Aetna Variable Annuity Funds
Build for
Retirement. Manage
for Life. (SM)
1997
Semi-Annual
Report
Variable Funds offered through
your Aetna Variable Annuity and Life Contracts.
[AETNA LOGO]
Aetna Retirement Service
<PAGE>
Table of Contents
President's Letter ........................................................... 1
Investment Review:
Aetna Variable Fund......................................................... 3
Aetna Income Shares......................................................... 5
Aetna Variable Encore Fund.................................................. 7
Aetna Investment Advisers Fund, Inc......................................... 9
Portfolios of Investments:
Aetna Variable Fund.........................................................12
Aetna Income Shares.........................................................22
Aetna Variable Encore Fund..................................................24
Aetna Investment Advisers Fund, Inc.........................................26
Statements of Assets and Liabilities..........................................32
Statements of Operations......................................................33
Statements of Changes in Net Assets...........................................34
Notes to Financial Statements................................................36
Financial Highlights..........................................................42
Aetna Generations Portfolios, Inc.
Investment Review.............................................................46
Portfolios of Investments.....................................................50
Statements of Assets and Liabilities..........................................70
Statements of Operations......................................................71
Statements of Changes in Net Assets...........................................72
Notes to Financial Statements.................................................75
Financial Highlights..........................................................81
Aetna Variable Portfolios, Inc.
Investment Review.............................................................84
Portfolios of Investments.....................................................92
Statements of Assets and Liabilities.........................................102
Statements of Operations.....................................................103
Statements of Changes in Net Assets..........................................104
Notes to Financial Statements................................................106
Financial Highlights.........................................................109
Aetna GET Fund
Investment Review............................................................113
Portfolios of Investments....................................................117
Statements of Assets and Liabilities.........................................125
Statements of Operations.....................................................126
Statements of Changes in Net Assets..........................................127
Notes to Financial Statements................................................128
Financial Highlights.........................................................131
<PAGE>
Aetna Variable Fund
Growth of $10,000
[GRAPHIC OMITTED]
Average Annual Total Returns for the Period Ended
June 30, 1997*
- ------------------------------------------------
1 Year 5 Year 10 Year
- ------------------------------------------------
31.89% 17.06% 13.76%
- ------------------------------------------------
<TABLE>
<CAPTION>
[PLOT POINTS]
Jan-87 Jun-97
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Aetna Variable Fund 10,000 10,538 12,081 15,593 16,109 20,361 21,726 23,190 22,956 30,359 37,785 44,246
S&P 500 Index 10,000 10,525 12,273 16,163 15,660 20,432 21,988 24,205 24,524 33,741 41,484 50,034
</TABLE>
[LEGEND]
- --------------------------------------------------------------------------------
Aetna Variable Fund S&P 500 Index
- --------------------------------------------------------------------------------
* Total Return is calculated including reinvestment of income and capital gain
distributions. Past performance is no guarantee of future results. Performance
does not include any separate account charges imposed by Aetna. The S&P 500
Index is an unmanaged broad-based index.
How did the Fund perform during the period?
The Aetna Variable Fund (Variable Fund) provided a total return of 17.10%, net
of fund expenses, for the six month period ended June 30, 1997. In comparison,
the total return for the S&P 500(a), an unmanaged index, was 20.61% for the same
period. The Fund's returns have placed it in the top 42% (179 out of 426), 88%
(198 out of 225), and 38% (58 out of 152) for the one, five and ten year periods
ended June 30, 1997, respectively, for the variable annuity large blend domestic
equity funds tracked by Morningstar, Inc.
What economic or financial market conditions impacted the Fund?
During the past six months, the large company stocks that make up the S&P 500
continued to lead all other asset classes and achieved returns that were well
above long-term historical averages. These returns can be attributed in part to
the overall positive corporate earnings reports for the fourth quarter of 1996
and the first quarter of 1997.
What investments influenced the Fund's performance over the past six months?
In order to better control risk and pursue enhanced return potential over the
long run, we complement our large company U.S. stock holdings with investments
in a variety of asset classes outside of this core group. During these past six
months, domestic large company stocks, as represented by the S&P 500, had a
particularly strong showing relative to other asset classes. For example,
compared to the S&P 500 six month return of 20.61%, the Russell 2000(b), an
unmanaged small company stock index, returned only 10.20%, and international
stocks, as represented by the unmanaged Morgan Stanley Europe, Asia and Far East
(EAFE) Index(c), returned only 11.36% for the same six month period. Thus, our
strategic decision to structure the portfolio to be well-diversified, which we
strongly believe is a sound one, did not help us over these past six months.
Recently however, favorable performance of small company stocks and
international stocks helped to bring their second quarter returns closer to that
of large company stocks.
What is your outlook going forward?
We use the forward earnings yield (earnings per share divided by price) of the
S&P 500 as our barometer of equity valuation, and compare it to the yield on the
10-year U.S. Government bond. The spread between these two expected return
measures is what drives our asset allocation decision. As of June 30, 1997, the
difference between the S&P 500 forward earnings yield (4.80%) and the 10-year
bond yield (6.41%) remains unusually negative, indicating that stocks are priced
higher than usual relative to bonds. Consequently, our cash target for the Fund
remains relatively high at 9.9%.
See Definition of Indices. 3
<PAGE>
Aetna Variable Fund (continued)
There continues to be a wide valuation split between large company and small
company domestic stocks; consequently, we will maintain a heavier emphasis on
mid-sized company and small company domestic stocks. In addition, we continue to
like selective international markets, but we remain more-or-less hedged (for
potential protection against sudden shifts in values) against the Japanese yen,
German mark, and Dutch guilder.
Past performance is no assurance of future returns.
Investment Summary:
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
Top Ten Equity Holdings % of Portfolio
- --------------------------------------------------------------------------------
<S> <C>
Microsoft Corp. 2.3%
Bristol-Meyers Squibb Co. 2.2%
Dell Computer Corp. 2.1%
Compaq Computer Corp. 1.9%
BankAmerica Corp. 1.8%
Intel Corp. 1.8%
Procter & Gamble Co. 1.7%
Travelers Group, Inc. 1.4%
Schering Plough 1.4%
Dayton Hudson Corp. 1.3%
</TABLE>
Large Cap Portfolio Sector Breakdown:
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------
Portfolio S&P 500 Over/(Under)
Sector Weight Weight Weighting
- --------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Basic Materials 4.7% 5.9% (1.2)%
Producer Goods & Services 6.3% 12.5% (6.2)%
Technology 16.7% 12.0% 4.7 %
Consumer Goods 35.6% 33.7% 1.9 %
Services 1.5% 2.0% (0.5)%
Financial Services 19.1% 15.2% 3.9 %
Utilities 16.1% 18.7% (2.6)%
</TABLE>
Asset Allocation:
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------------------------
% of Notional Value* of Economic Exposure*
Portfolio Options Futures 06/30/97 12/31/96
- -------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Large Cap Stocks 66.7% -- -- 66.7% 76.0%
Mid Cap Stocks 5.5% -- -- 5.5% 3.9%
Small Cap Stocks 4.6% -- -- 4.6% 5.7%
International Stocks 5.5% -- 0.1 % 5.6% 5.9%
Real Estate Stocks 3.1% -- -- 3.1% 3.8%
Special Situations ** 2.2% -- 0.4 % 2.6% 1.9%
Convertible Securities 1.4% -- -- 1.4% 1.4%
Cash Equivalents 11.0% -- (0.5)% 10.5% 1.4%
----- --- ---- ----- -----
Total Investments 100.0% -- -- 100.0% 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.
** 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.
4
<PAGE>
Aetna Income Shares
Growth of $10,000
[GRAPHIC OMITTED]
Average Annual Total Returns for the Period Ended
June 30, 1997*
- ------------------------------------------------
1 Year 5 Year 10 Year
- ------------------------------------------------
7.71% 6.77% 9.12%
- ------------------------------------------------
[PLOT POINTS]
<TABLE>
<CAPTION>
Jan-87 Jun-97
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Aetna Income Shares 10,000 10,451 11,248 12,887 14,065 16,799 18,051 19,798 19,026 22,497 23,304 23,994
Lehman Aggregate Bond Index 10,000 10,276 11,087 12,698 13,835 16,049 17,237 18,917 18,365 21,757 22,547 23,243
</TABLE>
[LEGEND]
- --------------------------------------------------------------------------------
Aetna Income Shares Lehman Brothers Aggregate Bond Index
- --------------------------------------------------------------------------------
* Total Return is calculated including reinvestment of income and capital gain
distributions. Past performance is no guarantee of future results. Performance
does not include any separate account charges imposed by Aetna. The Lehman
Brothers Aggregate Bond Index is an unmanaged broad-based index.
How did the Fund perform during the period?
Aetna Income Shares (Income Shares) provided a total return of 2.96%, net of
fund expenses, for the six month period ended June 30, 1997. This return
underperformed the Lehman Brothers Aggregate Bond Index(d), an unmanaged index,
which returned 3.09% for the same period. Compared to the competitive universe
of variable annuity intermediate-term bond funds tracked by Morningstar, Inc.,
for the one, five and ten year periods ended June 30, 1997, the Fund's returns
placed it in the top 76% (160 out of 210), 71% (90 out of 126), and 20% (14 out
of 71), respectively. Fund performance was affected by the year-to-date price
movement for investment grade bonds which has been flat to slightly negative for
the period. Coupon income essentially accounted for the Fund's modest returns,
while the Fund's underweight positions of mortgage-backed securities and
security selection were the primary factors that caused returns to lag.
What economic or financial market conditions impacted the Fund?
Early in the year, the bond market wrestled with data that portrayed a robust,
consumer-driven expansion. The economy surged ahead at an annualized 5.9% rate
of growth in 1997's first quarter. This economic strength, coupled with
increasing levels of resource utilization, caused the Federal Reserve to raise
the Federal Funds rate by 0.25% in March 1997. The defensive strategy employed
by the Fund worked well as interest rates rose in the first quarter, but later
hampered performance as interest rates fell in the second quarter. Bonds began
to rally in April on signs of decelerating economic growth and lack of
inflationary pressures. Talks in Washington of reducing the Federal deficit and
uncertainties regarding the ability of key countries to meet European Monetary
Union targets further boosted bond prices. For the most part, interest rates
remained in a relatively narrow band as yields on the bellwether 30-year
Treasury bond generally ranged between 6.70% and 7.20%. The range was influenced
by the Federal Reserve's bias towards tighter monetary policy (through increased
interest rates) which capped prices while strong market technicals limited
prices on the downside.
What investments influenced the Fund's performance over the past six months?
Risk premiums, the additional compensation paid to assume greater levels of
risk, declined during the period as market volatility remained at relatively low
levels. As a result, mortgages were the best performing sector in the investment
grade market. Mortgages generally fare better in a low volatility environment
due to the imbedded call options, inherent in the security's structure that
allow for prepayment of the mortgage. There is a greater tendency for homeowners
to exercise that option through refinancing opportunities if interest rates were
to drop meaningfully rather than gradually trend lower. While the Fund's
holdings of premium mortgage pass-through securities generated above market
returns, the underweight allocation to these types of investments detracted from
performance. On the other hand, an overweight
See Definition of Indices. 5
<PAGE>
Aetna Income Shares (continued)
allocation to corporate bonds contributed to performance as this sector also
experienced spread compression. The overall environment has been favorable for
most corporations as improved earnings helped to strengthen credit quality
profiles. The Fund's holdings in the alternative asset classes of high-yield and
emerging market debt contributed positively to performance. Strong investor
demand for yield further reduced risk premiums in these markets. Both asset
classes continue to outperform the traditional bond market as the Lehman
Brothers High-Yield Index(e) and Emerging Markets Index(f), both unmanaged
indices, generated total returns of 5.82% and 10.47%, respectively for the first
six months of 1997.
What is your outlook going forward?
Our outlook for the bond market is neutral on a near-term basis and slightly
cautious longer-term. The markets will likely continue to trade in a narrow
range as growth remains moderate and inflation is dormant. We believe the second
quarter's consumer spending lull is temporary and that growth could pick up in
the second half of 1997. Real income growth, high consumer confidence levels,
tight labor markets, and wealth gains could revive spending activity. Given this
scenario, we will maintain a slightly defensive strategy in regard to interest
rate exposure and adjust asset allocations accordingly with changes in
volatility and risk premiums.
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 45.3% FNMA, 30 Yr., 8.00%, 07/14/27 3.8%
AA 5.4% U.S. Treasury Note, 6.875% 03/31/00 3.7%
A 11.4% U.S. Treasury Note, 10.375%, 11/15/12 3.7%
BBB 8.9% U.S. Treasury Note, 6.875%, 08/31/99 3.0%
BB 9.6% U.S. Treasury Note, 6.875, 07/31/99 3.0%
B 4.7% U.S. Treasury Note, 6.25%, 05/31/00 2.9%
Other 14.7% Associates Corp., 7.95%, 02/15/10 2.4%
Average AA-/A+ U.S. Treasury Note, 6.50%, 05/31/01 2.2%
Ford Motor Credit Corp., FRN, 5.75%, 02/22/99 2.2%
FNMA, 30 Yr., 7.50%, 07/14/27 2.2%
</TABLE>
6
<PAGE>
Aetna Variable Encore Fund
Growth of $10,000
[GRAPHIC OMITTED]
Average Annual Total Returns for the Period Ended
June 30, 1997*
- ------------------------------------------------
1 Year 5 Year 10 Year
- ------------------------------------------------
5.43% 4.60% 6.01%
- ------------------------------------------------
[PLOT POINTS]
<TABLE>
<CAPTION>
Jan-87 Jun-97
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Aetna Variable Encore Fund 10,000 10,679 11,483 12,560 13,622 14,511 15,042 15,522 16,154 17,131 18,051 18,528
IBC/Donoghue Public Money Market Funds 10,000 10,594 11,320 12,285 13,214 13,949 14,415 14,799 15,346 16,167 16,947 17,358
</TABLE>
[LEGEND]
- --------------------------------------------------------------------------------
Aetna Variable Encore Fund IBC/Donoghue Public Money Market Funds
- --------------------------------------------------------------------------------
* Total Return is calculated including reinvestment of income and capital gain
distributions. Past performance is no guarantee of future results. Performance
does not include any separate account charges imposed by Aetna. The IBC/Donoghue
Public Money Market Funds is an unmanaged broad-based index. An investment in
this Fund is neither insured nor guaranteed by the United States Government.
How did the Fund perform during the period?
The Aetna Variable Encore Fund (Encore Fund) generated a total return of 2.64%,
net of fund expenses, for the six month period ended June 30, 1997. The Fund
outperformed the average money market fund total return reported by the
IBC/Donoghue Public Money Funds Report Avg./All Taxable Index(g), of 2.42% over
the same period. Within the variable money market fund universe tracked by
Morningstar, Inc., the Fund ranked in the top 17% (47 out of 281), 16% (27 out
of 174), 17% (21 out of 127), for the one, five and ten year periods ended June
30, 1997, respectively. As of June 30, 1997 the Fund reported a 7-day average
yield of 5.39%, net of fund expenses, and maintained an average portfolio
maturity of 47 days.
What economic or financial market conditions impacted the Fund?
The strong economic growth displayed in the first quarter of the year surprised
many as early tax refunds likely contributed to the surge in consumer spending.
Strong job creation, and an increase in housing activity, coupled with cautious
comments on interest rates from Federal Reserve Chairman Alan Greenspan spurred
on inflation fears. The Federal Reserve members voted to raise short-term
interest rates by 0.25% at the March 25, 1997 Federal Open Market Committee
(FOMC), and cited "persisting strength of demand" as the driving force for the
decision to hike interest rates. Since then, growth has moderated and the FOMC
has held policy steady at the May and July meetings.
What investments influenced the Fund's performance over the past six months?
The Fund was able to enhance average portfolio yield by increasing the
allocation to asset-backed securities. These are high quality securities with a
AAA-rating and are generally collateralized by a pool of assets such as
automobile loans, credit card receivables or computer leases. Investors are
compensated with additional yield for the special repayment schedules and
increased structural complexity of these securities. Holdings of adjustable-rate
notes also contributed to performance.
See Definition of Indices. 7
<PAGE>
Aetna Variable Encore Fund (continued)
What is your outlook going forward?
We are relatively neutral on short-term interest rates, a position influenced by
the Federal Reserve's vote to leave monetary policy unchanged at its July 2nd
FOMC meeting. Unless we begin to see some evidence of inflationary pressures, we
believe the Federal Reserve could be on hold for the balance of the year. We are
beginning to see signs of economic growth emerge in June. A rebound in housing
activity, and consumer confidence at near end record levels support our belief
that consumer spending activity, which experienced a lull in the second quarter
1997, will return later in the fall. We intend to shift towards a neutral
maturity target and move up the quality spectrum while maintaining current asset
allocation targets.
Past performance is no assurance of future returns.
Investment Summary:
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------
Quality Breakdown % of Portfolio Maturity Distribution % of Portfolio
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Tier 1 99.1% 1 - 30 days 51.5%
Tier 2 0.9% 31-60 days 18.6%
61-90 days 6.6%
91 days or more 23.3%
</TABLE>
8
<PAGE>
Aetna Investment Advisers Fund, Inc.
Growth of $10,000
Average Annual Total Returns for the Period Ended
June 30, 1997*
- ------------------------------------------------
1 Year 5 Year Inception+
- ------------------------------------------------
19.57% 12.87% 11.88%
- ------------------------------------------------
[GRAPHIC OMITTED]
[PLOT POINTS]
<TABLE>
<CAPTION>
Apr-89 Jun-97
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Aetna Investment Advisers Fund, Inc. 10,000 10,730 11,339 13,429 14,289 15,699 15,627 19,882 22,898 25,220
Lehman Aggregate Bond Index 10,000 11,325 12,340 14,314 15,373 16,872 16,380 19,405 20,109 20,731
S&P 500 Index 10,000 12,297 11,915 15,545 16,729 18,416 18,659 25,671 31,562 38,067
60% S&P 500/40% Lehman Aggregate 10,000 11,913 12,129 15,133 16,281 17,908 17,849 23,143 26,607 30,173
</TABLE>
[LEGEND]
- --------------------------------------------------------------------------------
Aetna Investment Advisers Fund, Inc. Lehman Brothers Aggregate Bond Index
S&P 500 Index 60% S&P 500/40% Lehman Aggregate
- --------------------------------------------------------------------------------
* Total Return is calculated including reinvestment of income and capital gain
distributions. Past performance is no guarantee of future results. Performance
does not include any separate account charges imposed by Aetna. The S&P 500
Index, Lehman Brothers Aggregate Bond Index and the 60% S&P 500/40% Lehman
Aggregate are all unmanaged broad-based indices.
[dagger] The Fund commenced investment operations on April 3, 1989.
How did the Fund perform during the period?
The Aetna Investment Advisers Fund (Investment Advisers) generated a total
return of 10.14%, net of fund expenses, as compared to the 13.40% return of the
60%/40% mix of the S&P 500(a) and the Lehman Brothers Aggregate Bond Index(d)
(both unmanaged indices) for the six month period ended June 30, 1997. The
Fund's performance over the one and five year periods ended June 30, 1997 ranked
in the top 58% (262 out of 455) and 38% (92 out of 240), respectively, among
Morningstar's variable annuity domestic hybrid stock fund universe.
What economic or financial market conditions impacted the Fund?
The stock and bond markets both experienced significant rallies at the beginning
of 1997, but by mid-February, sentiment began to change. Stronger growth, higher
interest rates and a tighter monetary policy led to increased market volatility
that lasted through much of April. Beginning with comments by Federal Reserve
Chairman Alan Greenspan in late February, and continuing for weeks after the
Federal Reserve's decision to raise rates on March 25th, 1997, the S&P 500
managed to take back all of its 1997 gains, a correction of 10%. What appeared
to be a significant setback, however, was merely an opportunity for investors to
jump back into the equity market at more "rational" prices. From its mid-April
low through the end of June, the equity market correction was quickly
overshadowed by an even more impressive rally. The bond market simultaneously
rallied during the latter half of April bringing yields on the long-term bond
back below 6.70% by the end of June.
What investments influenced the Fund's performance over the past six months?
During the period, our asset allocation was targeted at 45% large company
stocks, 10% small company stocks, 35% bonds and 10% cash. The Fund's
underperformance in comparison to its benchmark index was primarily attributed
to an underweighted large company stock position in favor of small company
stocks and cash. Small company stocks continued to significantly underperform
large company stocks during the period. Over the last six months, the Fund's
slightly overweighted positions in technology stocks hurt performance as
revenues fell short of expectations and earnings expectations were subsequently
lowered. Exposure to stocks in certain industries or sectors, including the
consumer sector and financial services, as well as poor stock selection in the
raw materials and telecommunication industries also hampered performance. An
underweighted position in electric utilities benefited performance as this
industry's returns continued to lag the overall returns of the S&P 500 Index.
Also contributing positively to performance was exposure to the health care
industry and effective stock selection in the energy sector.
See Definition of Indices. 9
<PAGE>
Aetna Investment Advisers Fund, Inc. (continued)
The lackluster performance of the stock market in March and April was due in
part to higher interest rates as the bond market correctly anticipated the
Federal Reserve's interest rate hike in late March. The Fund's shortened
duration posture relative to the Lehman Brothers Aggregate Bond Index and
exposure to cash benefited performance during the market's retreat (sell-off of
securities). In late March, as the long-bond breached the 7% level, the Fund
increased its duration to bring it more in line with the Lehman Brothers
Aggregate Bond Index. This proved beneficial as the bond market rallied for the
remainder of the period. Over the last six months, the Fund's exposure to
emerging market debt securities significantly added to performance. In late May
as the difference between U.S. Treasury offering prices and prices on Emerging
Market debt (the spread) tightened substantially, gains earned in the Fund were
realized and exposure to this sector was reduced by 50%. Exposure to other
diversifying asset classes such as domestic high-yield corporate bonds and
commercial mortgage-backed securities further added to performance.
What is your outlook going forward?
We believe the economy may have taken a break in the second quarter of 1997
after growing 5.8% in the first quarter, a rate that we believe cannot be
sustained. We also believe that economic growth could pick up once again in the
second half of the year, leaving the Federal Reserve biased toward another
interest rate increase. Of course, if inflation remains subdued as it has for
quite some time, financial markets will continue to experience a 'Goldilocks'
environment -- not too hot, not too cold, but just right. Given the balance of
economic data and elevated valuations in the stock market, we will maintain our
somewhat defensive exposure to equities. We may look to add exposure to emerging
market debt and domestic high-yield bonds as buying opportunities arise.
Past performance is no assurance of future returns.
Investment Summary:
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------
Top Ten Holdings % of Portfolio
- ------------------------------------------------------------------------------------
<S> <C>
U.S. Treasury Note, 5.75%, 10/31/00 5.7%
U.S. Treasury Note, 6.25%, 06/30/98 2.3%
U.S. Treasury Bond, 7.25%, 05/15/16 1.9%
U.S. Treasury Bond, 6.75%, 08/15/26 1.6%
General Electric Co. 1.3%
Tyco International Ltd. 1.3%
SunAmerica, Inc. 1.2%
Procter & Gamble Co. 1.2%
TJX Companies, Inc. 1.1%
Lucent Technologies, Inc. 1.1%
</TABLE>
Large Cap Portfolio Sector Breakdown:
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------
Portfolio S&P 500 Over/(Under)
Sector Weight Weight Weighting
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Basic Materials 0.0% 6.0% (6.0)%
Producer Goods & Services 17.4% 8.8% 8.6 %
Technology 12.6% 14.5% (1.9)%
Consumer Goods 38.5% 35.0% 3.5 %
Services 0.0% 1.4% (1.4)%
Financial Services 14.9% 15.5% (0.6)%
Utilities 16.6% 18.8% (2.2)%
</TABLE>
10
<PAGE>
- --------------------------------------------------------------------------------
Definition of Indices
- --------------------------------------------------------------------------------
(a) The S&P 500 (Standard & Poor's 500) Index is a value-weighted unmanaged
index of 500 widely held stocks that assumes the reinvestment of all dividends,
and is considered to be representative of the stock market in general.
(b) The Russell 2000 Index consists of the smallest 2000 companies in the
Russell 3000 Index, and represents approximately 10% of the Russell 3000 total
market capitalization. The 3000 largest U.S. companies by market capitalization,
representing nearly 98% of the U.S. equity market, comprise the Russell 3000
Index. Both indices assume reinvestment of all dividends and are unmanaged.
(c) The Morgan Stanley Capital International-Europe, Australia, Far East (MSCI
EAFE) Index is a market value-weighted average of the performance of more than
900 securities listed on the stock exchanges of countries in Europe, Australia
and the Far East.
(d) The Lehman Brothers Aggregate Bond Index is an unmanaged index of corporate,
government and mortgage bonds.
(e) Lehman Brothers High-Yield Bond Index is composed of fixed rate, publicly
issued, noninvestment grade debt registered with the SEC.
(f) Lehman Brothers Emerging Markets Index is an unmanaged composite index of
U.S. dollar-denominated, below investment grade bonds issued from within foreign
developing markets.
(g) IBC/Donaghue Money Funds Report Avg./All Taxable Index is an average of the
returns of over 250 money market mutual funds surveyed each month by
IBC/Donoghue, Inc.
11
<PAGE>
Variable Fund
Portfolio of Investments - June 30, 1997 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Number of Market
Shares Value
--------- --------------
<S> <C> <C>
COMMON STOCKS (87.7%)
United States (82.2%)
Aerospace and Defense (0.6%)
AAR Corp. ....................................... 51,000 $ 1,647,938
Gencorp, Inc. ................................... 320,800 7,418,500
General Dynamics Corp. .......................... 206,700 15,502,500
Gulfstream Aerospace Corp.+ ..................... 295,800 8,726,100
Newport News Shipbuilding, Inc. ................. 280,500 5,452,219
Rohr Inc.+ ...................................... 25,000 548,438
Thiokol Corp. ................................... 105,900 7,413,000
--------------
46,708,695
--------------
Apparel (1.4%)
Brylane, Inc.+ .................................. 76,400 2,946,175
Fruit of the Loom, Inc.+ ........................ 1,622,900 50,309,899
Galey & Lord, Inc.+ ............................. 23,500 440,625
Liz Claiborne, Inc. ............................. 1,371,000 63,922,874
--------------
117,619,573
--------------
Autos and Auto Equipment (0.5%)
Borg Warner Automotive, Inc. .................... 132,600 7,168,688
Budget Group, Inc., Class A+ .................... 37,100 1,279,950
Dura Automotive Systems, Inc.+ .................. 63,900 1,789,200
Excel Industries, Inc. .......................... 24,200 471,900
Kaydon Corp. .................................... 26,500 1,315,063
Snap-On, Inc. ................................... 578,000 22,758,750
SPX Corp. ....................................... 92,400 5,988,675
Standard Products Co. ........................... 31,200 787,800
Westinghouse Air Brake Co. ...................... 35,200 704,000
--------------
42,264,026
--------------
Banks (7.1%)
AmSouth Bancorporation .......................... 178,100 6,734,406
Bank United Corp. ............................... 46,500 1,767,000
BankAmerica Corp. ............................... 2,294,000 148,106,374
Bankers Corp. ................................... 42,000 1,176,000
Centura Banks, Inc. ............................. 18,500 848,688
CFX Corp. ....................................... 27,200 571,200
Charter One Financial, Inc. ..................... 76,900 4,142,988
CITICORP ........................................ 672,200 81,042,112
Cullen/Frost Bankers, Inc. ...................... 46,000 1,949,250
Delta Financial Corp.+ .......................... 48,900 935,213
First American Corp. (Tenn.) .................... 169,800 6,516,075
First Chicago Corp. ............................. 1,466,072 88,697,355
First Empire State Corp. ........................ 6,400 2,156,800
First of America Bank Corp. ..................... 107,550 4,920,413
First Republic Bancorp, Inc.+ ................... 25,000 581,250
First Union Corp. ............................... 1,120,100 103,609,249
Firstfed Financial Corp.+ ....................... 20,900 649,206
Golden West Financial Corp. ..................... 116,800 8,176,000
Homeside, Inc.+ ................................. 116,500 2,548,438
Investors Financial Services Corp. .............. 80,000 3,800,000
Life Financial Corp.+ ........................... 27,900 376,650
New York Bancorp, Inc. .......................... 14,900 517,775
North Fork Bancorp, Inc. ........................ 276,200 5,903,775
- --------------------------------------------------------------------------------
Number of Market
Shares Value
--------- --------------
Banks (continued)
ONBANCorp, Inc. ................................. 69,282 $ 3,533,382
Reliance Bancorp, Inc. .......................... 18,000 529,875
Republic New York Corp. ......................... 636,300 68,402,249
Security Capital Corp. .......................... 29,800 2,816,100
SIS Bancorp, Inc. ............................... 11,800 345,150
Southtrust Corp. ................................ 223,000 9,226,625
State Street Corp. .............................. 179,600 8,306,500
UnionBancal Corp. ............................... 26,700 1,919,063
USBANCORP, Inc. ................................. 7,200 392,400
UST Corp. ....................................... 39,700 888,288
Washington Mutual, Inc. ......................... 144,800 8,651,800
Webster Financial Corp. ......................... 99,500 4,527,250
--------------
585,264,899
--------------
Building Materials and Construction (1.9%)
American Buildings Co.+ ......................... 60,500 1,633,500
Armstrong World Industries, Inc. ................ 524,800 38,507,199
Arvin Industries, Inc. .......................... 202,200 5,509,950
Centex Construction Products, Inc. .............. 96,400 1,879,800
Centex Corp. .................................... 384,700 15,628,438
Florida Rock Industries, Inc. ................... 30,700 1,247,188
Lennar Corp. .................................... 157,300 5,023,769
Lone Star Industries, Inc. ...................... 70,200 3,180,938
Masco Corp. ..................................... 1,587,000 66,257,249
National Steel Corp., Class B+ .................. 23,300 391,731
Skyline Corp. ................................... 32,400 797,850
Southdown, Inc. ................................. 167,300 7,298,463
Stone & Webster, Inc. ........................... 48,000 2,049,000
Tredegar Industries, Inc. ....................... 18,500 1,026,750
Vulcan Materials Co. ............................ 86,300 6,774,550
--------------
157,206,375
--------------
Chemicals (0.7%)
Cytec Industries+ ............................... 143,850 5,376,394
Dow Chemical Co. ................................ 455,800 39,711,574
Goodrich (B.F.) Co. ............................. 118,000 5,110,875
Lyondell Petrochemical Co. ...................... 331,500 7,230,844
--------------
57,429,687
--------------
Commercial Services (0.3%)
Caribiner International, Inc.+ .................. 72,800 2,375,100
Crescent Operating, Inc.+ ....................... 46,200 554,400
FactSet Research Systems, Inc.+ ................. 43,700 1,070,650
GATX Corp. ...................................... 30,000 1,732,500
Maximus, Inc.+ .................................. 41,900 748,963
Ogden Corp. ..................................... 238,400 5,185,200
Robert Half International, Inc.+ ................ 190,500 8,965,406
Startek, Inc.+ .................................. 54,700 823,919
US Filter Corp.+ ................................ 46,500 1,267,125
Wackenhut Corp., Class B ........................ 66,900 1,333,819
--------------
24,057,082
--------------
Computer Software (3.1%)
Analysts International Corp. .................... 13,900 465,650
BMC Software, Inc.+ ............................. 189,700 10,504,638
</TABLE>
12 See Notes to Portfolio of Investments.
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Number of Market
Shares Value
--------- --------------
<S> <C> <C>
United States (continued)
Computer Software (continued)
CCC Information Services Group+ ................. 9,200 $ 179,400
CHS Electronics, Inc.+ .......................... 18,900 500,850
Computer Associates International, Inc. ......... 831,075 46,280,488
Computer Learning Centers, Inc.+ ................ 104,901 4,405,872
Cybermedia, Inc.+ ............................... 26,000 416,000
Edify Corp.+ .................................... 27,800 410,050
Engineering Animation, Inc.+ .................... 65,100 2,197,125
Hyperion Software Corp.+ ........................ 102,400 2,291,200
Memco Software Ltd.+ ............................ 7,600 138,700
Microsoft Corp.+ ................................ 1,495,300 188,968,537
--------------
256,758,510
--------------
Computers and Office Equipment (6.1%)
Adaptec, Inc.+ .................................. 37,200 1,292,700
Ceridian Corp.+ ................................. 517,400 21,860,150
Compaq Computer Corp.+ .......................... 1,563,700 155,197,224
CompUSA, Inc.+ .................................. 92,600 1,990,900
Comverse Technology, Inc.+ ...................... 94,451 4,911,452
Dell Computer Corp.+ ............................ 1,477,500 173,513,905
EMC Corp.+ ...................................... 157,400 6,138,600
HBO & Co. ....................................... 131,200 9,036,400
Herman Miller, Inc. ............................. 252,600 9,093,600
Iomega Corp.+ ................................... 193,900 3,853,763
Moore Corp. Ltd. ................................ 667,400 13,139,438
Quantum Corp.+ .................................. 346,800 7,044,375
Scopus Technology, Inc.+ ........................ 65,100 1,456,613
Stratus Computer, Inc.+ ......................... 40,700 2,035,000
Sun Microsystems, Inc.+ ......................... 2,268,500 84,430,733
Western Digital Corp.+ .......................... 215,400 6,812,025
--------------
501,806,878
--------------
Consumer Products (2.6%)
American Greetings Corp., Class A ............... 651,300 24,179,513
Clorox Co. ...................................... 155,500 20,526,000
Colgate-Palmolive Co. ........................... 122,400 7,986,600
Dial Corp. ...................................... 69,800 1,090,625
Estee Lauder Co., Class A ....................... 133,900 6,728,475
Polaroid Corp. .................................. 32,000 1,776,000
Premark International, Inc. ..................... 313,200 8,378,100
Procter & Gamble Co. ............................ 1,005,500 142,026,874
--------------
212,692,187
--------------
Diversified (2.4%)
Aeroquip-Vickers, Inc. .......................... 55,500 2,622,375
Amway Asia Pacific Ltd. ......................... 38,400 1,675,200
Cooper Industries, Inc. ......................... 139,000 6,915,250
ITT Industries, Inc. ............................ 191,700 4,936,275
MascoTech, Inc. ................................. 330,600 6,901,275
Plantronics, Inc.+ .............................. 9,100 456,138
Rohm & Haas Co. ................................. 610,700 55,001,168
Textron, Inc. ................................... 1,271,400 84,389,174
- --------------------------------------------------------------------------------
Number of Market
Shares Value
--------- --------------
Diversified (continued)
Varlen Corp. .................................... 36,400 $ 978,250
VF Corp. ........................................ 362,800 30,883,350
Westinghouse Electric Corp. ..................... 96,200 2,224,625
--------------
196,983,080
--------------
Electrical and Electronics (3.3%)
ADT Ltd.+ ....................................... 131,800 4,349,400
Applied Materials, Inc.+ ........................ 429,500 30,413,969
C & D Technologies, Inc. ........................ 20,000 750,000
Exar Corp.+ ..................................... 19,200 412,800
Hadco Corp.+ .................................... 70,000 4,585,000
Integrated Packaging Assembly Corp.+............ 13,500 47,250
Intel Corp. ..................................... 1,036,400 146,974,474
MTS Systems Corp. ............................... 22,600 689,300
National Semiconductor Corp.+ ................... 953,700 29,207,063
Seagate Technology, Inc.+ ....................... 1,430,000 50,318,124
Veeco Instruments, Inc.+ ........................ 32,000 1,240,000
Waters Corp.+ ................................... 100,000 3,587,500
--------------
272,574,880
--------------
Electrical Equipment (0.6%)
Berg Electronics Corp.+ ......................... 125,900 4,524,531
Fluke Corp. ..................................... 46,000 2,725,500
SCI Systems, Inc.+ .............................. 61,300 3,907,875
Tektronix, Inc. ................................. 580,000 34,800,000
--------------
45,957,906
--------------
Financial Services (5.0%)
Ahmanson (H. F.) & Co. .......................... 1,870,700 80,440,099
ALBANK Financial Corp. .......................... 21,400 845,300
Alex Brown & Sons, Inc. ......................... 97,400 6,878,875
Astoria Financial Corp. ......................... 99,400 4,721,500
Bankers Trust New York Corp. .................... 382,400 33,268,800
Bear Stearns Co., Inc. .......................... 428,596 14,652,626
ContiFinancial Corp.+ ........................... 46,600 1,700,900
E Trade Group Inc.+ ............................. 46,300 908,638
Green Tree Financial Corp. ...................... 334,400 11,913,000
Lehman Brothers Holdings, Inc. .................. 170,001 6,885,050
Matrix Capital Corp.+ ........................... 68,300 956,200
Merrill Lynch & Co., Inc. ....................... 681,400 40,628,474
Morgan Stanley, Dean Witter,
Discover & Co. ................................ 303,200 13,056,550
Nationwide Financial Services,
Inc., Class A ................................. 37,200 988,125
Paine Webber Group, Inc. ........................ 119,400 4,179,000
Salomon, Inc. ................................... 1,151,800 64,644,724
SunAmerica, Inc. ................................ 78,400 3,822,000
Trans Financial, Inc. ........................... 55,500 1,547,063
Travelers Group, Inc. ........................... 1,889,541 119,159,178
WSFS Financial Corp.+ ........................... 45,800 629,750
--------------
411,825,852
--------------
</TABLE>
13
<PAGE>
Variable Fund (continued)
Portfolio of Investments - June 30, 1997 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Number of Market
Shares Value
--------- --------------
<S> <C> <C>
United States (continued)
Foods and Beverages (2.4%)
Canandaigua Wine Co., Inc., Class A+............. 20,000 $ 680,000
Coca-Cola Co. ................................... 977,900 66,008,249
Conagra, Inc. ................................... 371,800 23,841,675
Dean Foods Co. .................................. 134,600 5,434,475
Earthgrains Co. ................................. 25,800 1,691,513
Einstein/Noah Bagel Corp.+ ...................... 507,300 6,055,894
General Mills, Inc. ............................. 7,579 493,582
Kroger Co. (The)+ ............................... 2,737,200 79,378,799
Nash-Finch Co. .................................. 17,000 376,125
Ralcorp Holdings, Inc.+ ......................... 46,500 685,875
Smithfields Foods, Inc.+ ........................ 134,600 8,277,900
Suiza Foods Corp.+ .............................. 121,900 4,997,900
--------------
197,921,987
--------------
Health Services (1.3%)
Beverly Enterprises+ ............................ 1,768,200 28,733,250
Curative Health Services, Inc.+ ................. 53,900 1,549,625
FPA Medical Management, Inc.+ ................... 285,400 6,760,413
Genentech, Inc.+ ................................ 64,800 3,819,150
Lincare Holdings, Inc.+ ......................... 189,600 8,152,800
MedPartners, Inc.+ .............................. 120,900 2,614,463
Oxford Health Plans, Inc.+ ...................... 87,900 6,306,825
Sunrise Assisted Living, Inc.+ .................. 46,800 1,638,000
Tenet Healthcare Corp.+ ......................... 1,038,500 30,700,656
Trigon Healthcare, Inc.+ ........................ 133,100 3,227,675
Universal Health Services, Inc.+ ................ 187,500 7,218,750
Wellpoint Health Networks, Inc.+ ................ 159,981 7,339,128
--------------
108,060,735
--------------
Home Furnishings and Appliances (0.2%)
Ethan Allen Interiors, Inc. ..................... 138,700 7,905,900
Furniture Brands International, Inc.+............ 154,700 2,997,313
Hon Industries, Inc. ............................ 35,300 1,562,025
Kimball International, Inc. Class B ............. 11,500 462,875
O'Sullivan Industries Holdings, Inc.+............ 195,500 3,237,969
Pillowtex Corp. ................................. 42,500 932,344
Sunbeam Corp. ................................... 30,000 1,132,500
--------------
18,230,926
--------------
Hotels and Restaurants (1.5%)
Foodmaker, Inc.+ ................................ 246,500 4,036,438
HFS, Inc.+ ...................................... 998,095 57,889,509
Interstate Hotels Co.+ .......................... 9,300 273,769
Marriott International, Inc. .................... 823,700 50,554,587
Prime Hospitality Corp.+ ........................ 110,000 2,172,500
Promus Hotel Corp.+ ............................. 101,800 3,944,750
Silverleaf Resorts, Inc.+ ....................... 46,500 714,938
--------------
119,586,491
--------------
Insurance (3.7%)
Allied Group, Inc. .............................. 63,900 2,428,200
Allstate Corp. .................................. 139,600 10,190,800
AMBAC, Inc. ..................................... 105,000 8,019,375
American General Corp. .......................... 45,000 2,148,750
- --------------------------------------------------------------------------------
Number of Market
Shares Value
--------- --------------
Insurance (continued)
Berkley (WR) Corp. .............................. 28,200 $ 1,660,275
Chartwell Re Corp. .............................. 12,300 369,000
Cigna Corp. ..................................... 513,900 91,217,249
CMAC Investment Corp. ........................... 139,300 6,651,575
Conseco, Inc. ................................... 577,587 21,370,719
Delphi Financial Group, Inc.+ ................... 31,900 1,228,150
Equitable Co., Inc. ............................. 251,900 8,375,675
Everest Re Holdings, Inc. ....................... 183,100 7,255,338
FBL Financial Group, Inc. ....................... 17,000 641,750
First American Financial Corp. .................. 34,700 1,353,300
Guaranty National Corp. ......................... 20,000 480,000
Hartford Financial Services Group, Inc........... 732,800 60,639,199
Hartford Life, Inc., Class A+ ................... 130,600 4,897,500
Horace Mann Educators Corp. ..................... 58,500 2,866,500
IPC Holdings Ltd. ............................... 159,300 4,301,100
Medical Assurance, Inc.+ ........................ 11,910 483,844
Mutual Risk Management Ltd. ..................... 105,466 4,838,253
NAC Re Corp. .................................... 10,800 522,450
Old Republic International Corp. ................ 275,728 8,358,005
Orion Capital Corp. ............................. 98,400 7,257,000
Reinsurance Group of America .................... 53,000 3,047,500
Reliance Group Holdings, Inc. ................... 105,000 1,246,875
RLI Corp. ....................................... 8,600 313,363
SCPIE Holdings, Inc. ............................ 27,100 753,719
Security-Connecticut Corp. ...................... 19,100 1,051,694
Selective Insurance Group, Inc. ................. 55,300 2,678,594
Titan Holdings, Inc. ............................ 42,800 1,016,500
Torchmark Corp. ................................. 284,000 20,235,000
Transatlantic Holdings, Inc. .................... 81,300 8,069,025
United Wisconsin Services, Inc. ................. 154,700 5,211,456
Vesta Insurance Group, Inc. ..................... 93,000 4,022,250
--------------
305,199,983
--------------
Machinery and Equipment (1.8%)
Applied Power, Inc. ............................. 25,200 1,300,950
Barnes Group, Inc. .............................. 54,600 1,617,525
Case Corp. ...................................... 415,300 28,603,788
Caterpillar, Inc. ............................... 766,400 82,292,199
Chart Industries, Inc. .......................... 77,600 2,124,300
Harnischfeger Industries, Inc. .................. 367,100 15,234,650
Parker-Hannifin Corp. ........................... 231,400 14,043,088
Terex Corp.+ .................................... 76,800 1,478,400
The Manitowoc Co., Inc. ......................... 21,600 1,009,800
Toro Co. ........................................ 51,300 1,942,988
U.S. Rentals, Inc.+ ............................. 66,300 1,678,219
--------------
151,325,907
--------------
Media and Entertainment (0.7%)
Allen Telecom Inc.+ ............................. 46,300 960,725
Carmike Cinemas, Class A+ ....................... 229,400 7,512,850
Carnival Corp. .................................. 152,300 6,282,375
Evergreen Media Corp., Class A+ ................. 160,700 7,171,238
Heritage Media Corp., Class A+ .................. 14,000 264,250
Jones Intercable, Inc.+ ......................... 11,600 147,900
</TABLE>
14 See Notes to Portfolio of Investments.
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Number of Market
Shares Value
--------- --------------
<S> <C> <C>
United States (continued)
Media and Entertainment (continued)
King World Production, Inc. ..................... 835,000 $ 29,225,000
Midway Games, Inc.+ ............................. 59,000 1,268,500
Regal Cinemas, Inc.+ ............................ 229,000 7,557,000
Scripps (E.W.) Co. .............................. 30,600 1,273,725
--------------
61,663,563
--------------
Medical Supplies (2.4%)
American Home Products Corp. .................... 1,385,600 105,998,399
Biomet, Inc.+ ................................... 342,700 6,382,788
Guidant Corp. ................................... 882,419 75,005,614
Heartport, Inc.+ ................................ 45,600 803,700
Hillenbrand Industries, Inc. .................... 52,500 2,493,750
Perrigo Co.+ .................................... 129,600 1,620,000
Vivus, Inc.+ .................................... 271,800 6,472,238
--------------
198,776,489
--------------
Metals and Mining (1.5%)
AK Steel Holding Corp. .......................... 46,400 2,047,400
Alumax, Inc.+ ................................... 40,800 1,547,850
Asarco, Inc. .................................... 206,700 6,330,188
Ashland Coal Inc. ............................... 13,300 379,050
Cyprus Amax Minerals Co. ........................ 132,700 3,251,150
Phelps Dodge Corp. .............................. 441,800 37,635,838
RMI Titanium Co.+ ............................... 256,600 6,992,350
Special Metals Corp.+ ........................... 49,300 961,350
Timken Co. ...................................... 1,671,000 59,424,937
Titanium Metals Corp.+ .......................... 76,000 2,403,500
USX-US Steel Group, Inc. ........................ 153,100 5,368,069
--------------
126,341,682
--------------
Oil and Gas (4.6%)
Apache Corp. .................................... 242,800 7,891,000
Atlantic Richfield Co. .......................... 680,400 47,968,199
Columbia Gas System, Inc. ....................... 923,100 60,232,274
Cross Timbers Oil Co. ........................... 30,162 580,619
Domain Energy Corp.+ ............................ 53,000 715,500
Helmerich & Payne, Inc. ......................... 489,900 28,230,488
Kerr-Mcgee Corp. ................................ 1,049,700 66,524,737
National Fuel Gas Co. ........................... 62,800 2,633,675
Newpark Resources, Inc.+ ........................ 25,800 870,750
Oneok, Inc. ..................................... 70,000 2,253,125
Oryx Energy Co.+ ................................ 1,329,500 28,085,688
Phillips Petroleum Co. .......................... 1,613,100 70,573,124
Rowan Co., Inc.+ ................................ 151,200 4,261,950
Santa Fe International Corp.+ ................... 122,800 4,175,200
Seacor Holdings+ ................................ 119,100 6,230,419
Tesoro Petroleum Corp.+ ......................... 46,000 681,375
Tidewater, Inc. ................................. 225,200 9,908,800
Union Texas Petroleum Holdings, Inc ............. 309,000 6,469,688
USX-Marathon Group .............................. 1,045,900 30,200,363
Vastar Resources, Inc. .......................... 115,300 4,042,706
--------------
382,529,680
--------------
- --------------------------------------------------------------------------------
Number of Market
Shares Value
--------- --------------
Paper and Containers (0.2%)
Buckeye Cellulose Corp.+ ........................ 40,500 $ 1,366,875
James River Corp. of Virginia ................... 227,700 8,424,900
Schweitzer-Mauduit Internatinal, Inc ............ 187,600 7,035,000
US Can Corp.+ ................................... 28,300 403,275
--------------
17,230,050
--------------
Pharmaceuticals (6.1%)
Becton, Dickinson & Co. ......................... 1,074,000 54,371,249
Bristol-Myers Squibb Co. ........................ 2,270,400 183,902,399
Dura Pharmaceuticals, Inc.+ ..................... 191,900 7,652,013
Johnson & Johnson ............................... 1,389,108 89,423,827
Medicis Pharmaceutical Corp.+ ................... 178,250 8,890,219
Merck & Co., Inc. ............................... 354,600 36,701,100
Pharmacia & Upjohn, Inc. ........................ 114,800 3,989,300
Schering Plough ................................. 2,477,800 118,624,674
--------------
503,554,781
--------------
Printing and Publishing (2.9%)
Central Newspapers, Inc., Class A ............... 119,000 8,523,375
Devon Group, Inc.+ .............................. 17,700 632,775
Gannett Co., Inc. ............................... 813,600 80,342,999
McClatchy Newspapers, Inc. ...................... 91,600 2,690,750
New York Times Co. .............................. 1,304,900 64,592,549
Pulitzer Publishing Co. ......................... 20,000 1,060,000
Times Mirror Co. ................................ 476,100 26,304,525
Tribune Co. ..................................... 877,800 42,189,262
Valassis Communications, Inc.+ .................. 245,400 5,889,600
Washington Post Co. ............................. 23,300 9,273,400
--------------
241,499,235
--------------
Real Estate Investment Trusts (3.0%)
Alexandria Real Estate Equities, Inc.+ .......... 19,300 423,394
Ambassador Apartments, Inc. ..................... 56,500 1,405,438
American General Hospitality Corp. .............. 55,800 1,381,050
American Health Properties, Inc. ................ 63,400 1,592,925
AMLI Residential Properities Trust .............. 55,900 1,313,650
Apartment Investment & Management Co. ......... 237,900 6,720,675
Arden Realty Group, Inc. ........................ 93,800 2,438,800
Associated Estates Realty Corp. ................. 100,000 2,350,000
Bay Apartment Communities, Inc. ................. 21,200 784,400
Beacon Properties Corp. ......................... 190,000 6,341,250
Brandywine Realty Trust ......................... 25,900 524,475
Bre Properties, Inc., Class A ................... 84,400 2,120,550
CALI Realty Corp. ............................... 162,900 5,538,600
Camden Property Trust ........................... 25,400 803,275
Capstone Capital Trust, Inc. .................... 78,700 1,928,150
Carr Realty Corp. ............................... 102,000 2,932,500
CBL & Associates Properties, Inc. ............... 124,800 2,995,200
Chelsea GCA Realty, Inc. ........................ 108,600 4,126,800
Colonial Properties Trust ....................... 159,800 4,694,125
Cornerstone Properties, Inc. .................... 38,200 587,325
Crescent Real Estate Equities, Inc. ............. 462,000 14,668,500
Criimi Mae, Inc. ................................ 54,100 865,600
</TABLE>
15
<PAGE>
Variable Fund (continued)
Portfolio of Investments - June 30, 1997 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Number of Market
Shares Value
--------- --------------
<S> <C> <C>
United States (continued)
Real Estate Investment Trusts (continued)
Crown America Realty Trust ...................... 228,300 $ 2,111,775
Developers Diversified Realty Corp. ............. 309,100 12,364,000
Duke Realty Investments, Inc. ................... 288,700 11,692,350
Equity Residential Properties Trust ............. 184,400 8,759,000
Essex Property Trust, Inc. ...................... 100,200 3,218,925
Evans Withycombe Residential, Inc. .............. 56,700 1,176,525
First Industrial Realty Trust, Inc. ............. 120,000 3,510,000
General Growth Properties ....................... 219,900 7,366,650
Glenborough Realty Trust, Inc. .................. 72,200 1,823,050
Health Care REIT, Inc. .......................... 104,000 2,528,500
Healthcare Realty Trust, Inc. ................... 95,300 2,656,488
Highwood Properties, Inc. ....................... 85,100 2,723,200
Innkeepers USA Trust ............................ 135,900 2,038,500
JDN Realty Corp. ................................ 62,400 1,950,000
Kimco Realty Corp. .............................. 290,200 9,213,850
Lexington Corporate Props., Inc. ................ 33,400 467,600
Liberty Property Trust .......................... 99,500 2,475,063
LTC Properties, Inc. ............................ 56,900 1,031,313
Macerich Co. (The) .............................. 40,000 1,110,000
Manufactured Home Communities, Inc. ............. 126,000 2,905,875
Meridian Industrial Trust, Inc. ................. 40,000 940,000
Merry Land & Investment Co., Inc. ............... 100,000 2,168,750
MGI Properties, Inc. ............................ 75,500 1,665,719
Mid-America Apartment Communities, Inc. ......... 50,300 1,411,544
Mills Corp. ..................................... 37,700 1,043,819
National Golf Properties, Inc. .................. 175,700 6,105,575
National Health Investors, Inc. ................. 125,000 4,906,250
Oasis Residential, Inc. ......................... 277,700 6,525,950
OMEGA Healthcare Investors, Inc. ................ 48,000 1,569,000
Patriot American Hospitality, Inc. .............. 32,400 826,200
Post Properties, Inc. ........................... 33,300 1,350,731
Prime Retail, Inc. .............................. 46,900 630,219
Public Storage, Inc. ............................ 324,900 9,503,325
Ramco-Gerhenson Properties ...................... 18,075 318,572
Reckson Associates Realty Corp. ................. 227,400 5,230,200
Regency Realty Corp. ............................ 19,300 525,925
Rouse Co. ....................................... 51,000 1,504,500
Saul Centers, Inc. .............................. 50,000 862,500
Security Capital Industrial Trust ............... 223,725 4,810,088
Simon Debartolo Group, Inc. ..................... 254,544 8,145,408
Smith (Charles E.) Residential Realty Co. ....... 39,500 1,140,563
Spieker Properties, Inc. ........................ 214,700 7,554,756
Starwood Lodging Trust .......................... 258,900 11,051,794
Sunstone Hotel Investors, Inc. .................. 145,400 2,108,300
Tanger Factory Outlet Centers, Inc. ............. 94,100 2,528,938
United Dominion Realty Trust, Inc. .............. 497,776 7,062,197
Universal Health Realty Income Trust ............ 32,100 607,894
Walden Residential Properties, Inc. ............. 206,000 5,278,750
Weingarten Realty Investors ..................... 101,000 4,267,250
--------------
249,304,063
--------------
- --------------------------------------------------------------------------------
Number of Market
Shares Value
--------- --------------
Retail (5.4%)
American Stores Co. ............................. 1,607,700 $ 79,380,187
Ames Department Stores, Inc.+ ................... 306,200 2,966,313
Barnes & Noble, Inc.+ ........................... 48,300 2,076,900
Burlington Coat Factory Warehouse+ ............. 326,600 6,368,700
Costco Companies, Inc.+ ......................... 1,191,300 39,163,987
CVS Corp. ....................................... 265,810 13,622,763
Dayton Hudson Corp. ............................. 2,021,100 107,497,255
Dress Barn, Inc.+ ............................... 40,000 780,000
Eastgroup Properties ............................ 34,950 703,369
Fabri-Centers of America Class A+ ............... 27,300 743,925
Footstar, Inc.+ ................................. 45,916 1,199,556
Funco, Inc.+ .................................... 75,100 1,389,350
Goody's Family Clothing, Inc.+ .................. 41,700 1,141,538
Hasbro, Inc. .................................... 50,400 1,430,100
Kroger Equity, Inc. ............................. 100,000 1,825,000
Linens 'n Things Inc.+ .......................... 37,200 1,102,050
Lowe's Companies, Inc. .......................... 9,300 345,263
Mac Frugal's Bargains+ .......................... 69,500 1,893,875
Officemax, Inc.+ ................................ 93,000 1,342,688
Payless ShoeSource, Inc.+ ....................... 203,092 11,106,594
Proffitt's, Inc.+ ............................... 133,700 5,866,088
Ross Stores, Inc. ............................... 674,500 22,047,719
Russ Berrie & Co., Inc. ......................... 33,000 723,938
Saks Holdings, Inc.+ ............................ 43,800 1,095,000
Sears, Roebuck & Co. ............................ 765,600 41,150,999
Talbots, Inc. ................................... 46,500 1,581,000
TJX Companies, Inc. ............................. 2,829,600 74,630,699
Urban Shopping Centers, Inc. .................... 125,000 3,984,375
Wet Seal, Inc.+ ................................. 90,200 2,846,938
Woolworth Corp.+ ................................ 488,700 11,728,800
Zale Corp.+ ..................................... 236,400 4,683,675
--------------
446,418,644
--------------
Telecommunications (0.7%)
Ameritech Corp. ................................. 816,300 55,457,380
Aspect Telecommunications Corp.+ ................ 95,690 2,129,103
Teleport Communications Group, Inc.+ ............ 63,300 2,160,113
U.S. Long Distance Corp.+ ....................... 39,300 677,925
--------------
60,424,521
--------------
Transportation (1.4%)
Amerus Life Holdings, Inc., Class A ............. 23,200 646,700
Avondale Industries, Inc.+ ...................... 15,900 333,900
CNF Transportation, Inc. ........................ 219,600 7,082,100
Comair Holdings, Inc. ........................... 129,350 3,581,378
Continental Airlines, Inc., Class B+ ........... 196,500 6,865,219
CSX Corp. ....................................... 298,600 16,572,300
Delta Air Lines, Inc. ........................... 665,900 54,603,799
Eagle USA Airfreight, Inc.+ ..................... 18,200 493,675
Expeditors International of
Washington, Inc. .............................. 54,200 1,537,925
Hvide Marine, Inc., Class A+ .................... 33,100 732,338
</TABLE>
16 See Notes to Portfolio of Investments.
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Number of Market
Shares Value
--------- --------------
<S> <C> <C>
United States (continued)
Transportation (continued)
Midwest Express Holdings, Inc.+ ................. 85,950 $ 2,352,881
Trico Marine Services, Inc.+ .................... 56,200 1,225,863
UAL Corp.+ ...................................... 236,400 16,917,375
US Freightways Corp. ............................ 75,000 1,940,625
US Xpress Enterprises, Inc.+ .................... 31,400 620,150
--------------
115,506,228
--------------
Utilities - Electric (3.5%)
Calenergy, Inc.+ ................................ 189,011 7,182,418
DQE, Inc. ....................................... 78,050 2,204,913
Entergy Corp. ................................... 2,710,600 74,202,674
GPU, Inc. ....................................... 1,050,400 37,683,100
MDU Resources Group, Inc. ....................... 17,200 412,800
Montana Power Co. ............................... 326,100 7,561,444
Nevada Power Co. ................................ 336,200 7,144,250
New England Electric System ..................... 50,000 1,850,000
Ohio Edison Co. ................................. 734,700 16,025,644
PP&L Resources, Inc. ............................ 807,600 16,101,525
Public Service Co. of New Mexico ................ 404,300 7,226,863
Public Service Enterprise
Group, Inc. ................................... 210,600 5,265,000
Texas Utilities Co. ............................. 1,703,800 58,674,612
TNP Enterprises, Inc. ........................... 18,200 422,013
Unicom Corp. .................................... 2,033,900 45,254,274
--------------
287,211,530
--------------
Utilities - Oil and Gas (0.7%)
Brooklyn Union Gas Co. (The) .................... 50,000 1,431,250
Coastal Corp. (The) ............................. 769,200 40,911,824
Northwest Natural Gas Co. ....................... 18,150 475,303
Pacific Enterprises ............................. 301,600 10,141,300
People's Energy Corp. ........................... 104,200 3,900,988
Valero Energy Corp. ............................. 68,820 2,494,725
--------------
59,355,390
--------------
Utilities - Telephone (2.6%)
Aerial Communications, Inc.+ .................... 213,900 1,818,150
Bell Atlantic Corp. ............................. 234,500 17,792,688
BellSouth Corp. ................................. 1,735,900 80,502,362
Century Telephone Enterprises ................... 156,000 5,255,250
Cincinnati Bell, Inc. ........................... 226,600 7,137,900
NYNEX Corp. ..................................... 1,658,600 95,576,824
U. S. West Communications Group ................. 69,900 2,634,356
--------------
210,717,530
--------------
Total United States ............................. 6,790,009,045
--------------
Total Foreign Common Stocks (5.5%)
Australia (0.2%)
Goodman Fielder Ltd.
(Foods and Beverages) ......................... 2,831,801 4,136,782
Reinsurance Australia Corp. Ltd.
(Insurance) ................................... 1,037,000 3,115,218
Santos Ltd. (Oil and Gas) ....................... 1,101,500 4,596,264
Woolworth Ltd. (Foods and
Beverages) .................................... 1,125,000 3,666,123
--------------
Total Australia ................................. 15,514,387
--------------
- --------------------------------------------------------------------------------
Number of Market
Shares Value
--------- --------------
Austria (0.1%)
Oesterreichische
Elektrizitaetswirtschafts-AG
(Utilities - Electric) ........................ 37,000 $ 2,606,535
VA Technologie AG (Commercial
Services) ..................................... 27,700 5,070,196
--------------
Total Austria ................................... 7,676,731
--------------
Belgium (0.1%)
CMB, NPV
(Building Materials and
Construction) ................................. 42,300 2,847,454
G.I.B. Holdings Ltd. (Retail) ................... 98,700 4,722,224
Reunies Electrobel & Tractebel
(Utilities - Electric) ........................ 1,400 584,145
Societe Generale De Belgique
(Financial Services) .......................... 38,100 3,560,945
--------------
Total Belgium ................................... 11,714,768
--------------
Brazil (0.1%)
Telecomunicacoes Brasileiras SA
(Utilities - Telephone) ....................... 41,250 6,259,688
Unibanco Brasileiros SA
(Financial Services) + ........................ 25,000 928,125
--------------
Total Brazil .................................... 7,187,813
--------------
Canada (0.1%)
Anderson Exploration Ltd. (Oil and
Gas) + ........................................ 355,500 4,586,904
Canadian National Railway Co.
(Transportation) .............................. 71,600 3,131,936
Petro-Canada (Oil and Gas) ...................... 272,300 4,421,358
--------------
Total Canada .................................... 12,140,198
--------------
Chile (0.1%)
Cia de Telecomuncaciones de Chile
(Utilities - Telephone) ....................... 88,900 2,933,700
Embotelladora Andina ADR, Class A
(Foods and Beverages) ......................... 71,600 1,534,925
Embotelladora Andina ADR, Class B
(Foods and Beverages) ......................... 24,300 507,263
Empresa Nacional Electricidad SA
(Utilities - Electric) ........................ 62,000 1,398,875
--------------
Total Chile ..................................... 6,374,763
--------------
Denmark (0.2%)
Bang & Olufsen Holding Co.
(Electrical and Electronics) + ................ 47,150 2,915,447
Novo-Nordisk AS (Pharmaceuticals) ............... 51,800 5,655,981
Tele Danmark AS (Utilities -
Telephone) .................................... 87,100 4,531,864
--------------
Total Denmark ................................... 13,103,292
--------------
Finland (0.2%)
Enso Oy Registered Shares
(Paper and Containers)......................... 231,000 2,134,666
Finnlines Oy (Transportation) ................... 56,900 1,741,751
Huhtamaki Group (Diversified) ................... 81,200 3,493,899
Oy Nokia AB (Telecommunications) ................ 24,300 1,814,691
Oy Nokia Corp., ADR A
(Telecommunications) .......................... 15,000 1,106,250
</TABLE>
17
<PAGE>
Variable Fund (continued)
Portfolio of Investments - June 30, 1997 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Number of Market
Shares Value
--------- --------------
<S> <C> <C>
Finland (continued)
Rautaruukki Oy (Metals and Mining) .............. 220,000 $ 2,308,319
UPM-Kymmene Corp.
(Paper and Containers) ........................ 156,500 3,615,533
--------------
Total Finland ................................... 16,215,109
--------------
France (0.3%)
Accor SA (Hotels and Restaurants) ............... 17,910 2,684,546
Alcatel Alsthom (Utilities -
Telephone) .................................... 39,205 4,914,869
Credit Local de France (Financial
Services) ..................................... 28,800 2,805,958
Elf Aquitaine SA (Oil and Gas) .................. 33,600 3,628,450
Schneider SA (Machinery and
Equipment) + .................................. 86,975 4,633,977
Union des Assurances Federales
(Insurance) ................................... 29,500 3,472,104
Usinor Sacilor (Metals and Mining) + ............ 138,900 2,507,845
--------------
Total France .................................... 24,647,749
--------------
Germany (0.4%)
Adidas AG
(Home Furnishings and
Appliances) ................................... 29,580 3,310,179
Deutsche Pfandbrief &
Hypothekenbank AG (Banks) ..................... 77,500 4,458,665
Fried Krupp AG (Machinery and
Equipment) .................................... 21,600 4,251,739
Gehe AG (Health Services) ....................... 18,100 1,246,461
Henkel KGAA (Consumer Products) ................. 58,300 3,285,480
Mannesmann AG
(Machinery and Equipment) ..................... 8,815 3,940,747
Merck KGAA (Pharmaceuticals) .................... 50,300 2,193,817
Metro AG (Retail) + ............................. 27,000 2,943,988
Viag AG (Diversified) + ......................... 5,100 2,331,174
Volkswagen AG
(Autos and Auto Equipment) .................... 6,880 5,219,617
--------------
Total Germany ................................... 33,181,867
--------------
Hong Kong (0.0%)
Lai Sun Development Co., Ltd.
(Real Estate Investment
Trusts) ....................................... 2,993,000 3,361,063
--------------
Indonesia (0.1%)
Bank International Indonesia
(Banks) ....................................... 4,685,500 4,046,699
PT Pasifik Satelit Nusantara ADR
(Telecommunications) + ........................ 31,300 485,150
PT Semen Gresik
(Building Materials and
Construction) + ............................... 1,568,000 3,514,538
Putra Surya Multidana
(Financial Services) + ........................ 2,562,500 4,083,770
--------------
Total Indonesia ................................. 12,130,157
--------------
Ireland (0.1%)
Irish Life Plc (Insurance) ...................... 509,469 2,613,208
Waterford Wedgewood
(Home Furnishings and Appliances) ............. 2,089,591 2,726,809
--------------
Total Ireland ................................... 5,340,017
--------------
- --------------------------------------------------------------------------------
Number of Market
Shares Value
--------- --------------
Italy (0.2%)
Credito Italiano (Banks) ........................ 3,136,000 $ 5,731,977
Instituto Bancario San Paolo di
Torino (Banks) ................................ 457,743 3,333,197
Pirelli & Co. (Autos and Auto
Equipment) .................................... 2,814,600 4,400,138
Stet Societa' Finanziaria
Telefonica S.p.A
(Telecommunications) .......................... 815,000 4,741,992
--------------
Total Italy ..................................... 18,207,304
--------------
Japan (0.9%)
Bank of Tokyo-Mitsubishi (Banks) ................ 189,000 3,798,828
Dai Nippon Ink & Chemicals, Inc.
(Chemicals) ................................... 1,066,400 4,603,701
Daiichi Pharmaceutical
(Pharmaceuticals) ............................. 307,000 5,419,382
DDI Corp. (Utilities - Telephone) ............... 778 5,751,882
Exedy Corp. (Autos and Auto
Equipment) .................................... 169,400 2,161,356
Fuji Photo Film (Chemicals) ..................... 86,000 3,464,650
Fujitec Co. Ltd.
(Building Materials and
Construction) ................................. 255,000 3,030,673
Fujitsu Denso (Diversified) ..................... 105,600 3,248,378
Ito-Yokado Co. Ltd. (Retail) .................... 70,000 4,067,988
Kyocera Corp. (Electrical and
Electronics) .................................. 45,000 3,578,606
Mitsubishi Heavy Industries Ltd.
(Aerospace and Defense) ....................... 642,000 4,931,555
NAMCO (Media and Entertainment) ................. 119,500 4,615,834
Nikon Corp. (Commercial Services) ............... 150,000 2,529,930
NTT Data Communications Systems
Co. (Computer Software) ....................... 950 3,677,793
Sony Corp. (Electrical and
Electronics) .................................. 70,400 6,146,079
Takara Standard
(Building Materials and
Construction) ................................. 298,000 2,604,212
Takefuji Corp. (Banks) .......................... 98,330 5,379,233
Tokyo Ohka Kogyo
(Electrical and Electronics) .................. 149,500 4,520,404
West Japan Railway
(Transportation) .............................. 1,143 4,484,898
--------------
Total Japan ..................................... 78,015,382
--------------
Malaysia (0.1%)
Leader Universal Holdings Bhd
(Diversified) + ............................... 1,621,500 2,916,640
MBF Capital Bhd (Financial
Services) + ................................... 1,828,000 3,360,502
YTL Power International Bhd
(Building Materials and
Construction) + ............................... 695,000 875,633
--------------
Total Malaysia .................................. 7,152,775
--------------
Mexico (0.1%)
ALFA, SA de C.V. (Diversified) .................. 696,726 4,747,310
Panamerican Beverages, Inc.
(Foods and Beverages) ......................... 163,000 5,358,625
--------------
Total Mexico .................................... 10,105,935
--------------
</TABLE>
18 See Notes to Portfolio of Investments.
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Number of Market
Shares Value
--------- --------------
<S> <C> <C>
Netherlands (0.3%)
DSM NV (Chemicals) .............................. 45,787 $ 4,563,926
Fortis Amev NV (Financial
Services) ..................................... 75,900 3,385,692
Getronics NV
(Computers and Office Equipment) .............. 150,311 4,863,783
ING Groep NV (Banks) ............................ 114,293 5,279,130
Philips Electronics NV
(Electrical and Electronics) .................. 96,700 6,939,145
VNU-Verenigde Nederlandse
Uitgeversbedrijven Verenigd
Bezit (Printing and Publishing) ............... 110,300 2,443,202
--------------
Total Netherlands ............................... 27,474,878
--------------
New Zealand (0.0%)
Fernz Corp., Ltd. (Chemicals) ................... 184,500 625,205
--------------
Norway (0.2%)
Den Norske Bank ASA (Banks)++ ................... 747,400 2,930,062
Kvaerner ASA (Transportation) ................... 81,600 4,943,398
Merkantildata ASA (Computer
Software) ..................................... 192,600 3,814,750
Saga Petroleum ASA, Class A (Oil
and Gas) ...................................... 7,100 134,808
SAS Norge ASA B (Transportation) ................ 282,600 2,972,382
--------------
Total Norway .................................... 14,795,400
--------------
Philippines (0.1%)
Ayala Land, Inc.
(Real Estate Investment Trusts) ............... 331,250 304,550
Philippine Long Distance Telephone
Spn ADR (Telecommunications) .................. 62,900 4,041,325
--------------
Total Philippines ............................... 4,345,875
--------------
Singapore (0.2%)
Clipsal Industries Ltd.
(Electrical Equipment) ........................ 915,000 3,239,100
Development Bank of Singapore Ltd.
(Banks) ....................................... 293,000 3,688,499
Jardine Matheson Holdings
(Diversified) ................................. 626,800 4,450,280
NatSteel Ltd. (Metals and Mining) ............... 605,000 1,540,162
--------------
Total Singapore ................................. 12,918,041
--------------
Spain (0.1%)
Cortefiel SA (Retail) ........................... 71,000 3,104,167
Hidroelectrica del Cantabrico, SA
(Utilities - Electric) ........................ 90,100 3,663,547
--------------
Total Spain ..................................... 6,767,714
--------------
Sweden (0.3%)
Autoliv, Inc. (Autos and Auto
Equipment) .................................... 101,800 3,916,712
Enator AB (Commercial Services) + ............... 207,120 3,696,477
Ericsson ADR (Telecommunications) ............... 49,300 1,941,188
Frontec AB (Computer Software) + ................ 449,000 3,774,388
IFS International, Inc., 144A
(Computer Software) + ......................... 185,000 897,201
Nobel Biocare Ab (Health Services) .............. 63,700 897,951
- --------------------------------------------------------------------------------
Number of Market
Shares Value
--------- --------------
Sweden (continued)
Skandia Forsakrings AB (Insurance) .............. 105,300 $ 3,881,147
SKF AB B Shs (Metals and Mining) ................ 149,700 3,872,030
--------------
Total Sweden .................................... 22,877,094
--------------
Switzerland (0.2%)
Georg Fischer AG
(Machinery and Equipment) ..................... 1,970 2,743,149
Novartis AG Registered Shs
(Health Services) ............................. 4,280 6,852,228
Roche Holding AG (Pharmaceuticals) .............. 500 4,528,930
SMH AG (Health Services) ........................ 18,900 2,563,690
--------------
Total Switzerland ............................... 16,687,997
--------------
United Kingdom (0.7%)
BAA Plc (Transportation) ........................ 336,000 3,095,199
Barclays Plc (Financial Services) ............... 216,675 4,298,497
Cadbury Schweppes Plc
(Foods and Beverages) ......................... 358,400 3,194,178
Glaxo Wellcome Plc
(Pharmaceuticals) ............................. 197,600 4,077,934
Granada Group Plc (Diversified) ................. 399,039 5,246,553
Hammerson Plc (Retail) .......................... 447,500 3,481,820
Iona Technologies Plc, ADR
(Consumer Products) + ......................... 184,000 3,634,000
Ladbroke Group Plc
(Media and Entertainment) ..................... 821,385 3,212,523
Legal & General Group Plc
(Financial Services) .......................... 409,500 2,763,608
Morgan Crucible Plc (Diversified) ............... 602,700 4,488,754
National Power Plc (Utilities -
Electric) ..................................... 100,550 3,538,103
Pearson Plc (Printing and
Publishing) ................................... 249,500 2,888,014
Shell Transport & Trading Co. (Oil
and Gas) ...................................... 420,000 4,293,644
Tarmac Plc
(Building Materials and
Construction) ................................. 1,111,700 2,312,753
Vodafone Group Plc
(Telecommunications) .......................... 645,500 3,142,344
--------------
Total United Kingdom ............................ 53,667,924
--------------
Venezuela (0.1%)
Compania Anonima Nacional
Telefonos de Venezuela
(Utilities - Telephone) ....................... 148,600 6,408,375
--------------
Total Foreign Common Stocks ..................... 448,637,813
--------------
Total Common Stocks (cost $5,291,407,022) ....... 7,238,646,858
--------------
PREFERRED STOCKS (0.2%)
United States (0.2%)
AMC Entertainment
(Media and Entertainment) ..................... 15,850 503,238
Case Corp. (Machinery and
Equipment) ++ ................................. 14,200 2,252,475
Corning Delaware L.P.
(Foods and Beverages) ......................... 13,900 1,209,300
Cyprus Amax Minerals Co.
(Metals and Mining) ........................... 42,100 2,304,975
Freeport McMoRan, Inc.
(Metals and Mining) + ......................... 23,000 672,750
</TABLE>
19
<PAGE>
Variable Fund (continued)
Portfolio of Investments - June 30, 1997 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Number of Market
Shares Value
--------- --------------
<S> <C> <C>
United States (continued)
International Paper Co.
(Paper and Containers) +++ .................... 9,300 $ 495,225
Sea Containers Ltd. (Diversified) ............... 36,000 1,809,000
Security Capital Pacific Trust
(Real Estate Investment Trusts) ............... 19,400 591,700
Tanger Factory Outlet Centers,
Inc. (Retail) ................................. 55,800 1,360,125
Union Planters Co. (Foods and
Beverages) + .................................. 18,600 1,190,400
Wellsford Residential Properties
(Real Estate Investment Trusts) ............... 27,900 742,838
William Cos., Inc. (Commercial
Services) ..................................... 27,900 2,898,113
--------------
Total Preferred Stocks (cost $12,155,320) ....... 16,030,139
--------------
Principal
Amount
----------
LONG-TERM BONDS AND NOTES (1.2%)
Corporate and Convertible Bonds (1.2%)
Agnico-Eagle Mines Ltd., 3.50%,
01/27/04 ...................................... $ 2,900,000 2,346,642
Altera Corp. 144A, 5.75%, 06/15/02++ ............ 930,000 1,901,850
Alza Corp., Zero Coupon, 07/14/14 ............... 1,860,000 813,750
Alza Corp., 5.00%, 05/01/06 ..................... 930,000 938,138
Apache Corp., 6.00%, 01/15/02 ................... 1,470,000 1,727,250
Automatic Data Processing, Inc.,
Zero Coupon, 02/20/12 ......................... 3,800,000 2,330,012
Baker Hughes, Inc., Zero Coupon,
05/05/08 ...................................... 9,975,000 7,722,108
Battle Mountain Gold Co., 6.00%,
01/04/05 ...................................... 500,000 403,750
Bindley Western, 6.50%, 10/01/02 ................ 930,000 1,042,763
Boston Chicken, Inc., Zero Coupon,
06/01/15 ...................................... 3,730,000 815,938
Career Horizons, Inc., 7.00%,
11/01/02 ...................................... 930,000 2,005,313
Checkpoint Systems, Inc., 5.25%,
11/01/05 ...................................... 1,162,000 1,220,100
Cityscape Financial Corp., 6.00%,
05/01/06++ .................................... 1,160,000 1,017,900
Comverse Technology Inc., 5.75%,
10/01/06++ .................................... 4,600,000 6,049,000
Consolidated Natural Gas Co.,
7.25%, 12/15/15 ............................... 950,000 1,021,250
Continental Airlines, Inc., 6.75%,
04/15/06++ .................................... 1,860,000 2,438,925
Continental Homes Holding Corp.,
6.875%, 11/01/02 .............................. 700,000 686,875
Converse, Inc., 7.00%, 06/01/04 ................. 1,400,000 1,543,500
Costco Wholesale, Inc., 5.75%,
05/15/02 ...................................... 2,225,000 2,312,648
Einstein/Noah Bagel Corp., 7.25%,
06/01/04++ .................................... 4,630,000 3,999,163
EMC Corp. Massachusetts, 3.25%,
03/15/02++ .................................... 5,580,000 6,075,225
Fpa Medical Management, 6.50%,
12/15/01 ...................................... 1,860,000 2,169,225
Fremont General Corp., Zero
Coupon, 10/12/13 .............................. 930,000 697,500
Home Depot, Inc., 3.25%, 10/01/01 ............... 930,000 1,069,500
Integrated Health Services, 5.75%,
01/01/01 ...................................... 930,000 1,116,000
Marriott International, Inc., Zero
Coupon, 03/25/11++ ............................ 2,730,000 1,672,125
NAC Re Corp., 5.25%, 12/15/02++ ................. 930,000 988,125
National Semiconductor Corp.,
6.50%, 10/01/02++ ............................. 4,650,000 4,870,875
Office Depot, Inc., Zero Coupon,
12/11/07 ...................................... 1,100,000 741,125
Ogden Corp., 6.00%, 06/01/02 .................... 475,000 453,625
- --------------------------------------------------------------------------------
Principal Market
Amount Value
--------- --------------
Corporate and Convertible Bonds
(continued)
Pennzoil Co., 4.75%, 10/01/03.................... $ 1,000,000 $ 1,267,500
Pennzoil Co., 6.50%, 01/15/03 ................... 465,000 816,075
Phycor Inc., 4.50%, 02/15/03 .................... 1,395,000 1,506,600
Phymatrix Corp., 6.75%, 06/15/03 ................ 2,300,000 2,070,000
Pioneer Financial Services, 6.50%,
04/01/03 ...................................... 1,395,00 2,047,163
Pogo Producing, 5.50%, 03/15/04 ................. 930,000 1,674,000
Potomac Electric Power, 7.00%,
01/15/18 ...................................... 750,000 767,813
Prime Hospitality Corp., 7.00%,
04/15/02 ...................................... 795,000 1,384,294
Proffitt's, Inc., 4.75%, 11/01/03 ............... 3,665,000 3,958,200
Richey Electronics, Inc., 7.00%,
03/01/06++ .................................... 1,859,000 1,666,129
Roche Holdings, Zero Coupon,
05/06/12++ .................................... 11,625,000 5,071,406
Rotech Medical Corp., 5.25%,
06/01/03++ .................................... 3,255,000 3,141,075
Sanmina Corp., 5.50%, 08/15/02++ ................ 930,000 2,128,538
SCI Systems, Inc., 5.00%, 05/01/06++ ............ 695,000 1,012,963
Thermo Instrument System, 4.50%,
10/15/03++ .................................... 930,000 946,275
U.S. Filter Corp., 6.00%, 09/15/05 .............. 3,165,000 4,925,531
US Cellular Corp., Zero Coupon,
06/15/15 ...................................... 2,325,000 810,844
US Office Products Co., 5.50%,
02/01/01 ...................................... 930,000 1,141,575
Veterinary Centers of America,
5.25%, 05/01/06++ ............................. 465,000 330,150
--------------
Total Long-Term Bonds and Notes (cost
$87,987,586) .................................. 98,856,331
--------------
SHORT-TERM INVESTMENTS (11.0%)
American Express Credit, Comm
Paper, 6.25%, 07/01/97 ........................ 95,213,000 95,213,000
Associates Corp. of North America,
Comm. Paper, 6.30%, 07/01/97 .................. 64,938,000 64,938,000
AT&T Capital Corp., Comm. Paper,
5.90%, 07/14/97 ............................... 15,000,000 14,968,042
Central & Southwest Corp., Comm
Paper, 5.77%, 07/21/97 ........................ 13,800,000 13,755,763
Conagra, Inc., Comm. Paper, 5.80%,
07/07/97 ...................................... 15,000,000 14,985,500
Conagra, Inc., Comm. Paper, 5.82%,
07/11/97 ...................................... 15,070,000 15,045,637
Dana Credit Corp., Comm. Paper,
5.73%, 07/17/97 ............................... 15,000,000 14,961,800
Dana Credit Corp., Comm. Paper,
5.77%, 07/24/97 ............................... 15,000,000 14,944,704
Enron Corp., Comm. Paper, 6.00%,
07/28/97 ...................................... 30,000,000 29,865,000
Enron Corp., Comm. Paper, 6.70%,
07/01/97 ...................................... 11,897,000 11,897,000
Federal Home Loan Bank, Comm
Paper, 5.42%, 07/25/97 ........................ 85,000,000 84,692,867
General American Transport, Comm
Paper, 5.78%, 07/09/97 ........................ 10,000,000 9,987,156
General Motors Accept Corp., Comm
Paper, 6.45%, 07/01/97 ........................ 50,000,000 50,000,000
Government Development Bank of
Puerto, Comm. Paper, 6.30%,
07/01/97 ...................................... 25,000,000 25,000,000
Houston Industries Inc., Comm
Paper, 5.80%, 07/15/97++ ...................... 15,000,000 14,966,167
</TABLE>
20 See Notes to Portfolio of Investments.
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Market
Amount Value
--------- --------------
<S> <C> <C>
Short-Term Investments (continued)
Koch Industries, Inc., Comm
Paper, 6.15%, 07/01/97++....................... $ 76,268,000 $ 76,268,000
Lockheed Martin Corp., Comm
Paper, 5.70%, 07/22/97 ........................ 15,000,000 14,950,125
Lockheed Martin Corp., Comm
Paper, 5.82%, 07/01/97 ........................ 15,000,000 15,000,000
Lockheed Martin Corp., Comm
Paper, 5.90%, 07/08/97 ........................ 15,000,000 14,982,792
Mapco, Inc., Comm. Paper, 5.80%,
07/01/97 ...................................... 15,000,000 15,000,000
Mid-Atlantic Fuel Co., Comm
Paper, 6.65%, 07/01/97 ........................ 67,757,000 67,757,000
Occidential Petroleum, Comm
Paper, 5.80%, 07/23/97 ........................ 15,000,000 14,946,833
Occidential Petroleum, Comm
Paper, 5.82%, 07/29/97 ........................ 15,000,000 14,932,100
Occidential Petroleum, Comm
Paper, 5.90%, 07/09/97 ........................ 14,000,000 13,981,644
PHH Corp., Comm. Paper, 6.22%,
07/01/97 ...................................... 50,000,000 50,000,000
PS Colorado Credit Corp., Comm
Paper, 5.90%, 07/08/97 ........................ 10,300,000 10,288,184
Public Service Electric, Comm
Paper, 6.80%, 07/01/97 ........................ 3,471,000 3,471,000
Renaissance Energy Co., Comm
Paper, 6.65%, 07/01/97 ........................ 19,588,000 19,588,000
Tenneco Inc., Comm. Paper, 5.78%,
07/18/97++ .................................... 17,500,000 17,452,235
U.S. Treasury Bill, Time Deposit,
5.08%, 08/21/97@ .............................. 26,800,000 26,603,288
U.S. Treasury Bill, Time Deposit,
5.115%, 08/21/97@ ............................. 1,000,000 992,660
Union Pacific Corp., Comm. Paper,
5.76%, 07/16/97++ ............................. 26,000,000 25,937,600
Whirlpool Financial Corp., Comm
Paper, 5.74%, 07/21/97 ........................ 15,000,000 14,952,167
Whirlpool Financial Corp., Comm
Paper, 5.80%, 07/25/97 ........................ 15,000,000 14,942,000
--------------
Total Short-Term Investments (cost
$907,270,197) ................................. 907,266,264
--------------
TOTAL INVESTMENTS (cost $6,298,820,125)(a) ...... 8,260,799,592
Other assets less liabilities ................... (4,864,760)
--------------
Total Net Assets ................................ $8,255,934,832
==============
</TABLE>
- --------------------------------------------------------------------------------
Notes to Portfolio of Investments
(a) The cost of investments for federal income tax purposes amount to
$6,307,175,114. Unrealized gains and losses, based on identified tax cost at
June 30, 1997, are as follows:
<TABLE>
<CAPTION>
<S> <C>
Unrealized gains .................. $2,041,626,405
Unrealized losses ................. (88,001,927)
--------------
Net unrealized gain ............. $1,953,624,478
==============
</TABLE>
+Non-income producing security.
++Restricted security.
@Security pledged to cover initial margin requirements on open futures contracts
at June 30, 1997.
Category percentages are based on net assets.
Information concerning open futures contracts at June 30, 1997 is shown below:
<TABLE>
<CAPTION>
No. of Initial Expiration Unrealized
Contracts Value Date Gain/(Loss)
--------- ------------ ---------- ------------
<S> <C> <C> <C> <C>
Long Contracts
- -------------------
FTSE 100 Index
Future........... 10 $ 1,909,225 Sept 97 $ (21,428)
Topix Index
Future ......... 38 4,978,295 Sept 97 89,662
S & P 500 Index
Future ......... 120 54,031,953 Sept 97 (616,954)
Russell 2000
Index Future ... 41 8,185,765 Sept 97 (8,315)
----------- -------------
$69,105,238 $ (557,035)
=========== ============
</TABLE>
See Notes to Financial Statements. 21
<PAGE>
Income Shares
Portfolio of Investments - June 30, 1997 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Market
Amount Value
--------- --------------
<S> <C> <C>
LONG-TERM BONDS AND NOTES (90.3%)
U.S. Government and Agency Obligations (39.2%)
Agency Mortgage-Backed Securities (14.9%)
Federal National Mortgage
Association, 7.00%, 08/01/25 - 03/01/26 ...... $ 14,227,365 $ 13,960,643
Federal National Mortgage
Association, 7.483%, 06/25/19 ................ 958,369 903,123
Federal National Mortgage
Association, 7.50%, 07/14/27ss ............... 15,000,000 15,044,531
Federal National Mortgage
Association, 8.00%, 07/14/27ss ............... 25,000,000 25,570,312
Government National Mortgage
Association, 7.00%, 04/15/26 ................. 9,786,784 9,618,598
Government National Mortgage
Association, 7.50%, 03/15/24 - 10/15/25 ...... 8,693,288 8,725,914
Government National Mortgage
Association, 10.00%, 10/15/09 - 01/15/21 ..... 9,289,834 10,186,886
Government National Mortgage
Association, 10.50%, 02/15/13 - 01/15/21 ..... 9,442,124 10,409,942
Government National Mortgage
Association, 11.00%, 02/15/10 ................ 29,635 32,580
--------------
94,452,529
--------------
U.S. Agencies (1.4%)
Small Business Administration
92-20K, 7.55%, 11/01/12 .................. 8,848,045 9,058,186
--------------
U.S. Treasuries (22.9%)
U.S. Treasury Bond, 10.375%, 11/15/12ss.ss.... 20,000,000 25,400,019
U.S. Treasury Note, 5.75%, 08/15/03 ......... 10,000,000 9,657,763
U.S. Treasury Note, 6.25%, 05/31/00 ......... 20,000,000 20,012,524
U.S. Treasury Note, 6.50%, 05/31/01 ......... 15,000,000 15,089,069
U.S. Treasury Note, 6.50%, 11/15/26 ......... 10,000,000 9,587,510
U.S. Treasury Note, 6.875%, 07/31/99 ......... 20,000,000 20,293,724
U.S. Treasury Note, 6.875%, 08/31/99 ......... 20,000,000 20,306,259
U.S. Treasury Note, 6.875%, 03/31/00 ......... 25,000,000 25,410,155
--------------
145,757,023
--------------
Total U.S. Government and Agency
Obligations (cost $248,789,801) ............ 249,267,738
--------------
Corporate Bonds (49.2%)
Financial Services (16.5%)
American General, 8.125%, 08/15/09 ........... 10,000,000 10,639,950
Associates Corp., 7.95%, 02/15/10 ............ 15,000,000 16,135,499
Chase Manhattan Corp., 6.625%, 01/15/98....... 10,000,000 10,038,750
Dean Witter, Discover & Co., 6.00%,
03/01/98 ................................... 6,000,000 6,003,480
First Empire Capital Trust II,
8.277%, 06/01/27 ........................... 7,150,000 7,167,875
Ford Motor Credit Corp., FRN,
6.125%, 02/22/99ss.ss ...................... 15,000,000 15,079,957
Ford Motor Credit Corp., FRN,
6.213%, 06/02/98 ........................... 7,000,000 7,032,439
General Electric Capital Corp.,
7.96%, 02/02/98 ............................ 10,000,000 10,112,000
- --------------------------------------------------------------------------------
Principal Market
Amount Value
--------- --------------
Financial Services (continued)
General Electric Capital Corp.,
8.625%, 06/15/08 ........................... $ 10,000,000 $ 11,254,150
HSBC America, 7.808%, 12/15/26++ ............. 6,500,000 6,226,480
Mellon Capital II, 7.995%, 01/15/27 ......... 5,000,000 5,008,125
---------------
104,698,705
---------------
Foreign and Supranationals (19.0%)
China International Trust, 9.00%,
10/15/06 ................................... 10,000,000 11,070,450
Indah Kiat Finance, 10.00%, 07/01/07++........ 11,200,000 11,186,000
Inter-American Development Bank,
12.25%, 12/15/08ss.ss ...................... 7,775,000 11,070,589
International Bank For
Reconstruction & Development,
9.25%, 07/15/17 ............................ 11,000,000 13,645,665
Korea Electric, 6.375%, 12/01/03 ............. 4,500,000 4,309,425
Korean Development Bank, 9.25%,
06/15/98 ................................... 5,000,000 5,139,475
Ministry Finance of Russia, 10.00%,
06/26/07 ................................... 9,700,000 9,670,900
Panama (Republic of), 7.875%, 02/13/02++ .... 2,900,000 2,885,500
Rogers Cablesystem, 10.00%, 03/15/05 ......... 8,500,000 9,201,250
Svenska Handlesbanken, 6.313%, 03/29/49 .... 10,000,000 10,008,400
Swire Pacific Ltd., 8.50%, 09/29/04++ ........ 5,500,000 5,872,350
Teleport Communications, Zero
Coupon, 07/01/07 ........................... 10,000,000 7,237,500
United Mexican States Government,
7.875%, 08/06/01++ ......................... 9,000,000 9,014,400
Zurich Capital Trust, 8.376%, 06/01/37 ...... 10,500,000 10,882,882
---------------
121,194,786
---------------
Other Corporate Bonds (13.7%)
Comcast Cellular, 9.50%, 05/01/07++ .......... 6,000,000 6,037,500
Echostar, 12.50%, 07/01/02++ ................. 7,800,000 7,761,000
Echostar Communications, Zero
Coupon, 06/01/04 ........................... 10,000,000 8,400,000
MFS Communications, Inc., Zero
Coupon, 01/15/06 ........................... 5,000,000 3,962,325
Paramount Communications, Inc.,
7.50%, 07/15/23 ............................ 11,500,000 10,022,825
Telewest Plc, Zero Coupon, 10/01/07 ......... 6,850,000 4,949,125
Tenet Healthcare Corp., 7.875%, 01/15/03 ..... 6,400,000 6,416,000
Tenet Healthcare Corp., 8.625%, 01/15/07 ..... 3,250,000 3,331,250
Tenet Healthcare Corp., 9.625%, 09/01/02...... 5,000,000 5,400,000
Time Warner, Inc., 7.95%, 02/01/00 ........... 7,000,000 7,220,234
Time Warner, Inc., 9.125%, 01/15/13 ......... 10,000,000 11,114,440
TRW, Inc., 9.35%, 06/04/20 ................... 10,500,000 12,627,615
---------------
87,242,314
---------------
Total Corporate Bonds (cost $306,438,636) .... 313,135,805
---------------
Non-Agency Mortgage-Backed Securities (1.3%)
Mortgage-Backed Securities (1.3%)
Chase Mortgage Finance, 6.75%, ............... 6,174,364 6,141,563
11/25/09
Security Pacific National Bank,
8.50%, 03/01/17++++ ........................ 2,066,327 2,065,036
---------------
Total Non-Agency Mortgage-Backed
Securities (cost $8,124,469) ............... 8,206,599
---------------
</TABLE>
22 See Notes to Portfolio of Investments.
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Market
Amount Value
----------- ---------------
<S> <C> <C>
Asset-Backed Securities (0.6%)
First Chicago Master Trust 941-A,
5.858%, 01/15/99ss.ss ...................... $ 3,750,000 $ 3,755,438
---------------
Total Long-Term Bonds and Notes (cost $567,099,206) 574,365,580
---------------
Number of Market
Shares Value
--------- --------------
PREFERRED STOCKS (0.7%)
California Federal Preferred
Capital Corp. .............................. 172,000 4,439,750
---------------
Total Preferred Stocks (cost $4,300,000) ..... 4,439,750
---------------
Principal
Amount
-----------
SHORT-TERM INVESTMENTS (15.8%)
Advanta National Bank, Comm. Paper,
5.946%, 07/09/97 ........................... $ 7,000,000 6,997,760
Enron Corp., Comm. Paper, 6.70%, 07/01/97..... 28,569,000 28,569,000
Houston Industries Inc., Comm
Paper, 5.80%, 07/14/97 ..................... 10,000,000 9,979,056
Lockheed Martin Corp., Comm. Paper,
5.86%, 07/03/97++ .......................... 11,610,000 11,606,220
Occidential Petroleum, Comm. Paper,
5.80%, 07/30/97 ............................ 5,000,000 4,976,639
Penn Power And Light Co., Comm
Paper, 5.83%, 07/07/97 ..................... 10,800,000 10,789,506
Textron Financial Corp., Comm
Paper, 5.80%, 07/10/97 ..................... 10,000,000 9,985,500
Textron Financial Corp., Comm
Paper, 5.85%, 07/16/97 ..................... 7,425,000 7,406,902
WMX Technologies, Inc., Comm
Paper, 5.85%, 07/24/97++ ................... 10,000,000 9,962,625
---------------
Total Short-Term Investments (cost
$100,275,240) ............................... 100,273,208
---------------
TOTAL INVESTMENTS (cost $671,674,446)(a) ..... 679,078,538
Other assets less liabilities ................ (43,235,617)
---------------
Total Net Assets ............................. $635,842,921
===============
</TABLE>
- --------------------------------------------------------------------------------
Notes to Portfolio of Investments
(a) The cost of investments for federal income tax purposes is identical.
Unrealized gains and losses based on identified tax cost at June 30, 1997, are
as follows:
<TABLE>
<CAPTION>
<S> <C>
Unrealized gains .................... $11,068,080
Unrealized losses ................... (3,663,988)
-----------
Net unrealized gain ............... $7,404,092
===========
</TABLE>
ss.When-issued or delayed delivery security.
ss.ss.Security pledged to cover collateral requirements on delayed delivery,
when-issued or segregated securities held at June 30, 1997.
++Restricted security.
++++Restricted security. This security has been determined to be illiquid under
guidelines established by the Board of Directors.
Category percentages are based on net assets.
See Notes to Financial Statements. 23
<PAGE>
Encore Fund
Portfolio of Investments - June 30, 1997 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Market
Amount Value
--------- --------------
<S> <C> <C>
Asset-Backed Securities (24.4%)
Asset Backed Securities Investment
Trust 1997-A, 5.738%, 02/16/98 ............. $ 21,600,000 $ 21,600,000
Asset Backed Securities Investment
Trust 1997-C, 5.688%, 06/15/98 ............. 24,000,000 23,992,800
Bridgestone Firestone Master Trust,
Inc., 6.50%, 07/01/97++ .................... 11,327,000 11,327,000
Capita Equipment Receivables Trust,
1996-1, 5.60%, 10/15/97 .................... 2,134,193 2,136,413
Caterpillar Financial Asset Trust,
1997-A, 5.723%, 05/25/98 ................... 7,544,293 7,544,293
Chase Manhattan Auto, 1997-A,
5.545%, 04/10/98 ........................... 13,518,299 13,515,596
Chase Manhattan Auto, 1997-B,
5.744%, 07/10/98 ........................... 15,500,000 15,500,000
Dakota Certificates - Standard
Credit Card Master Trust 1,
5.60%, 08/20/97++++ ........................ 5,000,000 4,961,111
Dakota Certificates - Standard
Credit Card Master Trust 1, ................ 5,000,000 4,941,600
5.60%, 09/12/97++++
Dakota Certificates - Standard
Credit Card Master Trust 1,
5.66%, 08/18/97++++ ........................ 11,000,000 10,916,987
Dakota Certificates - Standard
Credit Card Master Trust 1,
5.67%, 07/23/97++++ ........................ 5,000,000 4,982,675
Ford Credit Auto Lease, 1996-1,
5.451%, 11/15/97 ........................... 1,595,710 1,596,380
Green Tree Financial Corp., 1997-A,
5.744%, 06/20/98 ........................... 6,200,000 6,200,000
Norwest Auto Trust, 1996-A, 5.465%,
12/05/97 ................................... 2,762,382 2,755,090
REIG Commercial Mortgage Funding
Trust, 5.738%, 12/26/97++++................. 8,400,000 8,398,688
WFS Financial, Inc., 1996-B, 5.73%,
04/20/98 ................................... 12,000,000 12,000,000
WFS Financial, Inc., 1996-D, 5.50%,
01/16/98 ................................... 7,348,783 7,348,783
------------
Total Asset-Backed Securities ................ 159,717,416
------------
Certificates of Deposit - Foreign (3.5%)
Abbey National Plc, 5.54%, 07/24/97 ......... 15,000,000 14,999,867
Svenska Handelsbanken, Inc., 5.71%,
07/10/97 ................................... 8,000,000 8,000,020
------------
Total Certificates of Deposit - Foreign....... 22,999,887
------------
Commercial Paper - Domestic (33.3%)
Alamo Funding L.P., 5.62%, 07/07/97++++ ...... 5,000,000 4,995,317
Alamo Funding L.P., 5.62%, 07/30/97++++ ...... 5,000,000 4,977,364
American Home Products, 5.68%, 08/18/97....... 15,000,000 14,886,400
Avon Capital Corp., 5.65%, 08/29/97++++ ...... 8,400,000 8,321,460
Avon Capital Corp., 5.68%, 07/31/97++++....... 12,000,000 11,943,200
Caterpillar Financial Services
Corp., 5.35%, 08/04/97 ..................... 2,675,000 2,661,484
Columbia Healthcare, 5.72%, 07/22/97++++...... 7,500,000 7,474,975
Cooperative Assoc. of Tractor
Dealers, Inc., 5.31%, 08/07/97 ............. 3,100,000 3,083,082
Cooperative Assoc. of Tractor
Dealers, Inc., 5.42%, 07/22/97 ............. 3,000,000 2,990,515
Cooperative Assoc. of Tractor
Dealers, Inc., 5.42%, 07/29/97 ............. 1,000,000 995,784
- --------------------------------------------------------------------------------
Principal Market
Amount Value
--------- --------------
Commercial Paper - Domestic (continued)
Cooperative Assoc. of Tractor
Dealers, Inc., 5.65%, 07/22/97 ............... $ 2,400,000 $ 2,392,090
Cooperative Assoc. of Tractor
Dealers, Inc., 5.66%, 09/19/97 ............... 7,700,000 7,603,288
Cooperative Assoc. of Tractor
Dealers, Inc., 5.68%, 07/15/97 ............... 1,000,000 997,791
Cooperative Assoc. of Tractor
Dealers, Inc., 5.70%, 07/22/97 ............... 7,939,000 7,912,603
Cooperative Assoc. of Tractor
Dealers, Inc., 5.70%, 08/11/97 ............... 2,000,000 1,987,017
Cooperative Assoc. of Tractor
Dealers, Inc., 5.70%, 08/28/97 ............... 1,500,000 1,486,225
Cooperative Assoc. of Tractor
Dealers, Inc., 5.75%, 07/07/97 ............... 1,000,000 999,042
Corporate Asset Funding Co., Inc.,
5.62%, 07/23/97++++........................... 5,000,000 4,982,828
Corporate Asset Funding Co., Inc.,
5.64%, 07/16/97++++........................... 7,000,000 6,983,550
Dealers Capital Access Trust, Inc.,
5.35%, 08/12/97 .............................. 2,700,000 2,683,148
Dealers Capital Access Trust, Inc.,
5.50%, 09/05/97 .............................. 1,900,000 1,880,183
Dealers Capital Access Trust, Inc.,
5.64%, 09/15/97 .............................. 2,200,000 2,173,644
Dealers Capital Access Trust, Inc.,
5.65%, 08/08/97 .............................. 2,000,000 1,988,072
EG&G, Inc., 5.60%, 07/22/97++................... 2,500,000 2,491,833
EG&G, Inc., 5.60%, 07/24/97++................... 6,000,000 5,978,533
Finova Capital Corp., 5.62%, 11/18/97 .......... 6,000,000 5,867,220
Finova Capital Corp., 5.63%, 07/23/97 .......... 1,333,000 1,328,414
Finova Capital Corp., 5.65%, 08/25/97 .......... 4,000,000 3,965,472
Finova Capital Corp., 5.67%, 07/11/97........... 3,390,000 3,384,661
Finova Capital Corp., 5.72%, 08/13/97 .......... 5,000,000 4,965,839
Finova Capital Corp., 5.72%, 08/19/97 .......... 5,000,000 4,961,072
Frontier Corp., 6.50%, 07/01/97 ................ 6,122,000 6,122,000
General Electric Capital Corp.,
5.63%, 11/03/97 .............................. 5,000,000 4,902,500
General Electric Capital Corp.,
5.63%, 11/04/97 .............................. 5,000,000 4,901,750
General Electric Capital Corp.,
5.63%, 11/05/97 .............................. 5,000,000 4,900,950
General Motors Acceptance Corp.,
5.32%, 08/06/97 .............................. 3,000,000 2,984,040
General Motors Acceptance Corp.,
5.68%, 12/08/97 .............................. 4,000,000 3,898,560
Government Development Bank of
Puerto Rico, 5.60%, 09/17/97 ................. 12,500,000 12,346,875
Government Development Bank of
Puerto Rico, 5.65%, 08/14/97 ................. 5,000,000 4,965,472
Government Development Bank of
Puerto Rico, 5.65%, 08/26/97 ................. 7,740,000 7,671,974
Jefferson Smurfit Finance Corp.,
5.60%, 08/26/97 .............................. 1,500,000 1,486,933
Jefferson Smurfit Finance Corp.,
5.60%, 09/09/97 .............................. 2,000,000 1,977,900
Jefferson Smurfit Finance Corp.,
5.60%, 09/15/97 .............................. 2,500,000 2,470,050
</TABLE>
24 See Notes to Portfolio of Investments.
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Market
Amount Value
--------- --------------
<S> <C> <C>
Commercial Paper - Domestic (continued)
Jefferson Smurfit Finance Corp.,
5.66%, 07/15/97 ................................ $ 3,600,000 $ 3,592,076
Jefferson Smurfit Finance Corp.,
5.66%, 07/22/97 ................................ 1,900,000 1,893,727
Jefferson Smurfit Finance Corp.,
5.67%, 07/22/97 ................................ 1,500,000 1,495,039
Jefferson Smurfit Finance Corp.,
5.68%, 08/12/97 ................................ 4,200,000 4,172,168
Transamerica Finance Group, 5.32%, 07/07/97....... 3,000,000 2,997,340
Transamerica Finance Group, 5.32%, 08/07/97....... 6,000,000 5,967,193
------------
Total Commercial Paper - Domestic ................ 218,088,653
------------
Commercial Paper - Foreign (5.6%)
Daewoo International (America)
Corp., 5.65%, 07/21/97 ......................... 17,400,000 17,345,383
Daewoo International (America)
Corp., 5.66%, 08/08/97 ......................... 3,500,000 3,479,089
Daewoo International (America)
Corp., 5.66%, 08/27/97 ......................... 11,100,000 11,000,526
Svenska Handelsbanken, Inc., 5.59%,
09/05/97 ....................................... 5,000,000 4,948,050
------------
Total Commercial Paper - Foreign ................. 36,773,048
------------
Corporate Notes (17.4%)
Advanta National Bank, 6.001%, 09/18/97........... 4,350,000 4,329,555
Bankers Trust New York Corp.,
5.68%, 02/13/98++++............................. 19,000,000 19,000,760
CARCO Auto Loan Master Trust
1993-2, 5.665%, 11/15/98 ....................... 15,500,000 15,551,150
Columbia/HCA Healthcare Corp., FRN,
5.768%, 07/28/97++++ ........................... 4,200,000 4,199,945
First National Bank of Boston, 5.72%, 07/08/97 ... 7,500,000 7,500,000
First National Bank of Boston, 5.72%, 10/14/97 ... 5,000,000 4,999,350
First National Bank of Boston, 5.72%, 10/15/97 ... 5,000,000 4,999,350
Household Bank FSB, FRN, 5.71%, 09/19/97 ......... 21,460,000 21,458,927
PNC Bank NA, 5.591%, 07/02/97 .................... 27,000,000 26,999,926
PNC Bank NA, 5.617%, 02/20/98 .................... 3,300,000 3,297,987
World Savings & Loan, 10.25%, 10/01/97 ........... 1,700,000 1,717,918
------------
Total Corporate Notes ............................ 114,054,868
------------
- --------------------------------------------------------------------------------
Principal Market
Amount Value
--------- --------------
Medium-Term Notes (11.1%)
American Honda Finance Corp.,
5.738%, 09/04/97++++ ........................... $ 8,400,000 $ 8,400,000
AT&T Capital Corp., 5.90%, 11/05/97 ............. 5,600,000 5,597,704
Avco Financial Services, 5.741%, 03/31/98 ........ 14,000,000 13,995,379
Chrysler Financial Corp., 5.65%, 01/30/98 ........ 4,000,000 3,995,960
Chrysler Financial Corp., 5.66%, 01/16/98 ........ 6,200,000 6,194,606
Ciesco, L.P., 5.57%, 02/10/98++++ ................ 9,000,000 9,000,000
Countrywide Funding Corp., 6.081%, 12/29/97 ...... 5,100,000 5,110,200
Countrywide Funding Corp., 6.19%, 01/26/98 ....... 5,100,000 5,112,750
General Motors Acceptance Corp.,
5.75%, 10/08/97 ................................ 5,000,000 5,002,800
General Motors Acceptance Corp.,
5.795%, 04/13/98 ............................... 10,500,000 10,492,649
------------
Total Medium-Term Notes .......................... 72,902,048
------------
U.S. Government and Agency Obligations (3.7%)
Federal Home Loan Bank, 5.90%, 04/27/98 .......... 20,000,000 20,062,000
U.S. Treasury Note, 5.875%, 02/28/99 ............. 4,000,000 3,991,800
------------
Total U.S. Government and Agency Obligations ..... 24,053,800
------------
TOTAL INVESTMENTS (cost $648,512,888)(a) ......... 648,589,720
Other assets less liabilities .................... 6,434,026
------------
Total Net Assets ................................. $655,023,746
============
</TABLE>
Notes to Portfolio of Investments
(a) The cost of investments for federal income tax purpose is identical.
Unrealized gains and losses, based on identified tax cost at June 30, 1997, are
as follows:
<TABLE>
<CAPTION>
<S> <C>
Unrealized gains .................... $ 142,184
Unrealized losses ................... (65,352)
-----------
Net unrealized gain ............... $ 76,832
===========
</TABLE>
++Restricted security. This security has been determined to be illiquid under
guidelines established by the Board of Directors.
++++Restricted security.
Category percentages are based on net assets.
See Notes to Financial Statements. 25
<PAGE>
Investment Advisers
Portfolio of Investments - June 30, 1997 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Number of Market
Shares Value
--------- --------------
<S> <C> <C>
COMMON STOCKS (56.9%)
Aerospace and Defense (2.1%)
AAR Corp. ....................................... 14,100 $ 455,606
ANADIGICS, Inc.+ ................................ 14,800 458,800
Boeing Co. ...................................... 256,400 13,605,224
Thiokol Corp. ................................... 5,500 385,000
United Technologies Corp. ....................... 201,400 16,716,199
--------------
31,620,829
--------------
Apparel (0.6%)
Converse, Inc.+ ................................. 23,500 519,938
Hartmarx Corp.+ ................................. 41,100 339,075
Kellwood Co. .................................... 20,000 555,000
Liz Claiborne, Inc. ............................. 141,700 6,606,763
St. John Knits, Inc. ............................ 10,800 583,200
Wolverine World Wide, Inc. ...................... 27,300 829,238
--------------
9,433,214
--------------
Autos and Auto Equipment (0.3%)
Intermet Corp. .................................. 68,000 1,092,250
Kaydon Corp. .................................... 15,000 744,375
SPX Corp. ....................................... 16,500 1,069,406
Tower Automotive, Inc.+ ......................... 20,000 860,000
Wynn's International, Inc. ...................... 7,650 217,069
--------------
3,983,100
--------------
Banks (1.8%)
Bay View Capital Corp. .......................... 19,000 498,750
City National Corp. ............................. 22,300 536,594
Community First Bankshares, Inc. ................ 31,000 1,189,625
Cullen/Frost Bankers, Inc. ...................... 27,900 1,182,263
First Savings Bank of Washington
Bancorp, Inc. ................................. 15,200 338,200
Glendale Federal Bank FSB+ ...................... 17,900 467,638
HUBCO, Inc. ..................................... 39,140 1,135,060
Imperial Bancorp+ ............................... 39,600 1,143,450
Mercantile Bankshares Corp. ..................... 24,800 992,000
ML Bancorp, Inc. ................................ 58,000 1,123,750
NationsBank Corp. ............................... 151,862 9,795,099
North Fork Bancorp, Inc. ........................ 54,770 1,170,709
Provident Bankshares Corp. ...................... 18,742 780,136
Provident Financial Group, Inc. ................. 21,450 916,988
Riggs National Corp. ............................ 47,000 969,375
Security Capital Corp. .......................... 12,200 1,152,900
Silicon Valley Bancshares+ ...................... 10,600 479,650
Sovereign Bancorp, Inc. ......................... 40,080 611,220
Webster Financial Corp. ......................... 11,600 527,800
Westamerica Bancorp ............................. 10,900 828,400
Zion Bancorporation ............................. 35,600 1,339,450
--------------
27,179,057
--------------
Building Materials and Construction (0.4%)
ABT Building Products Corp.+ .................... 13,300 349,125
Ameron, Inc. .................................... 10,300 583,238
Apogee Enterprises, Inc. ........................ 23,000 494,500
Arvin Industries, Inc. .......................... 22,100 602,225
- --------------------------------------------------------------------------------
Number of Market
Shares Value
--------- --------------
Building Materials and Construction (continued)
Centex Corp. .................................... 30,900 $ 1,255,313
Chicago Bridge & Iron Co. NV .................... 22,300 493,388
Continental Homes Holding Corp. ................. 37,100 653,888
Interface, Inc. ................................. 20,000 442,500
Oakwood Homes Corp. ............................. 26,400 633,600
Southdown, Inc. ................................. 12,600 549,675
Tredegar Industries, Inc. ....................... 7,500 416,250
--------------
6,473,702
--------------
Chemicals (0.1%)
Church & Dwight, Inc. ........................... 14,200 379,850
Cytec Industries+ ............................... 20,200 754,975
Dexter Corp. .................................... 17,900 572,800
--------------
1,707,625
--------------
Commercial Services (0.4%)
Carriage Services, Inc.+ ........................ 7,400 160,950
Culligan Water Technologies, Inc.+ .............. 7,200 322,200
Daisytek International Corp.+ ................... 19,000 752,875
Electro Rent Corp.+ ............................. 26,000 643,500
Maximus, Inc.+ .................................. 11,700 209,138
Startek, Inc.+ .................................. 56,300 848,019
Stewart Enterprises, Inc. ....................... 18,500 777,000
United Waste Systems, Inc.+ ..................... 22,800 934,800
USCS International, Inc.+ ...................... 19,000 622,250
Wackenhut Corp., Class B ........................ 31,600 630,025
--------------
5,900,757
--------------
Computer Software (1.9%)
Black Box Corp.+ ................................ 13,400 539,350
BMC Software, Inc.+ ............................. 185,100 10,249,913
Microsoft Corp.+ ................................ 125,900 15,910,612
National Data Corp. ............................. 12,300 532,744
Overland Data, Inc.+ ............................ 6,900 37,088
Viasoft, Inc.+ .................................. 9,500 482,125
Wall Data, Inc.+ ................................ 21,500 567,063
--------------
28,318,895
--------------
Computers and Office Equipment (4.9%)
Adaptec, Inc.+ .................................. 262,600 9,125,350
Comdisco, Inc. .................................. 41,850 1,088,100
Compaq Computer Corp.+ .......................... 128,400 12,743,700
Comverse Technology, Inc.+ ...................... 20,000 1,040,000
Data General Corp.+ ............................. 23,200 603,200
Encad, Inc.+ .................................... 10,100 419,150
Gateway 2000, Inc.+ ............................. 416,700 13,516,705
HBO & Co. ....................................... 200,900 13,836,987
Herman Miller, Inc. ............................. 36,000 1,296,000
Hutchinson Technology, Inc.+ .................... 14,600 355,875
Knoll, Inc.+ .................................... 25,200 598,500
Radisys Corp.+ .................................. 13,800 548,550
Read-Rite Corp.+ ................................ 31,300 653,388
Shelby Williams Industries, Inc. ................ 30,500 415,563
Stratus Computer, Inc.+ ......................... 14,200 710,000
Sun Microsystems, Inc.+ ......................... 419,700 15,620,708
</TABLE>
26 See Notes to Portfolio of Investments.
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Number of Market
Shares Value
--------- --------------
<S> <C> <C>
Computers and Office Equipment (continued)
Wallace Computer Services, Inc. ................. 20,000 $ 601,250
--------------
73,173,026
--------------
Consumer Products (1.4%)
Equity Corp. International+ ..................... 19,400 469,238
Helen of Troy Ltd.+ ............................. 50,000 1,281,250
Procter & Gamble Co. ............................ 125,400 17,712,749
Samsonite Corp.+ ................................ 10,500 463,313
WestPoint Stevens, Inc.+ ........................ 14,000 547,750
--------------
20,474,300
--------------
Diversified (3.4%)
Allied Signal, Inc. ............................. 111,500 9,366,000
DT Industries, Inc. ............................. 24,200 865,150
General Electric Co. ............................ 302,400 19,769,399
Griffon Corp.+ .................................. 21,600 295,650
MascoTech, Inc. ................................. 22,600 471,775
Pluma, Inc.+ .................................... 31,200 479,700
Robbins & Myers, Inc. ........................... 14,000 455,000
Ruddick Corp. ................................... 27,400 452,100
Tyco International Ltd. ......................... 276,300 19,220,118
--------------
51,374,892
--------------
Electrical and Electronics (1.6%)
BMC Industries, Inc. ............................ 17,500 599,375
CTS Corp. ....................................... 5,200 358,475
DuPont Photomasks, Inc.+ ........................ 28,000 1,512,000
Hadco Corp.+ .................................... 12,000 786,000
Intel Corp. ..................................... 103,900 14,734,318
Logicon, Inc. ................................... 24,000 1,272,000
PRI Automation, Inc.+ ........................... 12,400 470,425
Silicon Valley Group, Inc.+ ..................... 17,300 456,288
Symbol Technologies, Inc. ....................... 21,150 711,169
Technitrol, Inc. ................................ 48,000 1,314,000
Ultratech Stepper, Inc.+ ........................ 24,600 562,725
Veeco Instruments, Inc.+ ........................ 16,000 620,000
Waters Corp.+ ................................... 27,000 968,625
--------------
24,365,400
--------------
Electrical Equipment (1.1%)
Berg Electronics Corp.+ ......................... 24,000 862,500
Fluke Corp. ..................................... 18,000 1,066,500
Honeywell, Inc. ................................. 145,300 11,024,638
Jabil Circuit, Inc.+ ............................ 14,800 1,241,350
LeCroy Corp.+ ................................... 14,300 527,313
Rexel, Inc.+ .................................... 26,300 486,550
Sanmina Corp.+ .................................. 11,600 736,600
SCI Systems, Inc.+ .............................. 11,400 726,750
Valmont Industries .............................. 26,600 505,400
--------------
17,177,601
--------------
Financial Services (5.7%)
ALBANK Financial Corp. .......................... 13,100 517,450
Astoria Financial Corp. ......................... 27,600 1,311,000
ContiFinancial Corp.+ ........................... 27,000 985,500
Federal National Mortgage Association ........... 297,100 12,960,988
- --------------------------------------------------------------------------------
Number of Market
Shares Value
--------- --------------
Financial Services (continued)
FIRSTPLUS Financial Group, Inc.+ ................ 13,700 $ 465,800
Great Financial Corp. ........................... 27,200 955,400
MBNA Corp. ...................................... 383,200 14,034,699
Medallion Financial Corp. ....................... 21,600 413,100
Money Store, Inc. (The) ......................... 35,400 1,015,538
Peoples Heritage Financial Group ................ 10,400 393,900
Quick & Reilly Group, Inc. ...................... 25,650 596,363
RCSB Financial, Inc. ............................ 18,500 885,688
SunAmerica, Inc. ................................ 381,800 18,612,749
T. Rowe Price Associates ........................ 276,900 14,294,962
Travelers Group, Inc. ........................... 265,000 16,711,562
Union Planters Corp.+ ........................... 22,265 1,154,997
--------------
85,309,696
--------------
Foods and Beverages (1.5%)
Conagra, Inc. ................................... 193,500 12,408,188
Dean Foods Co. .................................. 12,800 516,800
Einstein/Noah Bagel Corp.+ ...................... 4,400 52,525
Interstate Bakeries Corp. ....................... 152,600 9,051,088
Quality Food Centers, Inc.+ ..................... 12,800 486,400
--------------
22,515,001
--------------
Health Services (1.7%)
HEALTHSOUTH Corp.+ .............................. 499,000 12,443,813
Oxford Health Plans, Inc.+ ...................... 160,000 11,480,000
Trigon Healthcare, Inc.+ ........................ 16,800 407,400
Universal Health Services, Inc.+ ................ 15,100 581,350
--------------
24,912,563
--------------
Home Furnishings and Appliances (0.3%)
Carlisle Co., Inc. .............................. 29,000 1,011,375
Ethan Allen Interiors, Inc. ..................... 24,000 1,368,000
Furniture Brands International, Inc.+ ........... 39,000 755,625
Mohawk Industries, Inc.+ ........................ 24,700 561,925
O'Sullivan Industries Holdings, Inc.+ ........... 21,500 356,094
Triangle Pacific Corp.+ ......................... 15,500 496,000
--------------
4,549,019
--------------
Hotels and Restaurants (0.7%)
Applebees International, Inc.+ .................. 17,400 465,450
CKE Restaurants, Inc. ........................... 20,400 645,150
Hilton Hotels Corp. ............................. 358,700 9,527,969
Quality Dining, Inc.+ ........................... 4,700 22,031
Signature Resorts, Inc.+ ........................ 11,200 387,100
--------------
11,047,700
--------------
Insurance (2.7%)
Allmerica Financial Corp. ....................... 12,100 482,488
American Bankers Insurance Group ................ 12,100 765,325
American International Group, Inc. .............. 108,700 16,237,062
Capital RE Corp. ................................ 18,700 1,000,450
CMAC Investment Corp. ........................... 24,000 1,146,000
Delphi Financial Group, Inc.+ ................... 14,892 573,342
Fremont General Corp. ........................... 17,000 684,250
Hartford Life, Inc., Class A+ ................... 16,300 611,250
HCC Insurance Holdings, Inc. .................... 14,300 381,631
</TABLE>
27
<PAGE>
Investment Advisers (continued)
Portfolio of Investments - June 30, 1997 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Number of Market
Shares Value
--------- --------------
<S> <C> <C>
Insurance (continued)
Horace Mann Educators Corp. ..................... 23,200 $ 1,136,800
Life Re Corp. ................................... 10,100 470,913
Markel Corp.+ ................................... 8,000 1,024,000
Mercury General Corp. ........................... 6,900 501,975
MGIC Investment Corp. ........................... 241,200 11,562,525
Orion Capital Corp. ............................. 15,400 1,135,750
Protective Life Corp. ........................... 17,900 899,475
Selective Insurance Group, Inc. ................. 17,700 857,344
Vesta Insurance Group, Inc. ..................... 11,800 510,350
--------------
39,980,930
--------------
Machinery and Equipment (0.2%)
Cooper Cameron Corp.+ ........................... 28,800 1,346,400
Hughes Supply, Inc. ............................. 13,700 548,000
Watts Industries, Inc. .......................... 19,600 470,400
Zygo Corp.+ ..................................... 15,000 461,250
--------------
2,826,050
--------------
Media and Entertainment (0.2%)
Carmike Cinemas, Class A+ ....................... 14,700 481,425
Jacor Communications, Inc.+ ..................... 23,500 898,875
K2, Inc. ........................................ 25,000 792,188
Premier Parks, Inc.+ ............................ 12,800 472,000
--------------
2,644,488
--------------
Medical Supplies (0.1%)
Coherent, Inc.+ ................................. 23,300 1,036,850
Hologic, Inc.+ .................................. 22,000 585,750
Respironics, Inc.+ .............................. 18,800 397,150
--------------
2,019,750
--------------
Metals and Mining (0.4%)
Amcol International Corp. ....................... 25,200 456,750
Brush Wellman, Inc. ............................. 21,200 443,875
Kaynar Technologies, Inc.+ ...................... 12,300 222,938
Mueller Industries, Inc.+ ....................... 19,400 848,750
Oregon Metallurgical Corp.+ ..................... 21,800 613,125
Penn Engineering & Manufacturing Corp. .......... 38,500 755,563
RMI Titanium Co.+ ............................... 29,000 790,250
Shiloh Industries, Inc.+ ........................ 53,000 1,069,938
Steel Dynamics, Inc.+ ........................... 22,300 557,500
--------------
5,758,689
--------------
Oil and Gas (4.4%)
BJ Services Co.+ ................................ 264,300 14,173,087
Camco International, Inc. ....................... 17,600 963,600
Cliffs Drilling Co.+ ............................ 36,800 1,343,200
Devon Energy Corp. .............................. 11,300 415,275
EVI, Inc.+ ...................................... 15,400 646,800
Falcon Drilling Co., Inc.+ ...................... 10,600 610,825
Global Industries Ltd.+ ......................... 24,300 567,633
Halliburton Co. ................................. 198,800 15,754,899
Helmerich & Payne, Inc. ......................... 19,800 1,140,975
Laclede Gas Co. ................................. 24,100 524,175
Lomak Petroleum, Inc. ........................... 26,900 479,156
Magnum Hunter Resources Inc.+ ................... 24,900 152,513
- --------------------------------------------------------------------------------
Number of Market
Shares Value
--------- --------------
Oil and Gas (continued)
Marine Drilling Co., Inc.+ ...................... 26,300 $ 516,138
Nabors Industries, Inc.+ ........................ 23,000 575,000
Patterson Energy, Inc.+ ......................... 8,200 372,075
Pride Petroleum Services+ ....................... 31,400 753,600
Santa Fe Energy Resources, Inc.+ ................ 56,700 832,781
Schlumberger Ltd. ............................... 111,000 13,874,999
Seacor Holdings+ ................................ 11,400 596,363
Smith International, Inc.+ ...................... 23,000 1,397,250
Swift Energy Co.+ ............................... 33,600 802,200
Tesoro Petroleum Corp.+ ......................... 60,900 902,081
Tuboscope Vetco International Corp.+ ............ 57,400 1,140,825
Unocal Corp. .................................... 166,500 6,462,281
Vintage Petroleum, Inc. ......................... 19,500 599,625
Western Gas Resources, Inc. ..................... 24,800 483,600
--------------
66,080,956
--------------
Paper and Containers (0.8%)
Avery Dennison Corp. ............................ 277,000 11,114,625
Sealed Air Corp.+ ............................... 14,000 665,000
--------------
11,779,625
--------------
Pharmaceuticals (6.3%)
Abbott Laboratories ............................. 196,900 13,143,074
Amgen, Inc.+ .................................... 220,900 12,839,813
Bristol-Myers Squibb Co. ........................ 177,900 14,409,899
Johnson & Johnson ............................... 204,884 13,189,407
Jones Medical Industries, Inc. .................. 6,400 304,000
Medeva Plc ...................................... 38,000 650,750
Merck & Co., Inc. ............................... 136,800 14,158,799
Pfizer, Inc. .................................... 93,400 11,161,300
Schering Plough ................................. 312,800 14,975,299
--------------
94,832,341
--------------
Printing and Publishing (0.1%)
Big Flower Press Holdings, Inc.+ ................ 19,200 398,400
Bowne & Co., Inc. ............................... 13,900 484,763
Meredith Corp. .................................. 20,000 580,000
Merrill Corp. ................................... 17,400 632,925
--------------
2,096,088
--------------
Real Estate Investment Trusts (0.6%)
American Health Properties, Inc. ................ 18,000 452,250
Apartment Investment & Management Co. ........... 17,400 491,550
Bay Apartment Communities, Inc. ................. 8,600 318,200
Bre Properties, Inc., Class A ................... 13,000 326,625
Capstead Mortgage Corp. ......................... 17,700 436,969
CBL & Associates Properties, Inc. ............... 14,800 355,200
CWM Mortgage Holdings, Inc. ..................... 36,000 861,750
Developers Diversified Realty Corp. ............. 10,300 412,000
Duke Realty Investments, Inc. ................... 12,900 522,450
Fairfield Communities, Inc.+ .................... 16,300 548,088
General Growth Properties ....................... 12,800 428,800
Healthcare Realty Trust, Inc. ................... 18,400 512,900
National Golf Properties, Inc. .................. 11,500 399,625
Patriot American Hospitality, Inc. .............. 46,000 1,173,000
</TABLE>
28 See Notes to Portfolio of Investments.
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Number of Market
Shares Value
--------- --------------
<S> <C> <C>
Real Estate Investment Trusts (continued)
Starwood Lodging Trust .......................... 29,400 $ 1,255,013
--------------
8,494,420
--------------
Retail (5.0%)
Barnes & Noble, Inc.+ ........................... 11,900 511,700
Borders Group, Inc.+ ............................ 39,200 945,700
Buckle, Inc. (The)+ ............................. 26,000 598,000
Carson Pirie Scott & Co.+ ....................... 31,800 1,009,650
Central Garden and Pet Co.+ ..................... 15,400 385,000
Claire's Stores, Inc. ........................... 35,450 620,375
Costco Companies, Inc.+ ......................... 380,400 12,505,650
Dayton Hudson Corp. ............................. 204,000 10,850,250
Eagle Hardware & Garden, Inc.+ .................. 19,100 436,913
Family Dollar Stores, Inc. ...................... 28,600 779,350
Fingerhut Companies, Inc. ....................... 25,100 437,681
Gadzooks, Inc.+ ................................. 1,500 29,250
General Nutrition Companies, Inc.+ .............. 277,700 7,775,600
Heilig-Meyers Co. ............................... 28,400 557,350
Hot Topic, Inc.+ ................................ 17,500 393,750
Inacom Corp.+ ................................... 29,800 927,525
Land's End, Inc.+ ............................... 17,600 521,400
Lazare Kaplan International, Inc.+ .............. 20,000 335,000
Mac Frugal's Bargains+ .......................... 15,200 414,200
Marks Brothers Jewelers, Inc.+ .................. 11,600 145,000
Mens Wearhouse, Inc.+ ........................... 17,900 563,850
Meyer (Fred), Inc.+ ............................. 17,300 894,194
Pacific Sunwear of California+ .................. 11,900 383,775
Paul Harris Stores, Inc.+ ....................... 25,200 422,100
Pier 1 Imports, Inc. ............................ 18,800 498,200
Proffitt's, Inc.+ ............................... 14,200 623,025
Ross Stores, Inc. ............................... 34,900 1,140,794
Russ Berrie & Co., Inc. ......................... 23,800 522,113
Safeway, Inc.+ .................................. 204,700 9,441,788
Smith's Food & Drug Centers, Inc.+ .............. 8,400 450,450
Stein Mart, Inc.+ ............................... 18,900 567,000
Stride Rite Corp. ............................... 33,100 426,163
Tech Data Corp.+ ................................ 22,100 694,769
The Finish Line, Inc.+ .......................... 4,300 62,888
TJX Companies, Inc. ............................. 650,400 17,154,299
Tuesday Morning Corp.+ .......................... 19,650 395,456
Wet Seal, Inc.+ ................................. 6,000 189,375
Williams-Sonoma, Inc.+ .......................... 13,600 581,400
--------------
75,190,983
--------------
Telecommunications (2.2%)
Andrew Corp.+ ................................... 446,300 12,552,188
Associated Group, Inc., Class A+ ................ 27,400 1,096,000
Boston Technology, Inc.+ ........................ 18,000 532,125
Lucent Technologies, Inc. ....................... 234,700 16,913,068
MasTec, Inc.+ ................................... 14,100 667,106
Tekelec+ ........................................ 19,700 696,888
Vimpel Communications ADR+ ...................... 12,800 486,400
--------------
32,943,775
--------------
- --------------------------------------------------------------------------------
Number of Market
Shares Value
--------- --------------
Transportation (0.9%)
Airborne Freight Corp. .......................... 17,300 $ 724,438
Avondale Industries, Inc.+ ...................... 28,700 602,700
Expeditors International of
Washington, Inc. .............................. 18,200 516,425
Roadway Express, Inc. ........................... 24,000 561,000
U.S. Rentals, Inc.+ ............................. 17,700 448,031
UAL Corp.+ ...................................... 135,600 9,703,875
US Freightways Corp. ............................ 18,100 468,338
Yellow Corp.+ ................................... 21,500 481,063
--------------
13,505,870
--------------
Utilities - Electric (1.5%)
AES Corp.+ ...................................... 209,700 14,836,274
Central Hudson Gas & Electric Co. ............... 28,500 981,469
Central Vermont Public Service .................. 19,200 212,400
Commonwealth Energy System Co. .................. 30,000 718,125
IES Industries, Inc. ............................ 16,200 477,900
Interstate Power Co. ............................ 18,000 515,250
KU Energy Corp. ................................. 27,300 931,613
Public Service Co. of New Mexico ................ 20,500 366,438
Sierra Pacific Resources ........................ 30,600 979,200
TNP Enterprises, Inc. ........................... 31,800 737,363
Washington Gas Light Co. ........................ 22,400 562,800
Washington Water Power Co. ...................... 31,000 608,375
--------------
21,927,207
--------------
Utilities - Oil and Gas (1.0%)
Energen Corp. ................................... 15,500 522,156
NUI Corp. ....................................... 33,600 753,900
People's Energy Corp. ........................... 22,600 846,088
Sonat, Inc. ..................................... 208,100 10,665,125
Valero Energy Corp. ............................. 33,500 1,214,375
Wicor, Inc. ..................................... 21,700 844,944
--------------
14,846,588
--------------
Utilities - Telephone (0.6%)
Cincinnati Bell, Inc. ........................... 272,200 8,574,300
--------------
Total Common Stocks (cost $636,911,773) ......... 853,018,437
--------------
PREFERRED STOCKS (0.3%)
Convertible (0.3%)
California Federal Preferred Capital Corp. ...... 188,000 4,852,750
--------------
Total Preferred Stocks (cost $4,700,000) ........ 4,852,750
--------------
Principal
Amount
---------
LONG-TERM BONDS AND NOTES (29.2%)
U.S. Government and Agency Obligations (14.1%)
Federal Home Loan Mortgage Corp.
1604I, 6.00%, 11/15/08 ........................ $ 8,200,000 7,807,384
U.S. Treasury Bond, 6.25%, 06/30/98@ss .......... 16,800,000 16,878,757
U.S. Treasury Bond, 6.375%, 03/31/01 ............ 12,000,000 12,026,256
U.S. Treasury Bond, 6.75%, 08/15/26 ............. 25,000,000 24,742,199
</TABLE>
29
<PAGE>
Investment Advisers (continued)
Portfolio of Investments - June 30, 1997 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Market
Amount Value
--------- --------------
<S> <C> <C>
U.S. Government and Agency Obligations (continued)
U.S. Treasury Bond, 7.25%, 05/15/16 ............. 28,000,000 $ 29,203,054
U.S. Treasury Note, 5.75%, 10/31/00 ............. 87,300,000 85,936,024
U.S. Treasury Note, 6.25%, 07/31/98 ............. 35,000,000 35,164,079
------------
Total U.S. Government and Agency
Obligations (cost $209,686,750) ............... 211,757,753
------------
Corporate Bonds (8.2%)
American General Finance, 8.45%, 10/15/09 ....... 7,000,000 7,772,205
BCH Cayman Islands Ltd., 7.70%, 07/15/06 ........ 13,100,000 13,405,687
Centennial Cellular Corp., 10.125%, 05/15/05 .... 5,550,000 5,799,750
CMS Energy, 9.875%, 10/01/99 .................... 6,000,000 6,147,780
Comcast Cellular, 9.50%, 05/01/07++ ............. 10,000,000 10,062,500
Exide Corp., 10.00%, 04/15/05 ................... 7,595,000 7,898,800
First Empire Capital Trust II,
8.277%, 06/01/27 .............................. 7,000,000 7,017,500
HSBC America, 7.808%, 12/15/26++ ................ 12,250,000 11,734,519
Kaman Corp., 6.00%, 03/15/12 .................... 5,961,000 5,603,340
MFS Communications, Inc., 5.00%, 01/15/06 ....... 4,650,000 3,684,962
News America Holdings Inc., 9.25%, 02/01/13 ..... 9,500,000 10,614,967
Panama (Republic of), 7.875%, 02/13/02++ ........ 2,900,000 2,885,500
Pitney Bowes Credit Corp., 8.55%, 09/15/09 ...... 13,100,000 14,802,212
Pittston Co., 4.00%, 07/01/97 ................... 3,249,000 3,224,633
Riggs Capital Trust, 8.625%, 12/31/26++ ......... 3,700,000 3,667,662
Tenet Healthcare Corp., 7.875%, 01/15/03 ........ 4,900,000 4,912,250
Tenet Healthcare Corp., 8.00%, 01/15/05 ......... 2,800,000 2,821,000
--------------
Total Corporate Bonds (cost $117,352,115) ....... 122,055,267
--------------
Foreign and Supranationals (4.6%)
African Development Bank, 8.80%, 09/01/19 ....... 7,000,000 8,140,510
App International Finance, 10.25%, 10/01/00 ..... 4,650,000 4,824,375
App International Finance, 11.75%, 10/01/05 ..... 2,800,000 3,097,500
Argent-Global Bond (Republic of
Argentina), 11.375%, 01/30/17 ................. 5,000,000 5,576,250
Indah Kiat Finance, 10.00%, 07/01/07++ .......... 4,650,000 4,644,188
Poland Non-US Glb Reg'd, 4.00%, 10/27/14 ........ 10,000,000 8,550,000
Rogers Cantel, Inc., 9.375%, 06/01/08 ........... 6,100,000 6,366,875
Russia-Interest Notes-US, Zero
Coupon, 12/29/49+ss.ss ........................ 10,000,000 7,640,625
Swire Pacific Ltd., 8.50%, 09/29/04++ ........... 10,000,000 10,677,000
Transport De Gas Del Sur, 7.75%, 12/23/98 ....... 4,600,000 4,605,750
United Mexican States Government,
11.375%, 09/15/16 ............................. 4,600,000 5,173,850
--------------
Total Foreign and Supranationals (cost
$64,151,865) .................................. 69,296,923
--------------
Non-Agency Mortgage-Backed Securities (2.3%)
American Southwest Financial
Securities Corp., 8.00%, 01/18/09 ............. 7,723,999 7,996,752
Chase Mortgage Finance, 6.75%, 11/25/09 ......... 2,828,385 2,813,359
DLJ Mortgage Acceptance Corp.,
8.10%, 06/18/04 ............................... 4,650,000 4,306,336
Kidder Peabody Acceptance Corp.,
6.50%, 11/25/25 ............................... 5,000,000 4,982,813
- --------------------------------------------------------------------------------
Principal Market
Amount Value
--------- --------------
Non-Agency Mortgage-Backed Securities (continued)
Kidder Peabody Acceptance Corp.,
8.80%, 04/01/07 ............................... $ 5,000,000 $ 5,371,875
Merrill Lynch Mortgage Investors,
Inc., 7.79%, 06/15/21 ......................... 8,786,955 8,894,046
--------------
Total Non-Agency Mortgage-Backed
Securities (cost $32,277,565) ................. 34,365,181
--------------
Total Long-Term Bonds and Notes (cost
$423,468,295) ................................. 437,475,124
--------------
SHORT-TERM INVESTMENTS (13.8%)
Corporate Asset Funding, Comm
Paper, 6.30%, 07/01/97++ ...................... 65,715,000 65,715,000
Dana Credit Corp., Comm. Paper,
5.80%, 07/08/97 ............................... 8,215,000 8,205,735
Frontier Corp., Comm. Paper,
5.75%, 07/03/97 ............................... 5,000,000 4,998,403
General American Transport, Comm
Paper, 5.78%, 07/09/97 ........................ 10,000,000 9,987,156
Houston Industries, Inc., Comm
Paper, 5.92%, 07/14/97++ ...................... 13,000,000 12,972,209
Koch Industries, Inc., Comm
Paper, 6.15%, 07/01/97++ ...................... 50,669,000 50,669,000
Occidential Petroleum, Comm
Paper, 5.80%, 07/23/97 ........................ 10,000,000 9,964,556
Penn Power And Light Co., Comm
Paper, 5.85%, 07/08/97 ........................ 6,355,000 6,347,771
Textron Financial Corp., Comm
Paper, 5.80%, 07/10/97 ........................ 12,200,000 12,182,310
Textron Financial Corp., Comm
Paper, 5.85%, 07/16/97 ........................ 7,425,000 7,406,902
U.S. Treasury Bill, Time Deposit,
5.08%, 08/21/97@ .............................. 4,900,000 4,864,034
WMX Technologies, Inc., Comm
Paper, 5.85%, 07/24/97++ ...................... 14,000,000 13,947,675
--------------
Total Short-Term Investments (cost $207,261,452). 207,260,751
--------------
TOTAL INVESTMENTS (cost $1,272,341,520)(a) ...... 1,502,607,062
Other assets less liabilities ................... (4,147,959)
--------------
Total Net Assets ................................ $1,498,459,103
==============
</TABLE>
30 See Notes to Portfolio Investments.
<PAGE>
- --------------------------------------------------------------------------------
Notes to Portfolio of Investments
(a) The cost of investments for federal income tax purposes amount to
$1,272,498,739. Unrealized gains and losses, based on identified tax cost at
June 30, 1997, are as follows:
<TABLE>
<CAPTION>
<S> <C>
Unrealized gains .................. $238,731,833
Unrealized losses ................. (8,623,510)
------------
Net unrealized gain ............. $230,108,323
============
</TABLE>
+Non-income producing security.
++Restricted security.
@Security pledged to cover initial margin requirements on open futures contracts
at June 30, 1997.
ss.Security pledged to cover collateral requirements on delayed delivery,
when-issued or segregated securities held at June 30, 1997.
ss.ss.When-issued or delayed delivery security.
Category percentages are based on net assets.
Information concerning open future contracts at June 30, 1997 is shown below:
<TABLE>
<CAPTION>
No. of
Long Initial Expiration Unrealized
Contracts Value Date Gain/(Loss)
---------- ----------- ---------- -----------
<S> <C> <C> <C> <C>
S & P 500 Index Future 65 $29,323,125 Sept 97 $ (390,001)
==========
</TABLE>
See Notes to Financial Statements. 31
<PAGE>
Statements of Assets and Liabilities
June 30, 1997 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Investment
Variable Fund Income Shares Encore Fund Advisers
---------------- ------------- -------------- --------------
<S> <C> <C> <C> <C>
Assets:
Investments, at market value .................................. $8,260,799,592 $679,078,538 $648,589,720 $1,502,607,062
Cash .......................................................... 1,070,081 98,828 304,446 865,528
Cash denominated in foreign currencies ........................ 24,930,640 -- -- --
Receivable for:
Dividends and interest ...................................... 11,218,084 8,412,295 2,264,129 7,007,546
Investments sold ............................................ 47,572,655 24,054 -- 6,231,354
Fund shares sold ............................................ 1,074,623 229,294 4,049,405 35,179
Recoverable taxes ........................................... 433,966 -- -- --
Gross unrealized gain on forward foreign currency exchange
contracts ................................................... 1,665,337 -- -- --
-------------- ------------- ------------- --------------
Total assets ......................................... 8,348,764,978 687,843,009 655,207,700 1,516,746,669
-------------- ------------- ------------- --------------
Liabilities:
Payable for:
Investments purchased ....................................... 85,731,361 51,749,086 -- 17,015,821
Fund shares redeemed ........................................ -- -- -- 347,965
Variation margin ............................................ 446,150 -- -- 216,125
Accrued investment advisory fees .............................. 3,365,305 209,168 130,456 610,047
Accrued administrative and service fees ....................... 403,837 41,834 53,498 97,608
Gross unrealized loss on forward foreign currency exchange
contracts ................................................... 2,883,493 -- -- --
-------------- ------------- ------------- --------------
Total liabilities .................................... 92,830,146 52,000,088 183,954 18,287,566
-------------- ------------- ------------- --------------
NET ASSETS .................................................. $8,255,934,832 $635,842,921 $655,023,746 $1,498,459,103
============== ============= ============= ==============
Net assets represented by:
Paid-in capital ............................................... $5,500,604,516 $633,990,883 $638,539,073 $1,198,328,970
Net unrealized gain on investments ............................ 1,960,260,757 7,404,092 76,832 229,875,541
Undistributed net investment income ........................... 18,007,367 5,055,872 16,467,379 6,548,282
Accumulated net realized gain (loss) on investments ........... 777,062,192 (10,607,926) (59,538) 63,706,310
-------------- ------------- ------------- --------------
NET ASSETS .................................................. $8,255,934,832 $635,842,921 $655,023,746 $1,498,459,103
============== ============= ============= ==============
Capital Shares:
Shares authorized ............................................. Unlimited Unlimited Unlimited Two Billion
Par value ..................................................... $ 1.00 $ 1.00 $ 1.00 $ 0.001
Shares outstanding ............................................ 227,206,566 50,274,735 50,368,443 98,986,414
Net asset value per share (net assets divided by shares
outstanding) ................................................ $ 36.337 $ 12.647 $ 13.005 $ 15.138
Cost of investments ........................................... $6,298,820,125 $671,674,446 $648,512,888 $1,272,341,520
Cost of cash denominated in foreign currencies ................ $ 25,029,011 -- -- --
</TABLE>
See Notes to Financial Statements.
32
<PAGE>
Statements of Operations
Six month period ended June 30, 1997 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Investment
Variable Fund Income Shares Encore Fund Advisers
---------------- ------------- -------------- --------------
<S> <C> <C> <C> <C>
Investment Income:
Dividends ......................................................... $ 65,967,614 $ 164,580 $ -- $ 4,114,892
Interest .......................................................... 17,486,576 21,068,198 17,696,871 20,887,676
--------------- ------------ ------------ -------------
83,454,190 21,232,778 17,696,871 25,002,568
Foreign taxes withheld ............................................ (807,450) -- -- (1,465)
--------------- ------------ ------------ -------------
Total investment income .................................. 82,646,740 21,232,778 17,696,871 25,001,103
--------------- ------------ ------------ -------------
Expenses:
Investment advisory fees .......................................... 18,716,694 1,256,921 786,601 3,507,937
Administrative services fees ...................................... 2,246,004 251,384 315,956 561,270
--------------- ------------ ------------ -------------
Total expenses ........................................... 20,962,698 1,508,305 1,102,557 4,069,207
--------------- ------------ ------------ -------------
Net investment income ............................................. 61,684,042 19,724,473 16,594,314 20,931,896
--------------- ------------ ------------ -------------
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Sale of investments ............................................. 764,888,524 (1,129,501) 3,339 60,251,478
Written options ................................................. (10,819,030) -- -- --
Futures and forward foreign exchange contracts .................. 35,422,719 -- -- 4,496,036
Foreign currency related transactions ........................... (1,132,261) -- -- --
--------------- ------------ ------------ -------------
Net realized gain (loss) on investments .................. 788,359,952 (1,129,501) 3,339 64,747,514
--------------- ------------ ------------ -------------
Net change in unrealized gain or loss on:
Investments ..................................................... 355,856,403 (138,520) (7,890) 52,725,833
Written Options ................................................. 673,615 -- -- --
Futures and forward foreign exchange contracts .................. (7,919,503) -- -- (304,251)
Foreign currency related transactions ........................... 120,590 -- -- --
--------------- ------------ ------------ -------------
Net change in unrealized gain or loss on investments ..... 348,731,105 (138,520) (7,890) 52,421,582
--------------- ------------ ------------ -------------
Net realized and change in unrealized gain (loss) ................. 1,137,091,057 (1,268,021) (4,551) 117,169,096
--------------- ------------ ------------ -------------
Net increase in net assets resulting from operations .............. $1,198,775,099 $18,456,452 $16,589,763 $138,100,992
=============== ============ ============ =============
</TABLE>
See Notes to Financial Statements.
33
<PAGE>
Statements of Changes in Net Assets
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Variable Fund Income Shares
------------------------------ ----------------------------
Six month Six month
period ended period ended
June 30, 1997 Year Ended June 30, 1997 Year Ended
(Unaudited) December 31, 1996 (Unaudited) December 31, 1996
------------- ----------------- -------------- -----------------
<S> <C> <C> <C> <C>
From Operations:
Net investment income ........................................... $ 61,684,042 $ 126,290,821 $ 19,724,473 $ 41,568,771
Net realized gain (loss) ........................................ 788,359,952 942,130,499 (1,129,501) 4,197,867
Net change in unrealized gain or loss ........................... 348,731,105 311,341,413 (138,520) (23,388,378)
--------------- --------------- ------------- -------------
Net increase in net assets resulting from operations .......... 1,198,775,099 1,379,762,733 18,456,452 22,378,260
--------------- --------------- ------------- -------------
Distributions to Shareholders:
From net investment income ...................................... (43,560,597) (142,295,877) (17,122,058) (41,091,489)
From net realized gains ......................................... (304,270,765) (587,939,494) -- --
--------------- --------------- ------------- -------------
Decrease in net assets from distributions to shareholders ..... (347,831,362) (730,235,371) (17,122,058) (41,091,489)
--------------- --------------- ------------- -------------
From Fund Share Transactions:
Proceeds from shares sold ....................................... 165,953,175 157,493,741 6,132,105 20,171,265
Net asset value of shares issued upon reinvestment of
distributions ................................................. 347,730,278 730,007,966 17,091,702 41,016,709
Payments for shares redeemed .................................... (62,922,854) (244,305,179) (32,444,709) (65,705,805)
--------------- --------------- ------------- -------------
Net increase (decrease) in net assets from share transactions 450,760,599 643,196,528 (9,220,902) (4,517,831)
--------------- --------------- ------------- -------------
Change in net assets ............................................ 1,301,704,336 1,292,723,890 (7,886,508) (23,231,060)
Net Assets:
Beginning of period ............................................. 6,954,230,496 5,661,506,606 643,729,429 666,960,489
--------------- --------------- ------------- -------------
End of period ................................................... $8,255,934,832 $6,954,230,496 $635,842,921 $643,729,429
=============== =============== ============= =============
End of period net assets includes undistributed (distributions
in excess of) net investment income .......................... $ 18,007,367 $ (116,078) $ 5,055,872 $ 2,453,457
=============== =============== ============= =============
Share Transactions:
Number of shares sold ........................................... 4,789,083 4,987,093 481,597 1,561,711
Number of shares issued upon reinvestment of distributions ...... 9,542,693 22,399,165 1,348,938 3,242,212
Number of shares redeemed ....................................... (1,819,480) (7,542,873) (2,551,795) (5,105,607)
--------------- --------------- ------------- -------------
Net increase (decrease) ....................................... 12,512,296 19,843,385 (721,260) (301,684)
=============== =============== ============= =============
</TABLE>
See Notes to Financial Statements.
34
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Encore Fund Investment Advisers
------------------------------ ----------------------------
Six month Six month
period ended period ended
June 30, 1997 Year Ended June 30, 1997 Year Ended
(Unaudited) December 31, 1996 (Unaudited) December 31, 1996
------------- ----------------- -------------- -----------------
<S> <C> <C> <C> <C>
From Operations:
Net investment income .......................................... $ 16,594,314 $ 29,048,325 $ 20,931,896 $ 41,234,206
Net realized gain .............................................. 3,339 874 64,747,514 114,927,727
Net change in unrealized gain or loss .......................... (7,890) (22,687) 52,421,582 26,548,475
------------- -------------- --------------- ---------------
Net increase in net assets resulting from operations ......... 16,589,763 29,026,512 138,100,992 182,710,408
------------- -------------- --------------- ---------------
Distributions to Shareholders:
From net investment income ..................................... (24,537,119) (33,468,844) (26,990,444) (30,353,948)
From net realized gains ........................................ -- -- (109,284,309) (90,460,584)
------------- -------------- --------------- ---------------
Decrease in net assets from distributions to shareholders .... (24,537,119) (33,468,844) (136,274,753) (120,814,532)
------------- -------------- --------------- ---------------
From Fund Share Transactions:
Proceeds from shares sold ...................................... 181,005,507 314,151,025 21,030,694 55,639,226
Net asset value of shares issued upon reinvestment of
distributions ................................................ 24,537,119 33,468,844 136,274,753 120,814,532
Payments for shares redeemed ................................... (156,076,862) (243,708,802) (24,714,255) (70,295,042)
------------- -------------- --------------- ---------------
Net increase in net assets from share transactions ........... 49,465,764 103,911,067 132,591,192 106,158,716
------------- -------------- --------------- ---------------
Change in net assets ........................................... 41,518,408 99,468,735 134,417,431 168,054,592
Net Assets:
Beginning of period ............................................ 613,505,338 514,036,603 1,364,041,672 1,195,987,080
------------- -------------- --------------- ---------------
End of period .................................................. $655,023,746 $ 613,505,338 $1,498,459,103 $1,364,041,672
============= ============== =============== ===============
End of period net assets includes undistributed net investment
income ....................................................... $ 16,467,379 $ 24,410,184 $ 6,548,282 $ 12,606,830
============= ============== =============== ===============
Share Transactions:
Number of shares sold .......................................... 14,034,842 23,539,460 1,348,996 3,743,359
Number of shares issued upon reinvestment of distributions ..... 1,929,274 2,593,663 8,994,410 8,699,680
Number of shares redeemed ...................................... (12,095,126) (18,290,210) (1,583,621) (4,685,746)
------------- -------------- --------------- ---------------
Net increase ................................................. 3,868,990 7,842,913 8,759,785 7,757,293
============= ============== =============== ===============
</TABLE>
See Notes to Financial Statements.
35
<PAGE>
Notes to Financial Statements
June 30, 1997 (Unaudited)
- --------------------------------------------------------------------------------
1. Summary of Significant Accounting Policies
This report presents the financial statements and related notes for the
following funds:
Aetna Variable Fund (Variable Fund) seeks to maximize total return through
investments in a diversified portfolio of stocks and securities
convertible into common stock.
Aetna Income Shares (Income Shares) seeks 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) seeks 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. (Investment Advisers) seeks to
produce the maximum investment return consistent with reasonable safety of
principal.
Variable Fund, Income Shares, Encore Fund and Investment Advisers are each
referred to individually as a Fund, and collectively as the Funds.
Each 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 (Aetna), an Aetna Life
Insurance Company Separate Account, and, in the case of Variable Fund and Income
Shares, to existing shareholders through reinvestment of distributions. Aetna's
shares are allocated to certain of its variable life/annuity accounts. At June
30, 1997, Aetna's separate accounts and affiliates held all of Encore Fund's and
Investment Advisers' shares outstanding and 99.6% and 99.2% respectively, of
Variable Fund's and Income Shares' total shares outstanding.
Aetna serves as the Investment Adviser and principal underwriter to each Fund.
Aetna is an indirect wholly-owned subsidiary of Aetna Retirement Services, Inc.
which is in turn a wholly-owned subsidiary of Aetna Inc. Aeltus Investment
Management, Inc. (Aeltus), an affiliate of Aetna, is employed as a subadviser to
the Funds.
The following is a summary of significant accounting policies consistently
followed by the Funds in the preparation of their financial statements. The
policies are in conformity 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 value. 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 and write (sell) put options, purchase call options and
write (sell) covered call options as a hedge against adverse movements in the
value of portfolio holdings or to increase market exposure.
Option contracts are valued daily and unrealized gains or losses are recorded
based upon the last sales price on the principal exchange on which the option is
traded.
36
<PAGE>
1. Summary of Significant Accounting Policies (continued)
B. Option Contracts (continued)
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 of the
underlying security 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 held by the Funds 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. The amounts at
risk under such futures and foreign currency exchange contracts may exceed the
amounts reflected in the financial statements. The notional amounts of these
contracts are disclosed in the Portfolios of Investments and elsewhere in the
Notes to Financial Statements. For federal income 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.
37
<PAGE>
Notes to Financial Statements (continued)
June 30, 1997 (Unaudited)
- --------------------------------------------------------------------------------
1. Summary of Significant Accounting Policies (continued)
D. Illiquid and Restricted Securities
Illiquid securities are securities that are not readily marketable. Disposing of
illiquid investments may involve time-consuming negotiation and legal expenses,
and it may be difficult or impossible for the Funds to sell them promptly at an
acceptable price. Restricted securities are subject to legal or contractual
restrictions on resale and may not be publicly sold without registration under
the Securities Act of 1933, under Rule 144A or, are securities offered pursuant
to Section 4(2). Each Fund, except Encore Fund, may invest up to 15% of its
total assets in illiquid securities. Encore Fund may invest up to 10% of its
total assets in illiquid securities. Illiquid and restricted securities are
valued using market quotations when readily available. In the absence of market
quotations, the securities are valued based upon their fair value determined
under procedures approved by the Board of Trustees/Directors. The Funds will not
pay the costs of disposition of restricted securities other than ordinary
brokerage fees, if any. Information regarding illiquid securities held at June
30, 1997 is shown below:
<TABLE>
<CAPTION>
Unit % of Net
Security Description Acquisition Dates Par Value Cost Market Value Assets
-------------------- ----------------- --------- ---- ------------ ------
<S> <C> <C> <C> <C> <C>
Encore Fund:
- ------------
Bridgestone Firestone Master Trust, Inc., 8.50%, 7/1/97 6/30/97 $11,327,000 $100.00 $11,327,000 1.7%
EG&G, Inc., 5.60%, 7/22/97 6/17/97 2,500,000 99.67 2,491,833 0.4%
EG&G, Inc., 5.60%, 7/24/97 6/17/97 6,000,000 99.64 5,978,534 0.9%
Income Shares:
- --------------
Security Pacific National Bank, 8.50%, 3/1/17 6/11/92, 8/13/91 2,066,327 99.94 2,065,036 0.3%
</TABLE>
E. 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.
F. 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.
G. 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.
H. 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.
38
<PAGE>
- --------------------------------------------------------------------------------
2. Investment Advisory and Administrative Services Fees
The Funds pay the Investment Adviser a monthly advisory fee expressed at an
annual rate as a percentage of the average daily net assets of each Fund. Each
Fund's Investment Advisory fee in effect at June 30, 1997 is shown below:
<TABLE>
<CAPTION>
<S> <C> <C> <C>
Variable Fund 0.50% Income Shares 0.40%
Encore Fund 0.25% Investment Advisers 0.50%
</TABLE>
Under the terms of an Administrative Services Agreement, Aetna acts as
administrator and provides all administrative services necessary for the Funds'
operations and is responsible for the supervision of the Funds' other service
providers. Aetna also assumes all ordinary, recurring costs of the Funds, such
as custodian fees, trustee's/director's fees, transfer agent costs and
accounting expenses. For these services, Aetna receives an annual fee, payable
monthly, at an annual rate expressed as a percentage of the average daily net
assets of each Fund. Each Fund's Administrative Service fee in effect at June
30, 1997 is shown below:
<TABLE>
<CAPTION>
<S> <C> <C> <C>
Variable Fund 0.06% Income Shares 0.08%
Encore Fund 0.10% Investment Advisers 0.08%
</TABLE>
Under the terms of a Subadvisory Agreement among the Funds, Aetna and Aeltus,
Aeltus supervises the investment and reinvestment of cash and securities and
provides certain related administrative services to the Funds in exchange for a
fee (payable by Aetna) at an annual rate expressed as a percentage of the
average daily net assets of each Fund. Each Fund's Subadvisory fee in effect at
June 30, 1997 is shown below:
<TABLE>
<CAPTION>
<S> <C> <C> <C>
Variable Fund 0.30% Income Shares 0.25%
Encore Fund 0.15% Investment Advisers 0.30%
</TABLE>
For the period ended June 30, 1997, Aetna paid Aeltus $10,413,076, $749,826,
$471,014 and $2,021,798 for Variable Fund, Income Shares, Encore Fund and
Investment Advisers, respectively, in accordance with the terms of the
Subadvisory Agreement.
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 period ended June
30, 1997 were:
<TABLE>
<CAPTION>
Cost of Purchases Proceeds from Sales
----------------- -------------------
<S> <C> <C>
Variable Fund $3,110,071,463 $3,759,167,090
Income Shares 362,112,067 348,499,226
Investment Advisers 574,432,195 551,017,343
</TABLE>
4. Capital Loss Carryforward
At June 30, 1997, 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:
<TABLE>
<CAPTION>
Capital Loss Carryforward Year of Expiration
------------------------- ------------------
<S> <C> <C>
Income Shares $8,828,000 2002
Encore Fund 63,000 2003
</TABLE>
5. Options
The following reflects the call and put option activity of Variable Fund for the
period ended June 30, 1997:
<TABLE>
<CAPTION>
Call Options Written
-----------------------------------------------------------
Number of Option Deferred Premium Realized
Contracts Received Gain (Loss)
--------- -------- -----------
<S> <C> <C> <C>
Outstanding December 31, 1996.......... 16,661 $ 28,866,891 $ --
Written.............................. 3,790 4,581,852 --
Closed............................... (19,753) (33,279,230) (11,962,904)
Expired.............................. -- -- --
Exercised............................ (698) (169,513) --
-------- ------------- -------------
Outstanding June 30, 1997.............. -- $ -- $(11,962,904)
========= ============= =============
</TABLE>
39
<PAGE>
Notes to Financial Statements (continued)
June 30, 1997 (Unaudited)
- --------------------------------------------------------------------------------
5. Options (continued)
<TABLE>
<CAPTION>
Put Options Written
---------------------------------------------------------------------
Number of Option Deferred Premium Realized
Contracts Received Gain (Loss)
--------- -------- -----------
<S> <C> <C> <C>
Outstanding December 31, 1996.......... 2,713 $ 2,933,064 $ --
Written.............................. -- -- --
Closed............................... (2,713) (2,933,064) 1,143,875
Expired.............................. -- -- --
Exercised............................ -- -- --
-------- ------------ -----------
Outstanding June 30, 1997.............. -- $ -- $ 1,143,875
======== ============ ===========
</TABLE>
6. Forward Foreign Currency Exchange Contracts
At June 30, 1997, Variable Fund had the following open forward foreign currency
exchange contracts that obligate the Fund to deliver currencies at specified
future dates. The net unrealized loss of $1,218,156 on these contracts is
included in the accompanying financial statements. The terms of the open
contracts are as follows:
<TABLE>
<CAPTION>
Exchange Currency to U.S. $ Value Currency to U.S. $ Value Unrealized
Date be Delivered June 30 , 1997 be Received June 30 , 1997 Gain (Loss)
---- ------------ -------------- ----------- -------------- -----------
<S> <C> <C> <C> <C> <C>
Contracts to Buy:
- -----------------
8/29/97 147,313 $ 147,313 210,000 $ 144,968 ($2,345)
U.S. Dollar Swiss Franc
- ---------------------------------------------------------------------------------------------------------
7/15/97 35,707 35,707 203,000 34,613 (1,094)
U.S. Dollar French Franc
- ---------------------------------------------------------------------------------------------------------
7/31/97 309,801 309,801 1,797,000 306,733 (3,068)
U.S. Dollar French Franc
- ---------------------------------------------------------------------------------------------------------
8/13/97 1,298,222 1,298,222 7,501,000 1,281,458 (16,764)
U.S. Dollar French Franc
- ---------------------------------------------------------------------------------------------------------
7/1/97 56,091 56,091 136,300,000 56,056 (35)
U.S. Dollar Indonesian Rupiah
- ---------------------------------------------------------------------------------------------------------
7/1/97 109,205 109,205 12,480,000 109,081 (124)
U.S. Dollar Japanese Yen
- ---------------------------------------------------------------------------------------------------------
9/17/97 8,454,074 8,454,074 959,030,000 8,489,790 35,716
U.S. Dollar Japanese Yen
- ---------------------------------------------------------------------------------------------------------
7/9/97 260,894 260,894 658,000 260,632 (262)
U.S. Dollar Malaysian Ringgit
- ---------------------------------------------------------------------------------------------------------
9/18/97 4,759,190 4,759,190 9,180,000 4,711,558 (47,632)
U.S. Dollar Dutch Guilder
- ---------------------------------------------------------------------------------------------------------
7/2/97 614,098 614,098 893,000 605,151 (8,947)
U.S. Dollar New Zealand Dollar
- ---------------------------------------------------------------------------------------------------------
Contracts to Sell:
- ------------------
8/20/97 243,620,000 6,800,108 6,987,093 6,987,093 186,985
Belgian Franc U.S. Dollar
- ---------------------------------------------------------------------------------------------------------
8/29/97 6,120,000 4,224,769 4,392,134 4,392,134 167,365
Swiss Franc U.S. Dollar
- ---------------------------------------------------------------------------------------------------------
8/5/97 34,468,000 19,829,481 20,201,393 20,201,393 371,912
German Mark U.S. Dollar
- ---------------------------------------------------------------------------------------------------------
9/5/97 13,151,300 7,581,588 7,677,350 7,677,350 95,762
German Mark U.S. Dollar
- ---------------------------------------------------------------------------------------------------------
7/1/97 207,740,000 1,412,523 1,421,416 1,421,416 8,893
Spanish Peseta U.S. Dollar
- ---------------------------------------------------------------------------------------------------------
</TABLE>
40
<PAGE>
6. Forward Foreign Currency Exchange Contracts (continued)
<TABLE>
<CAPTION>
Exchange Currency to U.S. $ Value Currency to U.S. $ Value Unrealized
Date be Delivered June 30 , 1997 be Received June 30 , 1997 Gain (Loss)
---- ------------ -------------- ----------- -------------- -----------
<S> <C> <C> <C> <C> <C>
Contracts to Sell (continued):
7/3/97 6,209,000 $1,057,800 1,062,094 $1,062,094 $ 4,294
French Franc U.S. Dollar
- -----------------------------------------------------------------------------------------------------------
7/15/97 62,330,000 10,627,600 10,930,452 10,930,452 302,852
French Franc U.S. Dollar
- -----------------------------------------------------------------------------------------------------------
8/13/97 53,457,300 9,132,557 9,394,956 9,394,956 262,399
French Franc U.S. Dollar
- -----------------------------------------------------------------------------------------------------------
7/2/97 2,069,000 3,121,342 3,116,121 3,116,121 (5,221)
Irish Punt U.S. Dollar
- -----------------------------------------------------------------------------------------------------------
7/24/97 2,284,065,000 20,040,931 18,399,246 18,399,246 (1,641,685)
Japanese Yen U.S. Dollar
- -----------------------------------------------------------------------------------------------------------
8/12/97 16,410,000 144,425 145,286 145,286 861
Japanese Yen U.S. Dollar
- -----------------------------------------------------------------------------------------------------------
8/12/97 1,884,080,000 16,581,893 15,425,577 15,425,577 (1,156,316)
Japanese Yen U.S. Dollar
- -----------------------------------------------------------------------------------------------------------
9/17/97 1,302,759,000 11,532,642 11,546,313 11,546,313 13,671
Japanese Yen U.S. Dollar
- -----------------------------------------------------------------------------------------------------------
7/9/97 10,189,000 4,035,834 4,039,167 4,039,167 3,333
Malaysian Ringgit U.S. Dollar
- -----------------------------------------------------------------------------------------------------------
7/18/97 12,453,600 6,364,500 6,459,336 6,459,336 94,836
Dutch Guilder U.S. Dollar
- -----------------------------------------------------------------------------------------------------------
9/18/97 27,518,000 14,123,383 14,235,903 14,235,903 112,520
Dutch Guilder U.S. Dollar
- -----------------------------------------------------------------------------------------------------------
7/3/97 2,981,000 2,085,133 2,089,071 2,089,071 3,938
Singapore Dollar U.S. Dollar
- -----------------------------------------------------------------------------------------------------------
($1,218,156)
===========
</TABLE>
41
<PAGE>
Variable Fund
Financial Highlights
- ------------------------------------------------------------------------
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
Six month
period ended
June 30, 1997 Year ended December 31,
---------------------------------------------
(Unaudited) 1996 1995 + 1994 + 1993 +
------------ -------- -------- -------- -------
<S> <C> <C> <C> <C> <C>
Net asset value per share, beginning of period ..................... $32.391 $29.055 $26.229 $31.245 $31.602
-------- -------- -------- -------- --------
Income from investment operations:
Net investment income ............................................ 0.280 0.651 0.724 0.765 0.822
Net realized and unrealized gain (loss) .......................... 5.263 6.446 7.620 (1.071) 1.287
-------- -------- -------- -------- --------
Total from investment operations ........................... 5.543 7.097 8.344 (0.306) 2.109
-------- -------- -------- -------- --------
Less distributions:
From net investment income ....................................... (0.200) (0.733) (0.723) (0.811) (0.814)
From net realized gains on investments ........................... (1.397) (3.028) (4.795) (3.899) (1.652)
-------- -------- -------- -------- --------
Total distributions ........................................ (1.597) (3.761) (5.518) (4.710) (2.466)
-------- -------- -------- -------- --------
Net asset value per share, end of period ........................... $36.337 $32.391 $29.055 $26.229 $31.245
======== ======== ======== ======== ========
Total return* ...................................................... 17.10% 24.46% 32.25% (0.96)% 6.74%
Net assets, end of period (millions) ............................... $8,256 $6,954 $5,662 $4,424 $4,988
Ratio of total expenses to average net assets** .................... 0.56% 0.43% 0.29% 0.30% 0.29%
Ratio of net investment income to average net assets** ............. 1.65% 2.02% 2.42% 2.52% 2.57%
Portfolio turnover rate ............................................ 44.69% 85.03% 96.63% 84.27% 25.22%
Average commission rate paid per share ............................. $0.0367 $0.0418 -- -- --
</TABLE>
* The total return percentage does not reflect any separate account charges
under variable annuity contracts and life policies.
** Annualized for periods of less than one year.
+ Per share data calculated using weighted average number of shares outstanding
throughout the year.
See Notes to Financial Statements.
42
<PAGE>
Income Shares
Financial Highlights
- --------------------------------------------------------------------------------
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
Six month
period ended
June 30, 1997 Year Ended December 31,
------------------------------------------------
(Unaudited) 1996 1995 + 1994 + 1993 +
------------- --------- ---------- --------- ---------
<S> <C> <C> <C> <C> <C>
Net asset value per share, beginning of period ................. $ 12.623 $ 13.001 $ 11.719 $ 13.052 $ 12.759
---------- --------- ---------- --------- ---------
Income from investment operations:
Net investment income ........................................ 0.402 0.844 0.885 0.791 0.854
Net realized and unrealized gain (loss) ...................... (0.028) (0.387) 1.237 (1.294) 0.365
---------- --------- ---------- --------- ---------
Total from investment operations ....................... 0.374 0.457 2.122 (0.503) 1.219
---------- --------- ---------- --------- ---------
Less distributions:
From net investment income ................................... (0.350) (0.835) (0.840) (0.830) (0.852)
From net realized gains on investments ....................... -- -- -- -- (0.074)
---------- --------- ---------- --------- ---------
Total distributions .................................... (0.350) (0.835) (0.840) (0.830) (0.926)
---------- --------- ---------- --------- ---------
Net asset value per share, end of period ....................... $12.647 $12.623 $13.001 $11.719 $13.052
========== ========= ========== ========= =========
Total return* .................................................. 2.96% 3.60% 18.24% (3.80)% 9.68%
Net assets, end of period (000's) .............................. $ 635,843 $643,729 $666,960 $561,704 $641,429
Ratio of total expenses to average net assets** ................ 0.48% 0.39% 0.32% 0.33% 0.31%
Ratio of net investment income to average net assets** ......... 6.28% 6.39% 6.97% 6.38% 6.47%
Portfolio turnover rate ........................................ 61.64% 96.41% 113.72% 74.24% 56.37%
</TABLE>
* The total return percentage does not reflect any separate account charges
under variable annuity contracts and life policies.
** Annualized for periods of less than one year.
+ Per share data calculated using weighted average number of shares outstanding
throughout the year.
See Notes to Financial Statements.
43
<PAGE>
Encore Fund
Financial Highlights
- -------------------------------------------------------------------------------
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
Six month
period ended
June 30, 1997 Year Ended December 31,
-----------------------------------------------
(Unaudited) 1996 + 1995 + 1994 + 1993 +
----------- ------ ------ ------ ------
<S> <C> <C> <C> <C> <C>
Net asset value per share, beginning of period ................. $13.194 $ 13.298 $ 12.544 $ 12.535 $ 12.557
---------- --------- ---------- --------- ---------
Income from investment operations:
Net investment income ........................................ 0.327 0.697 0.755 0.526 0.397
Net realized and unrealized gain (loss) ...................... 0.009 (0.001) 0.009 (0.022) 0.001
---------- --------- ---------- --------- ---------
Total from investment operations ....................... 0.336 0.696 0.764 0.504 0.398
---------- --------- ---------- --------- ---------
Less distributions:
From net investment income ................................... (0.525) (0.800) (0.010) (0.495) (0.420)
---------- --------- ---------- --------- ---------
Total distributions .................................... (0.525) (0.800) (0.010) (0.495) (0.420)
---------- --------- ---------- --------- ---------
Net asset value per share, end of period ....................... $13.005 $13.194 $13.298 $12.544 $12.535
========== ========= ========== ========= =========
Total return* .................................................. 2.64% 5.37% 6.05% 4.09% 3.19%
Net assets, end of period (000's) .............................. $ 655,024 $613,505 $514,037 $483,039 $380,249
Ratio of total expenses to average net assets** ................ 0.35% 0.34% 0.30% 0.32% 0.31%
Ratio of net investment income to average net assets** ......... 5.25% 5.24% 5.82% 4.16% 3.14%
</TABLE>
* The total return percentage does not reflect any separate account charges
under variable annuity contracts and life policies.
** Annualized for periods of less than one year.
+ Per share data calculated using weighted average number of shares outstanding
throughout the year.
See Notes to Financial Statements.
44
<PAGE>
Investment Advisers
Financial Highlights
- --------------------------------------------------------------------------------
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
Six month
period ended
June 30, 1997 Year Ended December 31,
---------------------------------------------
(Unaudited) 1996 1995 + 1994 + 1993 +
------------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C>
Net asset value per share, beginning of period ...................... $15.118 $14.502 $12.226 $12.798 $12.066
-------- -------- -------- -------- --------
Income from investment operations:
Net investment income ............................................. 0.226 0.469 0.539 0.480 0.441
Net realized and unrealized gain (loss) ........................... 1.309 1.585 2.737 (0.532) 0.741
-------- -------- -------- -------- --------
Total from investment operations ............................ 1.535 2.054 3.276 (0.052) 1.182
-------- -------- -------- -------- --------
Less distributions:
From net investment income ........................................ (0.300) (0.350) (0.670) (0.451) (0.440)
From net realized gains on investments ............................ (1.215) (1.088) (0.330) (0.069) (0.010)
-------- -------- -------- -------- --------
Total distributions ......................................... (1.515) (1.438) (1.000) (0.520) (0.450)
-------- -------- -------- -------- --------
Net asset value per share, end of period ............................ $15.138 $15.118 $14.502 $12.226 $12.798
======== ======== ======== ======== ========
Total return* ....................................................... 10.14% 15.17% 27.23% (0.35)% 9.90%
Net assets, end of period (millions) ................................ $1,498 $1,364 $1,196 $958 $920
Ratio of total expenses to average net assets** ..................... 0.58% 0.45% 0.31% 0.32% 0.31%
Ratio of net investment income to average net assets** .............. 2.99% 3.21% 3.96% 3.83% 3.53%
Portfolio turnover rate ............................................. 45.52% 107.80% 141.21% 112.05% 24.71%
Average commission rate paid per share .............................. $0.0604 $0.0576 -- -- --
</TABLE>
* The total return percentage does not reflect any separate account charges
under variable annuity contracts and life policies.
** Annualized for periods of less than one year.
+ Per share data calculated using weighted average number of shares outstanding
throughout the year.
See Notes to Financial Statements.
45
<PAGE>
Aetna Generation Portfolios, Inc.
Aetna Ascent Variable Portfolio
Growth of $10,000
[graphic omitted]
Average Annual Total Returns for the
Period Ended June 30, 1997*
- ------------------------------
1 year Inception+
- ------------------------------
25.34% 23.03%
- ------------------------------
[plot points]
<TABLE>
<CAPTION>
Jul-95 Jun-97
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Aetna Ascent Variable Portfolio 10,000 10,601 11,045 11,453 12,049 12,654 13,650 13,617 15,103
Ascent Index 10,000 10,531 10,949 11,256 11,621 11,921 12,793 12,652 14,036
</TABLE>
Legend
- ----------------------------------------------------------------
Aetna Ascent Variable Portfolio Ascent Benchmark Index
- ----------------------------------------------------------------
Aetna Crossroads Variable Portfolio
Growth of $10,000
[graphic omitted]
Average Annual Total Returns for the
Period Ended June 30, 1997*
- ------------------------------
1 year Inception+
- ------------------------------
20.54% 19.07%
- ------------------------------
[plot points]
<TABLE>
<CAPTION>
Jul-95 Jun-97
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Aetna Crossroads Variable Portfolio 10,000 10,532 10,930 11,233 11,739 12,207 12,985 12,995 14,151
Crossroads Index 10,000 10,433 10,836 11,031 11,318 11,593 12,302 12,184 13,274
</TABLE>
Legend
- ----------------------------------------------------------------
Aetna Crossroads Variable Portfolio Crossroads Benchmark Index
- ----------------------------------------------------------------
Aetna Legacy Variable Portfolio
Growth of $10,000
[graphic omitted]
Average Annual Total Returns for the
Period Ended June 30, 1997*
- ------------------------------
1 year Inception+
- ------------------------------
16.08% 15.14%
- ------------------------------
[plot points]
<TABLE>
<CAPTION>
Jul-95 Jun-97
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Aetna Legacy Variable Portfolio 10,000 10,451 10,827 11,036 11,403 11,773 12,363 12,347 13,236
Legacy Index 10,000 10,334 10,723 10,810 11,021 11,270 11,827 11,729 12,546
</TABLE>
Legend
- ----------------------------------------------------------------
Aetna Legacy Variable Portfolio Legacy Benchmark Index
- ----------------------------------------------------------------
* Total Return is calculated including reinvestment of income and capital gain
distributions. Past performance is no guarantee of future results.
Performance does not include any separate account charges imposed by Aetna.
+ The Portfolios commenced investment operations on July 5, 1995.
46
<PAGE>
How did the Funds perform during the period?
Returns for the six month period ended June 30, 1997, net of fund expenses, were
quite favorable as each of the three Generation Portfolios (Ascent, Crossroads
and Legacy) outperformed its relative benchmark index for the period. These
benchmark indices are unmanaged and are comprised of the seven stock and bond
indices listed below in weights that correspond to the particular benchmark
weights for each Fund.
<TABLE>
<CAPTION>
Generation Portfolio Portfolio Return Benchmark Index Return
- -------------------------------------------------------------------------------
<S> <C> <C>
Ascent 10.64% 9.71%
Crossroads 8.98% 7.90%
Legacy 7.06% 6.09%
</TABLE>
What economic or financial market conditions impacted the Funds?
Serving as a backdrop for each of the Generation Portfolios' performance are the
returns for the various indices for each of the asset classes among which the
Generation Portfolios allocate investments (shown below). Again, the combination
of these seven indices in different weights comprise the overall benchmarks
against which we measure each Generation Portfolio's performance (shown above).
<TABLE>
<CAPTION>
Asset Class Benchmark Index + Return
- -------------------------------------------------------------------------------
<S> <C> <C>
Large Cap Stocks S&P 500 20.61%
Small Cap Stocks Russell 2000 10.20%
International Stocks MSCI Europe, Australia & Far East 11.36%
Real Estate Stocks NAREIT 5.73%
Domestic Bonds Salomon Broad 3.06%
International Bonds S.B. Non-U.S. WGBI (1.71%)
Cash Equivalents U.S. 90 Day T-Bill 2.42%
</TABLE>
During the past six months, the large company stocks that make up the S&P 500
continued to achieve returns that were well above long-term historical averages.
Positive corporate earnings reports from the fourth quarter of 1996 and the
first quarter of 1997 are responsible, in part, for the strong returns.
+ The S&P 500 (Standard & Poor's 500) Index is a value-weighted unmanaged index
of 500 widely held stocks that assumes the reinvestment of all dividends, and is
considered to be representative of the stock market in general. The Russell 2000
Index consists of the smallest 2000 companies in the Russell 3000 Index, and
represents approximately 10% of the Russell 3000 total market capitalization.
The 3000 largest U.S. companies by market capitalization, representing nearly
98% of the U.S. equity market, comprise the Russell 3000 Index. Both indices
assume reinvestment of all dividends and are unmanaged. The Morgan Stanley
Capital International-Europe, Australia, Far East (MSCI EAFE) Index is an
unmanaged, market value-weighted average of the performance of more than 900
securities listed on the stock exchanges of countries in Europe, Australia and
the Far East. The National Association of Real Estate Investment Trusts (NAREIT)
Equity REIT Index is a market-weighted average of the performance for
tax-qualified real estate investment trusts listed on the New York Stock
Exchange, American Stock Exchange, and the NASDAQ National Market System.
Salomon Brothers Broad Investment-Grade Bond Index is an unmanaged,
market-weighted index that contains approximately 4,700 individually priced
investment-grade bonds rated BBB or better. The index includes U.S.
Treasury/Agency issues, mortgage pass-through securities, and corporate issues.
The Salomon Brothers Non-U.S. World Government Bond Index serves as an unmanaged
benchmark to evaluate the performance of government bonds with a maturity of one
year or greater in the following 12 countries: Japan, United Kingdom, Germany,
France, Canada, the Netherlands, Australia, Denmark, Italy, Belgium, Spain and
Sweden. Three-month Treasury bills are government-backed short-term investments
considered to be risk-free, and equivalent to cash because their maturity is
only three months.
47
<PAGE>
Aetna Generation Portfolios, Inc. (continued)
What investments influenced the Funds' performance over the past six months?
In order to better control risk and pursue enhanced return potential over the
long run, the Generation Portfolios are designed to invest in a variety of asset
classes with varying degrees of risk. During these past six months, domestic
large company stocks, as represented by the S&P 500, had a particularly strong
showing relative to other asset classes. Compared to the S&P 500 return of
20.61%, the Russell 2000 Small Company Stock Index returned only 10.20% over the
period, and international stocks, as represented by the Morgan Stanley Europe,
Asia and Far East (EAFE) Index returned only 11.36%. Keep in mind, all indices
referenced are unmanaged. Our heavy cash allocation proved, in retrospect, to be
somewhat too conservative, as the large company equity market continued to climb
despite its stretched valuation level.
What is your outlook going forward?
To help us determine our allocation of assets to different investment classes,
we use forward earnings yield (earnings per share/price) of the S&P 500 as our
barometer of equity valuation, and compare it to the yield on the 10-year U.S.
Government bond. The difference between the S&P 500 forward earnings yield,
currently 4.80%, and the 10-year U.S. Government bond yield, currently 6.41%,
remains unusually negative. This indicates that stocks are priced higher than
usual relative to bonds. In response, the Portfolios' cash targets remain
relatively high and equity holdings, particularly of large company stocks, are
"underweight" or less than the proportion held in each Portfolio's benchmark
index. Therefore, although we are underweighted in large cap stocks, we are
about benchmark weighted in small cap stocks.
There continues to be a wide valuation divergence between large company and
small company domestic stocks. We are still cautious regarding real estate
stocks (REITs) as they remain overvalued; consequently, we remain underweight in
that asset class. Our target proportion of investments in international stocks
have gone from slightly under that held by the benchmark index to slightly
overweight. In addition to increases in emerging countries such as Austria,
Chile and Venezuela, we plan to add positions in new countries such as India,
Korea and Thailand. We remain more-or-less hedged (for potential protection
against sudden shifts in values) against the Japanese yen, German mark, and
Dutch guilder.
Past performance is no assurance of future returns.
<TABLE>
<CAPTION>
Asset Allocation:
Portfolio of Notional Value* Economic Exposure*
Asset Class Investments of Futures 06/30/97 12/31/96 Benchmark Range
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Ascent
Large Cap Stocks 13% (3%) 10% 23% 20% 0 - 60%
Small Cap Stocks 24% (3%) 21% 19% 20% 0 - 40%
International Stocks 19% 4% 23% 16% 20% 0 - 40%
Real Estate Stocks 15% -- 15% 16% 20% 0 - 40%
U.S. Dollar Bonds 14% -- 14% 9% 10% 0 - 30%
International Bonds -- 4% 4% -- 10% 0 - 20%
Cash Equivalents 15% (2%) 13% 17% 0% 0 - 30%
-------- -------- ------- ------- -------
100% 0% 100% 100% 100%
======== ======== ======= ======= =======
Crossroads
Large Cap Stocks 10% (3%) 7% 17% 15% 0 - 45%
Small Cap Stocks 18% (3%) 15% 15% 15% 0 - 30%
International Stocks 15% 4% 19% 14% 15% 0 - 30%
Real Estate Stocks 12% -- 12% 13% 15% 0 - 30%
U.S. Dollar Bonds 27% -- 27% 19% 25% 0 - 70%
International Bonds -- 3% 3% -- 10% 0 - 20%
Cash Equivalents 18% (1%) 17% 22% 5% 0 - 30%
-------- -------- ------- ------- -------
100% 0% 100% 100% 100%
======== ======== ======= ======= =======
</TABLE>
48
<PAGE>
Asset Allocation (continued):
<TABLE>
<CAPTION>
Portfolio of Notional Value* Economic Exposure*
Asset Class Investments of Futures 06/30/97 12/31/96 Benchmark Range
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Legacy
Large Cap Stocks 7% (3%) 4% 11% 10% 0 - 30%
Small Cap Stocks 14% (4%) 10% 10% 10% 0 - 20%
International Stocks 11% 1% 12% 10% 10% 0 - 20%
Real Estate Stocks 8% -- 8% 9% 10% 0 - 20%
U.S. Dollar Bonds 40% -- 40% 29% 40% 0 - 100%
International Bonds -- 4% 4% -- 10% 0 - 20%
Cash Equivalents 20% 2% 22% 31% 10% 0 - 30%
======== ======== ======= ======= =======
100% 0% 100% 100% 100%
======== ======== ======= ======= =======
</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 Funds' exposure to both changes in value of the
portfolio of investments as well as the financial instruments underlying the
options and futures positions.
49
<PAGE>
Aetna Generation Portfolios, Inc.
Portfolio of Investments - June 30, 1997 (Unaudited)
Ascent
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Number
of Market
Shares Value
--------- ----------
COMMON STOCKS (69.6%)
United States (51.1%)
<S> <C> <C>
Aerospace and Defense (0.3%)
Gencorp, Inc.......................... 2,300 $ 53,188
General Dynamics Corp................. 1,100 82,500
Newport News Shipbuilding, Inc........ 3,000 58,313
Thiokol Corp.......................... 800 56,000
----------
250,001
----------
Apparel (0.1%)
Fruit of the Loom, Inc.+.............. 2,400 74,400
----------
Autos and Auto Equipment (0.3%)
Excel Industries, Inc................. 5,300 103,350
Kaydon Corp........................... 1,100 54,588
Westinghouse Air Brake Co............. 5,100 102,000
----------
259,938
----------
Banks (2.8%)
Andover Bancorp, Inc.................. 8,900 270,338
BankAmerica Corp...................... 3,800 245,338
CITICORP.............................. 2,200 265,238
Compass Bancshares, Inc............... 1,100 36,988
First American Corp. (Tenn.).......... 1,400 53,725
First Chicago Corp.................... 2,400 145,200
First Republic Bancorp, Inc.+......... 3,500 81,375
Glendale Federal Bank FSB+............ 2,300 60,088
New York Bancorp, Inc................. 6,300 218,925
North Fork Bancorp, Inc............... 2,600 55,575
ONBANCorp, Inc........................ 8,900 453,899
State Street Corp..................... 1,900 87,875
UnionBancal Corp...................... 700 50,313
USBANCORP, Inc........................ 7,000 381,500
UST Corp.............................. 6,900 154,388
Washington Mutual, Inc................ 800 47,800
----------
2,608,565
----------
Building Materials and Construction (1.1%)
Armstrong World Industries, Inc....... 1,800 132,075
Arvin Industries, Inc................. 1,900 51,775
Lone Star Industries, Inc............. 9,000 407,813
Masco Corp............................ 2,700 112,725
National Steel Corp., Class B+........ 1,500 25,219
Southdown, Inc........................ 1,300 56,713
Tredegar Industries, Inc.............. 2,950 163,725
USG Corp.+............................ 1,700 62,050
----------
1,012,095
----------
Chemicals (0.4%)
Fuller (H.B.) Co...................... 1,000 55,000
Lyondell Petrochemical Co............. 200 4,363
Rexene Corp........................... 17,100 266,119
Sybron Chemicals, Inc.+............... 1,600 31,200
----------
356,682
----------
- -------------------------------------------------------------------------------
Number
of Market
Shares Value
--------- ----------
Commercial Services (0.7%)
Aviall, Inc.+......................... 6,300 $ 88,200
Caribiner International, Inc.+........ 7,400 241,425
CDI Corp.+............................ 8,200 341,838
Ogden Corp............................ 500 10,875
----------
682,338
----------
Computer Software (1.5%)
BMC Software, Inc.+................... 1,400 77,525
CHS Electronics, Inc.+................ 1,400 37,100
Computer Learning Centers, Inc.+...... 11,200 470,399
Cybermedia, Inc.+..................... 9,800 156,800
Fiserv, Inc.+......................... 1,622 72,382
Keane, Inc.+.......................... 2,500 130,000
Microsoft Corp.+...................... 3,300 417,038
Symantec Corp.+....................... 3,100 60,450
----------
1,421,694
----------
Computers and Office Equipment (1.7%)
Compaq Computer Corp.+................ 3,500 347,375
Dell Computer Corp.+.................. 3,400 399,288
HBO & Co.............................. 1,100 75,763
Herman Miller, Inc.................... 2,000 72,000
Iomega Corp.+......................... 1,800 35,775
Moore Corp. Ltd....................... 9,000 177,188
Quantum Corp.+........................ 3,400 69,063
Radisys Corp.+........................ 8,200 325,950
Stratus Computer, Inc.+............... 1,600 80,000
Western Digital Corp.+................ 2,000 63,250
----------
1,645,652
----------
Consumer Products (0.5%)
Estee Lauder Co., Class A............. 1,000 50,250
Guilford Mills, Inc................... 17,550 365,259
Procter & Gamble Co................... 600 84,750
----------
500,259
----------
Diversified (0.3%)
Aeroquip-Vickers, Inc................. 2,800 132,300
ITT Industries, Inc................... 5,200 133,900
----------
266,200
----------
Electrical and Electronics (0.5%)
Intel Corp............................ 1,500 212,719
National Semiconductor Corp.+......... 3,000 91,875
Seagate Technology, Inc.+............. 4,800 168,900
Veeco Instruments, Inc.+.............. 800 31,000
----------
504,494
----------
Electrical Equipment (1.2%)
Cellstar Corp.+....................... 18,100 554,312
Fluke Corp............................ 6,500 385,125
SCI Systems, Inc.+.................... 600 38,250
Tektronix, Inc........................ 2,000 120,000
----------
1,097,687
----------
</TABLE>
50 See Notes to Portfolio of Investments.
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Number
of Market
Shares Value
--------- ----------
<S> <C> <C>
United States (continued)
Financial Services (2.6%)
Ahmanson (H. F.) & Co................. 8,000 $ 344,000
AmeriCredit Corp.+.................... 12,200 256,200
Bear Stearns Co., Inc................. 2,362 80,751
Edwards (A.G.), Inc................... 1,600 68,400
FIRSTPLUS Financial Group, Inc.+...... 8,900 302,600
Lehman Brothers Holdings, Inc......... 1,500 60,750
Morgan Stanley, Dean Witter,
Discover & Co....................... 2,475 106,580
Paine Webber Group, Inc............... 1,800 63,000
Parkway Properties, Inc............... 9,900 266,063
Southern Pacific Funding Corp......... 26,700 443,887
SunAmerica, Inc....................... 200 9,750
Trans Financial, Inc.................. 15,800 440,425
----------
2,442,406
----------
Foods and Beverages (0.9%)
Dean Foods Co......................... 700 28,263
Einstein/Noah Bagel Corp.+............ 7,400 88,338
Kroger Co. (The)+..................... 8,600 249,400
Suiza Foods Corp.+.................... 11,400 467,399
----------
833,400
----------
Health Services (2.2%)
Beverly Enterprises+.................. 8,200 133,250
Columbia/HCA Healthcare Corp.......... 4,300 169,044
Curative Health Services, Inc.+....... 4,600 132,250
FPA Medical Management, Inc.+......... 19,700 466,643
Genentech, Inc.+...................... 900 53,044
Lincare Holdings, Inc.+............... 1,400 60,200
Medical Resources, Inc.+.............. 25,800 425,700
RoTech Medical Corp.+................. 11,700 234,731
Trigon Healthcare, Inc.+.............. 2,500 60,625
Universal Health Services, Inc.+...... 8,600 331,100
Wellpoint Health Networks, Inc.+...... 1,300 59,638
----------
2,126,225
----------
Home Furnishings and Appliances (0.9%)
Ethan Allen Interiors, Inc............ 6,300 359,100
Furniture Brands International, Inc.+. 1,500 29,063
O' Sullivan Industries+............... 14,600 241,813
Rowe Furniture Corp................... 16,100 120,750
Stanley Furniture Co., Inc.+.......... 4,100 94,813
----------
845,539
----------
Hotels and Restaurants (0.6%)
Foodmaker, Inc.+...................... 22,500 368,438
HFS, Inc.+............................ 2,855 165,590
----------
534,028
----------
Insurance (1.2%)
AMBAC, Inc............................ 600 45,825
Equitable Co., Inc.................... 4,400 146,300
Everest Re Holdings, Inc.............. 1,300 51,513
FBL Financial Group, Inc.............. 2,800 105,700
- -------------------------------------------------------------------------------
Number
of Market
Shares Value
--------- ----------
Insurance (continued)
Kansas City Life Insurance Co......... 300 $ 23,700
Loews Corp............................ 1,000 100,125
Orion Capital Corp.................... 3,600 265,500
Reliance Group Holdings, Inc.......... 5,100 60,563
RLI Corp.............................. 600 21,863
United Wisconsin Services, Inc........ 10,900 367,194
----------
1,188,283
----------
Machinery and Equipment (1.3%)
Ade Corp.+............................ 7,000 208,250
Caterpillar, Inc...................... 400 42,950
Harnischfeger Industries, Inc......... 1,900 78,850
Parker-Hannifin Corp.................. 2,400 145,650
Terex Corp.+.......................... 23,300 448,524
The Manitowoc Co., Inc................ 6,600 308,550
----------
1,232,774
----------
Media and Entertainment (1.7%)
Carmike Cinemas, Class A+............. 10,100 330,775
Evergreen Media Corp., Class A+....... 9,900 441,787
Midway Games, Inc.+................... 8,800 189,200
Panavision, Inc.+..................... 10,400 207,350
Penske Motorsports, Inc.+............. 3,500 115,063
Regal Cinemas, Inc.+.................. 9,700 320,100
----------
1,604,275
----------
Medical Supplies (0.4%)
Perrigo Co.+.......................... 4,100 51,250
Vivus, Inc.+.......................... 15,400 366,713
----------
417,963
----------
Metals and Mining (1.1%)
Alumax, Inc.+......................... 200 7,588
Asarco, Inc........................... 3,200 98,000
Cyprus Amax Minerals Co............... 3,900 95,550
Phelps Dodge Corp..................... 2,300 195,931
RMI Titanium Co.+..................... 12,000 327,000
Timken Co............................. 9,400 334,288
USX-US Steel Group, Inc............... 800 28,050
----------
1,086,407
----------
Oil and Gas (2.5%)
Apache Corp........................... 2,000 65,000
Clayton Williams Energy, Inc.+........ 16,700 189,963
Columbia Gas System, Inc.............. 2,500 163,125
Giant Industries, Inc................. 6,100 96,456
Helmerich & Payne, Inc................ 2,400 138,300
Kerr-Mcgee Corp....................... 2,500 158,438
Occidental Petroleum Corp............. 6,000 150,375
Oneok, Inc............................ 3,900 125,531
Oryx Energy Co.+...................... 5,900 124,638
Phillips Petroleum Co................. 3,700 161,875
Seacor Holdings+...................... 7,700 402,806
</TABLE>
51
<PAGE>
Aetna Generation Portfolios, Inc.
Portfolio of Investments - June 30, 1997 (Unaudited)
Ascent (continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Number
of Market
Shares Value
--------- ----------
<S> <C> <C>
United States (continued)
Oil and Gas (continued)
Tidewater, Inc........................ 1,900 $ 83,600
Union Texas Petroleum Holdings, Inc... 1,200 25,125
USX-Marathon Group.................... 4,700 135,713
Vintage Petroleum, Inc................ 10,300 316,725
----------
2,337,670
----------
Paper and Containers (0.5%)
Fort Howard Corp.+.................... 1,100 55,688
Schweitzer-Mauduit Internatinal, Inc.. 11,800 442,499
----------
498,187
----------
Pharmaceuticals (1.6%)
Dura Pharmaceuticals, Inc.+........... 8,600 342,925
Medicis Pharmaceutical Corp.+......... 11,350 566,080
Merck & Co., Inc...................... 3,000 310,500
Pharmacia & Upjohn, Inc............... 3,300 114,675
Schering Plough....................... 4,200 201,075
----------
1,535,255
----------
Printing and Publishing (1.0%)
Central Newspapers, Inc., Class A..... 1,100 78,788
Gannett Co., Inc...................... 1,600 158,000
McClatchy Newspapers, Inc............. 9,175 269,516
Valassis Communications, Inc.+........ 16,900 405,600
----------
911,904
----------
Real Estate Investment Trusts (13.7%)
Alexandria Real Estate Equities, Inc.+ 2,100 46,069
Ambassador Apartments, Inc............ 6,200 154,225
Apartment Investment & Management Co.. 19,900 562,174
Arden Realty Group, Inc............... 1,800 46,800
Bay Apartment Communities, Inc........ 3,000 111,000
Brandywine Realty Trust............... 8,500 172,125
CALI Realty Corp...................... 22,000 747,999
Capstone Capital Trust, Inc........... 14,900 365,050
Chateau Communities, Inc.............. 6,600 188,925
Colonial Properties Trust............. 6,100 179,188
Cornerstone Properties, Inc........... 30,100 462,787
Criimi Mae, Inc....................... 4,800 76,800
Developers Diversified Realty Corp.... 1,600 64,000
Duke Realty Investments, Inc.......... 8,200 332,100
Equity Inns, Inc...................... 10,000 133,750
Equity Residential Properties Trust... 4,200 199,500
Essex Property Trust, Inc............. 12,800 411,200
Evans Withycombe Residential, Inc..... 8,000 166,000
Fairfield Communities, Inc.+.......... 12,000 403,500
General Growth Properties............. 18,400 616,399
Glenborough Realty Trust, Inc......... 27,700 699,424
Health Care REIT, Inc................. 16,000 389,000
Innkeepers USA Trust.................. 32,700 490,499
JDN Realty Corp....................... 15,700 490,624
Kimco Realty Corp..................... 21,400 679,449
- --------------------------------------------------------------------------------
Number
of Market
Shares Value
--------- ----------
Real Estate Investment Trusts (continued)
Lexington Corporate Props., Inc....... 1,800 $ 25,200
Liberty Property Trust................ 5,000 124,375
Manufactured Home Communities, Inc.... 18,500 426,656
Meridian Industrial Trust, Inc,....... 5,500 129,250
Merry Land & Investment Co., Inc...... 10,000 216,875
Mid-America Apartment Communities, Inc. 9,800 275,013
National Golf Properties, Inc......... 9,800 340,550
Prime Retail, Inc..................... 10,400 139,750
Public Storage, Inc................... 9,900 289,575
Ramco-Gerhenson Properties............ 8,400 148,050
Reckson Associates Realty Corp........ 10,800 248,400
Regency Realty Corp................... 16,800 457,799
Sovran Self Storage, Inc.............. 23,300 681,524
Starwood Lodging Trust................ 4,950 211,303
Summit Properties, Inc................ 10,000 206,250
Sunstone Hotel Investors, Inc......... 4,000 58,000
Tanger Factory Outlet Centers, Inc.... 16,400 440,750
Walden Residential Properties, Inc.... 17,300 443,312
----------
13,051,219
----------
Retail (4.0%)
Ames Department Stores, Inc.+......... 39,300 380,719
Burlington Coat Factory Warehouse+.... 21,400 417,300
Cash America International, Inc....... 26,800 281,400
Costco Companies, Inc.+............... 3,000 98,625
CVS Corp.............................. 2,100 107,625
Damark International, Inc.+........... 8,200 127,100
Funco, Inc.+.......................... 21,400 395,900
Goody's Family Clothing, Inc.+........ 1,300 35,588
Kroger Equity, Inc.................... 6,600 120,450
Paul Harris Stores, Inc.+............. 4,800 80,400
Payless ShoeSource, Inc.+............. 1,600 87,500
Ross Stores, Inc...................... 10,400 339,950
TJX Companies, Inc.................... 15,000 395,625
Urban Shopping Centers, Inc........... 23,600 752,249
Woolworth Corp.+...................... 5,900 141,600
----------
3,762,031
----------
Telecommunications (0.7%)
CommNet Cellular, Inc.+............... 10,100 350,975
MasTec, Inc.+......................... 7,700 364,306
----------
715,281
----------
Transportation (1.3%)
CNF Transportation, Inc............... 1,700 54,825
Continental Airlines, Inc., Class B+.. 1,600 55,900
Hvide Marine, Inc., Class A+.......... 5,000 110,625
Midwest Express Holdings, Inc.+....... 6,800 186,150
Trico Marine Services, Inc.+.......... 11,400 248,663
UAL Corp.+............................ 1,000 71,563
Yellow Corp.+......................... 21,900 490,012
----------
1,217,738
----------
</TABLE>
52 See Notes to Portfolio of Investments.
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Number
of Market
Shares Value
--------- -------
<S> <C> <C>
United States (continued)
Utilities - Electric (0.7%)
Entergy Corp. .................................... 6,500 $ 177,938
GPU, Inc. ........................................ 3,800 136,325
Montana Power Co. ................................ 1,200 27,825
Nevada Power Co. ................................. 1,600 34,000
PP&L Resources, Inc. ............................. 800 15,950
Public Service Co. of New Mexico ................. 3,200 57,200
TNP Enterprises, Inc. ............................ 8,700 201,731
-----------
650,969
-----------
Utilities - Oil and Gas (0.3%)
Energen Corp. .................................... 8,400 282,975
-----------
Utilities - Telephone (0.5%)
Premiere Technologies, Inc.+ ..................... 13,100 340,600
U. S. West Communications Group .................. 3,700 139,444
-----------
480,044
-----------
Total United States 48,434,578
-----------
Foreign Common Stocks (18.5%)
Australia (0.5%)
Goodman Fielder Ltd. (Foods and Beverages) ...... 40,745 59,522
Reinsurance Australia Corp. Ltd. (Insurance) ..... 32,000 96,130
Santos Ltd. (Oil and Gas) ........................ 33,200 138,535
Woolworth Ltd. (Foods and Beverages) ............. 43,400 141,431
-----------
Total Australia 435,618
-----------
Austria (0.2%)
Oesterreichische
Elektrizitaetswirtschafts-AG ................... 1,000 70,447
(Utilities - Electric)
VA Technologie AG (Commercial Services) ......... 650 118,976
-----------
Total Austria 189,423
-----------
Belgium (0.7%)
CMB, NPV (Transportation) ........................ 2,500 168,289
G.I.B. Holdings Ltd. (Retail) .................... 4,000 191,377
Reunies Electrobel & Tractebel
(Utilities - Electric) ......................... 300 125,174
Societe Generale De Belgique
(Financial Services) ........................... 1,900 177,580
-----------
Total Belgium 662,420
-----------
Brazil (0.2%)
Telecomunicacoes Brasileiras SA
(Utilities - Telephone) ........................ 1,150 174,513
-----------
Canada (0.5%)
Anderson Exploration Ltd. (Oil and Gas) + ........ 14,000 180,637
Canadian National Railway (Transportation) ....... 3,500 153,125
Petro-Canada (Oil and Gas) ....................... 11,400 185,103
-----------
Total Canada 518,865
-----------
- --------------------------------------------------------------------------------
Number
of Market
Shares Value
--------- -------
Chile (0.4%)
Cia de Telecomuncaciones de Chile
(Utilities - Telephone) ........................ 4,800 $ 158,400
Embotelladora Andina ADR, Class A
(Foods and Beverages) .......................... 2,000 42,875
Embotelladora Andina ADR, Class B
(Foods and Beverages) .......................... 2,000 41,750
Empresa Nacional Electricidad SA
(Utilities - Electric) ......................... 6,000 135,375
-----------
Total Chile 378,400
-----------
Denmark (0.6%)
Bang & Olufsen Holding Co.
(Electrical and Electronics) + ................. 3,300 204,050
Novo-Nordisk AS (Pharmaceuticals) ................ 1,600 174,702
Tele Danmark AS (Utilities - Telephone) .......... 3,500 182,107
-----------
Total Denmark 560,859
-----------
Finland (0.9%)
Enso Oy Registered Shares
(Paper and Containers) ......................... 17,100 158,021
Finnlines Oy (Transportation) .................... 7,200 220,397
Huhtamaki Group (Diversified) .................... 2,400 103,268
Oy Nokia Corp., ADR A(Telecommunications) ........ 1,000 73,750
Rautaruukki Oy (Metals and Mining) ............... 21,100 221,389
UPM-Kymmene Corp. (Paper and Containers) ........ 5,000 115,512
-----------
Total Finland 892,337
-----------
France (0.7%)
Accor SA (Hotels and Restaurants) ................ 1,340 200,854
Alcatel Alsthom (Telecommunications) ............. 1,200 150,436
Credit Local de France (Financial Services) ...... 550 53,586
Elf Aquitaine SA (Oil and Gas) ................... 750 80,992
Schneider SA (Machinery and Equipment) + ......... 2,575 137,194
Union des Assurances Federales (Insurance) ....... 500 58,849
-----------
Total France 681,911
-----------
Germany (1.2%)
Adidas AG (Retail) ............................... 1,050 117,501
Deutsche Pfandbrief & Hypothekenbank AG
(Banks) ....................................... 1,900 109,309
Fried Krupp AG (Machinery and Equipment) ......... 350 68,894
Gehe AG (Health Services) ........................ 1,500 103,298
Henkel KGAA (Chemicals) .......................... 2,500 140,887
Mannesmann AG (Machinery and Equipment) .......... 300 134,115
Merck KGAA (Pharmaceuticals) ..................... 4,200 183,182
Metro AG (Retail) + .............................. 1,000 109,037
Viag AG (Diversified) + .......................... 150 68,564
Volkswagen AG (Autos and Auto Equipment) ......... 100 75,867
-----------
Total Germany 1,110,654
-----------
</TABLE>
53
<PAGE>
Aetna Generation Portfolios, Inc.
Portfolio of Investments - June 30, 1997 (Unaudited)
Ascent (continued)
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Number
of Market
Shares Value
--------- ----------
<S> <C> <C>
Hong Kong (0.4%)
Lai Sun Development Co., Ltd.
(Real Estate Investment Trusts) ................ 143,000 $ 160,585
Regent Pacific Group Ltd. (Financial Services) + . 675,000 189,502
-----------
Total Hong Kong 350,087
-----------
Indonesia (0.7%)
Bank International Indonesia (Banks) ............. 249,500 215,484
PT Semen Gresik
(Building Materials and ........................ 99,500 223,021
Construction) +
Putra Surya Multidana (Financial Services) + ..... 133,000 211,958
-----------
Total Indonesia 650,463
-----------
Ireland (0.4%)
Irish Life Plc (Insurance) ....................... 35,265 180,884
Waterford Wedgewood
(Home Furnishings and Appliances) .............. 176,489 230,309
-----------
Total Ireland 411,193
-----------
Italy (0.7%)
Credito Italiano (Banks) ......................... 70,000 127,946
Instituto Bancario San Paolo di Torino (Banks) ... 21,300 155,103
Pirelli & Co. (Financial Services) ............... 145,800 227,933
Stet Societa' Finanziaria Telefonica S.p.A
(Telecommunications) ........................... 28,700 166,988
-----------
Total Italy 677,970
-----------
Japan (2.8%)
Bank of Tokyo-Mitsubishi (Banks) ................. 7,000 140,697
Capcom Company
(Computers and Office Equipment) ............... 7,000 167,002
Dai Nippon Ink & Chemicals, Inc. (Chemicals) ..... 46,000 198,584
Daiichi Pharmaceutical (Pharmaceuticals) ......... 12,000 211,833
DDI Corp. (Utilities - Telephone) ................ 22 162,650
Fuji Photo Film (Chemicals) ...................... 3,000 120,860
Fujitec Co. Ltd.
(Building Materials and Construction) .......... 14,000 166,390
Fujitsu Denso (Diversified) ...................... 3,000 92,283
Ito-Yokado Co. Ltd. (Retail) ..................... 1,000 58,114
Kyocera Corp. (Electrical and Electronics) ....... 2,000 159,049
Mitsubishi Heavy Industries Ltd.
(Aerospace and Defense) ........................ 18,000 138,268
NAMCO (Media and Entertainment) .................. 4,000 154,505
NTT Data Communications Systems Co.
(Computer Software) ............................ 40 154,854
Sony Corp. (Electrical and Electronics) .......... 1,800 157,144
Takara Standard
(Building Materials and Construction) .......... 13,000 113,607
Takefuji Corp. (Banks) ........................... 5,000 273,530
Tokyo Ohka Kogyo (Electrical and Electronics) .... 4,000 120,947
West Japan Railway (Transportation) .............. 30 117,714
-----------
Total Japan 2,708,031
-----------
- --------------------------------------------------------------------------------
Number
of Market
Shares Value
--------- ----------
Malaysia (0.7%)
Leader Universal Holdings Bhd (Diversified) + .... 58,100 $ 104,506
MBF Capital Bhd (Financial Services) + ........... 240,000 441,203
Nepline Berhad (Transportation) .................. 31,000 148,613
-----------
Total Malaysia 694,322
-----------
Mexico (0.4%)
ALFA, SA de C.V. (Diversified) ................... 29,260 199,368
Panamerican Beverages, Inc.
(Foods and Beverages) .......................... 6,700 220,263
-----------
Total Mexico 419,631
-----------
Netherlands (0.8%)
DSM NV (Chemicals) ............................... 1,340 133,568
Fortis Amev NV (Financial Services) .............. 2,028 90,464
Getronics NV
(Computers and Office Equipment) ............... 2,011 65,072
ING Groep NV (Banks) ............................. 2,916 134,688
Philips Electronics NV
(Electrical and Electronics) ................... 2,900 208,103
VNU-Verenigde Nederlandse
Uitgeversbedrijven Verenigd Bezit
(Printing and Publishing) ...................... 7,400 163,914
-----------
Total Netherlands 795,809
-----------
Norway (0.6%)
Kvaerner ASA (Transportation) .................... 3,900 236,265
Merkantildata ASA (Computer Software) ............ 3,000 59,420
SAS Norge ASA B (Transportation) ................. 27,800 292,400
-----------
Total Norway 588,085
-----------
Philippines (0.1%)
Philippine Long Distance Telephone Spn ADR
(Telecommunications) ........................... 2,000 128,500
-----------
Singapore (0.5%)
Clipsal Industries Ltd. (Electrical Equipment) ... 20,500 72,570
Development Bank of Singapore Ltd.(Banks) ........ 10,600 133,441
Jardine Matheson Holdings(Diversified) ........... 25,200 178,920
NatSteel Ltd. (Metals and Mining) ................ 30,000 76,372
-----------
Total Singapore 461,303
-----------
Spain (0.3%)
Cortefiel SA (Retail) ............................ 4,000 174,883
Hidroelectrica del Cantabrico, SA
(Utilities - Electric) ......................... 2,500 101,652
-----------
Total Spain 276,535
-----------
Sweden (1.1%)
Autoliv, Inc. (Autos and Auto Equipment) ......... 2,600 100,034
Enator AB (Commercial Services) + ................ 6,200 110,652
Frontec AB (Computer Software) + ................. 9,000 75,656
Hemkopskedjan AB (Foods and Beverages) + ......... 25,000 257,036
IFS International, Inc., 144A
(Computer Software) + .......................... 30,000 145,492
</TABLE>
54 See Notes to Portfolio of Investments.
<PAGE>
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Number
of Market
Shares Value
--------- -----------
<S> <C> <C>
Sweden (continued)
Skandia Forsakrings AB (Insurance) ............... 5,700 $ 210,091
SKF AB B Shs (Metals and Mining) ................. 4,300 111,221
-----------
Total Sweden 1,010,182
-----------
Switzerland (0.7%)
Georg Fischer AG (Machinery and Equipment) ....... 60 83,548
Novartis AG Registered Shs (Health Services) ..... 200 320,198
Roche Holding AG (Pharmaceuticals) ............... 14 126,810
SMH AG (Health Services) ......................... 700 94,951
-----------
Total Switzerland 625,507
-----------
United Kingdom (2.1%)
BAA Plc (Transportation) ......................... 25,800 237,667
Barclays Plc (Financial Services) ................ 5,000 99,192
Cadbury Schweppes Plc
(Foods and Beverages) .......................... 7,000 62,386
Glaxo Wellcome Plc (Pharmaceuticals) ............. 11,000 227,011
Granada Group Plc (Diversified) .................. 14,714 193,459
Hammerson Plc (Real Estate Investment Trusts) .... 12,700 98,814
Iona Technologies Plc, ADR
(Consumer Products) + .......................... 5,000 98,750
Ladbroke Group Plc (Media and Entertainment) ..... 17,706 69,250
Legal & General Group Plc (Financial Services) ... 17,400 117,428
Morgan Crucible Plc (Diversified) ................ 18,100 134,804
National Power Plc (Utilities - Electric) ........ 2,000 70,375
Pearson Plc (Printing and Publishing) ............ 5,000 57,876
Shell Transport & Trading Co. (Oil and Gas) ...... 23,000 235,128
Tarmac Plc
(Building Materials and Construction)........... 47,900 99,650
Vodafone Group Plc
(Telecommunications) ........................... 35,800 174,277
-----------
Total United Kingdom 1,976,067
-----------
Venezuela (0.3%)
Compania Anonima Nacional Telefonos
de Venezuela (Utilities - Telephone) ............ 5,500 237,188
----------
Total Foreign Common Stocks 17,615,873
----------
Total Common Stocks (cost $57,650,634) 66,050,451
----------
- --------------------------------------------------------------------------------
Principal Market
Amount Value
----------- ----------
LONG-TERM BONDS AND NOTES (14.4%)
U.S. Government Obligations (10.7%)
U.S. Treasury Note, 5.88%, 02/15/00 .............. $ 1,000,000 $ 992,500
U.S. Treasury Note, 6.50%, 10/15/06 .............. 5,600,000 5,577,242
U.S. Treasury Note, 7.50%, 10/31/99 .............. 300,000 308,625
U.S. Treasury Note, 7.50%, 11/15/01 .............. 3,120,000 3,252,602
-----------
Total U.S. Government Obligations (cost $10,066,627) 10,130,969
-----------
Corporate Bonds (3.7%)
Echostar Communications, Zero Coupon,
06/01/04 ....................................... 675,000 566,999
Fifth Third Bank, 6.75%, 07/15/05 ................ 450,000 442,252
Ford Motor Credit Corp., 6.63%, 06/30/03 ......... 700,000 691,977
Tenet Healthcare Corp., 7.88%, 01/15/03 ......... 800,000 801,999
Time Warner, Inc., 9.13%, 01/15/13 ............... 475,000 527,935
United Mexican States Government, 7.88%,
08/06/01++ ..................................... 475,000 475,759
-----------
Total Corporate Bonds (cost $3,502,168) 3,506,921
-----------
Total Long-Term Bonds and Notes (cost $13,568,795) 13,637,890
-----------
SHORT-TERM INVESTMENTS (15.1%)
Ciesco, L.P., Comm. Paper, 5.63 07/08/97++ ....... 3,000,000 2,996,719
Cooperative Assoc. of Tractor Dealers, Inc.,
Comm. Paper, 5.65%, 07/14/97 ................... 3,000,000 2,993,879
Federal National Mortgage Assoc.,
Comm. Paper, 5.45%, 07/22/97 ................... 1,000,000 996,821
Federal National Mortgage Association,
Mortgage-Backed Securities, 5.60%, 07/01/97 ... 6,820,000 6,820,000
U.S. Treasury Bill, Time Deposit, 4.82%,
08/21/97@ ...................................... 100,000 99,317
U.S. Treasury Bill, Time Deposit, 5.08%,
08/21/97@ ...................................... 475,000 471,514
-----------
Total Short-Term Investments (cost $14,378,318) 14,378,250
-----------
TOTAL INVESTMENTS (cost $85,597,747)(a) .......... 94,066,591
Other assets less liabilities 926,045
-----------
Total Net Assets $94,992,636
===========
</TABLE>
55
<PAGE>
Aetna Generation Portfolios, Inc.
Portfolio of Investments - June 30, 1997 (Unaudited)
Ascent (continued)
- -------------------------------------------------------------------------------
Notes to Portfolio of Investments
(a) The cost of investments for federal income tax purposes amount to
$85,672,226. Unrealized gains and losses, based on identified tax cost at June
30, 1997, are as follows:
<TABLE>
<CAPTION>
<S> <C>
Unrealized gains ..................... $9,276,881
Unrealized losses .................... (882,516)
----------
Net unrealized gain ................ $8,394,365
==========
</TABLE>
+ Non-income producing security.
++ Restricted security.
@ Security pledged to cover initial margin requirements on open futures
contracts at June 30, 1997.
Category percentages are based on net assets.
Information concerning open futures contracts at June 30, 1997 is shown below:
<TABLE>
<CAPTION>
No. of Initial Expiration Unrealized
Contracts Value Date Gain/(Loss)
--------- ---------- ---------- -----------
<S> <C> <C> <C> <C>
Long Contracts
- -------------------
Hang Seng Stock
Index Future ....... 3 $ 294,964 July 97 $ 484
Long-Term German
Government Bond
Future ............. 14 2,032,197 Sept 97 23,830
DAX-30 German Stock
Index Future ....... 4 869,053 Sept 97 14,031
FT-SE 100 Index
Future ............. 3 572,768 Sept 97 (6,428)
Long Gilt Bond Future. 6 555,251 Sept 97 4,069
Swiss Government
Bond Future ........ 7 583,570 Sept 97 638
TSE-35 Index Future... 2 253,364 Sept 97 (5,538)
Topix Index Future ... 4 524,031 Sept 97 9,438
CAC-40 Stock Index
Future ............. 7 660,733 Sept 97 33,266
French Notional Bond
Future ............. 8 875,338 Sept 97 10,424
Milan MIB-30 Stock
Index Future ....... 1 113,879 Sept 97 5,836
Short Contracts
- -------------------
Russell 2000 Index
Future ............. 12 (2,355,225) Sept 97 (38,175)
S & P 500 Index
Future ............. 6 (2,694,900) Sept 97 24,150
---------- -----------
$2,285,023 $ 76,025
========== ===========
</TABLE>
56 See Notes to Financial Statements.
<PAGE>
Crossroads
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Number of Market
Shares Value
--------- ---------
<S> <C> <C>
COMMON STOCKS (54.6%)
United States (39.8%)
Aerospace and Defense (0.2%)
Gencorp, Inc.......................... 1,100 $ 25,438
General Dynamics Corp................. 700 52,500
Newport News Shipbuilding, Inc........ 1,700 33,044
Thiokol Corp.......................... 500 35,000
----------
145,982
----------
Autos and Auto Equipment (0.6%)
Excel Industries, Inc................. 9,500 185,250
Kaydon Corp........................... 700 34,738
Westinghouse Air Brake Co............. 14,300 286,000
----------
505,988
----------
Banks (1.7%)
Andover Bancorp, Inc.................. 5,900 179,213
BankAmerica Corp...................... 2,800 180,775
Compass Bancshares, Inc............... 600 20,175
First American Corp. (Tenn.).......... 600 23,025
First Chicago Corp.................... 1,600 96,800
First Union Corp...................... 900 83,250
Glendale Federal Bank FSB+............ 1,200 31,350
New York Bancorp, Inc................. 4,400 152,900
North Fork Bancorp, Inc............... 1,500 32,063
ONBANCorp, Inc........................ 4,000 204,000
Silicon Valley Bancshares+............ 1,300 58,825
State Street Corp..................... 600 27,750
UnionBancal Corp...................... 400 28,750
USBANCORP, Inc........................ 3,600 196,200
UST Corp.............................. 3,100 69,363
Washington Mutual, Inc................ 400 23,900
----------
1,408,339
----------
Building Materials and Construction (1.0%)
Armstrong World Industries, Inc....... 1,400 102,725
Arvin Industries, Inc................. 1,200 32,700
Centex Corp........................... 1,900 77,188
Florida Rock Industries, Inc.......... 600 24,375
Lone Star Industries, Inc............. 5,700 258,281
Masco Corp............................ 2,000 83,500
National Steel Corp., Class B+........ 1,000 16,813
Southdown, Inc........................ 700 30,538
Tredegar Industries, Inc.............. 3,750 208,125
USG Corp.+............................ 700 25,550
----------
859,795
----------
Chemicals (0.3%)
Fuller (H.B.) Co...................... 600 33,000
Lyondell Petrochemical Co............. 100 2,181
Rexene Corp........................... 11,100 172,744
Sybron Chemicals, Inc.+............... 3,500 68,250
----------
276,175
----------
- -------------------------------------------------------------------------------
Number of Market
Shares Value
--------- ---------
Commercial Services (0.3%)
Aviall, Inc.+......................... 3,600 $ 50,400
Caribiner International, Inc.+........ 1,400 45,675
CDI Corp.+............................ 3,200 133,400
Crescent Operating, Inc.+............. 520 6,240
Ogden Corp............................ 300 6,525
----------
242,240
----------
Computer Software (1.4%)
BMC Software, Inc.+................... 800 44,300
CHS Electronics, Inc.+................ 1,000 26,500
Computer Learning Centers, Inc.+...... 7,500 314,999
Cybermedia, Inc.+..................... 4,500 72,000
Fiserv, Inc.+......................... 1,458 65,063
Hyperion Software Corp.+.............. 7,600 170,050
Keane, Inc.+.......................... 1,700 88,400
Microsoft Corp.+...................... 2,500 315,937
Symantec Corp.+....................... 1,800 35,100
----------
1,132,349
----------
Computers and Office Equipment (1.5%)
Compaq Computer Corp.+................ 2,300 228,275
Dell Computer Corp.+.................. 4,500 528,468
HBO & Co.............................. 600 41,325
Herman Miller, Inc.................... 1,000 36,000
Iomega Corp.+......................... 1,000 19,875
Moore Corp. Ltd....................... 6,900 135,844
Quantum Corp.+........................ 2,000 40,625
Radisys Corp.+........................ 4,100 162,975
Stratus Computer, Inc.+............... 900 45,000
Western Digital Corp.+................ 1,000 31,625
----------
1,270,012
----------
Consumer Products (0.4%)
Estee Lauder Co., Class A............. 500 25,125
Guilford Mills, Inc................... 11,850 246,628
Procter & Gamble Co................... 400 56,500
----------
328,253
----------
Diversified (0.2%)
Aeroquip-Vickers, Inc................. 2,000 94,500
ITT Industries, Inc................... 3,600 92,700
----------
187,200
----------
Education (0.1%)
ITT Educational Services, Inc.+....... 1,800 44,663
----------
Electrical and Electronics (0.4%)
Intel Corp............................ 1,000 141,813
National Semiconductor Corp.+......... 2,100 64,313
Seagate Technology, Inc.+............. 3,000 105,563
Veeco Instruments, Inc.+.............. 500 19,375
----------
331,064
----------
</TABLE>
See Notes to Portfolio of Investments. 57
<PAGE>
Aetna Generation Portfolios, Inc.
Portfolio of Investments - June 30, 1997 (Unaudited)
Crossroads (continued)
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Number of Market
Shares Value
--------- ------------
<S> <C> <C>
United States (continued)
Electrical Equipment (0.7%)
Cellstar Corp.+ .................................. 6,750 $ 206,719
Fluke Corp. ...................................... 4,300 254,775
SCI Systems, Inc.+ ............................... 400 25,500
Tektronix, Inc. .................................. 1,400 84,000
-----------
570,994
-----------
Financial Services (2.0%)
Ahmanson (H. F.) & Co. ........................... 7,200 309,599
AmeriCredit Corp.+ ............................... 7,600 159,600
Bear Stearns Co., Inc. ........................... 1,496 51,145
Edwards (A.G.), Inc. ............................. 1,000 42,750
FIRSTPLUS Financial Group, Inc.+ ................. 4,900 166,600
Lehman Brothers Holdings, Inc. ................... 800 32,400
Morgan Stanley, Dean Witter, Discover & Co. ...... 2,475 106,580
Paine Webber Group, Inc. ......................... 900 31,500
Parkway Properties, Inc. ......................... 6,700 180,063
Southern Pacific Funding Corp. ................... 14,100 234,413
SunAmerica, Inc. ................................. 900 43,875
Trans Financial, Inc. ............................ 10,500 292,688
-----------
1,651,213
-----------
Foods and Beverages (0.5%)
Dean Foods Co. ................................... 400 16,150
Einstein/Noah Bagel Corp.+ ....................... 3,800 45,363
Kroger Co. (The)+ ................................ 5,400 156,600
Suiza Foods Corp.+ ............................... 4,400 180,400
-----------
398,513
-----------
Health Services (1.8%)
Beverly Enterprises+ ............................. 5,800 94,250
Columbia/HCA Healthcare Corp. .................... 3,000 117,938
Curative Health Services, Inc.+ .................. 1,300 37,375
FPA Medical Management, Inc.+ .................... 13,400 317,412
Genentech, Inc.+ ................................. 500 29,469
Lincare Holdings, Inc.+ .......................... 1,100 47,300
Medical Resources, Inc.+ ......................... 17,200 283,800
RoTech Medical Corp.+ ............................ 8,400 168,525
Trigon Healthcare, Inc.+ ......................... 1,700 41,225
Universal Health Services, Inc.+ ................. 7,800 300,300
Wellpoint Health Networks, Inc.+ ................. 800 36,700
-----------
1,474,294
-----------
Home Furnishings and Appliances (0.7%)
Ethan Allen Interiors, Inc. ...................... 4,400 250,800
Furniture Brands International, Inc.+ ........... 2,800 54,250
O' Sullivan Industries+ .......................... 9,700 160,656
Rowe Furniture Corp. ............................. 10,500 78,750
Stanley Furniture Co., Inc.+ ..................... 800 18,500
-----------
562,956
-----------
Hotels and Restaurants (0.5%)
Foodmaker, Inc.+ ................................. 14,700 240,713
HFS, Inc.+ ....................................... 1,695 98,310
- --------------------------------------------------------------------------------
Number of Market
Shares Value
--------- ------------
Hotels and Restaurants (continued)
Red Roof Inns, Inc.+ ............................. 2,800 $ 50,400
-----------
389,423
-----------
Insurance (1.3%)
Chartwell Re Corp. ............................... 1,100 33,000
Delphi Financial Group, Inc.+ .................... 1,000 38,500
Equitable Co., Inc. .............................. 2,800 93,100
Everest Re Holdings, Inc. ........................ 700 27,738
FBL Financial Group, Inc. ........................ 8,200 309,549
Kansas City Life Insurance Co. ................... 300 23,700
Loews Corp. ...................................... 700 70,088
Orion Capital Corp. .............................. 2,400 177,000
Reliance Group Holdings, Inc. .................... 2,900 34,438
RLI Corp. ........................................ 1,800 65,588
United Wisconsin Services, Inc. .................. 7,300 245,919
-----------
1,118,620
-----------
Machinery and Equipment (1.0%)
Case Corp. ....................................... 1,400 96,425
Caterpillar, Inc. ................................ 500 53,688
Chart Industries, Inc. ........................... 2,800 76,650
Harnischfeger Industries, Inc. ................... 1,200 49,800
Terex Corp.+ ..................................... 16,300 313,774
The Manitowoc Co., Inc. .......................... 4,400 205,700
-----------
796,037
-----------
Media and Entertainment (1.3%)
Carmike Cinemas, Class A+ ........................ 6,900 225,975
Evergreen Media Corp., Class A+ .................. 6,800 303,449
Midway Games, Inc.+ .............................. 2,500 53,750
Panavision, Inc.+ ................................ 9,500 189,406
Penske Motorsports, Inc.+ ........................ 2,900 95,338
Regal Cinemas, Inc.+ ............................. 6,400 211,200
-----------
1,079,118
-----------
Medical Supplies (0.3%)
Perrigo Co.+ ..................................... 2,200 27,500
Vivus, Inc.+ ..................................... 10,400 247,650
-----------
275,150
-----------
Metals and Mining (0.9%)
Alumax, Inc.+ .................................... 100 3,794
Asarco, Inc. ..................................... 2,300 70,438
Cyprus Amax Minerals Co. ......................... 2,800 68,600
Phelps Dodge Corp. ............................... 1,600 136,300
RMI Titanium Co.+ ................................ 7,500 204,375
Timken Co. ....................................... 6,000 213,375
USX-US Steel Group, Inc. ......................... 500 17,531
-----------
714,413
-----------
Oil and Gas (1.8%)
Apache Corp. ..................................... 1,100 35,750
Clayton Williams Energy, Inc.+ ................... 10,100 114,888
Columbia Gas System, Inc. ........................ 1,600 104,400
</TABLE>
58 See Notes to Portfolio of Investments.
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Number of Market
Shares Value
--------- ------------
<S> <C> <C>
United States (continued)
Oil and Gas (continued)
Giant Industries, Inc. ........................... 4,200 $ 66,413
Helmerich & Payne, Inc. .......................... 1,800 103,725
Kerr-Mcgee Corp. ................................. 1,400 88,725
Occidental Petroleum Corp. ....................... 4,300 107,769
Oneok, Inc. ...................................... 2,400 77,250
Oryx Energy Co.+ ................................. 4,100 86,613
Phillips Petroleum Co. ........................... 2,300 100,625
Seacor Holdings+ ................................. 5,300 277,256
Tidewater, Inc. .................................. 900 39,600
Union Texas Petroleum Holdings, Inc. ............. 200 4,188
USX-Marathon Group ............................... 4,100 118,388
Vintage Petroleum, Inc. .......................... 5,800 178,350
-----------
1,503,940
-----------
Paper and Containers (0.4%)
Fort Howard Corp.+ ............................... 700 35,438
Schweitzer-Mauduit Internatinal, Inc. ............ 7,400 277,500
-----------
312,938
-----------
Pharmaceuticals (1.2%)
Dura Pharmaceuticals, Inc.+ ...................... 5,900 235,263
Medicis Pharmaceutical Corp.+ .................... 7,650 381,543
Merck & Co., Inc. ................................ 1,700 175,950
Pharmacia & Upjohn, Inc. ......................... 1,700 59,075
Schering Plough .................................. 2,600 124,475
-----------
976,306
-----------
Printing and Publishing (0.8%)
Central Newspapers, Inc., Class A ................ 600 42,975
Gannett Co., Inc. ................................ 1,400 138,250
McClatchy Newspapers, Inc. ....................... 5,500 161,563
Valassis Communications, Inc.+ ................... 11,800 283,200
Washington Post Co. .............................. 100 39,800
-----------
665,788
-----------
Real Estate Investment Trusts (11.0%)
Alexandria Real Estate Equities, Inc.+ ........... 1,400 30,713
Apartment Investment & Management Co. ............ 13,500 381,374
Arden Realty Group, Inc. ......................... 1,400 36,400
Bay Apartment Communities, Inc. .................. 1,600 59,200
Brandywine Realty Trust .......................... 6,000 121,500
CALI Realty Corp. ................................ 13,000 441,999
Capstone Capital Trust, Inc. ..................... 11,700 286,650
Chateau Communities, Inc. ........................ 7,500 214,688
Colonial Properties Trust ........................ 5,500 161,563
Cornerstone Properties, Inc. ..................... 18,600 285,975
Crescent Real Estate Equities, Inc. .............. 5,200 165,100
Criimi Mae, Inc. ................................. 8,700 139,200
Developers Diversified Realty Corp. .............. 1,700 68,000
Duke Realty Investments, Inc. .................... 6,400 259,200
Equity Inns, Inc. ................................ 24,100 322,337
Equity Residential Properties Trust .............. 7,700 365,749
- --------------------------------------------------------------------------------
Number of Market
Shares Value
--------- ------------
Real Estate Investment Trusts (continued)
Essex Property Trust, Inc. ....................... 7,300 $ 234,513
Evans Withycombe Residential, Inc. ............... 3,400 70,550
Fairfield Communities, Inc.+ ..................... 8,000 269,000
General Growth Properties ........................ 10,200 341,699
Glenborough Realty Trust, Inc. ................... 17,300 436,824
Health Care REIT, Inc. ........................... 11,800 286,888
Innkeepers USA Trust ............................. 19,600 294,000
JDN Realty Corp. ................................. 7,500 234,375
Kimco Realty Corp. ............................... 13,800 438,149
Lexington Corporate Props., Inc. ................. 1,200 16,800
Liberty Property Trust ........................... 4,500 111,938
Manufactured Home Communities, Inc. .............. 7,900 182,194
Meridian Industrial Trust, Inc, .................. 5,500 129,250
Merry Land & Investment Co., Inc. ................ 6,500 140,969
Mid-America Apartment Communities, Inc............ 7,300 204,856
Mills Corp. ...................................... 2,900 80,294
National Golf Properties, Inc. ................... 5,700 198,075
Oasis Residential, Inc. .......................... 2,800 65,800
Prime Retail, Inc. ............................... 8,000 107,500
Public Storage, Inc. ............................. 8,300 242,775
Ramco-Gerhenson Properties ....................... 4,900 86,363
Reckson Associates Realty Corp. .................. 4,800 110,400
Regency Realty Corp. ............................. 10,100 275,225
Smith (Charles E.) Residential Realty Co.......... 2,100 60,638
Sovran Self Storage, Inc. ........................ 14,100 412,424
Sunstone Hotel Investors, Inc. ................... 10,200 147,900
Tanger Factory Outlet Centers, Inc. .............. 10,700 287,563
Walden Residential Properties, Inc. .............. 11,300 289,563
-----------
9,096,173
-----------
Retail (3.2%)
Ames Department Stores, Inc.+ .................... 26,700 258,656
Burlington Coat Factory Warehouse+ ............... 14,000 273,000
Cash America International, Inc. ................. 16,900 177,450
Costco Companies, Inc.+ .......................... 2,200 72,325
CVS Corp. ........................................ 1,500 76,875
Damark International, Inc.+ ...................... 5,000 77,500
Funco, Inc.+ ..................................... 15,900 294,150
Goody's Family Clothing, Inc.+ ................... 900 24,638
Kroger Equity, Inc. .............................. 16,500 301,125
Paul Harris Stores, Inc.+ ........................ 6,600 110,550
Payless ShoeSource, Inc.+ ........................ 900 49,219
Ross Stores, Inc. ................................ 10,800 353,024
TJX Companies, Inc. .............................. 10,200 269,025
Urban Shopping Centers, Inc. ..................... 8,000 255,000
Woolworth Corp.+ ................................. 1,300 31,200
-----------
2,623,737
-----------
Telecommunications (0.5%)
CommNet Cellular, Inc.+ .......................... 6,100 211,975
MasTec, Inc.+ .................................... 3,800 179,788
-----------
391,763
-----------
</TABLE>
59
<PAGE>
Aetna Generation Portfolios, Inc.
Portfolio of Investments - June 30, 1997 (Unaudited)
Crossroads (continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Number of Market
Shares Value
--------- ------------
<S> <C> <C>
United States (continued)
Transportation (0.9%)
CNF Transportation, Inc. ......................... 1,100 $ 35,475
Comair Holdings, Inc. ............................ 650 17,997
Continental Airlines, Inc., Class B+ ............. 900 31,444
Hvide Marine, Inc., Class A+ ..................... 3,400 75,225
Midwest Express Holdings, Inc.+ .................. 1,350 36,956
Trico Marine Services, Inc.+ ..................... 7,600 165,775
UAL Corp.+ ....................................... 500 35,781
Yellow Corp.+ .................................... 14,900 333,387
-----------
732,040
-----------
Utilities - Electric (0.4%)
Entergy Corp. .................................... 4,500 123,188
GPU, Inc. ........................................ 2,600 93,275
Montana Power Co. ................................ 200 4,638
PP&L Resources, Inc. ............................. 500 9,969
TNP Enterprises, Inc. ............................ 5,500 127,531
-----------
358,601
-----------
Utilities - Oil and Gas (0.2%)
Energen Corp. .................................... 5,500 185,281
-----------
Utilities - Telephone (0.3%)
Premiere Technologies, Inc.+ ..................... 7,300 189,800
U. S. West Communications Group .................. 2,500 94,219
-----------
284,019
-----------
Total United States 32,893,377
-----------
Foreign Common Stocks (14.8%)
Australia (0.4%)
Goodman Fielder Ltd. (Foods and Beverages) ....... 30,559 44,642
Reinsurance Australia Corp. Ltd (Insurance) ...... 30,000 90,122
Santos Ltd. (Oil and Gas) ........................ 24,300 101,397
Woolworth Ltd. (Foods and Beverages) ............. 32,400 105,584
-----------
Total Australia 341,745
-----------
Austria (0.2%)
Oesterreichische
Elektrizitaetswirtschafts-AG
(Utilities - Electric)........................... 1,000 70,447
VA Technologie AG (Commercial Services) .......... 550 100,672
-----------
Total Austria 171,119
-----------
Belgium (0.6%)
CMB, NPV (Transportation) ........................ 1,800 121,168
G.I.B. Holdings Ltd. (Retail) .................... 2,800 133,964
Reunies Electrobel & Tractebel
(Utilities - Electric) ......................... 200 83,449
Societe Generale De Belgique
(Financial Services) ........................... 1,400 130,848
-----------
Total Belgium 469,429
-----------
- --------------------------------------------------------------------------------
Number of Market
Shares Value
--------- ------------
Brazil (0.2%)
Telecomunicacoes Brasileiras SA
(Utilities - Telephone) ........................ 900 $ 136,575
-----------
Canada (0.5%)
Anderson Exploration Ltd. (Oil and Gas) + ........ 11,000 141,929
Canadian National Railway (Transportation) ....... 3,000 131,250
Petro-Canada (Oil and Gas) ....................... 8,800 142,886
-----------
Total Canada 416,065
-----------
Chile (0.2%)
Cia de Telecomuncaciones de Chile
(Utilities - Telephone) ........................ 3,500 115,500
Embotelladora Andina ADR, Class A
(Foods and Beverages) .......................... 2,000 42,875
Embotelladora Andina ADR, Class B
(Foods and Beverages) .......................... 2,000 41,750
-----------
Total Chile 200,125
-----------
Denmark (0.4%)
Bang & Olufsen Holding Co.
(Electrical and Electronics) + ................. 1,700 105,117
Novo-Nordisk AS (Pharmaceuticals) ................ 1,200 131,027
Tele Danmark AS (Utilities - Telephone) .......... 2,600 135,280
-----------
Total Denmark 371,424
-----------
Finland (0.7%)
Enso Oy Registered Shares
(Paper and Containers) ......................... 11,900 109,968
Finnlines Oy (Transportation) .................... 5,000 153,054
Huhtamaki Group (Diversified) .................... 1,700 73,148
Rautaruukki Oy (Metals and Mining) ............... 14,500 152,139
UPM-Kymmene Corp. (Paper and Containers) ......... 3,500 80,859
-----------
Total Finland 569,168
-----------
France (0.6%)
Accor SA (Hotels and Restaurants) ................ 900 134,902
Alcatel Alsthom (Telecommunications) ............. 900 112,827
Credit Local de France (Financial Services) ...... 300 29,229
Elf Aquitaine SA (Oil and Gas) ................... 550 59,394
Schneider SA (Machinery and Equipment) + ......... 1,900 101,231
Union des Assurances Federales (Insurance) ....... 450 52,964
-----------
Total France 490,547
-----------
Germany (1.0%)
Adidas AG (Retail) ............................... 940 105,192
Deutsche Pfandbrief & Hypothekenbank AG
(Banks) ........................................ 1,600 92,050
Fried Krupp AG (Machinery and Equipment) ......... 250 49,210
Gehe AG (Health Services) ........................ 1,000 68,865
Henkel KGAA (Chemicals) .......................... 1,800 101,438
Mannesmann AG (Machinery and Equipment) .......... 200 89,410
Merck KGAA (Pharmaceuticals) ..................... 2,500 109,037
Metro AG (Retail) + .............................. 900 98,133
</TABLE>
60 See Notes to Portfolio of Investments.
<PAGE>
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Number of Market
Shares Value
--------- ------------
<S> <C> <C>
Germany (continued)
Viag AG (Diversified) + .......................... 100 $ 45,709
Volkswagen AG (Autos and Auto Equipment) ......... 50 37,933
-----------
Total Germany 796,977
-----------
Hong Kong (0.1%)
Lai Sun Development Co., Ltd.
(Real Estate Investment Trusts) ................ 105,000 117,912
-----------
Indonesia (0.6%)
Bank International Indonesia (Banks) ............. 169,000 145,959
PT Semen Gresik
(Building Materials and Construction) +......... 70,000 156,899
Putra Surya Multidana (Financial Services) + ..... 96,500 153,789
-----------
Total Indonesia 456,647
-----------
Ireland (0.4%)
Irish Life Plc (Insurance) ....................... 24,838 127,401
Waterford Wedgewood
(Home Furnishings and Appliances) .............. 123,983 161,791
-----------
Total Ireland 289,192
-----------
Italy (0.6%)
Credito Italiano (Banks) ......................... 50,000 91,390
Instituto Bancario San Paolo di Torino (Banks) ... 15,700 114,324
Pirelli & Co. (Financial Services) ............... 105,900 165,556
Stet Societa' Finanziaria Telefonica S.p.A
(Telecommunications) ........................... 21,800 126,841
-----------
Total Italy 498,111
-----------
Japan (2.3%)
Bank of Tokyo-Mitsubishi (Banks) ................. 5,000 100,498
Capcom Company
(Computers and Office Equipment) ............... 5,000 119,287
Dai Nippon Ink & Chemicals, Inc (Chemicals) ...... 32,000 138,146
Daiichi Pharmaceutical (Pharmaceuticals) ......... 9,000 158,874
DDI Corp. (Utilities - Telephone) ................ 17 125,684
Fuji Photo Film (Chemicals) ...................... 2,000 80,573
Fujitec Co. Ltd.
(Building Materials and Construction) .......... 10,000 118,850
Fujitsu Denso (Diversified) ...................... 1,000 30,761
Ito-Yokado Co. Ltd. (Retail) ..................... 1,000 58,114
Kyocera Corp. (Electrical and Electronics)
Mitsubishi Heavy Industries Ltd. ................. 1,000 79,525
(Aerospace and Defense) .......................... 14,000 107,542
NAMCO (Media and Entertainment) .................. 3,000 115,879
NTT Data Communications Systems Co.
(Computer Software) ............................ 20 77,427
Sony Corp. (Electrical and Electronics)........... 1,400 122,223
Takara Standard
(Building Materials and Construction)........... 10,000 87,390
Takefuji Corp. (Banks) ........................... 3,000 164,118
Tokyo Ohka Kogyo (Electrical and Electronics)..... 3,000 90,710
West Japan Railway (Transportation) .............. 21 82,400
-----------
Total Japan 1,858,001
-----------
- --------------------------------------------------------------------------------
Number of Market
Shares Value
--------- ------------
Malaysia (0.4%)
Leader Universal Holdings Bhd (Diversified) + .... 44,200 $ 79,504
MBF Capital Bhd (Financial Services) + ........... 130,000 238,985
-----------
Total Malaysia 318,489
-----------
Mexico (0.4%)
ALFA, SA de C.V. (Diversified) ................... 20,877 142,250
Panamerican Beverages, Inc.
(Foods and Beverages) .......................... 5,400 177,525
-----------
Total Mexico 319,775
-----------
Netherlands (0.7%)
DSM NV (Chemicals) ............................... 1,031 102,767
Fortis Amev NV (Financial Services) .............. 1,217 54,287
Getronics NV
(Computers and Office Equipment) ............... 1,508 48,796
ING Groep NV (Banks) ............................. 2,653 122,541
Philips Electronics NV
(Electrical and Electronics) ................... 2,200 157,871
VNU-Verenigde Nederlandse
Uitgeversbedrijven Verenigd Bezit
(Printing and Publishing) ...................... 5,100 112,968
-----------
Total Netherlands 599,230
-----------
Norway (0.6%)
Kvaerner ASA (Transportation) .................... 2,800 169,626
Merkantildata ASA (Computer Software) ............ 3,000 59,420
Saga Petroleum ASA, Class A (Oil and Gas) ........ 2,700 51,265
SAS Norge ASA B (Transportation) ................. 19,000 199,842
-----------
Total Norway 480,153
-----------
Philippines (0.1%)
Philippine Long Distance Telephone Spn ADR
(Telecommunications) ........................... 1,000 64,250
-----------
Singapore (0.4%)
Clipsal Industries Ltd. (Electrical Equipment) ... 8,000 28,320
Development Bank of Singapore Ltd. (Banks) ....... 8,000 100,710
Jardine Matheson Holdings (Diversified) .......... 18,400 130,640
NatSteel Ltd. (Metals and Mining) ................ 30,000 76,372
-----------
Total Singapore 336,042
-----------
Spain (0.2%)
Cortefiel SA (Retail) ............................ 2,000 87,441
Hidroelectrica del Cantabrico, SA
(Utilities - Electric) ......................... 2,000 81,322
-----------
Total Spain 168,763
-----------
Sweden (0.8%)
Autoliv, Inc. (Autos and Auto Equipment) ......... 2,000 76,949
Enator AB (Commercial Services) + ................ 4,840 86,380
Frontec AB (Computer Software) + ................. 6,800 57,162
Hemkopskedjan AB (Foods and Beverages) + ......... 15,000 154,222
</TABLE>
61
<PAGE>
Aetna Generation Portfolios, Inc.
Portfolio of Investments - June 30, 1997 (Unaudited)
Crossroads (continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Number of Market
Shares Value
--------- ------------
<S> <C> <C>
Sweden (continued)
IFS International, Inc., 144A
(Computer Software) + ............................ 20,000 $ 96,995
Skandia Forsakrings AB (Insurance) ............... 4,700 173,233
SKF AB B Shs (Metals and Mining) ................. 1,600 41,384
-----------
Total Sweden 686,325
-----------
Switzerland (0.5%)
Georg Fischer AG (Machinery and Equipment) ....... 50 69,623
Novartis AG Registered Shs (Health Services) ..... 110 176,109
Roche Holding AG (Pharmaceuticals) ............... 10 90,579
SMH AG (Health Services) ......................... 400 54,258
-----------
Total Switzerland 390,569
-----------
United Kingdom (1.8%)
BAA Plc (Transportation) ......................... 18,100 166,735
Barclays Plc (Financial Services) ................ 5,000 99,192
Cadbury Schweppes Plc
(Foods and Beverages) ........................... 6,000 53,474
Glaxo Wellcome Plc (Pharmaceuticals) ............. 7,700 158,907
Granada Group Plc (Diversified) .................. 10,712 140,841
Hammerson Plc (Real Estate Investment Trusts) .... 9,700 75,472
Ladbroke Group Plc (Media and Entertainment) ..... 15,608 61,045
Legal & General Group Plc (Financial Services) ... 13,200 89,083
Morgan Crucible Plc (Diversified) ................ 13,200 98,310
National Power Plc (Utilities - Electric) ........ 1,600 56,300
Pearson Plc (Printing and Publishing) ............ 3,000 34,726
Safeway Plc (Retail) ............................. 12,900 74,606
Shell Transport & Trading Co. (Oil and Gas) ...... 16,200 165,612
Tarmac Plc
(Building Materials and Construction) ........... 36,300 75,518
Vodafone Group Plc (Telecommunications) .......... 26,000 126,570
-----------
Total United Kingdom 1,476,391
-----------
Venezuela (0.1%)
Compania Anonima Nacional Telefonos
de Venezuela (Utilities - Telephone) ............ 2,800 120,750
-----------
Total Foreign Common Stocks 12,143,774
-----------
Total Common Stocks (cost $39,018,948) 45,037,151
-----------
- --------------------------------------------------------------------------------
Principal Market
Amount Value
------------ -----------
LONG-TERM BONDS AND NOTES (26.6%)
U.S. Government Obligations (21.5%)
U.S. Treasury Note, 5.88%, 02/15/00 .............. $ 1,800,000 $ 1,786,501
U.S. Treasury Note, 6.50%, 10/15/06 .............. 7,100,000 7,071,146
U.S. Treasury Note, 7.50%, 10/31/99 .............. 5,200,000 5,349,504
U.S. Treasury Note, 7.50%, 11/15/01 .............. 3,425,000 3,570,565
-----------
Total U.S. Government Obligations (cost $17,711,643) 17,777,716
-----------
Corporate Bonds (5.1%)
Echostar Communications, Zero Coupon,
06/01/04 ........................................ 425,000 356,999
Fifth Third Bank, 6.75%, 07/15/05 ................ 250,000 245,696
Ford Motor Credit Corp., 6.63%, 06/30/03 ......... 900,000 889,685
Tenet Healthcare Corp., 7.88%, 01/15/03 .......... 750,000 751,874
Time Warner, Inc., 9.13%, 01/15/13 ............... 625,000 694,652
United Mexican States Government,7.88%,
08/06/01++ ...................................... 625,000 625,999
Zurich Capital Trust, 8.38%, 06/01/37 ........... 625,000 647,790
-----------
Total Corporate Bonds (cost $4,201,023) 4,212,695
-----------
Total Long-Term Bonds and Notes (cost $21,912,666) 21,990,411
-----------
SHORT-TERM INVESTMENTS (17.5%)
Ciesco, L.P., Comm. Paper, 5.63 07/08/97++ ....... 3,000,000 2,996,719
Cooperative Assoc. of Tractor Dealers, Inc.,
Comm. Paper, 5.65%, 07/14/97 ..................... 2,500,000 2,494,899
Federal Home Loan Mortgage, Comm
Paper, 5.38%, 07/03/97 ........................... 2,100,000 2,099,372
Federal National Mortgage Assoc., Comm
Paper, 5.45%, 07/22/97 ........................... 2,000,000 1,993,642
Federal National Mortgage Association,
Mortgage-Backed Securities, 5.60%, 07/01/97 ...... 4,315,000 4,315,000
U.S. Treasury Bill, Time Deposit, 4.82%,
08/21/97@ ........................................ 150,000 148,976
U.S. Treasury Bill, Time Deposit, 5.08%,
08/21/97@ ........................................ 430,000 426,844
-----------
Total Short-Term Investments (cost $14,475,513) 14,475,452
-----------
TOTAL INVESTMENTS (cost $75,407,127)(a) 81,503,014
Other assets less liabilities 1,206,196
-----------
Total Net Assets $82,709,210
===========
</TABLE>
62 See Notes to Portfolio of Investments.
<PAGE>
- -------------------------------------------------------------------------------
Notes to Portfolio of Investments
Category percentages are based on net assets.
(a) The cost of investments for federal income tax purposes amount to
$75,469,469. Unrealized gains and losses, based on identified tax cost at June
30, 1997, are as follows:
<TABLE>
<CAPTION>
<S> <C>
Unrealized gains ..................... $6,595,914
Unrealized losses .................... (562,369)
----------
Net unrealized gain ................ $6,033,545
==========
</TABLE>
+ Non-income producing security.
++ Restricted security.
@ Security pledged to cover initial margin requirements on open futures
contracts at June 30, 1997.
Category percentages are based on net assets.
Information concerning open futures contracts at June 30, 1997 is shown below:
<TABLE>
<CAPTION>
No. of Initial Expiration Unrealized
Contracts Value Date Gain/(Loss)
--------- ---------- ---------- -----------
<S> <C> <C> <C> <C>
Long Contracts
- -------------------
Hang Seng Stock
Index Future ........ 2 $196,643 July 97 $323
Long-Term German
Government Bond
Future .............. 14 2,032,226 Sept 97 23,801
TSE-35 Index Future . 2 253,364 Sept 97 (5,538)
Topix Index Future .. 4 524,031 Sept 97 9,438
Swiss Government
Bond Future ......... 4 333,462 Sept 97 370
DAX-30 German Stock
Index Future ........ 2 432,045 Sept 97 7,030
CAC-40 Stock Index
Future .............. 7 660,733 Sept 97 33,265
French Notional Bond
Future .............. 7 765,930 Sept 97 9,113
FT-SE 100 Index
Future .............. 1 190,923 Sept 97 (2,143)
Long Gilt Bond Future 6 555,251 Sept 97 4,069
Milan MIB 30 Stock
Index Future ........ 1 113,879 Sept 97 5,836
Short Contracts
- -------------------
Russell 2000 Index
Future .............. 10 (1,964,225) Sept 97 (30,274)
S & P 500 Index
Future .............. 5 (2,245,750) Sept 97 20,125
----------- ----------
$1,848,512 $75,415
=========== ==========
</TABLE>
See Notes to Financial Statements. 63
<PAGE>
Aetna Generation Portfolios, Inc.
Portfolio of Investments - June 30, 1997 (Unaudited)
Legacy
- ------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Number of Market
Shares Value
--------- -----------
<S> <C> <C>
COMMON STOCKS (39.9%)
United States (28.6%)
Aerospace and Defense (0.1%)
General Dynamics Corp................. 400 $ 30,000
Newport News Shipbuilding, Inc........ 600 11,663
Thiokol Corp.......................... 200 14,000
----------
55,663
----------
Autos and Auto Equipment (0.4%)
Excel Industries, Inc................. 4,900 95,550
Kaydon Corp........................... 200 9,925
Westinghouse Air Brake Co............. 6,400 128,000
----------
233,475
----------
Banks (1.4%)
Andover Bancorp, Inc.................. 2,900 88,088
BankAmerica Corp...................... 1,400 90,388
Compass Bancshares, Inc............... 200 6,725
First Chicago Corp.................... 800 48,400
First Republic Bancorp, Inc.+......... 2,700 62,775
First Union Corp...................... 100 9,250
Glendale Federal Bank FSB+............ 500 13,063
New York Bancorp, Inc................. 2,200 76,450
North Fork Bancorp, Inc............... 600 12,825
ONBANCorp, Inc........................ 500 25,500
Silicon Valley Bancshares+............ 1,600 72,400
State Street Corp..................... 400 18,500
UnionBancal Corp...................... 200 14,375
USBANCORP, Inc........................ 1,700 92,650
UST Corp.............................. 3,800 85,025
Washington Mutual, Inc................ 200 11,950
----------
728,364
----------
Building Materials and Construction (0.7%)
Armstrong World Industries, Inc....... 800 58,700
Arvin Industries, Inc................. 400 10,900
Centex Corp........................... 900 36,563
Lone Star Industries, Inc............. 2,000 90,625
Masco Corp............................ 900 37,575
National Steel Corp., Class B+........ 500 8,406
Southdown, Inc........................ 300 13,088
Tredegar Industries, Inc.............. 1,600 88,800
USG Corp.+............................ 300 10,950
----------
355,607
----------
Chemicals (0.4%)
Fuller (H.B.) Co...................... 200 11,000
Lyondell Petrochemical Co............. 100 2,181
Rexene Corp........................... 4,900 76,256
Sybron Chemicals, Inc.+............... 5,600 109,200
----------
198,637
----------
Commercial Services (0.1%)
Aviall, Inc.+......................... 2,000 28,000
Ogden Corp............................ 100 2,175
----------
30,175
----------
- ------------------------------------------------------------------------------
Number of Market
Shares Value
--------- -----------
Computer Software (1.1%)
BMC Software, Inc.+................... 300 $ 16,613
CHS Electronics, Inc.+................ 500 13,250
Computer Learning Centers, Inc.+...... 3,600 151,200
Cybermedia, Inc.+..................... 2,800 44,800
Fiserv, Inc.+......................... 673 30,033
Hyperion Software Corp.+.............. 2,700 60,413
Keane, Inc.+.......................... 1,900 98,800
McAfee Associates, Inc.+.............. 200 12,625
Microsoft Corp.+...................... 1,100 139,013
Symantec Corp.+....................... 500 9,750
----------
576,497
----------
Computers and Office Equipment (1.0%)
Compaq Computer Corp.+................ 1,200 119,100
Dell Computer Corp.+.................. 1,900 223,130
HBO & Co.............................. 200 13,775
Herman Miller, Inc.................... 400 14,400
Iomega Corp.+......................... 400 7,950
Moore Corp. Ltd....................... 3,700 72,844
Quantum Corp.+........................ 800 16,250
Stratus Computer, Inc.+............... 300 15,000
Western Digital Corp.+................ 400 12,650
----------
495,099
----------
Consumer Products (0.3%)
American Safety Razor Co.+............ 700 12,688
Estee Lauder Co., Class A............. 200 10,050
Guilford Mills, Inc................... 5,700 118,631
Procter & Gamble Co................... 200 28,250
----------
169,619
----------
Diversified (0.1%)
Aeroquip-Vickers, Inc................. 1,100 51,975
ITT Industries, Inc................... 200 5,150
----------
57,125
----------
Electrical and Electronics (0.3%)
Intel Corp............................ 500 70,906
National Semiconductor Corp.+......... 1,000 30,625
Seagate Technology, Inc.+............. 1,600 56,300
Veeco Instruments, Inc.+.............. 300 11,625
----------
169,456
----------
Electrical Equipment (0.7%)
Cellstar Corp.+....................... 5,800 177,624
Fluke Corp............................ 2,200 130,350
SCI Systems, Inc.+.................... 200 12,750
Tektronix, Inc........................ 700 42,000
----------
362,724
----------
Financial Services (1.6%)
Ahmanson (H. F.) & Co................. 2,800 120,400
AmeriCredit Corp.+.................... 3,700 77,700
Bear Stearns Co., Inc................. 429 14,666
Consumer Portfolio Services, Inc.+.... 4,400 53,350
</TABLE>
64 See Notes to Portfolio of Investments.
<PAGE>
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Number of Market
Shares Value
--------- ------------
<S> <C> <C>
United States (continued)
Financial Services (continued)
FIRSTPLUS Financial Group, Inc.+ ................. 4,400 $ 149,600
Lehman Brothers Holdings, Inc. ................... 300 12,150
Morgan Stanley, Dean Witter, Discover & Co. ...... 500 21,531
Paine Webber Group, Inc. ......................... 300 10,500
Parkway Properties, Inc. ......................... 3,400 91,375
Southern Pacific Funding Corp. ................... 7,900 131,338
Trans Financial, Inc. ............................ 5,100 142,163
-----------
824,773
-----------
Foods and Beverages (0.5%)
Dean Foods Co. ................................... 200 8,075
Einstein/Noah Bagel Corp.+ ....................... 6,300 75,206
Kroger Co. (The)+ ................................ 2,600 75,400
Suiza Foods Corp.+ ............................... 2,700 110,700
-----------
269,381
-----------
Health Services (1.2%)
Beverly Enterprises+ ............................. 2,500 40,625
Columbia/HCA Healthcare Corp. .................... 1,500 58,969
Curative Health Services, Inc.+ .................. 1,600 46,000
FPA Medical Management, Inc.+ .................... 6,700 158,705
Genentech, Inc.+ ................................. 200 11,788
Lincare Holdings, Inc.+ .......................... 300 12,900
Medical Resources, Inc.+ ......................... 4,300 70,950
RoTech Medical Corp.+ ............................ 3,800 76,238
Trigon Healthcare, Inc.+ ......................... 900 21,825
Universal Health Services, Inc.+ ................. 3,300 127,050
Wellpoint Health Networks, Inc.+ ................. 300 13,763
-----------
638,813
-----------
Home Furnishings and Appliances (0.6%)
Ethan Allen Interiors, Inc. ...................... 2,400 136,800
Furniture Brands International, Inc.+ ........... 4,100 79,438
O' Sullivan Industries+ .......................... 4,600 76,188
Rowe Furniture Corp. ............................. 4,300 32,250
-----------
324,676
-----------
Hotels and Restaurants (0.3%)
Foodmaker, Inc.+ ................................. 6,700 109,713
HFS, Inc.+ ....................................... 700 40,600
Red Roof Inns, Inc.+ ............................. 1,200 21,600
-----------
171,913
-----------
Insurance (0.8%)
Delphi Financial Group, Inc.+ .................... 700 26,950
Equitable Co., Inc. .............................. 1,100 36,575
Everest Re Holdings, Inc. ........................ 300 11,888
FBL Financial Group, Inc. ........................ 400 15,100
Kansas City Life Insurance Co. ................... 300 23,700
Loews Corp. ...................................... 300 30,038
Orion Capital Corp. .............................. 1,000 73,750
Reliance Group Holdings, Inc. .................... 1,100 13,063
- -------------------------------------------------------------------------------
Number of Market
Shares Value
--------- ------------
Insurance (continued)
RLI Corp. ........................................ 1,300 $ 47,369
United Wisconsin Services, Inc. .................. 3,700 124,644
-----------
403,077
-----------
Machinery and Equipment (0.7%)
Caterpillar, Inc. ................................ 300 32,213
Harnischfeger Industries, Inc. ................... 600 24,900
Parker-Hannifin Corp. ............................ 900 54,619
Terex Corp.+ ..................................... 7,200 138,600
The Manitowoc Co., Inc. .......................... 1,900 88,825
-----------
339,157
-----------
Media and Entertainment (0.9%)
Carmike Cinemas, Class A+ ........................ 3,200 104,800
Evergreen Media Corp., Class A+ .................. 3,400 151,725
Midway Games, Inc.+ .............................. 1,200 25,800
Panavision, Inc.+ ................................ 3,600 71,775
Penske Motorsports, Inc.+ ........................ 1,000 32,875
Regal Cinemas, Inc.+ ............................. 2,550 84,150
-----------
471,125
-----------
Medical Supplies (0.3%)
Perrigo Co.+ ..................................... 900 11,250
Vivus, Inc.+ ..................................... 5,000 119,063
-----------
130,313
-----------
Metals and Mining (0.7%)
Alumax, Inc.+ .................................... 100 3,794
Asarco, Inc. ..................................... 1,100 33,688
Cyprus Amax Minerals Co. ......................... 1,300 31,850
Phelps Dodge Corp. ............................... 800 68,150
RMI Titanium Co.+ ................................ 3,600 98,100
Timken Co. ....................................... 3,200 113,800
USX-US Steel Group, Inc. ......................... 300 10,519
-----------
359,901
-----------
Oil and Gas (1.4%)
Apache Corp. ..................................... 400 13,000
Belco Oil & Gas Corp.+ ........................... 2,300 49,306
Clayton Williams Energy, Inc.+ ................... 4,800 54,600
Columbia Gas System, Inc. ........................ 800 52,200
Giant Industries, Inc. ........................... 2,100 33,206
Helmerich & Payne, Inc. .......................... 800 46,100
Kerr-Mcgee Corp. ................................. 800 50,700
Occidental Petroleum Corp. ....................... 1,900 47,619
Oryx Energy Co.+ ................................. 1,900 40,138
Phillips Petroleum Co. ........................... 1,300 56,875
Seacor Holdings+ ................................. 2,600 136,013
Tidewater, Inc. .................................. 400 17,600
Union Texas Petroleum Holdings, Inc. ............. 100 2,094
USX-Marathon Group ............................... 1,600 46,200
Vintage Petroleum, Inc. .......................... 2,000 61,500
-----------
707,151
-----------
</TABLE>
65
<PAGE>
Aetna Generation Portfolios, Inc.
Portfolio of Investments - June 30, 1997 (Unaudited)
Legacy (continued)
- ------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Number of Market
Shares Value
--------- ----------
<S> <C> <C>
United States (continued)
Paper and Containers (0.3%)
Fort Howard Corp.+.................... 300 $ 15,188
Schweitzer-Mauduit Internatinal, Inc.. 3,500 131,250
----------
146,438
----------
Pharmaceuticals (0.9%)
Dura Pharmaceuticals, Inc.+........... 2,800 111,650
Medicis Pharmaceutical Corp.+......... 3,650 182,043
Merck & Co., Inc...................... 500 51,750
Pharmacia & Upjohn, Inc............... 1,000 34,750
Schering Plough....................... 1,400 67,025
----------
447,218
----------
Printing and Publishing (0.6%)
Big Flower Press Holdings, Inc.+...... 2,000 41,500
Central Newspapers, Inc., Class A..... 200 14,325
Gannett Co., Inc...................... 500 49,375
McClatchy Newspapers, Inc............. 2,575 75,641
Valassis Communications, Inc.+........ 5,600 134,400
----------
315,241
----------
Real Estate Investment Trusts (7.1%)
Alexandria Real Estate Equities, Inc.+ 600 13,163
Apartment Investment & Management Co.. 5,000 141,250
Arden Realty Group, Inc............... 800 20,800
Bay Apartment Communities, Inc........ 600 22,200
Brandywine Realty Trust............... 2,500 50,625
CALI Realty Corp...................... 5,600 190,399
Capstone Capital Trust, Inc........... 4,600 112,700
Chateau Communities, Inc.............. 1,800 51,525
Colonial Properties Trust............. 3,200 94,000
Cornerstone Properties, Inc........... 8,300 127,613
Criimi Mae, Inc....................... 2,600 41,600
Developers Diversified Realty Corp.... 1,000 40,000
Duke Realty Investments, Inc.......... 3,300 133,650
Equity Inns, Inc...................... 7,900 105,663
Equity Residential Properties Trust... 2,300 109,250
Essex Property Trust, Inc............. 4,800 154,199
Evans Withycombe Residential, Inc..... 1,500 31,125
Fairfield Communities, Inc.+.......... 3,800 127,775
General Growth Properties............. 4,600 154,099
Glenborough Realty Trust, Inc......... 7,600 191,899
Health Care REIT, Inc................. 5,000 121,563
Innkeepers USA Trust.................. 9,400 141,000
JDN Realty Corp....................... 4,400 137,500
Kimco Realty Corp..................... 5,300 168,274
Lexington Corporate Props., Inc....... 500 7,000
Liberty Property Trust................ 1,400 34,825
Manufactured Home Communities, Inc.... 1,200 27,675
Meridian Industrial Trust, Inc,....... 2,200 51,700
Merry Land & Investment Co., Inc...... 3,800 82,413
- ------------------------------------------------------------------------------
Number of Market
Shares Value
--------- ----------
Real Estate Investment Trusts (continued)
Oasis Residential, Inc................ 1,600 $ 37,600
Prime Retail, Inc..................... 4,300 57,781
Public Storage, Inc................... 2,300 67,275
Ramco-Gerhenson Properties............ 1,300 22,913
Reckson Associates Realty Corp........ 2,000 46,000
Regency Realty Corp................... 6,700 182,574
Saul Centers, Inc..................... 4,000 69,000
Sovran Self Storage, Inc.............. 6,300 184,274
Sunstone Hotel Investors, Inc......... 3,300 47,850
Tanger Factory Outlet Centers, Inc.... 5,100 137,063
Walden Residential Properties, Inc.... 5,400 138,375
----------
3,676,190
----------
Retail (2.3%)
Ames Department Stores, Inc.+......... 12,900 124,969
Burlington Coat Factory Warehouse+.... 7,400 144,300
Cash America International, Inc....... 6,000 63,000
Costco Companies, Inc.+............... 1,000 32,875
CVS Corp.............................. 700 35,875
Damark International, Inc.+........... 2,200 34,100
Funco, Inc.+.......................... 8,300 153,550
Goody's Family Clothing, Inc.+........ 400 10,950
Kroger Equity, Inc.................... 7,500 136,875
Paul Harris Stores, Inc.+............. 500 8,375
Payless ShoeSource, Inc.+............. 400 21,875
Ross Stores, Inc...................... 3,300 107,869
TJX Companies, Inc.................... 4,800 126,600
Trans World Entertainment+............ 800 13,800
Urban Shopping Centers, Inc........... 3,800 121,125
Woolworth Corp.+...................... 1,600 38,400
----------
1,174,538
----------
Telecommunications (0.3%)
CommNet Cellular, Inc.+............... 3,300 114,675
MasTec, Inc.+......................... 1,200 56,775
----------
171,450
----------
Transportation (0.6%)
CNF Transportation, Inc............... 400 12,900
Continental Airlines, Inc., Class B+.. 400 13,975
Hvide Marine, Inc., Class A+.......... 1,700 37,613
Trico Marine Services, Inc.+.......... 3,000 65,438
UAL Corp.+............................ 200 14,313
Yellow Corp.+......................... 7,500 167,812
----------
312,051
----------
Utilities - Electric (0.4%)
Entergy Corp.......................... 2,200 60,225
GPU, Inc.............................. 1,300 46,638
Montana Power Co...................... 200 4,638
Nevada Power Co....................... 300 6,375
</TABLE>
66 See Notes to Portfolio Investments.
<PAGE>
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Number of Market
Shares Value
--------- ------------
<S> <C> <C>
United States (continued)
Utilities - Electric (continued)
PP&L Resources, Inc. ............................. 300 $ 5,981
TNP Enterprises, Inc. ............................ 2,500 57,969
-----------
181,826
-----------
Utilities - Oil and Gas (0.2%)
Energen Corp. .................................... 2,700 90,956
-----------
Utilities - Telephone (0.3%)
Premiere Technologies, Inc.+ ..................... 4,800 124,800
U. S. West Communications Group .................. 1,300 48,994
-----------
173,794
-----------
Total United States 14,762,423
-----------
Foreign Common Stocks (11.3%)
Australia (0.3%)
Goodman Fielder Ltd. (Foods and Beverages) ....... 20,372 29,760
Reinsurance Australia Corp. Ltd. (Insurance) ..... 14,000 42,057
Santos Ltd. (Oil and Gas) ........................ 12,000 50,073
Woolworth Ltd. (Foods and Beverages) ............. 17,300 56,377
-----------
Total Australia 178,267
-----------
Austria (0.1%)
VA Technologie AG (Commercial Services) .......... 300 54,912
-----------
Belgium (0.4%)
CMB, NPV (Transportation) ........................ 900 60,584
G.I.B. Holdings Ltd. (Retail) .................... 1,300 62,197
Reunies Electrobel & Tractebel
(Utilities - Electric) .......................... 100 41,725
Societe Generale De Belgique
(Financial Services) ............................ 700 65,424
-----------
Total Belgium 229,930
-----------
Brazil (0.2%)
Telecomunicacoes Brasileiras SA
(Utilities - Telephone) ......................... 600 91,050
-----------
Canada (0.5%)
Anderson Exploration Ltd. (Oil and Gas) +......... 7,500 96,770
Canadian National Railway (Transportation) ....... 1,400 61,250
Petro-Canada (Oil and Gas) ....................... 5,400 87,680
-----------
Total Canada 245,700
-----------
Chile (0.1%)
Cia de Telecomuncaciones de Chile
(Utilities - Telephone) ......................... 1,700 56,100
-----------
Denmark (0.3%)
Novo-Nordisk AS (Pharmaceuticals) ................ 700 76,432
Tele Danmark AS (Utilities - Telephone) .......... 1,400 72,843
-----------
Total Denmark 149,275
-----------
- -------------------------------------------------------------------------------
Number of Market
Shares Value
--------- ------------
Finland (0.4%)
Finnlines Oy (Transportation) .................... 2,200 $ 67,344
Huhtamaki Group (Diversified) .................... 500 21,514
Rautaruukki Oy (Metals and Mining) ............... 6,500 68,200
UPM-Kymmene Corp. (Paper and Containers) ......... 2,300 53,136
-----------
Total Finland 210,194
-----------
France (0.5%)
Accor SA (Hotels and Restaurants) ................ 400 59,956
Alcatel Alsthom (Telecommunications) ............. 500 62,682
Credit Local de France (Financial Services) ...... 300 29,229
Elf Aquitaine SA (Oil and Gas) ................... 300 32,397
Schneider SA (Machinery and Equipment) + ......... 1,100 58,607
Union des Assurances Federales (Insurance) ....... 300 35,310
-----------
Total France 278,181
-----------
Germany (1.1%)
Adidas AG (Retail) ............................... 630 70,501
Deutsche Pfandbrief & Hypothekenbank AG
(Banks) ......................................... 1,000 57,531
Fried Krupp AG (Machinery and Equipment) ......... 150 29,526
Gehe AG (Health Services) ........................ 900 61,979
Henkel KGAA (Chemicals) .......................... 1,200 67,626
Mannesmann AG (Machinery and Equipment) .......... 150 67,058
Merck KGAA (Pharmaceuticals) ..................... 1,200 52,338
Metro AG (Retail) + .............................. 700 76,326
Viag AG (Diversified) + .......................... 100 45,709
Volkswagen AG (Autos and Auto Equipment) ......... 50 37,933
-----------
Total Germany 566,527
-----------
Hong Kong (0.1%)
Lai Sun Development Co., Ltd.
(Real Estate Investment Trusts) ................. 52,000 58,395
-----------
Indonesia (0.3%)
Bank International Indonesia (Banks) ............. 66,500 57,434
PT Semen Gresik
(Building Materials and Construction) +.......... 31,500 70,604
-----------
Total Indonesia 128,038
-----------
Ireland (0.3%)
Irish Life Plc (Insurance) ....................... 11,132 57,099
Waterford Wedgewood
(Home Furnishings and Appliances) ............... 55,671 72,648
-----------
Total Ireland 129,747
-----------
Italy (0.6%)
Credito Italiano (Banks) ......................... 40,000 73,112
Instituto Bancario San Paolo di Torino (Banks) ... 7,700 56,070
Pirelli & Co. (Financial Services) ............... 51,100 79,886
Stet Societa' Finanziaria Telefonica S.p.A.
(Telecommunications) ............................ 12,500 72,730
-----------
Total Italy 281,798
----------
</TABLE>
67
<PAGE>
Aetna Generation Portfolios, Inc.
Portfolio of Investments - June 30, 1997 (Unaudited)
Legacy (continued)
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Number of Market
Shares Value
--------- ------------
<S> <C> <C>
Japan (1.4%)
Bank of Tokyo-Mitsubishi (Banks) ................. 3,000 $ 60,299
Dai Nippon Ink & Chemicals, Inc (Chemicals) ...... 14,000 60,439
Daiichi Pharmaceutical (Pharmaceuticals) ......... 5,000 88,264
DDI Corp. (Utilities - Telephone) ................ 9 66,538
Fujitsu Denso (Diversified) ...................... 1,000 30,761
Mitsubishi Heavy Industries Ltd.
(Aerospace and Defense) ......................... 7,000 53,771
NAMCO (Media and Entertainment) .................. 2,000 77,252
NTT Data Communications Systems Co.
(Computer Software) ............................. 10 38,714
Sony Corp. (Electrical and Electronics) .......... 800 69,842
Takara Standard
(Building Materials and Construction) ........... 5,000 43,695
Takefuji Corp. (Banks) ........................... 1,200 65,647
Tokyo Ohka Kogyo (Electrical and Electronics) .... 1,000 30,237
West Japan Railway (Transportation) .............. 10 39,238
-----------
Total Japan 724,697
-----------
Malaysia (0.2%)
Leader Universal Holdings Bhd (Diversified) + .... 30,000 53,962
MBF Capital Bhd (Financial Services) + ........... 20,000 36,767
-----------
Total Malaysia 90,729
-----------
Mexico (0.4%)
ALFA, SA de C.V. (Diversified) ................... 12,494 85,131
Panamerican Beverages, Inc.
(Foods and Beverages) ........................... 2,900 95,338
-----------
Total Mexico 180,469
-----------
Netherlands (0.5%)
DSM NV (Chemicals) ............................... 618 61,601
Getronics NV
(Computers and Office Equipment) ................ 1,005 32,520
ING Groep NV (Banks) ............................. 1,477 68,222
Philips Electronics NV
(Electrical and Electronics) .................... 1,300 93,287
-----------
Total Netherlands 255,630
-----------
Norway (0.4%)
Kvaerner ASA (Transportation) .................... 1,200 72,697
Merkantildata ASA (Computer Software) ............ 1,800 35,652
Saga Petroleum ASA, Class A (Oil and Gas) ........ 1,100 20,886
SAS Norge ASA B (Transportation) ................. 7,200 75,729
-----------
Total Norway 204,964
-----------
Singapore (0.3%)
Clipsal Industries Ltd. (Electrical Equipment) ... 6,000 21,240
Development Bank of Singapore Ltd. (Banks) ....... 4,600 57,908
Jardine Matheson Holdings (Diversified) .......... 8,400 59,640
NatSteel Ltd. (Metals and Mining) ................ 10,000 25,457
-----------
Total Singapore 164,245
-----------
- -------------------------------------------------------------------------------
Number of Market
Shares Value
--------- ------------
Spain (0.1%)
Hidroelectrica del Cantabrico, SA
(Utilities - Electric) .......................... 1,200 $ 48,793
-----------
Sweden (0.6%)
Autoliv, Inc. (Autos and Auto Equipment) ......... 1,000 38,475
Enator AB (Commercial Services) + ................ 2,800 49,972
Frontec AB (Computer Software) + ................. 3,500 29,422
Hemkopskedjan AB (Foods and Beverages) +.......... 10,000 102,814
Skandia Forsakrings AB (Insurance) ............... 1,400 51,601
SKF AB B Shs (Metals and Mining) ................. 1,400 36,211
-----------
Total Sweden 308,495
-----------
Switzerland (0.5%)
Georg Fischer AG (Machinery and Equipment) ....... 20 27,849
Novartis AG Registered Shs (Health Services) ..... 100 160,098
Roche Holding AG (Pharmaceuticals) ............... 5 45,289
SMH AG (Health Services) ......................... 300 40,693
-----------
Total Switzerland 273,929
-----------
United Kingdom (1.6%)
Barclays Plc (Financial Services) ................ 3,000 59,515
Cadbury Schweppes Plc
(Foods and Beverages) ........................... 5,000 44,562
Glaxo Wellcome Plc (Pharmaceuticals) ............. 5,500 113,505
Granada Group Plc (Diversified) .................. 5,209 68,488
Hammerson Plc (Real Estate Investment Trusts) ... 7,800 60,689
Ladbroke Group Plc (Media and Entertainment) ..... 15,568 60,888
Legal & General Group Plc (Financial Services) ... 7,100 47,916
Morgan Crucible Plc (Diversified) ................ 6,500 48,410
National Power Plc (Utilities - Electric) ........ 1,000 35,188
Pearson Plc (Printing and Publishing) ............ 2,000 23,150
Safeway Plc (Retail) ............................. 6,600 38,171
Shell Transport & Trading Co. (Oil and Gas) ...... 12,800 130,854
Tarmac Plc
(Building Materials and Construction) ........... 18,700 38,903
Vodafone Group Plc (Telecommunications) .......... 12,600 61,338
-----------
Total United Kingdom 831,577
-----------
Venezuela (0.1%)
Compania Anonima Nacional Telefonos
de Venezuela (Utilities - Telephone) ............ 1,600 69,000
-----------
Total Foreign Common Stocks 5,810,642
-----------
Total Common Stocks (cost $17,675,350) 20,573,065
-----------
</TABLE>
Principal
Amount
---------
LONG-TERM BONDS AND NOTES (38.8%)
U.S. Government Obligations (32.5%)
U.S. Treasury Note, 5.88%, 02/15/00 ...................$2,350,000 2,332,376
U.S. Treasury Note, 6.50%, 10/15/06 ................... 6,100,000 6,075,210
68 See Notes to Portfolio of Investments.
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Market
Amount Value
--------- ----------
<S> <C> <C>
U.S. Government Obligations (continued)
U.S. Treasury Note, 7.50%, 10/31/99 .............. $ 4,750,000 $ 4,886,566
U.S. Treasury Note, 7.50%, 11/15/01 .............. 3,390,000 3,534,077
-----------
Total U.S. Government Obligations (cost $16,771,326)
16,828,229
-----------
Corporate Bonds (6.3%)
Fifth Third Bank, 6.75%, 07/15/05 ................ 300,000 294,834
Ford Motor Credit Corp., 6.63%, 06/30/03 ......... 825,000 815,544
Tenet Healthcare Corp., 7.88%, 01/15/03 .......... 425,000 426,062
Time Warner, Inc., 9.13%, 01/15/13 ............... 625,000 694,652
United Mexican States Government, 7.88%,
08/06/01++ ..................................... 625,000 625,999
Zurich Capital Trust, 8.38%, 06/01/37 ............ 375,000 388,673
-----------
Total Corporate Bonds (cost $3,237,921) 3,245,764
-----------
Total Long-Term Bonds and Notes (cost $20,009,247) 20,073,993
-----------
SHORT-TERM INVESTMENTS (19.4%)
Ciesco, L.P., Comm. Paper, 5.63%, 07/08/97 ....... 2,000,000 1,997,813
Federal National Mortgage Assoc., Comm
Paper, 5.45%, 07/22/97 .......................... 1,500,000 1,495,231
Federal National Mortgage Association,
Mortgage-Backed Securities, 5.60%, 07/01/97 ..... 6,155,000 6,155,000
U.S. Treasury Bill, Time Deposit, 5.08%,
08/21/97@ ....................................... 275,000 272,982
U.S. Treasury Bill, Time Deposit, 5.10%,
08/21/97@ ....................................... 100,000 99,266
-----------
Total Short-Term Investments (cost $10,020,343) 10,020,292
-----------
TOTAL INVESTMENTS (cost $47,704,940)(a) .......... 50,667,350
Other assets less liabilities 1,009,802
-----------
Total Net Assets $51,677,152
===========
</TABLE>
- --------------------------------------------------------------------------------
Notes to Portfolio of Investments
(a) The cost of investments for federal income tax purposes is $47,732,303.
Unrealized gains and losses, based on identified tax cost at June 30, 1997, are
as follows:
<TABLE>
<CAPTION>
<S> <C>
Unrealized gains ..................... $3,249,099
Unrealized losses .................... (314,052)
----------
Net unrealized gain ................ $2,935,047
==========
</TABLE>
+ Non-income producing security.
++ Restricted security.
@ Security pledged to cover initial margin requirements on open futures
contracts at June 30, 1997.
Category percentages are based on net assets.
Information concerning open futures contracts at June 30, 1997 is shown below:
<TABLE>
<CAPTION>
No. of Initial Expiration Unrealized
Contracts Value Date Gain/(Loss)
--------- ---------- ---------- -----------
<S> <C> <C> <C> <C>
Long Contracts
- -------------------
Hang Seng Stock
Index Future ... 1 $ 98,322 July 97 $ 161
Long-Term German
Government Bond
Future ......... 8 1,160,798 Sept 97 14,304
Swiss Government
Bond Future .... 3 250,093 Sept 97 281
French Notional Bond
Future ......... 4 437,669 Sept 97 5,212
CAC-40 Stock Index
Future ......... 3 283,171 Sept 97 14,257
Long Gilt Bond 3 277,626 Sept 97 2,035
Future .........
Topix Index Future. 2 262,016 Sept 97 4,719
Short Contracts
- -------------------
Russell 2000 Index
Future ......... 9 (1,775,913) Sept 97 (19,138)
S & P 500 Index
Future ......... 3 (1,347,450) Sept 97 12,075
---------- -----------
$(353,668) $ 33,906
========== ===========
</TABLE>
See Notes to Financial Statements. 69
<PAGE>
Aetna Generation Portfolios, Inc.
Statements of Assets and Liabilities
June 30, 1997 (Unaudited)
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Ascent Crossroads Legacy
------------ ------------ -----------
Assets:
<S> <C> <C> <C>
Investments, at market value ....................................... $94,066,591 $81,503,014 $50,667,350
Cash ............................................................... 44,109 43,010 37,399
Cash denominated in foreign currencies ............................. 397,693 284,668 203,368
Receivable for:
Dividends and interest ......................................... 304,133 383,121 322,267
Investments sold ............................................... 737,147 538,292 259,117
Fund shares sold ............................................... 371,934 641,485 554,336
Recoverable taxes .............................................. 10,544 8,085 5,069
Miscellaneous .................................................. -- 771 --
Gross unrealized gain on forward foreign currency exchange
contracts ........................................................ 47,080 33,578 20,579
------------ ------------ ------------
Total assets .............................................. 95,979,231 83,436,024 52,069,485
------------ ------------ ------------
Liabilities:
Payable for:
Investments purchased .......................................... 845,427 614,638 337,988
Fund shares redeemed ........................................... -- 23 --
Variation margin ............................................... 23,237 15,054 5,757
Accrued investment advisory fees ................................... 44,779 39,162 24,508
Accrued administrative service fees ................................ 11,195 9,790 6,127
Gross unrealized loss on forward foreign currency exchange
contracts ........................................................ 61,957 48,147 17,953
------------ ------------ ------------
Total liabilities ......................................... 986,595 726,814 392,333
------------ ------------ ------------
NET ASSETS ....................................................... $94,992,636 $82,709,210 $51,677,152
============ ============ ============
Net assets represented by:
Paid-in capital .................................................... $82,670,273 $73,960,056 $47,306,740
Unrealized gain .................................................... 8,530,564 6,156,621 2,998,506
Undistributed net investment income ................................ 375,725 354,776 192,695
Accumulated net realized gain ...................................... 3,416,074 2,237,757 1,179,211
------------ ------------ ------------
NET ASSETS ....................................................... $94,992,636 $82,709,210 $51,677,152
============ ============ ============
Capital Shares, two billion authorized, $.001 par value:
Shares outstanding ................................................. 6,882,390 6,413,803 4,350,937
Net Asset Value per share (net assets divided by shares $ 13.802 $ 12.896 $ 11.877
outstanding)
Cost of investments ................................................ $85,597,747 $75,407,127 $47,704,940
Cost of cash denominated in foreign currencies ..................... $ 397,583 $ 284,952 $ 203,862
</TABLE>
See Notes to Financial Statements.
70
<PAGE>
Aetna Generation Portfolios, Inc.
Statements of Operations
Six month period ended June 30, 1997 (Unaudited)
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Ascent Crossroads Legacy
----------- ---------- -----------
Investment Income:
<S> <C> <C> <C>
Dividends ............................................................. $ 648,253 $ 435,753 $ 212,639
Interest .............................................................. 602,553 799,505 671,040
----------- ----------- -----------
1,250,806 1,235,258 883,679
Foreign taxes withheld ................................................ (18,519) (13,889) (7,460)
----------- ----------- -----------
Total investment income ......................................... 1,232,287 1,221,369 876,219
----------- ----------- -----------
Investment Expenses:
Investment advisory fees .............................................. 206,666 178,267 115,911
Administrative services fees .......................................... 51,667 44,567 28,978
----------- ----------- -----------
Total investment expenses ....................................... 258,333 222,834 144,889
----------- ----------- -----------
Net investment income ................................................. 973,954 998,535 731,330
----------- ----------- -----------
Realized and Unrealized Gain (Loss):
Realized gain (loss) on:
Sale of investments ................................................. 3,568,860 2,347,105 1,323,758
Futures and forward currency exchange contracts ..................... (232,736) (207,657) (220,854)
Foreign currency related transactions ............................... (3,610) (3,482) (4,336)
----------- ----------- -----------
Net realized gain on investments ............................. 3,332,514 2,135,966 1,098,568
----------- ----------- -----------
Net change in unrealized gain or loss on:
Investments ......................................................... 3,783,273 2,767,037 1,187,086
Futures and forward currency exchange contracts ..................... 113,748 140,300 88,860
Foreign currency related transactions ............................... (2,688) (1,591) (385)
----------- ----------- -----------
Net change in unrealized gain or loss on investments ......... 3,894,333 2,905,746 1,275,561
----------- ----------- -----------
Net realized and change in unrealized gain ............................ 7,226,847 5,041,712 2,374,129
----------- ----------- -----------
Increase in net assets resulting from operations ...................... $8,200,801 $6,040,247 $3,105,459
=========== =========== ===========
</TABLE>
See Notes to Financial Statements.
71
<PAGE>
Aetna Generation Portfolios, Inc.
Statements of Changes in Net Assets
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Ascent
---------------------------------------
Six month
period ended
June 30, 1997 Year Ended
(Unaudited) December 31, 1996
----------- -----------------
<S> <C> <C>
From Operations:
Net investment income ........................................................ $ 973,954 $ 622,786
Net realized gain on investments ............................................. 3,332,514 1,629,617
Net change in unrealized gain or loss on investments ......................... 3,894,333 3,478,032
------------ ------------
Increase in net assets resulting from operations ........................... 8,200,801 5,730,435
------------ ------------
Distributions to Shareholders:
From net investment income ................................................... (811,896) (646,312)
From net realized gains ...................................................... (270,632) (1,314,791)
------------ ------------
Decrease in net assets from distributions to shareholders .................. (1,082,528) (1,961,103)
------------ ------------
From Fund Share Transactions:
Proceeds from shares sold .................................................... 44,531,825 33,848,909
Net asset value of shares issued upon reinvestment of distributions .......... 1,082,528 1,961,103
Cost of shares redeemed ...................................................... (2,895,443) (13,273,777)
------------ ------------
Increase in net assets from fund share transactions ........................ 42,718,910 22,536,235
------------ ------------
Change in net assets ......................................................... 49,837,183 26,305,567
Net Assets:
Beginning of period .......................................................... 45,155,453 18,849,886
------------ ------------
End of period ................................................................ $94,992,636 $45,155,453
============ ============
End of period net assets includes undistributed net investment income ........ $ 375,725 $ 213,667
============ ============
Share Transactions:
Number of shares sold ........................................................ 3,450,565 2,852,183
Number of shares issued upon reinvestment of distributions ................... 78,605 159,062
Number of shares redeemed .................................................... (225,089) (1,179,070)
------------ ------------
Net increase ............................................................... 3,304,081 1,832,175
============ ============
</TABLE>
See Notes to Financial Statements.
72
<PAGE>
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Crossroads
---------------------------------------
Six month
period ended
June 30, 1997 Year Ended
(Unaudited) December 31, 1996
----------- -----------------
<S> <C> <C>
From Operations:
Net investment income ...........................................................$ 998,535 $ 703,316
Net realized gain on investments ................................................ 2,135,966 1,447,814
Net change in unrealized gain or loss on investments ............................ 2,905,746 2,213,205
------------ ------------
Increase in net assets resulting from operations .............................. 6,040,247 4,364,335
------------ ------------
Distributions to Shareholders:
From net investment income ...................................................... (814,857) (790,607)
From net realized gains ......................................................... (176,761) (1,203,828)
------------ ------------
Decrease in net assets from distributions to shareholders ..................... (991,618) (1,994,435)
------------ ------------
From Fund Share Transactions:
Proceeds from shares sold ....................................................... 43,226,838 30,565,631
Net asset value of shares issued upon reinvestment of distributions ............. 991,619 1,994,435
Cost of shares redeemed ......................................................... (4,248,253) (16,053,016)
------------ ------------
Increase in net assets from fund share transactions ........................... 39,970,204 16,507,050
------------ ------------
Change in net assets ............................................................ 45,018,833 18,876,950
Net Assets:
Beginning of period ............................................................. 37,690,377 18,813,427
------------ ------------
End of period ...................................................................$82,709,210 $37,690,377
============ ============
End of period net assets includes undistributed net investment income ...........$ 354,776 $ 171,098
============ ============
Share Transactions:
Number of shares sold ........................................................... 3,537,716 2,665,935
Number of shares issued upon reinvestment of distributions ...................... 77,055 169,462
Number of shares redeemed ....................................................... (347,437) (1,440,613)
------------ ------------
Net increase .................................................................. 3,267,334 1,394,784
============ ============
</TABLE>
See Notes to Financial Statements.
73
<PAGE>
Aetna Generation Portfolios, Inc.
Statements of Changes in Net Assets
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Legacy
---------------------------------------
Six month
period ended
June 30, 1997 Year Ended
(Unaudited) December 31, 1996
----------- -----------------
<S> <C> <C>
From Operations:
Net investment income ........................................................... $ 731,330 $ 665,451
Net realized gain on investments ................................................ 1,098,568 1,158,631
Net change in unrealized gain or loss on investments ............................ 1,275,561 844,869
------------ ------------
Increase in net assets resulting from operations .............................. 3,105,459 2,668,951
------------ ------------
Distributions to Shareholders:
From net investment income ...................................................... (549,499) (730,661)
From net realized gains ......................................................... (180,067) (1,061,503)
------------ ------------
Decrease in net assets from distributions to shareholders ..................... (729,566) (1,792,164)
------------ ------------
From Fund Share Transactions:
Proceeds from shares sold ....................................................... 21,704,601 25,960,960
Net asset value of shares issued upon reinvestment of distributions ............. 729,566 1,792,164
Cost of shares redeemed ......................................................... (886,714) (19,129,539)
------------ ------------
Increase in net assets from fund share transactions ........................... 21,547,453 8,623,585
------------ ------------
Change in net assets ............................................................ 23,923,346 9,500,372
Net assets:
Beginning of period ............................................................. 27,753,806 18,253,434
------------ ------------
End of period ................................................................... $51,677,152 $27,753,806
============ ============
End of period net assets includes undistributed net investment income ........... $ 192,695 $ 10,864
============ ============
Share Transactions:
Number of shares sold ........................................................... 1,899,496 2,350,084
Number of shares issued upon reinvestment of distributions ...................... 61,501 160,746
Number of shares redeemed ....................................................... (76,089) (1,760,792)
------------ ------------
Net increase .................................................................. 1,884,908 750,038
============ ============
</TABLE>
See Notes to Financial Statements.
74
<PAGE>
Aetna Generation Portfolios, Inc.
Notes to Financial Statements
June 30, 1997 (Unaudited)
- --------------------------------------------------------------------------------
1. Summary of Significant Accounting Policies
Aetna Generation Portfolios, Inc. (the Fund) was incorporated in 1994 under the
laws of Maryland. The Fund is an open-end management investment company and is
authorized to issue multiple series of shares, each representing a diversified
portfolio of investments (individually, a Portfolio and collectively, the
Portfolios) each of which has its own investment objective, policies and
restrictions. Currently, the Fund offers shares of the Aetna Ascent Variable
Portfolio (Ascent); Aetna Crossroads Variable Portfolio (Crossroads); and Aetna
Legacy Variable Portfolio (Legacy). Each Portfolio commenced investment
operations on July 5, 1995. The Portfolios are asset allocation funds that seek
to maximize long-term investment returns at varying levels of risk.
Shares of each Portfolio are owned by insurance companies as depositors of
separate accounts which are used to fund variable annuity contracts and variable
life insurance policies. It is currently expected that all shares will be held
by separate accounts of Aetna Life Insurance and Annuity Company (Aetna) and its
subsidiary, Aetna Insurance Company of America.
Aetna serves as the Investment Adviser and principal underwriter to each
Portfolio. Aetna is an indirect wholly-owned subsidiary of Aetna Retirement
Services, Inc. which is in turn a wholly-owned subsidiary of Aetna Inc. Aeltus
Investment Management, Inc. (Aeltus), an affiliate of Aetna, is employed as a
subadviser to the Portfolios.
The following is a summary of significant accounting policies consistently
followed by the Portfolios in the preparation of their financial statements. The
policies are in conformity 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 Portfolios.
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 value. Securities for which market quotations are not
considered to be readily available are valued in good faith using methods
approved by the Board of Directors.
The accounting records of the Portfolios 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. Futures and Forward 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 Portfolios 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, the Portfolios
are 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 the Portfolios
equal to the daily fluctuation in the market value of the contract. These
amounts are recorded by the Portfolios as unrealized gains or losses. When a
contract is closed, the Portfolios record 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 held by each
Portfolio are closed prior to expiration.
75
<PAGE>
Aetna Generation Portfolios, Inc.
Notes to Financial Statements (continued)
June 30, 1997 (Unaudited)
- --------------------------------------------------------------------------------
B. Futures and Forward Foreign Currency Exchange Contracts (continued)
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 Portfolios 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 foreign currency exchange contracts may
arise from an imperfect correlation between the change in market value of the
securities held by the Portfolios and the price of the contracts. Risks may also
arise from an illiquid secondary market, or from the inability of counterparties
to meet the terms of the contracts.
Realized and unrealized gains or losses on futures and foreign currency exchange
contracts are reflected in the accompanying financial statements. The amounts at
risk under such futures and foreign currency exchange contracts may exceed the
amounts reflected in the financial statements. The notional amounts of these
contracts are disclosed in the Portfolios of Investments and elsewhere in the
Notes to Financial Statements. For federal income tax purposes, any futures
contracts and forward foreign currency exchange contracts which remain open at
year end are marked-to-market and the resultant net gain or loss is included in
federal taxable income.
C. Illiquid and Restricted Securities
Illiquid securities are securities that are not readily marketable. Disposing of
illiquid investments may involve time-consuming negotiation and legal expenses,
and it may be difficult or impossible for the Portfolios to sell them promptly
at an acceptable price. Restricted securities are subject to legal or
contractual restrictions on resale and may not be publicly sold without
registration under the Securities Act of 1933, under Rule 144A or, are
securities offered pursuant to Section 4(2). Each Portfolio may invest up to 15%
of its total assets in illiquid securities. Illiquid and restricted securities
are valued using market quotations when readily available. In the absence of
market quotations, the securities are valued based upon their fair value
determined under procedures approved by the Board of Directors. The Portfolios
will not pay the costs of disposition of restricted securities other than
ordinary brokerage fees, if any.
D. Federal Income Taxes
As a qualified regulated investment company, each Portfolio is relieved of
federal income and excise taxes by distributing its net taxable investment
income and capital gains, if any, in compliance with the applicable provisions
of the Internal Revenue Code.
E. Distributions
The Portfolios 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 treatment for foreign currency
related transactions and deferred losses on wash sales.
F. 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 over the life of the respective security using a
yield-to-maturity method. Dividend income is recorded on the ex-dividend date.
Realized gains and losses from investment transactions are determined on an
identified cost basis.
76
<PAGE>
- --------------------------------------------------------------------------------
2. Investment Advisory and Administrative Services Fees
The Portfolios pay the Investment Adviser a monthly advisory fee at an annual
rate of 0.60% of the average daily net assets of each Portfolio.
Under the terms of an Administrative Services Agreement, Aetna acts as
administrator and provides all administrative services necessary for the
Portfolios' operations and is responsible for the supervision of the Portfolios'
other service providers. Aetna also assumes all ordinary, recurring costs of the
Portfolios, such as custodian fees, director's fees, transfer agent costs and
accounting expenses. For these services, Aetna receives an annual fee, payable
monthly, at a rate of 0.15% of the average daily net assets of each Portfolio.
Under the terms of a Subadvisory Agreement among the Fund, Aetna and Aeltus,
Aeltus supervises the investment and reinvestment of cash and securities and
provides certain related administrative services to the Portfolios in exchange
for a fee (payable by Aetna) of 0.35% of the average daily net assets of each
Portfolio. For the period ended June 30, 1997, Aetna paid Aeltus $119,482,
$103,085, and $67,037 for Ascent, Crossroads and Legacy, respectively, in
accordance with the terms of the Subadvisory Agreement.
3. Purchases and Sales of Investment Securities
Purchases and sales of investment securities, excluding short-term investments,
for the period ended June 30, 1997 were:
<TABLE>
<CAPTION>
Cost of Purchases Proceeds from Sales
----------------- -------------------
<S> <C> <C>
Ascent $80,484,060 $42,762,377
Crossroads 66,351,522 29,018,735
Legacy 40,997,038 16,916,049
</TABLE>
4. Forward Foreign Currency Exchange Contracts
At June 30, 1997, Ascent, Crossroads, and Legacy had the following open forward
foreign currency exchange contracts that obligate the Portfolios to deliver
currencies at specified future dates. The net unrealized gains (losses) of
($14,877), ($14,569), and $2,626, respectively, on these contracts are included
in the accompanying financial statements. The terms of the open contracts are as
follows
<TABLE>
<CAPTION>
Exchange Currency to U.S. $ Value Currency to U.S. $ Value Unrealized
Date be Delivered June 30, 1997 be Received June 30, 1997 Gain (Loss)
---- ------------ ------------- ----------- ------------- -----------
<S> <C> <C> <C> <C> <C>
Ascent
Contracts to Buy:
- -----------------
7/31/97 46,548 $ 46,548 $ 270,000 $ 46,087 ($461)
U.S. Dollar French Franc
- ----------------------------------------------------------------------------------------------------
8/13/97 2,401 2,401 14,000 2,392 (9)
U.S. Dollar French Franc
- ----------------------------------------------------------------------------------------------------
9/17/97 167,225 167,225 18,970,000 167,931 706
U.S. Dollar Japanese Yen
- ----------------------------------------------------------------------------------------------------
9/18/97 145,160 145,160 280,000 143,708 (1,452)
U.S. Dollar Dutch Guilder
- ----------------------------------------------------------------------------------------------------
</TABLE>
77
<PAGE>
Aetna Generation Portfolios, Inc.
Notes to Financial Statements (continued)
June 30, 1997 (Unaudited)
- --------------------------------------------------------------------------------
4. Forward Foreign Currency Exchange Contracts (continued)
<TABLE>
<CAPTION>
Exchange Currency to U.S. $ Value Currency to U.S. $ Value Unrealized
Date be Delivered June 30, 1997 be Received June 30, 1997 Gain (Loss)
---- ------------ ------------- ----------- ------------- -----------
<S> <C> <C> <C> <C> <C>
Ascent (continued)
Contracts to Sell:
- ------------------
8/20/97 16,560,000 $462,235 470,277 $470,277 $ 8,042
Belgian Franc U.S. Dollar
- ----------------------------------------------------------------------------------------------------
8/29/97 272,000 187,767 193,744 193,744 5,977
Swiss Franc U.S. Dollar
- ----------------------------------------------------------------------------------------------------
8/5/97 923,000 531,003 540,052 540,052 9,049
German Mark U.S. Dollar
- ----------------------------------------------------------------------------------------------------
9/5/97 509,000 293,433 297,140 297,140 3,707
German Mark U.S. Dollar
- ----------------------------------------------------------------------------------------------------
7/3/97 17,000 2,896 2,908 2,908 12
French Franc U.S. Dollar
- ----------------------------------------------------------------------------------------------------
7/15/97 1,333,000 227,284 233,163 233,163 5,879
French Franc U.S. Dollar
- ----------------------------------------------------------------------------------------------------
8/13/97 1,462,000 249,766 256,942 256,942 7,176
French Franc U.S. Dollar
- ----------------------------------------------------------------------------------------------------
7/24/97 48,480,000 425,375 389,116 389,116 (36,259)
Japanese Yen U.S. Dollar
- ----------------------------------------------------------------------------------------------------
8/12/97 38,740,000 340,953 317,177 317,177 (23,776)
Japanese Yen U.S. Dollar
- ----------------------------------------------------------------------------------------------------
8/12/97 11,930,000 104,997 105,622 105,622 625
Japanese Yen U.S. Dollar
- ----------------------------------------------------------------------------------------------------
9/17/97 68,830,000 609,316 610,038 610,038 722
Japanese Yen U.S. Dollar
- ----------------------------------------------------------------------------------------------------
7/9/97 448,000 177,452 177,598 177,598 146
Malaysian Ringgit U.S. Dollar
- ----------------------------------------------------------------------------------------------------
7/18/97 210,000 107,322 108,921 108,921 1,599
Dutch Guilder U.S. Dollar
- ----------------------------------------------------------------------------------------------------
9/18/97 841,000 431,635 435,075 435,075 3,440
Dutch Guilder U.S. Dollar
- ----------------------------------------------------------------------------------------------------
($14,877)
=========
Crossroads
Contracts to Buy:
- -----------------
7/31/97 $139,298 $139,298 808,000 $137,918 ($1,380)
U.S. Dollar French Franc
- -------------------------------------------------------------------------------------------------------
8/13/97 35,331 35,331 206,000 35,193 (138)
U.S. Dollar French Franc
- -------------------------------------------------------------------------------------------------------
9/17/97 315,409 315,409 35,780,000 316,742 1,333
U.S. Dollar Japanese Yen
- -------------------------------------------------------------------------------------------------------
9/18/97 103,686 103,686 200,000 102,648 (1,038)
U.S. Dollar Dutch Guilder
- -------------------------------------------------------------------------------------------------------
</TABLE>
78
<PAGE>
- --------------------------------------------------------------------------------
4. Forward Foreign Currency Exchange Contracts (continued)
<TABLE>
<CAPTION>
Exchange Currency to U.S. $ Value Currency to U.S. $ Value Unrealized
Date be Delivered June 30, 1997 be Received June 30, 1997 Gain (Loss)
---- ------------ ------------- ----------- ------------- -----------
<S> <C> <C> <C> <C> <C>
Crossroads (continued)
Contracts to Sell:
- ------------------
8/20/97 10,070,000 $281,082 285,577 $285,577 $ 4,495
Belgian Franc U.S. Dollar
- ------------------------------------------------------------------------------------------------------
8/29/97 161,000 111,142 114,814 114,814 3,672
Swiss Franc U.S. Dollar
- ------------------------------------------------------------------------------------------------------
8/5/97 690,000 396,958 403,637 403,637 6,679
German Mark U.S. Dollar
- ------------------------------------------------------------------------------------------------------
9/5/97 316,000 182,171 184,472 184,472 2,301
German Mark U.S. Dollar
- ------------------------------------------------------------------------------------------------------
7/3/97 257,000 43,784 43,962 43,962 178
French Franc U.S. Dollar
- ------------------------------------------------------------------------------------------------------
7/15/97 1,318,000 224,726 229,146 229,146 4,420
French Franc U.S. Dollar
- ------------------------------------------------------------------------------------------------------
8/13/97 1,115,000 190,485 195,958 195,958 5,473
French Franc U.S. Dollar
- ------------------------------------------------------------------------------------------------------
8/12/97 8,300,000 73,049 73,484 73,484 435
Japanese Yen U.S. Dollar
- ------------------------------------------------------------------------------------------------------
9/17/97 68,090,000 602,765 603,480 603,480 715
Japanese Yen U.S. Dollar
- ------------------------------------------------------------------------------------------------------
7/24/97 38,210,000 335,265 306,686 306,686 (28,579)
Japanese Yen U.S. Dollar
- ------------------------------------------------------------------------------------------------------
8/12/97 27,720,000 243,965 226,953 226,953 (17,012)
Japanese Yen U.S. Dollar
- ------------------------------------------------------------------------------------------------------
7/9/97 447,000 177,055 177,202 177,202 147
Malaysian Ringgit U.S. Dollar
- ------------------------------------------------------------------------------------------------------
7/18/97 150,000 76,659 77,801 77,801 1,142
Dutch Guilder U.S. Dollar
- ------------------------------------------------------------------------------------------------------
9/18/97 633,000 324,882 327,470 327,470 2,588
Dutch Guilder U.S. Dollar
- ------------------------------------------------------------------------------------------------------
($14,569)
=========
Legacy
Contracts to Buy:
7/31/97 61,891 $ 61,891 359,000 $ 61,278 ($613)
U.S. Dollar French Franc
- ------------------------------------------------------------------------------------------------------
8/13/97 34,474 34,474 201,000 34,339 (135)
U.S. Dollar French Franc
- ------------------------------------------------------------------------------------------------------
9/17/97 73,872 73,872 8,380,000 74,184 312
U.S. Dollar Japanese Yen
- ------------------------------------------------------------------------------------------------------
9/18/97 41,474 41,474 80,000 41,059 (415)
U.S. Dollar Dutch Guilder
- ------------------------------------------------------------------------------------------------------
</TABLE>
79
<PAGE>
Aetna Generation Portfolios, Inc.
Notes to Financial Statements (continued)
June 30, 1997 (Unaudited)
- --------------------------------------------------------------------------------
4. Forward Foreign Currency Exchange Contracts (continued)
<TABLE>
<CAPTION>
Exchange Currency to U.S. $ Value Currency to U.S. $ Value Unrealized
Date be Delivered June 30, 1997 be Received June 30, 1997 Gain (Loss)
---- ------------ ------------- ----------- ------------- -----------
<S> <C> <C> <C> <C> <C>
Legacy (continued)
Contracts to Sell:
- ------------------
8/20/97 5,550,000 $ 154,916 157,703 $ 157,703 $ 2,787
Belgian Franc U.S. Dollar
- ------------------------------------------------------------------------------------------------------
8/29/97 121,000 83,529 86,107 86,107 2,578
Swiss Franc U.S. Dollar
- ------------------------------------------------------------------------------------------------------
8/5/97 509,000 292,828 297,503 297,503 4,675
German Mark U.S. Dollar
- ------------------------------------------------------------------------------------------------------
9/5/97 218,000 125,675 127,262 127,262 1,587
German Mark U.S. Dollar
- ------------------------------------------------------------------------------------------------------
7/3/97 251,000 42,762 42,935 42,935 173
French Franc U.S. Dollar
- ------------------------------------------------------------------------------------------------------
7/15/97 728,000 124,129 126,794 126,794 2,665
French Franc U.S. Dollar
- ------------------------------------------------------------------------------------------------------
8/13/97 734,600 125,498 129,104 129,104 3,606
French Franc U.S. Dollar
- ------------------------------------------------------------------------------------------------------
8/12/97 3,630,000 31,948 32,138 32,138 190
Japanese Yen U.S. Dollar
- ------------------------------------------------------------------------------------------------------
9/17/97 18,340,000 162,354 162,547 162,547 193
Japanese Yen U.S. Dollar
- ------------------------------------------------------------------------------------------------------
7/24/97 15,860,000 139,160 127,298 127,298 (11,862)
Japanese Yen U.S. Dollar
- ------------------------------------------------------------------------------------------------------
8/12/97 8,030,000 70,672 65,744 65,744 (4,928)
Japanese Yen U.S. Dollar
- ------------------------------------------------------------------------------------------------------
7/9/97 223,000 88,330 88,403 88,403 73
Malaysian Ringgit U.S. Dollar
- ------------------------------------------------------------------------------------------------------
7/18/97 70,000 35,774 36,307 36,307 533
Dutch Guilder U.S. Dollar
- ------------------------------------------------------------------------------------------------------
9/18/97 295,000 151,406 152,613 152,613 1,207
Dutch Guilder U.S. Dollar
- ------------------------------------------------------------------------------------------------------
$2,626
======
</TABLE>
80
<PAGE>
Aetna Generation Portfolios, Inc.
Financial Highlights
- --------------------------------------------------------------------------------
Selected data for a fund share outstanding thoughout each period:
<TABLE>
<CAPTION>
Ascent
-----------------------------------------------------------
Six month
period ended Period from
June 30, 1997 Year Ended July 5, 1995 to
(Unaudited) December 31, 1996 December 31, 1995+
------------- ----------------- ------------------
<S> <C> <C> <C>
Net asset value, beginning of period ................. $12.619 $10.795 $10.000
------- ------- -------
Income from investment operations:
Net investment income .............................. 0.115 0.225 0.116
Net realized and change in unrealized gain ......... 1.228 2.286 0.929
------- ------- -------
Total from investment operations ............. 1.343 2.511 1.045
------- ------- -------
Less distributions:
From net investment income ......................... (0.120) (0.230) (0.250)
From net realized gains on investments ............. (0.040) (0.457) --
------- ------- -------
Total distributions .......................... (0.160) (0.687) (0.250)
------- ------- -------
Net asset value, end of period ....................... $13.802 $12.619 $10.795
======= ======= =======
Total return* ........................................ 10.64% 23.58% 10.45%
Net assets, end of period (000's) .................... $94,993 $45,155 $18,850
Ratio of total expenses to average net assets** ...... 0.75% 0.84% 1.59%
Ratio of net investment income to average net assets** 2.83% 2.53% 2.26%
Portfolio turnover rate .............................. 77.35% 109.77% 39.77%
Average commission rate paid per share ............... $0.0283 $0.0296 --
</TABLE>
* The total return percentage does not reflect any separate account charges
under variable annuity contracts and life policies.
** Annualized for periods of less than one year.
+ Per share data calculated using weighted average number of shares outstanding
throughout the period.
See Notes to Financial Statements.
81
<PAGE>
Aetna Generation Portfolios, Inc.
Financial Highlights
- --------------------------------------------------------------------------------
Selected data for a fund share outstanding thoughout each period:
<TABLE>
<CAPTION>
Crossroads
-----------------------------------------------------------
Six month
period ended Period from
June 30, 1997 Year Ended July 5, 1995 to
(Unaudited) December 31, 1996 December 31, 1995+
------------- ----------------- ------------------
<S> <C> <C> <C>
Net asset value, beginning of period ................. $11.979 $10.740 $10.000
------- ------- -------
Income from investment operations:
Net investment income .............................. 0.131 0.270 0.131
Net realized and change in unrealized gain ......... 0.944 1.722 0.799
------- ------- -------
Total from investment operations ............. 1.075 1.992 0.930
------- ------- -------
Less distributions:
From net investment income ......................... (0.130) (0.300) (0.190)
From net realized gains on investments ............. (0.028) (0.453) --
------- ------- -------
Total distributions .......................... (0.158) (0.753) (0.190)
------- ------- -------
Net asset value, end of period ....................... $12.896 $11.979 $10.740
======= ======= =======
Total return* ........................................ 8.98% 18.81% 9.30%
Net assets, end of period (000's) .................... $82,709 $37,690 $18,813
Ratio of total expenses to average net assets** ...... 0.75% 0.80% 1.60%
Ratio of net investment income to average net assets** 3.36% 3.01% 2.56%
Portfolio turnover rate .............................. 67.13% 105.66% 49.38%
Average commission rate paid per share ............... $0.0295 $0.0284 --
</TABLE>
* The total return percentage does not reflect any separate account charges
under variable annuity contracts and life policies.
** Annualized for periods of less than one year.
+ Per share data calculated using weighted average number of shares outstanding
throughout the period.
See Notes to Financial Statements.
82
<PAGE>
- --------------------------------------------------------------------------------
Selected data for a fund share outstanding thoughout each period:
<TABLE>
<CAPTION>
Legacy
----------------------------------------------------------
Six month
period ended Period from
June 30, 1997 Year Ended July 5, 1995 to
(Unaudited) December 31, 1996 December 31, 1995+
------------- ----------------- ------------------
<S> <C> <C> <C>
Net asset value, beginning of period ............................... $11.255 $10.637 $10.000
------- ------- -------
Income from investment operations:
Net investment income ............................................ 0.170 0.334 0.148
Net realized and change in unrealized gain ....................... 0.625 1.150 0.679
------- ------- -------
Total from investment operations ........................... 0.795 1.484 0.827
------- ------- -------
Less distributions:
From net investment income ....................................... (0.130) (0.363) (0.190)
From net realized gains on investments ........................... (0.043) (0.503) --
------- ------- -------
Total distributions ........................................ (0.173) (0.866) (0.190)
------- ------- -------
Net asset value, end of period ..................................... $11.877 $11.255 $10.637
======= ======= =======
Total return* ...................................................... 7.06% 14.19% 8.27%
Net assets, end of period (000's) .................................. $51,677 $27,754 $18,253
Ratio of total expenses to average net assets** .................... 0.75% 0.80% 1.62%
Ratio of net investment income to average net assets** ............. 3.79% 3.45% 2.91%
Portfolio turnover rate ............................................ 64.94% 111.11% 62.43%
Average commission rate paid per share ............................. $0.0293 $0.0274 --
</TABLE>
* The total return percentage does not reflect any separate account charges
under variable annuity contracts and life policies.
** Annualized for periods of less than one year.
+ Per share data calculated using weighted average number of shares outstanding
throughout the period.
See Notes to Financial Statements.
83
<PAGE>
Aetna Variable Portfolios, Inc.
Aetna Variable Growth Portfolio
Growth of $10,000
Cumulative Total Returns for the Period Ended
June 30, 1997*
------------------
Inception+
17.80%
------------------
[GRAPHIC OMITTED]
[PLOT POINTS]
<TABLE>
<CAPTION>
Dec-96 Jun-97
<S> <C> <C> <C> <C>
Aetna Variable Growth Fund 10,000 10,146 9,846 11,780
S&P 500 Index 10,000 10,165 10,437 12,259
</TABLE>
[LEGEND]
- -------------------------------------------------------------------------------
Aetna Variable Growth Portfolio S&P 500 Index
- -------------------------------------------------------------------------------
* Total Return is calculated including reinvestment of income and capital gain
distributions. Past performance is no guarantee of future results. Performance
does not include any separate account charges imposed by Aetna. The S&P 500
Index is an unmanaged broad-based index.
+ The Fund commenced investment operations on December 13, 1996.
How did the Fund perform during the period?
The Aetna Variable Growth Portfolio (Growth) provided a total return of 16.10%,
net of fund expenses, compared to the S&P 500 Index(a), an unmanaged index,
return of 20.61% for the six month period ended June 30, 1997. This Fund is a
new addition to the Aetna family of variable annuity fund options.
What economic or financial market conditions impacted the Fund?
The equity market started the year with a vigorous upside response to fourth
quarter 1996 earnings, but stumbled when the Federal Reserve Board increased
interest rates in March. The stock market responded to the increase with a
decline that lasted from early March until late April. During the correction,
stocks with strong earnings growth trends were subjected to greater than normal
downside market volatility. For the Fund, this resulted in a brief period of
underperformance. In late April, as strong first quarter earnings were being
reported, the market bottomed and began to bounce back as mild inflation reports
reduced interest rate concerns. During the resulting market rally, the Fund
performed very well as evidenced by its 19.65% return, net of fund expenses, for
the quarter ended June 30, 1997; a level of performance that outdistanced the
S&P 500's return of 17.46% for the same period.
What investments influenced the Fund's performance over the past six months?
Individual stock selection was more important than sector weightings (the
proportion of investments in certain industries) to the Fund's performance
during the six month period. The three sectors that hold the greatest proportion
of the Fund's investments continue to be technology, finance, and capital goods,
with each representing between 14% and 21% of the portfolio. During the year's
first half, the Fund's investment portion in consumer sectors declined from 15%
to 5%, while the exposure to energy, retailing, and financial sectors each
increased by slightly more than 2%.
During 1997's first half, diversification helped offset the impact of a few
unsuccessful investments. Certain weak performers, which have been sold,
generated losses that were offset by generally satisfactory results in many of
the Fund's other holdings. Especially positive performance was achieved by
investments in such companies as Caterpillar, Pennzoil, Bristol-Myers, and
Northern Telecom.
84
<PAGE>
What is your outlook going forward?
The Fund focuses on companies experiencing strong current results, and those
companies with improving investor perceptions. We avoid stocks with
unjustifiable, extremely high valuations. To this end, we will continue our
basic investment strategy going forward.
Past performance is no assurance of future returns.
Investment Summary:
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------
Top Ten Holdings % of Portfolio
- -------------------------------------------------------------------------------
<S> <C>
Franklin Resources, Inc. 3.9%
BJ Services Co. 3.4%
Santa Fe International Corp. 3.4%
Tyco International Ltd. 3.3%
Boeing Co. 3.3%
Merck & Co., Inc. 3.2%
SunAmerica, Inc. 3.2%
HBO & Co. 3.2%
Travelers Group, Inc. 3.1%
Intel Corp. 2.9%
</TABLE>
Large Cap Portfolio Sector Breakdown:
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------
Portfolio S&P 500 Over/(Under)
Sector Weight Weight Weighting
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Basic Materials 0.0% 6.0% (6.0)%
Energy 14.2% 9.6% 4.6 %
Consumer Non-Discretionary 18.0% 11.9% 6.1 %
Consumer Discretionary 7.4% 23.0% (15.6)%
Commerical Services 3.9% 1.4% 2.5 %
Manufacturing 14.2% 8.8% 5.4 %
Technology 14.1% 14.5% (0.4)%
Finance 21.2% 15.6% 5.6 %
Utilities 7.0% 9.2% (2.2)%
</TABLE>
(a) The S&P 500 (Standard & Poor's 500) Index is a value-weighted unmanaged
index of 500 widely held stocks that assumes the reinvestment of all dividends,
and is considered to be representative of the stock market in general.
85
<PAGE>
Aetna Variable Portfolios, Inc.
Aetna Variable Small Company Portfolio
Growth of $10,000
Cumulative Total Returns for the Period Ended
June 30, 1997*
------------------
Inception+
17.72%
------------------
[GRAPHIC OMITTED]
[PLOT POINTS]
<TABLE>
<CAPTION>
Dec-96 Jun-97
<S> <C> <C> <C> <C>
Aetna Variable Small Company Fund 10,000 10,113 9,968 11,772
Russell 2000 10,000 10,195 9,668 11,235
</TABLE>
[LEGEND]
- -------------------------------------------------------------------------------
Aetna Variable Small Company Portfolio Russell 2000 Index
- -------------------------------------------------------------------------------
* Total Return is calculated including reinvestment of income and capital gain
distributions. Past performance is no guarantee of future results. Performance
does not include any separate account charges imposed by Aetna. The Russell 2000
Index is an unmanaged broad-based index.
+ The Fund commenced investment operations on December 27, 1996.
How did the Fund perform during the period?
The Aetna Variable Small Company Portfolio (Small Company) provided a total
return of 16.41%, net of fund expenses, and outperformed the Russell 2000
Index(a) an unmanaged small company index, which returned 10.20% for the six
month period ended June 30, 1997. This Fund is a new addition to the Aetna
family of variable annuity fund offerings.
What economic or financial market conditions impacted the Fund?
Most financial market conditions were quite favorable with regard to impact on
the Fund. The economy continues to show good growth with a surprisingly low
inflation rate. Corporate profits remain strong and interest rates are low
versus recent historical standards. The only market condition that seems to
impact the Fund negatively is investors continued preference for liquidity (or
larger cap stocks). This is evidenced by the S&P 500 Index(b) return of 20.61%
versus the Russell 2000 Index return of 10.20% for the six month period.
What investments influenced the Fund's performance over the past six months?
A number of factors contributed to the Fund's strong performance. First, our
decision in early January to "overweight" or hold a proportion of investments in
the retail industry that was greater than that in the Fund's benchmark index
significantly boosted results. One holding advanced almost 50% during the
period, while two other stocks each returned more than 30%. Second, returns on
holdings in the healthcare industry were strong, led by Alcide Corp. which
advanced 96% and Trigon Healthcare which rose 66%. Energy stocks continue to
positively impact the portfolio, particularly in the oil service area. Other
areas that were strong include capital goods, finance, raw materials, technology
and telephones. Finally, the portfolio was also helped by four holdings which
received merger proposals at prices significantly above their market price.
86
<PAGE>
What is your outlook going forward?
Looking forward, we continue to see a challenging environment for small company
stocks. However, we believe that small company stocks should begin to perform
better relative to large company stocks due to the greater difference in stock
values. While small company stocks underperformed larger stocks for the six
month period, the performance spread was less pronounced in the period between
April and June 1997.
The Fund remains overweight in capital goods, consumer non-durables, energy, raw
materials, transportation, telephone and retail industries. We are currently
underweight in consumer cyclicals, finance, health care and technology.
We continue to believe that our investment strategy of focusing on those
companies with the strongest business momentum and those that sell at a
reasonable price can result in positive investment results in most environments.
Past performance is no assurance of future returns.
Investment Summary:
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------
Top Ten Holdings % of Portfolio
- -------------------------------------------------------------------------------
<S> <C>
Alcide Corp. 4.1%
Reynolds Metals Co. 4.1%
Cullen/Frost Bankers, Inc. 3.3%
Sterling Software, Inc. 3.2%
Associated Group, Inc., Class A 3.0%
Delphi Financial Group, Inc. 2.9%
Silicon Valley Group, Inc. 2.7%
Church & Dwight, Inc. 2.4%
Alpine Group, Inc. 2.2%
LaSalle Re Holdings Ltd. 2.2%
</TABLE>
Investment Sector Breakdown:
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------
Portfolio Russell 2000 Over/(Under)
Sector Weight Weight Weighting
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Capital Goods 10.9% 8.3% 2.6 %
Consumer Cyclical 11.1% 16.5% (5.4)%
Consumer Non-Cyclical 6.2% 3.5% 2.7 %
Energy 7.5% 4.8% 2.7 %
Finance 13.6% 23.5% (9.9)%
Raw Materials 11.1% 8.0% 3.1 %
Healthcare 9.9% 10.0% (0.1)%
Transportation 3.8% 2.0% 1.8 %
Technology 13.3% 14.5% (1.2)%
Electric Utilities 0.0% 3.1% (3.1)%
Telephones 3.1% 1.1% 2.0 %
Retail 9.5% 4.7% 4.8 %
</TABLE>
(a) The Russell 2000 Index consists of the smallest 2000 companies in the
Russell 3000 Index, and represents approximately 10% of the Russell 3000 total
market capitalization. The 3000 largest U.S. companies by market capitalization,
representing nearly 98% of the U.S. equity market, comprise the Russell 3000
Index. Both indices assume reinvestment of all dividends and are unmanaged.
(b) The S&P 500 (Standard & Poor's 500) Index is a value-weighted unmanaged
index of 500 widely held stocks that assumes the reinvestment of all dividends,
and is considered to be representative of the stock market in general.
87
<PAGE>
Aetna Variable Portfolios, Inc.
Aetna Variable Index Plus Portfolio
Growth of $10,000
Cumulative Total Returns for the Period Ended
June 30, 1997*
------------------
Inception+
32.73%
------------------
[GRAPHIC OMITTED]
[PLOT POINTS]
<TABLE>
<CAPTION>
Sep-96 Jun-97
<S> <C> <C> <C> <C> <C>
Aetna Variable Index Plus Fund 10,000 10,069 10,964 11,246 13,273
S&P 500 Index 10,000 10,107 10,834 11,124 13,067
</TABLE>
[LEGEND]
- -------------------------------------------------------------------------------
Aetna Variable Index Plus Portfolio S&P 500 Index
- -------------------------------------------------------------------------------
* Total Return is calculated including reinvestment of income and capital gain
distributions. Past performance is no guarantee of future results. Performance
does not include any separate account charges imposed by Aetna. The S&P 500
Index is an unmanaged broad-based index.
+ The Fund commenced investment operations on September 16, 1996.
How did the Fund perform during the period?
The Aetna Variable Index Plus Portfolio (Index Plus) generated a total return of
21.05%, net of fund expenses, and outperformed the S&P 500 Index(a), an
unmanaged index, which returned 20.61% for the six month period ended June 30,
1997. This is an excellent result in a period that has been characterized by
strong performance of the S&P 500 Index, and particularly large company stocks,
which achieved returns far above long-term historical averages.
What economic or financial market conditions impacted the Fund?
The most significant factor influencing the performance of the Fund relative to
the S&P 500 continues to be the dominance of the largest companies. One way to
measure the size of a company, such as a large company, is market capitilzation
or "market cap". This is simply the value the stock market places on an entire
company; a value that is defined by a company's stock price times the number of
the company's outstanding stock shares. If the S&P 500 companies were organized
by market capitalization, big was better, as the 10 largest companies generated
returns of 28.20% for the six month period ended June 30, 1997.
The Fund benefited from this effect because the quantitative model used to rank
the S&P 500 stocks favored the larger issues and thus overweighted them in the
portfolio. These issues were not favored simply because they were large, but
because the biggest stocks generally scored well on attributes such as low price
to earnings, relative performance, earnings momentum, and reliable growth, all
of which are important determinants in predicting which stocks are likely to do
well and which are expected to underperform.
What investments influenced the Fund's performance over the past six months?
In addition to the large company performance effect just mentioned, the Fund
benefited from favorable weightings in industries or "sectors" including finance
(overweighted positions in an outperforming group), raw materials and utilities
(underweighted positions in sectors, which underperformed). Offsetting this, in
part, were overweighted positions in technology and capital goods, both of which
underperformed. A weighting can be described as the proportion of investment in
a certain sector compared to the proprotion held within a benchmark index.
88
<PAGE>
What is your outlook going forward?
The Fund makes use of a quantitative model that ranks each stock in the S&P 500
on a variety of characteristics to determine the attractiveness of each issue.
The basic approach of the Fund is to own approximately 400 to 450 of the stocks
in the S&P 500, overweighting (relative to the weight of the stock in the index)
those stocks which are expected to outperform and underweighting those expected
to underperform. Stocks in the S&P 500 with very poor expected performance
(generally about 10% to 15% of the S&P 500) are not owned at all. Other stocks,
where there is no strong expectation of either underperformance or
outperformance, are held at a weight in the Fund equal to their weight in the
S&P 500.
The objective of the Fund is to outperform the S&P 500 while maintaining
portfolio characteristics that are substantially the same as the S&P 500. To
this end, the Fund's sector weightings are constrained to avoid a large variance
relative to the sector weightings in the S&P 500. We will continue to follow
this investment strategy going forward.
Past performance is no assurance of future returns.
Investment Summary:
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------
Top Ten Holdings % of Portfolio
- -------------------------------------------------------------------------------
<S> <C>
General Electric Co. 4.5%
Microsoft Corp. 3.9%
Coca-Cola Co. 2.7%
Exxon Corp. 2.4%
Philip Morris Cos., Inc. 2.3%
Bristol-Meyers Squibb Co. 2.0%
Procter & Gamble Co. 2.0%
Intel Corp. 1.8%
Merck & Co. 1.8%
International Business Machines, Inc. 1.7%
</TABLE>
Large Cap Portfolio Sector Breakdown:
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------
Portfolio S&P 500 Over/(Under)
Sector Weight Weight Weighting
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Basic Materials 3.3% 6.0% (2.7)%
Energy 9.1% 9.6% (0.5)%
Consumer Non-Discretionary 24.2% 11.9% 12.3 %
Consumer Discretionary 7.9% 23.0% (15.1)%
Commercial Services 1.4% 1.4% 0.0 %
Manufacturing 14.5% 8.8% 5.7 %
Technology 12.7% 14.5% (1.8)%
Finance 19.0% 15.6% 3.4 %
Utilities 7.9% 9.2% (1.3)%
</TABLE>
(a) The S&P 500 (Standard & Poor's 500) Index is a value-weighted unmanaged
index of 500 widely held stocks that assumes the reinvestment of all dividends,
and is considered to be representative of the stock market in general.
89
<PAGE>
Aetna Variable Portfolios, Inc.
Aetna Variable Capital Appreciation Portfolio
Growth of $10,000
Cumulative Total Returns for the Period Ended
June 30, 1997*
------------------
Inception+
22.79%
------------------
[GRAPHIC OMITTED]
[PLOT POINTS]
<TABLE>
<CAPTION>
Dec-96 Jun-97
<S> <C> <C> <C> <C>
Aetna Variable Capital Appreciation Fund 10,000 10,215 10,516 12,279
S&P 500 Index 10,000 10,165 10,437 12,259
</TABLE>
[LEGEND]
- -------------------------------------------------------------------------------
Aetna Variable Capital Appreciation Portfolio S&P 500 Index
- -------------------------------------------------------------------------------
* Total Return is calculated including reinvestment of income and capital gain
distributions. Past performance is no guarantee of future results. Performance
does not include any separate account charges imposed by Aetna. The S&P 500
Index is an unmanaged broad-based index.
+ The Fund commenced investment operations on December 13, 1996.
How did the Fund perform during the period?
The Aetna Variable Capital Appreciation Portfolio (Capital Appreciation)
provided a total return of 20.22%, net of fund expenses, compared to the S&P
500(a), an unmanaged index, return of 20.61% for the six month period ended June
30, 1997. While the Fund modestly underperformed the benchmark index, the S&P
500, in the first half of 1997, both security selection and sector weighting
strategy were important in achieving its double digit total return. This Fund is
a new addition to the Aetna family of variable annuity fund offerings.
What economic or financial market conditions impacted the Fund?
The financial markets truly had two faces in 1997 as the somber, tightening
interest rate environment of the first quarter gave way to a more jubilant mood
in the second quarter when everything seemed to go right for the stock and bond
markets.
What investments influenced the Fund's performance over the past six months?
The stock market's turmoil during the price correction in the first quarter gave
us the opportunity to add several positions that benefited performance in the
second quarter. We increased the weighting in certain industries or "sectors"
including the technology sector with new positions in Applied Materials and
Gateway 2000 and the energy group with the addition of Amerada Hess. We
overweighted the financial sector by adding a new position in Hartford Life.
This overweighting added to the Fund's performance as this sector benefited from
the decline in interest rates during May and June. We took profits in the
telephone sector with the sale of BellSouth and Ameritech to provide a partial
source of funds for the new purchases, as well as to underweight an
underperforming group. The Fund's position in Penzoil enhanced performance due
to the positive impact of an unsolicited take over offer from Union Pacific
Resources on the stock's price.
On the negative side, weakness in the energy group, in general, offset the
benefit achieved from the Pennzoil offer. Stocks that underperformed included
Burlington Resources and Atlantic Richfield. Because there are few true value
issues in the healthcare sector, we were forced to underweight this sector which
was one of the best performers in the first half of 1997. Finally, weak earnings
performance from Burlington Northern Santa Fe hurt its price action and caused
us to sell the position.
90
<PAGE>
What is your outlook going forward?
In respect to the Fund's capital appreciation strategy, we believe that
long-term superior performance is best achieved by owning companies whose past
problems have been inappropriately discounted and where evidence for positive
change, a catalyst, exists. We use traditional quantitative valuation measures
such as price-to-earnings and price-to-book value per share as a first step in
identifying purchase candidates. However, the key element is finding a catalyst
for change. This may arise from a positive change in the company's business
fundamentals, new product opportunities or corporate restructuring brought about
by revitalized management. We continue to believe that real value can only exist
when a combination of favorable valuation and a catalyst for improved and
sustainable company fundamentals are in place. Since most value-based issues
reflect low expectations, increasing recognition by investors of positive change
can lead to superior price performance. We typically sell an issue when price
appreciation reaches a point where the holding is fully valued, or if business
fundamentals deteriorate.
Past performance is no assurance of future returns.
Investment Summary:
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------
Top Ten Holdings % of Portfolio
- -------------------------------------------------------------------------------
<S> <C>
Northrop Grumman Corp. 4.8%
Aluminum Co. of America 4.5%
BJ Services Co. 4.4%
Travelers Group, Inc. 4.4%
Gateway 2000, Inc. 4.3%
Du Pont (E.I.) de Nemours 4.2%
Tosco Corp. 4.0%
Intel Corp. 3.8%
Hartford Life, Inc., Class A 3.7%
Amerada Hess Corp. 3.7%
</TABLE>
Large Cap Portfolio Sector Breakdown:
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------
Portfolio S&P 500 Over/(Under)
Sector Weight Weight Weighting
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Basic Materials 19.0% 6.0% 13.0 %
Energy 21.2% 9.6% 11.6 %
Consumer Non-Discretionary 2.4% 11.9% (9.5)%
Consumer Discretionary 6.1% 23.0% (16.9)%
Commerical Services 2.2% 1.4% 0.8 %
Manufacturing 14.2% 8.8% 5.4 %
Technology 18.7% 14.5% 4.2 %
Finance 16.2% 15.6% 0.6 %
Utilities 0.0% 9.2% (9.2)%
</TABLE>
(a) The S&P 500 (Standard & Poor's 500) Index is a value-weighted unmanaged
index of 500 widely held stocks that assumes the reinvestment of all dividends,
and is considered to be representative of the stock market in general.
91
<PAGE>
Aetna Variable Portfolios, Inc.
Portfolio of Investments - June 30, 1997 (Unaudited)
Growth
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Number of Market
Shares Value
--------- ----------
<S> <C> <C>
COMMON STOCKS (94.6%)
Aerospace and Defense (7.8%)
Boeing Co. ........................................... 3,800 $ 201,637
General Motors, Class H .............................. 2,800 161,700
United Technologies Corp. ............................ 1,300 107,900
----------
471,237
----------
Agriculture (2.2%)
Delta & Pine Land Co. ................................ 3,766 134,164
----------
Banks (2.7%)
Wells Fargo & Co. .................................... 600 161,700
----------
Commercial Services (2.1%)
USA Waste Services, Inc.+ ............................ 3,300 127,463
----------
Computer Software (4.0%)
Microsoft Corp.+ ..................................... 600 75,825
National Data Corp. .................................. 3,800 164,588
----------
240,413
----------
Computers and Office Equipment (8.0%)
Gateway 2000, Inc.+ .................................. 5,000 162,188
HBO & Co. ............................................ 2,800 192,850
Sun Microsystems, Inc.+ .............................. 3,500 130,266
----------
485,304
----------
Diversified (3.3%)
Tyco International Ltd. .............................. 2,900 201,730
----------
Electrical and Electronics (4.6%)
Intel Corp. .......................................... 1,250 177,266
Xilinx, Inc.+ ........................................ 2,000 98,125
----------
275,391
----------
Financial Services (17.3%)
Franklin Resources, Inc. ............................. 3,300 239,455
Green Tree Financial Corp. ........................... 3,500 124,688
Money Store, Inc. (The) .............................. 5,000 143,438
SunAmerica, Inc. ..................................... 4,000 195,000
T. Rowe Price Associates ............................. 3,000 154,875
Travelers Group, Inc. ................................ 3,000 189,188
----------
1,046,644
----------
Foods and Beverages (2.6%)
Anheuser-Busch Co., Inc. ............................. 3,800 159,363
----------
Health Services (1.3%)
Oxford Health Plans, Inc.+ ........................... 1,100 78,925
----------
Hotels and Restaurants (2.4%)
Hilton Hotels Corp. .................................. 5,400 143,438
----------
Machinery and Equipment (2.3%)
Caterpillar, Inc. .................................... 1,300 139,588
----------
Oil and Gas (11.8%)
BJ Services Co.+ ..................................... 3,900 209,137
Burlington Resources, Inc. ........................... 3,400 150,025
Santa Fe International Corp.+ ........................ 6,000 203,999
Schlumberger Ltd. .................................... 1,200 150,000
----------
713,161
----------
- --------------------------------------------------------------------------------
Number of Market
Shares Value
--------- ----------
Pharmaceuticals (7.7%)
Bristol-Myers Squibb Co. ............................. 2,000 $ 162,000
Johnson & Johnson .................................... 1,600 103,000
Merck & Co., Inc. .................................... 1,900 196,649
----------
461,649
----------
Retail (4.7%)
Safeway, Inc.+ ....................................... 3,800 175,275
TJX Companies, Inc. .................................. 4,000 105,500
----------
280,775
----------
Telecommunications (4.3%)
Andrew Corp.+ ........................................ 5,000 140,625
Northern Telecom Ltd. ................................ 1,300 118,300
----------
258,925
----------
Transportation (1.5%)
UAL Corp.+ ........................................... 1,300 93,031
----------
Utilities - Electric (2.4%)
AES Corp.+ ........................................... 2,000 141,500
----------
Utilities - Oil and Gas (1.6%)
Sonat, Inc. .......................................... 1,900 97,375
----------
Total Common Stocks (cost $5,103,531) 5,711,776
----------
Principal
Amount
---------
SHORT-TERM INVESTMENTS (6.2%)
Federal National Mortgage Association,
Mortgage-Backed Securities, 5.60%, 07/01/97 .......... $ 375,000 375,000
----------
Total Short-Term Investments (cost $375,000) ......... 375,000
----------
TOTAL INVESTMENTS (cost $5,478,531)(a) ............... 6,086,776
Other assets less liabilities (46,553)
----------
Total Net Assets $6,040,223
==========
</TABLE>
Notes to Portfolio of Investments
(a) The cost of investments for federal income tax purposes is identical.
Unrealized gains and losses, based on identified tax cost at June 30, 1997, are
as follows:
<TABLE>
<CAPTION>
<S> <C>
Unrealized gains ...................... $660,343
Unrealized losses ..................... (52,098)
--------
Net unrealized gain ................. $608,245
========
</TABLE>
+Non-income producing security.
Category percentages are based on net assets.
92 See Notes to Financial Statements.
<PAGE>
Small Company
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Number of Market
Shares Value
--------- ----------
<S> <C> <C>
COMMON STOCKS (94.2%)
Aerospace and Defense (1.8%)
BE Aerospace, Inc.+ .................................. 3,600 $ 113,850
----------
Apparel (2.4%)
Hartmarx Corp.+ ...................................... 8,000 66,000
Kellwood Co. ......................................... 3,000 83,250
----------
149,250
----------
Banks (4.8%)
Cullen/Frost Bankers, Inc. ........................... 4,900 207,637
Provident Bankshares Corp. ........................... 2,205 91,783
----------
299,420
----------
Building Materials and Construction (4.5%)
Fibreboard Corp.+ .................................... 1,700 93,500
Interface, Inc. ...................................... 2,300 50,888
Lone Star Industries, Inc. ........................... 1,500 67,969
Morrison Knudsen Corp.+ .............................. 5,000 68,125
----------
280,482
----------
Chemicals (5.2%)
Church & Dwight, Inc. ................................ 5,500 147,125
Crompton & Knowles Corp. ............................. 5,400 120,150
Lilly Industries, Inc., Class A ...................... 3,000 60,375
----------
327,650
----------
Computer Software (6.1%)
National Data Corp. .................................. 1,800 77,963
Sterling Software, Inc.+ ............................. 6,400 199,999
Wall Data, Inc.+ ..................................... 4,000 105,500
----------
383,462
----------
Computers and Office Equipment (2.2%)
Radiant Systems, Inc.+ ............................... 4,000 83,500
Shelby Williams Industries, Inc. ..................... 4,000 54,500
----------
138,000
----------
Diversified (4.0%)
Griffon Corp.+ ....................................... 6,200 84,863
Pluma, Inc.+ ......................................... 4,000 61,500
Triarc Co., Inc.+ .................................... 5,000 101,875
----------
248,238
----------
Electrical and Electronics (7.8%)
BMC Industries, Inc. ................................. 2,100 71,925
Cymer, Inc.+ ......................................... 1,500 73,125
Fusion Systems Corp.+ ................................ 3,000 118,688
Scotsman Industries, Inc. ............................ 2,000 57,000
Silicon Valley Group, Inc.+ .......................... 6,400 168,800
----------
489,538
----------
Electrical Equipment (2.2%)
Alpine Group, Inc.+ .................................. 12,000 135,750
----------
Financial Services (3.0%)
Aames Financial Corp. ................................ 4,000 74,000
Medallion Financial Corp. ............................ 6,000 114,750
----------
188,750
----------
- --------------------------------------------------------------------------------
Number of Market
Shares Value
--------- ----------
Foods and Beverages (1.9%)
Cott Corp.+ .......................................... 11,000 $ 116,875
----------
Health Services (1.7%)
Trigon Healthcare, Inc.+ ............................. 4,500 109,125
----------
Hotels and Restaurants (0.9%)
Prime Hospitality Corp.+ ............................. 3,000 59,250
----------
Insurance (5.1%)
Delphi Financial Group, Inc.+ ........................ 4,692 180,642
LaSalle Re Holdings Ltd. ............................. 4,600 135,700
----------
316,342
----------
Machinery and Equipment (3.7%)
Kuhlman Corp. ........................................ 2,000 64,500
McDermott International, Inc. ........................ 3,000 87,563
Terex Corp.+ ......................................... 4,000 77,000
----------
229,063
----------
Media and Entertainment (2.9%)
Telemundo Group, Inc., Class A+ ...................... 3,500 84,000
Young Broadcasting Corp.+ ............................ 3,000 97,500
----------
181,500
----------
Medical Supplies (2.4%)
Bionx Implants, Inc.+ ................................ 3,000 51,000
PLC Systems, Inc.+ ................................... 4,600 101,488
----------
152,488
----------
Metals and Mining (5.3%)
Carpenter Technology Corp. ........................... 1,600 73,200
Reynolds Metals Co. .................................. 3,600 256,499
----------
329,699
----------
Oil and Gas (5.8%)
Camco International, Inc. ............................ 1,800 98,550
Giant Industries, Inc. ............................... 8,000 126,500
Nabors Industries, Inc.+ ............................. 4,200 105,000
Western Gas Resources, Inc. .......................... 1,700 33,150
----------
363,200
----------
Paper and Containers (1.2%)
Gaylord Container Corp., Class A+ .................... 10,000 76,875
----------
Pharmaceuticals (5.1%)
Alcide Corp.+ ........................................ 6,300 256,724
Columbia Laboratories, Inc.+ ......................... 4,000 65,500
----------
322,224
----------
Retail (7.6%)
Burlington Coat Factory Warehouse+ ................... 5,000 97,500
Carson Pirie Scott & Co.+ ............................ 4,000 127,000
Dress Barn, Inc.+ .................................... 4,300 83,850
Family Dollar Stores, Inc. ........................... 3,600 98,100
Stride Rite Corp. .................................... 5,500 70,813
----------
477,263
----------
Telecommunications (2.9%)
Associated Group, Inc., Class A+ ..................... 4,600 184,000
----------
</TABLE>
See Notes to Portfolio of Investments. 93
<PAGE>
Aetna Variable Portfolios, Inc.
Portfolio of Investments - June 30, 1997 (Unaudited)
Small Company (continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Number of Market
Shares Value
--------- ----------
<S> <C> <C>
Transportation (3.6%)
Canadian National Railway ............................ 1,500 $ 65,625
Expeditors International of
Washington, Inc. ................................... 2,500 70,938
Yellow Corp.+ ........................................ 4,000 89,500
----------
226,063
----------
Utilities - Electric (0.1%)
El Paso Electric Co.+ ................................ 900 6,356
----------
Total Common Stocks (cost $5,170,205) 5,904,713
----------
Principal
Amount
----------
SHORT-TERM INVESTMENTS (5.2%)
Federal National Mortgage Association,
Mortgage-Backed Securities, 5.60%, 07/01/97 .......... $ 325,000 325,000
----------
Total Short-Term Investments (cost $325,000) 325,000
----------
TOTAL INVESTMENTS (cost $5,495,205)(a) 6,229,713
Other assets less liabilities 37,356
----------
Total Net Assets $6,267,069
==========
</TABLE>
(a) The cost of investments for federal income tax purposes is identical.
Unrealized gains and losses, based on identified tax cost at June 30, 1997, are
as follows:
<TABLE>
<CAPTION>
<S> <C>
Unrealized gains ...................... $778,583
Unrealized losses ..................... (44,075)
--------
Net unrealized gain ................. $734,508
========
</TABLE>
+Non-income producing security.
Category percentages are based on net assets.
94 See Notes to Financial Statements.
<PAGE>
Index Plus
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Number of Market
Shares Value
--------- ----------
<S> <C> <C>
COMMON STOCKS (98.3%)
Aerospace and Defense (1.5%)
Boeing Co. ........................................... 4,142 $ 219,785
General Dynamics Corp. ............................... 600 45,000
Lockheed Martin Corp. ................................ 1,746 180,820
McDonnell-Douglas Corp. .............................. 1,800 123,300
Northrop Grumman Corp. ............................... 500 43,906
Raytheon Co. ......................................... 800 40,800
United Technologies Corp. ............................ 2,600 215,800
----------
869,411
----------
Agriculture (0.1%)
Pioneer Hi-Bred International, Inc. .................. 500 40,000
----------
Apparel (0.3%)
Alberto-Culver Co. ................................... 200 5,600
Fruit of the Loom, Inc.+ ............................. 700 21,700
Gap, Inc. ............................................ 1,600 62,200
Liz Claiborne, Inc. .................................. 500 23,313
Nike, Inc., Class B .................................. 1,200 70,050
Reebok International Ltd.+ ........................... 200 9,350
Russell Corp. ........................................ 100 2,963
----------
195,176
----------
Auto Parts and Accessories (0.4%)
Cooper Tire & Rubber Co. ............................. 200 4,400
Dana Corp. ........................................... 600 22,800
Echlin, Inc. ......................................... 100 3,600
Genuine Parts Co. .................................... 1,450 49,119
Pep Boys ............................................. 100 3,406
The Goodyear Tire & Rubber Co. ....................... 1,300 82,306
TRW, Inc. ............................................ 1,000 56,813
----------
222,444
----------
Autos and Auto Equipment (2.5%)
Chrysler Corp. ....................................... 4,200 137,813
Ford Motor Co. ....................................... 16,800 634,199
General Motors Corp. ................................. 10,900 606,994
PACCAR, Inc. ......................................... 800 37,150
Snap-On, Inc. ........................................ 500 19,688
----------
1,435,844
----------
Banks (7.8%)
Banc One Corp. ....................................... 3,700 179,219
Bank of New York Co., Inc. ........................... 4,700 204,450
BankAmerica Corp. .................................... 10,800 697,274
BankBoston Corp. ..................................... 1,600 115,300
Barnett Banks, Inc. .................................. 2,400 126,000
CITICORP ............................................. 3,900 470,194
Comerica, Inc. ....................................... 1,300 88,400
Corestates Financial Corp. ........................... 1,800 96,750
Countrywide Credit Industries, Inc. .................. 1,000 31,312
Fifth Third Bancorp .................................. 1,100 90,269
First Bank System, Inc. .............................. 1,000 85,375
First Chicago Corp. .................................. 3,500 211,750
First Union Corp. .................................... 3,900 360,750
- --------------------------------------------------------------------------------
Number of Market
Shares Value
--------- ----------
Banks (continued)
Fleet Financial Group, Inc. .......................... 2,000 $ 126,500
Golden West Financial Corp. .......................... 500 35,000
Great Western Financial Corp. ........................ 1,600 86,000
KeyCorp .............................................. 1,800 100,575
Mellon Bank Corp. .................................... 2,800 126,350
NationsBank Corp. .................................... 9,122 588,369
Norwest Corp. ........................................ 5,300 298,125
Providian Financial Corp. ............................ 1,200 38,550
Republic New York Corp. .............................. 600 64,500
Suntrust Banks, Inc. ................................. 3,100 170,694
Wachovia Corp. ....................................... 1,300 75,806
Wells Fargo & Co. .................................... 300 80,850
----------
4,548,362
----------
Building Materials and Construction (0.2%)
Armstrong World Industries, Inc. ..................... 300 22,013
Centex Corp. ......................................... 400 16,250
Foster Wheeler Corp. ................................. 100 4,050
Kaufman & Broad Home Corp. ........................... 200 3,513
Masco Corp. .......................................... 1,200 50,100
Owens Corning ........................................ 200 8,625
Pulte Corp. .......................................... 100 3,456
Sherwin-Williams Co. ................................. 1,400 43,225
----------
151,232
----------
Chemicals (2.4%)
Air Products and Chemicals, Inc. ..................... 800 65,000
Dow Chemical Co. ..................................... 2,000 174,250
Du Pont (E.I.) de Nemours ............................ 9,500 597,313
Engelhard Corp. ...................................... 900 18,844
FMC Corp.+ ........................................... 100 7,944
Goodrich (B.F.) Co. .................................. 100 4,331
Hercules, Inc. ....................................... 200 9,575
Monsanto Co. ......................................... 5,100 219,619
Morton International, Inc. ........................... 1,200 36,225
Nalco Chemical Co. ................................... 100 3,863
PPG Industries, Inc. ................................. 1,400 81,375
Praxair, Inc. ........................................ 1,400 78,400
Sigma-Aldrich Corp. .................................. 700 24,544
Union Carbide Corp. .................................. 900 42,356
W.R. Grace & Co. ..................................... 500 27,563
----------
1,391,202
----------
Commercial Services (0.7%)
Automatic Data Processing, Inc. ...................... 2,300 108,100
Browning-Ferris Industries, Inc. ..................... 500 16,625
CUC International, Inc.+ ............................. 2,400 61,950
Dun & Bradstreet Corp. ............................... 600 15,750
Ecolab, Inc. ......................................... 400 19,100
First Data Corp. ..................................... 1,400 61,513
H & R Block, Inc. .................................... 400 12,900
Safety-Kleen Corp. ................................... 300 5,063
Service Corp. International .......................... 1,700 55,888
Waste Management, Inc. ............................... 1,300 41,763
----------
398,652
----------
</TABLE>
See Notes to Portfolio of Investments. 95
<PAGE>
Aetna Variable Portfolios, Inc.
Portfolio of Investments - June 30, 1997 (Unaudited)
Index Plus (continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Number of Market
Shares Value
--------- ----------
<S> <C> <C>
Computer Software (5.2%)
Adobe Systems, Inc. .................................. 500 $ 17,531
Cisco Systems, Inc.+ ................................. 2,800 187,950
Computer Associates International, Inc................ 2,900 161,494
Computer Sciences Corp.+ ............................. 400 28,850
Microsoft Corp.+ ..................................... 18,200 2,300,024
Oracle Corp.+ ........................................ 6,200 312,325
Parametric Technology Co.+ ........................... 800 34,050
----------
3,042,224
----------
Computers and Office Equipment (4.1%)
3Com Corp.+ .......................................... 600 27,000
Cabletron Systems, Inc.+ ............................. 700 19,819
Ceridian Corp.+ ...................................... 400 16,900
Compaq Computer Corp.+ ............................... 4,200 416,850
Data General Corp.+ .................................. 200 5,200
Dell Computer Corp.+ ................................. 2,300 270,106
Deluxe Corp. ......................................... 200 6,825
EMC Corp.+ ........................................... 2,700 105,300
Harris Corp. ......................................... 400 33,600
International Business Machines, Inc. ................ 11,200 1,010,099
Moore Corp. Ltd. ..................................... 200 3,938
Pitney Bowes, Inc. ................................... 1,500 104,250
Sun Microsystems, Inc.+ .............................. 3,900 145,153
Tandem Computers, Inc.+ .............................. 1,300 26,325
Unisys Corp.+ ........................................ 600 4,575
Xerox Corp. .......................................... 2,500 197,188
----------
2,393,128
----------
Consumer Products (3.4%)
American Greetings Corp., Class A .................... 400 14,850
Avon Products, Inc. .................................. 900 63,506
Clorox Co. ........................................... 400 52,800
Colgate-Palmolive Co. ................................ 1,700 110,925
Eastman Kodak Co. .................................... 1,900 145,825
Gillette Co. ......................................... 3,400 322,150
International Flavors & Fragrances, Inc. ............. 100 5,050
Mattel, Inc. ......................................... 1,200 40,650
Newell Co. ........................................... 1,200 47,550
Polaroid Corp. ....................................... 400 22,200
Procter & Gamble Co. ................................. 8,200 1,158,249
Rubbermaid, Inc. ..................................... 500 14,875
Tupperware Corp. ..................................... 500 18,250
----------
2,016,880
----------
Diversified (7.1%)
Aeroquip-Vickers, Inc. ............................... 100 4,725
Allied Signal, Inc. .................................. 2,300 193,200
Cognizant Corp. ...................................... 1,300 52,650
Cooper Industries, Inc. .............................. 900 44,775
Corning, Inc. ........................................ 1,700 94,563
Crane Co. ............................................ 350 14,634
Deere & Co. .......................................... 3,600 197,550
Dover Corp. .......................................... 1,000 61,500
Eastern Enterprises .................................. 100 3,469
- --------------------------------------------------------------------------------
Number of Market
Shares Value
--------- ----------
Diversified (continued)
Eaton Corp. .......................................... 600 $ 52,388
Fortune Brands, Inc. ................................. 1,100 41,044
General Electric Co. ................................. 40,700 2,660,762
ITT Industries, Inc. ................................. 700 18,025
Johnson Controls, Inc. ............................... 500 20,531
Minnesota Mining and Manufacturing Co. ............... 3,700 377,400
Raychem Corp. ........................................ 400 29,750
Rohm & Haas Co. ...................................... 400 36,025
Tenneco, Inc. ........................................ 500 22,594
Textron, Inc. ........................................ 1,200 79,650
Tyco International Ltd. .............................. 2,000 139,125
VF Corp. ............................................. 400 34,050
Whitman Corp. ........................................ 200 5,063
----------
4,183,473
----------
Electrical and Electronics (3.5%)
Advanced Micro Devices, Inc.+ ........................ 1,600 57,600
Applied Materials, Inc.+ ............................. 900 63,731
General Signal Corp. ................................. 100 4,363
Hewlett Packard Co. .................................. 4,100 229,600
Intel Corp. .......................................... 7,700 1,091,955
LSI Logic Corp.+ ..................................... 1,200 38,400
Micron Technology, Inc.+ ............................. 500 19,969
Motorola, Inc. ....................................... 1,800 136,800
National Semiconductor Corp.+ ........................ 1,600 49,000
National Service Industries, Inc. .................... 400 19,475
Perkin-Elmer Corp. ................................... 300 23,869
Rockwell International Corp. ......................... 1,800 106,200
Seagate Technology, Inc.+ ............................ 3,300 116,119
Texas Instruments, Inc. .............................. 900 75,656
----------
2,032,737
----------
Electrical Equipment (0.7%)
AMP, Inc. ............................................ 600 25,050
Emerson Electric Co. ................................. 3,900 214,744
Grainger (W. W.), Inc. ............................... 300 23,456
Honeywell, Inc. ...................................... 1,300 98,638
Tektronix, Inc. ...................................... 200 12,000
Thomas & Betts Corp. ................................. 500 26,281
----------
400,169
----------
Financial Services (6.5%)
Ahmanson (H. F.) & Co. ............................... 1,300 55,900
American Express Co. ................................. 7,200 536,400
Bankers Trust New York Corp. ......................... 700 60,900
Beneficial Corp. ..................................... 300 21,319
Charles Schwab Corp. ................................. 1,300 52,894
Chase Manhattan Corp. ................................ 5,300 514,431
Equifax, Inc. ........................................ 1,300 48,344
Federal Home Loan Mortgage Corp. ..................... 5,800 199,375
Federal National Mortgage Association ................ 12,600 549,675
Green Tree Financial Corp. ........................... 1,300 46,313
Household International, Inc. ........................ 700 82,206
J.P. Morgan & Co. .................................... 1,500 156,563
</TABLE>
96 See Notes to Portfolio of Investments.
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Number of Market
Shares Value
--------- ----------
<S> <C> <C>
Financial Services (continued)
MBNA Corp. ........................................... 3,800 $ 139,175
Merrill Lynch & Co., Inc. ............................ 3,100 184,838
Morgan Stanley, Dean Witter, Discover & Co............ 3,010 129,618
National City Corp. .................................. 1,700 89,250
PNC Bank Corp. ....................................... 2,600 108,225
Salomon, Inc. ........................................ 1,000 55,625
St. Paul Co., Inc. ................................... 700 53,375
Transamerica Corp. ................................... 500 46,781
Travelers Group, Inc. ................................ 9,066 571,725
US Bancorp ........................................... 1,700 109,013
----------
3,811,945
----------
Foods and Beverages (5.8%)
Anheuser-Busch Co., Inc. ............................. 4,200 176,138
Archer-Daniels-Midland Co. ........................... 1,600 37,600
Brown-Forman Corp., Class B .......................... 600 29,288
Campbell Soup Co. .................................... 4,000 200,000
Coca-Cola Co. ........................................ 23,400 1,579,499
Conagra, Inc. ........................................ 2,600 166,725
Coors (Adolph) Co. ................................... 200 5,325
CPC International, Inc. .............................. 700 64,619
General Mills, Inc. .................................. 400 26,050
Heinz (H.J.) Co. ..................................... 2,900 133,763
Hershey Foods Corp. .................................. 1,300 71,906
Kroger Co. (The)+ .................................... 2,200 63,800
PepsiCo, Inc. ........................................ 6,600 247,913
Quaker Oats Co. ...................................... 800 35,900
Ralston-Ralston Purina Group ......................... 800 65,750
Sara Lee Corp. ....................................... 4,200 174,825
Seagram Ltd. ......................................... 1,100 44,275
Supervalu, Inc. ...................................... 300 10,350
Sysco Corp. .......................................... 1,200 43,800
Unilever N.V ......................................... 900 196,200
Wrigley (Wm) Jr. Co. ................................. 500 33,500
----------
3,407,226
----------
Health Services (0.9%)
Beverly Enterprises+ ................................. 300 4,875
Columbia/HCA Healthcare Corp. ........................ 7,600 298,775
HEALTHSOUTH Corp.+ ................................... 3,100 77,306
Humana, Inc.+ ........................................ 600 13,875
Manor Care, Inc. ..................................... 500 16,313
Shared Medical Systems Corp. ......................... 200 10,800
Tenet Healthcare Corp.+ .............................. 2,400 70,950
United Healthcare Corp. .............................. 500 26,000
----------
518,894
----------
Hotels and Restaurants (0.9%)
HFS, Inc.+ ........................................... 1,100 63,800
Hilton Hotels Corp. .................................. 1,700 45,156
ITT Corp.+ ........................................... 400 24,425
- --------------------------------------------------------------------------------
Number of Market
Shares Value
--------- ----------
Hotels and Restaurants (continued)
Marriott International, Inc. ......................... 1,200 $ 73,650
McDonald's Corp. ..................................... 5,900 285,044
Wendy's International ................................ 700 18,156
----------
510,231
----------
Household Appliances (0.0%)
Maytag Corp. ......................................... 800 20,900
Whirlpool Corp. ...................................... 100 5,456
----------
26,356
----------
Insurance (4.9%)
Allstate Corp. ....................................... 6,700 489,100
American General Corp. ............................... 1,821 86,953
American International Group, Inc. ................... 6,500 970,937
Aon Corp. ............................................ 650 33,638
Chubb Corp. .......................................... 1,300 86,938
Cigna Corp. .......................................... 1,000 177,500
Conseco, Inc. ........................................ 2,400 88,800
General Re Corp. ..................................... 900 163,800
Hartford Financial Services Group, Inc................ 1,600 132,400
Jefferson-Pilot Corp. ................................ 600 41,925
Lincoln National Corp. ............................... 800 51,500
Loews Corp. .......................................... 1,700 170,213
Marsh & McLennan Co., Inc. ........................... 1,400 99,925
MBIA, Inc. ........................................... 400 45,125
MGIC Investment Corp. ................................ 1,600 76,700
Safeco Corp. ......................................... 1,000 46,688
Torchmark Corp. ...................................... 900 64,125
UNUM Corp. ........................................... 800 33,600
USF&G Corp. .......................................... 500 12,000
----------
2,871,867
----------
Machinery and Equipment (1.3%)
Baker Hughes, Inc. ................................... 1,600 61,900
Black & Decker Corp. ................................. 200 7,438
Briggs & Stratton Corp. .............................. 100 5,000
Brunswick Corp. ...................................... 800 25,000
Case Corp. ........................................... 500 34,438
Caterpillar, Inc. .................................... 2,600 279,175
Cincinnati Milacron, Inc. ............................ 100 2,594
Cummins Engine Company, Inc. ......................... 200 14,113
Harnischfeger Industries, Inc. ....................... 600 24,900
Illinois Tool Works, Inc. ............................ 2,500 124,844
Ingersoll-Rand Co. ................................... 1,200 74,100
Millipore Corp. ...................................... 100 4,400
Pall Corp. ........................................... 200 4,650
Parker-Hannifin Corp. ................................ 700 42,481
Stanley Works ........................................ 500 20,000
Thermo Electron Corp.+ ............................... 1,000 34,000
----------
759,033
----------
</TABLE>
97
<PAGE>
Aetna Variable Portfolios, Inc.
Portfolio of Investments - June 30, 1997 (Unaudited)
Index Plus (continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Number of Market
Shares Value
--------- ----------
<S> <C> <C>
Media and Entertainment (1.1%)
Fleetwood Enterprises, Inc. .......................... 200 $ 5,963
Interpublic Group of Co., Inc. ....................... 700 42,919
King World Production, Inc. .......................... 100 3,500
Time Warner, Inc. .................................... 4,800 231,600
Walt Disney Co. ...................................... 4,500 361,125
----------
645,107
----------
Medical Supplies (1.3%)
Alza Corp.+ .......................................... 700 20,300
American Home Products Corp. ......................... 5,900 451,350
Bard (C.R.), Inc. .................................... 100 3,631
Baxter International, Inc. ........................... 1,200 62,700
Biomet, Inc.+ ........................................ 900 16,763
Boston Scientific Corp.+ ............................. 600 36,863
Guidant Corp. ........................................ 500 42,500
Mallinckrodt, Inc. ................................... 400 15,200
Medtronic, Inc. ...................................... 1,100 89,100
US Surgical Corp. .................................... 200 7,450
----------
745,857
----------
Metals and Mining (0.7%)
Alcan Aluminum, Ltd. ................................. 1,900 65,906
Allegheny Teledyne, Inc. ............................. 1,100 29,700
Aluminum Co. of America .............................. 1,400 105,525
Armco, Inc.+ ......................................... 500 1,938
Bethlehem Steel Corp.+ ............................... 900 9,394
Freeport-McMoRan Copper & Gold, Inc. ................. 700 21,788
Inland Steel Industries, Inc. ........................ 600 15,675
Nucor Corp. .......................................... 400 22,600
Phelps Dodge Corp. ................................... 500 42,594
Reynolds Metals Co. .................................. 200 14,250
Timken Co. ........................................... 800 28,450
USX-US Steel Group, Inc. ............................. 900 31,556
----------
389,376
----------
Oil and Gas (8.7%)
Amoco Corp. .......................................... 3,100 269,506
Ashland, Inc. ........................................ 500 23,188
Atlantic Richfield Co. ............................... 2,600 183,300
Burlington Resources, Inc. ........................... 1,100 48,538
Chevron Corp. ........................................ 6,200 458,413
Columbia Gas System, Inc. ............................ 500 32,625
Consolidated Natural Gas Co. ......................... 600 32,288
Dresser Industries, Inc. ............................. 1,300 48,425
Enron Corp. .......................................... 1,600 65,300
ENSERCH Corp. ........................................ 300 6,675
Exxon Corp. .......................................... 23,400 1,439,099
Halliburton Co. ...................................... 1,300 103,025
Helmerich & Payne, Inc. .............................. 100 5,763
Kerr-Mcgee Corp. ..................................... 300 19,013
Mobil Corp. .......................................... 5,000 349,375
NorAm Energy Corp. ................................... 400 6,100
Occidental Petroleum Corp. ........................... 1,600 40,100
Oneok, Inc. .......................................... 100 3,219
- --------------------------------------------------------------------------------
Number of Market
Shares Value
--------- ----------
Oil and Gas (continued)
Oryx Energy Co.+ ..................................... 900 $ 19,013
Pennzoil Co. ......................................... 700 53,725
Phillips Petroleum Co. ............................... 2,200 96,250
Rowan Co., Inc.+ ..................................... 800 22,550
Royal Dutch Petroleum Co. ............................ 13,200 717,749
Santa Fe Energy Resources, Inc.+ ..................... 500 7,344
Schlumberger Ltd. .................................... 3,800 475,000
Sun Company, Inc. .................................... 500 15,500
Texaco, Inc. ......................................... 2,300 250,125
The Williams Co., Inc. ............................... 1,200 52,500
Union Pacific Resources Group, Inc. .................. 1,654 41,143
Unocal Corp. ......................................... 2,500 97,031
USX-Marathon Group ................................... 3,700 106,838
Western Atlas, Inc.+ ................................. 400 29,300
----------
5,118,020
----------
Paper and Containers (0.6%)
Avery Dennison Corp. ................................. 900 36,113
Bemis Co., Inc. ...................................... 500 21,625
Crown Cork & Seal Co., Inc. .......................... 700 37,406
James River Corp. of Virginia ........................ 500 18,500
Kimberly-Clark Corp. ................................. 4,900 243,775
Mead Corp. ........................................... 100 6,225
----------
363,644
----------
Pharmaceuticals (10.2%)
Abbott Laboratories .................................. 9,700 647,474
Amgen, Inc.+ ......................................... 2,800 162,750
Becton, Dickinson & Co. .............................. 1,000 50,625
Bristol-Myers Squibb Co. ............................. 14,800 1,198,799
Cardinal Health Inc. ................................. 800 45,800
Eli Lilly & Co. ...................................... 4,800 524,700
Johnson & Johnson .................................... 12,200 785,374
Merck & Co., Inc. .................................... 10,400 1,076,399
Pfizer, Inc. ......................................... 5,500 657,249
Pharmacia & Upjohn, Inc. ............................. 1,700 59,075
Schering Plough ...................................... 10,200 488,325
Warner Lambert Co. ................................... 2,300 285,775
----------
5,982,345
----------
Printing and Publishing (0.6%)
Gannett Co., Inc. .................................... 1,500 148,125
John H. Harland Co. .................................. 100 2,281
Knight-Ridder, Inc. .................................. 600 29,438
McGraw-Hill Co., Inc. ................................ 500 29,406
Meredith Corp. ....................................... 200 5,800
New York Times Co. ................................... 800 39,600
RR Donnelley & Sons Co. .............................. 400 14,650
Times Mirror Co. ..................................... 900 49,725
Tribune Co. .......................................... 1,000 48,063
----------
367,088
----------
</TABLE>
98 See Notes to Portfolio of Investments.
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Number of Market
Shares Value
--------- ----------
<S> <C> <C>
Retail (3.6%)
Albertson's, Inc. .................................... 900 $ 32,850
American Stores Co. .................................. 1,100 54,313
Costco Companies, Inc.+ .............................. 2,600 85,475
CVS Corp. ............................................ 1,100 56,375
Dayton Hudson Corp. .................................. 2,900 154,244
Dillards, Inc., Class A .............................. 200 6,925
Federated Department Stores, Inc.+ ................... 1,500 52,125
Footstar, Inc.+ ...................................... 28 732
Great Atlantic & Pacific Tea Co., Inc. ............... 100 2,719
Harcourt General, Inc. ............................... 100 4,763
Hasbro, Inc. ......................................... 800 22,700
Home Depot, Inc. ..................................... 4,100 282,644
J.C. Penney Co., Inc. ................................ 800 41,750
Kmart Corp.+ ......................................... 3,600 44,100
Longs Drug Stores, Inc. .............................. 200 5,238
Lowe's Companies, Inc. ............................... 1,500 55,688
May Department Stores Co. ............................ 700 33,075
Mercantile Stores Co., Inc. .......................... 100 6,294
Nordstrom, Inc. ...................................... 300 14,719
Rite Aid Corp. ....................................... 1,300 64,838
Sears, Roebuck & Co. ................................. 3,400 182,750
Tandy Corp. .......................................... 300 16,800
The Limited, Inc. .................................... 700 14,175
TJX Companies, Inc. .................................. 2,000 52,750
Toys "R" Us, Inc.+ ................................... 1,400 49,000
Wal-Mart Stores, Inc. ................................ 19,100 645,818
Walgreen Co. ......................................... 2,100 112,613
Winn-Dixie Stores, Inc. .............................. 400 14,900
Woolworth Corp.+ ..................................... 900 21,600
----------
2,131,973
----------
Telecommunications (2.3%)
Ameritech Corp. ...................................... 6,200 421,213
Andrew Corp.+ ........................................ 600 16,875
Lucent Technologies, Inc. ............................ 8,918 642,652
Northern Telecom Ltd. ................................ 3,100 282,100
----------
1,362,840
----------
Tobacco (2.3%)
Philip Morris Co., Inc. .............................. 30,200 1,340,124
UST, Inc. ............................................ 1,100 30,525
----------
1,370,649
----------
Transportation (1.1%)
AMR Corp.+ ........................................... 800 74,000
Burlington Northern Santa Fe Corp. ................... 500 44,938
CSX Corp. ............................................ 1,700 94,350
Delta Air Lines, Inc. ................................ 1,000 82,000
Federal Express Corp.+ ............................... 700 40,425
Laidlaw, Inc., Class B ............................... 1,900 26,244
Norfolk Southern Corp. ............................... 1,000 100,750
Ryder System, Inc. ................................... 500 16,500
Southwest Airlines Co. ............................... 900 23,288
Union Pacific Corp. .................................. 2,100 148,050
- --------------------------------------------------------------------------------
Number of Market
Shares Value
--------- ----------
Transportation (continued)
USAir Group, Inc. .................................... 700 $ 24,500
----------
675,045
----------
Utilities - Electric (1.9%)
American Electric Power Co. .......................... 1,300 54,600
Baltimore Gas & Electric Co. ......................... 900 24,019
Carolina Power & Light Co. ........................... 900 32,288
Central & South West Corp. ........................... 900 19,125
Cinergy Corp. ........................................ 1,000 34,813
Consolidated Edison Co. of New York, Inc.............. 1,900 55,931
Dominion Resources, Inc. ............................. 1,200 43,950
DTE Energy Co. ....................................... 1,200 33,150
Duke Power Co. ....................................... 1,871 89,693
Edison International ................................. 3,500 87,063
Entergy Corp. ........................................ 1,900 52,013
FPL Group, Inc. ...................................... 1,400 64,488
GPU, Inc. ............................................ 1,200 43,050
Houston Industries, Inc. ............................. 1,900 40,731
Niagara Mohawk Power Corp.+ .......................... 1,100 9,419
Northern States Power Co. ............................ 500 25,875
Ohio Edison Co. ...................................... 1,200 26,175
PacifiCorp ........................................... 1,800 39,600
Peco Energy Co. ...................................... 1,100 23,100
PG&E Corp. ........................................... 1,400 33,950
PP&L Resources, Inc. ................................. 1,300 25,919
Public Service Enterprise Group, Inc. ................ 1,900 47,500
Southern Co. ......................................... 5,800 126,875
Texas Utilities Co. .................................. 1,000 34,438
Unicom Corp. ......................................... 700 15,575
Union Electric Co. ................................... 600 22,613
----------
1,105,953
----------
Utilities - Oil and Gas (0.2%)
Coastal Corp. (The) .................................. 900 47,869
NICOR, Inc. .......................................... 100 3,588
Pacific Enterprises .................................. 700 23,538
People's Energy Corp. ................................ 100 3,744
Sonat, Inc. .......................................... 500 25,625
----------
104,364
----------
Utilities - Telephone (3.5%)
Alltel Corp. ......................................... 1,500 50,156
AT&T Corp. ........................................... 5,600 196,350
Bell Atlantic Corp. .................................. 3,900 295,913
BellSouth Corp. ...................................... 9,400 435,925
GTE Corp. ............................................ 4,200 184,275
MCI Communications Corp. ............................. 2,800 107,188
NYNEX Corp. .......................................... 3,800 218,975
SBC Communications, Inc. ............................. 3,482 215,449
Sprint Corp. ......................................... 1,300 68,413
Tellabs, Inc.+ ....................................... 2,200 122,925
U. S. West Communications Group ...................... 3,900 146,981
----------
2,042,550
----------
Total Common Stocks (cost $51,260,064) 57,631,297
----------
</TABLE>
99
<PAGE>
Aetna Variable Portfolios, Inc.
Portfolio of Investments - June 30, 1997 (Unaudited)
Index Plus (continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Market
Amount Value
--------- ----------
<S> <C> <C>
SHORT-TERM INVESTMENTS (2.5%)
Federal National Mortgage Association,
Mortgage-Backed Securities, 5.60%, 07/01/97 ........ $1,365,000 $1,365,000
U.S. Treasury Bill, Time Deposit, 5.08%, 08/21/97..... 100,000 99,266
----------
Total Short-Term Investments (cost $1,464,280) 1,464,266
----------
TOTAL INVESTMENTS (cost $52,724,344)(a) 59,095,563
Other assets less liabilities (494,493)
----------
Total Net Assets $58,601,070
==========
</TABLE>
Notes to Portfolio of Investments
(a) The cost of investments for federal income tax purposes amount to
$52,852,075. Unrealized gains and losses, based on identified tax cost at June
30, 1997, are as follows:
<TABLE>
<CAPTION>
<S> <C>
Unrealized gains ..................... $6,579,743
Unrealized losses .................... (336,255)
----------
Net unrealized gain ................ $6,243,488
==========
</TABLE>
+Non-income producing security.
Category percentages are based on net assets.
100 See Notes to Financial Statements.
<PAGE>
Capital Appreciation
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Number of Market
Shares Value
--------- ----------
<S> <C> <C>
COMMON STOCKS (90.3%)
Aerospace and Defense (8.6%)
General Motors, Class H .............................. 1,500 $ 86,625
Northrop Grumman Corp. ............................... 3,300 289,780
United Technologies Corp. ............................ 2,000 166,000
----------
542,405
----------
Apparel (1.6%)
Fruit of the Loom, Inc.+ ............................. 3,300 102,300
----------
Autos and Auto Equipment (2.9%)
Ford Motor Co. ....................................... 4,800 181,200
----------
Banks (1.6%)
BankBoston Corp. ..................................... 1,400 100,888
----------
Chemicals (5.6%)
Du Pont (E.I.) de Nemours ............................ 4,000 251,500
Lubrizol Corp. ....................................... 2,500 104,844
----------
356,344
----------
Computers and Office Equipment (7.5%)
Gateway 2000, Inc.+ .................................. 8,000 259,500
International Business Machines, Inc. ................ 2,400 216,450
----------
475,950
----------
Diversified (1.4%)
Deere & Co. .......................................... 1,600 87,800
----------
Electrical and Electronics (9.3%)
Applied Materials, Inc.+ ............................. 2,000 141,625
Intel Corp. .......................................... 1,600 226,900
Motorola, Inc. ....................................... 2,900 220,400
----------
588,925
----------
Financial Services (7.1%)
Franklin Resources, Inc. ............................. 2,550 185,034
Travelers Group, Inc. ................................ 4,200 264,863
----------
449,897
----------
Foods and Beverages (2.2%)
Anheuser-Busch Co., Inc. ............................. 3,300 138,394
----------
Insurance (5.9%)
Hartford Life, Inc., Class A+ ........................ 6,000 225,000
Reliastar Financial Corp. ............................ 2,000 146,250
----------
371,250
----------
Metals and Mining (6.9%)
Aluminum Co. of America .............................. 3,600 271,349
Reynolds Metals Co. .................................. 2,300 163,875
----------
435,224
----------
Oil and Gas (19.1%)
Amerada Hess Corp. ................................... 4,000 222,250
Atlantic Richfield Co. ............................... 2,600 183,300
BJ Services Co.+ ..................................... 5,000 268,125
Burlington Resources, Inc. ........................... 3,900 172,088
Exxon Corp. .......................................... 2,000 123,000
Tosco Corp. .......................................... 8,000 239,500
----------
1,208,263
----------
- --------------------------------------------------------------------------------
Number of Market
Shares Value
--------- ----------
Paper and Containers (4.6%)
James River Corp. of Virginia ........................ 4,600 $ 170,200
Owens-Illinois, Inc.+ ................................ 4,000 124,000
----------
294,200
----------
Retail (3.9%)
American Stores Co. .................................. 2,500 123,438
Federated Department Stores, Inc.+ ................... 3,500 121,625
----------
245,063
----------
Transportation (2.0%)
Delta Air Lines, Inc. ................................ 1,500 123,000
----------
Total Common Stocks (cost $4,961,429) 5,701,103
----------
Principal
Amount
---------
SHORT-TERM INVESTMENTS (5.3%)
Federal National Mortgage Association,
Mortgage-Backed Securities, 5.60%, 07/01/97......... $ 335,000 335,000
----------
Total Short-Term Investments (cost $335,000) 335,000
----------
TOTAL INVESTMENTS (cost $5,296,429)(a) 6,036,103
Other assets less liabilities 274,134
----------
Total Net Assets $6,310,237
==========
</TABLE>
Notes to Portfolio of Investments
(a) The cost of investments for federal income tax purposes is identical.
Unrealized gains and losses, based on identified tax cost at June 30, 1997, are
as follows:
<TABLE>
<CAPTION>
<S> <C>
Unrealized gains ...................... $789,248
Unrealized losses ..................... (49,574)
--------
Net unrealized gain ................. $739,674
========
</TABLE>
+Non-income producing security.
Category percentages are based on net assets.
See Notes to Financial Statements. 101
<PAGE>
Aetna Variable Portfolios, Inc.
Statements of Assets and Liabilities
June 30, 1997 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Small Capital
Growth Company Index Plus Appreciation
----------- ----------- ------------ ------------
<S> <C> <C> <C> <C>
Assets:
Investments, at market value ............................................. $6,086,776 $6,229,713 $59,095,563 $6,036,103
Cash ..................................................................... 4,565 4,986 8,384 4,087
Receivable for:
Dividends and interest ................................................. 2,633 2,823 49,381 2,706
Investments sold ....................................................... -- 95,538 -- 594,665
Fund shares sold ....................................................... 26,122 65,499 264,326 15,847
----------- ----------- ------------ ----------
Total assets .................................................... 6,120,096 6,398,559 59,417,654 6,653,408
----------- ----------- ------------ ----------
Liabilities:
Payable for:
Investments purchased .................................................. 76,215 123,036 794,426 339,355
Fund shares redeemed ................................................... -- 4,015 -- --
Accrued investment advisory fees ......................................... 2,926 3,700 15,511 3,053
Accrued administrative and service fees .................................. 732 739 6,647 763
----------- ----------- ------------ ----------
Total liabilities ............................................... 79,873 131,490 816,584 343,171
----------- ----------- ------------ ----------
NET ASSETS ............................................................. $6,040,223 $6,267,069 $58,601,070 $6,310,237
=========== =========== ============ ==========
Net assets represented by:
Paid-in capital .......................................................... $5,131,347 $5,357,039 $50,712,968 $5,157,790
Net unrealized gain on investments ....................................... 608,245 734,508 6,371,219 739,674
Undistributed net investment income ...................................... 12,998 2,231 259,616 31,168
Accumulated net realized gain on investments ............................. 287,633 173,291 1,257,267 381,605
----------- ----------- ------------ ----------
NET ASSETS ............................................................. $6,040,223 $6,267,069 $58,601,070 $6,310,237
=========== =========== ============ ==========
Capital Shares, one billion authorized, $0.001 par value:
Shares outstanding ....................................................... 512,737 532,372 4,438,729 514,634
Net asset value per share (net assets divided by shares outstanding) ..... $ 11.780 $ 11.772 $ 13.202 $ 12.262
Cost of investments ...................................................... $5,478,531 $5,495,205 $52,724,344 $5,296,429
</TABLE>
See Notes to Financial Statements.
102
<PAGE>
Aetna Variable Portfolios, Inc.
Statements of Operations
Six month period ended June 30, 1997 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Small Capital
Growth Company Index Plus Appreciation
----------- ----------- ----------- ------------
<S> <C> <C> <C> <C>
Investment Income:
Dividends .............................................................. $ 27,335 $ 19,338 $ 303,155 $ 46,274
Interest ............................................................... 6,568 7,779 44,778 6,727
--------- --------- ----------- ----------
33,903 27,117 347,933 53,001
Foreign taxes withheld ................................................. -- (85) (2,392) --
--------- --------- ----------- ----------
Total investment income ....................................... 33,903 27,032 345,541 53,001
--------- --------- ----------- ----------
Expenses:
Investment advisory fee ................................................ 16,312 19,899 60,099 16,846
Administrative services fees ........................................... 4,078 3,980 25,757 4,211
--------- --------- ----------- ----------
Total expenses ................................................ 20,390 23,879 85,856 21,057
--------- --------- ----------- ----------
Net investment income .................................................. 13,513 3,153 259,685 31,944
--------- --------- ----------- ----------
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Sale of investments .................................................. 290,168 173,291 1,392,322 376,749
Written options ...................................................... -- -- -- 4,856
Futures contracts .................................................... -- -- (110,297) --
--------- --------- ----------- ----------
Net realized gain on investments .............................. 290,168 173,291 1,282,025 381,605
--------- --------- ----------- ----------
Net change in unrealized gain or loss on:
Investments .......................................................... 530,588 676,011 5,281,661 637,285
--------- --------- ----------- ----------
Net change in unrealized gain or loss on investments .......... 530,588 676,011 5,281,661 637,285
--------- --------- ----------- ----------
Net realized and change in unrealized gain ............................. 820,756 849,302 6,563,686 1,018,890
--------- --------- ----------- ----------
Net increase in net assets resulting from operations ................... $834,269 $852,455 $6,823,371 $1,050,834
========= ========= =========== ==========
</TABLE>
See Notes to Financial Statements.
103
<PAGE>
Aetna Variable Portfolios, Inc.
Statements of Changes in Net Assets
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Growth Small Company
-------------------------------------------------------------------
Six month Period from Six month Period from
period ended December 13, 1996 period ended December 27, 1996
June 30, 1997 to December 31, June 30, 1997 to December 31,
(Unaudited) 1996 (Unaudited) 1996
-------------------------------------------------------------------
<S> <C> <C> <C> <C>
From Operations:
Net investment income ........................................ $ 13,513 $ 5,351 $ 3,153 $ 4,178
Net realized gain (loss) ..................................... 290,168 (2,535) 173,291 --
Net change in unrealized gain ................................ 530,588 77,657 676,011 58,497
---------- ---------- ---------- ----------
Net increase in net assets resulting from operations ....... 834,269 80,473 852,455 62,675
---------- ---------- ---------- ----------
Distributions to Shareholders:
From net investment income ................................... -- (5,866) -- (5,100)
---------- ---------- ---------- ----------
Decrease in net assets from distributions to shareholders .. -- (5,866) -- (5,100)
---------- ---------- ---------- ----------
From Fund Share Transactions:
Proceeds from shares sold .................................... 205,421 5,100,000 700,403 5,100,000
Payments for shares redeemed ................................. (174,074) -- (443,364) --
---------- ---------- ---------- ----------
Net increase in net assets from share transactions ......... 31,347 5,100,000 257,039 5,100,000
---------- ---------- ---------- ----------
Change in net assets ......................................... 865,616 5,174,607 1,109,494 5,100,000
Net Assets:
Beginning of period .......................................... 5,174,607 -- 5,157,575 --
---------- ---------- ---------- ----------
End of period ................................................ $6,040,223 $5,174,607 $6,267,069 $5,157,575
========== ========== ========== ==========
End of period net assets includes undistributed
(distributions in excess of) net investment income ......... $ 12,998 $ (515) $ 2,231 $ (922)
========== ========== ========== ==========
Share Transactions:
Number of shares sold ........................................ 17,862 510,000 61,187 510,000
Number of shares redeemed .................................... (15,125) -- (38,815) --
---------- ---------- ---------- ----------
Net increase ............................................... 2,737 510,000 22,372 510,000
========== ========== ========== ==========
</TABLE>
See Notes to Financial Statements.
104
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Index Plus Capital Appreciation
-------------------------------------------------------------------
Six month Period from Six month Period from
period ended September 16, 1996 period ended December 13, 1996
June 30, 1997 to December 31, June 30, 1997 to December 31,
(Unaudited) 1996 (Unaudited) 1996
-------------------------------------------------------------------
<S> <C> <C> <C> <C>
From Operations:
Net investment income .......................................... $ 259,685 $ 83,803 $ 31,944 $ 7,384
Net realized gain (loss) ....................................... 1,282,025 (1,609) 381,605 --
Net change in unrealized gain .................................. 5,281,661 1,089,558 637,285 102,389
----------- ----------- ---------- ----------
Net increase in net assets resulting from operations ......... 6,823,371 1,171,752 1,050,834 109,773
----------- ----------- ---------- ----------
Distributions to Shareholders:
From net investment income ..................................... -- (83,638) -- (8,160)
From net realized gains ........................................ -- (23,383) -- --
----------- ----------- ---------- ----------
Decrease in net assets from distributions to shareholders .... -- (107,021) -- (8,160)
----------- ----------- ---------- ----------
From Fund Share Transactions:
Proceeds from shares sold ...................................... 41,142,419 23,374,816 353,244 5,100,000
Net asset value of shares issued upon reinvestment of
distributions ................................................ -- 70,017 -- --
Payments for shares redeemed ................................... (8,775,177) (5,099,107) (295,454) --
----------- ----------- ---------- ----------
Net increase in net assets from share transactions ........... 32,367,242 18,345,726 57,790 5,100,000
----------- ----------- ---------- ----------
Change in net assets ........................................... 39,190,613 19,410,457 1,108,624 5,201,613
Net Assets:
Beginning of period ............................................ 19,410,457 -- 5,201,613 --
----------- ----------- ---------- ----------
End of period .................................................. $58,601,070 $19,410,457 $6,310,237 $5,201,613
=========== =========== ========== ==========
End of period net assets include undistributed (distributions
in excess of) net investment income ......................... $ 259,616 $ (69) $ 31,168 $ (776)
=========== =========== ========== ==========
Share Transactions:
Number of shares sold .......................................... 3,411,480 2,235,617 29,060 510,000
Number of shares issued upon reinvestment of distributions ..... -- 6,304 -- --
Number of shares redeemed ...................................... (752,539) (462,133) (24,426) --
----------- ----------- ---------- ----------
Net increase ................................................. 2,658,941 1,779,788 4,634 510,000
=========== =========== ========== ==========
</TABLE>
See Notes to Financial Statements.
105
<PAGE>
Aetna Variable Portfolios, Inc.
Notes to Financial Statements
June 30, 1997 (Unaudited)
- --------------------------------------------------------------------------------
1. Summary of Significant Accounting Policies
Aetna Variable Portfolios, Inc. (Fund) was incorporated under the laws of
Maryland on June 4, 1996. The Fund is an open-end management investment company
and is authorized to issue multiple series of shares, each representing a
diversified portfolio of investments (individually, a Portfolio and
collectively, the Portfolios) each of which has its own investment objective,
policies and restrictions. Currently, the Fund offers shares of the Aetna
Variable Growth Portfolio (Growth); Aetna Variable Small Company Portfolio
(Small Company); Aetna Variable Index Plus Portfolio (Index Plus); and Aetna
Variable Capital Appreciation Portfolio (Capital Appreciation).
The investment objective of each Portfolio is described below:
Growth seeks growth of capital through investment in a diversified
portfolio of common stocks and securities convertible into common stocks
believed to offer growth potential.
Small Company seeks growth of capital primarily through investment in a
diversified portfolio of common stocks and securities convertible into
common stocks of companies with smaller market capitalizations.
Index Plus will attempt to outperform the total return performance of
publicly traded common stocks represented by the S&P 500 Composite Stock
Price Index (S&P 500), an unmanaged stock market index composed of 500
stocks selected by the Standard & Poor's Corporation.
Capital Appreciation seeks growth of capital primarily through investment
in a diversified portfolio of common stocks and securities convertible
into common stock. Capital Appreciation will use a value-orientated
approach in an attempt to outperform the total return performance of
publicly traded common stocks represented by the S&P 500.
Shares of each Portfolio are owned by insurance companies as depositors of
separate accounts which are used to fund variable annuity contracts and variable
life insurance policies. It is currently expected that all shares will be held
by separate accounts of Aetna Life Insurance and Annuity Company (Aetna) and its
subsidiary, Aetna Insurance Company of America.
Aetna serves as the Investment Adviser and principal underwriter to each
Portfolio. Aetna is an indirect wholly-owned subsidiary of Aetna Retirement
Services, Inc. which is in turn a wholly-owned subsidiary of Aetna Inc. Aeltus
Investment Management, Inc. (Aeltus), an affiliate of Aetna, is employed as a
subadviser to the Portfolios.
The following is a summary of significant accounting policies consistently
followed by the Portfolios in the preparation of their financial statements. The
policies are in conformity 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 Portfolios.
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 value. Securities for which market quotations are not
considered to be readily available are valued in good faith using methods
approved by the Board of Directors.
The accounting records of the Portfolios 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.
106
<PAGE>
- -------------------------------------------------------------------------------
B. Option Contracts
The Portfolios may purchase and write (sell) put options, purchase call options
and write (sell) covered call options as a hedge against adverse movements in
the value of portfolio holdings or to increase market exposure.
Option contracts are valued daily and unrealized gains or losses are recorded
based upon the last sales price on the principal exchange on which the option is
traded.
The Portfolios will realize a gain or loss upon the expiration or closing of the
option contract. When an option is exercised, the proceeds on sales of the
underlying security 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 Portfolios 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 Portfolios 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 Portfolios 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.
The following reflects the call option activity of Capital Appreciation for the
period ended June 30, 1997:
<TABLE>
<CAPTION>
Call Options Written
----------------------------------------------------------
Number of Option Deferred Premium Realized
Contracts Received Gain (Loss)
--------- -------- -----------
<S> <C> <C> <C>
Outstanding December 31, 1996............ -- $ -- $ --
Written................................ 55 33,896 --
Closed................................. (55) (33,896) 4,856
Expired................................ -- -- --
Exercised.............................. -- -- --
----- ---------- -------
Outstanding June 30, 1997................ -- -- 4,856
===== ========== =======
</TABLE>
C. Futures 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 Portfolios may enter into
futures contracts to manage the risk of changes in interest rates, equity prices
or in anticipation of future purchases and sales of portfolio securities. Upon
entering into a futures contract, the Portfolios are 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 the Portfolios equal to the daily fluctuation in
the market value of the contract. These amounts are recorded by the Portfolios
as unrealized gains or losses. When a contract is closed, the Portfolios record
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 held by each Portfolio are closed prior to
expiration.
The risks associated with futures contracts may arise from an imperfect
correlation between the change in market value of the securities held by the
Portfolios and the price of the contracts. Risks may also arise from an illiquid
secondary market, or from the inability of counterparties to meet the terms of
the contracts.
Realized and unrealized gains or losses on futures contracts are reflected in
the accompanying financial statements. The amounts at risk under such futures
contracts may exceed the amounts reflected in the financial statements. The
notional value of these contracts are disclosed in the Portfolio of Investments.
For federal income tax purposes, any futures contracts which remain open at year
end are marked-to-market and the resultant net gain or loss is included in
federal taxable income.
107
<PAGE>
Aetna Variable Portfolios, Inc.
Notes to Financial Statements (continued)
June 30, 1997 (Unaudited)
- -------------------------------------------------------------------------------
D. Federal Income Taxes
As a qualified regulated investment company, each Portfolio is relieved of
federal income and excise taxes by distributing its net taxable investment
income and capital gains, if any, in compliance with the applicable provisions
of the Internal Revenue Code.
E. Distributions
The Portfolios 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 treatment for foreign currency
related transactions and deferred losses on wash sales.
F. 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 over the life of the respective security using a
yield-to-maturity method. Dividend income is 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
The Portfolios pay the Investment Adviser a monthly advisory fee at an annual
rate expressed as a percentage of the average daily net assets of each
Portfolio. Each Portfolio's Investment Advisory fee in effect at June 30, 1997
is shown below:
<TABLE>
<CAPTION>
<S> <C> <C> <C>
Growth 0.60% Small Company 0.75%
Index Plus 0.35% Capital Appreciation 0.60%
</TABLE>
Under the terms of an Administrative Services Agreement, Aetna acts as
administrator and provides all administrative services necessary for the
Portfolios' operations and is responsible for the supervision of the Portfolios'
other service providers. Aetna also assumes all ordinary, recurring costs of the
Portfolios, such as custodian fees, director's fees, transfer agent costs and
accounting expenses. For these services, Aetna receives an annual fee, payable
monthly, at a rate of 0.15% of the average daily net assets of each Portfolio.
Under the terms of a Subadvisory Agreement among the Fund, Aetna and Aeltus,
Aeltus supervises the investment and reinvestment of cash and securities and
provides certain related administrative services to the Portfolios in exchange
for a fee (payable by Aetna) at an annual rate expressed as a percentage of the
average daily net assets of each Portfolio. Each Portfolio's Subadvisory fee in
effect at June 30, 1997 is shown below:
<TABLE>
<CAPTION>
<S> <C> <C> <C>
Growth 0.375% Small Company 0.450%
Index Plus 0.250% Capital Appreciation 0.375%
</TABLE>
For the period ended June 30, 1997, Aetna paid Aeltus $10,126, $11,854, $43,437
and $10,458 for Growth, Small Company, Index Plus and Capital Appreciation,
respectively, in accordance with the terms of the Subadvisory Agreement.
3. Purchases and Sales of Investment Securities
Purchases and sales of investment securities, excluding short-term investments,
for the period ended June 30, 1997 were:
<TABLE>
<CAPTION>
Cost of Purchases Proceeds from Sales
----------------- -------------------
<S> <C> <C>
Growth $ 4,204,728 $ 4,265,714
Small Company 5,260,585 5,087,212
Index Plus 45,050,186 12,968,916
Capital Appreciation 3,464,814 3,774,483
</TABLE>
108
<PAGE>
Aetna Variable Portfolios, Inc.
Financial Highlights
- --------------------------------------------------------------------------------
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
Growth
--------------------------------------------
Six month Period from
period ended December 13, 1996 to
June 30, 1997 December 31,
(Unaudited) 1996
------------------ ---------------------
<S> <C> <C>
Net asset value per share, beginning of period ................................. $10.146 $10.000
------- -------
Income from investment operations:
Net investment income ........................................................ 0.026 0.011
Net realized and unrealized gain ............................................. 1.608 0.147
------- -------
Total from investment operations ....................................... 1.634 0.158
------- -------
Less distributions:
From net investment income ................................................... -- (0.012)
------- -------
Total distributions .................................................... -- (0.012)
------- -------
Net asset value per share, end of period ....................................... $11.780 $10.146
======= =======
Total return* .................................................................. 16.10% 1.57%
Net assets, end of period (000's) .............................................. $ 6,040 $5,175
Ratio of total expenses to average net assets** ................................ 0.75% 0.67%
Ratio of net investment income to average net assets** ......................... 0.50% 1.99%
Portfolio turnover rate ........................................................ 80.38% 1.97%
Average commission rate paid per share ......................................... $0.0571 $0.0364
* The total return percentage does not reflect any separate account charges under variable annuity contracts and life policies.
** Annualized for periods of less than one year.
</TABLE>
See Notes to Financial Statements.
109
<PAGE>
Aetna Variable Portfolios, Inc.
Financial Highlights
- --------------------------------------------------------------------------------
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
Small Company
---------------------------------------------
Six month Period from
period ended December 27, 1996 to
June 30, 1997 December 31,
(Unaudited) 1996
------------------ -----------------------
<S> <C> <C>
Net asset value per share, beginning of period ................................. $10.113 $10.000
------- -------
Income from investment operations:
Net investment income ........................................................ 0.006 0.008
Net realized and unrealized gain ............................................. 1.653 0.115
------- -------
Total from investment operations ....................................... 1.659 0.123
------- -------
Less distributions:
From net investment income ................................................... -- (0.010)
------- -------
Total distributions .................................................... -- (0.010)
------- -------
Net asset value per share, end of period ....................................... $11.772 $10.113
======= =======
Total return* .................................................................. 16.41% 1.23%
Net assets, end of period (000's) .............................................. $ 6,267 $ 5,158
Ratio of total expenses to average net assets** ................................ 0.90% 0.55%
Ratio of net investment income to average net assets** ......................... 0.12% 5.96%
Portfolio turnover rate ........................................................ 101.56% --
Average commission rate paid per share ......................................... $0.0567 --
</TABLE>
* The total return percentage does not reflect any separate account charges
under variable annuity contracts and life policies.
** Annualized for periods of less than one year.
See Notes to Financial Statements.
110
<PAGE>
- -------------------------------------------------------------------------------
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
Index Plus
--------------------------------------------
Six month Period from
period ended September 16, 1996 to
June 30, 1997 December 31,
(Unaudited) 1996
--------------- --------------------
<S> <C> <C>
Net asset value per share, beginning of period ............................... $10.906 $10.000
------- -------
Income from investment operations:
Net investment income ...................................................... 0.059 0.047
Net realized and unrealized gain ........................................... 2.237 0.919
------- -------
Total from investment operations ..................................... 2.296 0.966
------- -------
Less distributions:
From net investment income ................................................. -- (0.047)
From net realized gains on investments ..................................... -- (0.013)
------- -------
Total distributions .................................................. -- (0.060)
------- -------
Net asset value per share, end of period ..................................... $13.202 $10.906
======= =======
Total return* ................................................................ 21.05% 9.64%
Net assets, end of period (000's) ............................................ $58,601 $19,410
Ratio of total expenses to average net assets** .............................. 0.50% 0.50%
Ratio of net investment income to average net assets** ....................... 1.51% 1.89%
Portfolio turnover rate ...................................................... 38.23% 5.18%
Average commission rate paid per share ....................................... $0.0377 $0.0358
</TABLE>
* The total return percentage does not reflect any separate account charges
under variable annuity contracts and life policies.
** Annualized for periods of less than one year.
See Notes to Financial Statements.
111
<PAGE>
Aetna Variable Portfolios, Inc.
Financial Highlights
- -------------------------------------------------------------------------------
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
Capital Appreciation
--------------------------------------------
Six month Period from
period ended December 13, 1996 to
June 30, 1997 December 31,
(Unaudited) 1996
---------------- ----------------------
<S> <C> <C>
Net asset value per share, beginning of period ............................. $10.199 $10.000
------- -------
Income from investment operations:
Net investment income .................................................... 0.062 0.015
Net realized and unrealized gain ......................................... 2.001 0.200
------- -------
Total from investment operations ................................... 2.063 0.215
------- -------
Less distributions:
From net investment income ............................................... -- (0.016)
------- -------
Total distributions ................................................ -- (0.016)
------- -------
Net asset value per share, end of period ................................... $12.262 $10.199
======= =======
Total return* .............................................................. 20.22% 2.15%
Net assets, end of period (000's) .......................................... $ 6,310 $ 5,202
Ratio of total expenses to average net assets** ............................ 0.75% 0.67%
Ratio of net investment income to average net assets** ..................... 1.14% 2.73%
Portfolio turnover rate .................................................... 64.95% --
Average commission rate paid per share ..................................... $0.0584 $0.0300
</TABLE>
* The total return percentage does not reflect any separate account charges
under variable annuity contracts and life policies.
** Annualized for periods of less than one year.
See Notes to Financial Statements.
112
<PAGE>
Aetna GET Fund, Series B
Growth of $10,000
Average Annual Total Returns for the Period Ended
June 30, 1997*
----------------------
1 Year Inception+
33.54% 24.47%
----------------------
[GRAPHIC OMITTED]
<TABLE>
<CAPTION>
Jul-94 Jun-97
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Aetna GET Fund, Series B 10,000 10,229 10,186 10,748 11,664 12,506 13,078 13,868 14,443 14,824 16,153 16,439 19,286
S&P 500 Index 10,000 10,489 10,487 11,508 12,607 13,610 14,429 15,204 15,885 16,376 17,742 18,217 21,398
</TABLE>
[LEGEND]
- -------------------------------------------------------------------------------
Aetna GET Fund, Series B S&P 500 Index
- -------------------------------------------------------------------------------
* Total Return is calculated including reinvestment of income and capital gain
distributions. Past performance is no guarantee of future results. Performance
does not include any separate account charges imposed by Aetna. The S&P 500
Index is an unmanaged broad-based index
+ The Fund commenced investment operations on July 1, 1994.
How did the Fund perform during the period?
For the six month period ended June 30, 1997, the Aetna GET Fund, Series B
(Series B) achieved a return of 19.40%, net of fund expenses, compared to
returns of 20.61% and 13.40% for the S&P 500 Index(a) and the 60% S&P 500/40%
Lehman Brothers Aggregate Bond Index(b), respectively, for the same period.
Currently closed to new deposits, Series B invests primarily in common stocks
and bonds in varying proportions in response to market fluctuations.
What economic or financial market conditions impacted the Fund?
Large company stocks that make up the S&P 500 continued to lead all other asset
classes and achieved returns that were well above long-term historical averages
during the past six months. These returns can be attributed in part to corporate
earnings reports that were positive overall for the last quarter of 1996 and the
first quarter of 1997. This continued progress in stock market levels has
continued to raise the Fund's cumulative return cushion and stimulate an
increase in the Fund's allocation to stocks or "equities".
What investments influenced the Fund's performance over the past six months?
The Fund's equity allocation, currently at 95%, is managed in a style similar to
that of the Aetna Variable Fund which invests in large company stocks. For the
past six months, the performance of large company stocks has been particularly
strong, and has outperformed all other types of investments or asset classes.
Fund performance benefited primarily from strong stock selection results. The
characteristics we favor in choosing which stocks to purchase for the portfolio
include attractive valuation, positive corporate earnings surprises, upward
revisions of earnings estimates, and shareholder-oriented management.
What is your outlook going forward?
Like the analysis used for the Aetna Variable Fund, we use the forward earnings
yield (earnings per share/price) of the S&P 500 to measure the climate of equity
valuations and compare it to the yield on the 10-year U.S. Government bond. The
spread between these two expected return measures is what drives our asset
allocation decision. The difference between the S&P 500 forward earnings yield
and the 10-year U.S. Government bond yield remains unusually negative,
indicating that stocks are priced higher than usual relative to bonds.
Consequently, we are somewhat cautious toward the equity market. We believe our
stock selection strategy will continue to serve us well as we continue to
monitor the equity market and adjust the Fund's allocation mix accordingly.
113
<PAGE>
Aetna GET Fund, Series B (continued)
Past performance is no assurance of future returns.
Investment Summary:
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------
Top Ten Equity Holdings % of Portfolio
- -------------------------------------------------------------------------------
<S> <C>
Microsoft Corp. 3.4%
Merck & Co., Inc. 2.7%
BankAmerica Corp. 2.6%
Procter & Gamble Co. 2.4%
American General Corp. 2.1%
TJX Companies, Inc. 2.1%
Cigna Corp. 2.1%
Citicorp 1.9%
Timken Co. 1.8%
NYNEX Corp. 1.6%
</TABLE>
Large Cap Portfolio Sector Breakdown:
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------
Portfolio S&P 500 Over/(Under)
Sector Weight Weight Weighting
- ------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Basic Materials 3.5% 5.9% (2.4)%
Producer Goods & Services 9.9% 12.5% (2.6)%
Technology 14.9% 12.0% 2.9 %
Consumer Goods 27.3% 33.7% (6.4)%
Services 1.3% 2.0% (0.7)%
Financial Services 22.3% 15.2% 7.1 %
Utilities 20.8% 18.7% 2.1 %
</TABLE>
Asset Allocation:
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------
% of Notional Value * Economic Exposure*
Portfolio of Futures 06/30/97 12/31/96
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Large Cap Stocks 94.5% 5.8 % 100.3% 93.3%
Mid Cap Stocks -- -- -- 1.5%
U.S. Government Obligations 2.3% -- 2.3% 2.5%
Cash Equivalents 3.2% (5.8)% (2.6)% 2.7%
----- ---- ----- -----
Total Investments 100.0% 0.0 % 100.0% 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.
(a) The S&P 500 (Standard & Poor's 500) Index is a value-weighted unmanaged
index of 500 widely held stocks that assumes the reinvestment of all dividends,
and is considered to be representative of the stock market in general.
(b) The Lehman Brothers Aggregate Bond Index is an unmanaged index of corporate,
government and mortgage bonds.
114
<PAGE>
Aetna GET Fund, Series C
Growth of $10,000
Cumulative Total Returns for the Period Ended
June 30, 1997*
----------------------
Inception+
16.19%
----------------------
[GRAPHIC OMITTED]
<TABLE>
<CAPTION>
Dec-96 Jun-97
<S> <C> <C> <C> <C>
Aetna GET Fund, Series C 10,000 10,153 10,251 11,619
S&P 500 Index 10,000 10,174 10,446 12,270
</TABLE>
[LEGEND]
- -------------------------------------------------------------------------------
Aetna GET Fund, Series C S&P 500 Index
- -------------------------------------------------------------------------------
* Total Return is calculated including reinvestment of income and capital gain
distributions. Past performance is no guarantee of future results. Performance
does not include any separate account charges imposed by Aetna. The S&P 500
Index is an unmanaged broad-based index.
+ The Fund commenced investment operations on December 16, 1996
How did the Fund perform during the period?
The Aetna GET Fund, Series C (Series C) provided a total return of 14.44%, net
of fund expenses, for the six month period ended June 30, 1997 compared to
returns of 20.61% and 13.40% for the S&P 500 Index(a) and 60% S&P 500 Index/40%
Lehman Brothers Aggregate Bond Index(b), respectively, for the same period.
Currently closed to new deposits, Series C invests primarily in common stocks
and bonds in varying portions in response to market fluctuations. The Fund's
common stock portion is managed in the enhanced index style, similar to the
style of the Aetna Variable Index Plus Portfolio.
What economic or financial market conditions impacted the Fund?
The stock market's performance in the past six months, as well as the Fund's
allocation to stocks, directly influenced the Fund. The Fund is designed to
provide stock market participation with downside risk protection through its
guarantee. Consequently, the asset allocation between stocks or "equities" and
fixed income securities is a function of the cumulative returns of its stock and
bond components since inception. More simply, the greater the accumulated gains,
the more the Fund will participate in equities. Because of the steady
appreciation in the S&P 500 and the equity portion of the Fund, allocation to
stocks has steadily increased over the course of the year to 82% of the Fund.
This compares to a December 31, 1996 allocation of 54% stocks and 46% fixed
income.
What investments influenced the Fund's performance over the past six months?
Due to the Fund's large allocation to stocks, the investment strategy that is
used to manage the Fund's equity portion strongly impacted the Fund's
performance. The basic approach of the equity investment strategy is to own
approximately 400 to 450 of the stocks tracked by the S&P 500 Index,
overweighting (relative to the weight of the stock in the index) those stocks
which are expected to outperform and underweighting those expected to
underperform. Stocks in the S&P 500 with very poor expected performance
(generally about 10% to 15% of the stocks in the index) are not owned at all.
Stocks which are not expected to either underperform or outperform are held at a
weight in the Fund approximately equal to their weight in the S&P 500. We
determine our expectation of a stock's performance based on a quantitative model
that ranks each stock in the S&P 500 on a variety of characteristics to
determine the attractiveness of each issue. Thus, the performance of the stocks
tracked by the S&P 500, combined with the application of our quantitative model,
ultimately determines the equity portion's performance in the Fund.
115
<PAGE>
Aetna GET Fund, Series C (continued)
What is your outlook going forward?
Going forward, we will continue to adjust allocations to stocks and fixed income
securities in response to market fluctuations, keeping in mind that the Fund's
purpose is to provide stock market exposure and downside protection.
Past performance is no assurance of future returns.
Investment Summary:
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
Top Ten Equity Holdings % of Portfolio
- --------------------------------------------------------------------------------
<S> <C>
General Electric Co. 3.5%
Microsoft Corp. 3.0%
Coca-Cola Co. 2.1%
Intel Corp. 1.9%
Exxon Corp. 1.9%
Philip Morris Cos., Inc. 1.7%
Bristol-Meyers Squibb Co. 1.6%
Procter & Gamble Co. 1.6%
Merck & Co. 1.5%
International Business Machines, Inc. 1.5%
</TABLE>
Large Cap Portfolio Sector Breakdown:
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------
Portfolio S&P 500 Over/(Under)
Sector Weight Weight Weighting
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Basic Materials 3.6% 6.0% (2.4)%
Producer Goods & Services 14.3% 8.8% 5.5 %
Technology 13.2% 14.5% (1.3)%
Consumer Goods 32.5% 35.0% (2.5)%
Services 1.5% 1.4% 0.1 %
Financial Services 19.0% 15.5% 3.5 %
Utilities 15.9% 18.8% (2.9)%
</TABLE>
(a) The S&P 500 (Standard & Poor's 500) Index is a value-weighted unmanaged
index of 500 widely held stocks that assumes the reinvestment of all dividends,
and is considered to be representative of the stock market in general.
(b) The Lehman Brothers Aggregate Bond Index is an unmanaged index of corporate,
government and mortgage bonds.
116
<PAGE>
Aetna GET Fund, Series B
Portfolio of Investments - June 30, 1997 (Unaudited)
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Number of Market
Shares Value
--------- ---------
<S> <C> <C>
COMMON STOCKS (92.1%)
Apparel (0.8%)
Fruit of the Loom, Inc.+.............. 24,100 $ 747,100
----------
Autos and Auto Equipment (1.6%)
Ford Motor Co......................... 39,400 1,487,350
----------
Banks (6.8%)
BankAmerica Corp...................... 37,100 2,395,268
CITICORP.............................. 14,301 1,724,163
First Union Corp...................... 8,200 758,500
Golden West Financial Corp............ 12,400 868,000
Republic New York Corp................ 6,500 698,750
----------
6,444,681
----------
Building Materials and Construction (1.6%)
Armstrong World Industries, Inc....... 8,900 653,038
Centex Corp........................... 20,400 828,750
----------
1,481,788
----------
Chemicals (1.2%)
Dow Chemical Co....................... 13,100 1,141,338
----------
Computer Software (3.8%)
Computer Associates International, 4,600 256,163
Inc.................................
Microsoft Corp.+...................... 24,700 3,121,462
Oracle Corp.+......................... 4,600 231,725
----------
3,609,350
----------
Computers and Office Equipment (6.4%)
Ceridian Corp.+....................... 24,300 1,026,675
Compaq Computer Corp.+................ 13,100 1,300,175
Dell Computer Corp.+.................. 11,700 1,374,019
International Business Machines, Inc.. 5,200 468,975
Moore Corp. Ltd....................... 36,600 720,563
Sun Microsystems, Inc.+............... 31,400 1,168,669
----------
6,059,076
----------
Consumer Products (4.5%)
Clorox Co............................. 7,200 950,400
Eastman Kodak Co...................... 2,300 176,525
Polaroid Corp......................... 17,200 954,600
Procter & Gamble Co................... 15,500 2,189,374
----------
4,270,899
----------
Diversified (3.0%)
Aeroquip-Vickers, Inc................. 19,400 916,650
ITT Industries, Inc................... 34,100 878,075
Rohm & Haas Co........................ 600 54,038
VF Corp............................... 11,700 995,963
----------
2,844,726
----------
Electrical and Electronics (3.1%)
Advanced Micro Devices, Inc.+......... 14,200 511,200
Intel Corp............................ 8,300 1,177,044
National Semiconductor Corp.+......... 18,500 566,563
Seagate Technology, Inc.+............. 20,900 735,419
----------
2,990,226
----------
- -------------------------------------------------------------------------------
Number of Market
Shares Value
--------- ---------
Electrical Equipment (1.0%)
Tektronix, Inc........................ 16,300 $ 978,000
----------
Financial Services (7.0%)
Ahmanson (H. F.) & Co................. 26,900 1,156,700
Bankers Trust New York Corp........... 11,600 1,009,200
Chase Manhattan Corp.................. 11,800 1,145,338
Household International, Inc.......... 1,800 211,388
Merrill Lynch & Co., Inc.............. 19,900 1,186,538
Morgan Stanley, Dean Witter, Discover
& Co................................ 22,605 973,428
Salomon, Inc.......................... 16,800 934,500
----------
6,617,092
----------
Foods and Beverages (2.7%)
Coca-Cola Co.......................... 19,800 1,336,500
Conagra, Inc.......................... 2,800 179,550
Kroger Co. (The)+..................... 35,600 1,032,400
----------
2,548,450
----------
Health Services (2.8%)
Beverly Enterprises+.................. 57,600 936,000
Columbia/HCA Healthcare Corp.......... 31,100 1,222,619
Tenet Healthcare Corp.+............... 18,400 543,950
----------
2,702,569
----------
Hotels and Restaurants (1.1%)
HFS, Inc.+............................ 17,800 1,032,400
----------
Insurance (6.8%)
Allstate Corp......................... 17,900 1,306,700
American General Corp................. 41,700 1,991,174
Cigna Corp............................ 11,000 1,952,499
Hartford Financial Services Group,
Inc................................. 10,000 827,500
Torchmark Corp........................ 5,500 391,875
----------
6,469,748
----------
Machinery and Equipment (2.8%)
Caterpillar, Inc...................... 10,300 1,105,963
Cincinnati Milacron, Inc.............. 36,100 936,344
Parker-Hannifin Corp.................. 10,100 612,944
----------
2,655,251
----------
Medical Supplies (1.6%)
American Home Products Corp........... 19,400 1,484,100
----------
Metals and Mining (3.1%)
Asarco, Inc........................... 6,100 186,813
Cyprus Amax Minerals Co............... 1,800 44,100
Phelps Dodge Corp..................... 11,000 937,063
Timken Co............................. 48,100 1,710,555
USX-US Steel Group, Inc............... 1,900 66,619
----------
2,945,150
----------
Oil and Gas (9.4%)
Atlantic Richfield Co................. 10,000 705,000
Columbia Gas System, Inc.............. 14,800 965,700
Helmerich & Payne, Inc................ 16,800 968,100
Kerr-Mcgee Corp....................... 14,200 899,925
Occidental Petroleum Corp............. 41,900 1,050,119
Oneok, Inc............................ 29,000 933,438
</TABLE>
See Notes of Portfolio of Investments. 117
<PAGE>
Aetna GET Fund, Series B (continued)
Portfolio of Investments - June 30, 1997 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Number of Market
Shares Value
--------- ---------
<S> <C> <C>
Oil and Gas (continued)
Oryx Energy Co.+...................... 41,600 $ 878,800
Phillips Petroleum Co................. 28,900 1,264,375
USX-Marathon Group.................... 43,200 1,247,400
-----------
8,912,857
-----------
Pharmaceuticals (4.7%)
Bristol-Myers Squibb Co............... 5,100 413,100
Johnson & Johnson..................... 3,200 206,000
Merck & Co., Inc...................... 24,500 2,535,749
Schering Plough....................... 28,400 1,359,650
-----------
4,514,499
-----------
Printing and Publishing (1.1%)
Gannett Co., Inc...................... 11,100 1,096,125
-----------
Retail (5.1%)
CVS Corp.............................. 13,200 676,500
Dayton Hudson Corp.................... 22,800 1,212,675
TJX Companies, Inc.................... 75,400 1,988,674
Woolworth Corp.+...................... 41,100 986,400
-----------
4,864,249
-----------
Transportation (0.4%)
CSX Corp.............................. 7,500 416,250
-----------
Utilities - Electric (3.3%)
Entergy Corp.......................... 42,400 1,160,700
GPU, Inc.............................. 25,800 925,575
PP&L Resources, Inc................... 9,500 189,406
Public Service Enterprise Group, Inc.. 35,100 877,500
-----------
3,153,181
-----------
Utilities - Oil and Gas (1.7%)
Coastal Corp. (The)................... 13,000 691,438
Pacific Enterprises................... 13,000 437,125
People's Energy Corp.................. 14,300 535,356
-----------
1,663,919
-----------
Utilities - Telephone (4.7%)
Bell Atlantic Corp.................... 17,600 1,335,400
BellSouth Corp........................ 9,800 454,475
NYNEX Corp............................ 26,000 1,498,250
U. S. West Communications Group....... 32,600 1,228,613
-----------
4,516,738
-----------
Total Common Stocks (cost $72,721,436) 87,647,112
-----------
- --------------------------------------------------------------------------------
Principal Market
Amount Value
--------- ---------
LONG-TERM BONDS AND NOTES (2.3%)
U.S. Treasury Strips PO, Zero
Coupon, 05/15/99 $2,400,000 $ 2,145,699
-----------
Total Long-Term Bonds and Notes (cost
$1,739,081) 2,145,699
-----------
SHORT-TERM INVESTMENTS (3.1%)
Corporate Asset Funding, Comm. Paper,
6.30%, 07/01/97++.................... 1,300,000 1,300,000
Koch Industries, Inc., Comm. Paper,
6.15%, 07/01/97++.................... 1,299,000 1,299,000
U.S. Treasury Bill, Time Deposit,
5.015%, 08/21/97.................... 100,000 99,266
U.S. Treasury Bill, Time Deposit,
5.08%, 08/21/97@.................... 160,000 158,826
U.S. Treasury Bill, Time Deposit,
5.10%, 08/21/97..................... 100,000 99,266
-----------
Total Short-Term Investments (cost $2,956,417) 2,956,358
-----------
TOTAL INVESTMENTS (cost $77,416,934)(a) 92,749,169
Other assets less liabilities 2,397,576
-----------
Total Net Assets $95,146,745
===========
</TABLE>
Notes to Portfolio of Investments
(a) The cost of investments for federal income tax purposes amount to
$77,532,655. Unrealized gains and losses, based on identified tax cost at June
30, 1997, are as follows:
<TABLE>
<CAPTION>
<S> <C>
Unrealized gains ..................... $16,143,521
Unrealized losses .................... (927,007)
-----------
Net unrealized gain ............ $15,216,514
===========
</TABLE>
+Non-income producing security.
++Restricted security.
@Security pledged to cover initial margin requirements on open futures contracts
at June 30, 1997.
Category percentages are based on net assets.
Information concerning open future contracts at June 30, 1997 is shown below:
<TABLE>
<CAPTION>
No. of
Long Initial Expiration Unrealized
Contracts Value Date Gain/(Loss)
--------- ---------- ---------- -----------
<S> <C> <C> <C> <C>
S & P 500 Index Future 12 $5,413,800 Sept 97 $ (72,301)
==========
</TABLE>
118 See Notes Financial Statements.
<PAGE>
Aetna GET Fund, Series C
Portfolio of Investments - June 30, 1997 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Number of Market
Shares Value
--------- ---------
<S> <C> <C>
COMMON STOCKS (82.2%)
Aerospace and Defense (1.3%)
Boeing Co........................... 14,100 $ 748,181
General Dynamics Corp............... 2,100 157,500
Lockheed Martin Corp................ 5,100 528,169
McDonnell-Douglas Corp.............. 6,100 417,850
Northrop Grumman Corp............... 1,400 122,938
Raytheon Co......................... 3,300 168,300
United Technologies Corp............ 11,100 921,299
----------
3,064,237
----------
Agriculture (0.1%)
Pioneer Hi-Bred International, Inc.. 1,500 120,000
----------
Apparel (0.4%)
Alberto-Culver Co................... 1,000 28,000
Fruit of the Loom, Inc.+............ 2,300 71,300
Gap, Inc............................ 5,100 198,263
Liz Claiborne, Inc.................. 1,800 83,925
Nike, Inc., Class B................. 7,600 443,650
Reebok International Ltd.+.......... 1,500 70,125
Russell Corp........................ 700 20,738
----------
916,001
----------
Auto Parts and Accessories (0.3%)
Cooper Tire & Rubber Co............. 900 19,800
Dana Corp........................... 1,900 72,200
Echlin, Inc......................... 600 21,600
Genuine Parts Co.................... 4,650 157,519
Pep Boys............................ 1,200 40,875
The Goodyear Tire & Rubber Co....... 4,500 284,906
TRW, Inc............................ 3,600 204,525
----------
801,425
----------
Autos and Auto Equipment (2.0%)
Chrysler Corp....................... 17,900 587,344
Ford Motor Co....................... 55,600 2,098,899
General Motors Corp................. 34,100 1,898,943
PACCAR, Inc......................... 2,600 120,738
Snap-On, Inc........................ 2,200 86,625
----------
4,792,549
----------
Banks (6.4%)
Banc One Corp....................... 11,100 537,656
Bank of New York Co., Inc........... 13,500 587,250
BankAmerica Corp.................... 33,000 2,130,562
BankBoston Corp..................... 5,800 417,963
Barnett Banks, Inc.................. 7,600 399,000
CITICORP............................ 13,300 1,603,480
Comerica, Inc....................... 4,700 319,600
Corestates Financial Corp........... 5,800 311,750
Countrywide Credit Industries, Inc.. 3,100 97,067
Fifth Third Bancorp................. 4,500 369,281
First Bank System, Inc.............. 4,600 392,725
First Chicago Corp.................. 11,900 719,950
First Union Corp.................... 13,100 1,211,749
- --------------------------------------------------------------------------------
Number of Market
Shares Value
--------- ---------
Banks (continued)
Fleet Financial Group, Inc.......... 7,100 $ 449,075
Golden West Financial Corp.......... 2,000 140,000
Great Western Financial Corp........ 6,100 327,875
KeyCorp............................. 6,100 340,838
Mellon Bank Corp.................... 8,800 397,100
NationsBank Corp.................... 27,784 1,792,067
Norwest Corp........................ 17,600 989,999
Providian Financial Corp............ 2,700 86,738
Republic New York Corp.............. 2,400 258,000
Suntrust Banks, Inc................. 9,700 534,106
Wachovia Corp....................... 4,700 274,069
Wells Fargo & Co.................... 1,100 296,450
----------
14,984,350
----------
Building Materials and Construction (0.2%)
Armstrong World Industries, Inc..... 800 58,700
Centex Corp......................... 500 20,313
Foster Wheeler Corp................. 600 24,300
Kaufman & Broad Home Corp........... 900 15,806
Masco Corp.......................... 4,200 175,350
Owens Corning....................... 900 38,813
Pulte Corp.......................... 500 17,281
Sherwin-Williams Co................. 4,500 138,938
-----------
489,501
-----------
Chemicals (2.1%)
Air Products and Chemicals, Inc..... 3,300 268,125
Dow Chemical Co..................... 6,800 592,450
Du Pont (E.I.) de Nemours........... 31,600 1,986,849
Eastman Chemical Co................. 800 50,800
Engelhard Corp...................... 4,000 83,750
FMC Corp.+.......................... 600 47,663
Goodrich (B.F.) Co.................. 1,000 43,313
Great Lakes Chemical Corp........... 700 36,663
Hercules, Inc....................... 1,100 52,663
Monsanto Co......................... 17,000 732,063
Morton International, Inc........... 4,100 123,769
Nalco Chemical Co................... 1,100 42,488
PPG Industries, Inc................. 5,000 290,625
Praxair, Inc........................ 4,600 257,600
Sigma-Aldrich Corp.................. 1,800 63,113
Union Carbide Corp.................. 3,300 155,306
W.R. Grace & Co..................... 1,700 93,713
----------
4,920,953
----------
Commercial Services (0.6%)
Automatic Data Processing, Inc...... 7,600 357,200
Browning-Ferris Industries, Inc..... 3,100 103,075
CUC International, Inc.+............ 5,300 136,806
Dun & Bradstreet Corp............... 1,700 44,625
Ecolab, Inc......................... 1,700 81,175
First Data Corp..................... 6,700 294,381
H & R Block, Inc.................... 1,400 45,150
Safety-Kleen Corp................... 1,000 16,875
</TABLE>
See Notes to Portfolio of Investments. 119
<PAGE>
Aetna GET Fund, Series C (continued)
Portfolio of Investments - June 30, 1997 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Number of Market
Shares Value
--------- ---------
<S> <C> <C>
Commercial Services (continued)
Service Corp. International......... 6,300 $ 207,113
Waste Management, Inc............... 5,700 183,113
----------
1,469,513
----------
Computer Software (4.1%)
Adobe Systems, Inc.................. 1,900 66,619
Cisco Systems, Inc.+................ 9,600 644,400
Computer Associates International,
Inc............................... 10,500 584,719
Computer Sciences Corp.+............ 1,300 93,763
Microsoft Corp.+.................... 55,700 7,039,087
Oracle Corp.+....................... 18,900 952,087
Parametric Technology Co.+.......... 3,100 131,944
----------
9,512,619
----------
Computers and Office Equipment (3.4%)
3Com Corp.+......................... 2,100 94,500
Cabletron Systems, Inc.+............ 2,500 70,781
Ceridian Corp.+..................... 1,300 54,925
Compaq Computer Corp.+.............. 12,900 1,280,324
Data General Corp.+................. 1,100 28,600
Dell Computer Corp.+................ 7,300 857,294
Deluxe Corp......................... 1,400 47,775
EMC Corp.+.......................... 8,500 331,500
Harris Corp......................... 1,300 109,200
International Business Machines,
Inc............................... 37,900 3,418,105
Moore Corp. Ltd..................... 1,900 37,406
Pitney Bowes, Inc................... 5,300 368,350
Sun Microsystems, Inc.+............. 14,800 550,838
Tandem Computers, Inc.+............. 2,200 44,550
Unisys Corp.+....................... 2,400 18,300
Xerox Corp.......................... 8,600 678,325
----------
7,990,773
----------
Consumer Products (2.8%)
American Greetings Corp., Class A... 1,200 44,550
Avon Products, Inc.................. 3,400 239,913
Clorox Co........................... 1,300 171,600
Colgate-Palmolive Co................ 7,600 495,900
Eastman Kodak Co.................... 6,700 514,225
Gillette Co......................... 11,300 1,070,674
International Flavors & Fragrances,
Inc............................... 800 40,400
Mattel, Inc......................... 3,300 111,788
Newell Co........................... 4,000 158,500
Polaroid Corp....................... 500 27,750
Procter & Gamble Co................. 25,900 3,658,374
Rubbermaid, Inc..................... 1,700 50,575
Tupperware Corp..................... 1,100 40,150
----------
6,624,399
----------
Diversified (5.7%)
Aeroquip-Vickers, Inc............... 500 23,625
Allied Signal, Inc.................. 8,200 688,800
Cognizant Corp...................... 4,800 194,400
Cooper Industries, Inc.............. 3,200 159,200
Corning, Inc........................ 5,600 311,500
- --------------------------------------------------------------------------------
Number of Market
Shares Value
--------- ---------
Diversified (continued)
Crane Co............................ 800 $ 33,450
Deere & Co.......................... 12,000 658,500
Dover Corp.......................... 3,200 196,800
Eastern Enterprises................. 500 17,344
Eaton Corp.......................... 1,800 157,163
Fortune Brands, Inc................. 4,000 149,250
General Electric Co................. 124,500 8,139,187
ITT Industries, Inc................. 2,200 56,650
Johnson Controls, Inc............... 2,400 98,550
Minnesota Mining and Manufacturing
Co................................ 12,000 1,223,999
NACCO Industries, Inc............... 200 11,288
Raychem Corp........................ 1,400 104,125
Rohm & Haas Co...................... 1,900 171,119
Tenneco, Inc........................ 1,800 81,338
Textron, Inc........................ 4,400 292,050
Tyco International Ltd.............. 6,600 459,113
VF Corp............................. 2,100 178,763
Whitman Corp........................ 2,000 50,625
----------
13,456,839
----------
Electrical and Electronics (3.3%)
Advanced Micro Devices, Inc.+....... 6,600 237,600
Applied Materials, Inc.+............ 3,700 262,006
General Signal Corp................. 900 39,263
Hewlett Packard Co.................. 14,700 823,200
Intel Corp.......................... 31,300 4,438,730
LSI Logic Corp.+.................... 4,100 131,200
Micron Technology, Inc.+............ 2,000 79,875
Motorola, Inc....................... 6,900 524,400
National Semiconductor Corp.+....... 5,000 153,125
National Service Industries, Inc.... 800 38,950
Perkin-Elmer Corp................... 800 63,650
Rockwell International Corp......... 5,900 348,100
Seagate Technology, Inc.+........... 10,900 383,544
Texas Instruments, Inc.............. 3,500 294,219
----------
7,817,862
----------
Electrical Equipment (0.6%)
AMP, Inc............................ 1,600 66,800
Emerson Electric Co................. 12,900 710,306
Grainger (W. W.), Inc............... 1,500 117,281
Honeywell, Inc...................... 4,900 371,788
Tektronix, Inc...................... 1,300 78,000
Thomas & Betts Corp................. 1,600 84,100
----------
1,428,275
----------
Financial Services (5.3%)
Ahmanson (H. F.) & Co............... 4,200 180,600
American Express Co................. 22,000 1,638,999
Bankers Trust New York Corp......... 2,800 243,600
Beneficial Corp..................... 1,000 71,063
Charles Schwab Corp................. 4,600 187,163
Chase Manhattan Corp................ 16,300 1,582,118
Federal Home Loan Mortgage Corp..... 19,200 660,000
</TABLE>
120 See Notes to Portfolio of Investments.
<PAGE>
- -----------------------------------------------------------------------
<TABLE>
<CAPTION>
Number of Market
Shares Value
--------- ---------
<S> <C> <C>
Financial Services (continued)
Federal National Mortgage
Association....................... 44,600 $1,945,674
Green Tree Financial Corp........... 4,000 142,500
Household International, Inc........ 2,600 305,338
J.P. Morgan & Co.................... 5,200 542,750
MBNA Corp........................... 12,800 468,800
Merrill Lynch & Co., Inc............ 10,000 596,250
Morgan Stanley, Dean Witter,
Discover & Co..................... 9,975 429,548
National City Corp.................. 6,400 336,000
PNC Bank Corp....................... 11,600 482,850
Salomon, Inc........................ 3,000 166,875
St. Paul Co., Inc................... 2,200 167,750
Transamerica Corp................... 1,700 159,056
Travelers Group, Inc................ 30,100 1,898,180
US Bancorp.......................... 5,100 327,038
----------
12,532,152
----------
Foods and Beverages (4.8%)
Anheuser-Busch Co., Inc............. 14,400 603,900
Archer-Daniels-Midland Co........... 5,700 133,950
Brown-Forman Corp., Class B......... 2,000 97,625
Campbell Soup Co.................... 13,500 675,000
Coca-Cola Co........................ 71,600 4,832,999
Conagra, Inc........................ 9,200 589,950
Coors (Adolph) Co................... 1,000 26,625
CPC International, Inc.............. 2,700 249,244
Fleming Companies, Inc.............. 1,000 18,000
General Mills, Inc.................. 2,200 143,275
Heinz (H.J.) Co..................... 9,600 442,800
Hershey Foods Corp.................. 4,000 221,250
Kroger Co. (The)+................... 6,400 185,600
PepsiCo, Inc........................ 22,300 837,644
Quaker Oats Co...................... 2,900 130,138
Ralston-Ralston Purina Group........ 2,700 221,906
Sara Lee Corp....................... 16,600 690,975
Seagram Ltd......................... 4,200 169,050
Supervalu, Inc...................... 1,900 65,550
Sysco Corp.......................... 3,000 109,500
Unilever N.V........................ 3,200 697,600
Wrigley (Wm) Jr. Co................. 1,600 107,200
----------
11,249,781
----------
Health Services (0.8%)
Beverly Enterprises+................ 2,600 42,250
Columbia/HCA Healthcare Corp........ 25,600 1,006,399
HEALTHSOUTH Corp.+.................. 11,000 274,313
Humana, Inc.+....................... 1,900 43,938
Manor Care, Inc..................... 1,100 35,888
Shared Medical Systems Corp......... 800 43,200
Tenet Healthcare Corp.+............. 8,700 257,194
United Healthcare Corp.............. 2,200 114,400
----------
1,817,582
----------
Hotels and Restaurants (0.7%)
HFS, Inc.+.......................... 4,700 272,600
- --------------------------------------------------------------------------------
Number of Market
Shares Value
--------- ---------
Hotels and Restaurants (continued)
Hilton Hotels Corp.................. 6,600 $ 175,313
ITT Corp.+.......................... 1,800 109,913
Marriott International, Inc......... 2,900 177,988
McDonald's Corp..................... 19,900 961,418
Wendy's International............... 1,800 46,688
-----------
1,743,920
-----------
Household Appliances (0.0%)
Maytag Corp......................... 1,700 44,413
Whirlpool Corp...................... 600 32,738
-----------
77,151
-----------
Insurance (4.1%)
Allstate Corp....................... 20,401 1,489,246
American General Corp............... 6,164 294,331
American International Group, Inc... 22,000 3,286,249
Aon Corp............................ 1,650 85,388
Chubb Corp.......................... 4,500 300,938
Cigna Corp.......................... 3,500 621,250
Conseco, Inc........................ 8,600 318,200
General Re Corp..................... 2,800 509,600
Hartford Financial Services Group,
Inc............................... 5,500 455,125
Jefferson-Pilot Corp................ 1,300 90,838
Lincoln National Corp............... 2,800 180,250
Loews Corp.......................... 5,400 540,675
Marsh & McLennan Co., Inc........... 4,800 342,600
MBIA, Inc........................... 1,500 169,219
MGIC Investment Corp................ 5,000 239,688
Safeco Corp......................... 3,700 172,744
Torchmark Corp...................... 3,300 235,125
UNUM Corp........................... 3,800 159,600
USF&G Corp.......................... 2,200 52,800
-----------
9,543,866
-----------
Machinery and Equipment (1.2%)
Baker Hughes, Inc................... 5,600 216,650
Black & Decker Corp................. 1,300 48,344
Briggs & Stratton Corp.............. 600 30,000
Brunswick Corp...................... 4,200 131,250
Case Corp........................... 2,000 137,750
Caterpillar, Inc.................... 8,400 901,949
Cincinnati Milacron, Inc............ 900 23,344
Cummins Engine Company, Inc......... 500 35,281
Fluor Corp.......................... 900 49,669
Giddings & Lewis.................... 900 18,788
Harnischfeger Industries, Inc....... 2,100 87,150
Illinois Tool Works, Inc............ 9,500 474,406
Ingersoll-Rand Co................... 3,800 234,650
Millipore Corp...................... 400 17,600
Pall Corp........................... 1,600 37,200
Parker-Hannifin Corp................ 2,800 169,925
Stanley Works....................... 2,600 104,000
Thermo Electron Corp.+.............. 1,700 57,800
-----------
2,775,756
-----------
</TABLE>
121
<PAGE>
Aetna GET Fund, Series C (continued)
Portfolio of Investments - June 30, 1997 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Number of Market
Shares Value
--------- ---------
<S> <C> <C>
Media and Entertainment (0.9%)
Fleetwood Enterprises, Inc.......... 700 $ 20,869
Interpublic Group of Co., Inc....... 2,000 122,625
King World Production, Inc.......... 600 21,000
Time Warner, Inc.................... 16,200 781,650
Walt Disney Co...................... 13,600 1,091,399
-----------
2,037,543
-----------
Medical Supplies (1.1%)
Alza Corp.+......................... 1,800 52,200
American Home Products Corp......... 18,600 1,422,899
Bard (C.R.), Inc.................... 600 21,788
Baxter International, Inc........... 4,000 209,000
Biomet, Inc.+....................... 1,900 35,388
Boston Scientific Corp.+............ 2,400 147,450
Guidant Corp........................ 1,400 119,000
Mallinckrodt, Inc................... 1,400 53,200
Medtronic, Inc...................... 4,400 356,400
US Surgical Corp.................... 1,500 55,875
-----------
2,473,200
-----------
Metals and Mining (0.6%)
Alcan Aluminum, Ltd................. 6,600 228,938
Allegheny Teledyne, Inc............. 5,400 145,800
Aluminum Co. of America............. 5,000 376,875
Armco, Inc.+........................ 3,300 12,788
Asarco, Inc......................... 1,200 36,750
Freeport-McMoRan Copper & Gold, Inc. 2,000 62,250
Inland Steel Industries, Inc........ 2,300 60,088
Nucor Corp.......................... 1,800 101,700
Phelps Dodge Corp................... 1,700 144,819
Reynolds Metals Co.................. 700 49,875
Timken Co........................... 1,600 56,900
USX-US Steel Group, Inc............. 2,300 80,644
-----------
1,357,427
-----------
Oil and Gas (7.0%)
Amoco Corp.......................... 10,000 869,375
Ashland, Inc........................ 2,100 97,388
Atlantic Richfield Co............... 8,800 620,400
Burlington Resources, Inc........... 3,600 158,850
Chevron Corp........................ 18,900 1,397,418
Columbia Gas System, Inc............ 1,000 65,250
Consolidated Natural Gas Co......... 1,800 96,863
Dresser Industries, Inc............. 5,100 189,975
Enron Corp.......................... 6,200 253,038
ENSERCH Corp........................ 700 15,575
Exxon Corp.......................... 71,700 4,409,549
Halliburton Co...................... 4,800 380,400
Helmerich & Payne, Inc.............. 700 40,338
Kerr-Mcgee Corp..................... 1,100 69,713
Louisiana Land and Exploration Co... 1,000 57,125
Mobil Corp.......................... 16,000 1,117,999
NorAm Energy Corp................... 3,400 51,850
- --------------------------------------------------------------------------------
Number of Market
Shares Value
--------- ---------
Oil and Gas (continued)
Occidental Petroleum Corp........... 4,700 $ 117,794
Oneok, Inc.......................... 700 22,531
Oryx Energy Co.+.................... 3,100 65,488
Pennzoil Co......................... 2,200 168,850
Phillips Petroleum Co............... 7,600 332,500
Rowan Co., Inc.+.................... 2,600 73,288
Royal Dutch Petroleum Co............ 43,200 2,348,999
Santa Fe Energy Resources, Inc.+.... 2,200 32,313
Schlumberger Ltd.................... 11,600 1,449,999
Sun Company, Inc.................... 2,800 86,800
Texaco, Inc......................... 7,600 826,500
The Williams Co., Inc............... 4,150 181,563
Union Pacific Resources Group, Inc.. 5,300 131,838
Unocal Corp......................... 9,500 368,719
USX-Marathon Group.................. 11,900 343,613
Western Atlas, Inc.+................ 1,000 73,250
-----------
16,515,151
-----------
Paper and Containers (0.6%)
Avery Dennison Corp................. 4,500 180,563
Bemis Co., Inc...................... 1,600 69,200
Crown Cork & Seal Co., Inc.......... 2,400 128,250
James River Corp. of Virginia....... 2,300 85,100
Kimberly-Clark Corp................. 16,200 805,950
Mead Corp........................... 500 31,125
Westvaco Corp....................... 1,000 31,438
-----------
1,331,626
-----------
Pharmaceuticals (8.4%)
Abbott Laboratories................. 32,200 2,149,349
Amgen, Inc.+........................ 10,100 587,063
Becton, Dickinson & Co.............. 2,400 121,500
Bristol-Myers Squibb Co............. 46,800 3,790,799
Cardinal Health Inc................. 2,800 160,300
Eli Lilly & Co...................... 16,100 1,759,930
Johnson & Johnson................... 38,500 2,478,437
Merck & Co., Inc.................... 35,000 3,622,499
Pfizer, Inc......................... 18,600 2,222,699
Pharmacia & Upjohn, Inc............. 6,900 239,775
Schering Plough..................... 34,200 1,637,324
Warner Lambert Co................... 7,800 969,149
-----------
19,738,824
-----------
Printing and Publishing (0.6%)
Gannett Co., Inc.................... 5,400 533,250
John H. Harland Co.................. 600 13,688
Knight-Ridder, Inc.................. 2,400 117,750
McGraw-Hill Co., Inc................ 1,900 111,744
Meredith Corp....................... 1,400 40,600
New York Times Co................... 3,300 163,350
RR Donnelley & Sons Co.............. 1,500 54,938
Times Mirror Co..................... 2,600 143,650
Tribune Co.......................... 3,300 158,606
-----------
1,337,576
-----------
</TABLE>
122 See Notes to Portfolio of Investments.
<PAGE>
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Number of Market
Shares Value
--------- ---------
<S> <C> <C>
Retail (3.2%)
Albertson's, Inc.................... 2,900 $ 105,850
American Stores Co.................. 3,600 177,750
AutoZone, Inc.+..................... 2,000 47,125
Circuit City Stores, Inc............ 1,000 35,563
Costco Companies, Inc.+............. 8,900 292,588
CVS Corp............................ 2,800 143,500
Dayton Hudson Corp.................. 9,200 489,325
Dillards, Inc., Class A............. 1,600 55,400
Federated Department Stores, Inc.+.. 5,400 187,650
Giant Food, Inc..................... 1,100 35,888
Great Atlantic & Pacific Tea Co.,
Inc............................... 900 24,469
Harcourt General, Inc............... 1,300 61,913
Hasbro, Inc......................... 2,400 68,100
Home Depot, Inc..................... 13,900 958,230
J.C. Penney Co., Inc................ 2,600 135,688
Kmart Corp.+........................ 12,800 156,800
Longs Drug Stores, Inc.............. 800 20,950
Lowe's Companies, Inc............... 4,500 167,063
May Department Stores Co............ 3,800 179,550
Mercantile Stores Co., Inc.......... 500 31,469
Nordstrom, Inc...................... 1,100 53,969
Rite Aid Corp....................... 4,700 234,413
Sears, Roebuck & Co................. 11,400 612,750
Tandy Corp.......................... 800 44,800
The Limited, Inc.................... 3,800 76,950
TJX Companies, Inc.................. 5,400 142,425
Toys "R" Us, Inc.+.................. 5,800 203,000
Wal-Mart Stores, Inc................ 66,000 2,231,624
Walgreen Co......................... 6,700 359,288
Winn-Dixie Stores, Inc.............. 1,500 55,875
Woolworth Corp.+.................... 4,000 96,000
-----------
7,485,965
-----------
Telecommunications (2.0%)
AirTouch Communications, Inc.+...... 5,300 145,088
Ameritech Corp...................... 21,000 1,426,687
Andrew Corp.+....................... 2,700 75,938
Lucent Technologies, Inc............ 29,900 2,154,668
Northern Telecom Ltd................ 9,900 900,899
-----------
4,703,280
-----------
Tobacco (1.8%)
Philip Morris Co., Inc.............. 92,300 4,095,812
UST, Inc............................ 4,900 135,975
-----------
4,231,787
-----------
Transportation (1.0%)
AMR Corp.+.......................... 2,400 222,000
Burlington Northern Santa Fe Corp... 1,600 143,800
CSX Corp............................ 5,800 321,900
Delta Air Lines, Inc................ 2,900 237,800
Federal Express Corp.+.............. 2,500 144,375
Laidlaw, Inc., Class B.............. 8,300 114,644
- --------------------------------------------------------------------------------
Number of Market
Shares Value
--------- ---------
Transportation (continued)
Navistar International Corp.+....... 2,200 $ 37,950
Norfolk Southern Corp............... 3,300 332,475
Ryder System, Inc................... 1,500 49,500
Southwest Airlines Co............... 3,800 98,325
Union Pacific Corp.................. 7,100 500,550
USAir Group, Inc.................... 2,000 70,000
-----------
2,273,319
-----------
Utilities - Electric (1.7%)
American Electric Power Co.......... 4,900 205,800
Baltimore Gas & Electric Co......... 3,800 101,413
Carolina Power & Light Co........... 3,900 139,913
Central & South West Corp........... 2,900 61,625
Cinergy Corp........................ 4,100 142,731
Consolidated Edison Co. of
New York, Inc..................... 5,000 147,188
Dominion Resources, Inc............. 4,400 161,150
DTE Energy Co....................... 4,200 116,025
Duke Power Co....................... 11,231 538,380
Edison International................ 11,100 276,113
Entergy Corp........................ 6,300 172,463
FPL Group, Inc...................... 4,700 216,494
GPU, Inc............................ 5,100 182,963
Houston Industries, Inc............. 5,900 126,481
Niagara Mohawk Power Corp.+......... 3,700 31,681
Northern States Power Co............ 1,000 51,750
Ohio Edison Co...................... 5,200 113,425
PacifiCorp.......................... 8,000 176,000
Peco Energy Co...................... 3,100 65,100
PG&E Corp........................... 5,900 143,075
PP&L Resources, Inc................. 4,300 85,731
Public Service Enterprise
Group, Inc........................ 6,200 155,000
Southern Co......................... 19,700 430,938
Texas Utilities Co.................. 4,900 168,744
Unicom Corp......................... 2,200 48,950
Union Electric Co................... 1,000 37,688
-----------
4,096,821
-----------
Utilities - Oil and Gas (0.2%)
Coastal Corp. (The)................. 2,000 106,375
NICOR, Inc.......................... 900 32,288
Pacific Enterprises................. 2,900 97,513
People's Energy Corp................ 600 22,463
Sonat, Inc.......................... 2,300 117,875
-----------
376,514
-----------
Utilities - Telephone (2.9%)
Alltel Corp......................... 4,800 160,500
AT&T Corp........................... 18,800 659,175
Bell Atlantic Corp.................. 12,700 963,612
BellSouth Corp...................... 28,700 1,330,962
GTE Corp............................ 13,800 605,475
MCI Communications Corp............. 11,200 428,750
NYNEX Corp.......................... 12,700 731,838
</TABLE>
123
<PAGE>
Aetna GET Fund, Series C (continued)
Portfolio of Investments - June 30, 1997 (Unaudited)
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Number of Market
Shares Value
--------- ---------
<S> <C> <C>
Utilities - Telephone (continued)
SBC Communications, Inc............. 12,172 $ 753,143
Sprint Corp......................... 6,000 315,750
Tellabs, Inc.+...................... 6,900 385,538
U. S. West Communications Group..... 13,100 493,706
------------
6,828,449
------------
Total Common Stocks (cost $167,716,172) 192,916,986
------------
Principal
Amount
--------
LONG-TERM BONDS AND NOTES (17.3%)
U.S. Treasury Strip, Zero Coupon,
02/15/02.......................... $18,436,000 13,799,927
U.S. Treasury Strip, Zero Coupon,
11/15/01.......................... 35,498,000 26,948,348
------------
Total Long-Term Bonds and Notes (cost
$40,206,143) 40,748,275
------------
SHORT-TERM INVESTMENTS (0.5%)
Federal National Mortgage
Association, Mortgage-Backed
Securities, 5.60%, 07/01/97....... 320,000 320,000
U.S. Treasury Bill, Time Deposit,
5.12%, 08/21/97................... 750,000 744,495
------------
Total Short-Term Investments (cost $1,064,560) 1,064,495
------------
TOTAL INVESTMENTS (cost $208,986,875)(a) 234,729,756
Other assets less liabilities 80,705
------------
Total Net Assets $234,810,461
============
</TABLE>
- --------------------------------------------------------------------------------
Notes to Portfolio of Investments
(a) The cost of investments for federal income tax purposes is $209,760,261.
Unrealized gains and losses, based on identified tax cost at June 30, 1997, are
as follows:
<TABLE>
<CAPTION>
<S> <C>
Unrealized gains .................... $26,601,423
Unrealized losses ................... (1,631,928)
------------
Net unrealized gain ............... $24,969,495
===========
</TABLE>
+Non-income producing security.
Category percentages are based on net assets.
124 See Notes to Financial Statements.
<PAGE>
Aetna GET Fund
Statements of Assets and Liabilities
June 30, 1997 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Series B Series C
------------ -------------
<S> <C> <C>
Assets:
Investments, at market value ...................................................................... $92,749,169 $234,729,756
Cash .............................................................................................. 21,206 28,060
Receivable for:
Dividends and interest .......................................................................... 95,684 210,916
Investments sold ................................................................................ 2,899,537 --
Miscellaneous ................................................................................... 1,160 --
------------ -------------
Total assets ............................................................................. 95,766,756 234,968,732
------------ -------------
Liabilities:
Payable for:
Investments purchased ........................................................................... 493,502 --
Fund shares redeemed ............................................................................ 16,878 14,154
Variation margin ................................................................................ 39,900 --
Accrued investment advisory fees .................................................................. 58,109 115,294
Accrued administrative service fees ............................................................... 11,622 28,823
------------ -------------
Total liabilities ........................................................................ 620,011 158,271
------------ -------------
NET ASSETS ...................................................................................... $95,146,745 $234,810,461
============ =============
Net assets represented by:
Paid-in capital ................................................................................... $65,993,437 $203,681,301
Net unrealized gain on investments ................................................................ 15,259,934 25,742,881
Undistributed net investment income ............................................................... 242,503 735,272
Accumulated net realized gain on investments ...................................................... 13,650,871 4,651,007
------------ -------------
NET ASSETS ...................................................................................... $95,146,745 $234,810,461
============ =============
Capital Shares, $0.001 par value:
Outstanding ....................................................................................... 6,772,013 20,219,833
Net asset value per share (net assets divided by shares outstanding) .............................. $ 14.050 $ 11.613
Cost of investments ............................................................................... $77,416,934 $208,986,875
</TABLE>
See Notes to Financial Statements.
125
<PAGE>
Aetna GET Fund
Statements of Operations
Six month period ended June 30, 1997 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Series B Series C
------------ ------------
<S> <C> <C>
Investment Income:
Dividends ...................................................................................... $ 737,664 $ 1,423,039
Interest ....................................................................................... 256,636 1,458,497
------------ ------------
994,300 2,881,536
Foreign taxes withheld ......................................................................... (1,720) (9,485)
------------ ------------
Total investment income ............................................................... 992,580 2,872,051
------------ ------------
Expenses:
Investment advisory fees ....................................................................... 327,644 654,183
Administrative services fees ................................................................... 65,529 163,546
------------ ------------
Total expenses ........................................................................ 393,173 817,729
------------ ------------
Net investment income .......................................................................... 599,407 2,054,322
------------ ------------
Net Realized and Unrealized Gain (Loss):
Net realized gain on:
Sale of investments .......................................................................... 12,962,200 4,059,722
Futures contracts ............................................................................ 738,692 840,259
------------ ------------
Net realized gain on investments ...................................................... 13,700,892 4,899,981
------------ ------------
Net change in unrealized gain or loss on:
Investments .................................................................................. 1,534,163 23,175,502
Futures contracts ............................................................................ (74,400) (246,250)
------------ ------------
Net change in unrealized gain or loss on investments .................................. 1,459,763 22,929,252
------------ ------------
Net realized and change in unrealized gain or loss.............................................. 15,160,655 27,829,233
------------ ------------
Net increase in net assets resulting from operations ........................................... $15,760,062 $29,883,555
============ ============
</TABLE>
See Notes to Financial Statements.
126
<PAGE>
Aetna GET Fund
Statements of Changes in Net Assets
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Series B Series C
------------------------------- ----------------------------------
Six month Six month Period from
period ended period ended September 16, 1996
June 30, 1997 Year Ended June 30, 1997 to December 31,
(Unaudited) December 31,1996 (Unaudited) 1996
------------- ---------------- ------------- ------------------
<S> <C> <C> <C> <C>
From Operations:
Net investment income ....................................... $ 599,407 $ 1,793,200 $ 2,054,322 $ 1,301,751
Net realized gain on investment ............................. 13,700,892 15,668,922 4,899,981 43,887
Net change in unrealized gain or loss........................ 1,459,763 1,803,599 22,929,252 2,813,629
------------ ------------ ------------- -------------
Net increase in net assets resulting from operations ...... 15,760,062 19,265,721 29,883,555 4,159,267
------------ ------------ ------------- -------------
Distributions to Shareholders:
From net investment income .................................. (672,604) (1,477,500) (1,604,718) (1,016,083)
From net realized gain on investments ....................... (15,789,390) (4,993,546) (292,861) --
------------ ------------ ------------- -------------
Decrease in net assets from distributions to shareholders . (16,461,994) (6,471,046) (1,897,579) (1,016,083)
------------ ------------ ------------- -------------
From Share Transactions:
Proceeds from shares sold ................................... -- 553,874 -- 204,744,426
Net asset value of shares issued upon reinvestment of
distributions ............................................. 16,461,994 6,471,046 1,897,579 1,016,083
Payments for shares redeemed ................................ (3,629,684) (25,372,861) (3,514,826) (461,961)
------------ ------------ ------------- -------------
Net increase (decrease) in net assets from share
transactions ............................................ 12,832,310 (18,347,941) (1,617,247) 205,298,548
------------ ------------ ------------- -------------
Change in net assets ........................................ 12,130,378 (5,553,266) 26,368,729 208,441,732
Net assets:
Beginning of period ......................................... 83,016,367 88,569,633 208,441,732 --
------------ ------------ ------------- -------------
End of period ............................................... $95,146,745 $83,016,367 $234,810,461 $208,441,732
============ ============ ============= =============
End of period net assets includes undistributed net
investment income ......................................... $ 242,503 $ 315,700 $ 735,272 $ 285,668
============ ============ ============= =============
Share Transactions:
Number of shares sold ....................................... -- 41,466 -- 20,323,071
Number of shares issued upon reinvestment of distributions .. 1,168,448 522,466 162,949 97,913
Number of shares redeemed ................................... (234,519) (1,867,727) (319,144) (44,956)
------------ ------------ ------------- -------------
Net increase (decrease) ................................... 933,929 (1,303,795) (156,195) 20,376,028
============ ============ ============= =============
</TABLE>
See Notes to Financial Statements.
127
<PAGE>
Aetna GET Fund
Notes to Financial Statements - June 30, 19097 (Unaudited)
- --------------------------------------------------------------------------------
1. Summary of Significant Accounting Policies
Aetna GET Fund (Fund) is registered under the Investment Company Act of 1940 as
an open-end management investment company. It was organized under the laws of
Massachusetts as a business trust on March 9, 1987. The Declaration of Trust
permits the Fund to offer separate series (Series) each of which has its own
investment objective, policies and restrictions.
Currently there are two diversified Series of the Fund, Aetna GET Fund, Series B
(Series B) and Aetna GET Fund, Series C (Series C). Both Series seek to achieve
maximum total return by participating in favorable equity market performance
without compromising a minimum targeted rate of return during a specified five
year period (Guaranteed Period). The minimum targeted return for each Series
during its Guaranteed Period is 2.50% per year before asset based contract
charges and each Series cost of operations.
Series B accumulated deposits from March 15, 1994 to June 30, 1994. The
Guaranteed Period for Series B is from July 1, 1994 to June 30, 1999, its
maturity date. Series C accumulated deposits from September 16, 1996 to December
16, 1996. The Guaranteed Period for Series C is from December 17, 1996 to
December 16, 2001, its maturity date.
Shares of each Series are owned by insurance companies as depositors of separate
accounts which are used to fund variable annuity contracts and variable life
insurance policies. Currently, all shares are held by separate accounts of Aetna
Life Insurance and Annuity Company (Aetna) and its subsidiary, Aetna Insurance
Company of America.
Aetna serves as the Investment Adviser and principal underwriter to each Series.
Aetna is an indirect wholly-owned subsidiary of Aetna Retirement Services, Inc.
which is in turn a wholly-owned subsidiary of Aetna Inc. Aeltus Investment
Management, Inc. (Aeltus), an affiliate of Aetna, is employed as a subadviser to
the Series.
The following is a summary of significant accounting policies consistently
followed by the Series in the preparation of their financial statements. The
policies are in conformity 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 Series.
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 value. 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.
B. Futures 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. Each Series uses futures
contracts as a hedge against declines in the value of portfolio securities. Each
Series may enter into futures contracts to manage the risk of changes in
interest rates, equity prices or in anticipation of future purchases and sales
of portfolio securities.
Upon entering into a futures contract, a Series 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 a Series equal to the daily fluctuations in the
market value of the contract. These amounts are recorded by a Series as
unrealized gains or losses. When a contract is closed, a Series 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 held by a Series are closed prior to expiration.
128
<PAGE>
- --------------------------------------------------------------------------------
1. Summary of Significant Accounting Policies (continued)
The risks associated with futures contracts may arise from an imperfect
correlation between the change in market value of the securities held by the
Series and the price of futures contracts. The amounts at risk under such
futures contracts may exceed the amounts reflected in the financial statements.
The notional amounts of these contracts are disclosed in the Portfolio of
Investments. Risks may also arise from an illiquid secondary market, or from the
inability of counterparties to meet the terms of the contract. For federal
income tax purposes, any futures contracts which remain open at the end of the
fiscal period are marked-to-market and the resultant net gain or loss is
included in federal taxable income.
C. Illiquid and Restricted Securities
Illiquid securities are securities that are not readily marketable. Disposing of
illiquid investments may involve time-consuming negotiation and legal expenses,
and it may be difficult or impossible for the Series to sell them promptly at an
acceptable price. Restricted securities are subject to legal or contractual
restrictions on resale and may not be publicly sold without registration under
the Securities Act of 1933, under Rule 144(A) or, are securities offered
pursuant to Section 4(2). Each Series may invest up to 15% of its total assets
in illiquid securities. Illiquid and restricted securities are valued using
market quotations when readily available. In the absence of market quotations,
the securities are valued based upon their fair value determined under
procedures approved by the Board of Trustees. The Series will not pay the costs
of disposition of restricted securities other than ordinary brokerage fees, if
any.
D. Federal Income Taxes
As a qualified regulated investment company, each Series is relieved of federal
income taxes by distributing its net taxable investment income and capital
gains, if any, in compliance with the applicable provisions of the Internal
Revenue Code.
E. Distributions
Each Series distributes all net investment income and capital gains, if any, to
shareholders annually. Distributions from net investment income are based on
taxable net investment 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 losses deferred due to wash
sales.
F. 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 over the life of the respective security using a
yield-to-maturity method. Dividend income and stock splits as well as
distributions to the shareholders are recorded on the ex-dividend date. Realized
gains and losses from investment transactions are determined on an identified
cost basis.
2. Investment Advisory Fee and Other Expenses Each
Series pays Aetna an investment advisory fee expressed as a percentage of the
average daily net assets of each Series. Investment advisory fees for Series B
are at an annual rate of 0.75% of its average daily net assets. Investment
advisory fees for Series C are at an annual rate of 0.60% of its average daily
net assets.
Under the terms of an Administrative Services Agreement, Aetna acts as
administrator and provides all administrative services necessary for the Series'
operations and is responsible for the supervision of the Series' other service
providers. Aetna also assumes all ordinary, recurring costs of the Series, such
as custodian fees, trustees' fees, transfer agent costs and accounting expenses.
For these services, Aetna receives an annual fee, payable monthly, at a rate of
0.15% of the average daily net assets of each Series.
Under the terms of a Subadvisory Agreement among the Fund, Aetna and Aeltus,
Aeltus supervises the investment and reinvestment of cash and securities and
provides certain related administrative services to the Series in exchange for a
fee (payable by Aetna) of up to 0.35% of Series B's and up to 0.375% of Series
C's average daily net assets. For the period ended June 30, 1997, Aetna paid
Aeltus $151,925 and $406,239 for Series B and Series C, respectively, in
accordance with the terms of the Subadvisory Agreement.
129
<PAGE>
Aetna GET Fund (continued)
Notes to Financial Statements - June 30, 1997 (Unaudited)
- --------------------------------------------------------------------------------
3. Purchases and Sales of Investment Securities
Purchases and sales of investment securities, excluding short-term investments,
for the period ended June 30, 1997 were:
<TABLE>
<CAPTION>
Cost of Purchases Proceeds from Sales
----------------- -------------------
<S> <C> <C>
Series B $ 95,686,039 $ 98,135,769
Series C 167,044,131 152,996,517
</TABLE>
130
<PAGE>
Aetna GET Fund
Financial Highlights
- --------------------------------------------------------------------------------
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
Series B
---------------------------------------------------------------
Six month Six month
period ended Year ended Year ended period ended
June 30, 1997 December 31, December 31, December 31,
(Unaudited) 1996 1995+ 1994+
-------------- ------------ ------------ ------------
<S> <C> <C> <C> <C>
Net asset value per share, beginning of period ................ $ 14.220 $ 12.401 $ 9.920 $10.092
--------- --------- ------- -------
Income from investment operations:
Net investment income ....................................... 0.102 0.283 0.309 0.250
Net realized and unrealized gain (loss) ..................... 2.665 2.489 2.492 (0.064)
--------- --------- ------- -------
Total from investment operations ...................... 2.767 2.772 2.801 0.186
--------- --------- ------- -------
Less distributions:
From net investment income .................................. (0.120) (0.230) (0.320) (0.317)
From net realized gain on investments ....................... (2.817) (0.723) -- (0.041)
--------- -------- ------- --------
Total distributions ................................... (2.937) (0.953) (0.320) (0.358)
--------- -------- ------- --------
Net asset value per share, end of period ...................... $ 14.050 $14.220 $12.401 $ 9.920
========= ======== ======= =======
Total return* ................................................. 19.40% 23.52% 28.38% 1.83%
Net assets, end of period (000's) ............................. $ 95,147 $83,016 $88,570 $74,145
Ratio of total expenses to average net assets** ............... 0.90% 0.85% 1.03% 0.53%
Ratio of net investment income to average net assets** ........ 1.37% 1.96% 2.74% 4.52%
Portfolio turnover rate ....................................... 117.73% 122.27% 90.25% 36.12%
Average commission rate paid per share ........................ $ 0.0561 $0.0538 -- --
</TABLE>
* The total return percentage does not reflect any separate account charges
under variable annuity contracts and life policies.
** Annualized for periods of less than one year.
+ Per share data calculated using weighted average number of shares outstanding
throughout the period.
See Notes to Financial Statements.
131
<PAGE>
Aetna GET Fund
Financial Highlights
- -------------------------------------------------------------------------------
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
Series C
--------------------------------------
Six month Period from
period ended December 17, 1996
June 30, 1997 to December 31,
(Unaudited) 1996
--------------- -----------------
<S> <C> <C>
Net asset value per share, beginning of period ........................................... $ 10.230 $ 10.125
--------- ---------
Income from investment operations:
Net investment income .................................................................. 0.102 0.009
Net realized and unrealized gain ....................................................... 1.376 0.146
--------- ---------
Total from investment operations ................................................. 1.478 0.155
--------- ---------
Less distributions:
From net investment income ............................................................. (0.080) (0.050)
From net realized gain on investments .................................................. (0.015) --
--------- ---------
Total distributions .............................................................. (0.095) (0.050)
--------- ---------
Net asset value per share, end of period ................................................. $ 11.613 $ 10.230
========= =========
Total return* ............................................................................ 14.44% 1.52%
Net assets, end of period (000's) ........................................................ $234,810 $208,442
Ratio of total expenses to average net assets** .......................................... 0.75% 0.75%
Ratio of net investment income to average net assets** ................................... 1.88% 3.04%
Portfolio turnover rate .................................................................. 72.17% 6.25%
Average commission rate paid per share ................................................... $ 0.0450 $ 0.0342
</TABLE>
* The total return percentage does not reflect any separate account charges
under variable annuity contracts and life policies.
** Annualized for periods of less than one year.
See Notes to Financial Statements.
132
<PAGE>
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<PAGE>
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<PAGE>
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<PAGE>
[AETNA LOGO]
Insurance products issued by Aetna Life Insurance and Annuity Company,
Aetna Insurance Company of America and Aetna Life Insurance Company.
Mutual funds and variable products are available through local representa-
tives of Aetna Investment Services, Inc., 151 Farmington Avenue, Hartford,
Connecticut 06156 and other broker-dealers that have an agreement with
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These reports are authorized for distribution to other persons only when
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