 2,327,593 Advisers Fund 63,009,968 2,259,305
Encore Fund 25,324,833 1,020,609 Encore Fund 25,306,469 1,038,973
</TABLE>
73
<PAGE>
Notes to Financial Statements
June 30, 1996 (Unaudited) - continued
- ------------------------------------------------------------------------------
7. Special Shareholder Meetings (continued)
A. Election of Trustees/Directors (continued)
<TABLE>
<CAPTION>
Trustee/Director Votes Cast Votes Trustee/Director Votes Cast Votes
Fund For Withheld Fund For Withheld
- -------------------------------------------------- --------------------------------------------------
<S> <C> <C> <C> <C> <C>
Maria T. Fighetti Shaun P. Mathews
- ----------------- ----------------
Variable Fund 160,954,146 6,063,293 Variable Fund 161,204,997 5,812,442
Income Shares 37,799,689 1,380,741 Income Shares 37,904,972 1,275,458
Advisers Fund 62,885,813 2,383,460 Advisers Fund 62,971,499 2,297,774
Encore Fund 25,302,225 1,043,217 Encore Fund 26,306,830 1,038,612
David L. Grove Corine T. Norgard
- -------------- -----------------
Variable Fund 160,793,454 6,223,985 Variable Fund 160,496,263 6,071,176
Income Shares 37,623,553 1,556,877 Income Shares 37,705,587 1,474,843
Advisers Fund 62,856,296 2,412,977 Advisers Fund 62,840,547 2,428,726
Encore Fund 25,240,520 1,104,922 Encore Fund 25,279,538 1,065,904
Timothy A. Holt Richard G. Scheide
- --------------- ------------------
Variable Fund 161,309,064 5,708,375 Variable Fund 161,220,137 5,797,302
Income Shares 37,901,688 1,278,742 Income Shares 37,931,384 1,249,046
Advisers Fund 62,956,557 2,312,716 Advisers Fund 63,032,028 2,237,245
Encore Fund 25,308,142 1,037,300 Encore Fund 25,306,244 1,039,198
Daniel P. Kearney
- -----------------
Variable Fund 161,063,795 5,953,644
Income Shares 37,872,659 1,307,771
Advisers Fund 62,627,319 2,641,954
Encore Fund 25,291,156 1,054,286
</TABLE>
B. Approval of Subadvisory Agreement
The shareholders of each Fund voted to approve a Subadvisory Agreement with
Aeltus Investment Management, Inc., an affiliate of the Company. (See Note 2 for
a description of the services provided and the compensation arrangement defined
by the terms of the agreement.)
Results of the vote were:
Votes Cast Votes Cast
Fund For Against Abstentions
- --------------------- ---------------- ------------- --------------
Variable Fund 146,516,837 12,670,365 7,830,237
Income Shares 34,324,420 3,117,166 1,738,844
Advisers Fund 57,046,100 4,903,072 3,320,101
Encore Fund 23,472,094 1,259,184 1,614,164
C. Approval of New Investment Advisory Agreement
Shareholders in each Fund voted to approve a new Investment Advisory Agreement
(the "Agreement") between each Fund and the Company. For all Funds, the
Agreement was updated in the following respects: the language was simplified
where possible; the liability provisions made it clear that the Company is
liable to the Fund for the Company's negligence, and it expanded the Company's
ability to use brokerage commissions to pay Fund expenses.
74
<PAGE>
Notes to Financial Statements
June 30, 1996 (Unaudited) - continued
- ------------------------------------------------------------------------------
7. Special Shareholder Meetings (continued)
C. Approval of New Investment Advisory Agreement (continued)
Additionally shareholders of Variable Fund, Advisers Fund and Income Shares
voted to increase the annual investment advisory fee from 0.25% of average daily
net assets to 0.50% of average daily net assets for Variable Fund and Advisers
Fund and to 0.40% of average daily net assets for Income Shares.
Results of the vote were:
Votes Cast Votes Cast
Fund For Against Abstentions
- --------------------- ---------------- ------------- --------------
Variable Fund 135,248,579 23,840,887 7,927,973
Income Shares 32,469,944 4,960,684 1,749,802
Advisers Fund 54,058,024 7,937,568 3,237,681
Encore Fund 23,663,583 1,095,508 1,586,351
D. Amendment to Funds' Declaration of Trust
Shareholders of Variable Fund, Income Shares and Encore Fund voted to delete and
restate certain articles in each Fund's Declaration of Trust related to the
liability of Trustees to a Fund and the indemnification by a Fund of Trustees
and officers for liabilities incurred while acting as Trustees or officers of
the Fund. The primary purpose of the amendment is to allow a Fund to advance
costs to a Trustee if that Trustee is named in an action for which the Fund
would ultimately be obligated to indemnify the Trustee without the Trustee being
required to post collateral.
Results of the vote were:
Votes Cast Votes Cast
Fund For Against Abstentions
- --------------------- ---------------- ------------- --------------
Variable Fund 145,455,619 12,351,797 9,210,023
Income Shares 34,236,869 2,960,541 1,983,020
Encore Fund 23,143,387 1,358,413 1,843,642
75
<PAGE>
Aetna Variable Fund
Financial Highlights
- -----------------------------------------------------------------------------
Selected data for a fund share outstanding throughout the period:
<TABLE>
<CAPTION>
Six Month
Period Ended Year Ended December 31,
June 30, 1996 -------------------------------------
(Unaudited) 1995 1994 1993 1992
---------- ------ ------- ------- -------
<S> <C> <C> <C> <C> <C>
Net asset value per share, beginning of period .......... $29.055 $26.229 $31.245 $31.602 $30.954
------- ------ ------- ------- -------
Income from investment operations:
Net investment income ................................. 0.331 0.724 0.765 0.822 0.810
Net realized and unrealized gain (loss) ............... 2.721 7.620 (1.071) 1.287 1.229
------- ------ ------- ------- -------
Total from investment operations .................. 3.052 8.344 (0.306) 2.109 2.039
------- ------ ------- ------- -------
Less distributions:
From net investment income ............................ -- (0.72) (0.811) (0.814) (0.866)
From net realized gains on investments ................ -- (4.79) (3.899) (1.652) (0.525)
------- ------ ------- ------- -------
Total distributions ............................... -- (5.51) (4.710) (2.466) (1.391)
------- ------ ------- ------- -------
Net asset value per share, end of period ................ $32.107 $29.055 $26.229 $31.245 $31.602
======= ====== ======= ======= =======
Total return* ........................................... 10.50% 32.25% (0.96)% 6.74% 6.70%
Net assets, end of period (millions) .................... $6,249 $5,662 $4,424 $4,988 $4,552
Ratio of total expenses to average net assets** ......... 0.33% 0.29% 0.30% 0.29% 0.30%
Ratio of net investment income to average net assets** .. 2.17% 2.42% 2.52% 2.57% 2.86%
Portfolio turnover rate**................................ 82.35% 96.63% 84.27% 25.22% 16.26%
Average commission rate paid per share .................. $0.0470 -- -- -- --
</TABLE>
* The total return percentage does not reflect any separate account charges
under variable insurance contracts.
** Annualized for periods of less than one year.
Per share data calculated using average number of shares outstanding throughout
the period.
76
<PAGE>
Aetna Income Shares
Financial Highlights
- ----------------------------------------------------------------------------
Selected data for a fund share outstanding throughout the period:
<TABLE>
<CAPTION>
Six Month
Period Ended Year Ended December 31,
June 30, 1996 -----------------------------------------
(Unaudited) 1995 1994 1993 1992
---------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C>
Net asset value per share, beginning of period ......
$13.001 $11.719 $13.052 $12.759 $13.511
-------- -------- -------- -------- --------
Income from investment operations:
Net investment income ............................. 0.416 0.885 0.791 0.854 0.949
Net realized and unrealized gain (loss) ........... (0.542) 1.237 (1.294) 0.365 0.039
-------- -------- -------- -------- --------
Total from investment operations .............. (0.126) 2.122 (0.503) 1.219 0.988
-------- -------- -------- -------- --------
Less distributions:
From net investment income ........................ -- (0.840) (0.811) (0.842) (1.070)
In excess of net investment income ................ -- -- (0.019) (0.010) --
From net realized gains on investments ............ -- -- -- (0.060) (0.670)
In excess of net realized gains on
investments ...................................... -- -- -- (0.014) --
-------- -------- -------- -------- --------
Total distributions ........................... -- (0.840) (0.830) (0.926) (1.740)
-------- -------- -------- -------- --------
Net asset value per share, end of period ............
$12.875 $13.001 $11.719 $13.052 $12.759
======== ======== ======== ======== ========
Total return* ....................................... (0.97)% 18.24% (3.80)% 9.68% 7.45%
Net assets, end of period (000's) ................... $643,890 $666,960 $561,704 $641,429 $530,880
Ratio of total expenses to average net assets** ..... 0.33% 0.32% 0.33% 0.31% 0.31%
Ratio of net investment income to average net
assets** .......................................... 6.55% 6.97% 6.38% 6.47% 6.96%
Portfolio turnover rate**............................ 94.38% 113.72% 74.24% 56.37% 94.26%
</TABLE>
* The total return percentage does not reflect any separate account charges
under variable insurance contracts.
** Annualized for periods of less than one year.
Per share data calculated using weighted average number of shares outstanding
throughout the period.
77
<PAGE>
Aetna Variable Encore Fund
Financial Highlights
- -------------------------------------------------------------------------------
Selected data for a fund share outstanding throughout the period:
<TABLE>
<CAPTION>
Six Month
Period Ended Year Ended December 31,
June 30, 1996 ----------------------------------------
(Unaudited) 1995 1994 1993 1992
---------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C>
Net asset value per share, beginning of period ...... $13.298 $12.544 $12.535 $12.557 $12.628
-------- -------- -------- -------- --------
Income from investment operations:
Net investment income ............................. 0.348 0.755 0.526 0.397 0.502
Net realized and unrealized gain (loss) ........... (0.006) 0.009 (0.022) 0.001 (0.042)
-------- -------- -------- -------- --------
Total from investment operations .............. 0.342 0.764 0.504 0.398 0.460
-------- -------- -------- -------- --------
Less distributions:
From net investment income ........................ -- (0.010) (0.495) (0.420) (0.531)
-------- -------- -------- -------- --------
Total distributions ........................... -- (0.010) (0.495) (0.420) (0.531)
-------- -------- -------- -------- --------
Net asset value per share, end of period ............ $13.640 $13.298 $12.544 $12.535 $12.557
======== ======== ======== ======== ========
Total return* ....................................... 2.58% 6.05% 4.09% 3.19% 3.67%
Net assets, end of period (000's) ................... $538,054 $514,037 $483,039 $380,249 $461,991
Ratio of total expenses to average net assets** ..... 0.33% 0.30% 0.32% 0.31% 0.37%
Ratio of net investment income to average net
assets** .......................................... 5.23% 5.82% 4.16% 3.14% 3.96%
</TABLE>
* The total return percentage does not reflect any separate account charges
under variable insurance contracts.
** Annualized for periods of less than one year.
Per share data calculated using weighted average number of shares outstanding
throughout the period.
78
<PAGE>
Aetna Investment Advisers Fund, Inc.
Financial Highlights
- -----------------------------------------------------------------------------
Selected data for a fund share outstanding throughout the period:
<TABLE>
<CAPTION>
Six Month
Period Ended Year Ended December 31,
June 30, 1996 -------------------------------------
(Unaudited) 1995 1994 1993 1992
---------- ------ ------- ------- -------
<S> <C> <C> <C> <C> <C>
Net asset value per share, beginning of period .......... $14.502 $12.226 $12.798 $12.066 $11.841
------- ------ ------- ------- -------
Income from investment operations:
Net investment income ................................. 0.241 0.539 0.480 0.441 0.450
Net realized and unrealized gain (loss) ............... 0.643 2.737 (0.532) 0.741 0.297
------- ------ ------- ------- -------
Total from investment operations .................. 0.884 3.276 (0.052) 1.182 0.747
------- ------ ------- ------- -------
Less distributions:
From net investment income ............................ -- (0.67) (0.451) (0.425) (0.506)
In excess of net investment income .................... -- -- -- (0.015) --
From net realized gains on investments ................ -- (0.33) (0.069) (0.010) (0.016)
------- ------ ------- ------- -------
Total distributions ............................... -- (1.00) (0.520) (0.450) (0.522)
------- ------ ------- ------- -------
Net asset value per share, end of period ................ $15.386 $14.502 $12.226 $12.798 $12.066
======= ====== ======= ======= =======
Total return* ........................................... 6.09% 27.23% (0.35)% 9.90% 6.39%
Net assets, end of period (millions) .................... $1,279 $1,196 $958 $920 $730
Ratio of total expenses to average net assets** ......... 0.34% 0.31% 0.32% 0.31% 0.32%
Ratio of net investment income to average net assets** .. 3.25% 3.96% 3.83% 3.53% 4.05%
Portfolio turnover rate**................................ 127.74% 141.2% 112.05% 24.71% 15.51%
Average commission rate paid per share .................. $0.0572 -- -- -- --
</TABLE>
* The total return percentage does not reflect any separate account charges
under variable insurance contracts.
** Annualized for periods of less than one year.
Per share data calculated using weighted average number of shares outstanding
throughout the period.
79
