PRESIDENT'S LETTER
Dear Valued Shareholder,
Thank you for investing in Aetna variable funds. We are pleased to bring you
this semi-annual report on the portfolios you have chosen to help you along the
road to your investment goals.
In recapping the markets of the past six months, it is easy to see that "get
rich quick" has not been the name of the game, especially when compared to
recent past periods. A more cautious attitude has been visible among investors,
as evidenced in the relative performance, for example, of value over growth
investment styles. Also in contrast to recent years, small- and mid-cap stock
returns have kept pace with or outdistanced those of large-caps. Broad market
performance was flat: the S&P 500 and the NYSE Composite each lost roughly 1%.
Bonds (as measured by the Lehman Brothers Aggregate Bond Index) and money market
instruments along with bank certificates of deposit, outperformed broad market
equity returns. Commodities in general, and oil in particular, also saw returns
in excess of stocks. So far, it has been a year to give comfort to financial
theorists who counsel that investments should be diversified across several
asset classes in order to both enhance returns and reduce risk.
At the halfway point in 2000, these market returns tell us that something has
changed, but they do not tell us exactly what. The U.S. equity market has lost
forward momentum, remains narrowly based, and has set new standards for daily
and intra-day volatility. Meanwhile, global economic growth has rebounded, and
it is no longer possible to be complacent on the issue of inflation. Further, a
realization is dawning that the Federal Reserve (Fed) means business in its
objective to slow the economy. So far this year the Fed has raised rates by a
full 1%, and recent data suggests that these rate hikes have begun to take
affect. But labor markets remain tight and wage pressures are a concern for
future corporate profitability.
In summary, the U.S. economy at mid-year remains in terrific shape. The record
returns of recent years suggest that the market saw these conditions coming. The
slowdown in equity returns thus far in 2000 may be foretelling a slowdown in
economic performance. Our investment professionals will, as always, continue to
monitor these developments closely.
We at Aetna variable funds and our advisor, Aeltus Investment Management, Inc.,
strive to continuously improve our products and services. Here are some
highlights of our efforts since we last wrote to you:
o AETNA TECHNOLOGY VP was introduced on May 1. This new investment vehicle
seeks long-term capital appreciation by investing primarily in common
stocks and securities convertible into common stock of companies in the
information technology industry sector.
o Investors like you demonstrated their continued confidence in Aetna
variable funds by investing nearly $285 million of assets into TWO NEW GET
FUNDS, Series H and I. These innovative total-return funds offer investors
participation in the equity markets while providing the downside protection
of guaranteeing the return of their initial investment. A third new GET
Fund, Series J, is now open to investment from June 15 through September
13, 2000.
As we venture forth in this new millennium, you have our continued commitment to
bringing you our best in products and services.
Sincerely,
/s/ J. Scott Fox
----------------
J. Scott Fox
President
(over)
i
<PAGE>
July 26, 2000
Aetna Inc. ("Aetna"), of which Aeltus Investment Management, Inc. ("Aeltus") is
an indirect wholly-owned subsidiary, has entered into an agreement to sell
certain of its businesses, including Aeltus, to ING Groep N.V. ("ING"), an
integrated financial services provider.
Consummation of the transaction is subject to a number of contingencies,
including regulatory and shareholder approvals and other closing conditions.
Under the Investment Company Act of 1940, the transaction would result in a
change in control of Aeltus and, therefore, constitute an assignment of the
Aetna variable funds' investment advisory agreements, which would result in a
termination of those agreements. Consequently, it is anticipated that Aeltus
will seek approval of new agreements from the Boards of the Aetna variable
funds, and the shareholders of each fund prior to consummation of the
transaction. The transaction is targeted to close by the end of 2000. Additional
information regarding the transaction and its impact upon the funds will be
provided to you in the near future.
Sincerely,
/s/ J. Scott Fox
----------------
J. Scott Fox
President
ii
<PAGE>
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TABLE OF CONTENTS
--------------------------------------------------------------------------------
<TABLE>
<S> <C>
President's Letter..................................................... i
CAPITAL APPRECIATION PORTFOLIOS:
Investment Review...................................................... 1
Portfolios of Investments:
Aetna Growth VP....................................................... 16
Aetna International VP................................................ 18
Aetna Small Company VP................................................ 20
Aetna Value Opportunity VP............................................ 23
Aetna Technology VP................................................... 25
Statements of Assets and Liabilities................................... 26
Statements of Operations............................................... 28
Statements of Changes in Net Assets.................................... 30
Notes to Financial Statements.......................................... 35
Additional Information................................................. 40
Financial Highlights................................................... 41
GROWTH & INCOME PORTFOLIOS:
Investment Review...................................................... 46
Portfolios of Investments:
Aetna Balanced VP..................................................... 56
Aetna Growth and Income VP............................................ 66
Aetna Real Estate Securities VP....................................... 73
Statements of Assets and Liabilities................................... 74
Statements of Operations............................................... 75
Statements of Changes in Net Assets.................................... 76
Notes to Financial Statements.......................................... 79
Additional Information................................................. 85
Financial Highlights................................................... 86
INCOME PORTFOLIOS:
Investment Review...................................................... 89
Portfolios of Investments:
Aetna Bond VP......................................................... 97
Aetna High Yield VP...................................................101
Aetna Money Market VP.................................................103
Statements of Assets and Liabilities...................................105
Statements of Operations...............................................106
Statements of Changes in Net Assets....................................107
Notes to Financial Statements..........................................110
Additional Information.................................................116
Financial Highlights...................................................117
</TABLE>
<PAGE>
--------------------------------------------------------------------------------
TABLE OF CONTENTS
--------------------------------------------------------------------------------
<TABLE>
<S> <C>
GET FUNDS:
Investment Review......................................................120
Portfolios of Investments:
Series C..............................................................134
Series D..............................................................141
Series E..............................................................148
Series G..............................................................155
Series H..............................................................162
Series I..............................................................169
Series J..............................................................176
Statements of Assets and Liabilities...................................178
Statements of Operations...............................................180
Statements of Changes in Net Assets....................................182
Notes to Financial Statements..........................................189
Additional Information.................................................193
Financial Highlights...................................................194
</TABLE>
<PAGE>
Aetna Growth VP
Growth of $10,000
[The following was depicted as a line graph in the printed material.]
<TABLE>
<CAPTION>
Growth VP 12/13/96 12/31/96 12/31/97 12/31/98
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Aetna Growth VP 10,000 10,146 9,846 11,780 14,139 13,510 15,701 16,607 14,939 18,580
S&P 500 Index 10,000 10,165 10,437 12,259 13,178 13,556 15,447 15,957 14,369 17,430
Russell 1000 Growth Index 10,000 10,090 10,145 12,063 12,970 13,168 15,163 15,851 14,412 18,265
<CAPTION>
Growth VP 12/31/99 6/30/00
<S> <C> <C> <C> <C> <C> <C>
Aetna Growth VP 19,816 21,130 20,359 25,103 27,756 27,351
S&P 500 Index 18,298 19,588 18,363 21,096 21,579 21,005
Russell 1000 Growth Index 19,427 20,175 19,436 24,323 26,057 25,354
</TABLE>
<TABLE>
<CAPTION>
---------------------------------------
Average Annual Total Returns
for the period ended June 30, 2000*
---------------------------------------
Inception Date 1 Year Inception
---------------------------------------
<S> <C> <C>
12/13/96 29.45% 32.79%
---------------------------------------
</TABLE>
*Total Return is calculated including reinvestment of income and capital gain
distributions. Performance does not take into account any separate account
charges imposed by Aetna. Past performance is no guarantee of future results.
Investment return and principal of an investment will fluctuate so that an
investor's shares, when redeemed, may be worth more or less than the original
cost.
**The Aetna Growth VP has changed its benchmark from the Standard & Poor's (S&P)
500 Index to the Russell 1000 Growth Index because the Russell 1000 Growth Index
emphasizes large cap growth stocks, which are more indicative of the securities
in which the Portfolio invests.
AETNA GROWTH VP
HOW DID THE PORTFOLIO PERFORM DURING THE PERIOD?
Aetna Growth VP (Growth) generated a total return of 8.96%, net of fund
expenses, for the six month period ended June 30, 2000. The benchmark, Russell
1000 Growth Index(d), returned 4.23% for the same period.
WHAT ECONOMIC OR FINANCIAL MARKET CONDITIONS IMPACTED THE PORTFOLIO?
For the first half of 2000, equity market performance has been negative to
modestly positive: the Standard & Poor's (S&P) 500 Index(a) was down 0.42%, the
NASDAQ Composite Index(e) was down 2.54% and the Russell 1000 Growth Index was
up 4.23%.
The industries that delivered solid returns in the first half, as in recent
periods, were semiconductors and networking infrastructure. Biotech soared,
slumped, and soared again while pharmaceuticals, an old-growth sector, roared
back from a rut in February to add both return and diversification to growth
portfolios.
At the halfway point in 2000, market actions tell us that something has changed.
The U.S. equity market has lost forward momentum, remains narrowly based, and
has set new standards for daily and intra-day volatility. Meanwhile, global
economic
See Definition of Terms. 1
<PAGE>
growth has rebounded, but it is no longer possible to be complacent on the issue
of inflation. Central banks are moving their monetary policies toward neutrality
or even restraint. Business conditions remain exceptionally vigorous despite
some deceleration from the recent white-hot pace of the U.S. private sector.
Earnings growth has been robust and the immediate outlook is for more of the
same.
At the beginning of the year, it appeared that two opposing factors would set
the story line for this year's market results. One was the undeterred spirit of
"dip-buying"; the record shows that getting in to the market on sell-offs has
been a profitable tactic of late. The other factor was the Federal Reserve Bank
(Fed) shift toward a less accommodating monetary policy. By raising interest
rates in order to restrain the economy, the Fed put increased pressure on what
has been a richly valued market. It still looks as if the clash of these two
factors will determine the year's final numbers.
WHAT INVESTMENTS INFLUENCED THE PORTFOLIO'S PERFORMANCE IN THE PAST SIX MONTHS?
Healthcare was the strongest performing sector in the portfolio, due to superior
stock selection in biotechnology, specifically Idec Pharmaceuticals. Idec
outperformed the market as it continued to exhibit strong revenue and earnings
growth. Allergan and Warner-Lambert (now Pfizer) were top performers in the
pharmaceutical sector. Allergan's prescription trends exceeded expectations,
which translated into very strong quarterly earnings and caused analysts to
raise earnings estimates for the year. Warner-Lambert generated returns of 59%
during the period reflecting healthy revenue and volume growth in addition to
the markets' positive expectations for the combined Pfizer/Warner-Lambert
Company.
The technology position in the Portfolio also performed well just second to
healthcare. Vitesse Semiconductor Corp. and ADC Telecommunications were the
sector's best performers. These companies' products are used in the
communications industry and have benefited from a continued robust demand for
greater functionality in telecommunications and faster information access at
both the business and consumer level.
Within the producer durables sector, the Portfolio's investment in Waters
Corporation (which makes analytical testing equipment) was the performance
leader. Rising research and development spending in the biotech/pharmaceutical
sector, particularly for genomics companies, and a new product rollout continued
to move earnings expectations higher.
The materials sector negatively affected performance during the period. Holdings
in Champion International and Georgia-Pacific underperformed the market. Falling
lumber prices and weaker home sales due to rising interest rates impacted both
of these companies. Both of these stocks were sold during the first quarter.
WHAT IS YOUR OUTLOOK GOING FORWARD?
The picture is mixed as the 2000 market heads into its second half. Robust
earnings growth, low inflation, and a friendly Fed have been key contributors to
the record returns generated by the bull market of the late 1990s. Although the
earnings outlook remains favorable, recent economic data has shown some level of
weakness. Our outlook is a balance between market risks related to slower growth
and market positives such as the resolution of the Presidential race and the
approaching end of the Fed's interest rate increases. In this less certain
environment, we will continue to focus on stocks with strong and improving
business fundamentals.
2 See Definition of Terms.
<PAGE>
DOMESTIC EQUITY PORTFOLIO BREAKDOWN:
<TABLE>
<CAPTION>
-------------------------------------------------------------------------------
% OF EQUITY % OF RUSSELL OVER/(UNDER)
SECTOR INVESTMENTS 1000 GROWTH WEIGHTING
-------------------------------------------------------------------------------
<S> <C> <C> <C>
Autos and Transportation -- 1.7% (1.7)%
Consumer Discretionary 5.6% 12.8% (7.2)%
Consumer Staples 0.9% 5.1% (4.2)%
Financial Services 2.4% 14.6% (12.2)%
Healthcare 21.9% 12.0% 9.9%
Integrated Oils -- 3.1% (3.1)%
Materials and Processing -- 2.2% (2.2)%
Other Energy 6.7% 1.9% 4.8%
Other 9.2% 4.5% 4.7%
Producer Durables 6.0% 2.7% 3.3%
Technology 42.8% 29.0% 13.8%
Utilities 4.5% 10.4% (5.9)%
</TABLE>
<TABLE>
<CAPTION>
-------------------------------------------
% OF NET
TOP TEN EQUITY HOLDINGS ASSETS
-------------------------------------------
<S> <C>
General Electric Co. 5.8%
Intel Corp. 5.4%
Cisco Systems, Inc. 5.3%
Pfizer, Inc. 4.2%
Microsoft Corp. 3.4%
IDEC Pharmaceuticals Corp. 3.3%
Oracle Corp. 3.0%
Waters Corp. 2.9%
EMC Corp. 2.5%
Merck & Co., Inc. 2.4%
</TABLE>
The opinions expressed reflect those of the portfolio manager only through June
30, 2000. The manager's opinions are subject to change at any time based on
market and other conditions. The composition, industries and holdings of the
Portfolio are subject to change.
See Definition of Terms. 3
<PAGE>
Aetna International VP
Growth of $10,000
[The following was depicted as a line graph in the printed material.]
<TABLE>
<CAPTION>
International VP 12/22/97 12/31/97 12/31/98 12/31/99
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Aetna International VP 10,000 10,270 12,030 12,521 10,549 12,213 12,686 13,476 14,074 18,479
MSCI EAFE Index 10,000 10,190 11,698 11,830 10,156 12,263 12,442 12,767 13,336 15,610
<CAPTION>
International VP 6/30/00
<S> <C> <C>
Aetna International VP 20,661 18,758
MSCI EAFE Index 15,602 14,994
</TABLE>
<TABLE>
<CAPTION>
---------------------------------------
Average Annual Total Returns
for the period ended June 30, 2000*
---------------------------------------
Inception Date 1 Year Inception
---------------------------------------
<S> <C> <C>
12/22/97 39.21% 28.36%
---------------------------------------
</TABLE>
*Total Return is calculated including reinvestment of income and capital gain
distributions. Performance does not take into account any separate account
charges imposed by Aetna. Past performance is no guarantee of future results.
Investment return and principal of an investment will fluctuate so that an
investor's shares, when redeemed, may be worth more or less than the original
cost.
AETNA INTERNATIONAL VP
HOW DID THE PORTFOLIO PERFORM DURING THE PERIOD?
Aetna International VP (International) generated a 1.51% total return, net of
fund expenses, for the six month period ended June 30, 2000. The benchmark,
Morgan Stanley International-Europe, Australia and Far East (MSCI EAFE)
Index(b), returned -3.95% for the same period.
WHAT ECONOMIC OR FINANCIAL MARKET CONDITIONS IMPACTED THE PORTFOLIO?
The first days of the new year were undeniably turbulent as the technology
sector raced ahead until early March. Investor sentiment changed quickly,
focusing instead on safer value securities.
During the early days of 2000, equities in Japan slumped because of poor
economic news in the fourth quarter of 1999, and continued to remain weak as
investors sold to realize some profits ahead of fiscal year end on March 31. The
economy has bottomed, taxes have been slashed, and new fiscal programs have
permeated the economy.
In Europe, semiconductor and cellular phone equipment maker stocks declined as
investors began to worry about a slowdown in cellular phone activity and the
cost of third generation licenses. (We do not foresee such a slowdown during the
next year and maintain our overweight positions.) After mania-led action for
third generation licenses in the United Kingdom, calmer auctions are forecasted
in the Netherlands and Germany. Fewer firms are combining for bids in these
countries. Third generation communication, or mobile Internet, is forecasted to
grow quickly beginning in 2001.
4 See Definition of Terms.
<PAGE>
WHAT INVESTMENTS INFLUENCED THE PORTFOLIO'S PERFORMANCE OVER THE PAST SIX
MONTHS?
The Portfolio performed well in the first quarter. Our over-weighting in the
Nordic region (at Japan's expense) proved beneficial. Nokia (Finland) and
Ericsson (Sweden) led performance in a continued red-hot technology sector. Our
most significant holdings continued to be large, liquid names such as Philips
and NTT in Japan in addition to Nokia and Ericsson. These larger stocks tend to
participate in market rallies but suffer less dramatic declines in down markets.
The Portfolio does contain smaller technology names, but at much lower weights
to diversify risk. Our overall mandate to invest in stocks with positive
business fundamentals ignores daily and weekly market fluctuations which often
impact smaller names.
Our over-weighting of the manufacturing sector helped performance; European
leaders included Philips, Siemens, and Vestas Wind Systems (a leading provider
of wind energy). The Portfolio held an underweight position in banking and
energy sectors due to higher interest rate forecasts and lower growth prospects.
Currency hedging did not produce any meaningful impact on performance. Japan's
presence in the Portfolio fell to 17% in February but was increased to 24% by
the end of March based on positive economic news in 2000 and continued corporate
restructuring.
The scene changed during the second quarter. The Portfolio's under-performance
was primarily due to our overweight position in technology. In Japan, Softbank
and Crayfish, both of which were held by the Portfolio, declined dramatically as
investors flew to safer, value names. In Europe, we halved our position in
Vivendi due to its takeover of Seagram, believing that short term pessimism of
acquisition costs outweigh longer-term benefits of increased media revenues.
Country allocation did not impact performance, nor did our minimal currency
hedging. The rebound in the Euro helped our overweight position in European
equities.
WHAT IS YOUR OUTLOOK GOING FORWARD?
The outlook for international investing continues to be bright, boosted by
positive corporate restructuring and favorable economic trends. In Europe,
merger and acquisition volume increased 75% from 1998, setting a new record for
the fifth consecutive year. In Japan, restructuring topped 700 deals, surpassing
just over 300 in 1998. Still, the increase in Japan represents only a small
portion of Gross Domestic Product (2%) when compared to the U.S. (21%). Pressure
to appease shareholders is becoming greater in both Europe and Japan. In Europe
for example, 39 hostile bids were recorded in 1999, compared to 7 in 1998.
In Japan, the economy has bottomed, taxes have been slashed, and new fiscal
programs have permeated the economy. During the next two years, over $480
billion in government bonds earning 6% will mature. These investors will face a
choice between investing in government bonds (currently paying 1% interest) or
investing in a rebounding stock market. Central bank liquidity is extremely
supportive of Japanese equities. General economic figures also support Japan: a
spurt in machinery orders and a pickup in personal consumption in both
department store sales and personal computers have been seen. Still, Japanese
equities have a long way to go to make up for their dismal performance over the
past decade.
In Europe, economic growth and low inflation paint a healthy picture for equity
investing. Several countries in Europe possess positive earnings growth, a key
indicator for our country asset allocation. Stocks markets in Asia and Latin
America both have positive earnings growth. In Mexico, economic growth may top
6%. Industrial production in Brazil should remain on its positive trend.
Overall, Latin America's economic growth may top 4% and inflation could fall to
7% for the year 2000. Asian growth (excluding Japan) should increase moderately
to 3%.
In short, bull markets do not end with old-age or even higher price-to-earnings
ratios. They end with deflation such as what was experienced in the 1930s or the
inflation of the 1970s. Global inflation only in the 4% to 6% range would be
negative for equities. With softer oil prices, increasing global competition,
ongoing company restructuring, and the youth of the virtual economy, current
inflation worries may have peaked.
International investments involve risks not present in U.S. securities,
including currency fluctuations, less public information and political and
economic uncertainty.
See Definition of Terms. 5
<PAGE>
<TABLE>
<CAPTION>
--------------------------------------------------------------------------------
% OF EQUITY % OF OVER/(UNDER)
COUNTRY WEIGHTINGS INVESTMENTS MSCI EAFE WEIGHTING
--------------------------------------------------------------------------------
<S> <C> <C> <C>
Japan 21.2% 26.9% (5.7)%
United Kingdom 11.0% 19.5% (8.5)%
France 14.4% 11.4% 3.0%
Germany 4.0% 8.6% (4.6)%
Switzerland 5.3% 5.8% (0.5)%
Netherlands 10.8% 5.4% 5.4%
Sweden 7.1% 3.3% 3.8%
Finland 6.6% 3.1% 3.5%
Spain 2.1% 2.7% (0.6)%
Denmark 4.1% 0.8% 3.3%
Other 13.4% 12.5% 0.9%
</TABLE>
<TABLE>
<CAPTION>
-----------------------------------------------------------
% OF NET
TOP TEN EQUITY HOLDINGS ASSETS
-----------------------------------------------------------
<S> <C>
Koninklijke (Royal) Philips Electronics N.V. 3.9%
Nokia Oyj, ADR 2.9%
Alcatel 2.8%
China Telecom Ltd., ADR 2.7%
TOSHIBA Corporation 2.6%
Vodafone AirTouch Plc 2.5%
Vestas Wind Systems A/S 2.3%
Taisho Pharmaceutical Co., Ltd. 2.3%
Telefonaktiebolaget LM Ericsson AB 2.1%
Telefonica SA 2.0%
</TABLE>
The opinions expressed reflect those of the portfolio manager only through June
30, 2000. The manager's opinions are subject to change at any time based on
market and other conditions. The composition, industries and holdings of the
Portfolio are subject to change.
6 See Definition of Terms.
<PAGE>
Aetna Small Company VP
Growth of $10,000
[The following was depicted as a line graph in the printed material.]
<TABLE>
<CAPTION>
Small Company VP 12/27/96 12/31/96 12/31/97 12/31/98
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Aetna Small Company VP 10,000 10,113 9,968 11,773 13,982 13,614 15,505 14,570 11,746 13,750
Russell 2000 Index 10,000 10,195 9,668 11,235 12,907 12,475 13,728 13,089 10,451 12,156
<CAPTION>
Small Company VP 12/31/99 6/30/00
<S> <C> <C> <C> <C> <C> <C>
Aetna Small Company VP 13,105 15,030 14,458 18,008 23,066 21,297
Russell 2000 Index 11,497 13,285 12,428 14,720 15,762 15,166
</TABLE>
<TABLE>
<CAPTION>
---------------------------------------
Average Annual Total Returns
for the period ended June 30, 2000*
---------------------------------------
Inception Date 1 Year Inception
---------------------------------------
<S> <C> <C>
12/27/96 41.70% 24.04%
---------------------------------------
</TABLE>
*Total Return is calculated including reinvestment of income and capital gain
distributions. Performance does not take into account any separate account
charges imposed by Aetna. Past performance is no guarantee of future results.
Investment return and principal of an investment will fluctuate so that an
investor's shares, when redeemed, may be worth more or less than the original
cost.
AETNA SMALL COMPANY VP
HOW DID THE PORTFOLIO PERFORM DURING THE PERIOD?
Aetna Small Company VP (Small Company) generated a 18.26% total return, net of
fund expenses, for the six month period ended June 30, 2000. The benchmark,
Russell 2000 Index(c), returned 3.04% for the same period.
WHAT ECONOMIC OR FINANCIAL MARKET CONDITIONS IMPACTED THE PORTFOLIO?
Small caps have trumped large-company stocks so far in 2000: the Standard &
Poor's (S&P) 500 Index(a) was down 0.42%, the NASDAQ Composite Index(e) was down
2.54% and the Russell 2000 Index was up 3.04%.
The industries that delivered solid returns in the first half, as in recent
periods, were semiconductors and networking infrastructure. Biotech soared,
slumped, and soared again while pharmaceuticals, an old-growth sector, roared
back from a rut in February to add both return and diversification to growth
portfolios.
At the halfway point in 2000, market actions tell us that something has changed.
The U.S. equity market has lost forward momentum, remains narrowly based, and
has set new standards for daily and intra-day volatility. Meanwhile, global
economic growth has rebounded, it is no longer possible to be complacent on the
issue of inflation. Central banks are moving their monetary policies toward
neutrality or even restraint. Business conditions remain exceptionally vigorous
despite some deceleration from the recent white-hot pace of the U.S. private
sector. Earnings growth has been robust and the immediate outlook is for more of
the same.
See Definition of Terms. 7
<PAGE>
At the beginning of the year, it appeared that two opposing factors would set
the story line for this year's market results. One was the undeterred spirit of
"dip-buying"; the record shows that getting in to the market on sell-offs has
been a profitable tactic of late. The other factor was the Federal Reserve Bank
(Fed) shift toward a less accommodating monetary policy. By raising interest
rates in order to restrain the economy, the Fed put increased pressure on what
has been a richly valued market. It still looks as if the clash of these two
factors will determine the year's final numbers.
WHAT INVESTMENTS INFLUENCED THE PORTFOLIO'S PERFORMANCE OVER THE PAST SIX
MONTHS?
The two primary sectors which contributed to the Portfolio's strong relative
performance were healthcare (principally biotechnology) and technology. Within
biotechnology, stocks making the strongest contributions to performance were
Cell Genesys, Cubist Pharmaceuticals, Nanogen and Titan Pharmaceuticals. Within
the technology sector, the Portfolio benefited from strong stock selection as
our exposure to technology stocks was slightly below market weight. Stocks with
the most notable performance were Entrust Technologies, Hauppauge Digital,
Brooktrout and Interleaf.
Other sectors which contributed to the strong relative performance were
manufacturing and energy. In addition, three of the Portfolio's holdings,
Reliastar, Veterinary Centers of America and Petco Animal Supplies, received
attractive offers to merge with other companies, thus driving up their price.
Sectors that hindered performance were consumer discretionary and finance, as
rising interest rates negatively impacted these groups.
During this six-month period, we increased our weight in basic materials,
finance and energy. We reduced our exposure to the biotechnology and technology
sectors in order to fund the majority of these allocation changes. Entering the
third quarter, we are overweight in energy and healthcare.
WHAT IS YOUR OUTLOOK GOING FORWARD?
Looking forward, we are cautiously optimistic regarding the prospects for small
cap stocks. We believe that they offer competitive valuations and superior
growth prospects relative to large cap stocks. We continue to believe that our
strategy of focusing on stocks exhibiting strong business momentum while selling
at reasonable prices will outperform the market over long time periods.
The risks of investing in small company stocks may include low trading volumes,
a greater degree of change in earnings and greater short-term volatility.
DOMESTIC EQUITY PORTFOLIO BREAKDOWN:
<TABLE>
<CAPTION>
--------------------------------------------------------------------------------
% OF EQUITY % OF OVER/(UNDER)
SECTOR INVESTMENTS RUSSELL 2000 WEIGHTING
--------------------------------------------------------------------------------
<S> <C> <C> <C>
Autos and Transportation 1.4% 2.8% (1.4)%
Consumer Discretionary 13.4% 15.3% (1.9)%
Consumer Staples 2.9% 2.2% 0.7%
Financial Services 9.5% 15.5% (6.0)%
Healthcare 22.1% 13.3% 8.8%
Materials and Processing 6.3% 6.5% (0.2)%
Other Energy 8.3% 4.0% 4.3%
Other -- 0.7% (0.7)%
Producer Durables 12.0% 9.4% 2.6%
Technology 22.2% 25.8% (3.6)%
Utilities 1.9% 4.5% (2.6)%
</TABLE>
8 See Definition of Terms.
<PAGE>
<TABLE>
<CAPTION>
------------------------------------------
% OF NET
TOP TEN EQUITY HOLDINGS ASSETS
------------------------------------------
<S> <C>
Novoste Corp. 1.9%
Nanogen, Inc. 1.6%
Veeco Instruments, Inc. 1.5%
Cell Genesys, Inc. 1.5%
SIPEX Corp. 1.5%
Triton Energy Ltd. 1.4%
Delta & Pine Land Co. 1.4%
Oak Technology, Inc. 1.3%
Vintage Petroleum, Inc. 1.3%
ANADIGICS, Inc. 1.2%
</TABLE>
The opinions expressed reflect those of the portfolio manager only through June
30, 2000. The manager's opinions are subject to change at any time based on
market and other conditions. The composition, industries and holdings of the
Portfolio are subject to change.
See Definition of Terms. 9
<PAGE>
Aetna Value Opportunity VP
Growth of $10,000
[The following was depicted as a line graph in the printed material.]
<TABLE>
<CAPTION>
Value Opportunity VP 12/13/96 12/31/96 12/31/97 12/31/98
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Aetna Value Opportunity VP 10,000 10,215 10,513 12,281 14,314 14,236 15,957 15,984 13,324 17,423
S&P 500 Index 10,000 10,165 10,437 12,259 13,178 13,556 15,447 15,957 14,369 17,430
<CAPTION>
Value Opportunity VP 12/31/99 6/30/00
<S> <C> <C> <C> <C> <C> <C>
Aetna Value Opportunity VP 17,591 19,250 17,993 20,834 21,647 21,822
S&P 500 Index 18,298 19,588 18,363 21,096 21,579 21,005
</TABLE>
<TABLE>
<CAPTION>
---------------------------------------
Average Annual Total Returns
for the period ended June 30, 2000*
---------------------------------------
Inception Date 1 Year Inception
---------------------------------------
<S> <C> <C>
12/13/96 13.35% 24.62%
---------------------------------------
</TABLE>
*Total Return is calculated including reinvestment of income and capital gain
distributions. Performance does not take into account any separate account
charges imposed by Aetna. Past performance is no guarantee of future results.
Investment return and principal of an investment will fluctuate so that an
investor's shares, when redeemed, may be worth more or less than the original
cost.
AETNA VALUE OPPORTUNITY VP
HOW DID THE PORTFOLIO PERFORM DURING THE PERIOD?
Aetna Value Opportunity VP (Value Opportunity) generated a 4.74% total return,
net of fund expenses, for the six month period ended June 30, 2000. The
benchmark, Standard & Poor's (S&P) 500 Index(a), returned -0.42% for the same
period.
WHAT ECONOMIC OR FINANCIAL MARKET CONDITIONS IMPACTED THE PORTFOLIO?
For the first half of 2000, equity market performance has been negative to
modestly positive: the S&P 500 Index was down 0.42%, the NASDAQ Composite
Index(e) was down 2.54% and the Russell 1000 Growth Index(d) was up 4.23%.
The industries that delivered solid returns in the first half, as in recent
periods, were semiconductors and networking infrastructure. Biotech soared,
slumped, and soared again while pharmaceuticals, an old-growth sector, roared
back from a rut in February to add both return and diversification to growth
portfolios.
At the halfway point in 2000, market actions tell us that something has changed.
The U.S. equity market has lost forward momentum, remains narrowly based, and
has set new standards for daily and intra-day volatility. Meanwhile, global
economic growth has rebounded, but it is no longer possible to be complacent on
the issue of inflation. Central banks are moving their monetary policies toward
neutrality or even restraint. Business conditions remain exceptionally vigorous
despite some deceleration from the recent white-hot pace of the U.S. private
sector. Earnings growth has been robust and the immediate outlook is for more of
the same.
10 See Definition of Terms.
<PAGE>
At the beginning of the year, it appeared that two opposing factors would set
the story line for this year's market results. One was the undeterred spirit of
"dip-buying"; the record shows that getting in to the market on sell-offs has
been a profitable tactic of late. The other factor was the Federal Reserve Bank
(Fed) shift toward a less accommodating monetary policy. By raising interest
rates in order to restrain the economy, the Fed put increased pressure on what
has been a richly valued market. It still looks as if the clash of these two
factors will determine the year's final numbers.
WHAT INVESTMENTS INFLUENCED THE PORTFOLIO'S PERFORMANCE OVER THE PAST SIX
MONTHS?
Strong stock selection in the manufacturing, utilities, and finance sectors was
the primary driver of the Portfolio's relative performance. Within the
manufacturing sector, we swapped our position in General Motors (GM) for the
company's Class H shares which track the performance of it's Hughes Electronics
division. In our opinion, arbitrage pressure related to the company's tender
offer for GM shares created a situation in which the GM shares became overvalued
while the Class H shares became undervalued. Following the tender, GM shares
dropped sharply, while Class H shares significantly outperformed the market.
Because we swapped our shares ahead of the tender offer, the Portfolio's
performance was helped significantly by the trade. Shares of Boeing Company and
SPX Corp also performed well during the quarter, contributing to performance.
Meanwhile, we avoided several high-profile disappointments such as Honeywell
International (which declined nearly 35% for the quarter).
Although the utility sector as a whole underperformed the benchmark, our
holdings in this sector performed exceptionally well. Our positions in AES Corp,
Constellation Energy, Dynegy, Duke Energy and Reliant Energy each outperformed
not only the utility sector, but also the broader market. At the same time, we
were significantly underweight in telecommunications service providers,
including AT&T (whose shares fell over 42% during the period). Our performance
in the finance sector was driven primarily by MetLife, which rose 45% from its
April initial public offering price.
The consumer discretionary sector was our weakest performing sector, both in
absolute terms and relative to the benchmark. Our overweight position in
Federated Department stores was a drag on performance, as the stock declined 19%
during the period.
WHAT IS YOUR OUTLOOK GOING FORWARD?
The picture is mixed as we head into the second half of 2000. Although the
near-term outlook for earnings growth remains favorable, recent data indicates
that the economy is beginning to slow. On the positive side, slower economic
growth could put an end to the Fed's recent string of interest rate increases
and provide a boost to equity valuations. However, slower growth could also
cause earnings disappointments for those companies dependent on a strong economy
to meet current earnings forecasts. In this environment, we continue to focus on
stocks with attractive valuations and non-cyclical companies that are displaying
strong and improving business fundamentals. Currently, we are finding good value
in the energy, healthcare, and consumer staples sectors.
DOMESTIC EQUITY PORTFOLIO BREAKDOWN:
<TABLE>
<CAPTION>
--------------------------------------------------------------------------------
% OF EQUITY % OF OVER/(UNDER)
SECTOR INVESTMENTS S&P 500 WEIGHTING
--------------------------------------------------------------------------------
<S> <C> <C> <C>
Basic Materials -- 2.0% (2.0)%
Capital Goods 17.9% 7.8% 10.1%
Communication Services 4.1% 6.9% (2.8)%
Consumer Cyclicals 1.9% 7.4% (5.5)%
Consumer Staples 10.2% 10.0% 0.2%
Energy 5.0% 5.4% (0.4)%
Financials 13.8% 12.9% 0.9%
Health Care 14.9% 11.5% 3.4%
Technology 26.1% 33.0% (6.9)%
Transportation -- 0.6% (0.6)%
Utilities 6.1% 2.5% 3.6%
</TABLE>
See Definition of Terms. 11
<PAGE>
<TABLE>
<CAPTION>
--------------------------------------------
% OF NET
TOP TEN EQUITY HOLDINGS ASSETS
--------------------------------------------
<S> <C>
General Electric Co. 4.6%
Intel Corp. 4.4%
Abbott Laboratories 4.1%
Citigroup, Inc. 3.9%
Waters Corp. 3.8%
Pfizer, Inc. 3.8%
Boeing Co. 3.8%
Walt Disney Co. (The) 3.6%
Pharmacia Corp. 3.4%
Microsoft Corp. 3.3%
</TABLE>
The opinions expressed reflect those of the portfolio manager only through June
30, 2000. The manager's opinions are subject to change at any time based on
market and other conditions. The composition, industries and holdings of the
Portfolio are subject to change.
12 See Definition of Terms.
<PAGE>
AETNA TECHNOLOGY VP
HOW DID THE PORTFOLIO PERFORM DURING THE PERIOD?
The Aetna Technology VP (Technology) generated a total return of -0.40%, net of
fund expenses, for the period from May 1, 2000 through June 30, 2000. The
benchmark, Goldman Sachs (GS) Technology Index(f), returned -0.07% for the same
period.
WHAT ECONOMIC OR FINANCIAL MARKET CONDITIONS IMPACTED THE PORTFOLIO?
Since the Portfolio was introduced in May, the market has been roiled by the
open market activity of the Federal Reserve Bank (Fed). Inflation concerns,
spurred on by consumer spending and the tightening of the labor market, have led
the Fed to steadily hike its discount rate offered to the nation's banks. It is
our opinion that the Fed was keenly interested in deflating the speculative
bubble that characterized the Internet sector and other selected segments of the
broader technology market. From March 31 through June 30, the GS Technology
Industry Internet Index(g) declined 32.11%. That correction, we believe, was
both overdue and healthy for the broader technology market.
WHAT INVESTMENTS INFLUENCED THE PORTFOLIO'S PERFORMANCE OVER THE PAST TWO
MONTHS?
For some time, we have been bullish on the semiconductor manufacturing and
equipment sectors. Unlike other sectors of technology, semiconductors tend to be
characterized by extreme boom and bust cycles. Due to an extended period of
under-investment in manufacturing capabilities, the entire semiconductor
industry is in the midst of a boom cycle that we foresee lasting until 2002.
During such periods, semiconductor companies' pricing leverage tends to be
great, permitting them to enjoy excess profitability.
One such company, and one of our most successful investments in the Portfolio to
date, is Micron Technology. Micron Technology is one of the world's three
leading suppliers of dynamic random access memory (DRAM) chips, the most widely
used semiconductor memory components in personal computers. From 1995 through
2000, Micron has increased their DRAM market share from 5% to 25%. They were
able to achieve this growth, in part, by cheaply buying market share with their
greater cash flow and a superior understanding of the inherent cyclical nature
of their business. Their rapid adoption of the most leading edge technologies
has permitted Micron to consistently improve its manufacturing efficiency.
While these points of data are interesting, as investors, we are compelled to
look beyond simply the company level attributes and try to understand what
dynamics are in place in the larger technology universe that will spur Micron's
DRAM sales. In this regard, we have identified a number of factors that we
believe will permit Micron to enjoy a period of excess profitability.
A second successful investment to date is Microsoft Corporation. One of the
world's premier technology companies, Microsoft was under siege from the U.S.
Department of Justice. This helped to create an extraordinarily undervalued
situation. As technology investors, we have only occasional opportunities to
invest with an outstanding margin of safety. We believe that we have been
afforded such a margin by virtue of the market's predictably excessive negative
reaction. Technology is moved by currents or upgrade cycles. Windows 2000, we
believe, will soon touch off an industry-wide upgrade cycle that to date has
gone unrecognized by investors. In the current environment, our bullishness is a
contrarian position. Microsoft's goal is to establish Windows 2000 as the
operating system not only for PC's, but servers, cell phones, hand held devices,
TV set-top boxes, and sundry other devices. This will increase their target
market from hundreds of millions to billions. Windows 2000 represents
Microsoft's first frontal assault on the high-end server market. Their goal:
unleash the power of server-based processing from any computing device. Clearly,
this is an ambitious objective. Microsoft is a company that thrives on
challenges, and they are very content to be focusing their creative talents on
programming initiatives such as this.
No discussion of Microsoft could be complete without a comment on the Department
of Justice case. Like most shareholders of the company, we have strong opinions
about the Government's case. We like both the entity as a whole as well as the
sum of its parts. Because we regard Microsoft as a chief dynamo that has fueled
this era of technological marvel, we believe the ideal outcome for shareholders
and technology consumers alike is to keep it intact and forging ahead.
Nonetheless, we are bullish on the company's prospects either way.
See Definition of Terms. 13
<PAGE>
WHAT IS YOUR OUTLOOK GOING FORWARD?
In the coming months, we expect the market to be somewhat volatile, but
significantly less than we witnessed in the first half of 2000. Despite the
volatility, we are bullish on the prospects for our companies as they settle
into a seasonally strong period (the back half of the year has been historically
more rewarding than the first half for technology stocks). The Fed, we believe,
is close to the end of its series of rate hikes. Indications of a slowing in
housing starts and weak store sales figures point to a slowing of the economy.
As we look back at times when the Fed was actively raising rates, such as 1994,
1996 and 1999, it is still possible to achieve good returns by investing in
technology stocks during these periods. Still, we expect to show continued
restraint in our relative aggressiveness, favoring large-cap market leaders.
The Portfolio's investments are concentrated in information technology
industries, the value of its shares will be especially affected by factors
peculiar to those industries and may fluctuate more widely than the value of
shares of a more diversified portfolio.
DOMESTIC EQUITY PORTFOLIO BREAKDOWN:
<TABLE>
<CAPTION>
--------------------------------------------------------------------------------
% OF EQUITY % OF GS OVER/(UNDER)
TECHNOLOGY SUB-SECTORS INVESTMENTS TECHNOLOGY WEIGHTING
--------------------------------------------------------------------------------
<S> <C> <C> <C>
Computers 11.3% 16.5% (5.2)%
Datacommunications 14.3% 15.1% (0.8)%
E-Commerce -- 0.5% (0.5)%
Electronics 37.8% 22.2% 15.6%
Internet Services 10.3% 11.2% (0.9)%
Software 4.1% 20.8% (16.7)%
Telecommunications 22.2% 13.2% 9.0%
Other -- 0.5% (0.5)%
</TABLE>
<TABLE>
<CAPTION>
-------------------------------------------
% OF NET
TOP TEN EQUITY HOLDINGS ASSETS
-------------------------------------------
<S> <C>
EMC Corp. 4.6%
Xilinx, Inc. 4.1%
Intel Corp. 4.1%
Cisco Systems, Inc. 4.0%
Teradyne, Inc. 3.7%
Corning, Inc. 3.7%
Nokia Oyj, ADR 3.6%
Applied Materials, Inc. 3.6%
Microsoft Corp. 3.6%
JDS Uniphase Corp. 3.5%
</TABLE>
The opinions expressed reflect those of the portfolio manager only through June
30, 2000. The manager's opinions are subject to change at any time based on
market and other conditions. The composition, industries and holdings of the
Portfolio are subject to change.
14 See Definition of Terms.
<PAGE>
--------------------------------------------------------------------------------
DEFINITION OF TERMS
--------------------------------------------------------------------------------
(a) The S&P 500 is the Standard & Poor's 500 Index. Performance is calculated
on a total return basis and dividends are reinvested, as reported by Frank
Russell Company.
(b) The MSCI EAFE Index (Morgan Stanley Capital International-Europe, Australia
and Far East) 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. Performance is calculated on a total return
basis, as reported by Frank Russell Company.
(c) The Russell 2000 Index consists of the smallest 2,000 of the 3,000 largest
companies, based on market capitalization.
(d) The Russell 1000 Growth Index consists of the largest 1,000 companies in
the Russell 3000 Index. This index represents the universe of large
capitalization stocks from which most active money managers typically
select.
(e) NASDAQ Composite Index is an unmanaged index of the National Market System
which includes over 5,000 stocks traded only over-the-counter and not on an
exchange.
(f) The Goldman Sachs Tecnology Index is a market capitalization-weighted index
of 190 stocks designed to measure the performance of companies in the
technology sector. Issues in the index include include producers of
sophisticated devices, services and software related to the fields of
computers, electronics, networking and Internet services.
(g) The Goldman Sachs Technology Industry Internet Index is a
capitalization-weighted index of selected internet companies.
The unmanaged indices described above are not available for individual
investment.
15
<PAGE>
CAPITAL APPRECIATION PORTFOLIOS
PORTFOLIO OF INVESTMENTS - JUNE 30, 2000 (UNAUDITED)
GROWTH
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------ -------------
<S> <C> <C>
COMMON STOCKS (89.4%)
ADVERTISING AGENCIES (1.4%)
Omnicom Group, Inc. ................. 74,900 $ 6,670,781
-------------
AUTOMOTIVE (0.8%)
General Motors Corp. - Class H + .... 45,700 4,010,175
-------------
BIOTECHNOLOGY RESEARCH & PRODUCTION (3.3%)
IDEC Pharmaceuticals Corp. + ........ 128,800 15,109,850
-------------
COMMUNICATIONS TECHNOLOGY (15.1%)
ADC Telecommunications, Inc. + ...... 89,400 7,498,425
Cisco Systems, Inc. + ............... 382,500 24,312,656
Comverse Technology, Inc. + ......... 66,800 6,212,400
Corning, Inc. ....................... 26,000 7,016,750
JDS Uniphase Corporation + .......... 65,400 7,839,825
Nokia Oyj, ADR ...................... 154,000 7,690,375
Nortel Networks Corp. ............... 124,000 8,463,000
-------------
69,033,431
-------------
COMPUTER SERVICES SOFTWARE & SYSTEMS (6.9%)
Microsoft Corp. + ................... 196,900 15,752,000
Oracle Corp. + ...................... 162,400 13,651,750
VERITAS Software Corp. + ............ 20,200 2,282,916
-------------
31,686,666
-------------
COMPUTER TECHNOLOGY (6.1%)
Apple Computer, Inc. + .............. 101,600 5,321,300
EMC Corp. + ......................... 146,200 11,248,263
Hewlett-Packard Co. ................. 33,600 4,195,800
Sun Microsystems, Inc. + ............ 78,300 7,120,406
-------------
27,885,769
-------------
DIVERSIFIED FINANCIAL SERVICES (1.1%)
Citigroup Inc. ...................... 82,300 4,958,575
-------------
DIVERSIFIED MANUFACTURING (2.4%)
Tyco International Ltd. ............. 231,700 10,976,787
-------------
DRUGS & PHARMACEUTICALS (16.3%)
Allergan, Inc. ...................... 84,200 6,272,900
Amgen, Inc. + ....................... 54,700 3,842,675
Andrx Corp. + ....................... 31,900 2,039,108
Bristol-Myers Squibb Co. ............ 97,100 5,656,075
Cardinal Health, Inc. ............... 62,500 4,625,000
Eli Lilly & Co. ..................... 49,500 4,943,813
Johnson & Johnson ................... 80,300 8,180,562
MedImmune, Inc. + ................... 70,800 5,239,200
Merck & Co., Inc. ................... 146,600 11,233,225
Pfizer, Inc. ........................ 403,025 19,345,200
Schering Plough ..................... 63,000 3,181,500
-------------
74,559,258
-------------
ELECTRONICS (SEMICONDUCTORS/COMPONENTS) (9.4%)
Altera Corp. + ...................... 59,600 6,075,475
Atmel Corp. + ....................... 116,400 4,292,250
Cypress Semiconductor Corp. + ....... 59,400 2,509,650
Intel Corp. ......................... 183,700 24,558,394
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------ -------------
<S> <C> <C>
ELECTRONICS (SEMICONDUCTORS/COMPONENTS) (CONTINUED)
Texas Instruments, Inc. ............. 81,200 $ 5,577,425
-------------
43,013,194
-------------
ENERGY MISCELLANEOUS (1.9%)
AES Corp. + ......................... 95,600 4,361,750
Calpine Corp. + ..................... 69,500 4,569,625
-------------
8,931,375
-------------
FOODS (0.8%)
Sysco Corp. ......................... 91,900 3,871,287
-------------
IDENTIFICATION CONTROL & FILTER DEVICES (2.9%)
Waters Corp. + ...................... 106,100 13,242,606
-------------
INSURANCE (MULTI-LINE) (1.1%)
American International Group, Inc. .. 42,301 4,970,367
-------------
MACHINERY (OIL WELL EQUIPMENT & SERVICES) (1.5%)
Halliburton Co. ..................... 89,200 4,209,125
Noble Drilling Corp. + .............. 64,400 2,652,475
-------------
6,861,600
-------------
MULTI-SECTOR COMPANIES (5.8%)
General Electric Co. ................ 501,100 26,558,300
-------------
OFFSHORE DRILLING (0.6%)
Ensco International, Inc. ........... 72,600 2,599,988
-------------
PRODUCTION TECHNOLOGY EQUIPMENT (2.4%)
Agilent Technologies, Inc. .......... 61,607 4,543,516
Applied Materials, Inc. + ........... 73,700 6,679,063
-------------
11,222,579
-------------
RETAIL (3.6%)
Circuit City Stores, Inc. ........... 63,900 2,120,681
Home Depot, Inc. .................... 120,700 6,027,456
Wal-Mart Stores, Inc. ............... 141,900 8,176,988
-------------
16,325,125
-------------
TELECOMMUNICATIONS EQUIPMENT (1.2%)
Telefonos de Mexico SA de CV, ADR + . 92,800 5,301,200
-------------
UTILITIES (GAS PIPELINES) (2.0%)
Enron Corp. ......................... 140,400 9,055,800
-------------
UTILITIES (TELECOMMUNICATIONS) (2.8%)
Nextel Communications, Inc. + ....... 116,000 7,097,750
Sprint PCS + ........................ 99,900 5,944,050
-------------
13,041,800
-------------
TOTAL COMMON STOCKS (COST $341,648,620) 409,886,513
-------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
------------
<S> <C> <C>
SHORT-TERM INVESTMENTS (9.8%)
Federal Home Loan Mortgage
Corp.,6.57%,07/03/00................ $ 23,470,000 23,470,000
Federal National Mortgage
Association,6.38%,07/17/00.......... 20,000,000 19,950,145
U.S. Treasury Bill,6.18%,11/09/00 @ . 1,600,000 1,566,448
-------------
TOTAL SHORT-TERM INVESTMENTS
(COST $44,984,970) 44,986,593
-------------
</TABLE>
16 See Notes to Portfolio of Investments.
<PAGE>
<TABLE>
<CAPTION>
MARKET
VALUE
-------------
<S> <C>
TOTAL INVESTMENTS
(COST $386,633,590)(A) $454,873,106
OTHER ASSETS LESS LIABILITIES 3,801,983
-------------
TOTAL NET ASSETS $458,675,089
=============
NOTES TO PORTFOLIO OF INVESTMENTS
(a) The cost of investments for federal income tax purposes amounts to
$393,419,398. Unrealized gains and losses, based on identified tax cost at
June 30, 2000, are as follows:
Unrealized gains.......................................... $ 71,948,306
Unrealized losses......................................... (10,494,598)
-------------
Net unrealized gain...................................... $ 61,453,708
=============
</TABLE>
Information concerning open futures contracts at June 30, 2000 is shown below:
<TABLE>
<CAPTION>
NO. OF NOTIONAL EXPIRATION UNREALIZED
CONTRACTS VALUE DATE GAIN/(LOSS)
----------- ------------- ------------ ----------------
LONG CONTRACTS
----------------------
<S> <C> <C> <C> <C>
S&P 500 Index Futures. 69 $25,324,725 Sep 00 $ (386,254)
=========== ===========
</TABLE>
+ Non-income producing security.
@ Security pledged to cover initial margin requirements on open futures
contracts at June 30, 2000.
Category percentages are based on net assets.
See Notes to Financial Statements. 17
<PAGE>
CAPITAL APPRECIATION PORTFOLIOS
PORTFOLIO OF INVESTMENTS - JUNE 30, 2000 (UNAUDITED)
INTERNATIONAL
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
--------- ------------
<S> <C> <C>
COMMON STOCKS (95.3%)
BRAZIL (1.7%)
Embratel Participacoes S.A. (Other
Telecommunications)..................... 33,700 $ 796,163
------------
CANADA (1.1%)
Mosiac Group Inc. (Services -
Advertising/Mktg.)...................... 44,400 539,380
------------
DENMARK (3.9%)
Novo Nordisk A/S (Health Care -
Drugs/Pharms.).......................... 4,200 717,773
Vestas Wind Systems A/S (Electrical
Equipment).............................. 29,300 1,080,528
------------
TOTAL DENMARK 1,798,301
------------
FINLAND (6.3%)
Comptel Oyj (Data & Imaging Services) + . 21,500 434,846
JOT Automation Group Oyj (Data & Imaging
Services)............................... 93,400 625,805
Nokia Oyj, ADR (Communications Equipment) 26,900 1,343,319
Perlos Oyj (Electronics - Component
Dist.).................................. 14,100 447,365
Tecnomen Oyj (Cellular/Wireless
Telecomms.)............................. 7,700 62,737
------------
TOTAL FINLAND 2,914,072
------------
FRANCE (13.8%)
Alcatel (Communications Equipment) ...... 19,900 1,310,462
Altran Technologies SA (Data & Imaging
Services)............................... 2,000 393,197
AXA (Insurance) ......................... 2,300 363,770
Banque Nationale de Paris (Banks &
Thrifts)................................ 6,400 618,380
Genset (Biotech. & Medical Prod.) + ..... 15,400 356,125
Schneider Electric SA (Electrical
Equipment).............................. 11,700 818,697
Societe Television Francaise 1
(Broadcasting - TV, Radio & Cable) ..... 6,000 419,845
STMicroelectronics N.V. (Electronics -
Semiconductors)......................... 14,000 885,700
Total Fina Elf (Oil) .................... 4,048 623,162
Vivendi (Manufacturing - Diversified) ... 6,869 608,717
------------
TOTAL FRANCE 6,398,055
------------
GERMANY (3.8%)
Buderus AG (Forest Prod. & Building
Mats.).................................. 26,780 423,811
DePfa Deutsche Pfandbriefbank AG (Banks -
Major Regional) ........................ 4,400 444,959
Intershop Communications AG (Data &
Imaging Services) + .................... 1,000 453,394
Siemens AG (Electrical Mach. &
Instrument)............................. 3,000 452,915
------------
TOTAL GERMANY 1,775,079
------------
HONG KONG (2.7%)
China Telecom Ltd., ADR
(Cellular/Wireless Telecomms.) + ....... 7,100 1,262,469
------------
IRELAND (1.5%)
Allied Irish Banks Plc (Banks & Thrifts) 15,907 142,870
CRH Plc (Construction) .................. 16,269 294,739
Parthus Technologies Plc (Electronics -
Semiconductors)......................... 87,000 245,630
------------
TOTAL IRELAND 683,239
------------
ITALY (2.0%)
Banca Nazionale del Lavoro (Banks &
Thrifts) + ............................. 105,600 373,512
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
--------- ------------
<S> <C> <C>
ITALY (CONTINUED)
Telecom Italia SpA (Other
Telecommunications)..................... 54,400 $ 557,953
------------
TOTAL ITALY 931,465
------------
JAPAN (20.2%)
Canon, Inc. (Electrical Mach. &
Instrument)............................. 16,000 798,450
Crayfish Co., Ltd. (Data & Imaging
Services) + ............................ 43,100 301,700
Internet Initiative Japan Inc., ADR
(Computers Software/Services) + ........ 7,800 462,150
Minebea Co., Ltd. (Machinery -
Diversified)............................ 57,000 716,507
Murata Manufacturing Co., Ltd.
(Electronics - Component Dist.) ........ 6,300 906,252
NTT DoCoMo, Inc. (Other
Telecommunications) + .................. 34 922,263
Shin-Etsu Chemical Co., Ltd. (Chemicals
Speciality)............................. 18,000 915,269
Softbank Corp. (Semiconductors &
Electronic)............................. 5,900 802,986
Sony Corporation (Household
Furnishings & App.) .................... 6,500 608,194
Taisho Pharmaceutical Co., Ltd. (Drugs) . 30,000 1,077,454
Takefuji Corporation (Consumer Finance) . 5,700 690,109
TOSHIBA Corporation (Electrical Mach. &
Instrument)............................. 105,000 1,187,893
------------
TOTAL JAPAN 9,389,227
------------
MEXICO (1.7%)
Telefonos de Mexico SA de CV, ADR
(Telephone Long Distance) + ............ 13,900 794,038
------------
NETHERLANDS (10.3%)
Draka Holding N.V. (Producer Goods) ..... 7,897 518,522
ING Groep N.V. (Financial - Diversified) 11,573 785,405
Koninklijke (Royal) Philips Electronics
N.V. (Electrical Mach. & Instrument) ... 38,700 1,832,537
Koninklijke Ahold N.V. (Food & Drug
Retail)................................. 22,700 670,833
Tele Atlas N.V. (Services - Data
Processing) + .......................... 7,900 115,860
United Pan-Europe Communications N.V.
(Other Telecommunications) + ........... 18,800 493,588
VNU N.V. (Publishing) ................... 6,985 362,225
Wegener N.V. (Print Media) .............. 442 5,720
------------
TOTAL NETHERLANDS 4,784,690
------------
SOUTH KOREA (2.0%)
Samsung Electronics (Semiconductors &
Electronic) + .......................... 10,100 922,887
------------
SPAIN (2.0%)
Telefonica SA (Other Telecommunications) + 44,121 951,574
------------
SWEDEN (6.8%)
Autoliv, Inc. (Automotive) .............. 17,400 428,503
HiQ International AB (Services -
Data Processing) + ..................... 38,850 376,496
Information Highway AB (Semiconductors &
Electronic) + .......................... 41,400 320,967
Skandia Forsakrings AB (Insurance) ...... 24,200 642,869
Telefonaktiebolaget LM Ericsson AB
(Semiconductors & Electronic) .......... 48,700 974,000
Telelogic AB (Semiconductors &
Electronic) + .......................... 55,000 407,593
------------
TOTAL SWEDEN 3,150,428
------------
</TABLE>
18 See Notes to Portfolio of Investments.
<PAGE>
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
--------- ------------
<S> <C> <C>
SWITZERLAND (5.0%)
Fantastic Corporation (Data & Imaging
Services) + ............................ 25,220 $ 248,999
Gretag Imaging Group (Producer Goods) ... 2,400 463,440
Logitech International S.A. (Data &
Imaging Services) + .................... 1,200 856,774
Swatch Group AG (The) (Consumer
Specialties)............................ 600 765,266
------------
TOTAL SWITZERLAND 2,334,479
------------
UNITED KINGDOM (10.5%)
AstraZeneca Group Plc (Drugs) ........... 9,300 432,450
Bank of Scotland (Banks & Thrifts) ...... 42,877 407,955
Celltech Group Plc (Biotech. & Medical
Prod.) + ............................... 26,100 505,747
Lloyds TSB Group Plc (Diversified
Financial Services) .................... 47,805 451,586
Shell Transport & Trading Co. (Oil) ..... 60,200 502,603
Shire Pharmaceuticals Group Plc (Drugs) + 9,300 482,438
Viatel, Inc. (Other Telecommunications) + 14,500 414,156
Vodafone AirTouch Plc (Cellular/Wireless
Telecomms.)............................. 281,905 1,139,454
WPP Group Plc (Commercial Services) ..... 36,000 525,912
------------
TOTAL UNITED KINGDOM 4,862,301
------------
TOTAL COMMON STOCKS (COST $42,289,246) 44,287,847
------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
----------
<S> <C> <C>
SHORT-TERM INVESTMENTS (2.8%)
Federal Home Loan Bank, Zero
Coupon, 01/01/80........................ $1,317,000 1,317,000
------------
TOTAL SHORT-TERM INVESTMENTS
(COST $1,317,000) 1,317,000
------------
TOTAL INVESTMENTS (COST $43,606,246)(A) 45,604,847
OTHER ASSETS LESS LIABILITIES 882,227
------------
TOTAL NET ASSETS $46,487,074
============
NOTES TO PORTFOLIO OF INVESTMENTS
(a) The cost of investments for federal income tax purposes amounts to
$43,862,050. Unrealized gains and losses, based on identified tax cost at
June 30, 2000, are as follows:
Unrealized gains........................................... $ 4,945,642
Unrealized losses.......................................... (3,202,845)
------------
Net unrealized gain....................................... $ 1,742,797
============
</TABLE>
+ Non-income producing security.
Category percentages are based on net assets.
See Notes to Financial Statements. 19
<PAGE>
CAPITAL APPRECIATION PORTFOLIOS
PORTFOLIO OF INVESTMENTS - JUNE 30, 2000 (UNAUDITED)
SMALL COMPANY
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
--------- ------------
<S> <C> <C>
COMMON STOCKS (82.7%)
AGRICULTURE (2.0%)
Delta & Pine Land Co. ................ 143,600 $ 3,598,975
Veterinary Centers of America, Inc. + 127,100 1,747,625
-------------
5,346,600
-------------
AIRLINES (1.1%)
America West Holdings Corp. + ........ 150,500 2,577,312
Mesaba Holdings, Inc. ................ 40,800 390,150
-------------
2,967,462
-------------
BANKS (REGIONAL) (1.3%)
Banknorth Group, Inc. ................ 198,000 3,031,875
Citizens Banking Corp. ............... 23,100 375,014
-------------
3,406,889
-------------
BIOTECHNOLOGY & MEDICAL PRODUCTS (0.5%)
SYNSORB Biotech Inc. + ............... 313,700 1,195,981
-------------
BIOTECHNOLOGY (4.6%)
ArQule, Inc. + ....................... 121,400 2,352,125
Cell Genesys, Inc. + ................. 139,600 3,908,800
Corvas International, Inc. + ......... 105,000 1,260,000
Enzon, Inc. + ........................ 45,600 1,938,000
Immunomedics, Inc. + ................. 105,000 2,572,500
-------------
12,031,425
-------------
BUILDING MATERIALS GROUP (0.6%)
CoorsTek, Inc. + ..................... 34,300 1,577,800
-------------
CELLULAR/WIRELESS TELECOMMUNICATIONS (1.6%)
Arch Communications Group, Inc. + .... 374,900 2,436,850
Boston Communications Group, Inc. .... 123,200 1,724,800
-------------
4,161,650
-------------
CHEMICALS - SPECIALITY (1.2%)
Alcide Corp. + ....................... 75,100 1,314,250
Minerals Technologies Inc. ........... 41,700 1,918,200
-------------
3,232,450
-------------
COMMUNICATIONS EQUIPMENT (4.3%)
Allen Telecom Inc. + ................. 104,400 1,846,575
Cable Design Technologies, Inc. + .... 55,700 1,865,950
Harris Corp. ......................... 41,500 1,359,125
NorthPoint Communications Group, Inc. 171,600 1,919,775
Panja Inc. + ......................... 124,200 1,521,450
Symmetricom, Inc. + .................. 105,400 2,661,350
-------------
11,174,225
-------------
COMPUTERS (HARDWARE) (0.7%)
Emulex Corp. + ....................... 27,500 1,806,406
-------------
COMPUTERS (PERIPHERALS) (2.0%)
M-Systems Flash Disk Pioneers Ltd. + . 22,700 1,767,763
Oak Technology, Inc. ................ 161,000 3,471,562
-------------
5,239,325
-------------
COMPUTERS SOFTWARE/SERVICES (4.5%)
Celera Genomics ...................... 7,400 691,900
Data Return Corp. + .................. 61,900 1,795,100
Entrust Technologies, Inc. + ......... 38,900 3,218,975
ePresence, Inc. ...................... 260,300 1,887,175
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
--------- ------------
<S> <C> <C>
COMPUTERS SOFTWARE/SERVICES (CONTINUED)
Go2Net, Inc. + ....................... 57,500 $ 2,892,969
XCare.net, Inc. + .................... 242,600 1,303,975
-------------
11,790,094
-------------
CONSUMER SERVICES (0.7%)
Cheap Tickets, Inc. .................. 152,200 1,826,400
-------------
CORPORATE INDUSTRIAL - OTHER (0.1%)
Save the World Air, Inc. ............. 44,200 265,200
-------------
ELECTRICAL EQUIPMENT (1.4%)
American Technology Corporation + .... 30,400 136,800
Artesyn Technologies, Inc. + ......... 45,400 1,262,687
Cohu, Inc. .......................... 79,200 2,135,925
-------------
3,535,412
-------------
ELECTRONICS (DEFENSE) (0.5%)
Mercury Computer Systems, Inc. + ..... 37,800 1,221,413
-------------
ELECTRONICS (INSTRUMENTS) (2.2%)
Robotic Vision Systems, Inc. + ....... 177,900 3,202,200
Varian, Inc. + ....................... 55,100 2,541,487
-------------
5,743,687
-------------
ELECTRONICS (SEMICONDUCTORS) (7.9%)
ANADIGICS, Inc. + .................... 95,300 3,246,156
Blue Wave Systems Inc. + ............. 151,400 1,561,313
ESS Technology, Inc. + ............... 193,500 2,805,750
General Semiconductor Corp. + ........ 142,400 2,100,400
PLX Technology Inc. .................. 71,500 2,967,250
SIPEX Corporation + .................. 139,000 3,848,562
Supertex, Inc. ....................... 46,400 2,331,600
Tower Semiconductor Ltd. ............. 57,700 1,882,463
-------------
20,743,494
-------------
EQUIPMENT (SEMICONDUCTORS) (3.6%)
Applied Science and Technology, Inc. + 55,100 1,425,713
Silicon Valley Group, Inc. + ......... 43,600 1,128,150
Varian Semiconductor Equipment
Associates, Inc. + .................. 43,400 2,726,062
Veeco Instruments Inc. + ............. 54,700 4,006,775
-------------
9,286,700
-------------
FINANCIAL (DIVERSIFIED) (0.5%)
Bedford Property Investors, Inc. ..... 68,500 1,271,531
-------------
FOODS (1.5%)
Flowers Industries, Inc. ............. 140,800 2,807,200
Universal Foods Corp. ................ 65,600 1,213,600
-------------
4,020,800
-------------
FOOTWEAR (1.1%)
K-Swiss Inc. ......................... 188,300 3,001,031
-------------
GAMING, LOTTERY, & PARI-MUTUEL (0.6%)
Argosy Gaming Co. + .................. 108,400 1,558,250
-------------
HEALTH CARE (DRUGS) (0.6%)
Barr Laboratories, Inc. + ............ 32,400 1,451,925
-------------
HEALTH CARE (DRUGS/PHARMACEUTICALS) (2.0%)
Genelabs Technologies, Inc. + ........ 180,000 731,250
Matrix Pharmaceutical, Inc. .......... 109,800 1,434,262
</TABLE>
20 See Notes to Portfolio of Investments.
<PAGE>
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
--------- ------------
<S> <C> <C>
HEALTH CARE (DRUGS/PHARMACEUTICALS) (CONTINUED)
Titan Pharmaceuticals, Inc. + ........ 69,400 $ 2,984,200
-------------
5,149,712
-------------
HEALTH CARE (HOSPITAL MANAGEMENT) (0.9%)
LifePoint Hospitals, Inc. + .......... 105,000 2,336,250
-------------
HEALTH CARE (MANAGED CARE) (1.8%)
Coventry Health Care, Inc. + ......... 99,100 1,320,817
Foundation Health Systems, Inc. + .... 207,300 2,694,900
Oxford Health Plans, Inc. + .......... 25,400 604,838
-------------
4,620,555
-------------
HEALTH CARE (MEDICAL PRODUCTS/SUPPLIES) (3.7%)
ADAC Laboratories + .................. 58,000 1,392,000
Novoste Corp. ........................ 82,100 5,008,100
VISX, Inc. + ......................... 114,700 3,218,769
-------------
9,618,869
-------------
HEALTH CARE (SPECIAL SERVICES) (2.9%)
FuelCell Energy, Inc. + .............. 10,400 718,250
Nanogen, Inc. + ...................... 95,800 4,065,512
Pharmaceutical Product Development,
Inc. + .............................. 62,800 1,318,800
Syntroleum Corp. ..................... 91,700 1,570,363
-------------
7,672,925
-------------
INSURANCE (LIFE/HEALTH) (1.0%)
ReliaStar Financial Corp. ............ 52,100 2,731,994
-------------
INSURANCE (PROPERTY/CASUALTY) (0.9%)
Horace Mann Educators Corp. .......... 148,400 2,226,000
-------------
INVESTMENT MANAGEMENT (1.5%)
American Capital Strategies, Ltd. .... 88,700 2,117,712
T. Rowe Price & Associates ........... 40,500 1,721,250
-------------
3,838,962
-------------
LEISURE TIME (PRODUCTS) (0.6%)
Callaway Golf Co. .................... 96,600 1,575,788
-------------
LODGING - HOTELS (0.5%)
Four Seasons Hotels Inc. ............. 20,400 1,268,625
-------------
MANUFACTURING (DIVERSIFIED) (0.5%)
Stewart & Stevenson Services, Inc. ... 84,600 1,274,288
-------------
MANUFACTURING (SPECIALIZED) (1.0%)
Astec Industries, Inc. + ............. 67,900 1,722,962
Paxar Corp. + ........................ 72,100 860,694
-------------
2,583,656
-------------
OFFICE EQUIPMENT & SUPPLIES (0.2%)
Tidel Technologies, Inc. ............. 62,100 617,119
-------------
OIL & GAS (DRILLING & EQUIPMENT) (0.6%)
Grey Wolf, Inc. ...................... 302,000 1,510,000
-------------
OIL & GAS (EXPLORATION/PRODUCTION) (3.8%)
Cabot Oil & Gas Corp. ................ 79,600 1,686,525
HS Resources, Inc. + ................. 43,100 1,293,000
Triton Energy Ltd. + ................. 93,900 3,691,444
Vintage Petroleum, Inc. + ............ 146,500 3,305,406
-------------
9,976,375
-------------
OIL & GAS (REFINING & MARKETING) (0.6%)
Valero Energy Corp. .................. 52,900 1,679,575
-------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
--------- ------------
<S> <C> <C>
PAPER & FOREST PRODUCTS (1.4%)
Buckeye Technologies, Inc. + ......... 55,700 $ 1,221,919
Louisiana-Pacific Corp. .............. 168,500 1,832,437
Potlatch Corp. ....................... 21,700 718,813
-------------
3,773,169
-------------
PHOTOGRAPHY/IMAGING (1.1%)
Infocus Corp. ........................ 91,800 2,954,813
-------------
PUBLISHING (1.5%)
Houghton Mifflin Co. ................. 39,500 1,844,156
Reader's Digest Association, Inc.
(The)................................ 51,200 2,035,200
-------------
3,879,356
-------------
REIT DIVERSIFIED (0.7%)
Trizec Hahn Corp. .................... 106,600 1,905,475
-------------
RESTAURANTS (0.5%)
Lone Star Steakhouse & Saloon, Inc. + 129,100 1,307,138
-------------
RETAIL (HOME SHOPPING) (0.7%)
ValueVision International, Inc. + .... 76,200 1,828,800
-------------
RETAIL - SPECIALITY (1.7%)
Casey's General Stores, Inc. ......... 217,100 2,252,412
PETCO Animal Supplies, Inc. .......... 113,800 2,233,325
-------------
4,485,737
-------------
RETAIL SPECIALITY - APPAREL (1.5%)
Abercrombie & Fitch Co. + ............ 183,900 2,241,281
Children's Place Retail Store, Inc.
(The)................................ 87,700 1,797,850
-------------
4,039,131
-------------
SAVINGS & LOAN COMPANIES (2.7%)
Astoria Financial Corp. .............. 94,900 2,443,675
Downey Financial Corp. ............... 74,900 2,172,100
Net.b@nk, Inc. ....................... 193,300 2,404,169
-------------
7,019,944
-------------
SERVICES (ADVERTISING/MARKETING) (0.5%)
R.H. Donnelley Corp. ................. 66,700 1,292,313
-------------
SERVICES (COMMERCIAL & CONSUMER) (2.8%)
Digital Island ....................... 35,100 1,706,738
Fonar Corporation + .................. 716,100 1,499,334
Getty Images, Inc. + ................. 47,800 1,771,588
Superior Energy Services, Inc. + ..... 230,100 2,387,287
-------------
7,364,947
-------------
TOTAL COMMON STOCKS (COST $205,263,808) 216,387,666
-------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
------------
<S> <C> <C>
SHORT-TERM INVESTMENTS (15.6%)
Federal Home Loan Mortgage
Corp., 6.57%, 07/03/00............... $ 24,447,000 24,447,000
Federal National Mortgage
Association, 6.38%, 07/17/00......... 15,000,000 14,962,608
U.S. Treasury Bill, 6.18%, 11/09/00 @. 1,400,000 1,370,642
-------------
TOTAL SHORT-TERM INVESTMENTS
(COST $40,778,831) 40,780,250
-------------
</TABLE>
See Notes to Portfolio of Investments. 21
<PAGE>
CAPITAL APPRECIATION PORTFOLIOS
PORTFOLIO OF INVESTMENTS - JUNE 30, 2000 (UNAUDITED)
SMALL COMPANY (CONTINUED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
VALUE
-------------
<S> <C>
TOTAL INVESTMENTS
(COST $246,042,639)(a) $257,167,916
OTHER ASSETS LESS LIABILITIES 4,340,403
-------------
TOTAL NET ASSETS $261,508,319
=============
NOTES TO PORTFOLIO OF INVESTMENTS
(a) The cost of investments for federal income tax purposes amounts to
$265,906,421. Unrealized gains and losses, based on identified tax cost at
June 30, 2000, are as follows:
Unrealized gains......................................... $ 15,873,643
Unrealized losses........................................ (24,612,148)
------------
Net unrealized loss..................................... $ (8,738,505)
============
</TABLE>
Information concerning open futures contracts at June 30, 2000 is shown below:
<TABLE>
<CAPTION>
NO. OF NOTIONAL EXPIRATION UNREALIZED
CONTRACTS VALUE DATE GAIN/(LOSS)
----------- ------------- ------------ --------------
LONG CONTRACTS
----------------------
<S> <C> <C> <C> <C>
S&P 500 Index Futures. 73 $19,076,900 Sep 00 $ (35,448)
=========== ==========
</TABLE>
+ Non-income producing security.
@ Security pledged to cover initial margin requirements on open futures
contracts at June 30, 2000.
Category percentages are based on net assets.
22 See Notes to Financial Statements.
<PAGE>
CAPITAL APPRECIATION PORTFOLIOS
PORTFOLIO OF INVESTMENTS - JUNE 30, 2000 (UNAUDITED)
VALUE OPPORTUNITY
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
--------- ------------
<S> <C> <C>
COMMON STOCKS (92.3%)
AEROSPACE/DEFENSE (3.8%)
Boeing Co. ............................ 81,700 $ 3,416,081
------------
AUTOMOTIVE (1.8%)
General Motors Corp. - Class H + ...... 19,000 1,667,250
------------
BANKS (MONEY CENTER) (2.9%)
J.P. Morgan & Co. ..................... 23,900 2,631,988
------------
BEVERAGES (ALCOHOLIC) (2.2%)
Anheuser-Busch Co., Inc. .............. 26,300 1,964,281
------------
BROADCASTING (TV, RADIO & CABLE) (3.7%)
Clear Channel Communications, Inc. + .. 18,300 1,372,500
Mediaone Group, Inc. + (1) ............ 29,500 1,956,256
------------
3,328,756
------------
CELLULAR/WIRELESS TELECOMMUNICATIONS (2.7%)
Western Wireless Corporation .......... 44,200 2,408,900
------------
COMMUNICATIONS EQUIPMENT (1.4%)
Lucent Technologies, Inc. ............. 21,700 1,285,725
------------
COMPUTERS (HARDWARE) (4.3%)
Apple Computer, Inc. + ................ 42,600 2,231,175
Compaq Computer Corp. ................. 64,900 1,659,006
------------
3,890,181
------------
COMPUTERS SOFTWARE/SERVICES (6.0%)
America Online, Inc. + ................ 45,600 2,405,400
Microsoft Corp. + ..................... 37,900 3,032,000
------------
5,437,400
------------
ELECTRICAL EQUIPMENT (4.6%)
General Electric Co. .................. 79,100 4,192,300
------------
ELECTRONICS (INSTRUMENTS) (3.8%)
Waters Corp. + ........................ 27,700 3,457,306
------------
ELECTRONICS (SEMICONDUCTORS) (4.4%)
Intel Corp. ........................... 29,800 3,983,887
------------
ENTERTAINMENT (3.5%)
Walt Disney Co. (The) + ............... 83,100 3,225,319
------------
FINANCIAL (DIVERSIFIED) (3.9%)
Citigroup Inc. ........................ 58,600 3,530,650
------------
HEALTH CARE (DRUGS/PHARMACEUTICALS) (7.2%)
Pfizer, Inc. .......................... 72,000 3,456,000
Pharmacia Corporation ................. 59,500 3,075,406
------------
6,531,406
------------
HEALTH CARE (HOSPITAL MANAGEMENT) (2.5%)
Tenet Healthcare Corp. + .............. 85,000 2,295,000
------------
HEALTH CARE DIVERSIFIED (4.1%)
Abbott Laboratories ................... 83,100 3,703,144
------------
INSURANCE (LIFE/HEALTH) (3.0%)
MetLife, Inc. + ....................... 130,600 2,750,763
------------
INSURANCE (MULTI-LINE) (2.9%)
American International Group, Inc. .... 22,600 2,655,500
------------
MANUFACTURING (DIVERSIFIED) (5.0%)
Minnesota Mining and Manufacturing Co. 23,900 1,971,750
Tyco International Ltd. ............... 54,800 2,596,150
------------
4,567,900
------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
--------- ------------
<S> <C> <C>
MANUFACTURING (SPECIALIZED) (3.1%)
United Technologies Corp. ............. 47,700 $ 2,808,337
------------
NATURAL GAS (DISTRIBUTION - PIPE LINE) (2.4%)
Williams Co., Inc. (The) .............. 52,000 2,167,750
------------
OIL & GAS (EXPLORATION/PRODUCTION) (2.4%)
Kerr-McGee Corp. ...................... 37,300 2,198,369
------------
OIL (INTERNATIONAL INTEGRATED) (2.2%)
Chevron Corp. ......................... 23,700 2,010,056
------------
POWER PRODUCERS (INDEPENDENT) (3.3%)
AES Corp. + ........................... 65,300 2,979,312
------------
RETAIL - GENERAL MERCHANDISE CHAIN (1.7%)
Costco Wholesale Corp. + .............. 45,900 1,514,700
------------
SERVICES (DATA PROCESSING) (2.4%)
First Data Corp. ...................... 43,900 2,178,538
------------
TELEPHONE LONG DISTANCE (1.1%)
Sprint Corp. .......................... 20,300 1,035,300
------------
TOTAL COMMON STOCKS (COST $75,909,222) 83,816,099
------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
----------
<S> <C> <C>
SHORT-TERM INVESTMENTS (6.8%)
Federal Home Loan Mortgage
Corp., 6.57%, 07/03/00................ $6,008,000 6,008,000
U.S. Treasury Bill, 6.14%, 11/09/00 @ . 200,000 195,806
------------
TOTAL SHORT-TERM INVESTMENTS
(COST $6,203,603) 6,203,806
------------
TOTAL INVESTMENTS (COST $82,112,825)(a) 90,019,905
OTHER ASSETS LESS LIABILITIES 820,981
------------
TOTAL NET ASSETS $90,840,886
============
</TABLE>
See Notes to Portfolio of Investments. 23
<PAGE>
CAPITAL APPRECIATION PORTFOLIOS
PORTFOLIO OF INVESTMENTS - JUNE 30, 2000 (UNAUDITED)
VALUE OPPORTUNITY (CONTINUED)
--------------------------------------------------------------------------------
NOTES TO PORTFOLIO OF INVESTMENTS
(a) The cost of investments for federal income tax purposes amounts to
$84,066,618. Unrealized gains and losses, based on identified tax cost at
June 30, 2000, are as follows:
<TABLE>
<S> <C>
Unrealized gains....................................... $ 9,688,689
Unrealized losses...................................... (3,735,402)
------------
Net unrealized gain................................... $ 5,953,287
============
</TABLE>
Information concerning open futures contracts at June 30, 2000 is shown below:
<TABLE>
<CAPTION>
NO. OF NOTIONAL EXPIRATION UNREALIZED
CONTRACTS VALUE DATE GAIN/(LOSS)
----------- ------------ ------------ ---------------
LONG CONTRACTS
----------------------
<S> <C> <C> <C> <C>
S&P 500 Index Futures. 8 $2,936,200 Sep 00 $ (43,426)
========== ==========
</TABLE>
+ Non-income producing security.
@ Security pledged to cover initial margin requirements on open futures
contracts at June 30, 2000.
(1) AT&T Corp. acquired MediaOne Group on June 15, 2000. As of June 30, 2000
the acquisition was not completed, therefore, the market value of MediaOne
Group on June 30, 2000 reflects the fair value of the AT&T Corp. offer.
Category percentages are based on net assets.
24 See Notes to Financial Statements.
<PAGE>
CAPITAL APPRECIATION PORTFOLIOS
PORTFOLIO OF INVESTMENTS - JUNE 30, 2000 (UNAUDITED)
TECHNOLOGY
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
--------- ------------
<S> <C> <C>
COMMON STOCKS (86.8%)
CELLULAR/WIRELESS TELECOMMUNICATIONS (4.2%)
Nextel Communications, Inc. + ......... 4,800 $ 293,700
VoiceStream Wireless Corp. ............ 2,150 250,038
Western Wireless Corporation .......... 2,450 133,525
------------
677,263
------------
COMMUNICATIONS EQUIPMENT (17.3%)
Comverse Technology, Inc. + ........... 2,800 260,400
Corning, Inc. ......................... 2,200 593,725
Lucent Technologies, Inc. ............. 4,800 284,400
Motorola, Inc. ........................ 11,200 325,500
Nokia Oyj, ADR ........................ 11,750 586,766
Nortel Networks Corp. ................. 6,600 450,450
Tellabs, Inc. + ....................... 4,400 301,125
------------
2,802,366
------------
COMPUTERS (HARDWARE) (5.3%)
Compaq Computer Corp. ................. 11,300 288,856
National Instruments Corp. + .......... 3,500 152,687
Sun Microsystems, Inc. + .............. 4,500 409,219
------------
850,762
------------
COMPUTERS (NETWORKING) (4.1%)
Cisco Systems, Inc. + ................. 10,200 648,338
Netease.com Inc., ADR ................ 1,250 15,156
------------
663,494
------------
COMPUTERS (PERIPHERALS) (4.6%)
EMC Corp. + ........................... 9,700 746,294
------------
COMPUTERS SOFTWARE/SERVICES (12.3%)
Adobe Systems, Inc. ................... 2,300 299,000
Ariba, Inc. ........................... 1,700 166,679
BroadVision, Inc. + ................... 7,100 360,769
Microsoft Corp. + ..................... 7,200 576,000
Precise Software Solutions ............ 4,000 96,000
VERITAS Software Corp. + .............. 1,300 146,920
Yahoo! Inc. + ......................... 2,850 353,044
------------
1,998,412
------------
ELECTRICAL EQUIPMENT (2.8%)
Flextronics International Ltd. + ...... 2,500 171,719
Solectron Corp. + ..................... 6,600 276,375
------------
448,094
------------
ELECTRONICS (COMPONENT DIST.) (1.1%)
Exfo Electro-Optical Engineering, Inc. 4,000 175,500
------------
ELECTRONICS (SEMICONDUCTORS) (21.1%)
Altera Corp. + ........................ 3,100 316,006
Atmel Corp. + ......................... 5,900 217,563
Intel Corp. ........................... 5,000 668,437
JDS Uniphase Corporation + ............ 4,700 563,413
Linear Technology Corp. ............... 3,200 204,600
Maxim Integrated Products, Inc. + ..... 2,300 156,256
Micron Technology, Inc. + ............. 4,200 369,863
Texas Instruments, Inc. ............... 3,600 247,275
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
--------- ------------
<S> <C> <C>
ELECTRONICS (SEMICONDUCTORS) (CONTINUED)
Xilinx, Inc. + ........................ 8,100 $ 668,756
------------
3,412,169
------------
EQUIPMENT (SEMICONDUCTORS) (10.6%)
Applied Materials, Inc. + ............. 6,400 580,000
KLA Instruments Corp. + ............... 4,100 240,106
Lam Research Corporation + ............ 7,900 296,250
Teradyne, Inc. + ...................... 8,200 602,700
------------
1,719,056
------------
SEMICONDUCTORS & ELECTRONIC (1.7%)
Telefonaktiebolaget LM Ericsson AB .... 14,000 280,000
------------
SERVICES (DATA PROCESSING) (0.1%)
StorageNetworks, Inc. ................. 250 22,563
------------
TELEPHONE LONG DISTANCE (1.6%)
Allegiance Telecom, Inc. + ............ 3,950 252,800
------------
TOTAL COMMON STOCKS (COST $13,608,296) 14,048,773
------------
TOTAL INVESTMENTS (COST $13,608,296)(a) 14,048,773
OTHER ASSETS LESS LIABILITIES 2,130,487
------------
TOTAL NET ASSETS $16,179,260
============
NOTES TO PORTFOLIO OF INVESTMENTS
(a) The cost of investments for federal income tax purposes amounts to
$13,756,302. Unrealized gains and losses, based on identified tax cost at
June 30, 2000, are as follows:
Unrealized gains........................................ $ 847,021
Unrealized losses....................................... (554,550)
------------
Net unrealized gain.................................... $ 292,471
============
</TABLE>
+ Non-income producing security.
Category percentages are based on net assets.
See Notes to Financial Statements. 25
<PAGE>
CAPITAL APPRECIATION PORTFOLIOS
STATEMENTS OF ASSETS AND LIABILITIES
JUNE 30, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
<S> <C>
ASSETS:
Investments, at market value ..........................................
Cash ..................................................................
Foreign currency ......................................................
Receivable for:
Dividends and interest ...............................................
Investments sold .....................................................
Fund shares sold .....................................................
Variation margin .....................................................
Recoverable foreign taxes ............................................
Reimbursement from Investment Adviser ................................
Prepaid expenses ......................................................
Gross unrealized gain on forward foreign currency exchange contracts ..
Total assets .....................................................
LIABILITIES:
Payable for:
Investments purchased ................................................
Fund shares redeemed .................................................
Accrued investment advisory fees ......................................
Accrued administrative service fees ...................................
Accrued custody fees ..................................................
Other liabilities .....................................................
Total liabilities ................................................
NET ASSETS ......................................................
NET ASSETS REPRESENTED BY:
Paid-in capital .......................................................
Net unrealized gain on investments, open futures contracts and foreign
currency related transactions ........................................
Undistributed (distributions in excess of) net investment income ......
Accumulated net realized gain (loss) on investments ...................
NET ASSETS ......................................................
Cost of investments ...................................................
Cost of foreign currency ..............................................
CAPITAL SHARES:
Authorized ............................................................
Par Value .............................................................
Outstanding ...........................................................
Net asset value, offering and redemption price per share (net assets
divided by shares outstanding) .......................................
</TABLE>
26 See Notes to Financial Statements.
<PAGE>
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
GROWTH INTERNATIONAL SMALL COMPANY VALUE OPPORTUNITY TECHNOLOGY
------------- ------------- -------------- ----------------- ------------
<S> <C> <C> <C> <C>
$454,873,106 $ 45,604,847 $257,167,916 $ 90,019,905 $ 14,048,773
2,662 196,875 675 963 3,214,080
-- 2,933 -- -- --
63,669 57,345 71,516 55,603 612
3,972,799 1,805,703 9,271,535 2,725,251 16,218
529,546 290,506 -- 214,529 406,657
174,225 -- 250,025 20,200 --
-- 43,386 -- -- --
-- 6,710 -- -- 6,516
807 88 385 264 --
-- 5,244 -- -- --
------------ ------------ ------------ ------------ ------------
459,616,814 48,013,637 266,762,052 93,036,715 17,692,856
------------ ------------ ------------ ------------ ------------
662,947 1,407,813 4,534,389 2,131,870 1,488,046
236 17 516,804 206 18
229,896 44,443 162,913 46,842 9,525
28,737 3,922 16,291 5,855 754
8,363 61,837 15,166 5,082 2,586
11,546 8,531 8,170 5,974 12,667
------------ ------------ ------------ ------------ ------------
941,725 1,526,563 5,253,733 2,195,829 1,513,596
------------ ------------ ------------ ------------ ------------
$458,675,089 $ 46,487,074 $261,508,319 $ 90,840,886 $ 16,179,260
============ ============ ============ ============ ============
$346,785,860 $ 36,019,139 $218,078,621 $ 81,500,907 $ 15,843,014
67,853,262 2,009,917 11,089,829 7,863,654 440,477
359,594 93,185 624,009 261,061 (8,267)
43,676,373 8,364,833 31,715,860 1,215,264 (95,964)
------------ ------------ ------------ ------------ ------------
$458,675,089 $ 46,487,074 $261,508,319 $ 90,840,886 $ 16,179,260
============ ============ ============ ============ ============
$386,633,590 $ 43,606,246 $246,042,639 $ 82,112,825 $ 13,608,296
$ -- $ 2,961 $ -- $ -- $ --
Two Billion Two Billion Two Billion Two Billion Two Billion
$ 0.001 $ 0.001 $ 0.001 $ 0.001 $ 0.001
24,731,954 2,975,792 14,172,523 6,229,356 1,624,784
$ 18.55 $ 15.62 $ 18.45 $ 14.58 $ 9.96
</TABLE>
See Notes to Financial Statements. 27
<PAGE>
CAPITAL APPRECTIATION PORTFOLIOS
STATEMENTS OF OPERATIONS
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
<S> <C>
INVESTMENT INCOME:
Dividends .............................................................
Interest ..............................................................
Foreign taxes withheld on dividends ...................................
Total investment income ..........................................
INVESTMENT EXPENSES:
Investment advisory fees ..............................................
Administrative services fees ..........................................
Printing and postage fees .............................................
Custody fees ..........................................................
Transfer agent fees ...................................................
Audit fees ............................................................
Directors' fees .......................................................
Registration fees .....................................................
Miscellaneous expenses ................................................
Expenses before reimbursement and waiver from Investment Adviser ......
Expense reimbursement and waiver from Investment Adviser ..............
Net investment expenses ..........................................
Net investment income (loss) ..........................................
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments ..........................................................
Futures and forward foreign currency exchange contracts ..............
Foreign currency related transactions ................................
Net realized gain (loss) on investments ..........................
Net change in unrealized gain or loss on:
Investments ..........................................................
Futures and forward foreign currency exchange contracts ..............
Foreign currency related transactions ................................
Net change in unrealized gain or loss on investments .............
Net realized and change in unrealized gain or loss on investments .....
Net increase in net assets resulting from operations ..................
</TABLE>
28 See Notes to Financial Statements.
<PAGE>
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
TECHNOLOGY
PERIOD FROM
GROWTH INTERNATIONAL SMALL COMPANY VALUE OPPORTUNITY MAY 1, 2000
SIX MONTH SIX MONTH SIX MONTH SIX MONTH (COMMENCEMENT OF
PERIOD ENDED PERIOD ENDED PERIOD ENDED PERIOD ENDED OPERATIONS)
JUNE 30, 2000 JUNE 30, 2000 JUNE 30, 2000 JUNE 30, 2000 TO JUNE 30, 2000
(UNAUDITED) (UNAUDITED) (UNAUDITED) (UNAUDITED) (UNAUDITED)
------------- ------------- ------------- ----------------- ----------------
<S> <C> <C> <C> <C>
$ 660,790 $ 352,158 $ 530,897 $ 393,997 $ 958
1,099,061 66,679 1,056,243 192,588 8,000
----------- ----------- ----------- ---------- --------
1,759,851 418,837 1,587,140 586,585 8,958
(5,454) (35,284) -- -- --
----------- ----------- ----------- ---------- --------
1,754,397 383,553 1,587,140 586,585 8,958
----------- ----------- ----------- ---------- --------
1,203,944 240,016 832,108 251,133 13,970
150,493 21,174 83,211 31,392 1,105
6,826 4,510 5,597 21,457 3,071
2,506 97,812 22,315 7,246 2,600
1,300 1,300 1,300 1,300 433
9,417 13,337 8,872 8,733 8,600
5,390 640 2,089 1,170 164
5,544 2,389 3,009 746 345
7,480 955 3,708 1,865 54
----------- ----------- ----------- ---------- --------
1,392,900 382,133 962,209 325,042 30,342
-- (56,767) -- -- (13,117)
----------- ----------- ----------- ---------- --------
1,392,900 325,366 962,209 325,042 17,225
----------- ----------- ----------- ---------- --------
361,497 58,187 624,931 261,543 (8,267)
----------- ----------- ----------- ---------- --------
44,370,216 8,468,828 31,868,928 1,194,440 (95,964)
243,026 70,708 958,384 71,712 --
-- (24,572) -- -- --
----------- ----------- ----------- ---------- --------
44,613,242 8,514,964 32,827,312 1,266,152 (95,964)
----------- ----------- ----------- ---------- --------
(7,750,395) (8,411,198) (6,862,435) 2,274,434 440,477
(829,985) 23,219 (870,816) (93,790) --
-- 253 -- -- --
----------- ----------- ----------- ---------- --------
(8,580,380) (8,387,726) (7,733,251) 2,180,644 440,477
----------- ----------- ----------- ---------- --------
36,032,862 127,238 25,094,061 3,446,796 344,513
----------- ----------- ----------- ---------- --------
$36,394,359 $ 185,425 $25,718,992 $3,708,339 $336,246
=========== =========== =========== ========== ========
</TABLE>
See Notes to Financial Statements. 29
<PAGE>
CAPITAL APPRECIATION PORTFOLIOS
STATEMENTS OF CHANGES IN NET ASSETS
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
GROWTH
---------------------------------
SIX MONTH
PERIOD ENDED
JUNE 30, 2000 YEAR ENDED
(UNAUDITED) DECEMBER 31, 1999
------------- -----------------
<S> <C> <C>
FROM OPERATIONS:
Net investment income .................... $ 361,497 $ 481,219
Net realized gain on investments.......... 44,613,242 28,042,708
Net change in unrealized gain or loss on
investments.............................. (8,580,380) 54,078,169
------------ ------------
Net increase in net assets resulting from
operations............................... 36,394,359 82,602,096
------------ ------------
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income................ (145,288) (337,834)
From net realized gains on investments.... (7,421,806) (15,204,353)
------------ ------------
Decrease in net assets from distributions
to shareholders.......................... (7,567,094) (15,542,187)
------------ ------------
FROM FUND SHARE TRANSACTIONS:
Proceeds from shares sold................. 81,631,874 212,364,548
Net asset value of shares issued upon
reinvestment of distributions........... 7,567,094 15,542,187
Payments for shares redeemed.............. (29,196,577) (67,484,450)
------------ ------------
Net increase in net assets from fund
share transactions....................... 60,002,391 160,422,285
------------ ------------
Net change in net assets................ 88,829,656 227,482,194
NET ASSETS:
Beginning of period....................... 369,845,433 142,363,239
------------ ------------
End of period............................. $458,675,089 $369,845,433
============ ============
End of period net assets includes
undistributed net investment income...... $ 359,594 $ 143,385
============ ============
SHARE TRANSACTIONS:
Number of shares sold..................... 4,621,439 14,288,419
Number of shares issued upon reinvestment
of distributions........................ 419,229 981,818
Number of shares redeemed................. (1,663,125) (4,438,843)
------------ ------------
Net increase............................. 3,377,543 10,831,394
============ ============
</TABLE>
30 See Notes to Financial Statements.
<PAGE>
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTERNATIONAL
----------------------------------
SIX MONTH
PERIOD ENDED
JUNE 30, 2000 YEAR ENDED
(UNAUDITED) DECEMBER 31, 1999
------------- -----------------
<S> <C> <C>
FROM OPERATIONS:
Net investment income .................... $ 58,187 $ 34,202
Net realized gain on investments.......... 8,514,964 4,862,619
Net change in unrealized gain or loss on
investments.............................. (8,387,726) 8,328,366
------------ ------------
Net increase in net assets resulting from
operations............................... 185,425 13,225,187
------------ ------------
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income................ -- (353,954)
From net realized gains on investments.... (1,900,401) (3,037,839)
------------ ------------
Decrease in net assets from distributions
to shareholders.......................... (1,900,401) (3,391,793)
------------ ------------
FROM FUND SHARE TRANSACTIONS:
Proceeds from shares sold................. 54,132,354 34,117,191
Net asset value of shares issued upon
reinvestment of distributions........... 1,900,401 3,391,793
Payments for shares redeemed.............. (51,379,148) (20,036,271)
------------ ------------
Net increase in net assets from fund
share transactions....................... 4,653,607 17,472,713
------------ ------------
Net change in net assets................ 2,938,631 27,306,107
NET ASSETS:
Beginning of period....................... 43,548,443 16,242,336
------------ ------------
End of period............................. $ 46,487,074 $ 43,548,443
============ ============
End of period net assets includes
undistributed net investment income...... $ 93,185 $ 34,998
============ ============
SHARE TRANSACTIONS:
Number of shares sold..................... 3,225,546 2,598,430
Number of shares issued upon reinvestment
of distributions........................ 118,331 235,495
Number of shares redeemed................. (3,103,218) (1,500,618)
------------ ------------
Net increase ............................ 240,659 1,333,307
============ ============
</TABLE>
See Notes to Financial Statements. 31
<PAGE>
CAPITAL APPRECIATION PORTFOLIOS
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SMALL COMPANY
---------------------------------
SIX MONTH
PERIOD ENDED
JUNE 30, 2000 YEAR ENDED
(UNAUDITED) DECEMBER 31, 1999
------------- -----------------
<S> <C> <C>
FROM OPERATIONS:
Net investment income .................... $ 624,931 $ 712,780
Net realized gain on investments.......... 32,827,312 20,875,868
Net change in unrealized gain or loss on
investments.............................. (7,733,251) 12,349,570
------------ ------------
Net increase in net assets resulting from
operations............................... 25,718,992 33,938,218
------------ ------------
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income................ (211,169) (551,932)
From net realized gains on investments.... (13,918,572) (1,144,832)
------------ ------------
Decrease in net assets from distributions
to shareholders.......................... (14,129,741) (1,696,764)
------------ ------------
FROM FUND SHARE TRANSACTIONS:
Proceeds from shares sold................. 109,515,191 66,957,022
Net asset value of shares issued upon
reinvestment of distributions........... 14,129,741 1,696,764
Payments for shares redeemed.............. (23,142,174) (51,301,904)
------------ ------------
Net increase in net assets from fund
share transactions....................... 100,502,758 17,351,882
------------ ------------
Net change in net assets................ 112,092,009 49,593,336
NET ASSETS:
Beginning of period....................... 149,416,310 99,822,974
------------ ------------
End of period............................. $261,508,319 $149,416,310
============ ============
End of period net assets includes
undistributed net investment income...... $ 624,009 $ 210,247
============ ============
SHARE TRANSACTIONS:
Number of shares sold..................... 5,564,326 4,954,441
Number of shares issued upon reinvestment
of distributions........................ 781,945 111,511
Number of shares redeemed................. (1,220,972) (3,825,156)
------------ ------------
Net increase............................. 5,125,299 1,240,796
============ ============
</TABLE>
32 See Notes to Financial Statements.
<PAGE>
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE OPPORTUNITY
----------------------------------
SIX MONTH
PERIOD ENDED
JUNE 30, 2000 YEAR ENDED
(UNAUDITED) DECEMBER 31, 1999
------------- -----------------
<S> <C> <C>
FROM OPERATIONS:
Net investment income .................... $ 261,543 $ 531,415
Net realized gain on investments.......... 1,266,152 19,615,336
Net change in unrealized gain or loss on
investments.............................. 2,180,644 (6,017,946)
------------ ------------
Net increase in net assets resulting from
operations............................... 3,708,339 14,128,805
------------ ------------
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income................ (134,314) (404,977)
From net realized gains on investments.... (13,577,692) (3,577,088)
------------ ------------
Decrease in net assets from distributions
to shareholders.......................... (13,712,006) (3,982,065)
------------ ------------
FROM FUND SHARE TRANSACTIONS:
Proceeds from shares sold................. 16,021,159 14,685,948
Net asset value of shares issued upon
reinvestment of distributions........... 13,712,006 3,982,065
Payments for shares redeemed.............. (13,918,401) (19,893,670)
------------ ------------
Net increase (decrease) in net assets
from fund share transactions............. 15,814,764 (1,225,657)
------------ ------------
Net change in net assets................ 5,811,097 8,921,083
NET ASSETS:
Beginning of period....................... 85,029,789 76,108,706
------------ ------------
End of period............................. $ 90,840,886 $ 85,029,789
============ ============
End of period net assets includes
undistributed net investment income...... $ 261,061 $ 133,832
============ ============
SHARE TRANSACTIONS:
Number of shares sold..................... 971,250 958,103
Number of shares issued upon reinvestment
of distributions........................ 934,697 245,379
Number of shares redeemed................. (854,328) (1,308,831)
------------ ------------
Net increase (decrease).................. 1,051,619 (105,349)
============ ============
</TABLE>
See Notes to Financial Statements. 33
<PAGE>
CAPITAL APPRECIATION PORTFOLIOS
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
TECHNOLOGY
------------------
PERIOD FROM
MAY 1, 2000
(COMMENCEMENT OF
OPERATIONS)
TO JUNE 30, 2000
(UNAUDITED)
----------------
<S> <C>
FROM OPERATIONS:
Net investment loss ....................................... $ (8,267)
Net realized loss on investments........................... (95,964)
Net change in unrealized gain or loss on investments....... 440,477
-----------
Net increase in net assets resulting from operations...... 336,246
-----------
FROM FUND SHARE TRANSACTIONS:
Proceeds from shares sold.................................. 18,242,121
Payments for shares redeemed............................... (2,399,107)
-----------
Net increase in net assets from fund share transactions... 15,843,014
-----------
Net change in net assets................................. 16,179,260
NET ASSETS:
Beginning of period........................................ --
-----------
End of period.............................................. $16,179,260
===========
End of period net assets includes distributions in excess
of net investment income.................................. $ (8,267)
===========
SHARE TRANSACTIONS:
Number of shares sold...................................... 1,874,801
Number of shares redeemed.................................. (250,017)
-----------
Net increase.............................................. 1,624,784
===========
</TABLE>
34 See Notes to Financial Statements.
<PAGE>
CAPITAL APPRECIATION PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
1. ORGANIZATION
Aetna Variable Portfolios, Inc. (Fund) is registered under the Investment
Company Act of 1940 (the Act) as an open-end management investment company. It
was incorporated under the laws of Maryland on June 4, 1996. The Articles of
Incorporation permit the Fund to offer separate portfolios, each of which has
its own investment objective, policies and restrictions.
The Fund currently offers multiple portfolios. This report covers five
portfolios: Aetna Growth VP, Aetna International VP, Aetna Small Company VP,
Aetna Value Opportunity VP and Aetna Technology VP (Portfolios).
The following is each Portfolio's investment objective:
AETNA GROWTH VP (Growth) seeks growth of capital through investment in a
diversified portfolio consisting primarily of common stocks and securities
convertible into common stocks believed to offer growth potential.
AETNA INTERNATIONAL VP (International) seeks long-term capital growth
primarily through investment in a diversified portfolio of common stocks
principally traded in countries outside of the U.S. International will not
target any given level of current income.
AETNA SMALL COMPANY VP (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.
AETNA VALUE OPPORTUNITY VP (Value Opportunity) seeks growth of capital
primarily through investment in a diversified portfolio of common stocks and
securities convertible into common stock.
TECHNOLOGY VP (Technology) seeks long-term capital appreciation.
Shares of the Portfolios are offered to insurance company separate accounts that
fund both annuity and life insurance contracts and to certain tax-qualified
retirement plans. At June 30, 2000 separate accounts of Aetna Life Insurance and
Annuity Company (ALIAC) and its affiliates held 100.0%, 100.0%, 99.7%, 99.8% and
100% of Growth, International, Small Company Value Opportunity and Technology's
shares outstanding, respectively.
Aeltus Investment Management, Inc. (Aeltus) serves as the investment adviser to
each Portfolio. Elijah Asset Management, LLC (EAM) serves as the sub-adviser to
Technology. ALIAC is each Portfolio's principal underwriter. Aeltus and ACI are
indirect wholly owned subsidiaries of Aetna Inc. (Aetna).
2. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
The accompanying financial statements of each Portfolio has been prepared in
accordance with generally accepted accounting principles. The preparation of
financial statements in conformity with generally accepted accounting principles
requires management to make estimates and assumptions that affect amounts
reported therein. Actual results could differ from these estimates.
35
<PAGE>
CAPITAL APPRECIATION PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
A. VALUATION OF INVESTMENTS
Exchange traded equity investments are stated at market values based upon prices
furnished by external pricing sources as reported on national securities
exchanges. Over-the-counter securities are stated at the last sale price, or if
there has been no sale that day, at the mean of the bid and asked prices. Fixed
income securities, with the exception of high yield securities, maturing in more
than sixty days for which market quotations are readily available are valued at
the mean of the last bid and asked price. High yield securities are priced at
bid by external pricing sources or brokers making a market in the security.
Short-term investments maturing in sixty days or less are valued at amortized
cost, which when combined with accrued interest, approximates market value.
Securities and fixed income investments for which market quotations are not
considered to be readily available are valued using methods approved by the
Board of Directors (Board).
The accounting records of the Portfolios are maintained in U.S. dollars.
Investment securities and other assets and liabilities denominated in foreign
currencies are translated into U.S. dollars at the prevailing rates of exchange
at the end of each day. 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. The Portfolios do not isolate
the portion of the results of operations resulting from changes in foreign
exchange rates on investments from the fluctuations arising from changes in
their market prices. Such fluctuations are included in net realized and
unrealized gain or loss on investments.
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 invest in
financial futures contracts as a hedge against their existing portfolio
securities, to manage the risk of changes in interest rates, equity prices,
currency exchange rates or in anticipation of future purchases and sales of
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 fluctuations
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 the Portfolios 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 Portfolios, where authorized, may use
forward foreign currency exchange contracts to hedge against foreign currency
exchange rate risks on their non-U.S. dollar denominated portfolio securities.
Contracts are recorded at market value and marked-to-market daily.
The risks associated with financial 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 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 financial futures and forward foreign
currency exchange contracts are reflected in the accompanying financial
statements. The amounts at risk under such futures and forward foreign currency
exchange contracts may exceed the amounts reflected in the financial statements.
The notional amounts (economic exposure) 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 reported to shareholders
as federal taxable income.
36
<PAGE>
--------------------------------------------------------------------------------
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 those which can only be sold
under Rule 144A of the Securities Act of 1933 (1933 Act) or are securities
offered pursuant to Section 4(2) of the 1933 Act, and are subject to legal or
contractual restrictions on resale and may not be publicly sold without
registration under the 1933 Act. 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. Each Portfolio may invest up to 15% of
its total assets in illiquid securities. The Portfolios will not pay the costs
of disposition of restricted securities other than ordinary brokerage fees, if
any.
D. FEDERAL INCOME TAXES
Each Portfolio has met the requirements to be taxed as a regulated investment
company for the year ended December 31, 1999, and intends to meet the
requirements for the current year. As such, each Portfolio is relieved of
federal income taxes by distributing all of its net taxable investment income
and capital gains, if any, in compliance with the applicable provisions of the
Internal Revenue Code (Code). Furthermore, by distributing substantially all of
its net taxable investment income and capital gains during the calendar year,
each Portfolio will avoid federal excise taxes in accordance with the applicable
provisions of the Code. Thus, the financial statements contain no provision for
federal income taxes.
E. DISTRIBUTIONS
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, certain
futures contracts, certain investments in foreign equity securities and
repurchases of certain securities sold at a loss. In addition, distributions of
realized gains from sales of securities held one year or less are taxable to
shareholders at ordinary income tax rates rather than preferred capital gain tax
rates in accordance with the applicable provisions of the Code.
F. LINE OF CREDIT
Certain portfolios of Aetna Variable Portfolios, Inc. (including the Portfolios,
except for Technology), Aetna Generation Portfolios, Inc., Aetna Balanced VP,
Inc., Aetna Variable Fund, Aetna Income Shares, certain series of Aetna GET Fund
and certain series of Aetna Series Fund, Inc., collectively Aetna Mutual Funds,
have entered into a revolving credit facility, of up to $300,000,000, with a
syndicate of banks led by Citibank, N.A. For its services as Agent, Citibank,
N.A. received an agent fee of $200,000. In addition, the revolving credit
facility requires the payment of an annual commitment fee of 0.09% based on the
average daily unused amount of the credit facility. Each of the Aetna Mutual
Funds will pay its pro rata share of both the agent fee and commitment fee.
Generally, borrowings under the facility accrue interest at the Federal Funds
Rate plus a specified margin. Repayments generally must be made within 30 days
after the date of a revolving credit advance. The revolving credit facility
became effective on November 30, 1999, and there was no outstanding balance as
of June 30, 2000.
G. OTHER
Investment transactions are accounted for on the day following trade date,
except same day settlements which are accounted for on the trade date. Interest
income is recorded on an accrual basis. Discounts and premiums on securities
purchased are accreted or amortized, respectively, using an effective yield
method over the life of the 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.
37
<PAGE>
CAPITAL APPRECIATION PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
3. INVESTMENT ADVISORY AND ADMINISTRATIVE SERVICES FEES
Each Portfolio pays Aeltus an investment advisory fee expressed as a percentage
of its average daily net assets. Below are the Portfolios' annual investment
advisory fees, as of June 30, 2000:
<TABLE>
<CAPTION>
ADVISORY FEE
------------
<S> <C>
Growth 0.60%
International 0.85%
Small Company 0.75%
Value Opportunity 0.60%
Technology 0.95%
</TABLE>
Aeltus has entered into a subadvisory agreement with EAM, effective May 1, 2000.
Subject to such policies as the Board or Aeltus may determine, EAM manages
Technology's assets in accordance with Technology's investment objective,
policies, and limitations. The subadvisory agreement provides that Aeltus will
pay EAM a subadvisory fee at an annual rate of 0.50% of Technology's average
daily net assets. For the period May 1, 2000 through June 30, 2000, Aeltus paid
EAM $7,202.
Each Portfolio pays Aeltus an administrative services fee in exchange for
receiving certain administrative and shareholder services and to compensate
Aeltus for supervising the Portfolios' other service providers. Each Portfolio
pays Aeltus an administrative services fee at an annual rate based on its
average daily net assets. The rate for each Portfolio is 0.075% on the first $5
billion in assets and 0.050% on assets over $5 billion.
Aeltus has entered into a Service Agreement with ALIAC under which ALIAC will
provide various administrative and shareholder services for each Portfolio, in
exchange for fees payable by Aeltus, of up to 0.425% of the Portfolios' average
daily net assets. For the period ended June 30, 2000 Aeltus paid ALIAC
$1,270,569.
4. REIMBURSEMENT AND WAIVER FROM INVESTMENT ADVISER
Aeltus is contractually obligated through December 31, 2000 to reimburse each
Portfolio for some or all of its operating expenses or to waive fees in order to
maintain a certain expense ratio. Reimbursement and waiver arrangements will
increase a Portfolio's total return. Actual expenses for the period ended June
30, 2000 were at or below contractual limits. Actual expense ratios are included
in the Financial Highlights.
5. PURCHASES AND SALES OF INVESTMENT SECURITIES
Purchases and sales of investment securities, excluding short-term investments,
for the period ended June 30, 2000 were:
<TABLE>
<CAPTION>
COST OF PURCHASES PROCEEDS FROM SALES
----------------- -------------------
<S> <C> <C>
Growth $389,132,864 $359,544,117
International 63,044,399 60,030,928
Small Company 409,039,945 354,601,654
Value Opportunity 69,934,419 65,493,733
Technology 14,887,412 1,183,152
</TABLE>
38
<PAGE>
--------------------------------------------------------------------------------
6. FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
As of June 30, 2000 International had the following open forward foreign
currency exchange contracts that obligate the Portfolio to deliver currencies at
specified future dates. The net unrealized gain of $5,244 on these contracts, is
included in the accompanying financial statements. The terms of the open
contracts are as follows:
<TABLE>
<CAPTION>
INTERNATIONAL
-------------
EXCHANGE CONTRACTS IN EXCHANGE CONTRACTS UNREALIZED
DATE TYPE CURRENCY TO RECEIVE/DELIVER FOR AT VALUE GAIN (LOSS)
---- ---- -------- ------------------ --- -------- -----------
<S> <C> <C> <C> <C> <C> <C>
7/17/00 Buy JPY 2,970,000 $ 27,788 $ 28,164 $ 376
7/17/00 Sell JPY 11,989,000 115,058 113,599 1,459
7/17/00 Sell JPY 2,970,000 28,503 28,164 339
8/31/00 Sell JPY 126,498,185 1,211,667 1,208,597 3,070
------
$5,244
======
</TABLE>
39
<PAGE>
CAPITAL APPRECIATION PORTFOLIOS
ADDITIONAL INFORMATION
JUNE 30, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
SUBSEQUENT EVENT
Aetna Inc. ("Aetna"), of which Aeltus Investment Management, Inc. ("Aeltus") is
an indirect wholly-owned subsidiary, has entered into an agreement to sell
certain of its businesses, including Aeltus, to ING Groep N.V. ("ING"), an
integrated financial services provider.
Consummation of the transaction is subject to a number of contingencies,
including regulatory and shareholder approvals and other closing conditions.
Under the Investment Company Act of 1940, the transaction would result in a
change in control of Aeltus and, therefore, constitute an assignment of the
Aetna variable funds' investment advisory agreements, which would result in a
termination of those agreements. Consequently, it is anticipated that Aeltus
will seek approval of new agreements from the Boards of the Aetna variable
funds, and the shareholders of each fund prior to consummation of the
transaction. The transaction is targeted to close by the end of 2000. Additional
information regarding the transaction and its impact upon the funds will be
provided to you in the near future.
40
<PAGE>
CAPITAL APPRECIATION PORTFOLIOS
FINANCIAL HIGHLIGHTS
GROWTH
--------------------------------------------------------------------------------
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
PERIOD FROM
SIX MONTH DECEMBER 13, 1996
PERIOD ENDED YEAR ENDED YEAR ENDED YEAR ENDED (COMMENCEMENT OF
JUNE 30, 2000 DECEMBER 31, DECEMBER 31, DECEMBER 31, OPERATIONS)
(UNAUDITED) 1999 1998 1997 TO DECEMBER 31, 1996
------------- ------------ ------------ ------------ --------------------
<S> <C> <C> <C> <C> <C>
Net asset value,
beginning of period ........... $ 17.32 $ 13.53 $ 9.85 $10.15 $10.00
-------- -------- -------- ------ ------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income ......... 0.02 0.03 0.03 0.04+ 0.01+
Net realized and change in
unrealized gain or loss on
investments ................. 1.53 4.62 3.68 3.27 0.15
-------- -------- -------- ------ ------
Total from investment
operations ................. 1.55 4.65 3.71 3.31 0.16
-------- -------- -------- ------ ------
LESS DISTRIBUTIONS:
From net investment
income ...................... (0.01) (0.02) (0.03) (0.03) (0.01)
From net realized
gains on investments ........ (0.31) (0.84) -- (3.58) --
-------- -------- -------- ------ ------
Total distributions ......... (0.32) (0.86) (0.03) (3.61) (0.01)
-------- -------- -------- ------ ------
Net asset value, end of period . $ 18.55 $ 17.32 $ 13.53 $ 9.85 $10.15
======== ======== ======== ====== ======
Total return* .................. 8.96% 34.97% 37.68% 33.01% 1.57%
Net assets, end of period (000's) $458,675 $369,845 $142,363 $5,964 $5,175
Ratio of net investment expenses
to average net assets ......... 0.69%(1) 0.71% 0.75% 0.75% 0.67%(1)
Ratio of net investment income to
average net assets ............ 0.18%(1) 0.20% 0.40% 0.29% 1.99%(1)
Portfolio turnover rate ........ 95.75% 138.03% 152.99% 207.41% 1.97%
</TABLE>
(1) Annualized.
* The total return percentage does not reflect any separate account charges
under variable annuity contracts and life policies.
+ Per share data calculated using weighted average number of shares
outstanding throughout the period.
See Notes to Financial Statements. 41
<PAGE>
CAPITAL APPRECIATION PORTFOLIOS
FINANCIAL HIGHLIGHTS (CONTINUED)
INTERNATIONAL
--------------------------------------------------------------------------------
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
PERIOD FROM
SIX MONTH DECEMBER 22, 1997
PERIOD ENDED YEAR ENDED YEAR ENDED (COMMENCEMENT OF
JUNE 30, 2000 DECEMBER 31, DECEMBER 31, OPERATIONS)
(UNAUDITED) 1999 1998 TO DECEMBER 31, 1997
------------- ------------ ------------ --------------------
<S> <C> <C> <C> <C>
Net asset value,
beginning of period ........... $ 15.92 $ 11.59 $ 10.27 $ 10.00
------- ------- ------- -------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income ......... 0.02 (0.01) 0.07 --
Net realized and change in
unrealized gain or loss on
investments .................. 0.24 5.78 1.87 0.27
------- ------- ------- -------
Total from investment
operations ................. 0.26 5.77 1.94 0.27
------- ------- ------- -------
LESS DISTRIBUTIONS:
From net investment income .... -- (0.15) (0.01) --
From net realized
gains on investments ........ (0.56) (1.29) (0.61) --
------- ------- ------- -------
Total distributions ......... (0.56) (1.44) (0.62) --
------- ------- ------- -------
Net asset value, end of period . $ 15.62 $ 15.92 $ 11.59 $ 10.27
======= ======= ======= =======
Total return* .................. 1.51% 51.33% 18.92% 2.74%
Net assets, end of
period (000's) ................ $46,487 $43,548 $16,242 $15,412
Ratio of net investment expenses
to average net assets ......... 1.15%(1) 1.15% 1.15% 1.15%(1)
Ratio of net investment income
to average net assets ......... 0.21%(1) 0.13% 0.55% (0.98)%(1)
Ratio of expenses before
reimbursement and waiver to
average net assets ............ 1.36%(1) 1.62% 1.77% --
Portfolio turnover rate ........ 109.20% 168.88% 158.02% 0.71%
</TABLE>
(1) Annualized.
* The total return percentage does not reflect any separate account charges
under variable annuity contracts and life policies.
42 See Notes to Financial Statements.
<PAGE>
SMALL COMPANY
--------------------------------------------------------------------------------
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
PERIOD FROM
SIX MONTH DECEMBER 27, 1996
PERIOD ENDED YEAR ENDED YEAR ENDED YEAR ENDED (COMMENCEMENT OF
JUNE 30, 2000 DECEMBER 31, DECEMBER 31, DECEMBER 31, OPERATIONS)
(UNAUDITED) 1999 1998 1997 TO DECEMBER 31, 1996
------------- ------------ ------------ ------------ --------------------
<S> <C> <C> <C> <C> <C>
Net asset value,
beginning of period .............. $ 16.52 $ 12.79 $ 12.77 $ 10.11 $10.00
-------- -------- ------- ------- ------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income ............ 0.04 0.08 0.07 0.04+ 0.01+
Net realized and change in
unrealized gain or loss on
investments ..................... 2.96 3.84 0.07 3.44 0.11
-------- -------- ------- ------- ------
Total from investment
operations .................... 3.00 3.92 0.14 3.48 0.12
-------- -------- ------- ------- ------
LESS DISTRIBUTIONS:
From net investment income ....... (0.02) (0.06) (0.08) (0.03) (0.01)
From net realized
gains on investments ............ (1.05) (0.13) (0.04) (0.79) --
-------- -------- ------- ------- ------
Total distributions ............ (1.07) (0.19) (0.12) (0.82) (0.01)
-------- -------- ------- ------- ------
Net asset value, end of period .... $ 18.45 $ 16.52 $ 12.79 $ 12.77 $10.11
======== ======== ======= ======= ======
Total return* ..................... 18.26% 30.85% 1.10% 34.49% 1.23%
Net assets, end of
period (000's) ................... $261,508 $149,416 $99,823 $18,102 $5,158
Ratio of net investment expenses
to average net assets ............ 0.87%(1) 0.88% 0.89% 0.90% 0.55%(1)
Ratio of net investment income to
average net assets ............... 0.56%(1) 0.64% 0.93% 0.78% 5.96%(1)
Portfolio turnover rate ........... 182.77% 256.09% 185.29% 180.25% --
</TABLE>
(1) Annualized.
* The total return percentage does not reflect any separate account charges
under variable annuity contracts and life policies.
+ Per share data calculated using weighted average number of shares
outstanding throughout the period.
See Notes to Financial Statements. 43
<PAGE>
CAPITAL APPRECIATION PORTFOLIOS
FINANCIAL HIGHLIGHTS (CONTINUED)
VALUE OPPORTUNITY
--------------------------------------------------------------------------------
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
PERIOD FROM
SIX MONTH DECEMBER 13, 1996
PERIOD ENDED YEAR ENDED YEAR ENDED YEAR ENDED (COMMENCEMENT OF
JUNE 30, 2000 DECEMBER 31, DECEMBER 31, DECEMBER 31, OPERATIONS)
(UNAUDITED) 1999 1998 1997 TO DECEMBER 31, 1996
------------- ------------ ------------ ------------ --------------------
<S> <C> <C> <C> <C> <C>
Net asset value,
beginning of period ............... $ 16.42 $ 14.41 $ 11.92 $10.20 $10.00
------- ------- ------- ------ ------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income ............. 0.04 0.10 0.09 0.11+ 0.02+
Net realized and change in
unrealized gain or loss on
investments ...................... 0.76 2.71 2.56 3.90 0.20
------- ------- ------- ------ ------
Total from investment
operations ..................... 0.80 2.81 2.65 4.01 0.22
------- ------- ------- ------ ------
LESS DISTRIBUTIONS:
From net investment income ........ (0.03) (0.08) (0.08) (0.10) (0.02)
From net realized
gains on investments .............. (2.61) (0.72) (0.08) (2.19) --
------- ------- ------- ------ ------
Total distributions ............. (2.64) (0.80) (0.16) (2.29) (0.02)
------- ------- ------- ------ ------
Net asset value, end of period ..... $ 14.58 $ 16.42 $ 14.41 $11.92 $10.20
======= ======= ======= ====== ======
Total return* ...................... 4.74% 19.58% 22.39% 39.36% 2.15%
Net assets, end of period (000's) .. $90,841 $85,030 $76,109 $9,147 $5,202
Ratio of net investment expenses
to average net assets ............. 0.78%(1) 0.73% 0.74% 0.75% 0.67%(1)
Ratio of net investment income to
average net assets ................ 0.62%(1) 0.69% 0.93% 1.06% 2.73%(1)
Portfolio turnover rate ............ 83.44% 124.80% 125.72% 187.84% --
</TABLE>
(1) Annualized.
* The total return percentage does not reflect any separate account charges
under variable annuity contracts and life policies.
+ Per share data calculated using weighted average number of shares
outstanding throughout the period.
44 See Notes to Financial Statements.
<PAGE>
TECHNOLOGY
--------------------------------------------------------------------------------
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
PERIOD FROM
MAY 1, 2000
(COMMENCEMENT OF
OPERATIONS)
TO JUNE 30, 2000
(UNAUDITED)
----------------
<S> <C>
Net asset value, beginning of period ...................... $ 10.00
-------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income .................................... (0.01)
Net realized and change in unrealized gain or loss on
investments............................................... (0.03)
-------
Total from investment operations ....................... (0.04)
-------
Net asset value, end of period ............................ $ 9.96
=======
Total return* ............................................. (0.40)%
Net assets, end of period (000's) ......................... $16,179
Ratio of net investment expenses to average net assets .... 1.15%(1)
Ratio of net investment income to average net assets ...... (0.56)%(1)
Ratio of expenses before reimbursement and waiver to
average net assets ....................................... 2.07%(1)
Portfolio turnover rate ................................... 11.62%
</TABLE>
(1) Annualized.
* The total return percentage does not reflect any separate account charges
under variable annuity contracts and life policies.
See Notes to Financial Statements. 45
<PAGE>
Aetna Balanced VP, Inc.
Growth of $10,000
[The following was depicted as a line graph in the printed material.]
<TABLE>
<CAPTION>
Balanced Fund VP, Inc. Dec-89 Dec-90 Dec-91 Dec-92 Dec-93 Dec-94 Dec-95
<S> <C> <C> <C> <C> <C> <C> <C>
Aetna Balanced Fund VP, Inc. 10,000 10,572 12,515 13,315 14,633 14,582 18,552
Lehman Brothers Aggregate Bond Index 10,000 10,896 12,639 13,575 14,898 14,463 17,135
S&P 500 Index 10,000 9,689 12,641 13,605 14,976 15,174 20,876
60% S&P 500/40% Lehman Brothers 10,000 10,181 12,703 13,667 15,032 14,983 19,427
<CAPTION>
Balanced Fund VP, Inc. Dec-96 Dec-97 Dec-98 Dec-99 Jun-00
<S> <C> <C> <C> <C> <C>
Aetna Balanced Fund VP, Inc. 21,367 26,172 30,606 34,772 36,013
Lehman Brothers Aggregate Bond Index 17,757 19,471 21,161 20,986 21,823
S&P 500 Index 25,667 34,230 44,011 53,269 53,039
60% S&P 500/40% Lehman Brothers 22,335 27,650 33,631 37,664 38,210
</TABLE>
<TABLE>
<CAPTION>
---------------------------------------
Average Annual Total Returns
for the period ended June 30, 2000*
---------------------------------------
1 Year 5 Years 10 Years
---------------------------------------
<S> <C> <C>
10.48% 16.70% 13.15%
---------------------------------------
</TABLE>
*Total Return is calculated including reinvestment of income and capital gain
distributions. Performance does not take into account any separate account
charges imposed by Aetna. Past performance is no guarantee of future results.
Investment return and principal of an investment will fluctuate so that an
investor's shares, when redeemed, may be worth more or less than the original
cost.
AETNA BALANCED VP, INC.
HOW DID THE PORTFOLIO PERFORM DURING THE PERIOD?
Aetna Balanced VP, Inc. (Balanced) generated a 3.57% total return, net of fund
expenses, for the six month period ended June 30, 2000. For the same period the
benchmark, Standard & Poor's (S&P) 500 Index(a) returned -0.42%, while the
composite index, 60% S&P 500 Index/40% Lehman Brothers Aggregate Bond Index(b),
returned 1.45%.
WHAT ECONOMIC OR FINANCIAL MARKET CONDITIONS IMPACTED THE PORTFOLIO?
Equity: For the first half of 2000, equity market performance has been negative
to modestly positive: the S&P 500 Index was down 0.42%, the NASDAQ Composite
Index(d) was down 2.54% and the Russell 1000 Growth Index(e) was up 4.23%.
The industries that delivered solid returns in the first half, as in recent
periods, were semiconductors and networking infrastructure. Biotech soared,
slumped, and soared again while pharmaceuticals, an old-growth sector, roared
back from a rut in February to add both return and diversification to growth
portfolios.
At the halfway point in 2000, market actions tell us that something has changed.
The U.S. equity market has lost forward momentum, remains narrowly based, and
has set new standards for daily and intra-day volatility. Meanwhile, global
economic growth has rebounded, but it is no longer possible to be complacent on
the issue of inflation. Central banks are moving their monetary policies toward
neutrality or even restraint. Business conditions remain exceptionally vigorous
despite some deceleration from the recent white-hot pace of the U.S. private
sector. Earnings growth has been robust and the immediate outlook is for more of
the same.
46 See Definition of Terms.
<PAGE>
At the beginning of the year, it appeared that two opposing factors would set
the story line for this year's market results. One was the undeterred spirit of
"dip-buying"; the record shows that getting into the market on sell-offs has
been a profitable tactic of late. The other factor was the Federal Reserve Bank
(Fed) shift toward a less accommodating monetary policy. By raising interest
rates in order to restrain the economy, the Fed put increased pressure on what
has been a richly valued market. It still looks as if the clash of these two
factors will determine the year's final numbers.
Fixed Income: During the first quarter, Treasury bonds rallied as a reduced
supply more than offset the impact of strong growth and the Fed's interest rate
increases. This reversed in the second quarter, as worries around inflation and
the eventual magnitude of Fed tightening required to slow the economy and
control inflation took center stage.
On the heels of 7.3% growth in Gross Domestic Product for the fourth quarter,
the first quarter remained strong at 5.5%. Combined with rising inflation, this
led the Fed to increase interest rates 100 basis points (1.00%) over the first
half of 2000.
As we entered May and into June, economic statistics began showing evidence of a
slowdown. Inflation indicators were tame for both April and May, and other
economic reports showed decelerating growth and less pricing pressure. Combined
with a soft employment report in May, these indicators led the Treasury market
to revert back to the bullish action of the first quarter.
For the first six months, ten-year Treasuries declined in yield by 41 basis
points. The yield curve inverted as Fed tightening caused the two-year Treasury
to increase by 12 basis points, while the thirty-year Treasury declined in yield
by 58 basis points. (One basis point equals one hundredth of a percent, or
0.01%. An inverted yield curve occurs when short-term interest rates are higher
than long-term interest rates.)
With Fed rate increases, spread products underperformed Treasuries by a wide
margin in the first quarter while recovering somewhat in the second quarter as
evidence of a slowdown came into focus. Over the six months, corporate bonds
(-265 basis points) were the weakest performers, while mortgage-backed
securities (-51 basis points), agencies (-113 basis points), asset backed
securities (-26 basis points), and collateral mortgage-backed securities (-121
basis points) all showed negative returns as compared to Treasury bonds of equal
durations.
WHAT INVESTMENTS INFLUENCED THE PORTFOLIO'S PERFORMANCE OVER THE PAST SIX
MONTHS?
Large Cap Stocks: The model used to manage this portion of the Portfolio
provided good discrimination between stocks with high relative returns and those
with low relative returns. Those factors relating to price momentum and analyst
earnings estimates were particularly effective. This was partially offset by
poor discrimination in the price-to-earnings factor used in the model.
Outperformance during the first half came from over-weighting technology
holdings and under-weighting communication services stocks. Offsetting this
somewhat was our poor performance within the consumer cyclical sector.
Mid and Small Cap Stocks: Healthcare (principally biotechnology) and technology
were the two largest contributors to performance. Within technology, the
Portfolio benefited from strong stock selection as our exposure to technology
stocks was slightly below market weight. Other sectors which contributed to
performance were manufacturing and energy.
Sectors which hindered performance were consumer discretionary and finance, as
rising interest rates negatively impacted these sectors.
We increased our weighting in basic materials, finance, and energy. We funded
these purchases by reducing our exposure in the biotechnology and technology
sectors. Entering the third quarter, we are overweight in energy and healthcare.
Fixed Income: Performance of this portion of the Portfolio was positively
impacted by underweight positions in corporate bonds, mortgage-backed
securities, and agencies early in the year.
See Definition of Terms. 47
<PAGE>
We took on an overweight position in spread sectors later in the first quarter.
Continued poor performance of spread products had an adverse impact on Portfolio
performance for much of the remainder of the period.
Overall duration was mixed. A short duration posture through much of the first
quarter was detrimental; we underestimated the impact of reduced Treasury
supply, and Treasuries rallied in the face of Fed tightening. However, we
maintained a short duration posture through much of the April sell-off, and were
neutral to modestly long during the rally in mid-May, leading to gains. Our
short duration posture during June showed modest negative results as Treasuries
rallied early then vacillated.
WHAT IS YOUR OUTLOOK GOING FORWARD?
Equity: The picture is mixed as the market heads into the second half of the
year. Robust earnings growth, low inflation, and a friendly Fed have been key
contributors to the record returns generated by the bull market of the late
1990s. Although the earnings outlook remains favorable, recent economic data has
shown some level of weakness. Our outlook is a balance between market risks
related to slower growth and market positives such as the resolution of the
Presidential race and the approaching end of the Fed's interest rate increases.
In this less certain environment, we will continue to focus on stocks with
strong and improving business fundamentals.
Fixed Income: While recent economic data has shown signs of weakening, and the
Fed chose not to raise interest rates at their June meeting, we do not believe
we have seen the end of interest rate increases. Growth rates continue to
increase, being driven by the wealth effect. We do not believe inflation fears
have been put to rest by a couple of good numbers. We contend that higher
interest rates are needed to slow the economy and relieve labor market
pressures, and we will bias our duration to the shorter side in anticipation of
the higher rates.
With the narrowing of spreads in June having been driven by the market
expectation that the Fed is on hold, we expect to move toward an underweight
position in spread products. This is based on our belief that the market is
underestimating the extent of Fed tightening needed to slow the economy. We
expect to implement this underweight mainly in credit-sensitive sectors
(corporate bonds and, to a lesser extent, government agencies). We believe that
the credit cycle has peaked, and we could see some strain on credit as the
imbalances in the economy unwind. Within the higher risk sectors (such as BBB
corporates) we expect to remain defensive, with only modest exposure.
DOMESTIC EQUITY PORTFOLIO BREAKDOWN:
<TABLE>
<CAPTION>
--------------------------------------------------------------------------------
% OF EQUITY % OF OVER/(UNDER)
SECTOR INVESTMENTS S&P 500 WEIGHTING
--------------------------------------------------------------------------------
<S> <C> <C> <C>
Basic Materials 2.5% 2.0% 0.5%
Capital Goods 8.9% 7.8% 1.1%
Communication Services 4.2% 6.9% (2.7)%
Consumer Cyclicals 8.3% 7.4% 0.9%
Consumer Staples 6.6% 10.0% (3.4)%
Energy 5.6% 5.4% 0.2%
Financials 12.9% 12.9% --
Health Care 13.5% 11.5% 2.0%
Technology 34.6% 33.0% 1.6%
Transportation 0.7% 0.6% 0.1%
Utilities 2.2% 2.5% (0.3)%
</TABLE>
48 See Definition of Terms.
<PAGE>
<TABLE>
<CAPTION>
------------------------------------------
% OF NET
TOP TEN EQUITY HOLDINGS ASSETS
------------------------------------------
<S> <C>
General Electric Co. 2.5%
Intel Corp. 2.4%
Cisco Systems, Inc. 2.1%
Pfizer, Inc. 1.6%
Microsoft Corp. 1.6%
Oracle Corp. 1.3%
Exxon Mobil Corp. 1.3%
Wal-Mart Stores, Inc. 1.2%
Citigroup, Inc. 1.1%
Nortel Networks Corp. 1.0%
</TABLE>
<TABLE>
<CAPTION>
-----------------------------------------------------------------------
% OF NET
TOP FIVE INCOME HOLDINGS ASSETS
-----------------------------------------------------------------------
<S> <C>
U.S. Treasury Note, 5.50%, 07/31/01 2.1%
Federal National Mortgage Association, 8.00%, 07/15/30 1.7%
Government National Mortgage Association, 7.50%,12/15/23 1.6%
Peco Energy Co., 7.45%, 07/05/00 1.6%
Houston Industries Finance, 7.15%, 07/13/00 1.6%
</TABLE>
The opinions expressed reflect those of the portfolio manager only through June
30, 2000. The manager's opinions are subject to change at any time based on
market and other conditions. The composition, industries and holdings of the
Portfolio are subject to change.
See Definition of Terms. 49
<PAGE>
Aetna Growth and Income VP
Growth of $10,000
[The following was depicted as a line graph in the printed material.]
<TABLE>
<CAPTION>
Growth and Income VP Dec-89 Dec-90 Dec-91 Dec-92 Dec-93 Dec-94 Dec-95
<S> <C> <C> <C> <C> <C> <C> <C>
Aetna Growth and Income VP 10,000 10,331 13,059 13,934 14,874 14,731 19,481
S&P 500 Index 10,000 9,689 12,641 13,605 14,976 15,174 20,876
<CAPTION>
Growth and Income VP Dec-96 Dec-97 Dec-98 Dec-99 Jun-00
<S> <C> <C> <C> <C> <C>
Aetna Growth and Income VP 24,247 31,494 36,057 42,334 41,698
S&P 500 Index 25,667 34,230 44,011 53,269 53,039
</TABLE>
<TABLE>
<CAPTION>
---------------------------------------
Average Annual Total Returns
for the period ended June 30, 2000*
---------------------------------------
1 Year 5 Years 10 Years
---------------------------------------
<S> <C> <C>
5.17% 19.59% 14.72%
---------------------------------------
</TABLE>
*Total Return is calculated including reinvestment of income and capital gain
distributions. Performance does not take into account any separate account
charges imposed by Aetna. Past performance is no guarantee of future results.
Investment return and principal of an investment will fluctuate so that an
investor's shares, when redeemed, may be worth more or less than the original
cost.
AETNA GROWTH AND INCOME VP
HOW DID THE PORTFOLIO PERFORM DURING THE PERIOD?
Aetna Growth and Income VP (Growth and Income) generated a -1.51% total return,
net of fund expenses, for the six month period ended June 30, 2000. The
benchmark, Standard & Poor's (S&P) 500 Index(a), returned -0.42% for the same
period.
WHAT ECONOMIC OR FINANCIAL MARKET CONDITIONS IMPACTED THE PORTFOLIO?
For the first half of 2000, equity market performance has been negative to
modestly positive: the S&P 500 Index was down 0.42%, NASDAQ Composite Index(d)
was down 2.54% and the Russell 1000 Growth Index(e) was up 4.23%. Performance of
the Portfolio's diversifying asset classes fared somewhat better, with the
Russell Mid-Cap Index(f) up 5.12% and the Russell 2000 Index(g) up 3.04%.
Overseas investments saw negative performance, with the Morgan Stanley Capital
International-Europe, Australia and Far East Index(h) down 3.95%.
At the halfway point in 2000, market action tells us that something has changed.
The U.S. equity market has lost forward momentum, remains narrowly based, and
has set new standards for daily and intra-day volatility. Meanwhile, global
economic growth has rebounded, but it is no longer possible to be complacent on
the issue of inflation. Central banks are moving their monetary policy stances
toward neutrality or even restraint. Business conditions remain exceptionally
vigorous despite some deceleration from the recent white-hot pace of the U.S.
private sector. Earnings growth has been robust and the immediate outlook is for
more of the same.
50 See Definition of Terms.
<PAGE>
<TABLE>
<CAPTION>
---------------------------------------------------------------------
ASSET ALLOCATION: ECONOMIC EXPOSURE*
ASSET CLASS 06/30/00 12/31/99
---------------------------------------------------------------------
<S> <C> <C>
Large Cap Stocks 80.9% 84.2%
Mid Cap Stocks 10.4% 2.2%
Small Cap Stocks 2.8% 1.5%
International Stocks 3.2% 5.7%
International Bonds -- 0.1%
Real Estate Stocks 0.3% 1.5%
Convertible Securities -- 0.4%
Special Situations** -- 1.6%
Cash Equivalents 2.4% 2.8%
-----------------------
100.0% 100.0%
=======================
</TABLE>
* Economic exposure reflects the Fund's exposure to both changes in the 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 current assets, earnings and dividends.
WHAT INVESTMENTS INFLUENCED THE PORTFOLIO'S PERFORMANCE OVER THE PAST SIX
MONTHS?
Disappointing performance in the energy and utilities sectors caused the
Portfolio to underperform its benchmark. Although rising oil prices boosted the
returns of many stocks in the energy sector, poor stock selection within this
group caused it to be the Portfolio's weakest sector. Our selection was a
combination of underweighting some top stocks (such as Royal Dutch,
Schlumberger, and Halliburton) and over-weighting other stocks that performed
less well (such as Exxon Mobil).
In the utilities sector, the Portfolio benefited from holding Calpine, which had
a total return of over 105% for the period. Unfortunately, this positive
performance was not enough to offset the negative impact of underweight
positions in Williams Companies and Enron, which were also up substantially for
the period.
Rising interest rates contributed to poor performance in consumer cyclical
stocks, especially building material retailers like Home Depot and Lowe's, both
of which we were overweight in the Portfolio.
The Portfolio's top performing sector this year has been technology, with the
largest contribution coming from SDL Inc. (up almost 162%). This stellar
performance was largely due to rumors of a takeover from either JDS Uniphase or
Corning. (These rumors were confirmed on July 10 when JDS Uniphase announced
their intention to acquire SDL.) Other strong technology performers included
Network Solutions and Bea Systems. Most technology gains came from mid cap and
small cap stocks, and allocations to these diversifying asset classes had an
overall positive impact on performance.
WHAT IS YOUR OUTLOOK GOING FORWARD?
The picture is mixed as the 2000 market heads into its second half. Robust
earnings growth, low inflation, and a friendly Federal Reserve (Fed) have been
key contributors to the record returns generated by the bull market of the late
1990s. Although the earnings outlook remains favorable, recent economic data has
shown some level of weakness. Our outlook is one of balance between market risks
related to slower growth, and market positives such as the resolution of the
Presidential race and the approaching end of the Fed's interest rate increases.
In this less certain environment, we will continue to focus on stocks with
strong and improving business fundamentals.
See Definition of Terms. 51
<PAGE>
DOMESTIC EQUITY PORTFOLIO BREAKDOWN:
<TABLE>
<CAPTION>
--------------------------------------------------------------------------------
% OF EQUITY % OF OVER/(UNDER)
SECTOR INVESTMENTS S&P 500 WEIGHTING
--------------------------------------------------------------------------------
<S> <C> <C> <C>
Basic Materials 1.4% 2.0% (0.6)%
Capital Goods 7.9% 7.8% 0.1%
Communication Services 6.8% 6.9% (0.1)%
Consumer Cyclicals 6.0% 7.4% (1.4)%
Consumer Staples 8.5% 10.0% (1.5)%
Energy 5.9% 5.4% 0.5%
Financials 12.7% 12.9% (0.2)%
Health Care 14.2% 11.5% 2.7%
Technology 33.4% 33.0% 0.4%
Transportation 0.4% 0.6% (0.2)%
Utilities 2.8% 2.5% 0.3%
</TABLE>
<TABLE>
<CAPTION>
-------------------------------------------
% OF NET
TOP TEN EQUITY HOLDINGS ASSETS
-------------------------------------------
<S> <C>
General Electric Co. 4.2%
Intel Corp. 3.8%
Cisco Systems, Inc. 3.8%
Pfizer, Inc. 3.5%
Microsoft Corp. 2.4%
Citigroup Inc. 2.4%
Exxon Mobil Corp. 2.2%
Merck & Co., Inc. 1.7%
Johnson & Johnson 1.7%
Oracle Corp. 1.7%
</TABLE>
The opinions expressed reflect those of the portfolio manager only through June
30, 2000. The manager's opinions are subject to change at any time based on
market and other conditions. The composition, industries and holdings of the
Portfolio are subject to change.
52 See Definition of Terms.
<PAGE>
Aetna Real Estate Securities VP
Growth of $10,000
[The following was depicted as a line graph in the printed material.]
<TABLE>
<CAPTION>
Real Estate VP 12/15/97 12/31/97 12/31/98 12/31/99 6/30/00
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Aetna Real Estate VP 10,000 10,363 10,343 9,960 9,217 9,031 8,513 9,585 8,876 8,651 8,842 9,722
NAREIT Equity REIT Index 10,000 10,236 10,188 9,720 8,698 8,444 8,037 8,848 8,136 8,054 8,247 9,117
</TABLE>
<TABLE>
<CAPTION>
---------------------------------------
Average Annual Total Returns
for the period ended June 30, 2000*
---------------------------------------
Inception Date 1 Year Inception
---------------------------------------
<S> <C> <C>
12/15/97 1.43% -1.11%
---------------------------------------
</TABLE>
*Total Return is calculated including reinvestment of income and capital gain
distributions. Performance does not take into account any separate account
charges imposed by Aetna. Past performance is no guarantee of future results.
Investment return and principal of an investment will fluctuate so that an
investor's shares, when redeemed, may be worth more or less than the original
cost.
AETNA REAL ESTATE SECURITIES VP
HOW DID THE PORTFOLIO PERFORM DURING THE PERIOD?
Aetna Real Estate Securities VP (Real Estate) generated a 12.38% total return,
net of fund expenses, for the six month period ended June 30, 2000. The
benchmark, NAREIT Equity REIT Index(c), returned 13.19% for the same period.
WHAT ECONOMIC OR FINANCIAL MARKET CONDITIONS IMPACTED THE PORTFOLIO?
March witnessed a broadening of the U.S. equity markets as money poured out of
the momentum-driven tech and biotech stocks and into some of the more
traditional "old economy" stocks. Real Estate Investment Trusts (REITs) enjoyed
increased attention as investors began shifting their focus back to fundamental
characteristics and earnings quality as the basis for choosing attractive
stocks. For the six months ending June 30, 2000, the NAREIT Equity REIT Index
returned 13.19%, 1000 or more basis points over the Standard & Poor's 500
Index(a), Russell 2000 Index(g) and NASDAQ Composite Index(d). (One basis point
equals one hundredth of a percent, or 0.01%.)
There are a number of reasons why investors are regaining confidence in REITs:
Valuations continue to remain attractive. Strong real estate fundamentals and
cash flows have driven the net asset values of REITs higher. Even with the
recent surge in the group's performance, few REITs trade at a premium to their
underlying net asset values, with many still trading at a discount.
See Definition of Terms. 53
<PAGE>
Expected total returns in 2000 for REITs are 15% on average. The average REIT
dividend yield is currently 7-8%. Earnings growth has stabilized and is expected
to be 7-8% for 2000.
REIT managers are proving that they can add shareholder value and generate
internal growth. With less access to the capital markets, REIT managers have
been re-deploying assets and cash to strengthen their property portfolios. The
free cash flow generated from these better-performing properties has also been
used to keep leverage levels down and buy back stock.
Continued interest rate increases in 2000 remain a potential risk to earnings.
Since REITs typically finance themselves with short-term and long-term debt,
interest rate increases can have a negative impact on earnings since it raises
the cost of capital.
WHAT INVESTMENTS INFLUENCED THE PORTFOLIO'S PERFORMANCE OVER THE PAST SIX
MONTHS?
The Portfolio's performance was helped during the period by a shift to an
overweight position in the office sector, in order to take advantage of this
group's strong fundamentals going forward. Good stock selection in the hotel and
retail sectors also helped performance. Starwood Hotels & Resorts (up 40%
year-to-date) increased over 10% in June as the press speculated that the
company was entering merger talks with Bass, Plc.
We reduced the Portfolio's exposure to the multi-family sector, which had a
negative impact on performance as this sector continued its strong performance.
We continue to be underweight the retail REITs as concerns over a slowdown in
consumer spending plague department stores and specialty retailers. We also
continue to be underweight in both healthcare and hotel REITs.
WHAT IS YOUR OUTLOOK GOING FORWARD?
We expect the current volatility in the U.S. equity markets to continue in the
near term. Notwithstanding, we believe REITs will hold their own in this
environment. We expect REIT valuations to increase, though remain significantly
below the peak levels reached by the group in October, 1997.
The Portfolio invests in real estate investment securities that involve certain
risks including management skills, changes in general or regional economy,
changes in property value and refinancing.
<TABLE>
<CAPTION>
----------------------------------------------------
% OF NET
TOP TEN EQUITY HOLDINGS ASSETS
----------------------------------------------------
<S> <C>
Boston Properties, Inc. 5.3%
Equity Office Properties Trust 5.0%
Equity Residential Properties Trust 4.5%
ProLogis Trust 4.2%
Spieker Properties, Inc. 3.9%
Simon Property Group, Inc. 3.6%
Apartment Investment & Management Co. 3.2%
Vornado Realty Trust 3.0%
Liberty Property Trust 2.8%
SL Green Realty Corp. 2.6%
</TABLE>
The opinions expressed reflect those of the portfolio manager only through June
30, 2000. The manager's opinions are subject to change at any time based on
market and other conditions. The composition, industries and holdings of the
Portfolio are subject to change.
54 See Definition of Terms.
<PAGE>
--------------------------------------------------------------------------------
DEFINITION OF TERMS
--------------------------------------------------------------------------------
(a) The S&P 500 is the Standard & Poor's 500 Index. Performance is calculated on
a total return basis and dividends are reinvested, as reported by Frank
Russell Company.
(b) The Lehman Brothers Aggregate Bond Index is an unmanaged index and is
composed of securities from Lehman Brothers Government/Corporate Bond Index,
Mortgage-Backed Securities Index and the Asset-Backed Securities Index.
(c) The NAREIT Equity REIT Index is a market weighted total return of all
tax-qualified REITs listed on the New York Stock Exchange, American Stock
Exchange and the NASDAQ National Market System as reported by Frank Russell
Company.
(d) NASDAQ Composite Index is an unmanaged index of the National Market System
which includes over 5,000 stocks traded only over-the-counter and not on an
exchange.
(e) The Russell 1000 Growth Index consists of the largest 1,000 companies in the
Russell 3000 Index. This index represents the universe of large
capitalization stocks from which most active money managers typically
select.
(f) The Russell Mid-Cap Index is a market capitalization-weighted index of
medium-capitalization value-orientated stocks of U.S. corporations.
(g) The Russell 2000 Index consists of the smallest 2,000 of the 3,000 largest
companies, based on market capitalization.
(h) The MSCI EAFE Index (Morgan Stanley Capital International-Europe, Australia
and Far East) 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. Performance is calculated on a total return
basis, as reported by Frank Russell Company.
The unmanaged indices described above are not available for individual
investment.
55
<PAGE>
GROWTH & INCOME PORTFOLIOS
PORTFOLIO OF INVESTMENTS - JUNE 30, 2000 (UNAUDITED)
BALANCED
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
--------- ---------------
<S> <C> <C>
COMMON STOCKS (59.8%)
AEROSPACE/DEFENSE (0.3%)
Alliant Techsystems, Inc. + ........ 21,100 $ 1,422,931
Boeing Co. ......................... 62,700 2,621,644
General Dynamics Corp. ............. 13,200 689,700
Northrop Grumman Corp. ............. 5,300 351,125
---------------
5,085,400
---------------
AGRICULTURE (0.4%)
Archer-Daniels-Midland Co. ......... 47,920 470,215
Delta & Pine Land Co. .............. 117,100 2,934,819
Veterinary Centers of America,
Inc. + ............................ 230,500 3,169,375
---------------
6,574,409
---------------
AIR FREIGHT (0.1%)
FedEx Corporation + ................ 21,740 826,120
---------------
AIRLINES (0.2%)
America West Holdings Corp. + ...... 208,800 3,575,700
AMR Corp. + ........................ 5,300 140,119
Delta Air Lines, Inc. .............. 4,500 227,531
Southwest Airlines Co. ............. 35,137 665,407
---------------
4,608,757
---------------
ALUMINUM (0.1%)
Alcan Aluminum Ltd. ................ 16,700 517,700
Alcoa Inc. ......................... 68,912 1,998,448
---------------
2,516,148
---------------
AUTO PARTS & EQUIPMENT (0.1%)
Cooper Tire & Rubber Co. ........... 8,200 91,225
Dana Corp. ......................... 20,882 442,437
Delphi Automotive Systems Corp. .... 58,500 851,906
Genuine Parts Co. .................. 18,700 374,000
Snap-On, Inc. ...................... 8,500 226,313
TRW, Inc. .......................... 8,900 386,038
Visteon Corp. ...................... 10,737 130,180
---------------
2,502,099
---------------
AUTOMOBILES (0.4%)
Ford Motor Co. ..................... 82,000 3,526,000
General Motors Corp. + ............. 67,400 3,913,412
---------------
7,439,412
---------------
BANKS (MAJOR REGIONAL) (1.1%)
Bank of New York Co., Inc. ......... 54,200 2,520,300
BB&T Corp. ......................... 27,600 658,950
Comerica, Inc. ..................... 5,700 255,788
Fifth Third Bancorp ................ 21,400 1,353,550
Firstar Corp. ...................... 34,864 734,323
Fleet Boston Financial Corp. ....... 96,700 3,287,800
Huntington Bancshares Inc. ......... 22,627 357,789
Mellon Financial Corp. ............. 36,700 1,337,256
Northern Trust Corp. ............... 16,700 1,086,544
Old Kent Financial Corp. ........... 4,935 132,011
PNC Bank Corp. ..................... 24,800 1,162,500
SouthTrust Corp. ................... 5,900 133,488
State Street Corp. ................. 11,800 1,251,537
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
--------- ---------------
<S> <C> <C>
BANKS (MAJOR REGIONAL) (CONTINUED)
Summit Bancorp ..................... 17,700 $ 435,862
Suntrust Banks, Inc. ............... 25,700 1,174,169
Synovus Financial Corp. ............ 21,500 378,938
Union Planters Co. ................. 4,800 134,100
Wachovia Corp. ..................... 17,600 954,800
Wells Fargo & Co. .................. 114,800 4,448,500
---------------
21,798,205
---------------
BANKS (MONEY CENTER) (0.6%)
Bank of America Corp. .............. 118,900 5,112,700
Chase Manhattan Corp. .............. 87,600 4,035,075
First Union Corp. .................. 70,500 1,749,281
J.P. Morgan & Co. .................. 12,400 1,365,550
---------------
12,262,606
---------------
BANKS (REGIONAL) (0.3%)
Banknorth Group, Inc. .............. 167,800 2,569,437
Citizens Banking Corp. ............. 19,400 314,947
East West Bancorp, Inc. ............ 123,700 1,778,188
Wilmington Trust Corp. ............. 19,600 837,900
---------------
5,500,472
---------------
BEVERAGES (NON-ALCOHOLIC) (0.3%)
Coca-Cola Co. (The) ................ 89,300 5,129,169
Coca-Cola Enterprises Inc. ......... 34,200 557,887
---------------
5,687,056
---------------
BEVERAGES (ALCOHOLIC) (0.2%)
Anheuser-Busch Co., Inc. ........... 35,500 2,651,406
Brown-Forman Corp. + ............... 2,800 150,500
Coors (Adolph) Co. ................. 5,000 302,500
---------------
3,104,406
---------------
BIOTECHNOLOGY (0.9%)
Alliance Pharmaceutical Corp. + .... 133,200 1,498,500
Amgen, Inc. + ...................... 73,400 5,156,350
Coulter Pharmaceutical, Inc. ....... 49,500 1,014,750
Enzon, Inc. + ...................... 60,500 2,571,250
IDEC Pharmaceuticals Corp. + ....... 13,400 1,571,987
Immunomedics, Inc. + ............... 120,100 2,942,450
Protein Design Labs, Inc. + ........ 10,200 1,682,522
---------------
16,437,809
---------------
BROADCASTING (TV, RADIO & CABLE) (0.2%)
Citadel Communications Corp. + ..... 38,000 1,327,625
Mediaone Group, Inc. (1) ........... 44,000 2,917,805
---------------
4,245,430
---------------
BUILDING MATERIALS GROUP (0.0%)
Armstrong Holdings, Inc. ........... 4,200 64,312
Masco Corp. ........................ 30,300 547,294
---------------
611,606
---------------
CELLULAR/WIRELESS TELECOMMUNICATIONS (0.4%)
Nextel Communications, Inc. + ...... 49,600 3,034,900
Sprint PCS + ....................... 62,500 3,718,750
---------------
6,753,650
---------------
CHEMICALS (0.3%)
Air Products and Chemicals, Inc. ... 17,500 539,219
</TABLE>
56 See Notes to Portfolio of Investments.
<PAGE>
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
--------- ---------------
<S> <C> <C>
CHEMICALS (CONTINUED)
Dow Chemical Co. ................... 48,600 $ 1,467,113
Du Pont (E.I.) de Nemours .......... 36,000 1,575,000
Eastman Chemical Co. ............... 6,000 286,500
Praxair, Inc. ...................... 5,900 220,881
Rohm & Haas Co. .................... 16,100 555,450
Union Carbide Corp. ................ 4,500 222,750
---------------
4,866,913
---------------
CHEMICALS - DIVERSIFIED (0.0%)
Engelhard Corp. .................... 10,600 180,863
FMC Corp. + ........................ 3,900 226,200
---------------
407,063
---------------
CHEMICALS - SPECIALITY (0.2%)
Ecolab, Inc. ....................... 13,400 523,438
Grace (W.R.) & Co. + ............... 7,200 87,300
Hercules, Inc. ..................... 9,200 129,375
International Flavors & Fragrances,
Inc................................ 4,300 129,806
Minerals Technologies Inc. ......... 52,400 2,410,400
Sigma-Aldrich Corp. ................ 10,100 295,425
---------------
3,575,744
---------------
COMMUNICATIONS EQUIPMENT (2.4%)
ADC Telecommunications, Inc. + ..... 31,400 2,633,675
Cable Design Technologies, Inc. + .. 48,500 1,624,750
Comverse Technology, Inc. + ........ 16,600 1,543,800
Corning, Inc. ...................... 22,000 5,937,250
Harris Corp. ....................... 37,800 1,237,950
L-3 Communications Holdings, Inc. + 45,400 2,590,638
Motorola, Inc. ..................... 153,600 4,464,000
Nortel Networks Corp. .............. 290,700 19,840,275
QUALCOMM Inc. + .................... 51,000 3,060,000
Scientific-Atlanta, Inc. ........... 17,600 1,311,200
Tellabs, Inc. + .................... 13,900 951,281
---------------
45,194,819
---------------
COMPUTERS (HARDWARE) (3.0%)
Apple Computer, Inc. + ............. 35,400 1,854,075
Compaq Computer Corp. .............. 122,200 3,123,737
Dell Computer Corp. + .............. 185,200 9,132,675
Emulex Corp. + ..................... 25,300 1,661,894
Gateway, Inc. + .................... 22,400 1,271,200
Hewlett-Packard Co. ................ 92,800 11,588,400
International Business Machines
Corp............................... 122,000 13,366,625
MRV Communications, Inc. + ......... 40,300 2,710,175
NCR Corp. + ........................ 7,400 288,138
Sun Microsystems, Inc. + ........... 141,900 12,904,031
---------------
57,900,950
---------------
COMPUTERS (NETWORKING) (2.2%)
3Com Corp. + ....................... 12,200 703,025
Cabletron Systems, Inc. + ......... 12,700 320,675
Cisco Systems, Inc. + .............. 622,100 39,542,231
Network Appliance, Inc. + .......... 22,600 1,819,300
---------------
42,385,231
---------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
--------- ---------------
<S> <C> <C>
COMPUTERS (PERIPHERALS) (1.1%)
EMC Corp. + ........................ 197,600 $ 15,202,850
Lexmark International Group, Inc. + 9,600 645,600
M-Systems Flash Disk Pioneers Ltd. + 23,900 1,861,213
Oak Technology, Inc. .............. 121,000 2,609,062
Seagate Technology, Inc. + ......... 7,900 434,500
---------------
20,753,225
---------------
COMPUTERS SOFTWARE/SERVICES (4.9%)
Adobe Systems, Inc. ................ 13,000 1,690,000
America Online, Inc. + ............. 159,500 8,413,625
American Management Systems, Inc. + 73,000 2,396,453
Celera Genomics .................... 7,400 691,900
Citrix Systems, Inc. + ............. 13,600 257,550
Computer Associates International,
Inc................................ 44,300 2,267,606
Entrust Technologies, Inc. + ....... 68,100 5,635,275
ePresence, Inc. .................... 97,300 705,425
Go2Net, Inc. + ..................... 62,700 3,154,594
Microsoft Corp. + .................. 371,600 29,728,000
Novell, Inc. + ..................... 24,000 222,000
Oracle Corp. + ..................... 295,900 24,874,094
Siebel Systems, Inc. + ............. 17,500 2,862,344
Unisys Corp. + ..................... 22,600 329,113
VERITAS Software Corp. + ........... 40,800 4,611,037
Yahoo! Inc. + ...................... 38,800 4,806,350
---------------
92,645,366
---------------
CONSTRUCTION (0.0%)
Vulcan Materials Co. ............... 7,600 324,425
---------------
CONSUMER FINANCE (0.3%)
Capital One Financial Corp. ........ 14,700 655,988
Household International, Inc. ...... 33,800 1,404,812
MBNA Corp. ......................... 60,375 1,637,672
Metris Companies, Inc. ............. 46,350 1,164,544
Providian Financial Corp. .......... 10,400 936,000
---------------
5,799,016
---------------
CONTAINERS - METAL & GLASS (0.0%)
Owens-Illinois, Inc. + ............. 11,400 133,238
---------------
CONTAINERS/PACKAGING (PAPER) (0.0%)
Bemis Co., Inc. .................... 5,500 184,938
Temple-Inland Inc. ................. 4,300 180,600
---------------
365,538
---------------
DISTRIBUTORS (FOOD & HEALTH) (0.1%)
Cardinal Health, Inc. .............. 19,900 1,472,600
SUPERVALU, Inc. .................... 9,900 188,719
Sysco Corp. ........................ 25,200 1,061,550
---------------
2,722,869
---------------
ELECTRIC COMPANIES (0.8%)
Ameren Corp. ....................... 10,600 357,750
American Electric Power Co. ........ 23,900 708,038
Cinergy Corp. ...................... 12,100 307,794
Consolidated Edison, Inc. .......... 24,300 719,887
Constellation Energy Group ......... 15,300 498,206
CP&L, Inc. ......................... 15,000 479,063
</TABLE>
See Notes to Financial Statements. 57
<PAGE>
GROWTH & INCOME PORTFOLIOS
PORTFOLIO OF INVESTMENTS - JUNE 30, 2000 (UNAUDITED)
BALANCED (CONTINUED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
--------- ---------------
<S> <C> <C>
ELECTRIC COMPANIES (CONTINUED)
Dominion Resources, Inc. ........... 17,258 $ 739,937
DTE Energy Co. ..................... 21,500 657,094
Duke Energy Corp. .................. 30,500 1,719,437
Edison International Inc. .......... 30,200 619,100
Entergy Corp. ...................... 20,000 543,750
FirstEnergy Corp. .................. 15,000 350,625
Florida Progress Corp. ............. 7,500 351,563
FPL Group, Inc. .................... 14,500 717,750
GPU, Inc. .......................... 12,500 338,281
Independent Energy Holdings + ...... 77,700 645,881
Peco Energy Co. .................... 13,300 536,156
PG&E Corp. ......................... 31,700 780,612
PPL Corporation .................... 17,100 375,131
Public Service Enterprise Group,
Inc................................ 23,100 799,837
Reliant Energy Inc. ................ 20,700 611,944
Southern Co. ....................... 45,900 1,070,044
TXU Corp. .......................... 24,000 708,000
Unicom Corp. ....................... 15,200 588,050
---------------
15,223,930
---------------
ELECTRICAL EQUIPMENT (3.5%)
Artesyn Technologies, Inc. + ....... 40,800 1,134,750
C&D Technologies, Inc. ............. 64,600 3,649,900
Cohu, Inc. ........................ 90,500 2,440,672
Cooper Industries, Inc. ............ 11,300 367,956
Emerson Electric Co. ............... 37,800 2,282,175
Flextronics International Ltd. + ... 58,800 4,038,825
General Electric Co. ............... 884,700 46,889,100
Littlefuse, Inc. + ................ 45,700 2,239,300
Molex, Inc. ........................ 7,500 360,937
Plexus Corp. + ..................... 25,100 2,836,300
Rockwell International Corp. ....... 16,200 510,300
Thomas & Betts Corp. ............... 5,500 105,188
---------------
66,855,403
---------------
ELECTRONICS (COMPONENT DISTRIBUTION) (0.0%)
Grainger (W.W.), Inc. .............. 7,100 218,769
---------------
ELECTRONICS (DEFENSE) (0.1%)
Mercury Computer Systems, Inc. + ... 71,400 2,307,113
---------------
ELECTRONICS (INSTRUMENTS) (0.3%)
Agilent Technologies, Inc. ......... 35,393 2,610,234
Varian, Inc. + ..................... 50,000 2,306,250
---------------
4,916,484
---------------
ELECTRONICS (SEMICONDUCTORS) (4.5%)
Adaptec, Inc. + .................... 12,300 279,825
Advanced Micro Devices Corp. + ..... 11,900 919,275
Altera Corp. + ..................... 21,400 2,181,462
ANADIGICS, Inc. + .................. 71,700 2,442,281
Analog Devices, Inc. + ............. 37,400 2,842,400
Conexant Systems, Inc. + ........... 21,900 1,064,888
General Semiconductor Corp. + ...... 137,500 2,028,125
Intel Corp. ........................ 344,800 46,095,450
Linear Technology Corp. ............ 33,400 2,135,513
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
--------- ---------------
<S> <C> <C>
ELECTRONICS (SEMICONDUCTORS) (CONTINUED)
LSI Logic Corp. + .................. 31,800 $ 1,721,175
Maxim Integrated Products, Inc. + .. 19,400 1,317,988
Micron Technology, Inc. + .......... 36,800 3,240,700
National Semiconductor Corp. + ..... 16,900 959,075
PLX Technology Inc. ................ 34,400 1,427,600
Texas Instruments, Inc. ............ 169,400 11,635,662
Transwitch Corp. + ................. 43,100 3,326,781
Xilinx, Inc. + ..................... 33,700 2,782,356
---------------
86,400,556
---------------
ENGINEERING & CONSTRUCTION (0.2%)
Dycom Industries, Inc. + ........... 39,000 1,794,000
Fluor Corp. ........................ 5,800 183,425
Jacobs Engineering Group, Inc. + ... 71,300 2,330,619
---------------
4,308,044
---------------
ENTERTAINMENT (1.0%)
Time Warner, Inc. .................. 82,100 6,239,600
Viacom, Inc. + ..................... 95,800 6,532,362
Walt Disney Co. (The) + ............ 150,000 5,821,875
---------------
18,593,837
---------------
EQUIPMENT (SEMICONDUCTORS) (1.1%)
Applied Materials, Inc. + .......... 78,200 7,086,875
Asyst Technologies, Inc. ........... 58,300 1,996,775
KLA Instruments Corp. + ............ 19,300 1,130,256
Kulicke & Soffa Industries, Inc. + . 39,900 2,369,063
Silicon Valley Group, Inc. + ....... 41,400 1,071,225
Teradyne, Inc. + ................... 18,300 1,345,050
Varian Semiconductor Equipment
Associates, Inc. + ................ 49,400 3,102,937
Veeco Instruments Inc. + ........... 44,100 3,230,325
---------------
21,332,506
---------------
FINANCIAL (DIVERSIFIED) (2.4%)
American Express Co. ............... 96,600 5,035,275
Associates First Capital Corp. ..... 50,200 1,120,087
Citigroup Inc. ..................... 359,500 21,659,875
Federal National Mortgage
Association........................ 91,200 4,759,500
Freddie Mac Corp. .................. 51,300 2,077,650
Morgan Stanley Dean Witter & Co. ... 105,100 8,749,575
Mutual Risk Management Ltd. ........ 149,900 2,595,144
SLM Holding Corp. .................. 15,000 561,563
---------------
46,558,669
---------------
FOODS (1.0%)
Bestfoods .......................... 21,400 1,481,950
Conagra, Inc. ...................... 41,700 794,906
General Mills, Inc. ................ 12,000 459,000
Heinz (H.J.) Co. ................... 27,000 1,181,250
Kellogg Co. ........................ 16,200 481,950
Nabisco Group Holdings Corp. ....... 24,800 643,250
PepsiCo, Inc. ...................... 112,800 5,012,550
Quaker Oats Co. .................... 9,800 736,225
Ralston-Ralston Purina Group ....... 26,400 526,350
Sara Lee Corp. ..................... 63,400 1,224,413
</TABLE>
58 See Notes to Portfolio of Investments.
<PAGE>
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
--------- ---------------
<S> <C> <C>
FOODS (CONTINUED)
Suiza Foods Corp. + ................ 60,100 $ 2,937,387
Unilever NV ........................ 40,800 1,754,400
Universal Foods Corp. .............. 59,600 1,102,600
Wrigley (Wm.) Jr. Co. + ............ 9,300 745,744
---------------
19,081,975
---------------
FOOTWEAR (0.0%)
Nike, Inc. ......................... 14,600 581,263
---------------
GAMING, LOTTERY, & PARI-MUTUEL (0.0%)
Harrah's Entertainment, Inc. + ..... 9,800 205,188
---------------
HARDWARE & TOOLS (0.0%)
Black & Decker Corp. ............... 4,900 192,631
---------------
HEALTH CARE (DRUGS) (0.2%)
Medicis Pharmaceutical Corp. + ..... 69,700 3,972,900
---------------
HEALTH CARE (DRUGS/PHARMACEUTICALS) (4.1%)
Catalytica, Inc. + ................. 253,800 2,791,800
Cubist Pharmaceuticals, Inc. + ..... 47,300 2,329,525
Eli Lilly & Co. .................... 116,500 11,635,437
Merck & Co., Inc. .................. 205,600 15,754,100
Pfizer, Inc. ....................... 649,375 31,170,000
Pharmacia Corporation .............. 90,225 4,663,505
Schering Plough .................... 106,200 5,363,100
Titan Pharmaceuticals, Inc. + ...... 43,900 1,887,700
United Therapeutics Corporation .... 21,500 2,330,063
---------------
77,925,230
---------------
HEALTH CARE (HOSPITAL MANAGEMENT) (0.2%)
HCA - The Healthcare Corp. ......... 36,700 1,114,762
LifePoint Hospitals, Inc. + ........ 69,600 1,548,600
Tenet Healthcare Corp. + ........... 25,000 675,000
---------------
3,338,362
---------------
HEALTH CARE (MANAGED CARE) (0.3%)
Coventry Health Care, Inc. + ....... 90,700 1,208,861
Foundation Health Systems, Inc. + .. 196,900 2,559,700
Oxford Health Plans, Inc. + ........ 18,500 440,531
UnitedHealth Group Incorporated .... 17,000 1,457,750
Wellpoint Health Networks, Inc. + .. 5,000 362,188
---------------
6,029,030
---------------
HEALTH CARE (MEDICAL PRODUCTS/SUPPLIES) (0.8%)
Bausch & Lomb, Inc. ................ 6,500 502,938
Baxter International, Inc. ......... 26,700 1,877,344
Biomet, Inc. ....................... 8,000 307,500
Datascope Corp. + .................. 79,400 2,858,400
Guidant Corp. + .................... 12,300 608,850
Medtronic, Inc. + .................. 85,800 4,273,912
PE Corp-PE Biosystems Group ........ 15,600 1,027,650
VISX, Inc. + ....................... 105,400 2,957,787
---------------
14,414,381
---------------
HEALTH CARE (SPECIAL SERVICES) (0.1%)
IMPATH Inc. + ...................... 36,800 1,996,400
---------------
HEALTH CARE DIVERSIFIED (1.5%)
Abbott Laboratories ................ 106,600 4,750,362
Allergan, Inc. ..................... 9,500 707,750
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
--------- ---------------
<S> <C> <C>
HEALTH CARE DIVERSIFIED (CONTINUED)
American Home Products Corp. ....... 46,700 $ 2,743,625
Bristol-Myers Squibb Co. ........... 139,800 8,143,350
Johnson & Johnson .................. 124,400 12,673,250
---------------
29,018,337
---------------
HOUSEHOLD FURNISHINGS & APPLIANCES (0.2%)
Ethan Allen Interiors, Inc. ........ 96,000 2,304,000
Leggett & Platt, Inc. .............. 15,000 247,500
Maytag Corp. ....................... 10,400 383,500
Whirlpool Corp. .................... 7,400 345,025
---------------
3,280,025
---------------
HOUSEHOLD PRODUCTS (NON-DURABLE) (0.4%)
Clorox Co. ......................... 9,500 425,719
Colgate-Palmolive Co. .............. 43,800 2,622,525
Fort James Corp. ................... 18,300 423,187
Kimberly-Clark Corp. ............... 39,400 2,260,575
Procter & Gamble Co. ............... 47,500 2,719,375
8,451,381
---------------
HOUSEWARES (0.0%)
Fortune Brands, Inc. ............... 16,800 387,450
Newell Rubbermaid Inc. ............. 10,000 257,500
---------------
644,950
---------------
INSURANCE (LIFE/HEALTH) (0.3%)
AFLAC, Inc. ........................ 19,600 900,375
American General Corp. ............. 20,200 1,232,200
Jefferson-Pilot Corp. .............. 7,600 428,925
Lincoln National Corp. ............. 14,200 512,975
ReliaStar Financial Corp. .......... 53,200 2,789,675
Torchmark Corp. .................... 13,200 325,875
---------------
6,190,025
---------------
INSURANCE (MULTI-LINE) (1.0%)
American International Group, Inc. . 137,800 16,191,500
CIGNA Corp. ........................ 16,000 1,496,000
Hartford Financial Services Group,
Inc................................ 16,300 911,781
Loews Corp. ........................ 10,800 648,000
---------------
19,247,281
---------------
INSURANCE (PROPERTY/CASUALTY) (0.4%)
Allstate Corp. (The) ............... 51,200 1,139,200
Chubb Corp. ........................ 13,800 848,700
Cincinnati Financial Corp. ......... 11,400 358,387
Horace Mann Educators Corp. ........ 168,900 2,533,500
MBIA, Inc. ......................... 3,700 178,294
MGIC Investment Corp. .............. 9,700 441,350
Radian Group Inc. .................. 39,100 2,023,425
St. Paul Co., Inc. ................. 8,030 274,024
---------------
7,796,880
---------------
INSURANCE BROKERS (0.3%)
Gallagher (Arthur J.) & Co. ........ 69,000 2,898,000
Marsh & McLennan Co., Inc. ......... 20,100 2,099,194
---------------
4,997,194
---------------
INVESTMENT BANKING/BROKERAGE (0.4%)
Bear Stearns Co., Inc. (The) ....... 4,079 169,788
</TABLE>
See Notes to Financial Statements. 59
<PAGE>
GROWTH & INCOME PORTFOLIOS
PORTFOLIO OF INVESTMENTS - JUNE 30, 2000 (UNAUDITED)
BALANCED (CONTINUED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
--------- ---------------
<S> <C> <C>
INVESTMENT BANKING/BROKERAGE (CONTINUED)
Charles Schwab Corp. ............... 43,300 $ 1,455,962
Lehman Brothers Holdings Inc. ...... 13,400 1,267,138
Merrill Lynch & Co., Inc. .......... 41,000 4,715,000
Paine Webber Group Inc. ............ 13,500 614,250
---------------
8,222,138
---------------
INVESTMENT MANAGEMENT (0.2%)
Franklin Resources, Inc. ........... 25,900 786,712
T. Rowe Price & Associates ......... 47,500 2,018,750
---------------
2,805,462
---------------
LEISURE TIME (PRODUCTS) (0.3%)
Brunswick Corp. .................... 10,200 168,937
Callaway Golf Co. .................. 93,500 1,525,219
Harley-Davidson, Inc. .............. 24,000 924,000
Hasbro, Inc. ....................... 7,050 106,191
Premier Parks Inc. + ............... 114,300 2,600,325
---------------
5,324,672
---------------
LODGING - HOTELS (0.0%)
Marriott International, Inc. ....... 12,400 447,175
---------------
MACHINERY - DIVERSIFIED (0.2%)
Caterpillar, Inc. .................. 13,500 457,312
Deere & Co. ........................ 19,300 714,100
Dover Corp. ........................ 18,400 746,350
Ingersoll-Rand Co. ................. 12,000 483,000
Mettler-Toledo International, Inc. + 43,000 1,720,000
---------------
4,120,762
---------------
MANUFACTURING (DIVERSIFIED) (0.8%)
Crane Co. .......................... 9,000 218,813
Danaher Corp. ...................... 10,000 494,375
Eaton Corp. ........................ 6,700 448,900
Honeywell International Inc. ....... 57,099 1,923,523
Illinois Tool Works, Inc. .......... 24,400 1,390,800
ITT Industries, Inc. ............... 12,100 367,537
Johnson Controls, Inc. ............. 6,000 307,875
Minnesota Mining and Manufacturing
Co................................. 31,900 2,631,750
Parker-Hannifin Corp. .............. 9,200 315,100
PPG Industries Inc. ................ 14,300 633,669
Textron, Inc. ...................... 13,600 738,650
Tyco International Ltd. ............ 121,500 5,756,062
---------------
15,227,054
---------------
MANUFACTURING (SPECIALIZED) (0.2%)
Avery Dennison Corp. ............... 12,100 812,213
Pall Corp. ......................... 10,100 186,850
Sealed Air Corp. + ................. 6,400 335,200
United Technologies Corp. .......... 34,100 2,007,637
---------------
3,341,900
---------------
METAL FABRICATORS (0.1%)
Mueller Industries, Inc. + ......... 43,400 1,215,200
---------------
METALS MINING (0.0%)
Phelps Dodge Corp. ................. 6,500 241,719
---------------
MISCELLANEOUS METALS (0.1%)
Barrick Gold Corp. ................. 30,100 547,444
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
--------- ---------------
<S> <C> <C>
MISCELLANEOUS METALS (CONTINUED)
Inco Ltd. + ........................ 20,700 $ 318,262
Placer Dome, Inc. .................. 24,800 237,150
---------------
1,102,856
---------------
NATURAL GAS (DISTRIBUTION - PIPE LINE) (0.4%)
Coastal Corp. (The) ................ 18,100 1,101,837
Columbia Energy Group .............. 8,700 570,937
El Paso Energy Corp. ............... 18,900 962,719
Enron Corp. ........................ 47,800 3,083,100
NICOR, Inc. ........................ 5,100 166,388
Sempra Energy ...................... 20,400 346,800
Southwest Gas Corp. ................ 82,900 1,450,750
Williams Co., Inc. (The) ........... 16,400 683,675
---------------
8,366,206
---------------
OFFICE EQUIPMENT & SUPPLIES (0.0%)
Pitney Bowes, Inc. ................. 9,500 380,000
---------------
OIL (0.5%)
Royal Dutch Petroleum Co. .......... 147,500 9,080,469
---------------
OIL & GAS (DRILLING & EQUIPMENT) (0.4%)
Baker Hughes Inc. .................. 13,600 435,200
BJ Services Co. + .................. 28,600 1,787,500
Marine Drilling Companies, Inc. + .. 128,900 3,609,200
Rowan Co., Inc. + .................. 11,100 337,162
Transocean Sedco Forex Inc. ........ 8,731 466,563
---------------
6,635,625
---------------
OIL & GAS (EXPLORATION/PRODUCTION) (0.5%)
Anadarko Petroleum Corp. ........... 10,200 502,988
Apache Corp. ....................... 12,200 717,512
Burlington Resources, Inc. ......... 17,400 665,550
Kerr-McGee Corp. ................... 9,300 548,119
Triton Energy Ltd. + ............... 118,000 4,638,875
Unocal Corp. ....................... 20,100 665,812
Vintage Petroleum, Inc. + .......... 99,600 2,247,225
---------------
9,986,081
---------------
OIL & GAS (REFINING & MARKETING) (0.2%)
Tosco Corp. ........................ 17,400 492,637
Valero Energy Corp. ................ 103,600 3,289,300
---------------
3,781,937
---------------
OIL (DOMESTIC INTEGRATED) (0.2%)
Amerada Hess Corp. ................. 9,700 598,975
Conoco Inc. ........................ 32,900 808,106
Occidental Petroleum Corp. ......... 26,800 564,475
Phillips Petroleum Co. ............. 27,300 1,383,769
USX-Marathon Group ................. 25,600 641,600
---------------
3,996,925
---------------
OIL (INTERNATIONAL INTEGRATED) (1.6%)
Chevron Corp. ...................... 44,800 3,799,600
Exxon Mobil Corp. .................. 311,300 24,437,050
Texaco, Inc. ....................... 57,200 3,045,900
---------------
31,282,550
---------------
PAPER & FOREST PRODUCTS (0.4%)
Boise Cascade Corp. ................ 6,500 168,188
</TABLE>
60 See Notes to Portfolio of Investments.
<PAGE>
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
--------- ---------------
<S> <C> <C>
PAPER & FOREST PRODUCTS (CONTINUED)
Georgia-Pacific Corp. .............. 17,600 $ 462,000
International Paper Co. ............ 36,195 1,079,063
Louisiana-Pacific Corp. ............ 138,400 1,505,100
Mead Corp. ......................... 10,200 257,550
Potlatch Corp. ..................... 63,500 2,103,437
Westvaco Corp. ..................... 10,600 263,012
Weyerhaeuser Co. ................... 16,400 705,200
Willamette Industries, Inc. ........ 12,900 351,525
---------------
6,895,075
---------------
PERSONAL CARE (0.1%)
Avon Products, Inc. ................ 10,000 445,000
Gillette Co. ....................... 38,500 1,345,094
---------------
1,790,094
---------------
PHOTOGRAPHY/IMAGING (0.3%)
Eastman Kodak Co. .................. 22,000 1,309,000
Infocus Corp. ...................... 88,200 2,838,937
Pinnacle Systems, Inc. + ........... 80,400 1,807,744
---------------
5,955,681
---------------
POWER PRODUCERS (INDEPENDENT) (0.1%)
AES Corp. + ........................ 29,000 1,323,125
---------------
PUBLISHING (0.3%)
Houghton Mifflin Co. ............... 35,900 1,676,081
McGraw-Hill Co., Inc. .............. 13,600 734,400
Meredith Corp. ..................... 88,100 2,973,375
---------------
5,383,856
---------------
PUBLISHING - NEWSPAPERS (0.2%)
Dow Jones & Co., Inc. .............. 5,200 380,900
Gannett Co., Inc. .................. 19,300 1,154,381
Knight-Ridder, Inc. ................ 9,100 484,006
New York Times Co. ................. 16,100 635,950
Tribune Co. ........................ 20,800 728,000
---------------
3,383,237
---------------
RAILROADS (0.1%)
Burlington Northern Santa Fe Corp. . 31,300 717,944
Kansas City Southern Industries,
Inc................................ 10,500 931,218
Union Pacific Corp. ................ 19,600 728,875
---------------
2,378,037
---------------
REIT DIVERSIFIED (0.1%)
Trizec Hahn Corp. .................. 104,700 1,871,513
---------------
RESTAURANTS (0.3%)
Brinker International, Inc. + ...... 63,200 1,848,600
Darden Restaurants, Inc. ........... 9,100 147,875
McDonald's Corp. ................... 96,400 3,175,175
Tricon Global Restaurants, Inc. + .. 5,100 144,075
---------------
5,315,725
---------------
RETAIL (BUILDING SUPPLIES) (0.6%)
Home Depot, Inc. ................... 206,500 10,312,093
Lowe's Co., Inc. ................... 27,500 1,129,219
Sherwin-Williams Co. ............... 11,700 247,894
---------------
11,689,206
---------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
--------- ---------------
<S> <C> <C>
RETAIL (COMPUTERS & ELECTRONICS) (0.2%)
Best Buy Co., Inc. + ............... 20,400 $ 1,290,300
Circuit City Stores, Inc. .......... 14,800 491,175
RadioShack Corporation ............. 13,200 625,350
Tweeter Home Entertainment Group + . 55,800 1,694,925
---------------
4,101,750
---------------
RETAIL (DISCOUNTERS) (0.0%)
Dollar General Corp. ............... 12,125 236,438
---------------
RETAIL (HOME SHOPPING) (0.2%)
Insight Enterprises, Inc. + ........ 40,675 2,412,536
ValueVision International, Inc. + .. 87,300 2,095,200
---------------
4,507,736
---------------
RETAIL (DEPARTMENT STORES) (0.2%)
Federated Department Stores, Inc. + 20,400 688,500
J.C. Penney Co., Inc. .............. 20,900 385,344
Kohl's Corp. + ..................... 27,000 1,501,875
May Department Stores Co. .......... 24,300 583,200
Sears, Roebuck & Co. ............... 25,400 828,675
---------------
3,987,594
---------------
RETAIL (GENERAL MERCHANDISE CHAIN) (1.4%)
Costco Wholesale Corp. + ........... 15,400 508,200
Kmart Corp. + ...................... 51,000 347,438
Target Corporation ................. 34,800 2,018,400
Wal-Mart Stores, Inc. .............. 398,300 22,952,037
---------------
25,826,075
---------------
RETAIL (SPECIALITY) (0.2%)
AutoZone, Inc. + ................... 5,500 121,000
Bed Bath & Beyond, Inc. + .......... 15,000 543,750
Casey's General Stores, Inc. ....... 231,900 2,405,962
Staples, Inc. + .................... 33,700 518,137
Toys "R" Us, Inc. + ................ 24,200 352,413
---------------
3,941,262
---------------
RETAIL SPECIALITY - APPAREL (0.2%)
Abercrombie & Fitch Co. + .......... 130,100 1,585,594
Gap, Inc. .......................... 29,200 912,500
The Limited, Inc. .................. 45,000 973,125
---------------
3,471,219
---------------
RETAIL STORES - DRUG STORE (0.2%)
CVS Corp. .......................... 29,700 1,188,000
Walgreen Co. ....................... 71,200 2,291,750
---------------
3,479,750
---------------
RETAIL STORES - FOOD CHAINS (0.1%)
Kroger Co. (The) + ................. 59,600 1,314,925
Safeway, Inc. + .................... 18,300 825,788
---------------
2,140,713
---------------
SAVINGS & LOAN COMPANIES (0.3%)
Astoria Financial Corp. ............ 79,600 2,049,700
FirstFed Financial Corp. + ......... 119,300 1,685,112
Golden West Financial Corp. ........ 16,500 673,406
Washington Mutual Fin. Corp. ....... 39,900 1,152,113
---------------
5,560,331
---------------
</TABLE>
See Notes to Financial Statements. 61
<PAGE>
GROWTH & INCOME PORTFOLIOS
PORTFOLIO OF INVESTMENTS - JUNE 30, 2000 (UNAUDITED)
BALANCED (CONTINUED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
--------- ---------------
<S> <C> <C>
SEMICONDUCTORS & ELECTRONIC (0.3%)
Galileo Technology Ltd. + .......... 146,100 $ 3,141,150
Orbotech Ltd. + .................... 25,100 2,331,162
---------------
5,472,312
---------------
SERVICES (ADVERTISING/MARKETING) (0.1%)
Interpublic Group of Co., Inc. (The) 20,300 872,900
Omnicom Group, Inc. ................ 13,900 1,237,968
Young And Rubicam, Inc. + .......... 5,300 303,094
---------------
2,413,962
---------------
SERVICES (COMMERCIAL & CONSUMER) (0.2%)
Cendant Corp. + .................... 28,000 392,000
Dun & Bradstreet Corp. ............. 7,200 206,100
Getty Images, Inc. + ............... 55,800 2,068,087
H&R Block, Inc. .................... 9,000 291,375
IMS Health, Inc. ................... 12,100 217,800
---------------
3,175,362
---------------
SERVICES (COMPUTER SYSTEMS) (0.1%)
Computer Sciences Corp. + .......... 12,700 948,531
Electronic Data Systems Corp. ...... 32,700 1,348,875
Sabre Holdings Corporation ......... 8,960 255,360
---------------
2,552,766
---------------
SERVICES (DATA PROCESSING) (0.3%)
Automatic Data Processing, Inc. .... 44,100 2,362,106
First Data Corp. ................... 30,400 1,508,600
Paychex, Inc. ...................... 31,950 1,341,900
---------------
5,212,606
---------------
SPECIALITY PRINTING (0.0%)
Deluxe Corp. ....................... 8,600 202,638
RR Donnelley & Sons Co. ............ 14,400 324,900
---------------
527,538
---------------
STEEL (0.0%)
Allegheny Technologies Incorporated 9,300 167,400
Nucor Corp. ........................ 9,100 302,007
USX-US Steel Group, Inc. ........... 10,100 187,481
---------------
656,888
---------------
TELEPHONE (1.6%)
ALLTEL Corp. ....................... 11,300 699,894
Bell Atlantic Corp. ................ 111,600 5,670,675
BellSouth Corp. .................... 131,600 5,609,450
CenturyTel, Inc. ................... 5,000 143,750
GTE Corp. .......................... 69,800 4,345,050
SBC Communications, Inc. ........... 240,400 10,397,300
U.S. WEST, Inc. .................... 36,300 3,112,725
---------------
29,978,844
---------------
TELEPHONE LONG DISTANCE (0.6%)
CapRock Communications Corp. + ..... 101,200 1,973,400
Sprint Corp. ....................... 62,000 3,162,000
WorldCom, Inc. ..................... 102,000 4,679,250
---------------
9,814,650
---------------
TEXTILES (APPAREL) (0.0%)
Liz Claiborne, Inc. ................ 4,700 165,675
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
--------- ---------------
<S> <C> <C>
TEXTILES (APPAREL) (CONTINUED)
VF Corp. ........................... 13,000 $ 309,563
---------------
475,238
---------------
TOBACCO (0.2%)
Philip Morris Co., Inc. ............ 167,000 4,435,937
UST, Inc. .......................... 13,000 190,938
---------------
4,626,875
---------------
TRUCKERS (0.0%)
Ryder System, Inc. ................. 6,600 124,988
---------------
TRUCKS & PARTS (0.0%)
Cummins Engine Co., Inc. ........... 6,800 185,300
Navistar International Corp. + ..... 5,900 183,269
PACCAR, Inc. ....................... 5,600 222,250
---------------
590,819
---------------
TOTAL COMMON STOCKS (COST $948,814,355) 1,141,526,722
---------------
PREFERRED STOCKS (0.1%)
Global Crossing Holdings Ltd. ...... 11,000 1,045,000
Seagram Co. Ltd. ................... 15,000 870,000
---------------
TOTAL PREFERRED STOCKS (COST $1,837,341) 1,915,000
---------------
<CAPTION>
PRINCIPAL
AMOUNT
------------
<S> <C> <C>
PUT OPTIONS PURCHASED (0.0%)
Euro Option Put .9568, 07/06/00 .... $ 30,381,000 $ 198,620
Euro Option Put .9570, 07/06/00 .... 16,878,333 99,171
---------------
TOTAL PUT OPTIONS PURCHASED (COST $696,561) 297,791
---------------
LONG-TERM BONDS AND NOTES (31.8%)
CORPORATE BONDS (6.9%)
Allied Waste North
America, 10.00%, 08/01/09.......... 1,625,000 1,373,125
Associates Corp. N.A., 6.25%,
11/01/08 .......................... 3,015,000 2,703,701
Baker Hughes Inc., 6.25%, 01/15/09 . 410,000 376,323
Baker Hughes Inc., 6.88%, 01/15/29 . 1,240,000 1,105,373
Bombardier Capital
Inc., 7.30%, 12/15/02.............. 2,660,000 2,615,985
BP Amoco Plc, 5.90%, 04/15/09 ...... 425,000 387,528
Charter Communications Holding
LLC, 10.25%, 01/15/10.............. 900,000 866,250
CIT Holdings LLC, 6.88%, 02/16/05 .. 530,000 506,669
Coastal Corp., 6.50%, 05/15/06 ..... 3,355,000 3,179,500
CSC Holdings Inc., 7.88%, 02/15/18 . 1,390,000 1,278,544
CSC Holdings Inc., 8.13%, 07/15/09 . 1,430,000 1,379,950
DaimlerChrysler NA Holdings
Inc., 7.20%, 09/01/09.............. 3,420,000 3,292,400
Deere & Co., 8.10%, 05/15/30 ....... 710,000 691,547
Deutche Telekom Int.
Finance, 8.25%, 06/15/30 # ........ 2,265,000 2,300,289
Diageo Capital Plc, 7.25%, 11/01/09 1,875,000 1,879,800
Dominion Resources,
Inc., 8.13%, 06/15/10.............. 1,320,000 1,332,164
</TABLE>
62 See Notes to Portfolio of Investments.
<PAGE>
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
--------- ---------------
<S> <C> <C>
CORPORATE BONDS (CONTINUED)
Duke Energy Corp., 7.38%, 03/01/10 . $ 2,590,000 $ 2,547,705
Edison International
Inc., 6.88%, 09/15/04.............. 2,590,000 2,513,569
Emerson Electric Co., 7.88%,
06/01/05 .......................... 1,840,000 1,891,557
ERAC USA Finance Co., 6.95%,
03/01/04 ++........................ 1,572,000 1,502,140
Flag Telecom Holding
Ltd., 11.63%, 03/30/10............. 1,100,000 1,067,000
Ford Motor Co., 7.45%, 07/16/31 .... 2,525,000 2,387,968
Ford Motor Credit
Corp., 7.38%, 10/28/09............. 2,905,000 2,809,919
Ford Motor Credit
Corp., 7.50%, 03/15/05............. 6,195,000 6,148,537
General Electric Capital
Corp., 7.38%, 01/19/10............. 2,010,000 2,034,241
General Electric Capital
Corp., 8.30%, 09/20/09............. 2,150,000 2,308,412
General Motors Acceptance
Corp., 7.75%, 01/19/10............. 5,395,000 5,363,439
Global Crossing Holdings
Ltd., 9.13%, 11/15/06.............. 1,500,000 1,451,250
Global Crossing Holdings
Ltd., 9.50%, 11/15/09.............. 950,000 912,000
GTE California Inc., 7.65%, 03/15/07 3,010,000 3,003,589
GTE Corp., 6.70%, 09/01/09 ......... 2,020,000 1,881,569
Honeywell International, 7.50%,
03/01/10.......................... 3,500,000 3,507,017
Household Finance
Corp., 7.88%, 03/01/07............. 1,225,000 1,220,247
Huntsman ICI
Chemicals, 10.13%, 07/01/09........ 1,125,000 1,130,625
ICG Holdings Inc., Zero
Coupon, 05/01/06................... 1,900,000 1,572,250
ICG Holdings Inc., Zero
Coupon, 03/15/07................... 450,000 310,500
Impsat Fiber
Networks, 13.75%, 02/15/05......... 5,000,000 4,487,500
International Bank Reconstruction &
Development, 7.00%, 01/27/05....... 610,000 609,811
J. Seagram & Sons, 7.60%, 12/15/28 . 1,235,000 1,179,524
Kaman Corp., 6.00%, 03/15/12 ....... 660,000 541,200
Keyspan Gas East, 7.88%, 02/01/10 .. 2,300,000 2,302,852
Metromedia International Group,
Inc., 10.00%, 11/15/08............. 310,000 306,125
MGC Communications
Inc., 13.00%, 04/01/10 ++ ......... 675,000 634,500
Nextlink Communications,
Zero Coupon, 06/01/09 ............. 800,000 496,000
Norwest Financial,
Inc., 5.38%, 09/30/03.............. 3,000,000 2,823,240
Pepsi Bottling Holdings
Inc., 5.63%, 02/17/09.............. 2,485,000 2,218,732
Phillips Petroleum
Co., 8.75%, 05/25/10............... 3,290,000 3,465,752
PP&L Transition Bond Co.
Llc, 7.05%, 06/25/09............... 5,290,000 5,220,542
Qwest Communications International
Inc., 7.50%, 11/01/08.............. 2,050,000 1,985,241
Raytheon Co., 8.30%, 03/01/10 ...... 1,765,000 1,777,532
RSL Communications
Plc, 10.50%, 11/15/08.............. 1,550,000 1,054,000
Sempra Energy, 7.95%, 03/01/10 ..... 1,420,000 1,432,030
Telewest Communications Plc,
Zero Coupon, 02/01/10 ............. 1,250,000 671,875
Telewest Communications Plc,
11.00%, 10/01/07 .................. 860,000 817,000
Tembec Industries
Inc., 8.63%, 06/30/09.............. 900,000 855,000
Tennessee Gas
Pipeline, 7.00%, 10/15/28.......... 4,100,000 3,591,149
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
--------- ---------------
<S> <C> <C>
CORPORATE BONDS (CONTINUED)
Texaco Capital, Inc., 5.50%,
01/15/09 .......................... $ 1,830,000 $ 1,615,634
Textron Financial
Corp., 7.13%, 12/09/04............. 3,925,000 3,847,403
Time Warner Inc., 8.11%, 08/15/06 .. 900,000 916,344
U.S. West Communications
Group, 7.20%, 11/01/04............. 2,815,000 2,765,428
United Technologies
Corp., 7.50%, 09/15/29............. 1,790,000 1,768,413
Valero Energy Corp., 8.75%, 06/15/30 1,940,000 1,981,322
Viatel, Inc., 11.25%, 04/15/08 ..... 800,000 592,000
Wal-Mart Stores, 6.88%, 08/10/09 ... 1,740,000 1,699,754
Wal-Mart Stores, 7.55%, 02/15/30 ... 1,695,000 1,735,053
Winstar Communications,
Inc., 12.50%, 04/15/08............. 570,000 541,500
WorldCom, Inc., 8.00%, 05/15/06 .... 2,495,000 2,537,964
WorldCom, Inc., 8.25%, 05/15/10 .... 4,500,000 4,616,145
---------------
TOTAL CORPORATE BONDS (COST $132,669,520) 131,919,247
---------------
FOREIGN OBLIGATIONS (2.0%)
Bundesobligation, 4.25%, 11/26/04 .. 8,910,000 8,273,694
Bundesrepub, 6.00%, 07/04/07 ....... 11,940,000 11,943,434
French Treasury Note, 5.00%,
07/12/05 .......................... 13,500,000 12,869,777
NTL Inc., Zero Coupon, 02/01/06 .... 800,000 736,000
Tyco International Group
SA, 6.38%, 06/15/05................ 3,740,000 3,567,698
---------------
TOTAL FOREIGN OBLIGATIONS (COST $37,596,642) 37,390,603
---------------
NON-AGENCY MORTGAGE-BACKED SECURITIES (0.2%)
DLJ Mortgage Acceptance
Corp., 8.10%, 06/18/04............. 4,650,000 4,086,913
---------------
TOTAL NON-AGENCY MORTGAGE-BACKED SECURITIES
(COST $4,650,000) 4,086,913
---------------
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (16.7%)
Federal Home Loan Mortgage
Corp., 6.88%, 01/15/05............. 18,100,000 17,986,875
Federal Home Loan Mortgage
Corp., 7.00%, 03/15/10............. 29,630,000 29,380,367
Federal Home Loan Mortgage
Corp., 7.00%, 07/14/25 # .......... 16,400,000 15,847,812
Federal Home Loan Mortgage
Corp., 7.50%, 07/15/30 # .......... 6,000,000 5,920,800
Federal National Mortgage
Association, 6.50%,
11/01/28-08/01/29 ................. 21,546,635 20,341,984
Federal National Mortgage
Association, 6.50%, 07/01/29 # .... 20,000,000 18,856,200
Federal National Mortgage
Association, 6.63%, 09/15/09 * .... 12,029,000 11,617,368
Federal National Mortgage
Association, 6.63%, 09/15/09....... 12,110,000 11,699,350
Federal National Mortgage
Association, 7.00%,
11/01/29-01/01/30 ................. 26,166,566 25,258,847
Federal National Mortgage
Association, 7.25%, 01/15/10....... 21,065,000 21,277,125
Federal National Mortgage
Association, 8.00%, 07/15/30 # .... 31,700,000 31,833,774
</TABLE>
See Notes to Financial Statements. 63
<PAGE>
GROWTH & INCOME PORTFOLIOS
PORTFOLIO OF INVESTMENTS - JUNE 30, 2000 (UNAUDITED)
BALANCED (CONTINUED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
--------- ---------------
<S> <C> <C>
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES
(CONTINUED)
Federal National Mortgage
Association, 8.50%,
11/01/23-12/01/29 ................. $17,188,389 $ 17,513,948
Federal National Mortgage
Association, 9.50%, 10/01/16....... 6,782,157 7,105,802
Government National Mortgage
Association, 6.00%,
11/20/29-01/20/30 ................. 9,889,450 9,724,472
Government National Mortgage
Association, 6.38%, 04/20/28....... 3,063,671 3,061,772
Government National Mortgage
Association, 6.50%, 01/20/30....... 6,928,186 6,883,777
Government National Mortgage
Association, 7.00%,
09/15/24-11/15/24 ................. 16,223,712 15,828,178
Government National Mortgage
Association, 7.50%, 12/15/23....... 30,309,323 30,205,059
Government National Mortgage
Association, 8.00%,
12/15/23-07/15/24 ................. 19,447,461 19,707,633
---------------
TOTAL U.S. GOVERNMENT AGENCY MORTGAGE-BACKED
SECURITIES (COST $322,448,231) 320,051,143
---------------
U.S. GOVERNMENT OBLIGATIONS (6.0%)
U.S. Treasury Bond, 6.25%, 02/15/07 .. 575,000 575,448
U.S. Treasury Note, 5.50%, 07/31/01 * 40,635,000 40,222,148
U.S. Treasury Note, 5.75%, 11/30/02 * 12,506,000 12,324,288
U.S. Treasury Note, 6.13%, 08/15/29 # 2,843,000 2,871,430
U.S. Treasury Note, 6.25%, 05/15/30 .. 6,023,000 6,319,452
U.S. Treasury Note, 6.50%, 02/15/10 .. 19,471,000 20,137,298
U.S. Treasury Note, 6.75%, 05/15/05 .. 13,925,000 14,249,174
U.S. Treasury Note, 7.00%, 07/15/06 .. 2,323,000 2,407,209
U.S. Treasury Note, 8.75%, 05/15/17 * 11,728,000 14,771,768
---------------
TOTAL U.S. GOVERNMENT OBLIGATIONS
(COST $112,772,923) 113,878,215
---------------
TOTAL LONG-TERM BONDS AND NOTES
(COST $610,137,316) 607,326,121
---------------
SHORT-TERM INVESTMENTS (10.4%)
Crown Cork & Seal Co.,
Inc., 6.90%, 07/12/00 * ........... 15,000,000 14,974,125
Houston Industries Finance,
7.00%, 08/02/00 * ................. 30,000,000 29,825,000
Houston Industries Finance,
7.15%, 07/13/00 * ................. 30,000,000 29,940,417
Hughes Electronics
Corp., 7.23%, 09/01/00 *........... 15,000,000 14,828,700
Hughes Electronics
Corp., 7.30%, 09/18/00............. 25,000,000 24,632,500
Norfolk Southern
Corp., 7.00%, 08/14/00 * .......... 16,700,000 16,565,732
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
--------- ---------------
<S> <C> <C>
SHORT-TERM INVESTMENTS (CONTINUED)
Peco Energy Co., 7.45%, 07/05/00 .... $30,000,000 $ 29,987,583
PHH Corp., 7.30%, 07/03/00 .......... 10,188,000 10,188,000
U.S. Treasury Bill, 5.89%, 11/09/00 @ 100,000 97,903
U.S. Treasury Bill, 6.14%, 11/09/00 @ 2,495,000 2,442,680
Viacom International
Inc., 7.40%, 07/06/00............... 25,500,000 25,484,275
---------------
TOTAL SHORT-TERM INVESTMENTS
(COST $198,929,956) 198,966,915
---------------
TOTAL INVESTMENTS
(COST $1,760,415,529)(A) 1,950,032,549
OTHER ASSETS LESS LIABILITIES (39,591,904)
---------------
TOTAL NET ASSETS $1,910,440,645
===============
NOTES TO PORTFOLIO OF INVESTMENTS
(a) The cost of investments for federal income tax purposes amounts to
$1,807,839,943. Unrealized gains and losses, based on identified tax cost at
June 30, 2000, are as follows:
Unrealized gains............................ $ 229,829,261
Unrealized losses........................... (87,636,655)
--------------
Net unrealized gain........................ $ 142,192,606
==============
</TABLE>
Information concerning open futures contracts at June 30, 2000 is shown below:
<TABLE>
<CAPTION>
No. of Notional Expiration Unrealized
Contracts Value Date Gain/(Loss)
--------- -------- ---------- -----------
<S> <C> <C> <C> <C>
Long Contracts
--------------
Russell 2000 Index
Futures .................. 93 $ 24,300,900 Sep 00 $ (44,420)
============ ===========
Short Contracts
---------------
U.S. 2 Yr. Treasury
Bond ..................... 62 $(12,299,250) Sep 00 $ (90,935)
U.S. 10 Yr. Treasury
Bond ..................... 222 (21,863,531) Sep 00 (351,954)
U.S. 20 Yr. Treasury
Bond ..................... 262 (25,504,062) Sep 00 (871,232)
------------ -----------
$(59,666,843) $(1,314,121)
============ ===========
</TABLE>
64 See Notes to Financial Statements.
<PAGE>
--------------------------------------------------------------------------------
Information concerning the following swap contract at June 30, 2000 is shown
below:
<TABLE>
<S> <C>
Swap Counter Party: Morgan Stanley Capital Services, Inc.
Notional Principal: $34,700,000
Fund will pay: LIBOR less 0.15%
Fund will receive: Lehman Corporate Bond Total Return
Effective LIBOR rate: 6.49%
Change in total return of
Lehman Corporate Bond Index: 33.95%
Net unrealized gain/(loss): $598,849
Termination date: October 1, 2000
</TABLE>
+ Non-income producing security.
* Segregated securities for purchases of delayed delivery or when-issued
securities held at June 30, 2000.
# When-issued or delayed delivery security.
++ Securities that may be resold to "qualified institutional buyers" under
Rule 144A or securities offered pursuant to section 4(2) of the Securities
Act of 1933, as amended. These securities have been determined to be liquid
under guidelines established by the Board of Directors.
@ Security pledged to cover initial margin requirements on open futures
contracts at June 30, 2000.
(1) AT&T Corp. acquired MediaOne Group on June 15, 2000. As of June 30, 2000
the acquisition was not completed, therefore, the market value of MediaOne
Group on June 30, 2000 reflects the fair value of the AT&T Corp. offer.
Category percentages are based on net assets.
See Notes to Financial Statements. 65
<PAGE>
GROWTH & INCOME PORTFOLIOS
PORTFOLIO OF INVESTMENTS - JUNE 30, 2000 (UNAUDITED)
GROWTH AND INCOME
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
----------- ---------------
<S> <C> <C>
COMMON STOCKS (97.9%)
UNITED STATES (94.9%)
AEROSPACE/DEFENSE (0.9%)
Boeing Co. ......................... 883,300 $ 36,932,981
General Dynamics Corp. ............. 400,000 20,900,000
Northrop Grumman Corp. ............. 300,000 19,875,000
---------------
77,707,981
---------------
AGRICULTURE (0.1%)
Delta & Pine Land Co. .............. 141,100 3,536,319
---------------
AIRLINES (0.4%)
America West Holdings Corp. + ...... 183,700 3,145,862
Delta Air Lines, Inc. .............. 250,000 12,640,625
UAL Corp. + ........................ 340,000 19,783,750
---------------
35,570,237
---------------
ALUMINUM (0.2%)
Alcoa Inc. ......................... 686,800 19,917,200
---------------
AUTO PARTS & EQUIPMENT (0.1%)
Cooper Tire & Rubber Co. ........... 200,000 2,225,000
Tower Automotive, Inc. + ........... 168,800 2,110,000
Visteon Corp. ...................... 80,825 980,002
---------------
5,315,002
---------------
AUTOMOBILES (0.5%)
Ford Motor Co. ..................... 617,300 26,543,900
General Motors Corp. + ............. 337,800 19,613,512
---------------
46,157,412
---------------
BANKS (MAJOR REGIONAL) (1.7%)
Bank of New York Co., Inc. ......... 662,400 30,801,600
Fifth Third Bancorp ................ 225,800 14,281,850
Firstar Corp. ...................... 348,400 7,338,175
Fleet Boston Financial Corp. ....... 700,800 23,827,200
Mellon Financial Corp. ............. 405,700 14,782,694
PNC Bank Corp. ..................... 105,400 4,940,625
State Street Corp. ................. 119,000 12,621,437
U.S. Bancorp ....................... 270,800 5,212,900
Wells Fargo & Co. .................. 1,156,700 44,822,125
---------------
158,628,606
---------------
BANKS (MONEY CENTER) (1.2%)
Bank of America Corp. .............. 1,193,600 51,324,800
Chase Manhattan Corp. .............. 901,800 41,539,162
J.P. Morgan & Co. .................. 125,900 13,864,738
---------------
106,728,700
---------------
BANKS (REGIONAL) (0.1%)
North Fork Bancorp, Inc. ........... 500,000 7,562,500
Silicon Valley Bancshares + ........ 111,200 4,739,900
---------------
12,302,400
---------------
BEVERAGES (NON-ALCOHOLIC) (1.3%)
Coca-Cola Co. (The) ................ 1,665,000 95,633,437
Pepsi Bottling Group, Inc. ......... 700,000 20,431,250
---------------
116,064,687
---------------
BEVERAGES (ALCOHOLIC) (0.3%)
Anheuser-Busch Co., Inc. ........... 324,800 24,258,500
---------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
----------- ---------------
<S> <C> <C>
UNITED STATES (CONTINUED)
BIOTECHNOLOGY (0.7%)
Alliance Pharmaceutical Corp. + .... 137,300 $ 1,544,625
Amgen, Inc. + ...................... 747,900 52,539,975
Coulter Pharmaceutical, Inc. ....... 55,800 1,143,900
Enzon, Inc. + ...................... 72,600 3,085,500
IDEC Pharmaceuticals Corp. + ....... 21,800 2,557,413
Immunomedics, Inc. + ............... 135,000 3,307,500
Protein Design Labs, Inc. + ........ 11,300 1,863,970
---------------
66,042,883
---------------
BROADCASTING (TV, RADIO & CABLE) (1.2%)
AT&T Corp. - Liberty Media Group + . 2,508,000 60,819,000
Clear Channel Communications, Inc. + 294,400 22,080,000
Entercom Communications Corp. + .... 33,900 1,652,625
Infinity Broadcasting Corp. + ...... 341,700 12,450,694
Mediaone Group, Inc. + (1) ......... 221,500 14,688,496
---------------
111,690,815
---------------
BUILDING MATERIALS GROUP (0.2%)
Lafarge Corp. ...................... 160,000 3,360,000
USG Corp. .......................... 465,000 14,124,375
---------------
17,484,375
---------------
CELLULAR/WIRELESS TELECOMMUNICATIONS (0.7%)
Nextel Communications, Inc. + ...... 570,000 34,876,875
Sprint PCS + ....................... 453,800 27,001,100
---------------
61,877,975
---------------
CHEMICALS (0.3%)
Dow Chemical Co. ................... 491,400 14,834,138
Eastman Chemical Co. ............... 260,000 12,415,000
---------------
27,249,138
---------------
CHEMICALS - DIVERSIFIED (0.2%)
Engelhard Corp. .................... 200,000 3,412,500
FMC Corp. + ........................ 225,000 13,050,000
---------------
16,462,500
---------------
CHEMICALS SPECIALITY (0.1%)
Millennium Chemicals, Inc. + ....... 325,000 5,525,000
---------------
COMMUNICATIONS EQUIPMENT (3.2%)
ADC Telecommunications, Inc. + ..... 174,300 14,619,413
Cable Design Technologies, Inc. + .. 55,000 1,842,500
Carrier Access Corp. + ............. 50,200 2,654,325
CommScope, Inc. + .................. 101,800 4,173,800
Corning, Inc. ...................... 226,100 61,018,737
Harmonic Inc. + .................... 69,905 1,730,149
Lucent Technologies, Inc. .......... 2,142,400 126,937,200
Metromedia Fiber Network, Inc. ..... 250,000 9,921,875
Motorola, Inc. ..................... 1,564,500 45,468,281
QUALCOMM Inc. + .................... 365,900 21,954,000
---------------
290,320,280
---------------
COMPUTERS (HARDWARE) (5.4%)
Apple Computer, Inc. + ............. 350,000 18,331,250
Brocade Communications Systems, Inc. 125,000 22,935,547
Compaq Computer Corp. .............. 1,264,600 32,326,338
Dell Computer Corp. + .............. 1,666,600 82,184,212
</TABLE>
66 See Notes to Portfolio of Investments.
<PAGE>
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
----------- ---------------
<S> <C> <C>
UNITED STATES (CONTINUED)
COMPUTERS (HARDWARE) (CONTINUED)
Emulex Corp. + ..................... 29,000 $ 1,904,938
Hewlett-Packard Co. ................ 616,700 77,010,412
International Business Machines
Corp............................... 1,313,200 143,877,475
MRV Communications, Inc. + ......... 42,600 2,864,850
Sun Microsystems, Inc. + ........... 1,244,200 113,144,437
---------------
494,579,459
---------------
COMPUTERS (NETWORKING) (4.2%)
Cisco Systems, Inc. + .............. 5,454,400 346,695,300
Network Appliance, Inc. + .......... 400,000 32,200,000
---------------
378,895,300
---------------
COMPUTERS (PERIPHERALS) (1.4%)
Cybex Computer Products Corp. + .... 94,650 4,069,950
EMC Corp. + ........................ 1,528,800 117,622,050
Oak Technology, Inc. .............. 93,600 2,018,250
Xircom, Inc. + ..................... 71,800 3,410,500
---------------
127,120,750
---------------
COMPUTERS SOFTWARE/SERVICES (6.7%)
America Online, Inc. + ............. 1,653,300 87,211,575
American Management Systems, Inc. + 58,600 1,923,728
BEA Systems, Inc. + ................ 620,000 30,651,250
Celera Genomics .................... 16,200 1,514,700
Computer Associates International,
Inc................................ 336,310 17,214,868
Dendrite International, Inc. + ..... 127,400 4,244,013
Entrust Technologies, Inc. + ....... 93,500 7,737,125
Go2Net, Inc. + ..................... 75,700 3,808,656
Microsoft Corp. + .................. 2,789,600 223,168,000
Oracle Corp. + ..................... 1,813,300 152,430,531
Symantec Corp. + ................... 425,000 22,923,438
VeriSign, Inc. + ................... 50,200 8,860,300
VERITAS Software Corp. + ........... 350,000 39,555,469
WorldGate Communications, Inc. + ... 72,900 1,293,975
Yahoo! Inc. + ...................... 84,800 10,504,600
---------------
613,042,228
---------------
CONSTRUCTION (0.0%)
Texas Industries, Inc. ............. 84,400 2,437,050
---------------
CONSUMER FINANCE (0.5%)
MBNA Corp. ......................... 504,700 13,689,987
Metris Companies, Inc. ............. 50,100 1,258,763
PMI Group, Inc. (The) .............. 275,000 13,062,500
Providian Financial Corp. .......... 153,800 13,842,000
---------------
41,853,250
---------------
DISTRIBUTORS (FOOD & HEALTH) (0.4%)
Cardinal Health, Inc. .............. 278,100 20,579,400
SUPERVALU, Inc. .................... 336,300 6,410,719
Sysco Corp. ........................ 252,600 10,640,775
---------------
37,630,894
---------------
ELECTRIC COMPANIES (1.6%)
Consolidated Edison, Inc. .......... 202,600 6,002,025
Duke Energy Corp. .................. 344,300 19,409,912
Energy East Corp. .................. 500,000 9,531,250
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
----------- ---------------
<S> <C> <C>
UNITED STATES (CONTINUED)
ELECTRIC COMPANIES (CONTINUED)
FirstEnergy Corp. .................. 1,000,000 $ 23,375,000
NSTAR .............................. 385,000 15,664,687
PG&E Corp. ......................... 401,900 9,896,788
Pinnacle West Capital Corp. ........ 650,000 22,018,750
Public Service Enterprise Group,
Inc................................ 525,000 18,178,125
Southern Co. ....................... 508,200 11,847,412
TXU Corp. .......................... 201,600 5,947,200
Unicom Corp. ....................... 125,000 4,835,938
---------------
146,707,087
---------------
ELECTRICAL EQUIPMENT (5.3%)
American Power Conversion Corp. + .. 310,000 12,651,875
Artesyn Technologies, Inc. + ....... 44,500 1,237,656
AVX Corp. .......................... 704,000 16,148,000
Cohu, Inc. ........................ 101,700 2,742,722
Emerson Electric Co. ............... 314,000 18,957,750
General Electric Co. ............... 7,178,100 380,439,369
Littlefuse, Inc. + ................ 61,400 3,008,600
Rockwell International Corp. ....... 500,000 15,750,000
Solectron Corp. + .................. 269,800 11,297,875
Vishay Intertechnology, Inc. + ..... 510,000 19,348,125
---------------
481,581,972
---------------
ELECTRONICS (COMPONENT DISTRIBUTION) (0.2%)
Arrow Electronics, Inc. + .......... 500,000 15,500,000
Avnet, Inc. ........................ 25,000 1,481,250
---------------
16,981,250
---------------
ELECTRONICS (DEFENSE) (0.0%)
Mercury Computer Systems, Inc. + ... 45,300 1,463,756
---------------
ELECTRONICS (INSTRUMENTS) (0.3%)
Agilent Technologies, Inc. ......... 235,209 17,346,664
Varian, Inc. + ..................... 145,300 6,701,962
---------------
24,048,626
---------------
ELECTRONICS (SEMICONDUCTORS) (7.7%)
Advanced Micro Devices Corp. + ..... 348,000 26,883,000
Altera Corp. + ..................... 178,900 18,236,619
Amkor Technology, Inc. + ........... 62,400 2,203,500
ANADIGICS, Inc. + .................. 92,650 3,155,891
Analog Devices, Inc. + ............. 425,000 32,300,000
Atmel Corp. + ...................... 700,000 25,812,500
BroadCom Corp. + ................... 55,200 12,085,350
C-Cube Microsystems Inc. ........... 57,500 1,128,438
General Semiconductor Corp. + ...... 159,300 2,349,675
Integrated Device Technology, Inc. + 81,100 4,855,863
Intel Corp. ........................ 2,620,700 350,354,831
International Rectifier Corp. + .... 106,800 5,980,800
JDS Uniphase Corporation + ......... 325,000 38,959,375
Micron Technology, Inc. + .......... 231,300 20,368,856
PLX Technology Inc. ................ 38,200 1,585,300
PMC Sierra Inc. + .................. 75,500 13,415,406
QLogic Corp. + ..................... 106,800 7,055,475
</TABLE>
See Notes to Portfolio of Investments. 67
<PAGE>
GROWTH & INCOME PORTFOLIOS
PORTFOLIO OF INVESTMENTS - JUNE 30, 2000 (UNAUDITED)
GROWTH AND INCOME (CONTINUED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
----------- ---------------
<S> <C> <C>
UNITED STATES (CONTINUED)
ELECTRONICS (SEMICONDUCTORS) (CONTINUED)
SDL, Inc. + ........................ 90,600 $ 25,837,987
Semtech Corp. + .................... 64,700 4,948,539
Texas Instruments, Inc. ............ 1,229,100 84,423,806
Transwitch Corp. + ................. 40,500 3,126,094
Xilinx, Inc. + ..................... 148,000 12,219,250
---------------
697,286,555
---------------
ENGINEERING & CONSTRUCTION (0.0%)
Jacobs Engineering Group, Inc. + ... 88,600 2,896,113
---------------
ENTERTAINMENT (2.2%)
Time Warner, Inc. .................. 903,500 68,666,000
Viacom, Inc. + ..................... 881,879 60,133,124
Walt Disney Co. (The) + ............ 1,886,300 73,212,019
---------------
202,011,143
---------------
EQUIPMENT (SEMICONDUCTORS) (1.3%)
Applied Materials, Inc. + .......... 630,900 57,175,312
Asyst Technologies, Inc. ........... 65,500 2,243,375
Kulicke & Soffa Industries, Inc. + . 45,100 2,677,813
Novellus Systems, Inc. + ........... 445,000 25,170,312
Silicon Valley Group, Inc. + ....... 48,300 1,249,763
Teradyne, Inc. + ................... 355,000 26,092,500
Varian Semiconductor Equipment
Associates, Inc. + ................ 55,700 3,498,656
Veeco Instruments Inc. + ........... 55,400 4,058,050
---------------
122,165,781
---------------
FINANCIAL (DIVERSIFIED) (4.5%)
AMBAC, Inc. ........................ 180,000 9,866,250
American Express Co. ............... 1,012,600 52,781,775
Citigroup Inc. ..................... 3,621,100 218,171,275
Federal National Mortgage
Association........................ 540,700 28,217,781
Freddie Mac Corp. .................. 371,500 15,045,750
Morgan Stanley Dean Witter & Co. ... 941,000 78,338,250
Mutual Risk Management Ltd. ........ 178,000 3,081,625
---------------
405,502,706
---------------
FOODS (1.2%)
Conagra, Inc. ...................... 360,600 6,873,937
Dean Foods Co. ..................... 300,000 9,506,250
General Mills, Inc. ................ 269,900 10,323,675
Heinz (H.J.) Co. ................... 271,700 11,886,875
IBP, Inc. .......................... 424,000 6,545,500
PepsiCo, Inc. ...................... 1,048,300 46,583,831
Sara Lee Corp. ..................... 626,700 12,103,144
Suiza Foods Corp. + ................ 77,600 3,792,700
Universal Foods Corp. .............. 64,800 1,198,800
---------------
108,814,712
---------------
FOOTWEAR (0.0%)
Timberland Co. (The) + ............. 32,700 2,315,569
---------------
GAMING, LOTTERY, & PARI-MUTUEL (0.3%)
Mandaley Resort Group + ............ 820,000 16,400,000
MGM Grand, Inc. + .................. 169,600 5,448,400
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
----------- ---------------
<S> <C> <C>
UNITED STATES (CONTINUED)
GAMING, LOTTERY, & PARI-MUTUEL (CONTINUED)
Pinnacle Entertainment, Inc. + ..... 213,300 $ 4,146,019
---------------
25,994,419
---------------
HEALTH CARE (DRUGS) (0.0%)
Medicis Pharmaceutical Corp. + ..... 32,900 1,875,300
---------------
HEALTH CARE (DRUGS/PHARMACEUTICALS) (7.3%)
Catalytica, Inc. + ................. 303,100 3,334,100
Cubist Pharmaceuticals, Inc. + ..... 55,600 2,738,300
Eli Lilly & Co. .................... 752,700 75,175,913
King Pharmaceuticals, Inc. + ....... 50,500 2,215,688
Merck & Co., Inc. .................. 2,071,900 158,759,337
Pfizer, Inc. ....................... 6,683,725 320,818,800
Pharmacia Corporation .............. 936,003 48,379,655
Schering Plough .................... 1,007,900 50,898,950
Titan Pharmaceuticals, Inc. + ...... 49,600 2,132,800
United Therapeutics Corporation .... 26,000 2,817,750
---------------
667,271,293
---------------
HEALTH CARE (HOSPITAL MANAGEMENT) (0.2%)
HCA - The Healthcare Corp. ......... 455,500 13,835,813
LifePoint Hospitals, Inc. + ........ 78,500 1,746,625
---------------
15,582,438
---------------
HEALTH CARE (MANAGED CARE) (0.7%)
Coventry Health Care, Inc. + ....... 100,600 1,340,809
Oxford Health Plans, Inc. + ........ 606,500 14,442,281
PacifiCare Health Systems, Inc. + .. 125,000 7,523,438
Trigon Healthcare, Inc. + .......... 440,000 22,687,500
UnitedHealth Group Incorporated .... 225,000 19,293,750
---------------
65,287,778
---------------
HEALTH CARE (MEDICAL PRODUCTS/SUPPLIES) (0.7%)
Datascope Corp. + .................. 94,000 3,384,000
Guidant Corp. + .................... 274,900 13,607,550
Medtronic, Inc. + .................. 836,400 41,663,175
Sybron International Corp. + ....... 200,000 3,962,500
---------------
62,617,225
---------------
HEALTH CARE (SPECIAL SERVICES) (0.0%)
Quest Diagnostics Incorporated + ... 47,100 3,370,594
---------------
HEALTH CARE DIVERSIFIED (3.7%)
Abbott Laboratories ................ 459,000 20,454,188
American Home Products Corp. ....... 955,600 56,141,500
Bristol-Myers Squibb Co. ........... 1,432,200 83,425,650
ChiRex Inc. + ...................... 144,500 2,890,000
IVAX Corp. + ....................... 600,000 24,900,000
Johnson & Johnson .................. 1,508,700 153,698,812
---------------
341,510,150
---------------
HOMEBUILDING (0.1%)
Kaufman & Broad Home Corp. ......... 104,200 2,064,463
Pulte Corp. ........................ 148,500 3,211,312
---------------
5,275,775
---------------
HOUSEHOLD FURNISHINGS & APPLIANCES (0.2%)
Ethan Allen Interiors, Inc. ........ 95,400 2,289,600
</TABLE>
68 See Notes to Portfolio of Investments.
<PAGE>
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
----------- ---------------
<S> <C> <C>
UNITED STATES (CONTINUED)
HOUSEHOLD FURNISHINGS & APPLIANCES (CONTINUED)
Whirlpool Corp. .................... 335,000 $ 15,619,375
---------------
17,908,975
---------------
HOUSEHOLD PRODUCTS (NON-DURABLE) (1.1%)
Church & Dwight Co., Inc. .......... 175,200 3,153,600
Colgate-Palmolive Co. .............. 542,400 32,476,200
Kimberly-Clark Corp. ............... 413,700 23,736,037
Procter & Gamble Co. ............... 699,600 40,052,100
---------------
99,417,937
---------------
INSURANCE (LIFE/HEALTH) (0.2%)
Hancock John Financial Services,
Inc. + ............................ 700,000 16,581,250
---------------
INSURANCE (MULTI-LINE) (1.6%)
American International Group, Inc. . 860,400 101,097,000
CIGNA Corp. ........................ 181,700 16,988,950
Hartford Financial Services Group,
Inc................................ 154,200 8,625,562
Loews Corp. ........................ 340,000 20,400,000
---------------
147,111,512
---------------
INSURANCE (PROPERTY/CASUALTY) (0.2%)
Horace Mann Educators Corp. ........ 194,600 2,919,000
MGIC Investment Corp. .............. 150,700 6,856,850
Old Republic International Corp. ... 280,000 4,620,000
Radian Group Inc. .................. 50,700 2,623,725
---------------
17,019,575
---------------
INSURANCE BROKERS (0.2%)
Marsh & McLennan Co., Inc. ......... 194,600 20,323,538
---------------
INVESTMENT BANKING/BROKERAGE (1.2%)
Charles Schwab Corp. ............... 361,200 12,145,350
Donaldson, Lufkin & Jenrette, Inc. . 385,000 16,338,438
Edwards (A.G.), Inc. ............... 50,000 1,950,000
Knight Trading Group Inc. .......... 640,000 19,080,000
Lehman Brothers Holdings Inc. ...... 285,000 26,950,312
Merrill Lynch & Co., Inc. .......... 294,600 33,879,000
---------------
110,343,100
---------------
LEISURE TIME (PRODUCTS) (0.1%)
Brunswick Corp. .................... 600,000 9,937,500
Callaway Golf Co. .................. 104,000 1,696,500
---------------
11,634,000
---------------
MACHINERY (DIVERSIFIED) (0.1%)
Dover Corp. ........................ 210,000 8,518,125
Tecumseh Products Co. .............. 45,700 1,745,169
---------------
10,263,294
---------------
MANUFACTURING (DIVERSIFIED) (0.7%)
Graco, Inc. ........................ 128,000 4,160,000
Honeywell International Inc. ....... 495,800 16,702,262
ITT Industries, Inc. ............... 540,000 16,402,500
Minnesota Mining and Manufacturing
Co................................. 300,600 24,799,500
---------------
62,064,262
---------------
MANUFACTURING (SPECIALIZED) (0.2%)
CTS Corp. .......................... 46,000 2,070,000
United Technologies Corp. .......... 336,300 19,799,663
21,869,663
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
----------- ---------------
<S> <C> <C>
UNITED STATES (CONTINUED)
METAL FABRICATORS (0.0%)
Mueller Industries, Inc. + ......... 83,200 $ 2,329,600
---------------
NATURAL GAS (DISTRIBUTION - PIPE LINE) (1.1%)
Dynegy Inc. ........................ 200,000 13,662,500
Enron Corp. ........................ 838,000 54,051,000
KeySpan Energy Corp. ............... 150,000 4,612,500
Sempra Energy ...................... 400,000 6,800,000
Williams Co., Inc. (The) ........... 410,800 17,125,225
---------------
96,251,225
---------------
OIL & GAS (DRILLING & EQUIPMENT) (0.9%)
BJ Services Co. + .................. 148,100 9,256,250
Halliburton Co. .................... 482,500 22,767,969
Marine Drilling Companies, Inc. + .. 179,200 5,017,600
Noble Drilling Corp. + ............. 450,000 18,534,375
Schlumberger, Ltd. ................. 188,900 14,096,662
Tidewater, Inc. .................... 250,000 9,000,000
---------------
78,672,856
---------------
OIL & GAS (EXPLORATION/PRODUCTION) (0.3%)
Kerr-McGee Corp. ................... 126,100 7,432,019
Ocean Energy, Inc. + ............... 600,000 8,512,500
Triton Energy Ltd. + ............... 106,800 4,198,575
Vintage Petroleum, Inc. + .......... 132,200 2,982,762
---------------
23,125,856
---------------
OIL & GAS (REFINING & MARKETING) (0.3%)
Sunoco Inc. ........................ 400,000 11,775,000
Ultramar Diamond Shamrock Corp. .... 610,000 15,135,625
Valero Energy Corp. ................ 116,200 3,689,350
---------------
30,599,975
---------------
OIL (DOMESTIC INTEGRATED) (1.0%)
Amerada Hess Corp. ................. 280,000 17,290,000
Conoco Inc. ........................ 883,300 21,696,056
Occidental Petroleum Corp. ......... 900,000 18,956,250
Phillips Petroleum Co. ............. 219,300 11,115,769
USX-Marathon Group ................. 800,000 20,050,000
---------------
89,108,075
---------------
OIL (INTERNATIONAL INTEGRATED) (3.4%)
Chevron Corp. ...................... 934,500 79,257,281
Exxon Mobil Corp. .................. 2,602,299 204,280,471
Tesoro Petroleum Corp. + ........... 345,500 3,498,188
Texaco, Inc. ....................... 496,900 26,459,925
---------------
313,495,865
---------------
PAPER & FOREST PRODUCTS (0.2%)
International Paper Co. ............ 310,400 9,253,800
Louisiana-Pacific Corp. ............ 600,000 6,525,000
Potlatch Corp. ..................... 76,800 2,544,000
---------------
18,322,800
---------------
PHOTOGRAPHY/IMAGING (0.2%)
Eastman Kodak Co. .................. 229,800 13,673,100
Infocus Corp. ...................... 144,500 4,651,094
Zebra Technologies, Inc. + ......... 48,000 2,127,000
---------------
20,451,194
---------------
</TABLE>
See Notes to Portfolio of Investments. 69
<PAGE>
GROWTH & INCOME PORTFOLIOS
PORTFOLIO OF INVESTMENTS - JUNE 30, 2000 (UNAUDITED)
GROWTH AND INCOME (CONTINUED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
----------- --------------
<S> <C> <C>
UNITED STATES (CONTINUED)
POWER PRODUCERS (INDEPENDENT) (0.0%)
Calpine Corp. + .................... 65,600 $ 4,313,200
---------------
PUBLISHING - NEWSPAPERS (0.4%)
Dow Jones & Co., Inc. .............. 200,000 14,650,000
Gannett Co., Inc. .................. 208,700 12,482,869
Knight-Ridder, Inc. ................ 200,000 10,637,500
---------------
37,770,369
---------------
REIT DIVERSIFIED (0.3%)
Beacon Capital + + ................. 267,600 3,960,480
Simon Property Group, Inc. ......... 300,000 6,656,250
Starwood Hotels & Resort Worldwide,
Inc................................ 520,000 16,932,500
---------------
27,549,230
---------------
RESTAURANTS (0.5%)
Brinker International, Inc. + ...... 136,100 3,980,925
Darden Restaurants, Inc. ........... 325,000 5,281,250
McDonald's Corp. ................... 985,200 32,450,025
Sonic Corp. + ...................... 98,400 2,890,500
---------------
44,602,700
---------------
RETAIL (BUILDING SUPPLIES) (0.7%)
Home Depot, Inc. ................... 1,234,599 61,652,787
Lowe's Co., Inc. ................... 114,700 4,709,869
---------------
66,362,656
---------------
RETAIL (HOME SHOPPING) (0.1%)
Insight Enterprises, Inc. + ........ 65,700 3,896,831
ValueVision International, Inc. + .. 98,500 2,364,000
---------------
6,260,831
---------------
RETAIL (DEPARTMENT STORES) (0.1%)
Neiman Marcus Group, Inc. (The) + .. 252,900 7,476,356
Sears, Roebuck & Co. ............... 118,600 3,869,325
---------------
11,345,681
---------------
RETAIL (GENERAL MERCHANDISE CHAIN) (1.5%)
Costco Wholesale Corp. + ........... 325,900 10,754,700
Target Corporation ................. 162,000 9,396,000
Wal-Mart Stores, Inc. .............. 1,992,500 114,817,812
---------------
134,968,512
---------------
RETAIL (SPECIALITY) (0.4%)
AutoZone, Inc. + ................... 215,000 4,730,000
Barnes & Noble, Inc. + ............. 113,900 2,534,275
Casey's General Stores, Inc. ....... 242,900 2,520,088
CSK Auto Corp. + ................... 149,300 1,129,081
Payless ShoeSource, Inc. + ......... 230,000 11,787,500
Tiffany & Co. ...................... 72,400 4,887,000
Zale Corp. + ....................... 360,000 13,140,000
---------------
40,727,944
---------------
RETAIL SPECIALITY - APPAREL (0.4%)
Gap, Inc. .......................... 461,400 14,418,750
TJX Companies, Inc. ................ 1,125,000 21,093,750
---------------
35,512,500
---------------
RETAIL STORES - DRUG STORE (0.4%)
CVS Corp. .......................... 300,800 12,032,000
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
----------- --------------
<S> <C> <C>
UNITED STATES (CONTINUED)
RETAIL STORES - DRUG STORE (CONTINUED)
Walgreen Co. ....................... 737,100 $ 23,725,406
---------------
35,757,406
---------------
RETAIL STORES - FOOD CHAINS (0.3%)
Kroger Co. (The) + ................. 617,200 13,616,975
Safeway, Inc. + .................... 382,300 17,251,288
---------------
30,868,263
---------------
SAVINGS & LOAN COMPANIES (0.4%)
Astoria Financial Corp. ............ 450,000 11,587,500
Dime Bancorp, Inc. ................. 500,000 7,875,000
FirstFed Financial Corp. + ......... 138,600 1,957,725
Golden State Bancorp, Inc. + ....... 400,000 7,200,000
Washington Mutual Fin. Corp. ....... 200,300 5,783,663
---------------
34,403,888
---------------
SERVICES (ADVERTISING/MARKETING) (0.1%)
Omnicom Group, Inc. ................ 130,800 11,649,375
---------------
SERVICES (COMMERCIAL & CONSUMER) (0.1%)
Getty Images, Inc. + ............... 78,100 2,894,581
Hertz Corporation (The) ............ 110,000 3,086,875
United Rentals, Inc. + ............. 354,300 6,067,388
---------------
12,048,844
---------------
SERVICES (COMPUTER SYSTEMS) (0.1%)
Electronic Data Systems Corp. ...... 123,100 5,077,875
---------------
SERVICES (DATA PROCESSING) (0.4%)
Automatic Data Processing, Inc. .... 447,700 23,979,931
First Data Corp. ................... 316,900 15,726,163
---------------
39,706,094
---------------
SERVICES (EMPLOYMENT) (0.1%)
Manpower, Inc. ..................... 140,000 4,480,000
---------------
STEEL (0.1%)
Allegheny Technologies Incorporated 300,000 5,400,000
---------------
TELEPHONE (3.6%)
ALLTEL Corp. ....................... 106,100 6,571,569
Bell Atlantic Corp. ................ 1,166,800 59,288,025
BellSouth Corp. .................... 1,430,600 60,979,325
GTE Corp. .......................... 727,600 45,293,100
SBC Communications, Inc. ........... 2,516,300 108,829,975
Telephone & Data Systems, Inc. ..... 170,000 17,042,500
U.S. WEST, Inc. .................... 380,700 32,645,025
---------------
330,649,519
---------------
TELEPHONE LONG DISTANCE (1.9%)
AT&T Corp. ......................... 2,237,000 70,745,125
CapRock Communications Corp. + ..... 75,000 1,462,500
Level 3 Communications, Inc. ....... 188,800 16,614,400
Sprint Corp. ....................... 517,500 26,392,500
Time Warner Telecom Inc. ........... 170,000 10,943,750
WorldCom, Inc. ..................... 1,009,000 46,287,875
---------------
172,446,150
---------------
</TABLE>
70 See Notes to Portfolio of Investments.
<PAGE>
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
----------- ---------------
<S> <C> <C>
UNITED STATES (CONTINUED)
TOBACCO (0.5%)
Philip Morris Co., Inc. ............ 1,775,900 $ 47,172,344
---------------
TOTAL UNITED STATES COMMON STOCKS
(COST $8,231,780,591) 8,644,927,116
---------------
FOREIGN COMMON STOCKS (3.0%)
CANADA (0.1%)
Inco Ltd. (Miscellaneous Metals) + . 675,000 10,378,125
---------------
DENMARK (0.3%)
Novo Nordisk A/S (Health Care-
Drugs/Pharmaceuticals)............. 60,940 10,414,551
RTX Telecom A/S (Major
Telecommunications)................ 28,000 899,466
Tele Danmark A/S (Telephone) ....... 122,100 8,252,544
Vestas Wind Systems A/S (Electrical
Equipment)......................... 254,000 9,367,033
---------------
TOTAL DENMARK 28,933,594
---------------
FINLAND (0.3%)
Comptel Oyj (Data & Imaging
Services) + ....................... 213,800 4,324,367
JOT Automation Group Oyj (Data &
Imaging Services) ................. 680,600 4,560,386
Nokia Oyj, ADR (Communications
Equipment)......................... 206,800 10,327,075
Perlos Oyj (Electronics - Component
Dist.)............................. 100,000 3,172,930
---------------
TOTAL FINLAND 22,384,758
---------------
FRANCE (0.3%)
Alcatel (Communications Equipment) . 52,826 3,478,859
AXA (Insurance) .................... 23,000 3,637,845
Genset (Biotech. & Medical Prod.) .. 104,700 2,421,188
STMicroelectronics N.V. (Electronics
- Semiconductors) ................. 174,486 11,039,184
Trader.com N.V. (Services -
Advertising/Mktg.)................. 25,000 359,625
Vivendi (Manufacturing -
Diversified)....................... 83,772 7,424,005
---------------
TOTAL FRANCE 28,360,706
---------------
GERMANY (0.2%)
DePfa Deutsche Pfandbriefbank AG
(Banks - Major Regional) .......... 48,900 4,945,313
Intershop Communications AG (Data &
Imaging Services) + ............... 7,300 3,309,912
Medigene AG (Health Care -
Drugs/Pharmaceuticals)............. 1,000 65,184
Siemens AG (Electrical Mach. &
Instrument) 58,340 8,808,043
---------------
TOTAL GERMANY 17,128,452
---------------
IRELAND (0.1%)
Allied Irish Banks Plc (Banks &
Thrifts)........................... 492,875 4,426,993
CRH Plc (Construction) ............. 317,779 5,757,308
---------------
TOTAL IRELAND 10,184,301
---------------
ISRAEL (0.0%)
Orbotech Ltd. (Semiconductors &
Electronic) + ..................... 21,700 2,015,388
---------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
----------- ---------------
<S> <C> <C>
ISRAEL (CONTINUED)
Scitex Corporation Ltd. (Data &
Imaging Services) + ............... 93,300 $ 1,032,131
---------------
TOTAL ISRAEL 3,047,519
---------------
ITALY (0.1%)
Banca Nazionale del Lavoro (Banks &
Thrifts) + ........................ 872,500 3,086,201
Telecom Italia SpA (Other
Telecommunications)................ 298,200 3,058,608
---------------
TOTAL ITALY 6,144,809
---------------
JAPAN (0.5%)
Canon, Inc. (Electrical Mach. &
Instrument)........................ 165,000 8,234,015
Crayfish Co., Ltd. (Data & Imaging
Services) + ....................... 105,000 735,000
Minebea Co., Ltd. (Machinery -
Diversified)....................... 486,000 6,109,163
Murata Manufacturing Co., Ltd.
(Electronics - Component Dist.) ... 38,000 5,466,282
NTT DoCoMo, Inc. (Other
Telecommunications) + ............. 97 2,631,161
Shin-Etsu Chemical Co., Ltd.
(Chemicals Speciality) ............ 119,000 6,050,943
Softbank Corp. (Semiconductors &
Electronic)........................ 40,600 5,525,637
Sony Corporation (Household
Furnishings & App.) ............... 62,000 5,801,238
Takefuji Corporation (Consumer
Finance)........................... 53,700 6,501,555
---------------
TOTAL JAPAN 47,054,994
---------------
MEXICO (0.0%)
Telefonos de Mexico SA de CV, ADR
(Telephone Long Distance) + ....... 47,000 2,684,875
---------------
NETHERLANDS (0.3%)
ING Groep N.V. (Financial -
Diversified)....................... 115,651 7,849,014
Koninklijke (Royal) Philips
Electronis N.V. (Electrical Mach. &
Instrument)........................ 265,400 12,567,830
Koninklijke Ahold N.V. (Food & Drug
Retail)............................ 36,300 1,072,785
Tele Atlas N.V. (Data & Imaging
Services).......................... 49,100 720,121
United Pan-Europe Communications
N.V. (Other Telecommunications) + . 102,000 2,678,087
VNU N.V. (Publishing) .............. 112,569 5,837,790
---------------
TOTAL NETHERLANDS 30,725,627
---------------
SPAIN (0.1%)
Telefonica Publicidad e Informacion,
S.A. (Services - Advertising/Mktg.) 511,293 4,847,285
Telefonica S.A. (Other
Telecommunications) + ............. 324,502 6,998,941
---------------
TOTAL SPAIN 11,846,226
---------------
SWEDEN (0.3%)
HiQ International AB (Services -
Data Processing) .................. 484,000 4,690,457
Information Highway AB
(Semiconductors & Electronic) + ... 364,950 2,829,392
Mind AB (Computers
Software/Services)................. 188,035 525,238
</TABLE>
See Notes to Portfolio of Investments. 71
<PAGE>
GROWTH & INCOME PORTFOLIOS
PORTFOLIO OF INVESTMENTS - JUNE 30, 2000 (UNAUDITED)
GROWTH AND INCOME (CONTINUED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
----------- ---------------
<S> <C> <C>
SWEDEN (CONTINUED)
Novestra AB (Investment Services) .. 50,000 $ 399,042
PyroSequencing AB (Biotechnology) .. 33,000 383,765
Skandia Forsakrings AB (Insurance) . 80,400 2,135,811
Telefonaktiebolaget LM Ericsson AB
(Semiconductors & Electronic) ..... 363,600 7,272,000
Telelogic AB (Semiconductors &
Electronic) + ..................... 474,000 3,512,712
---------------
TOTAL SWEDEN 21,748,417
---------------
SWITZERLAND (0.1%)
Fantastic Corporation (Data &
Imaging Services) + ............... 178,100 1,758,464
Gretag Imaging Group (Producer
Goods) + .......................... 20,000 3,862,084
Swatch Group AG (The) (Consumer
Specialties)....................... 2,700 3,443,774
---------------
TOTAL SWITZERLAND 9,064,322
---------------
UNITED KINGDOM (0.3%)
Celltech Group Plc (Biotech. &
Medical Prod.) + .................. 126,500 2,451,307
Celltech Group Plc (Biotech. &
Medical Prod.) + .................. 24,300 920,362
Shire Pharmaceuticals Group Plc
(Drugs) + ......................... 119,900 6,219,828
Viatel, Inc. (Other
Telecommunications) + ............. 94,900 2,710,581
Vodafone AirTouch Plc
(Cellular/Wireless Telecomms.) .... 2,188,767 8,847,244
WPP Group Plc (Commercial Services) 471,785 6,892,371
---------------
TOTAL UNITED KINGDOM 28,041,693
---------------
TOTAL FOREIGN COMMON STOCKS
(COST $229,847,139) 277,728,418
---------------
TOTAL COMMON STOCKS
(COST $8,461,627,730) 8,922,655,534
---------------
PREFERRED STOCKS (0.0%)
UNITED STATES (0.0%)
Merrill CBR (Investment
Banking/Brokerage) + .............. 17,500 522,812
---------------
TOTAL PREFERRED STOCKS
(COST $947,188) 522,812
---------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
------------
<S> <C> <C>
LONG-TERM BONDS AND NOTES (0.0%)
CORPORATE BONDS (0.0%)
Devon Energy Corp., 4.90%, 08/15/08 .. $ 532,000 512,716
Devon Energy Corp., 4.95%, 08/15/08 .. 727,000 723,365
TALK.com Inc., 5.00%, 12/15/04 ....... 1,400,000 927,500
Vantive Corp. (The), 4.75%, 09/01/02 . 930,000 790,500
---------------
TOTAL CORPORATE BONDS 2,954,081
---------------
TOTAL LONG-TERM BONDS AND NOTES
(COST $3,111,665) 2,954,081
---------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
------------ ---------------
<S> <C> <C>
SHORT-TERM INVESTMENTS (2.3%)
Crown Cork & Seal Co.,
Inc., 6.90%, 07/12/00 ............. 17,000,000 $ 16,970,675
Crown Cork & Seal Co.,
Inc., 7.10%, 08/15/00.............. 26,000,000 25,779,506
Federal Home Loan Mortgage
Corp., 6.57%, 07/03/00............. 38,179,000 38,179,000
Houston Industries Finance,
7.00%, 08/02/00 ................... 30,762,000 30,700,903
Hughes Electronics
Corp., 7.23%, 09/01/00............. 16,000,000 15,817,280
Hughes Electronics
Corp., 7.30%, 09/18/00............. 14,000,000 13,794,200
Peco Energy Co., 7.45%, 07/05/00 ... 39,500,000 39,483,651
PHH Corp., 7.30%, 07/03/00 ......... 25,341,000 25,341,000
Torchmark Corp., 7.25%, 07/03/00 ... 1,143,000 1,143,000
---------------
TOTAL SHORT-TERM INVESTMENTS
(COST $207,186,341) 207,209,215
---------------
TOTAL INVESTMENTS
(COST $8,672,872,924)(A) 9,133,341,642
OTHER ASSETS LESS LIABILITIES (21,694,551)
---------------
TOTAL NET ASSETS $9,111,647,091
===============
NOTES TO PORTFOLIO OF INVESTMENTS
(a) The cost of investments for federal income tax purposes amounts to
$8,937,778,679. Unrealized gains and losses, based on identified tax cost at
June 30, 2000, are as follows:
Unrealized gains...................... $ 784,939,166
Unrealized losses..................... (589,376,203)
---------------
Net unrealized gain.................. $ 195,562,963
===============
</TABLE>
++ Non-income producing security.
+ Restricted security. This security has been determined to be illiquid under
guidelines established by the Board of Directors.
(1) AT&T Corp. acquired MediaOne Group on June 15, 2000. As of June 30,
2000 the acquisition was not completed, therefore, the market value of
MediaOne Group on June 30, 2000 reflects the fair value of the AT&T Corp.
offer.
Acquisition date and cost concerning illiquid securities at June 30, 2000 is
shown below:
<TABLE>
<CAPTION>
Acquisition
Date Cost
----------- ----------
<S> <C> <C>
Beacon Capital ..................... 03/17/98 $4,031,495
==========
</TABLE>
The market value of the total illiquid securities above is $3,960,480 which
represents 0.04% of the total net assets.
Category percentages are based on net assets.
72 See Notes to Financial Statements.
<PAGE>
GROWTH & INCOME PORTFOLIOS
PORTFOLIO OF INVESTMENTS - JUNE 30, 2000 (UNAUDITED)
REAL ESTATE
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
--------- ----------
<S> <C> <C>
COMMON STOCKS (97.3%)
REIT DIVERSIFIED (97.3%)
Alexandria Real Estate Equities, Inc. .... 1,000 $ 34,313
AMB Property Corp. ....................... 6,200 141,437
Apartment Investment & Management Co. .... 4,100 177,325
Archstone Communities Trust .............. 3,300 69,506
Arden Realty Group, Inc. ................. 3,000 70,500
Avalon Bay Communities, Inc. ............. 2,600 108,550
Beacon Capital + ++ ...................... 6,800 100,640
Boston Properties, Inc. .................. 7,600 293,550
Brandywine Realty Trust .................. 2,400 45,900
BRE Properties, Inc. ..................... 3,200 92,400
Camden Property Trust .................... 1,800 52,875
Capital Automotive REIT .................. 3,800 53,675
Carramerica Realty Corp. ................. 3,400 90,100
Catellus Development Corp. + ............. 3,700 55,500
CBL & Associates Properties, Inc. ........ 2,200 54,863
Centerpoint Properties Corp. ............. 1,400 57,050
Chelsea GCA Realty, Inc. ................. 800 27,650
Colonial Properties Trust ................ 2,100 57,487
Cousins Properties, Inc. ................. 600 23,100
Crescent Real Estate Equities, Inc. ...... 5,500 112,750
Developers Diversified Realty Corp. ...... 4,900 73,194
Duke-Weeks Realty Corp. .................. 5,720 127,985
Equity Office Properties Trust ........... 10,000 275,625
Equity Residential Properties Trust ...... 5,403 248,538
Essex Property Trust, Inc. ............... 1,700 71,400
FelCor Lodging Trust Inc. ................ 2,700 49,950
First Industrial Realty Trust, Inc. ...... 1,400 41,300
General Growth Properties, Inc. .......... 2,200 69,850
Glenborough Realty Trust, Inc. ........... 2,500 43,594
Glimcher Realty Trust .................... 3,700 53,188
Health Care Property Investors, Inc. ..... 2,600 70,850
Healthcare Realty Trust, Inc. ............ 2,000 34,125
Highwood Properties, Inc. ................ 3,100 74,400
Home Properties of New York, Inc. ........ 1,800 54,000
Hospitality Properties Trust ............. 2,400 54,150
Host Marriott Corp. ...................... 8,900 83,437
Kilroy Realty Corp. ...................... 1,200 31,125
Kimco Realty Corp. ....................... 2,600 106,600
Liberty Property Trust ................... 5,900 153,031
Macerich Company (The) ................... 1,500 33,094
Mills Corp. .............................. 900 16,931
Nationwide Health Properties, Inc. ...... 2,000 27,875
Pinnacle Holdings Inc. + ................. 1,900 102,600
Post Properties, Inc. .................... 3,100 136,400
Prentiss Properties Trust ................ 2,000 48,000
ProLogis Trust ........................... 10,700 228,044
PS Business Parks, Inc. .................. 2,500 60,000
Public Storage, Inc. ..................... 4,700 110,156
Reckson Associates Realty Corp. .......... 4,900 116,375
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
--------- ----------
<S> <C> <C>
REIT DIVERSIFIED (CONTINUED)
Reckson Associates Realty Corp. - Class B 450 $ 11,447
Rouse Co. (The) .......................... 3,200 79,200
Simon Property Group, Inc. ............... 9,000 199,687
SL Green Realty Corp. .................... 5,400 144,450
Spieker Properties, Inc. ................. 4,700 216,200
Starwood Hotels & Resort Worldwide, Inc. . 2,000 65,125
Summit Properties Inc. ................... 2,600 54,600
United Dominion Realty Trust, Inc. ....... 4,800 52,800
Vornado Realty Trust ..................... 4,700 163,325
Weingarten Realty Investors .............. 1,100 44,413
-----------
TOTAL COMMON STOCKS (COST $5,094,026) 5,346,235
-----------
TOTAL INVESTMENTS (COST $5,094,026)(A) 5,346,235
OTHER ASSETS LESS LIABILITIES 148,688
-----------
TOTAL NET ASSETS $5,494,923
===========
NOTES TO PORTFOLIO OF INVESTMENTS
(a) The cost of investments for federal income tax purposes amounts to
$5,239,912. Unrealized gains and losses, based on identified tax cost at June
30, 2000, are as follows:
Unrealized gains.............................. $ 317,196
Unrealized losses............................. (210,873)
-----------
Net unrealized gain.......................... $ 106,323
===========
</TABLE>
+ Non-income producing security.
++ Restricted security. This security has been determined to be illiquid under
guidelines established by the Board of Directors.
Acquisition date and cost concerning illiquid securities at June 30, 2000 is
shown below:
<TABLE>
<CAPTION>
ACQUISITION
DATE COST
------------ -----------
<S> <C> <C>
Beacon Capital................ 03/17/98 $ 102,445
===========
</TABLE>
The market value of the total illiquid securities above is $100,640 which
represents 1.83% of the total net assets.
Category percentages are based on net assets.
See Notes to Financial Statements. 73
<PAGE>
GROWTH & INCOME PORTFOLIOS
STATEMENTS OF ASSETS AND LIABILITIES
JUNE 30, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
BALANCED GROWTH AND INCOME REAL ESTATE
--------------- ----------------- ---------------
<S> <C> <C> <C>
ASSETS:
Investments, at market
value.................... $1,950,032,549 $9,133,341,642 $ 5,346,235
Cash ..................... 43,312 44,370 70,225
Foreign currency ......... 99,633 6,840,970 --
Receivable for:
Dividends and interest .. 11,892,996 5,799,864 43,173
Investments sold ........ 90,641,243 4,955,072 61,204
Fund shares sold ........ -- 194,351 --
Variation margin ........ 329,369 -- --
Recoverable foreign taxes -- 363,016 --
Prepaid expenses ......... 6,897 34,674 18
Net unrealized
appreciation on swap
contract................. 598,849 -- --
Gross unrealized gain on
forward foreign currency
exchange contracts ...... -- 65,205 --
-------------- -------------- ------------
Total assets ........ 2,053,644,848 9,151,639,164 5,520,855
-------------- -------------- ------------
LIABILITIES:
Payable for:
Investments purchased ... 138,726,199 7,104,167 --
Fund shares redeemed .... 3,233,734 28,088,407 13,868
Accrued investment
advisory fees ........... 826,720 3,980,522 3,779
Accrued administrative
service fees ............ 124,008 506,741 378
Accrued custody fees ..... 33,300 180,557 4,461
Other liabilities ........ 54,237 93,409 3,446
Gross unrealized loss on
forward foreign currency
exchange contracts ...... 206,005 38,270 --
-------------- -------------- ------------
Total liabilities ... 143,204,203 39,992,073 25,932
-------------- -------------- ------------
NET ASSETS ......... $1,910,440,645 $9,111,647,091 $ 5,494,923
============== ============== ============
NET ASSETS REPRESENTED BY:
Paid-in capital .......... $1,556,024,786 $8,206,083,172 $ 6,202,639
Net unrealized gain on
investments, open futures
contracts, swap contract
and foreign currency
related transactions .... 188,848,400 460,632,639 252,209
Undistributed net
investment income ....... 25,321,886 13,956,730 177,563
Accumulated net realized
gain (loss) on
investments.............. 140,245,573 430,974,550 (1,137,488)
-------------- -------------- ------------
NET ASSETS ......... $1,910,440,645 $9,111,647,091 $ 5,494,923
============== ============== ============
Cost of investments ...... $1,760,415,529 $8,672,872,924 $ 5,094,026
Cost of foreign currency . $ 99,842 $ 6,657,351 $ --
CAPITAL SHARES:
Authorized ............... Two Billion Unlimited Two Billion
Par Value ................ $ 0.001 $ 1.000 $ 0.001
Outstanding .............. 122,374,209 314,896,752 633,173
Net Asset Value, offering
and redemption price per
share (net assets divided
by shares outstanding) .. $ 15.61 $ 28.94 $ 8.68
</TABLE>
74 See Notes to Financial Statements.
<PAGE>
GROWTH & INCOME PORTFOLIOS
STATEMENTS OF OPERATIONS
SIX MONTH PERIOD ENDED JUNE 30, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
BALANCED GROWTH AND INCOME REAL ESTATE
------------- ----------------- -----------
<S> <C> <C> <C>
INVESTMENT INCOME:
Dividends ................... $ 5,587,417 $ 44,788,130 $ 193,652
Interest .................... 25,378,900 7,761,119 10,341
------------- ------------- ----------
30,966,317 52,549,249 203,993
Foreign taxes withheld on
dividends................... (33,121) (193,599) --
------------- ------------- ----------
Total investment income 30,933,196 52,355,650 203,993
------------- ------------- ----------
INVESTMENT EXPENSES:
Investment advisory fees .... 4,749,217 23,412,938 20,777
Administrative services fees 712,383 2,962,943 2,078
Printing and postage fees ... 22,685 95,168 4,328
Custody fees ................ 48,611 218,165 7,224
Transfer agent fees ......... 1,300 6,000 1,300
Audit fees .................. 18,850 32,790 7,068
Directors'/Trustees' fees ... 27,420 133,975 75
Registration fees ........... 17,453 38,972 --
Miscellaneous expenses ...... 44,984 224,688 48
------------- ------------- ----------
Expenses before reimbursement
and waiver from Investment
Adviser..................... 5,642,903 27,125,639 42,898
Expense reimbursement and
waiver from Investment
Adviser..................... -- -- (16,489)
------------- ------------- ----------
Net investment expenses 5,642,903 27,125,639 26,409
------------- ------------- ----------
Net investment income ....... 25,290,293 25,230,011 177,584
------------- ------------- ----------
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments ................ 149,757,396 473,688,781 (644,575)
Written options ............ 485,898 -- --
Futures and forward foreign
currency exchange contracts 2,768,463 4,392,204 --
Foreign currency related
transactions............... (3,422,147) (1,193,839) --
------------- ------------- ----------
Net realized gain (loss)
on investments ........ 149,589,610 476,887,146 (644,575)
------------- ------------- ----------
Net change in unrealized gain
or loss on:
Investments ................ (105,496,017) (650,170,889) 1,154,252
Futures, swap and forward
foreign currency exchange
contracts.................. (2,625,553) (4,723,017) --
Foreign currency related
transactions............... 227,264 170,404 --
------------- ------------- ----------
Net change in unrealized
gain or loss on
investments............ (107,894,306) (654,723,502) 1,154,252
------------- ------------- ----------
Net realized and change in
unrealized gain or loss on
investments................. 41,695,304 (177,836,356) 509,677
------------- ------------- ----------
Net increase (decrease) in
net assets resulting from
operations.................. $ 66,985,597 $(152,606,345) $ 687,261
============= ============= ==========
</TABLE>
See Notes to Financial Statements. 75
<PAGE>
GROWTH & INCOME PORTFOLIOS
STATEMENTS OF CHANGES IN NET ASSETS
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
BALANCED
-----------------------------------
SIX MONTH
PERIOD ENDED
JUNE 30, 2000 YEAR ENDED
(UNAUDITED) DECEMBER 31, 1999
-------------- -----------------
<S> <C> <C>
FROM OPERATIONS:
Net investment income .................. $ 25,290,293 $ 53,817,712
Net realized gain on investments........ 149,589,610 120,178,612
Net change in unrealized gain or loss on
investments............................ (107,894,306) 70,452,125
-------------- --------------
Net increase in net assets resulting
from operations....................... 66,985,597 244,448,449
-------------- --------------
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income.............. (13,714,138) (48,223,837)
From net realized gains................. (48,302,786) (208,911,250)
-------------- --------------
Decrease in net assets from
distributions to shareholders......... (62,016,924) (257,135,087)
-------------- --------------
FROM FUND SHARE TRANSACTIONS:
Proceeds from shares sold............... 5,554,566 157,690,824
Net asset value of shares issued upon
reinvestment of distributions......... 62,016,924 257,135,087
Payments for shares redeemed............ (150,221,688) (266,372,604)
-------------- --------------
Net increase (decrease) in net assets
from fund share transactions.......... (82,650,198) 148,453,307
-------------- --------------
Net change in net assets.............. (77,681,525) 135,766,669
NET ASSETS:
Beginning of period..................... 1,988,122,170 1,852,355,501
-------------- --------------
End of period........................... $1,910,440,645 $1,988,122,170
============== ==============
End of period net assets includes
undistributed net investment income.... $ 25,321,886 $ 13,745,731
============== ==============
SHARE TRANSACTIONS:
Number of shares sold................... 349,439 9,998,070
Number of shares issued upon
reinvestment of distributions......... 3,935,084 16,986,297
Number of shares redeemed............... (9,623,793) (17,037,037)
-------------- --------------
Net increase (decrease)................ (5,339,270) 9,947,330
============== ==============
</TABLE>
76 See Notes to Financial Statements.
<PAGE>
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
GROWTH AND INCOME
-----------------------------------
SIX MONTH
PERIOD ENDED
JUNE 30, 2000 YEAR ENDED
(UNAUDITED) DECEMBER 31, 1999
-------------- -----------------
<S> <C> <C>
FROM OPERATIONS:
Net investment income .................. $ 25,230,011 $ 86,464,211
Net realized gain on investments........ 476,887,146 1,812,766,127
Net change in unrealized gain or loss on
investments............................ (654,723,502) (332,937,379)
--------------- ---------------
Net increase (decrease) in net assets
resulting from operations............. (152,606,345) 1,566,292,959
--------------- ---------------
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income.............. (11,495,394) (96,551,194)
From net realized gains................. (388,659,565) (1,689,351,369)
--------------- ---------------
Decrease in net assets from
distributions to shareholders......... (400,154,959) (1,785,902,563)
--------------- ---------------
FROM FUND SHARE TRANSACTIONS:
Proceeds from shares sold............... 19,711,072 127,245,129
Net asset value of shares issued upon
reinvestment of distributions......... 399,974,819 1,785,140,798
Payments for shares redeemed............ (784,767,853) (1,464,338,336)
--------------- ---------------
Net increase (decrease) in net assets
from fund share transactions.......... (365,081,962) 448,047,591
--------------- ---------------
Net change in net assets.............. (917,843,266) 228,437,987
NET ASSETS:
Beginning of period..................... 10,029,490,357 9,801,052,370
--------------- ---------------
End of period........................... $ 9,111,647,091 $10,029,490,357
=============== ===============
End of period net assets includes
undistributed net investment income.... $ 13,956,730 $ 222,113
=============== ===============
SHARE TRANSACTIONS:
Number of shares sold................... 652,329 3,851,960
Number of shares issued upon
reinvestment of distributions.......... 13,485,329 59,832,318
Number of shares redeemed............... (26,028,542) (44,428,115)
--------------- ---------------
Net increase (decrease)................ (11,890,884) 19,256,163
=============== ===============
</TABLE>
See Notes to Financial Statements. 77
<PAGE>
GROWTH & INCOME PORTFOLIOS
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
REAL ESTATE
---------------------------------
SIX MONTH
PERIOD ENDED
JUNE 30, 2000 YEAR ENDED
(UNAUDITED) DECEMBER 31, 1999
------------- -----------------
<S> <C> <C>
FROM OPERATIONS:
Net investment income ..................... $ 177,584 $ 259,721
Net realized loss on investments........... (644,575) (306,821)
Net change in unrealized gain or loss on
investments............................... 1,154,252 (153,082)
----------- -----------
Net increase (decrease) in net assets
resulting from operations................ 687,261 (200,182)
----------- -----------
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income................. (4,565) (251,012)
----------- -----------
Decrease in net assets from distributions
to shareholders.......................... (4,565) (251,012)
----------- -----------
FROM FUND SHARE TRANSACTIONS:
Proceeds from shares sold.................. 4,923,237 9,414,409
Net asset value of shares issued upon
reinvestment of distributions............ 4,565 251,012
Payments for shares redeemed............... (5,109,255) (9,720,165)
----------- -----------
Net decrease in net assets from fund share
transactions............................. (181,453) (54,744)
----------- -----------
Net change in net assets................. 501,243 (505,938)
NET ASSETS:
Beginning of period........................ 4,993,680 5,499,618
----------- -----------
End of period.............................. $ 5,494,923 $ 4,993,680
=========== ===========
End of period net assets includes
undistributed net investment income....... $ 177,563 $ 4,544
=========== ===========
SHARE TRANSACTIONS:
Number of shares sold...................... 620,442 1,111,219
Number of shares issued upon reinvestment
of distributions......................... 518 34,350
Number of shares redeemed.................. (634,139) (1,144,282)
----------- -----------
Net increase (decrease)................... (13,179) 1,287
=========== ===========
</TABLE>
78 See Notes to Financial Statements.
<PAGE>
GROWTH & INCOME PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
1. ORGANIZATION
The Statements contained herein refer to Aetna Balanced VP, Inc. (Balanced),
Aetna Variable Fund d/b/a Aetna Growth and Income VP (Growth and Income) and
Aetna Real Estate Securities VP (Real Estate), a portfolio of Aetna Variable
Portfolios, Inc. (AVPI) (individually, a Portfolio, and collectively, the
Portfolios).
Balanced was incorporated under the laws of Maryland on December 14, 1988.
Growth and Income was organized under the laws of Massachusetts on January 25,
1984. AVPI was incorporated under the laws of Maryland on June 4, 1996. The
Articles of Incorporation of AVPI permit it to offer separate portfolios, each
of which has its own investment objective, policies and restrictions. AVPI
currently offers multiple separate portfolios, including Real Estate. Balanced,
Growth and Income, and AVPI are each registered under the Investment Company Act
of 1940 (the Act) as open-end management investment companies.
The following is each Portfolio's investment objective:
BALANCED seeks to maximize investment return, consistent with reasonable
safety of principal, by investing in a diversified portfolio of one or more
of the following asset classes: stocks, bonds and cash equivalents, based on
the judgement of the Fund's investment adviser, Aeltus Investment Management,
Inc. (Aeltus), of which of those sectors or mix thereof offers the best
investment prospects.
GROWTH AND INCOME seeks to maximize total return through investments in a
diversified portfolio of common stocks and securities convertible into common
stock. It is anticipated that capital appreciation and investment income will
both be major factors in achieving total return.
REAL ESTATE seeks maximum total return primarily through investment in a
diversified portfolio of equity securities of real estate companies, the
majority of which are real estate investment trusts (REITs).
Shares of the Portfolios are offered to insurance company separate accounts that
fund both annuity and life insurance contracts and to certain tax-qualified
retirement plans. At June 30, 2000, separate accounts of Aetna Life Insurance
and Annuity Company (ALIAC) and its affiliates held 98.6%, 97.8% and 100.0% of
Balanced, Growth and Income and Real Estate's shares outstanding, respectively.
Aeltus Investment Management, Inc. (Aeltus) serves as the investment adviser to
the Portfolios. ALIAC serves as the principal underwriter to each Portfolio.
Aeltus and ALIAC are both indirect wholly owned subsidiaries of Aetna Inc.
2. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
The accompanying financial statements of each Portfolio have been prepared in
accordance with generally accepted accounting principles. The preparation of
financial statements in conformity with generally accepted accounting principles
requires management to make estimates and assumptions that affect amounts
reported therein. Actual results could differ from these estimates.
A. VALUATION OF INVESTMENTS
Exchange traded equity investments are stated at market values based upon prices
furnished by external pricing sources as reported on national securities
exchanges. Over-the-counter securities are stated at the last sale price, or if
there has been no sale that day, at the mean of the bid and asked prices. Fixed
income securities, with the exception of high yield securities, maturing in more
than sixty days for which market quotations are readily available are valued at
the mean of the last bid and
79
<PAGE>
GROWTH & INCOME PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
asked price. High yield securities are priced at bid by external pricing sources
or brokers making a market in the security. Short-term investments maturing in
sixty days or less are valued at amortized cost, which when combined with
accrued interest, approximates market value. Securities and fixed income
investments for which market quotations are not considered to be readily
available are valued using methods approved by the Board of Directors/Trustees
(Board).
The accounting records of the Portfolios are maintained in U.S. dollars.
Investment securities and other assets and liabilities denominated in foreign
currencies are translated into U.S. dollars at the prevailing rates of exchange
at the end of each day. 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. The Portfolios do not isolate
the portion of the results of operations resulting from changes in foreign
exchange rates on investments from the fluctuations arising from changes in
their market prices. Such fluctuations are included in net realized and
unrealized gain or loss on investments.
B. OPTIONS CONTRACTS
The Portfolios may purchase and write (sell) call options and put 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 options
are 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. Realized and unrealized gains or losses on option contracts are reflected
in the accompanying financial statements.
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.
C. SWAP CONTRACTS
Balanced may enter into interest rate swaps, currency swaps and other types of
swap agreements, including swaps on securities and indices. A swap is an
agreement between two parties pursuant to which each party agrees to make one or
more payments to the other on regularly scheduled dates over a stated term,
based on different interest rates, currency exchange rates, security prices, the
prices or rates of other types of financial instruments or assets or the levels
of specified indices. During the term of the swap, changes in the value of the
swap are recognized as unrealized gains or losses by marking-to-market to
reflect the market value of the swap. When the swap is terminated, the Portfolio
will record a realized gain or loss. As of April 30, 2000, Balanced had entered
into a total return swap agreement wherein Balanced exchanged a U.S. Dollar 1
month LIBOR (London Interbank Offered Rate) less 0.15% contract for a Lehman
Corporate Bond Index contract. The terms of the contract provide for the index
differential to be settled on a monthly basis. For the period ended June 30,
2000 a net cash payment of $99,579 by Balanced was accrued in connection with
the total return swap agreement.
D. 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 invest in
financial futures contracts as a hedge against their existing portfolio
securities, to manage the risk of changes in interest rates, equity prices,
currency exchange rates or in anticipation of future purchases and sales of
securities.
80
<PAGE>
--------------------------------------------------------------------------------
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 fluctuations
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 the Portfolios 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 Portfolios, where authorized, may use
forward foreign currency exchange contracts to hedge against foreign currency
exchange rate risks on their non-U.S. dollar denominated portfolio securities.
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 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 financial futures and forward foreign
currency exchange contracts are reflected in the accompanying financial
statements. The amounts at risk under such futures and forward foreign currency
exchange contracts may exceed the amounts reflected in the financial statements.
The notional amounts (economic exposure) 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 reported to shareholders
as federal taxable income.
E. 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 those which can only be sold
under Rule 144A of the Securities Act of 1933 (1933 Act) or are securities
offered pursuant to Section 4(2) of the 1933 Act, and are subject to legal or
contractual restrictions on resale and may not be publicly sold without
registration under the 1933 Act. 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. The Portfolios will not pay the costs of
disposition of restricted securities other than ordinary brokerage fees, if any.
F. DELAYED DELIVERY TRANSACTIONS
The Portfolios 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 such securities are identified in the
Portfolios 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. In connection with such purchases, the Funds are required to hold
liquid assets as collateral with their custodian sufficient to cover the
purchase price.
G. FEDERAL INCOME TAXES
Each Portfolio has met the requirements to be taxed as a regulated investment
company for the year ended December 31, 1999, and intends to meet the
requirements for the current year. As such, each Portfolio is relieved of
federal income taxes by distributing all of its net taxable investment income
and capital gains, if any, in compliance with the applicable provisions of the
Internal Revenue Code (Code). Furthermore, by distributing substantially all of
its net taxable investment income and capital gains during the calendar year,
each Portfolio will avoid federal excise taxes in accordance with the applicable
provisions of the Code. Thus, the financial statements contain no provision for
federal income taxes.
81
<PAGE>
GROWTH & INCOME PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
H. DISTRIBUTIONS
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, certain
futures contracts, certain investments in foreign equity securities and
repurchases of certain securities sold at a loss. In addition, distributions of
realized gains from sales of securities held one year or less are taxable to
shareholders at ordinary income tax rates rather than preferred capital gain tax
rates in accordance with the applicable provisions of the Code.
I. LINE OF CREDIT
Balanced, Growth and Income, certain portfolios of AVPI, Aetna Generation
Portfolios, Inc., Aetna Income Shares, certain series of Aetna GET Fund and
certain series of Aetna Series Fund Inc., collectively Aetna Mutual Funds, have
entered into a revolving credit facility, of up to $300,000,000, with a
syndicate of banks led by Citibank, N.A. For its services as Agent, Citibank,
N.A. received an agent fee of $200,000. In addition, the revolving credit
facility requires the payment of an annual commitment fee of 0.09% based on the
average daily unused amount of the credit facility. Each of the Aetna Mutual
Funds will pay its pro rata share of both the agent fee and commitment fee.
Generally, borrowings under the facility accrue interest at the Federal Funds
Rate plus a specified margin. Repayments generally must be made within 30 days
after the date of a revolving credit advance. The revolving credit facility
became effective on November 30, 1999, and there was no outstanding balance as
of June 30, 2000.
J. 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 accreted or amortized, respectively, using an effective yield
method over the life of the 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.
3. INVESTMENT ADVISORY AND ADMINISTRATIVE FEES
Each Portfolio pays Aeltus an investment advisory fee expressed as a percentage
of its average daily net assets. Below are the Portfolios' annual investment
advisory fees as of June 30, 2000:
<TABLE>
<CAPTION>
ADVISORY FEE
------------
<S> <C>
Balanced 0.50%
Growth and Income 0.50%
Real Estate 0.75%
</TABLE>
Each Portfolio pays Aeltus an administrative services fee in exchange for
receiving certain administrative and shareholder services and to compensate
Aeltus for supervising the Portfolios' other service providers. Each Portfolio
pays Aeltus an administrative services fee at an annual rate based on its
average daily net assets. The rate for each Portfolio is 0.075% on the first $5
billion in assets and 0.050% on assets over $5 billion.
Aeltus has entered into a Service Agreement with ALIAC under which ALIAC will
provide various administrative and shareholder services for each Portfolio, in
exchange for fees payable by Aeltus, of up to 0.375% of the Portfolios' average
daily net assets. For the period ended June 30, 2000, Aeltus paid ALIAC
$14,091,468.
82
<PAGE>
--------------------------------------------------------------------------------
4. REIMBURSEMENT AND WAIVER FROM INVESTMENT ADVISER
Aeltus is contractually obligated through December 31, 2000 to reimburse Real
Estate for some or all of its operating expenses or to waive fees in order to
maintain a certain expense ratio. Reimbursement and waiver arrangements will
increase Real Estate's total return. Actual expenses for the period ended June
30, 2000 were at or below contractual limits. Actual expense ratios are included
in the Financial Highlights.
5. PURCHASES AND SALES OF INVESTMENT SECURITIES
Purchases and sales of investment securities, excluding short-term investments,
for the period ended June 30, 2000 were:
<TABLE>
<CAPTION>
COST OF PURCHASES PROCEEDS FROM SALES
----------------- -------------------
<S> <C> <C>
Balanced $1,998,666,310 $2,162,058,325
Growth and Income 7,231,918,370 7,726,980,919
Real Estate 4,362,352 3,976,100
</TABLE>
6. OPTIONS
For the period ended June 30, 2000, the following reflects the written call
activity:
<TABLE>
<CAPTION>
CALL OPTIONS WRITTEN
------------------------------------------------------
NUMBER OF PREMIUM REALIZED
CONTRACTS RECEIVED GAIN (LOSS)
BALANCED ------------------------------------------------------
<S> <C> <C> <C>
Outstanding December 31, 1999 -- $ -- $ --
Written 607,620 897,243 --
Closed (607,620) (897,243) 485,898
Exercised -- -- --
------------------------------------------------------
Outstanding June 30, 2000 -- $ -- $485,898
------------------------------------------------------
</TABLE>
83
<PAGE>
GROWTH & INCOME PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
7. FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
At June 30, 2000, Balanced and Growth and Income had open forward foreign
currency exchange contracts that obligate the Portfolio to deliver currencies at
specified future dates. Balanced incurred a net unrealized loss of $206,005 and
Growth and Income had a net unrealized gain of $26,935 on these contracts, which
are included in the accompanying financial statements. The terms of the open
contracts are as follows:
<TABLE>
<CAPTION>
EXCHANGE CONTRACTS IN EXCHANGE CONTRACTS UNREALIZED
DATE TYPE CURRENCY TO RECEIVE/DELIVER FOR AT VALUE GAIN (LOSS)
---- ---- -------- ------------------ --- -------- -----------
BALANCED
--------
<S> <C> <C> <C> <C> <C> <C>
7/5/00 Sell EURO 13,386,969 $12,721,904 $12,824,816 $(102,912)
7/5/00 Sell EURO 13,238,229 12,579,230 12,682,323 (103,093)
---------
$(206,005)
<CAPTION>
GROWTH AND INCOME
-----------------
<S> <C> <C> <C> <C> <C> <C>
7/17/00 Buy JPY 17,740,000 165,980 168,223 $ 2,243
7/5/00 Sell EURO 1,763,000 1,650,697 1,688,967 (38,270)
7/17/00 Sell JPY 487,417,830 4,677,714 4,622,039 55,675
8/31/00 Sell JPY 401,892,754 3,849,547 3,842,260 7,287
---------
$ 26,935
=========
</TABLE>
8. CAPITAL LOSS CARRYFORWARD
In accordance with applicable provisions of the Code, the following capital loss
carryforwards have been incurred as of June 30, 2000:
<TABLE>
<CAPTION>
CAPITAL LOSS
CARRYFORWARD EXPIRATION DATE
------------ ---------------
<S> <C> <C>
Real Estate $ 80,901 2006
275,183 2007
</TABLE>
These capital loss carryforwards may be used to offset future capital gains
until their respective expiration dates. It is the policy of Real Estate to
reduce future distributions of realized gains to shareholders to the extent of
unexpired capital loss carryforwards.
84
<PAGE>
GROWTH & INCOME PORTFOLIOS
ADDITIONAL INFORMATION
JUNE 30, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
FUND CLOSURE
On March 1, 2000 the Board considered and agreed to submit to shareholders a
proposal by Aeltus to liquidate Real Estate. The Portfolio was closed to new
investments on May 15, 2000. If approved by shareholders at a shareholders
meeting scheduled for July 28, 2000, the liquidation will occur on or about
September 1, 2000.
SUBSEQUENT EVENT
Aetna Inc. ("Aetna"), of which Aeltus Investment Management, Inc. ("Aeltus") is
an indirect wholly-owned subsidiary, has entered into an agreement to sell
certain of its businesses, including Aeltus, to ING Groep N.V. ("ING"), an
integrated financial services provider.
Consummation of the transaction is subject to a number of contingencies,
including regulatory and shareholder approvals and other closing conditions.
Under the Investment Company Act of 1940, the transaction would result in a
change in control of Aeltus and, therefore, constitute an assignment of the
Aetna variable funds' investment advisory agreements, which would result in a
termination of those agreements. Consequently, it is anticipated that Aeltus
will seek approval of new agreements from the Boards of the Aetna variable
funds, and the shareholders of each fund prior to consummation of the
transaction. The transaction is targeted to close by the end of 2000. Additional
information regarding the transaction and its impact upon the funds will be
provided to you in the near future.
85
<PAGE>
GROWTH & INCOME PORTFOLIOS
FINANCIAL HIGHLIGHTS
BALANCED
--------------------------------------------------------------------------------
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
SIX MONTH
PERIOD ENDING YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
JUNE 30, 2000 DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31,
(UNAUDITED) 1999 1998 1997 1996 1995
------------- ------------ ------------ ------------ ------------ --------------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of
period ............................ $ 15.57 $ 15.73 $16.03 $ 15.12 $ 14.50 $ 12.23
------- ------- ------ ------- ------- -------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income ............. 0.22 0.44 0.46 0.50+ 0.47+ 0.54+
Net realized and change in
unrealized gain or loss on
investments....................... 0.35 1.56 2.11 2.73 1.59 2.73
------- ------- ------ ------- ------- -------
Total from investment operations 0.57 2.00 2.57 3.23 2.06 3.27
------- ------- ------ ------- ------- -------
LESS DISTRIBUTIONS:
From net investment income ........ (0.12) (0.40) (0.39) (1.10) (0.35) (0.67)
From net realized gains on
investments....................... (0.41) (1.76) (2.48) (1.22) (1.09) (0.33)
------- ------- ------ ------- ------- -------
Total distributions ............. (0.53) (2.16) (2.87) (2.32) (1.44) (1.00)
------- ------- ------ ------- ------- -------
Net asset value, end of period ..... $ 15.61 $ 15.57 $15.73 $ 16.03 $ 15.12 $ 14.50
======= ======= ====== ======= ======= =======
Total return* ...................... 3.57% 13.60% 16.93% 22.49% 15.17% 27.23%
Net assets, end of period (millions) $ 1,910 $ 1,988 $1,852 $ 1,642 $ 1,364 $ 1,196
Ratio of net investment expenses to
average net assets ................ 0.59%(1) 0.59% 0.59% 0.58% 0.45% 0.31%
Ratio of net investment income to
average net assets ................ 2.66%(1) 2.81% 3.01% 3.01% 3.21% 3.96%
Portfolio turnover rate ............ 110.69% 135.71% 85.83% 112.03% 107.80% 141.21%
</TABLE>
(1) Annualized.
* The total return percentage does not reflect any separate account charges
under variable annuity contracts and life policies.
+ Per share date calculated using weighted average number of shares
outstanding throughout the period.
86 See Notes to Financial Statements.
<PAGE>
GROWTH AND INCOME
--------------------------------------------------------------------------------
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
SIX MONTH
PERIOD ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
JUNE 30, 2000 DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31,
(UNAUDITED) 1999 1998 1997 1996 1995
------------- ------------ ------------ ------------ ------------ --------------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of
period ............................ $30.69 $ 31.87 $ 33.63 $ 32.39 $29.05 $26.23
------ ------- ------- ------- ------ ------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income ............. 0.08 0.31 0.38 0.54+ 0.65+ 0.72+
Net realized and change in
unrealized gain or loss on
investments....................... (0.51) 4.86 4.47 8.94 6.45 7.62
------ ------- ------- ------- ------ ------
Total from investment operations (0.43) 5.17 4.85 9.48 7.10 8.34
------ ------- ------- ------- ------ ------
LESS DISTRIBUTIONS:
From net investment income ........ (0.04) (0.34) (0.40) (0.58) (0.73) (0.72)
From net realized gains on
investments....................... (1.28) (6.01) (6.21) (7.66) (3.03) (4.80)
------ ------- ------- ------- ------ ------
Total distributions ............. (1.32) (6.35) (6.61) (8.24) (3.76) (5.52)
------ ------- ------- ------- ------ ------
Net asset value, end of period ..... $28.94 $ 30.69 $ 31.87 $ 33.63 $32.39 $29.05
====== ======= ======= ======= ====== ======
Total return* ...................... (1.51)% 17.42% 14.49% 29.89% 24.46% 32.25%
Net assets, end of period (millions) $9,112 $10,029 $ 9,801 $ 9,188 $6,954 $5,662
Ratio of net investment expenses to
average net assets ................ 0.58%(1) 0.58% 0.57% 0.56% 0.43% 0.29%
Ratio of net investment income to
average net assets ................ 0.54%(1) 0.89% 1.03% 1.46% 2.02% 2.42%
Portfolio turnover rate ............ 79.36% 133.44% 145.64% 107.01% 85.03% 96.63%
</TABLE>
(1) Annualized.
* The total return percentage does not reflect any separate account charges
under variable annuity contracts and life policies.
+ Per share data calculated using weighted average number of shares
outstanding throughout the period.
See Notes to Financial Statements. 87
<PAGE>
GROWTH & INCOME PORTFOLIOS
FINANCIAL HIGHLIGHTS (CONTINUED)
REAL ESTATE
--------------------------------------------------------------------------------
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
PERIOD FROM
SIX MONTH DECEMBER 15, 1997
PERIOD ENDED YEAR ENDED YEAR ENDED (COMMENCEMENT OF
JUNE 30, 2000 DECEMBER 31, DECEMBER 31, OPERATIONS)
(UNAUDITED) 1999 1998 TO DECEMBER 31, 1997
------------- ------------ ------------ --------------------
<S> <C> <C> <C> <C>
Net asset value,
beginning of period ...... $ 7.73 $ 8.53 $ 10.31 $10.00
------ ------ ------- ------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income 0.28 0.52 0.45 0.05+
Net realized and change
in unrealized gain or
loss on investments...... 0.68 (0.90) (1.78) 0.31
------ ------ ------- ------
Total from investment
operations............. 0.96 (0.38) (1.33) 0.36
------ ------ ------- ------
LESS DISTRIBUTIONS:
From net investment
income................... (0.01) (0.42) (0.45) (0.05)
------ ------ ------- ------
Total distributions .... (0.01) (0.42) (0.45) (0.05)
------ ------ ------- ------
Net asset value, end
of period ................ $ 8.68 $ 7.73 $ 8.53 $10.31
====== ====== ======= ======
Total return* ............. 12.38% (4.22)% (12.85)% 3.59%
Net assets, end of
period (000's) ........... $5,495 $4,994 $ 5,500 $5,153
Ratio of net
investment expenses
to average net assets .... 0.95%(1) 0.95% 0.95% 0.95%(1)
Ratio of net
investment income to
average net assets ....... 6.41%(1) 5.05% 5.24% 9.99%(1)
Ratio of expenses
before reimbursement
and waiver to average
net assets ............... 1.55%(1) 1.49% 1.32% --
Portfolio turnover rate.... 75.52% 34.77% 55.79% --
</TABLE>
(1) Annualized.
* The total return percentage does not reflect any separate account charges
under variable annuity contracts and life policies.
+ Per share data calculated using weighted average number of shares
outstanding throughout the period.
88 See Notes to Financial Statements.
<PAGE>
Aetna Bond VP
Growth of $10,000
[The following was depicted as a line graph in the printed material.]
<TABLE>
<CAPTION>
Bond VP Dec-89 Dec-90 Dec-91 Dec-92 Dec-93 Dec-94 Dec-95
<S> <C> <C> <C> <C> <C> <C> <C>
Aetna Bond VP 10,000 10,911 13,031 14,002 15,357 14,774 17,468
Lehman Brothers Aggregate Bond Index 10,000 10,896 12,639 13,575 14,898 14,463 17,135
<CAPTION>
Bond VP Dec-96 Dec-97 Dec-98 Dec-99 Jun-00
<S> <C> <C> <C> <C> <C>
Aetna Bond VP 18,097 19,599 21,195 21,038 21,693
Lehman Brothers Aggregate Bond Index 17,757 19,471 21,089 20,986 21,823
</TABLE>
<TABLE>
<CAPTION>
---------------------------------------
Average Annual Total Returns
for the period ended June 30, 2000*
---------------------------------------
1 Year 5 Years 10 Years
---------------------------------------
<S> <C> <C>
3.55% 5.73% 7.71%
---------------------------------------
</TABLE>
*Total Return is calculated including reinvestment of income and capital gain
distributions. Performance does not take into account any separate account
charges imposed by Aetna. Past performance is no guarantee of future results.
Investment return and principal of an investment will fluctuate so that an
investor's shares, when redeemed, may be worth more or less than the original
cost.
AETNA BOND VP
HOW DID THE PORTFOLIO PERFORM DURING THE PERIOD?
Aetna Bond VP (Bond) generated a 3.12% total return, net of fund expenses, for
the six month period ended June 30, 2000. The benchmark, Lehman Brothers
Aggregate Bond Index(a), returned 3.99% for the same period.
WHAT ECONOMIC OR FINANCIAL MARKET CONDITIONS IMPACTED THE PORTFOLIO?
During the first quarter, U.S. Treasuries rallied as a reduced supply more than
offset the impact of strong growth and Federal Reserve Bank (Fed) interest rate
tightening. This condition reversed in the second quarter, as worries around
inflation and the eventual magnitude of Fed tightening required to slow the
economy and control inflation took center stage.
On the heels of 7.3% growth in Gross Domestic Product for the fourth quarter,
the first quarter remained strong at 5.5%. Combined with the previously
mentioned rise in inflation, this led the Fed to increase interest rates 100
basis points (1.00%) over the first half of 2000. (One basis point equals one
hundredth of one percent, or 0.01%.)
As we entered May and June, reports of economic data began showing evidence of a
slowdown. Inflation indicators were tame for both April and May, and other
economic reports showed decelerating growth and less pricing pressure. Combined
with a soft May employment report, these indicators led the Treasury market to
revert back to the bullish action of the first quarter.
See Definition of Terms. 89
<PAGE>
For the first six months, the ten-year Treasury declined in yield by 41 basis
points. The yield curve inverted as Fed tightening caused the two-year Treasury
to increase by 12 basis points, while the thirty-year Treasury declined in yield
by 58 basis points. (An inverted yield curve occurs when short-term interest
rates are higher than long-term interest rates.)
With Fed tightening, spread products underperformed Treasuries by a wide margin
in the first quarter, while recovering somewhat in the second quarter as
evidence of a slowdown came into focus. For the six months, corporate bonds
(-265 basis points) were the weakest performers, while mortgage-backed
securities (-51 basis points), agencies (-113 basis points), asset backed
securities (-26 basis points), and collateral mortgage-backed securities (-121
basis points) all showed negative returns compared to Treasuries of equal
duration.
WHAT INVESTMENTS INFLUENCED THE PORTFOLIO'S PERFORMANCE OVER THE PAST SIX
MONTHS?
Performance was positively impacted by an underweight position in corporate
bonds, mortgage-backed securities, and agencies at the beginning of the year.
However, we switched to an overweight position in spread sectors later in the
first quarter; the continued poor performance of spread product had an adverse
impact on overall performance for the remainder of the period.
Overall, duration was mixed. A short duration posture through much of the first
quarter was a detriment to overall returns; we underestimated the impact of
reduced Treasury supply, and Treasuries rallied in the face of Fed tightening.
However, we held a short duration through much of the April sell-off, and
neutral to modestly long during the rally in mid-May, leading to gains. Our
short duration posture during June showed modest negative results as Treasuries
rallied early, then retreated.
WHAT IS YOUR OUTLOOK GOING FORWARD?
While recent economic data has been weaker and the Fed chose not to raise
interest rates at their June meeting, we do not believe we have seen the end of
the tightening. Growth rates remain above trend, continuing to be driven by the
wealth effect. We do not believe inflation fears have been put to rest by a
couple of good numbers. We contend higher rates are needed to slow the economy
and relieve labor market pressures, and we will bias our duration to the shorter
side in anticipation of the higher rates.
With the narrowing of spreads in June having been driven by the market
expectation that the Fed is on hold, we expect to trend toward an underweight
position in spread products. This is based on our belief that the market is
underestimating the extent of Fed tightening needed to slow the economy. We
expect to implement this underweight mainly in the credit-sensitive sectors
(i.e. corporate bonds, and, to a lesser extent, agencies). We believe that the
credit cycle has peaked, and we could see some strain on credit as the
imbalances in the economy unwind.
Within the higher risk sectors (BBB corporates) we expect to stay defensive,
with only modest exposure.
<TABLE>
<CAPTION>
------------------------------------------
QUALITY RATINGS
------------------------------------------
<S> <C>
AAA 72.3%
AA 0.9%
A 12.7%
BBB 3.5%
BB 1.4%
B 3.2%
N/R/+ 6.0%
</TABLE>
90 See Definition of Terms.
<PAGE>
<TABLE>
<CAPTION>
------------------------------------------
WEIGHTED AVERAGE LIFE TO MATURITY
------------------------------------------
<S> <C>
0 - 1 years 21.9%
1 - 5 years 10.9%
5 - 10 years 29.9%
10 - 20 years 3.2%
20 + years 34.1%
</TABLE>
+ The Not Rated (N/R) indication is used by securities rating services (such as
Standard & Poor's or Moody's) and mercantile agencies (such as Dun & Bradstreet)
to show that a security or a company has not been rated. It has neither negative
nor positive implications.
The opinions expressed reflect those of the portfolio manager only through June
30, 2000. The manager's opinions are subject to change at any time based on
market and other conditions. The composition, industries and holdings of the
Portfolio are subject to change.
See Definition of Terms. 91
<PAGE>
Aetna High Yield VP
Growth of $10,000
[The following was depicted as a line graph in the printed material.]
<TABLE>
<CAPTION>
High Yield VP 12/10/97 12/31/97 12/31/98 12/31/99 6/30/2000
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Aetna High Yield VP 10,000 10,150 10,813 10,873 9,982 10,122 10,637 10,578 10,422 10,837 10,713 10,831
Merrill Lynch High
Yield Aggregate
Index 10,000 10,058 10,337 10,511 10,135 10,425 10,538 10,609 10,476 10,589 10,399 10,464
</TABLE>
<TABLE>
<CAPTION>
---------------------------------------
Average Annual Total Returns
for the period ended June 30, 2000*
---------------------------------------
Inception Date 1 Year Inception
---------------------------------------
<S> <C> <C>
12/10/97 2.38% 3.17%
---------------------------------------
</TABLE>
*Total Return is calculated including reinvestment of income and capital gain
distributions. Performance does not take into account any separate account
charges imposed by Aetna. Past performance is no guarantee of future results.
Investment return and principal of an investment will fluctuate so that an
investor's shares, when redeemed, may be worth more or less than the original
cost.
AETNA HIGH YIELD VP
HOW DID THE PORTFOLIO PERFORM DURING THE PERIOD?
Aetna High Yield VP (High Yield) generated a -0.05% total return, net of fund
expenses, for the six month period ended June 30, 2000. The benchmark, Merrill
Lynch High Yield Master Index(b), returned -1.19% for the same period.
WHAT ECONOMIC OR FINANCIAL MARKET CONDITIONS IMPACTED THE PORTFOLIO?
High yield funds have seen steady outflows of cash in the face of accelerating
inflation pressures and the corresponding rising interest rate environment. This
reversed itself in June, with over $1 billion returning to high yield funds for
the first time in seven months. However, it is too soon to tell whether this
positive momentum will continue.
The decreased demand for high yield bonds has put pressure on bond prices and
caused returns to be significantly below U.S. Treasury securities in the 7 to 10
year maturity range over most of this time period. Fear of steadily rising
defaults in the face of tightening credit measures has further pressured the
high yield market.
WHAT INVESTMENTS INFLUENCED THE PORTFOLIO'S PERFORMANCE OVER THE PAST SIX
MONTHS?
Over-weighting the wireless telecommunications and technology sectors
contributed to the Portfolio's positive performance for the six-month period, as
did security selection in European dollar-denominated securities. These positive
returns were somewhat offset by an over-weighting in the competitive local
exchange portion of the telecommunications sector, which
92 See Definition of Terms.
<PAGE>
underperformed the larger sector.
Shorter-duration, step-up coupon securities held in the Portfolio were less
volatile during the period and contributed to positive performance, as did
holding a higher than usual percentage of cash over much of the period. Security
selection in the energy, gaming and paper sectors further enhanced performance,
as did avoiding underperforming sectors, including healthcare and retail.
Detracting from the Portfolio's performance was the expected restructuring of
Dimac and United Artists Theatre, which caused these distressed securities to
fall further.
WHAT IS YOUR OUTLOOK GOING FORWARD?
Yields in the high yield market have risen to levels higher than any observed
since the 1990-91 high yield crisis. Default rates, which appeared to have
stabilized during the first quarter, have increased again as companies face
tightened credit standards and selective access to capital markets. The
percentage of securities trading at distressed levels continues to be high,
weighing heavily on the market. Liquidity in the market remains tenuous, as
demand for high yield paper has not returned in force.
A catalyst for significant improvement in the high yield market is unlikely to
arise until we see stabilization in the interest rate environment, which we do
not believe we have yet seen.
High yielding fixed income securities are subject to greater market fluctuations
and risk of loss of income and principal than investments in lower yielding
fixed income securities.
<TABLE>
<CAPTION>
---------------------------------------
QUALITY RATINGS
---------------------------------------
<S> <C>
AA 2.6%
BBB 2.5%
BB 10.0%
B 64.6%
CCC 11.2%
CC 2.5%
N/R/+ 6.5%
Defaulted Security 0.1%
</TABLE>
<TABLE>
<CAPTION>
---------------------------------------
MATURITY DISTRIBUTION
---------------------------------------
<S> <C>
0 - 1 years 13.8%
1 - 5 years 4.5%
5 - 10 years 77.3%
10 - 20 years 4.4%
</TABLE>
+ The Not Rated (N/R) indication is used by securities rating services (such as
Standard & Poor's or Moody's) and mercantile agencies (such as Dun & Bradstreet)
to show that a security or a company has not been rated. It has neither negative
nor positive implications.
The opinions expressed reflect those of the portfolio manager only through June
30, 2000. The manager's opinions are subject to change at any time based on
market and other conditions. The composition, industries and holdings of the
Portfolio are subject to change.
See Definition of Terms. 93
<PAGE>
Aetna Money Market VP
Growth of $10,000
[The following was depicted as a line graph in the printed material.]
<TABLE>
<CAPTION>
Money Market VP Dec-89 Dec-90 Dec-91 Dec-92 Dec-93 Dec-94 Dec-95
<S> <C> <C> <C> <C> <C> <C> <C>
Aetna Money Market VP 10,000 10,844 11,552 11,976 12,358 12,864 13,642
IBC's Money Fund Average/All Taxable 10,000 10,756 11,354 11,733 12,047 12,491 13,159
<CAPTION>
Money Market VP Dec-96 Dec-97 Dec-98 Dec-99 Jun-00
<S> <C> <C> <C> <C> <C>
Aetna Money Market VP 14,374 15,161 15,988 16,800 17,295
IBC's Money Fund Average/All Taxable 13,795 14,481 15,196 16,424 16,865
</TABLE>
<TABLE>
<CAPTION>
---------------------------------------
Average Annual Total Returns
for the period ended June 30, 2000*
---------------------------------------
1 Year 5 Years 10 Years
---------------------------------------
<S> <C> <C>
5.72% 5.47% 5.21%
---------------------------------------
</TABLE>
* Total Return is calculated including reinvestment of income and capital gain
distributions. Performance does not take into account any separate account
charges imposed by Aetna. Past performance is no guarantee of future results.
Investment return and principal of an investment will fluctuate so that an
investor's shares, when redeemed, may be worth more or less than the original
cost.
AETNA MONEY MARKET VP
HOW DID THE PORTFOLIO PERFORM DURING THE PERIOD?
Aetna Money Market VP (Money Market) generated a 2.95% total return, net of fund
expenses, for the six month period ended June 30, 2000. The benchmark, IBC's
Money Funds Report Average/All Taxable Index(c), returned 2.68% for the same
period. As of June 30, 2000, the Fund reported a 7-day yield of 6.33% with an
average weighted maturity of 54 days.
WHAT ECONOMIC OR FINANCIAL MARKET CONDITIONS IMPACTED THE PORTFOLIO?
The past six months have been marked by a succession of Federal Open Market
Committee (FOMC) tightenings and volatile spreads. The Federal Reserve (Fed)
raised the Fed Funds rate three times, or 100 basis points, so far this year in
its effort to contain inflation. (One basis point equals one hundredth of one
percent, or 0.01%.)
The beginning of the period saw spread tightening as investor demand
overshadowed supply. As we moved into the second calendar quarter, interest rate
jitters and heavy supply pushed spreads wider on all fixed rate products, with
most of the movement taking place in May. Although long term securities
performed well in June, yields of money market instruments increased due to
quarter-end pressure.
Asset-backed issuance for the second quarter was the third largest quarter in
history. This surge in supply caused spreads to widen considerably.
94 See Definition of Terms.
<PAGE>
WHAT INVESTMENTS INFLUENCED THE PORTFOLIO'S PERFORMANCE OVER THE PAST SIX
MONTHS?
The Portfolio's over-weighting in floating rate instruments enabled it to
quickly reflect Fed tightenings. Numerous asset-backed securities purchases were
made as spreads in that sector widened. The Portfolio strategically adjusted its
weighted average maturity, shortening its days before anticipated FOMC
tightenings and lengthening at the end of June, in order to maximize the
benefits of higher yields.
WHAT IS YOUR OUTLOOK GOING FORWARD?
While recent economic data have been weaker and the Fed chose not to raise
interest rates at their June meeting, we do not believe we've seen the end of
the tightening. Growth rates remain above trend, continuing to be driven by the
wealth effect. We do not feel inflation fears have been put to rest by a couple
of good numbers. Higher interest rates are needed to slow the economy and
relieve labor market pressures. We will bias our weighted average maturity to
the shorter side in anticipation of the higher rates. We will continue to
strategically adjust our weighted average maturity and cash maturities so that
we can capture higher yields as soon as possible.
Pressure on asset-backed spreads should continue in the near term. We plan to
add to the asset-backed sector while this pressure continues, in order to
enhance both the yield and overall credit quality of the portfolio.
An investment in the Fund is not insured or guaranteed by the Federal Deposit
Insurance Corporation or any other government agency. The fund is a money market
fund which does not seek to maintain a stable $1.00 net asset value. While the
fund's management objective includes the preservation of capital, it is possible
to lose money by investing in the fund.
<TABLE>
<CAPTION>
-----------------------------------------
QUALITY RATINGS*
-----------------------------------------
<S> <C>
Tier 1 99.5%
Tier 2 0.5%
</TABLE>
<TABLE>
<CAPTION>
-----------------------------------------
MATURITY DISTRIBUTION
-----------------------------------------
<S> <C>
1 - 30 days 39.3%
31 - 60 days 12.4%
61 - 90 days 6.5%
91 - 120 days 4.6%
121 - 180 days 2.5%
181 - 397 days 34.7%
</TABLE>
* Tier 1 securities are, or are comparable to, securities which are rated in the
highest short-term rating category by at least two nationally recognized
statistical rating organizations (NRSROs) or by the only NRSRO that has rated
the security. Tier 2 securities are securities that have received the requisite
rating in one of the two highest categories, but are not Tier 1.
The opinions expressed reflect those of the portfolio manager only through June
30, 2000. The manager's opinions are subject to change at any time based on
market and other conditions. The composition, industries and holdings of the
Portfolio are subject to change.
See Definition of Terms. 95
<PAGE>
--------------------------------------------------------------------------------
DEFINITION OF TERMS
--------------------------------------------------------------------------------
(a) The Lehman Brothers Aggregate Bond Index is an unmanaged index and is
composed of securities from Lehman Brothers Government/Corporate Bond Index,
Mortgage-Backed Securities Index and the Asset-Backed Securities Index.
(b) The Merrill Lynch High Yield Master Index is an unmanaged index of secured
and subordinated debt securities rated by Standard & Poor's or by Moody's
Investors Service as less than investment grade (i.e. BBB or Baa) but not in
default.
(c) The IBC's Money Fund Average/All Taxable Index is an average of the returns
of more than 250 money market mutual funds surveyed each month by
IBC/Donaghue, Inc.
The unmanaged indices described above are not available for individual
investment.
96
<PAGE>
INCOME PORTFOLIOS
PORTFOLIO OF INVESTMENTS - JUNE 30, 2000 (UNAUDITED)
BOND
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------ -------------
<S> <C> <C>
PREFERRED STOCKS (0.2%)
Global Crossing Holdings Ltd. ........ 12,000 $ 1,140,000
-------------
TOTAL PREFERRED STOCKS
(COST $1,194,000) 1,140,000
-------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
------------
<S> <C> <C>
PUT OPTIONS PURCHASED (0.0%)
Euro Option Put .9568, 07/06/00 ...... $ 29,396,000 192,181
Euro Option Put .9570, 07/06/00 ...... 16,331,111 95,955
-------------
TOTAL PUT OPTIONS PURCHASED (COST $673,977) 288,136
-------------
LONG-TERM BONDS AND NOTES (86.2%)
CORPORATE BONDS (18.7%)
AEROSPACE/DEFENSE (0.3%)
United Technologies
Corp., 7.50%, 09/15/29............... 1,750,000 1,728,895
-------------
CORPORATE FINANCE (4.1%)
Associates Corp. N.A., 6.25%, 11/01/08 3,100,000 2,779,925
CIT Holdings LLC, 6.88%, 02/16/05 .... 550,000 525,789
Ford Motor Credit Corp., 7.38%, 10/28/09 2,845,000 2,751,883
Ford Motor Credit Corp., 7.50%, 03/15/05 6,420,000 6,371,850
General Electric Capital
Corp., 7.38%, 01/19/10 ............. 2,055,000 2,079,783
General Electric Capital
Corp., 8.30%, 09/20/09 .............. 2,205,000 2,367,464
General Motors Acceptance
Corp., 7.75%, 01/19/10............... 5,370,000 5,338,586
Household Finance Corp., 7.88%, 03/01/07 1,215,000 1,210,286
Textron Financial Corp., 7.13%, 12/09/04 4,080,000 3,999,339
-------------
27,424,905
-------------
CORPORATE FOREIGN (2.2%)
Diageo Capital Plc, 7.25%, 11/01/09 .. 1,945,000 1,949,979
Flag Telecom Holding
Ltd., 11.63%, 03/30/10............... 1,200,000 1,164,000
Global Crossing Holdings
Ltd., 9.13%, 11/15/06................ 1,410,000 1,364,175
Global Crossing Holdings
Ltd., 9.50%, 11/15/09................ 1,200,000 1,152,000
Impsat Fiber Networks, 13.75%, 02/15/05 4,900,000 4,397,750
International Bank Reconstruction &
Development, 7.00%, 01/27/05......... 875,000 874,729
RSL Communications Plc, 10.50%, 11/15/08 1,670,000 1,135,600
Telewest Communications Plc,
Zero Coupon, 02/01/10 ............... 1,300,000 698,750
Telewest Communications Plc,
11.00%, 10/01/07 .................... 1,005,000 954,750
Tembec Industries Inc., 8.63%,0 6/30/09 940,000 893,000
-------------
14,584,733
-------------
CORPORATE INDUSTRIAL - BASIC INDUSTRY (0.2%)
Huntsman ICI Chemicals, 10.13%, 07/01/09 1,175,000 1,180,875
-------------
CORPORATE INDUSTRIAL - CAPITAL GOODS (1.4%)
Allied Waste North
America, 10.00%, 08/01/09............ 1,645,000 1,390,025
Bombardier Capital Inc., 7.30%, 12/15/02 2,765,000 2,719,248
Honeywell International, 7.50%, 03/01/10 3,630,000 3,637,278
Raytheon Co., 8.30%, 03/01/10 ........ 1,810,000 1,822,851
-------------
9,569,402
-------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
------------ -------------
<S> <C> <C>
CORPORATE BONDS (CONTINUED)
CORPORATE INDUSTRIAL - CONSUMER CYCLICAL (2.1%)
Charter Communications Holding
LLC, 10.25%, 01/15/10................ $ 900,000 $ 866,250
CSC Holdings Inc., 7.88%, 02/15/18 ... 1,450,000 1,333,733
CSC Holdings Inc., 8.13%, 07/15/09 ... 1,480,000 1,428,200
DaimlerChrysler NA Holdings
Inc., 7.20%, 09/01/09................ 3,580,000 3,446,430
Ford Motor Co., 7.45%, 07/16/31 ...... 2,610,000 2,468,356
Time Warner Inc., 8.11%, 08/15/06 .... 795,000 809,437
Wal-Mart Stores, 6.88%, 08/10/09 ..... 1,800,000 1,758,366
Wal-Mart Stores, 7.55%, 02/15/30 ..... 1,760,000 1,801,589
-------------
13,912,361
-------------
CORPORATE INDUSTRIAL - CONSUMER NON-CYCLICAL (0.3%)
Pepsi Bottling Holdings
Inc., 5.63%, 02/17/09................ 2,590,000 2,312,481
-------------
CORPORATE INDUSTRIAL - ENERGY (0.5%)
Baker Hughes Inc., 6.25%, 01/15/09 ... 430,000 394,680
Baker Hughes Inc., 6.88%, 01/15/29 ... 1,205,000 1,074,173
Texaco Capital, Inc., 5.50%, 01/15/09. 1,890,000 1,668,605
-------------
3,137,458
-------------
CORPORATE UTILITIES (4.3%)
Coastal Corp., 6.50%, 05/15/06 ....... 3,475,000 3,293,223
Duke Energy Corp., 7.38%, 03/01/10 ... 2,465,000 2,424,746
GTE California Inc.,7.65%,03/15/07 ... 2,915,000 2,908,791
ICG Holdings Inc., Zero Coupon, 05/01/06 2,030,000 1,679,825
ICG Holdings Inc., Zero Coupon, 03/15/07 470,000 324,300
Keyspan Gas East, 7.88%, 02/01/10 .... 2,460,000 2,463,050
Metromedia International Group,
Inc., 10.00%, 11/15/08............... 350,000 345,625
MGC Communications Inc.,
13.00%, 04/01/10 ++ ................. 700,000 658,000
Nextlink Communications,
Zero Coupon, 06/01/09 ............... 800,000 496,000
Qwest Communications International
Inc., 7.50%, 11/01/08................ 2,100,000 2,033,661
Sempra Energy, 7.95%, 03/01/10 ....... 1,480,000 1,492,539
Texas Utilities Co., 8.25%, 04/01/04 . 2,700,000 2,733,264
Viatel, Inc., 11.25%, 04/15/08 ....... 800,000 592,000
Winstar Communications,
Inc., 12.50%, 04/15/08............... 580,000 551,000
WorldCom, Inc., 8.00%, 05/15/06 ...... 2,435,000 2,476,931
WorldCom, Inc., 8.25%, 05/15/10 ...... 4,379,000 4,492,022
-------------
28,964,977
-------------
ELECTRIC COMPANIES (0.6%)
Dominion Resources,
Inc., 8.13%, 06/15/10................ 1,365,000 1,377,579
Edison International
Inc., 6.88%, 09/15/04................ 2,980,000 2,892,060
-------------
4,269,639
-------------
ELECTRICAL EQUIPMENT (0.3%)
Emerson Electric Co., 7.88%, 06/01/05 1,795,000 1,845,296
-------------
MACHINERY - DIVERSIFIED (0.1%)
Deere & Co., 8.10%, 05/15/30 ......... 730,000 711,027
-------------
MAJOR TELECOMMUNICATIONS (0.2%)
J. Seagram & Sons, 7.60%,12/15/28 .... 1,225,000 1,169,973
-------------
</TABLE>
See Notes to Portfolio of Investments. 97
<PAGE>
INCOME PORTFOLIOS
PORTFOLIO OF INVESTMENTS - JUNE 30, 2000 (UNAUDITED)
BOND (CONTINUED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
------------ -------------
<S> <C> <C>
CORPORATE BONDS (CONTINUED)
NATURAL GAS - DISTR - PIPE LINE (0.5%)
Tennessee Gas Pipeline, 7.00%, 10/15/28 $ 4,080,000 $ 3,573,631
-------------
OIL & GAS (REFINING & MKTG) (0.3%)
Valero Energy Corp., 8.75%, 06/15/30.. 2,010,000 2,052,813
-------------
OIL (INT'L INTEGRATED) (0.5%)
Phillips Petroleum Co., 8.75%, 05/25/10 3,210,000 3,381,478
-------------
TELEPHONE (0.8%)
Deutche Telekom Int. Finance,
8.25%, 06/15/30 # ................... 2,355,000 2,391,691
U.S. West Communications
Group, 7.20%, 11/01/04............... 3,180,000 3,124,000
-------------
5,515,691
-------------
TOTAL CORPORATE BONDS (COST $125,907,100) 125,335,635
-------------
FOREIGN AND SUPRANATIONALS (0.7%)
CORPORATE FOREIGN (0.7%)
Inter-American Development
Bank, 7.38%, 01/15/10................ 750,000 769,808
Tyco International Group SA,
6.38%, 06/15/05 ..................... 3,750,000 3,577,238
-------------
TOTAL FOREIGN AND SUPRANATIONALS
(COST $4,315,551) 4,347,046
-------------
FOREIGN OBLIGATIONS (4.4%)
CORPORATE FOREIGN (4.3%)
Bundesobligation, 4.25%, 11/26/04 .... 2,800,000 2,600,039
Bundesrepub, 6.00%, 07/04/07 ......... 12,650,000 12,653,638
French Treasury Note, 5.00%, 07/12/05. 14,100,000 13,441,766
-------------
28,695,443
-------------
CORPORATE INDUSTRIAL - CONSUMER CYCLICAL (0.1%)
NTL Inc., Zero Coupon, 02/01/06 ...... 800,000 736,000
-------------
TOTAL FOREIGN OBLIGATIONS (COST $28,931,441) 29,431,443
-------------
NON-AGENCY MORTGAGE-BACKED SECURITIES (0.1%)
U.S. MORTGAGE BACKED - OTHER (0.1%)
Security Pacific National
Bank, 8.50%, 04/25/17 (Yen) ......... 772,985 772,985
-------------
TOTAL NON-AGENCY MORTGAGE-BACKED SECURITIES
(COST $772,720) 772,985
-------------
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (28.8%)
U.S. MORTGAGE BACKED - FHLMC (12.1%)
Federal Home Loan Mortgage
Corp., 6.88%, 01/15/05............... 18,760,000 18,642,750
Federal Home Loan Mortgage
Corp., 7.00%, 03/15/10............... 27,625,000 27,392,259
Federal Home Loan Mortgage
Corp., 7.00%, 07/14/25 # ............ 21,600,000 20,872,728
Federal Home Loan Mortgage
Corp., 7.50%, 12/01/11............... 2,666,000 2,666,000
Federal Home Loan Mortgage
Corp., 8.00%, 07/15/30 # ............ 11,500,000 11,564,745
-------------
81,138,482
-------------
U.S. MORTGAGE BACKED - FNMA (16.7%)
Federal National Mortgage
Association, 6.50%, 07/25/15 # ...... 5,500,000 5,301,890
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
------------ -------------
<S> <C> <C>
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES
(CONTINUED)
Federal National Mortgage
Association, 6.50%, 09/25/23......... $ 8,000,000 $ 7,547,440
Federal National Mortgage
Association, 6.63%, 09/15/09 *....... 9,835,000 9,498,446
Federal National Mortgage
Association, 7.00%, 11/15/25 # ...... 33,900,000 32,729,433
Federal National Mortgage
Association, 7.00%, 01/01/30......... 7,395,939 7,139,374
Federal National Mortgage
Association, 7.25%, 01/15/10......... 17,315,000 17,489,362
Federal National Mortgage
Association, 7.50%, 07/01/11......... 1,534,000 1,532,558
Federal National Mortgage
Association, 8.00%, 07/15/30 # ...... 30,300,000 30,427,866
-------------
111,666,369
-------------
TOTAL U.S. GOVERNMENT AGENCY MORTGAGE-BACKED
SECURITIES (COST $191,892,960) 192,804,851
-------------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (20.2%)
U.S. GOVERNMENT - AGENCY (0.9%)
Small Business Administration
92-20K, 7.55%, 11/01/12.............. 6,049,688 6,006,391
-------------
U.S. MORTGAGE BACKED - FNMA (14.7%)
Federal National Mortgage
Association, 6.00%, 07/01/29......... 7,132,441 6,528,394
Federal National Mortgage
Association, 6.50%, 08/01/29 * ...... 43,642,857 41,187,947
Federal National Mortgage
Association, 6.63%, 09/15/09......... 12,995,000 12,554,340
Federal National Mortgage
Association, 7.00%, 08/01/25-03/01/26 7,724,868 7,486,488
Federal National Mortgage
Association, 7.50%, 11/01/28......... 13,750,298 13,578,419
Federal National Mortgage
Association, 8.50%, 11/01/23-12/01/29 12,931,693 13,176,859
Federal National Mortgage
Association, 10.00%, 02/25/19........ 3,364,779 3,570,872
-------------
98,083,319
-------------
U.S. MORTGAGE BACKED - GNMA (4.6%)
Government National Mortgage
Association, 6.00%, 12/20/29-01/20/30 10,553,034 10,377,006
Government National Mortgage
Association, 6.38%, 04/20/28......... 3,269,161 3,267,134
Government National Mortgage
Association, 6.50%, 01/20/30......... 7,391,110 7,343,733
Government National Mortgage
Association, 7.00%, 04/15/26......... 6,292,516 6,121,424
Government National Mortgage
Association, 10.50%, 02/15/13-01/15/21 3,384,404 3,642,828
-------------
30,752,125
-------------
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS
(COST $136,520,118) 134,841,835
-------------
</TABLE>
98 See Notes to Portfolio of Investments.
<PAGE>
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
------------ -------------
<S> <C> <C>
U.S. GOVERNMENT OBLIGATIONS (13.3%)
U.S. GOVERNMENT - TREASURY (13.3%)
U.S. Treasury Bond, 6.25%, 02/15/07 .. $ 565,000 $ 565,441
U.S. Treasury Note, 5.75%, 11/30/02 * 2,698,000 2,658,798
U.S. Treasury Note, 6.13%, 08/15/29 # 6,598,000 6,663,980
U.S. Treasury Note, 6.25%, 05/15/30 * 5,969,000 6,262,794
U.S. Treasury Note, 6.50%, 02/15/10 * 56,323,000 58,250,373
U.S. Treasury Note, 6.75%, 05/15/05 .. 11,875,000 12,151,450
U.S. Treasury Note, 7.00%, 07/15/06 * 2,405,000 2,492,181
-------------
89,045,017
-------------
TOTAL U.S. GOVERNMENT OBLIGATIONS
(COST $88,450,662) 89,045,017
-------------
TOTAL LONG-TERM BONDS AND NOTES (COST
$576,790,552) 576,578,812
-------------
SHORT-TERM INVESTMENTS (23.2%)
Crown Cork & Seal Co., Inc.,
6.90%, 07/12/00 * ................... 12,000,000 11,898,233
Houston Industries Finance,
7.00%, 08/02/00 * ................... 15,000,000 14,912,500
Houston Industries Finance,
7.15%, 07/13/00 * ................... 15,000,000 14,970,209
Hughes Electronics
Corp., 7.23%, 09/01/00 * ............ 15,000,000 14,828,700
Hughes Electronics
Corp., 7.30%, 09/18/00 * ............ 9,000,000 8,867,700
Norfolk Southern Corp.,
7.00%, 08/14/00 *.................... 15,000,000 14,879,400
Peco Energy Co., 7.45%, 07/05/00 ..... 30,000,000 29,987,583
PHH Corp., 7.30%, 07/03/00 ........... 14,544,000 14,544,000
U.S. Treasury Bill, 5.89%, 11/09/00 @ 100,000 97,903
U.S. Treasury Bill, 5.96%, 11/09/00 @ 100,000 97,903
U.S. Treasury Bill, 6.14%, 11/09/00 @ 835,000 817,490
Viacom International
Inc., 7.40%, 07/06/00................ 29,000,000 28,982,117
-------------
TOTAL SHORT-TERM INVESTMENTS
(COST $154,863,264) 154,883,738
-------------
TOTAL INVESTMENTS
(COST $733,521,793)(A) 732,890,686
OTHER ASSETS LESS LIABILITIES (64,103,246)
-------------
TOTAL NET ASSETS $668,787,440
=============
NOTES TO PORTFOLIO OF INVESTMENTS
(a) The cost of investments for federal income tax purposes amounts to
$763,062,242. Unrealized gains and losses, based on identified tax cost at
June 30, 2000, are as follows:
Unrealized gains........................... $ 9,406,864
Unrealized losses.......................... (39,578,420)
-------------
Net unrealized loss....................... $(30,171,556)
=============
</TABLE>
Information concerning open futures contracts at June 30, 2000 is shown below:
<TABLE>
<CAPTION>
NO. OF NOTIONAL EXPIRATION UNREALIZED
CONTRACTS VALUE DATE GAIN/(LOSS)
---------- -------------- ----------- -----------------
SHORT CONTRACTS
----------------------
<S> <C> <C> <C> <C>
U.S. 2 Yr. Treasury
Bond.................. 66 $(13,092,750) Sep 00 $ (96,830)
U.S. 10 Yr. Treasury
Bond.................. 32 (3,151,500) Sep 00 (77,660)
U.S. 20 Yr. Treasury
Bond.................. 382 (37,185,312) Sep 00 (1,270,269)
------------- ---------------
$(53,429,562) $ (1,444,759)
============= ===============
</TABLE>
Information concerning the following swap contract at June 30, 2000 is shown
below:
<TABLE>
<S> <C>
Swap Counter Party: Morgan Stanley Capital Services, Inc.
Notional Principal: $33,500,000
Fund will pay: LIBOR less 0.15%
Fund will receive: Lehman Corporate Bond Total Return
Effective LIBOR rate: 6.49%
Change in total return of
Lehman Corporate Bond Index: 33.95%
Net unrealized gain/(loss): $578,140
Termination date: October 1, 2000
</TABLE>
# When-issued or delayed delivery security.
[YEN] This security has been determined to be illiquid under guidelines
established by the Board of Directors.
* Segregated securities for purchases of delayed delivery of when-issued
securities held at June 30, 2000.
++ Securities that may be resold to "qualified institutional buyers" under
Rule 144A or securities offered pursuant to section 4(2) of the Securities
Act of 1933, as amended. These securities have been determined to be
liquid under guidelines established by the Board of Directors.
(a) Security pledged to cover initial margin requirements on open futures
contracts at June 30, 2000.
See Notes to Financial Statements. 99
<PAGE>
INCOME PORTFOLIOS
PORTFOLIO OF INVESTMENTS - JUNE 30, 2000 (UNAUDITED)
BOND (CONTINUED)
--------------------------------------------------------------------------------
Acquisition date and cost concerning illiquid securities at June 30, 2000 is
shown below:
<TABLE>
<CAPTION>
ACQUISITION
DATE COST
----------------------- ----------------------
<S> <C> <C>
Security Pacific.............. 03/20/97 $772,720
========
</TABLE>
The market value of the total illiquid securities above is $772,985 which
represents 0.12% of the total net assets.
Category percentages are based on net assets.
100 See Notes to Financial Statements.
<PAGE>
INCOME PORTFOLIOS
PORTFOLIO OF INVESTMENTS - JUNE 30, 2000 (UNAUDITED)
HIGH YIELD
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------ -------------
<S> <C> <C>
STOCK WARRANTS (0.1%)
Ono Finance Plc Warrants + ............... 1,000 $ 10,000
-----------
TOTAL STOCK WARRANTS (COST $5,754) 10,000
-----------
PREFERRED STOCKS (3.8%)
Adelphia Business Solutions + ............ 55 50,587
Cluett American Corp. + + ................ 109 2,080
Cumulus Media, Inc. + .................... 51 41,308
Global Crossing Holdings Ltd. ............ 1,200 114,000
Rural Cellular Corp. ..................... 183 172,020
-----------
TOTAL PREFERRED STOCKS (COST $393,971) 379,995
-----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
------------
<S> <C> <C>
LONG-TERM BONDS AND NOTES (84.3%)
CORPORATE BONDS (83.4%)
BROADCASTING (TV, RADIO & CABLE) (1.0%)
Olympus Comm. LP / Cap.
Corp., 10.63%, 11/15/06.................. $ 100,000 98,000
-----------
CELLULAR/WIRELESS TELECOMMUNICATIONS (1.0%)
VoiceStream Wireless Corp., 0.00%, 11/15/09 150,000 100,500
-----------
COMPUTERS SOFTWARE/SERVICES (3.1%)
Verio Inc., 10.63%, 11/15/09 ............... 200,000 221,500
Verio Inc., 11.25%, 12/01/08 ............... 75,000 83,719
-----------
305,219
-----------
CONTAINERS/PACKAGING (PAPER) (1.0%)
Huntsman Packaging Corp., 13.00%, 06/01/10 100,000 102,000
-----------
CORPORATE/FOREIGN/EMERGING MARKETS SOVERIGN (0.9%)
App China Group Ltd., 14.00%, 03/15/10 ... 150,000 94,500
-----------
CORPORATE FINANCE (2.2%)
ASAT Finance LLC, 12.50%, 11/01/06 ++ .... 100,000 117,000
Labranche & Company, 12.00%, 03/01/07 ++ . 100,000 99,250
-----------
216,250
-----------
CORPORATE FOREIGN (18.9%)
Comcast Cable Corp., Zero Coupon, 11/15/07 250,000 240,000
ESAT Telecom Group Plc, 11.88%, 12/01/08 . 200,000 232,000
Jupiters Ltd., 8.50%, 03/01/06 ........... 125,000 116,563
Maxcom Telecommunications, 13.75%, 04/01/07 300,000 268,500
Metronet Communications Corp.,
Zero Coupon, 11/01/07 ................... 250,000 220,942
Microcell Telecommunications,
Zero Coupon, 06/01/06 * ................. 200,000 185,500
Netia Holdings II B.V., 13.13%, 06/15/09 . 100,000 94,000
Ono Finance Plc, 13.00%, 05/01/09 ........ 100,000 96,000
Repap New Brunswick, 11.50%, 06/01/04 .... 150,000 150,750
RSL Communications Plc, 9.13%, 03/01/08 .. 75,000 49,500
RSL Communications Plc, 10.50%, 11/15/08 . 100,000 68,000
Telewest Plc, 11.00%, 10/01/07 ........... 100,000 95,000
United Pan-Europe Communications,
Zero Coupon, 08/01/09 ................... 150,000 69,000
-----------
1,885,755
-----------
CORPORATE INDUSTRIAL - BASIC INDUSTRY (3.5%)
Georgia Gulf Corp., 10.38%, 11/01/07 ..... 100,000 103,500
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
------------ -------------
<S> <C> <C>
CORPORATE BONDS (CONTINUED)
CORPORATE INDUSTRIAL - BASIC INDUSTRY (CONTINUED)
Intersil Corp., 13.25%, 08/15/09 ......... $ 65,000 $ 73,450
Lyondell Chemical Co., 9.63%, 05/01/07 ... 175,000 173,250
-----------
350,200
-----------
CORPORATE INDUSTRIAL - CAPITAL GOODS (5.4%)
Allied Waste North America, 10.00%, 08/01/09 150,000 126,750
Anteon Corp., 12.00%, 05/15/09 ........... 125,000 113,125
ATC Group Services, 12.00%, 01/15/08 + ... 200,000 1,000
Condor Systems Inc., 11.88%, 05/01/09 + .. 150,000 72,750
Crown Castle International
Corp., 10.75%, 08/01/11.................. 100,000 101,500
Penhall Acquisition Corp., 12.00%, 08/01/06 125,000 119,375
-----------
534,500
-----------
CORPORATE INDUSTRIAL - CONSUMER CYCLICAL (13.0%)
Adelphia Communications, 8.13%, 07/15/03 . 100,000 95,000
Adelphia Communications, 9.88%, 03/01/07 . 100,000 95,250
Ameristar Casino, 10.50%, 08/01/04 ....... 100,000 100,500
Dimac Corp., 12.50%, 10/01/08 + .......... 150,000 1,500
Galaxy Telecom LP, 12.38%, 10/01/05 ...... 250,000 216,250
Garden State Newspapers
Corp., 8.63%, 07/01/11................... 150,000 132,000
Hollywood Casino
Shreveport, 13.00%, 08/01/06 ++ ......... 100,000 106,000
Hollywood Park, Inc., 9.25%, 02/15/07 .... 100,000 99,500
Tenneco Automotive Inc., 11.63%, 10/15/09 150,000 133,500
United Artists Theatre
Corp., 9.75%, 04/15/08 (Yen) ............ 200,000 8,000
Venetian Casino/LV Sands
Corp., 10.00%, 11/15/05.................. 125,000 118,750
Waterford Gaming Llc, 9.50%, 03/15/10 ++ . 192,000 185,760
-----------
1,292,010
-----------
CORPORATE INDUSTRIAL - TECHNOLOGY (9.8%)
Exodus Communications,
Inc., 10.75%, 12/15/09................... 350,000 337,750
Fairchild Semiconductor
Inc., 10.38%, 10/01/07................... 200,000 204,000
NTL Inc., Zero Coupon, 04/15/09 .......... 70,000 55,106
PSINET, Inc., 11.50%, 11/01/08 ........... 175,000 164,500
Rhythms NetConnections Inc.,
Zero Coupon, 05/15/08 ................... 200,000 80,000
Rhythms NetConnections
Inc., 12.75%, 04/15/09................... 50,000 34,750
Telecommunication Techniques Co.,
9.75%, 05/15/08 ......................... 100,000 92,000
-----------
968,106
-----------
CORPORATE UTILITIES (19.4%)
Allegiance Telecom, Inc., Zero
Coupon, 02/15/08......................... 300,000 218,250
Focal Commerce Corp., 11.88%, 01/15/10 ... 100,000 100,250
Hyperion Telecom Corp., 12.25%, 09/01/04 . 100,000 101,500
ICG Holdings Inc., Zero Coupon, 05/01/06 . 200,000 165,500
ITC Deltacom, Inc., 9.75%, 11/15/08 ...... 150,000 142,500
KMC Telcom Holdings, Inc.,
Zero Coupon, 02/15/08.................... 300,000 147,000
McLeodUSA, Inc., 9.50%, 11/01/08 ......... 100,000 97,000
Metromedia International Group, Inc.,
10.00%, 11/15/08 ........................ 200,000 197,500
MGC Communications Inc., 13.00%, 04/01/10 ++ 100,000 94,000
Nextlink Communications,
Inc., 10.75%, 11/15/08................... 150,000 147,750
</TABLE>
See Notes to Portfolio of Investments. 101
<PAGE>
INCOME PORTFOLIOS
PORTFOLIO OF INVESTMENTS - JUNE 30, 2000 (UNAUDITED)
HIGH YIELD (CONTINUED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
------------ -----------
<S> <C> <C>
CORPORATE BONDS (CONTINUED)
CORPORATE UTILITIES (CONTINUED)
Price Communications Wireless
Inc., 11.75%, 07/15/07................... $ 150,000 $ 162,375
Primus Telecommunications
Group, 11.25%, 01/15/09.................. 50,000 40,000
Teligent, Inc.,Zero Coupon, 03/01/08 ..... 225,000 105,187
Williams Communications
Inc., 10.88%, 10/01/09................... 150,000 147,000
Winstar Communications,
Inc., 12.75%, 04/15/10................... 75,000 69,750
-----------
1,935,562
-----------
ELECTRICAL EQUIPMENT (1.0%)
Flextronics International
Ltd., 9.88%, 07/01/10 ++ ................ 100,000 101,000
-----------
FINANCIAL (DIVERSIFIED) (1.3%)
RBF Finance Co., 11.38%, 03/15/09 ........ 125,000 135,625
-----------
GAMING, LOTTERY, & PARIMUTUEL (1.0%)
Station Casinos, Inc., 9.88%, 07/01/10 # ++ 100,000 100,500
-----------
TELEPHONE LONG DISTANCE (0.9%)
CapRock Communications
Corp., 11.50%, 05/01/09.................. 100,000 91,000
-----------
TOTAL CORPORATE BONDS (COST $9,226,480) 8,310,727
-----------
FOREIGN OBLIGATIONS (0.9%)
TELEPHONE (0.9%)
Jazztel Plc, 14.00%, 04/01/09 ............ 100,000 92,000
-----------
TOTAL FOREIGN OBLIGATIONS (COST $93,897) 92,000
-----------
TOTAL LONG-TERM BONDS AND NOTES 8,402,727
(COST $9,320,377)
-----------
SHORT-TERM INVESTMENTS (11.0%)
Federal Home Loan Mortgage
Corp., 6.43%, 07/18/00................... 1,090,000 1,090,000
-----------
TOTAL SHORT-TERM INVESTMENTS 1,090,000
(COST $1,090,000)
-----------
TOTAL INVESTMENTS (COST $10,810,102)(A) 9,882,722
OTHER ASSETS LESS LIABILITIES 82,785
-----------
TOTAL NET ASSETS $9,965,507
-----------
NOTES TO PORTFOLIO OF INVESTMENTS
(a) The cost of investments for federal income tax purposes amounts to
$10,853,726. Unrealized gains and losses, based on identified tax cost at
June 30, 2000, are as follows:
Unrealized gains............................ $ 199,962
Unrealized losses........................... (1,170,966)
-----------
Net unrealized loss........................ $ (971,004)
===========
</TABLE>
[DAG] Non-income producing security.
* Segregated securities for purchases of delayed delivery or when-issued
securities held at June 30, 2000.
+ Restricted security. This security has been determined to be illiquid
under guidelines established by the Board of Directors.
[YEN] This security has been determined to be illiquid under guidelines
established by the Board of Directors.
# When-issued or delayed delivery security.
++ Securities that may be resold to "qualified institutional buyers" under
Rule 144A or securities offered pursuant to section 4(2) of the
Securities Act of 1933, as amended. These securities have been determined
to be liquid under guidelines established by the Board of Directors.
Acquisition date and cost concerning illiquid securities at June 30, 2000 is
shown below:
<TABLE>
<CAPTION>
ACQUISITION
DATE COST
----------------------- ----------------------
<S> <C> <C>
ATC Group Services............ 05/11/99 $200,000
Cluett American Corp.......... 02/03/99 9,375
Condor Systems, Inc........... 04/15/99 147,900
Dimac Corp.................... 10/22/98 146,136
United Artists Theatre........ 07/09/99 142,346
--------
$645,757
========
</TABLE>
The market value of the total illiquid securities above is $85,330 which
represents 0.86% of the total net assets.
Category percentages are based on net assets.
102 See Notes to Financial Statements.
<PAGE>
INCOME PORTFOLIOS
PORTFOLIO OF INVESTMENTS - JUNE 30, 2000 (UNAUDITED)
MONEY MARKET
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
-------------- -----------------
<S> <C> <C>
ASSET-BACKED SECURITIES (49.8%)
Amercredit Auto Receivables
Trust, 6.04%, 02/05/01............. $ 10,040,123 $ 10,039,339
Americredit Auto Receivables
Trust, 6.89%, 06/05/01............. 28,500,000 28,524,492
CNH Equipment Trust, 6.18%, 04/09/01 11,032,488 11,022,576
Chevy Chase, 6.87%, 07/12/01 ....... 10,000,000 10,001,172
Copelco Capital Funding
LLC, 5.02%, 03/15/00............... 31,305,640 31,271,400
Dealers Capital Acceptance
Trust, 7.10%, 07/03/00............. 28,519,000 28,519,000
DVI Receivables, 6.17%, 11/13/00 ... 989,641 989,097
DVI Receivables, 6.72%, 05/14/01 ... 13,279,221 13,276,034
First Security Auto, 6.77%, 07/15/01 46,000,000 46,000,000
Ford Credit Auto Owner
Trust, 6.22%, 12/15/00............. 3,302,016 3,285,506
Ford Credit Auto Owner
Trust, 6.82%, 03/15/01............. 42,000,000 42,000,000
Great America Leasing, 6.96%, 06/20/01 11,842,858 11,829,905
Huntington Auto Trust, 6.32%, 04/15/01 25,903,649 25,875,317
Ikon Receivables Llc, 6.14%, 10/15/00 7,056,854 7,052,973
Long Lane Master Trust III,
4.95%, 04/28/00 ++ ................ 20,000,000 19,510,800
Nissan Auto Lease,
6.92%, 06/20/01 + ................. 29,500,000 29,497,695
Nissan Auto Receivables,
6.83%, 07/16/01 ++ ................ 40,000,000 40,000,000
Onyx Acceptance Owner
Trust, 6.09%, 03/15/01............. 4,856,123 4,852,994
Onyx Acceptance Owner
Trust, 6.41%, 05/15/01............. 30,061,821 30,047,143
Orix Credit Alliance Receivables
Trust, 6.13%, 12/15/00............. 2,717,189 2,714,641
Orix Credit Alliance Receivables
Trust, 6.24%, 03/15/01............. 10,034,347 10,024,939
Racers Series 1999mm, 5.50%, 07/17/00
++................................. 31,000,000 31,000,000
Racers Series 2000mm, 6.71%, 05/30/01
++................................. 50,000,000 49,962,500
Ryder Vehicle Lease
Trust, 6.15%, 10/16/00 ............ 1,644,866 1,644,063
Summit Acceptance Auto,
6.45%, 05/15/01 ++ ................ 5,880,522 5,875,928
Syndicated Loan Funding Trust
1999-3, 5.13%, 06/15/00 ++ ........ 25,000,000 24,980,000
Unicapital, 6.28%, 04/20/01 ++ ..... 15,118,790 15,109,266
---------------
TOTAL ASSET-BACKED SECURITIES 534,906,780
---------------
COMMERCIAL PAPER - DOMESTIC (16.6%)
Cooper Industries,
Inc., 6.63%, 07/20/00 ++ .......... 29,500,000 29,309,897
Lehman Brothers Holdings
Inc., 5.38%, 01/14/00.............. 30,000,000 29,925,300
PHH Corp., 6.75%, 07/25/00 ......... 15,000,000 14,938,125
PHH Corp., 6.87%, 07/24/00 ......... 19,500,000 19,421,853
PHH Corp., 7.30%, 07/03/00 * ....... 11,481,000 11,481,000
Popular North America
Inc., 6.84%, 07/20/00.............. 18,966,000 18,904,740
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT
-------------- -----------------
<S> <C> <C>
COMMERCIAL PAPER - DOMESTIC (CONTINUED)
Popular North America
Inc., 6.92%, 07/27/00.............. $14,490,000 $ 14,423,153
Popular North America
Inc., 7.05%, 07/06/00.............. 10,000,000 9,994,125
Washington Mutual Fin.
Corp., 6.77%, 09/05/00 ++ ......... 5,000,000 4,938,550
Wheels Inc., 7.45%, 07/05/00 + ..... 25,182,000 25,171,577
---------------
TOTAL COMMERCIAL PAPER - DOMESTIC 178,508,320
---------------
CORPORATE NOTES (16.8%)
Associates Corp. N.A., 6.45%, 09/15/00
++................................. 9,000,000 8,981,100
Bank One Corp., 6.32%, 01/16/01 .... 15,000,000 14,999,400
Fleet Boston Corp., 5.16%, 01/29/01 . 20,000,000 20,013,200
Lehman Brothers Holdings
Inc., 9.88%, 10/15/00.............. 2,500,000 2,519,375
MCI WorldCom, Inc., 6.27%, 08/17/00 ++ 38,000,000 38,006,719
Vodafone AirTouch Plc, 6.60%, 06/05/01
++................................. 50,000,000 49,987,500
Washington Mutual Fin.
Corp., 6.38%, 07/01/00............. 10,000,000 10,000,000
Zions Bancorporation, 6.44%, 10/27/00
++................................. 36,000,000 35,998,200
---------------
TOTAL CORPORATE NOTES 180,505,494
---------------
AGENCY OBLIGATIONS (3.5%)
Student Loan Marketing
Assoc., 6.23%, 11/13/00............ 11,000,000 10,997,470
Student Loan Marketing
Assoc., 6.26%, 02/01/01............ 18,000,000 17,994,780
Student Loan Marketing
Assoc., 6.29%, 03/23/01............ 8,850,000 8,848,584
---------------
TOTAL AGENCY OBLIGATIONS 37,840,834
---------------
MEDIUM-TERM NOTES - DOMESTIC (12.2%)
Countrywide Home Loans,
Inc., 5.44%, 07/27/00.............. 15,500,000 15,500,000
Countrywide Home Loans,
Inc., 6.31%, 08/08/00.............. 5,000,000 5,000,245
General Motors Acceptance
Corp., 5.33%, 10/20/00............. 15,500,000 15,426,375
Heller Financial,
Inc., 5.40%, 08/07/00.............. 32,000,000 32,000,000
Heller Financial,
Inc., 7.10%, 09/25/00.............. 6,500,000 6,502,860
Lehman Brothers Holdings
Inc., 7.07%, 11/06/00.............. 12,000,000 12,000,000
Prudential Funding Corp.,
5.13%, 09/28/99 ++ ..... .......... 29,500,000 29,499,771
Sears Roebuck Acceptance
Corp., 6.50%, 10/04/00............. 5,100,000 5,093,625
Washington Mutual Fin.
Corp., 5.88%, 02/27/01............. 10,000,000 9,912,500
---------------
TOTAL MEDIUM-TERM NOTES - DOMESTIC 130,935,376
---------------
MEDIUM-TERM NOTES - FOREIGN (1.7%)
Republic of Argentina,
Zero Coupon, 10/16/00 ............. 18,500,000 18,102,250
---------------
TOTAL MEDIUM-TERM NOTES - FOREIGN 18,102,250
---------------
</TABLE>
See Notes to Portfolio of Investments. 103
<PAGE>
INCOME PORTFOLIOS
PORTFOLIO OF INVESTMENTS - JUNE 30, 2000 (UNAUDITED)
MONEY MARKET (CONTINUED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
-----------------
<S> <C>
TOTAL INVESTMENTS
(COST $1,081,274,024)(A) $1,080,799,054
OTHER ASSETS LESS LIABILITIES (6,118,122)
---------------
TOTAL NET ASSETS $1,074,680,932
---------------
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, 2000,
are as follows:
Unrealized gains............................ $ 54,034
Unrealized losses........................... (529,004)
----------
Net unrealized loss........................ $ (474,970)
==========
</TABLE>
[DAG] Non-income producing security.
+ Restricted security. This security has been determined to be illiquid
under guidelines established by the Board of Directors.
* Segregated securities for purchases of delayed delivery or when-issued
securities held at June 30, 2000.
[DBLDAG] Securities that may be resold to "qualified institutional buyers" under
Rule 144A or securities offered pursuant to section 4(2) of the
Securities Act of 1933, as amended. These securities have been
determined to be liquid under guidelines established by the Board of
Directors.
Acquisition date and cost concerning illiquid securities at June 30, 2000 is
shown below:
<TABLE>
<CAPTION>
ACQUISITION
DATE COST
---------------------- ------------------------
<S> <C> <C>
Nissan Auto Lease............ 5/23/00 $29,496,821
Wheels Inc................... 6/30/00 25,171,577
-----------------
$54,668,398
=================
</TABLE>
The market value of the total illiquid securities above is $54,669,272 which
represents 5.09% of the total net assets.
Category percentages are based on net assets.
104 See Notes to Financial Statements.
<PAGE>
INCOME PORTFOLIOS
STATEMENTS OF ASSETS AND LIABILITIES
JUNE 30, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
BOND HIGH YIELD MONEY MARKET
-------------- -------------- -------------------
<S> <C> <C> <C>
ASSETS:
Investments, at market
value.................... $732,890,686 $ 9,882,722 $1,080,799,054
Cash ..................... 40,628 784 1,150
Foreign currency ......... 156,433 -- --
Receivable for:
Dividends and interest .. 10,897,141 181,610 5,540,047
Investments sold ........ 83,803,246 10,963 --
Fund shares sold ........ -- 2,858 --
Variation margin ........ 50,000 -- --
Prepaid expenses ......... 2,828 35 3,704
Gross unrealized
appreciation on swap
contract................. 578,140 -- --
------------ ------------ --------------
Total assets ........ 828,419,102 10,078,972 1,086,343,955
------------ ------------ --------------
LIABILITIES:
Payable for:
Investments purchased ... 155,806,830 99,606 --
Fund shares redeemed .... 3,272,419 -- 11,331,026
Accrued investment
advisory fees ........... 232,496 5,624 240,853
Accrued administrative
service fees ............ 43,593 649 72,256
Accrued custody fees ..... 21,352 3,026 10,808
Other liabilities ........ 29,529 4,560 8,080
Gross unrealized loss on
forward foreign currency
exchange contracts ...... 225,443 -- --
------------ ------------ --------------
Total liabilities ... 159,631,662 113,465 11,663,023
------------ ------------ --------------
NET ASSETS .......... $668,787,440 $ 9,965,507 $1,074,680,932
============ ============ ==============
NET ASSETS REPRESENTED BY:
Paid-in capital .......... $689,203,875 $ 11,209,834 $1,043,181,427
Net unrealized loss on
investments, open futures
contracts, swap contract
and foreign currency
related transactions..... (1,513,416) (927,380) (474,970)
Undistributed net
investment income ....... 13,227,047 431,184 32,793,852
Accumulated net realized
loss on investments ..... (32,130,066) (748,131) (819,377)
------------ ------------ --------------
NET ASSETS .......... $668,787,440 $ 9,965,507 $1,074,680,932
============ ============ ==============
Cost of investments ...... $733,521,793 $ 10,810,102 $1,081,274,024
Cost of cash denominated
in foreign currencies ... $ 159,791 $ -- $ --
CAPITAL SHARES:
Authorized ............... Unlimited Two Billion Unlimited
Par value ................ $ 1.000 $ 0.001 $ 1.000
Outstanding .............. 53,975,266 1,134,649 81,601,807
Net asset value, offering
and redemption price per
share (net assets divided
by shares outstanding) .. $ 12.39 $ 8.78 $ 13.17
</TABLE>
See Notes to Financial Statements. 105
<PAGE>
INCOME PORTFOLIOS
STATEMENTS OF OPERATIONS
SIX MONTH PERIOD ENDED JUNE 30, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
BOND HIGH YIELD MONEY MARKET
------------ ---------- --------------
<S> <C> <C> <C>
INVESTMENT INCOME:
Dividends ........................... $ 89,805 $ 8,014 $ --
Interest ............................ 22,476,158 495,833 34,761,561
----------- --------- -----------
Total investment income ........ 22,565,963 503,847 34,761,561
----------- --------- -----------
INVESTMENT EXPENSES:
Investment advisory fees ............ 1,353,100 31,595 1,377,424
Administrative services fees ........ 253,706 3,645 413,227
Printing and postage fees ........... 12,492 4,371 13,769
Custody fees ........................ 37,759 3,306 14,347
Transfer agent fees ................. 6,000 1,300 1,300
Audit fees .......................... 16,560 7,407 14,817
Directors'/Trustees' fees ........... 14,721 136 12,257
Registration fees ................... -- -- 11,890
Miscellaneous expenses .............. 17,247 81 12,272
----------- --------- -----------
Expenses before reimbursement and
waiver from Investment Adviser ..... 1,711,585 51,841 1,871,303
Expense reimbursement and waiver from
Investment Adviser ................. -- (12,869) --
----------- --------- -----------
Net investment expenses ........ 1,711,585 38,972 1,871,303
----------- --------- -----------
Net investment income ............... 20,854,378 464,875 32,890,258
----------- --------- -----------
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments ........................ (6,229,887) 108,438 (756,500)
Written options .................... 470,144 -- --
Futures and forward foreign currency
exchange contracts ................. 224,628 (1,008) --
Foreign currency related
transactions........................ (4,239,912) (1,009) --
----------- --------- -----------
Net realized gain (loss) on
investments..................... (9,775,027) 106,421 (756,500)
----------- --------- -----------
Net change in unrealized gain or loss
on:
Investments ........................ 10,505,754 (571,475) 80,897
Futures, swap and forward foreign
currency exchange contracts ........ (1,092,063) -- --
Foreign currency related
transactions........................ 244,120 -- --
----------- --------- -----------
Net change in unrealized gain or
loss on investments ............ 9,657,811 (571,475) 80,897
----------- --------- -----------
Net realized and change in unrealized
gain or loss on investments ........ (117,216) (465,054) (675,603)
----------- --------- -----------
Net increase (decrease) in net assets
resulting from operations .......... $20,737,162 $ (179) $32,214,655
=========== ========= ===========
</TABLE>
106 See Notes to Financial Statements.
<PAGE>
INCOME PORTFOLIOS
STATEMENTS OF CHANGES IN NET ASSETS
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
BOND
---------------------------------
SIX MONTH
PERIOD ENDED
JUNE 30, 2000 YEAR ENDED
(UNAUDITED) DECEMBER 31, 1999
------------- -----------------
<S> <C> <C>
FROM OPERATIONS:
Net investment income .................... $ 20,854,378 $ 44,030,104
Net realized loss on investments.......... (9,775,027) (21,882,408)
Net change in unrealized gain or loss on
investments.............................. 9,657,811 (28,244,878)
------------ -------------
Net increase (decrease) in net assets
resulting from operations................ 20,737,162 (6,097,182)
------------ -------------
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income................ (8,561,582) (43,575,772)
From net realized gains................... -- (2,565,754)
------------ -------------
Decrease in net assets from distributions
to shareholders.......................... (8,561,582) (46,141,526)
------------ -------------
FROM FUND SHARE TRANSACTIONS:
Proceeds from shares sold................. 19,110,483 68,496,518
Net asset value of shares issued upon
reinvestment of distributions........... 8,551,357 46,085,761
Payments for shares redeemed.............. (88,521,739) (139,432,045)
------------ -------------
Net decrease in net assets from fund
share transactions....................... (60,859,899) (24,849,766)
------------ -------------
Net change in net assets................ (48,684,319) (77,088,474)
NET ASSETS:
Beginning of period....................... 717,471,759 794,560,233
------------ -------------
End of period............................. $668,787,440 $ 717,471,759
============ =============
End of period net assets includes
undistributed net investment income...... $ 13,227,047 $ 934,251
============ =============
SHARE TRANSACTIONS:
Number of shares sold..................... 1,566,034 5,318,775
Number of shares issued upon reinvestment
of distributions........................ 690,182 3,717,155
Number of shares redeemed................. (7,244,699) (10,895,265)
------------ -------------
Net decrease............................. (4,988,483) (1,859,335)
============ =============
</TABLE>
See Notes to Financial Statements. 107
<PAGE>
INCOME PORTFOLIOS
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
HIGH YIELD
--------------------------------
SIX MONTH
PERIOD ENDED
JUNE 30, 2000 YEAR ENDED
(UNAUDITED) DECEMBER 31, 1999
------------- -----------------
<S> <C> <C>
FROM OPERATIONS:
Net investment income ..................... $ 464,875 $ 920,898
Net realized gain (loss) on investments.... 106,421 (299,822)
Net change in unrealized gain or loss on
investments............................... (571,475) 23,530
----------- -----------
Net increase (decrease) in net assets
resulting from operations................. (179) 644,606
----------- -----------
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income................. (17,420) (934,712)
----------- -----------
Decrease in net assets from distributions
to shareholders........................... (17,420) (934,712)
----------- -----------
FROM FUND SHARE TRANSACTIONS:
Proceeds from shares sold.................. 3,601,623 8,863,530
Net asset value of shares issued upon
reinvestment of distributions............ 7,548 368,520
Payments for shares redeemed............... (2,841,857) (8,492,912)
----------- -----------
Net increase in net assets from fund share
transactions.............................. 767,314 739,138
----------- -----------
Net change in net assets................. 749,715 449,032
NET ASSETS:
Beginning of period........................ 9,215,792 8,766,760
----------- -----------
End of period.............................. $ 9,965,507 $ 9,215,792
=========== ===========
End of period net assets includes
undistributed (distributions in excess of)
net investment income..................... $ 431,184 $ (16,271)
=========== ===========
SHARE TRANSACTIONS:
Number of shares sold...................... 411,686 946,641
Number of shares issued upon reinvestment
of distributions......................... 862 41,854
Number of shares redeemed.................. (324,968) (910,934)
----------- -----------
Net increase.............................. 87,580 77,561
=========== ===========
</TABLE>
108 See Notes to Financial Statements.
<PAGE>
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MONEY MARKET
-----------------------------------
SIX MONTH
PERIOD ENDED
JUNE 30, 2000 YEAR ENDED
(UNAUDITED) DECEMBER 31, 1999
------------- -----------------
<S> <C> <C>
FROM OPERATIONS:
Net investment income .................. $ 32,890,258 $ 51,106,607
Net realized loss on investments ....... (756,500) --
Net change in unrealized gain or loss on
investments............................ 80,897 (561,278)
--------------- ---------------
Net increase in net assets resulting
from operations........................ 32,214,655 50,545,329
--------------- ---------------
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income.............. (51,113,908) (40,869,907)
--------------- ---------------
Decrease in net assets from
distributions to shareholders.......... (51,113,908) (40,869,907)
--------------- ---------------
FROM FUND SHARE TRANSACTIONS:
Proceeds from shares sold............... 1,188,383,548 1,659,181,476
Net asset value of shares issued upon
reinvestment of distributions......... 51,113,908 40,869,907
Payments for shares redeemed............ (1,303,735,387) (1,427,077,356)
--------------- ---------------
Net increase (decrease) in net assets
from fund share transactions........... (64,237,931) 272,974,027
--------------- ---------------
Net change in net assets.............. (83,137,184) 282,649,449
NET ASSETS:
Beginning of period..................... 1,157,818,116 875,168,667
--------------- ---------------
End of period........................... $ 1,074,680,932 $ 1,157,818,116
=============== ===============
End of period net assets includes
undistributed net investment income.... $ 32,793,852 $ 51,017,502
=============== ===============
SHARE TRANSACTIONS:
Number of shares sold................... 91,295,161 126,541,295
Number of shares issued upon
reinvestment of distributions......... 3,984,931 3,191,341
Number of shares redeemed............... (99,985,644) (108,797,935)
--------------- ---------------
Net increase (decrease)................ (4,705,552) 20,934,701
=============== ===============
</TABLE>
See Notes to Financial Statements. 109
<PAGE>
INCOME PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
1. ORGANIZATION
The Statements contained herein refer to Aetna Income Shares d/b/a Aetna Bond VP
(Bond), Aetna High Yield VP (High Yield), a portfolio of Aetna Variable
Portfolios, Inc. (AVPI) and Aetna Variable Encore Fund d/b/a Aetna Money Market
VP (Money Market) (individually, a Portfolio, and collectively, the Portfolios).
Bond and Money Market were organized under the laws of Massachusetts on January
25, 1984. AVPI was incorporated under the laws of Maryland on June 4, 1996. The
Articles of Incorporation of AVPI permit it to offer separate portfolios, each
of which has its own investment objective, policies and restrictions. AVPI
currently offers multiple separate portfolios, including High Yield. Bond, Money
Market and AVPI are each registered under the Investment Company Act of 1940
(the Act) as open-end management investment companies.
The following is each Portfolio's investment objective:
BOND seeks to maximize total return consistent with reasonable risk,
through investments in a diversified portfolio consisting primarily of debt
securities. It is anticipated that capital appreciation and investment
income will both be major factors in achieving total return.
HIGH YIELD seeks high current income and growth of capital primarily
through investment in a diversified portfolio of fixed-income securities
rated lower than BBB- by Standard and Poor's or lower than Baa3 by Moody's
Investors Service, Inc.
MONEY MARKET seeks to provide high current return, consistent with
preservation of capital and liquidity, through investment in high-quality
money market instruments.
Shares of the Portfolios are offered to insurance company separate accounts that
fund both annuity and life insurance contracts and to certain tax-qualified
retirement plans. At June 30, 2000, separate accounts of Aetna Life Insurance
and Annuity Company (ALIAC) and its affiliates held 96.9%, 100.0% and 96.6% of
Bond, High Yield and Money Market's shares outstanding, respectively.
Aeltus Investment Management, Inc. (Aeltus) serves as the investment adviser to
the Portfolios. ALIAC serves as the principal underwriter to each Portfolio.
Aeltus and ALIAC are both indirect wholly owned subsidiaries of Aetna Inc.
2. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
The accompanying financial statements of each Portfolio have been prepared in
accordance with generally accepted accounting principles. The preparation of
financial statements in conformity with generally accepted accounting principles
requires management to make estimates and assumptions that affect amounts
reported therein. Actual results could differ from these estimates.
A. VALUATION OF INVESTMENTS
Exchange traded equity investments are stated at market values based upon prices
furnished by external pricing sources as reported on national securities
exchanges or, for over-the-counter securities, at the mean of the bid and asked
prices. Fixed income securities, with the exception of high yield securities,
maturing in more than sixty days for which market quotations are readily
available are valued at the mean of the last bid and asked price. High yield
securities are priced at bid by external pricing sources or brokers making a
market in the security. Short-term investments maturing sixty days or less are
valued at amortized cost, which when combined with accrued interest,
approximates market value. Securities and fixed income
110
<PAGE>
--------------------------------------------------------------------------------
investments for which market quotations are not considered to be readily
available are valued using methods approved by the Board of Directors/Trustees
(Board).
The accounting records of the Portfolios are maintained in U.S. dollars.
Investment securities and other assets and liabilities denominated in foreign
currencies are translated into U.S. dollars at the prevailing rates of exchange
at the end of each day. 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. The Portfolios do not isolate
the portion of the results of operations resulting from changes in foreign
exchange rates on investments from the fluctuations arising from changes in
their market prices. Such fluctuations are included in net realized and
unrealized gain or loss on investments.
B. OPTIONS CONTRACTS
The Portfolios (except Money Market) may purchase and write (sell) call options
and put 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 options
are 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. Realized and unrealized gains or losses on option contracts are reflected
in the accompanying financial statements.
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.
C. SWAP CONTRACTS
Bond may enter into interest rate swaps, currency swaps and other types of swap
agreements, including swaps on securities and indices. A swap is an agreement
between two parties pursuant to which each party agrees to make one or more
payments to the other on regularly scheduled dates over a stated term, based on
different interest rates, currency exchange rates, security prices, the prices
or rates of other types of financial instruments or assets or the levels of
specified indices. During the term of the swap, changes in the value of the swap
are recognized as unrealized gains or losses by marking-to-market to reflect the
market value of the swap. When the swap is terminated, the Portfolio will record
a realized gain or loss. As of April 30, 2000, Bond had entered into a total
return swap agreement wherein Bond exchanged a U.S. Dollar 1 month LIBOR (London
Interbank Offered Rate) less 0.15% contract for a Lehman Corporate Bond Index
contract. The terms of the contract provide for the index differential to be
settled on a monthly basis. For the period ended June 30, 2000 a net cash
payment of $96,136 by Bond was accrued in connection with the total return swap
agreement.
D. 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 (except for
Money Market) may invest in financial futures contracts as a hedge against their
existing portfolio securities, 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.
111
<PAGE>
INCOME PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
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 fluctuations
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 the Portfolios 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 Portfolios (except for Money Market) may
use forward foreign currency exchange contracts to hedge against foreign
currency exchange rate risks on its non-U.S. dollar denominated portfolio
securities. Contracts are recorded at market value and marked-to-market daily.
The risks associated with financial 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 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 financial futures and forward foreign
currency exchange contracts are reflected in the accompanying financial
statements. The amounts at risk under such futures and forward foreign currency
exchange contracts may exceed the amounts reflected in the financial statements.
The notional amounts (economic exposure) 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 reported to shareholders
as federal taxable income.
E. 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 those which can only be sold
under Rule 144A of the Securities Act of 1933 (1933 Act) or are securities
offered pursuant to Section 4(2) of the 1933 Act, and are subject to legal or
contractual restrictions on resale and may not be publicly sold without
registration under the 1933 Act. Each Portfolio may invest up to 15% (except
Money Market which 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. The Portfolios will not pay the costs of disposition of
restricted securities other than ordinary brokerage fees, if any.
F. DELAYED DELIVERY TRANSACTIONS
The Portfolios 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 such securities are identified in the
Portfolios 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. In connection with such purchases, the Portfolios are required to
hold liquid assets as collateral with their custodian sufficient to cover the
purchase price.
G. DOLLAR ROLL TRANSACTIONS
Each of the Portfolios may engage in dollar roll transactions with respect to
mortgage-backed securities issued by Government National Mortgage Association,
Federal National Mortgage Association and Federal Home Loan Mortgage Corp. In a
dollar roll transaction, a Portfolio sells a mortgage-backed security to a
financial institution, such as a bank or broker/dealer, and simultaneously
agrees to repurchase a substantially similar (i.e., same type, coupon, and
maturity) security from the institution
112
<PAGE>
--------------------------------------------------------------------------------
at a later date at an agreed upon price. The mortgage-backed securities that are
repurchased will bear the same interest rate as those sold, but generally will
be collateralized by different pools of mortgages with different prepayment
histories.
H. FEDERAL INCOME TAXES
Each Portfolio has met the requirements to be taxed as a regulated investment
company for the year ended December 31, 1999, and intends to meet the
requirements for the current year. As such, each Portfolio is relieved of
federal income taxes by distributing all of its net taxable investment income
and capital gains, if any, in compliance with the applicable provisions of the
Internal Revenue Code (Code). Furthermore, by distributing substantially all of
its net taxable investment income and capital gains during the calendar year,
each Portfolio will avoid federal excise taxes in accordance with the applicable
provisions of the Code. Thus, the financial statements contain no provision for
federal income taxes.
I. DISTRIBUTIONS
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, certain
futures contracts, certain investments in foreign equity securities and
repurchases of certain securities sold at a loss. In addition, distributions of
realized gains from sales of securities held one year or less are taxable to
shareholders at ordinary income tax rates rather than preferred capital gain tax
rates in accordance with the applicable provisions of the Code.
J. LINE OF CREDIT
Bond, certain portfolios of AVPI, (including High Yield), Aetna Generation
Portfolios, Inc., Aetna Balanced VP, Inc., Aetna Variable Fund, certain series
of Aetna GET Fund and certain series of Aetna Series Fund Inc., collectively
Aetna Mutual Funds, have entered into a revolving credit facility, of up to
$300,000,000, with a syndicate of banks led by Citibank, N.A. For its services
as Agent, Citibank, N.A. received an agent fee of $200,000. In addition, the
revolving credit facility requires the payment of an annual commitment fee of
0.09% based on the average daily unused amount of the credit facility. Each of
the Aetna Mutual Funds will pay its pro rata share of both the agent fee and
commitment fee. Generally, borrowings under the facility accrue interest at the
Federal Funds Rate plus a specified margin. Repayments generally must be made
within 30 days after the date of a revolving credit advance. The revolving
credit facility became effective on November 30, 1999, and there was no
outstanding balance as of June 30, 2000.
K. 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 accreted or amortized, respectively, using an effective yield
method over the life of the 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.
113
<PAGE>
INCOME PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
3. INVESTMENT ADVISORY AND ADMINISTRATIVE SERVICE FEES
Each Portfolio pays Aeltus an investment advisory fee expressed as a percentage
of its average daily net assets. Below are the Portfolios' annual investment
advisory fees, as of June 30, 2000:
<TABLE>
<CAPTION>
ADVISORY FEE
------------
<S> <C>
Bond 0.40%
High Yield 0.65%
Money Market 0.25%
</TABLE>
Each Portfolio pays Aeltus an administrative services fee in exchange for
receiving certain administrative and shareholder services and to compensate
Aeltus for supervising the Portfolios' other service providers. Each Portfolio
pays Aeltus an administrative services fee at an annual rate based on its
average daily net assets. The rate for each Portfolio is 0.075% on the first $5
billion in assets and 0.050% on assets over $5 billion.
Aeltus has entered into a Service Agreement with ALIAC under which ALIAC will
provide various administrative and shareholder services for each Portfolio, in
exchange for fees payable by Aeltus, of up to 0.325% of the Portfolios' average
daily net assets. For the period ended June 30, 2000 Aeltus paid ALIAC
$1,381,062.
4. REIMBURSEMENT AND WAIVER FROM INVESTMENT ADVISER
Aeltus is contractually obligated through June 30, 2000 to reimburse High Yield
for some or all of its operating expenses or to waive fees in order to maintain
a certain expense ratio. Reimbursement and waiver arrangements will increase
High Yield's yield and total return. Actual expenses for the period ended June
30, 2000 were at or below contractual limits. Actual expense ratios are included
in the Financial Highlights.
5. PURCHASES AND SALES OF INVESTMENT SECURITIES
Purchases and sales of investment securities, excluding short-term investments,
for the period ended June 30, 2000 were:
<TABLE>
<CAPTION>
COST OF PURCHASES PROCEEDS FROM SALES
----------------- -------------------
<S> <C> <C>
Bond $1,108,520,774 $1,303,975,459
High Yield 3,099,554 2,760,826
</TABLE>
6. CAPITAL LOSS CARRYFORWARD
In accordance with applicable provisions of the Code, the following capital loss
carryforwards have been incurred as of June 30, 2000:
<TABLE>
<CAPTION>
CAPITAL LOSS YEAR OF
CARRYFORWARD EXPIRATION
------------ ----------
<S> <C> <C>
Bond $14,513,549 2007
--------------------------------------------------------------------------------------------
High Yield 218,483 2006
554,783 2007
--------------------------------------------------------------------------------------------
Money Market 62,877 2003
</TABLE>
These capital loss carryforwards may be used to offset future capital gains
until their respective expiration dates. It is the policy of each of the
Portfolios to reduce future distributions of realized gains to shareholders to
the extent of unexpired capital loss carryforwards.
114
<PAGE>
--------------------------------------------------------------------------------
7. OPTIONS
For the period ended June 30, 2000 the following reflects the written call
activity:
<TABLE>
<CAPTION>
CALL OPTIONS WRITTEN
--------------------------------------------------------
BOND NUMBER OF PREMIUM REALIZED
CONTRACTS RECEIVED GAIN (LOSS)
--------------------------------------------------------
<S> <C> <C> <C>
Outstanding December -- $ -- $ --
31, 1999
Written 587,920 868,153 --
Closed (587,920) (868,153) 470,144
Expired -- -- --
--------------------------------------------------------
Outstanding June 30, -- $ -- $470,144
2000
========================================================
</TABLE>
8. FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
At June 30, 2000, Bond had open forward foreign currency exchange contracts that
obligate the Portfolio to deliver currencies at specified future dates. Bond
incurred a net unrealized loss of $225,443 on these contracts, which are
included in the accompanying financial statements. The terms of the open
contracts are as follows:
<TABLE>
<CAPTION>
BOND
----
EXCHANGE CONTRACTS IN EXCHANGE CONTRACTS UNREALIZED
DATE TYPE CURRENCY TO RECEIVE/DELIVER FOR AT VALUE GAIN (LOSS)
---- ---- -------- ------------------ --- -------- -----------
<S> <C> <C> <C> <C> <C> <C>
7/5/00 Sell EURO 14,650,097 $13,922,280 $14,034,903 $(112,623)
7/5/00 Sell EURO 14,487,323 13,766,144 13,878,964 (112,820)
---------
$(225,443)
=========
</TABLE>
115
<PAGE>
INCOME PORTFOLIOS
ADDITIONAL INFORMATION
JUNE 30, 2000 (UUAUDITED)
--------------------------------------------------------------------------------
FUND CLOSURE
On March 1, 2000 the Board considered and agreed to submit to shareholders a
proposal by Aeltus to liquidate High Yield. The Portfolio was closed to new
investments on May 15, 2000. If approved by shareholders at a shareholders
meeting scheduled for July 28, 2000, the liquidation will occur on or about
September 1, 2000.
SUBSEQUENT EVENT
Aetna Inc. ("Aetna"), of which Aeltus Investment Management, Inc. ("Aeltus") is
an indirect wholly-owned subsidiary, has entered into an agreement to sell
certain of its businesses, including Aeltus, to ING Groep N.V. ("ING"), an
integrated financial services provider.
Consummation of the transaction is subject to a number of contingencies,
including regulatory and shareholder approvals and other closing conditions.
Under the Investment Company Act of 1940, the transaction would result in a
change in control of Aeltus and, therefore, constitute an assignment of the
Aetna variable funds' investment advisory agreements, which would result in a
termination of those agreements. Consequently, it is anticipated that Aeltus
will seek approval of new agreements from the Boards of the Aetna variable
funds, and the shareholders of each fund prior to consummation of the
transaction. The transaction is targeted to close by the end of 2000. Additional
information regarding the transaction and its impact upon the funds will be
provided to you in the near future.
116
<PAGE>
INCOME PORTFOLIOS
FINANCIAL HIGHLIGHTS
BOND
--------------------------------------------------------------------------------
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
SIX MONTH
PERIOD ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
JUNE 30, 2000 DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31,
(UNAUDITED) 1999 1998 1997 1996 1995
------------- ------------ ------------ ------------ ------------ --------------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period $ 12.17 $ 13.06 $ 12.85 $ 12.62 $ 13.00 $ 11.72
-------- -------- -------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income .............. 0.39 0.76 0.75 0.80+ 0.85+ 0.88+
Net realized and change in
unrealized gain or loss on
investments........................ (0.01) (0.86) 0.28 0.23 (0.39) 1.24
-------- -------- -------- -------- -------- --------
Total from investment operations. 0.38 (0.10) 1.03 1.03 0.46 2.12
-------- -------- -------- -------- -------- --------
LESS DISTRIBUTIONS:
From net investment income ......... (0.16) (0.75) (0.76) (0.80) (0.84) (0.84)
From net realized gains on
investments........................ -- (0.04) (0.06) -- -- --
-------- -------- -------- -------- -------- --------
Total distributions ............. (0.16) (0.79) (0.82) (0.80) (0.84) (0.84)
-------- -------- -------- -------- -------- --------
Net asset value, end of period ...... $ 12.39 $ 12.17 $ 13.06 $ 12.85 $ 12.62 $ 13.00
======== ======== ======== ======== ======== ========
Total return* ....................... 3.12% (0.74)% 8.14% 8.30% 3.60% 18.24%
Net assets, end of period (000's) ... $668,787 $717,472 $794,560 $684,960 $643,729 $666,960
Ratio of net investment expenses to
average net assets ................. 0.51%(1) 0.49% 0.49% 0.48% 0.39% 0.32%
Ratio of net investment income to
average net assets ................. 6.17%(1) 5.77% 5.82% 6.31% 6.39% 6.97%
Portfolio turnover rate ............. 171.78% 201.00% 88.98% 134.92% 96.41% 113.72%
</TABLE>
(1) Annualized.
* The total return percentage does not reflect any separate account charges
under variable annuity contracts and life policies.
+ Per share data calculated using weighted average number of shares
outstanding throughout the period.
See Notes to Financial Statements. 117
<PAGE>
INCOME PORTFOLIOS
FINANCIAL HIGHLIGHTS (CONTINUED)
HIGH YIELD
--------------------------------------------------------------------------------
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
PERIOD FROM
SIX MONTH DECEMBER 10, 1997
PERIOD ENDED YEAR ENDED YEAR ENDED (COMMENCEMENT OF
JUNE 30, 2000 DECEMBER 31, DECEMBER 31, OPERATIONS)
(UNAUDITED) 1999 1998 TO DECEMBER 31, 1997
------------- ------------ ------------ --------------------
<S> <C> <C> <C> <C>
Net asset value,
beginning of period ..... $ 8.80 $ 9.04 $ 10.10 $ 10.00
------ ------- ------- -------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income ... 0.42 0.86 1.07 0.05+
Net realized and
change in unrealized
gain or loss on
investments............. (0.42) (0.22) (1.09) 0.10
------ ------- ------- -------
Total from
investment
operations............ -- 0.64 (0.02) 0.15
------ ------- ------- -------
LESS DISTRIBUTIONS:
From net investment
income.................. (0.02) (0.88) (1.02) (0.05)
From net realized
gains on investments ... -- -- (0.02) --
------ ------- ------- -------
Total distributions ... (0.02) (0.88) (1.04) (0.05)
------ ------- ------- -------
Net asset value, end
of period ............... $ 8.78 $ 8.80 $ 9.04 $ 10.10
====== ======= ======= =======
Total return* ............ (0.05)% 7.05% (0.27)% 1.48%
Net assets, end of
period (000's) .......... $9,966 $ 9,216 $ 8,767 $10,098
Ratio of net
investment expenses
to average net assets ... 0.80%(1) 0.80% 0.80% 0.80%(1)
Ratio of net
investment income to
average net assets ...... 9.57%(1) 9.68% 9.14% 7.81%(1)
Ratio of expenses
before reimbursement
and waiver to average
net assets .............. 1.07%(1) 1.13% 0.97% --
Portfolio turnover
rate..................... 31.76% 131.04% 178.39% 69.39%
</TABLE>
(1) Annualized.
* The total return percentage does not reflect any separate account charges
under variable annuity contracts and life policies.
+ Per share data calculated using weighted average number of shares
outstanding throughout the period.
118 See Notes to Financial Statements.
<PAGE>
MONEY MARKET
--------------------------------------------------------------------------------
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
SIX MONTH
PERIOD ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
JUNE 30, 2000 DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31,
(UNAUDITED) 1999 1998 1997 1996 1995
------------- ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
Net Asset value, beginning of
period........................... $ 13.42 $ 13.39 $ 13.36 $ 13.19 $ 13.29 $ 12.54
---------- ---------- -------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income ........... 0.43 0.59 0.63 0.67+ 0.70+ 0.75+
Net realized and change in
unrealized gain or loss on
investments..................... (0.06) 0.06 0.07 0.03 -- 0.01
---------- ---------- -------- -------- -------- --------
Total from investment
operations.................... 0.37 0.65 0.70 0.70 0.70 0.76
---------- ---------- -------- -------- -------- --------
LESS DISTRIBUTIONS:
From net investment income ...... (0.62) (0.62) (0.67) (0.53) (0.80) (0.01)
---------- ---------- -------- -------- -------- --------
Total distributions ........... (0.62) (0.62) (0.67) (0.53) (0.80) (0.01)
---------- ---------- -------- -------- -------- --------
Net asset value, end of period ... $ 13.17 $ 13.42 $ 13.39 $ 13.36 $ 13.19 $ 13.29
========== ========== ======== ======== ======== ========
Total return* .................... 2.95% 5.08% 5.46% 5.47% 5.37% 6.05%
Net assets, end of period (000's) $1,074,681 $1,157,818 $875,169 $688,756 $613,505 $514,037
Ratio of net investment expenses
to average net assets ........... 0.34%(1) 0.34% 0.34% 0.35% 0.34% 0.30%
Ratio of net investment income to
average net assets .............. 5.97%(1) 5.04% 5.28% 5.34% 5.24% 5.82%
</TABLE>
(1) Annualized.
* The total return percentage does not reflect any separate account charges
under variable annuity contracts and life policies.
+ Per share data calculated using weighted average number of shares
outstanding throughout the period.
See Notes to Financial Statements. 119
<PAGE>
Aetna GET Fund, Series C
Growth of $10,000
[The following was depicted as a line graph in the printed material.]
<TABLE>
<CAPTION>
GET Fund, Series C 12/17/96 12/31/96 12/31/97 12/31/98
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Aetna GET Fund, Series C 10,000 10,153 10,251 11,620 12,442 12,715 14,432 15,002 13,496 16,248
S&P 500 Index 10,000 10,174 10,446 12,270 13,189 13,568 15,461 15,971 14,382 17,445
<CAPTION>
GET Fund, Series C 12/31/99 6/30/00
<S> <C> <C> <C> <C> <C> <C>
Aetna GET Fund, Series C 17,114 18,230 17,227 20,076 20,643 20,023
S&P 500 Index 18,314 19,605 18,380 21,115 21,598 21,024
</TABLE>
Aetna GET Fund, Series D
Growth of $10,000
[The following was depicted as a line graph in the printed material.]
<TABLE>
<CAPTION>
GET Fund, Series D 1/19/99 12/31/99 6/30/00
<S> <C> <C> <C> <C> <C> <C> <C>
Aetna GET Fund, Series D 10,000 10,060 10,298 9,971 10,802 10,802 10,512
S&P 500 Index 10,000 10,303 11,029 10,340 11,879 12,151 11,827
</TABLE>
120 See Definition of Terms.
<PAGE>
Aetna GET Fund, Series E
Growth of $10,000
[The following was depicted as a line graph in the printed material.]
<TABLE>
<CAPTION>
GET Fund, Series E 9/15/99 12/31/99 6/30/00
<S> <C> <C> <C> <C>
Aetna GET Fund, Series E 10,000 10,714 10,893 10,537
S&P 500 Index 10,000 11,185 11,441 11,137
</TABLE>
Aetna GET Fund, Series G
Growth of $10,000
[The following was depicted as a line graph in the printed material.]
<TABLE>
<CAPTION>
GET Fund, Series G 12/15/99 12/31/99 6/30/00
<S> <C> <C> <C> <C>
Aetna GET Fund, Series G 10,000 10,286 10,356 10,040
S&P 500 Index 10,000 10,400 10,638 10,355
</TABLE>
See Definition of Terms. 121
<PAGE>
Aetna GET Fund, Series H
Growth of $10,000
[The following was depicted as a line graph in the printed material.]
<TABLE>
<CAPTION>
GET Fund, Series H 3/15/00 3/31/00 6/30/00
<S> <C> <C> <C>
Aetna GET Fund, Series H 10,000 10,720 10,356
S&P 500 Index 10,000 11,030 10,737
</TABLE>
<TABLE>
<CAPTION>
----------------------------------------------
Average Annual Total Returns
for the period ended June 30, 2000*
----------------------------------------------
Inception Date 1 Year Inception
----------------------------------------------
<S> <C> <C> <C>
GET C 12/17/96 9.84% 21.70%
----------------------------------------------
GET D 01/19/99 2.07% 3.49%
----------------------------------------------
GET E 09/15/99 -- 5.39%
----------------------------------------------
GET G 12/15/99 -- 0.40%
----------------------------------------------
GET H 03/15/00 -- 3.55%
----------------------------------------------
</TABLE>
* Total Return is calculated including reinvestment of income and capital gain
distributions. Performance does not take into account any separate account
charges imposed by Aetna. Past performance is no guarantee of future results.
Investment return and principal of an investment will fluctuate so that an
investor's shares, when redeemed, may be worth more or less than the original
cost.
AETNA GET FUND, SERIES C, D, E, G AND H
HOW DID THE PORTFOLIOS PERFORM DURING THE PERIOD?
The performance listed below for the Aetna GET Fund, Series C, D, E, G and H
(GET C, GET D, GET E, GET G and GET H) and their respective benchmarks is for
the six month period ended June 30, 2000:
<TABLE>
<CAPTION>
PORTFOLIO BENCHMARK INDEX
AETNA GET FUND RETURN BENCHMARK INDEX RETURN
<S> <C> <C> <C>
GET C -0.26% S&P 500 Index (a) -0.42%
GET D -2.68% S&P 500 Index -0.42%
GET E -1.66% S&P 500 Index -0.42%
GET G -2.39% S&P 500 Index -0.42%
GET H* 3.55% S&P 500 Index* 7.37%
</TABLE>
* Performance is from 3/15/00 to 6/30/00.
122 See Definition of Terms.
<PAGE>
WHAT ECONOMIC OR FINANCIAL MARKET CONDITIONS IMPACTED THE PORTFOLIOS?
Currently closed to new deposits, GET C, GET D, GET E, GET G and GET H invest
primarily in common stocks and bonds in varying proportions in response to
market fluctuations.
Equity: For the first half of 2000, broad equity market performance has been
negative to modestly positive: the Standard & Poor's (S&P) 500 Index was down
0.42%, NASDAQ Composite Index(b) was down 2.54% and the Russell 2000 Index(c)
was up a modest 3.04%. Money market instruments and bonds, as measured by the
Lehman Brothers Aggregate Bond Index(f), outperformed these past winners.
Commodities in general, and oil in particular, outperformed equities; real
estate, too, was a better-performing asset class, judging by the recovery in
Real Estate Investment Trust (REIT) shares. A value investor's orientation was
no help in the first half, as the S&P Barra Value Index(d) was down 4.07%,
upstaged once again by the S&P Barra Growth Index(e) which ended the half with a
2.58% gain.
The industries that delivered solid returns in the first half, as in recent
periods, were semiconductors and networking infrastructure. Biotech soared,
slumped, and soared again while pharmaceuticals, an old-growth sector, roared
back from a rut in February to add both return and diversification to growth
portfolios. On the value side, REITs and energy industries such as natural gas
generated strong returns in an otherwise difficult market.
At the halfway point in 2000, market action tells us that something has changed,
but it does not tell us exactly what. The U.S. equity market looks tired, based
upon the return performance of the past six months. It has lost forward
momentum, remains narrowly based, and set new standards for daily and intra-day
volatility. Meanwhile, global economic growth has rebounded, but it is no longer
possible to be complacent on the issue of inflation. Central banks are moving
their monetary policy stances toward neutrality, or even restraint. Business
conditions remain exceptionally vigorous despite some deceleration from the
recent white-hot pace of the U.S. private sector. Earnings growth has been
robust and the immediate outlook is for more of the same.
At the beginning of the year, it appeared that two opposing factors would set
the story line for this year's market results. One was the undeterred spirit of
"dip-buying"; the record shows that getting in to the market on sell-offs has
been a profitable tactic of late. The other factor was the Federal Reserve Bank
(Fed) shift toward a less accommodating monetary policy. By raising interest
rates in order to restrain the economy, the Fed put increased pressure on what
has been a richly valued market. It still looks as if the clash of these two
factors will determine the year's final numbers.
U.S. equity money was not treated any better abroad. With the exception of
China, returns were generally negative in the first half for U.S.-based
investors in foreign markets. The dollar held firm against other currencies, so
foreign exchange returns were negative for most overseas investments by U.S.
residents. We continue to closely monitor the foreign exchange value of the U.S.
dollar, since a flat to weakening dollar will enhance returns generated in
overseas asset markets and entice more money to flow there. U.S. markets remain
vulnerable to alternatives (in Europe, Japan, and other advanced economies) to
U.S. dollar investments.
Fixed Income: During the first quarter, U.S. Treasuries rallied as a reduced
supply more than offset the impact of strong growth and Fed tightening. This
condition reversed in the second quarter, as worries over inflation and the
eventual magnitude of Fed tightening needed to slow the economy and control
inflation took center stage.
On the heels of 7.3% growth in Gross Domestic Product for the fourth quarter,
the first quarter remained strong at 5.5%. Combined with the previously
mentioned rise in inflation, this led the Fed to increase interest rates 100
basis points over the first half of 2000. (One basis point equals one hundredth
of a percent, or 0.01%.)
As we entered May and June, economic reports began to show evidence of a
slowdown. Inflation indicators were tame for both April and May, and other
economic reports showed decelerating growth and less pricing pressure. Combined
with a soft May employment report, these indicators led the Treasury market to
revert back to the bullish action of the first quarter.
For the first six months, ten-year Treasuries declined in yield by 41 basis
points. The yield curve inverted as Fed tightening caused the two-year Treasury
to increase by 12 basis points, while the thirty-year Treasury declined in yield
by 58 basis points. (An inverted yield curve occurs when short-term interest
rates are higher than long-term interest rates.)
See Definition of Terms. 123
<PAGE>
With Fed tightening, spread products underperformed Treasuries by a wide margin
in the first quarter, while recovering somewhat in the second quarter as
evidence of a slowdown came into focus. For the six months, corporate bonds
(-265 basis points) were the weakest performers, while mortgage-backed
securities (-51 basis points), agencies (-113 basis points), asset backed
securities (-26 basis points), and collateral mortgage-backed securities (-121
basis points) all showed lower returns when compared to Treasuries of equal
duration.
WHAT INVESTMENTS INFLUENCED THE PORTFOLIOS' PERFORMANCE OVER THE PAST SIX
MONTHS?
Equity: In total, the equity components of these Portfolios underperformed the
S&P 500 Index during the first half of 2000 due to sharp volatility in the
equity markets, which causes us to sell equities when the market dips and buy
into rising markets. The quantitative model used to manage these portfolios
provided good discrimination between stocks with high relative returns and those
with low relative returns. The model's factors relating to price momentum and
analyst earnings estimates were particularly effective. This was partially
offset by poor discrimination in the P/E factor used in the model. (The Price/
Earnings multiple, or P/E, is calculated by dividing the price of one share by
the earnings per share generated by the firm. A measure of the attractiveness of
a particular security, the P/E ratio gives investors an idea of how much they
are paying for earning power.)
Positive performance during the first half came from the Portfolios'
over-weighting in the technology sector and under-weighting the communication
services sectors. This is contrasted by poor performance from the Portfolios'
positioning within the consumer cyclical sector.
Fixed Income: The fixed income component underperformed the Lehman Brothers
Aggregate Bond Index during the first half of the year. This performance was
negatively impacted by a modest overweight in spread products. Most spread
products underperformed U.S. Treasuries of equivalent duration over the period.
Allocation: At year end, GET D, GET E, and GET G were allocated 67%, 72%, and
70% to equities, respectively. High volatility forced us to decrease our equity
allocations to a low of 51% for GET D, 62% for GET E, and 58% for GET G during
the first half. We then ended the second quarter's equity allocation at 56% for
GET D, 69% for GET E, 59% for GET G, and 70% for GET H. This type of volatility
will tend to erode performance.
WHAT IS YOUR OUTLOOK GOING FORWARD?
The picture is mixed as the 2000 market heads into its second half. Robust
earnings growth, low inflation, and a friendly Fed have been key contributors to
the record returns generated by the bull market of the late 1990s. Although the
earnings outlook remains favorable, recent economic data has shown some level of
weakness. The Fed chose not to raise interest rates at their June meeting, but
we are concerned that the Fed is not yet done.
Our outlook for the second half of the year is one of balance between market
risks related to the slowing of the U.S. economy and other market positives,
such as the resolution of the Presidential race and the approaching end of the
Fed's interest rate increases. Given the uncertainty of the outcomes, we feel
the wild volatility that characterized 2000's first half is likely to persist
into the second half.
124 See Definition of Terms.
<PAGE>
GET C:
<TABLE>
<CAPTION>
% OF EQUITY % OF OVER/(UNDER)
SECTOR INVESTMENTS S&P 500 WEIGHTING
<S> <C> <C> <C>
Basic Materials 2.0% 2.0% --
Capital Goods 8.1% 7.8% 0.3%
Communication Services 5.1% 6.9% (1.8)%
Consumer Cyclicals 8.1% 7.4% 0.7%
Consumer Staples 7.5% 10.0% (2.5)%
Energy 5.9% 5.4% 0.5%
Financials 12.8% 12.9% (0.1)%
Health Care 11.3% 11.5% (0.2)%
Technology 36.5% 33.0% 3.5%
Transportation 0.5% 0.6% (0.1)%
Utilities 2.2% 2.5% (0.3)%
</TABLE>
<TABLE>
<CAPTION>
% OF NET
TOP TEN EQUITY HOLDINGS ASSETS
<S> <C>
Intel Corp. 5.0%
General Electric Co. 4.9%
Cisco Systems, Inc. 4.1%
Exxon Mobil Corp. 3.1%
Microsoft Corp. 2.8%
Oracle Corp. 2.8%
Pfizer, Inc. 2.7%
Wal-Mart Stores, Inc. 2.4%
Citigroup, Inc. 2.4%
Nortel Networks Corp. 1.9%
</TABLE>
<TABLE>
<CAPTION>
ECONOMIC ECONOMIC
EXPOSURE* EXPOSURE*
ASSET CLASS ALLOCATION: 06/30/00 12/31/99
<S> <C> <C>
Large Cap Stocks 91.1% 91.5%
Mid Cap Stocks 1.7% 1.5%
International Stocks 3.1% 3.0%
Fixed Income 3.4% 3.1%
Cash Equivalents 0.7% 0.9%
--------------------
100.0% 100.0%
====================
</TABLE>
See Definition of Terms. 125
<PAGE>
GET D:
<TABLE>
<CAPTION>
% OF EQUITY % OF OVER/(UNDER)
SECTOR INVESTMENTS S&P 500 WEIGHTING
<S> <C> <C> <C>
Basic Materials 1.9% 2.0% (0.1)%
Capital Goods 8.2% 7.8% 0.4%
Communication Services 5.5% 6.9% (1.4)%
Consumer Cyclicals 7.8% 7.4% 0.4%
Consumer Staples 7.7% 10.0% (2.3)%
Energy 6.0% 5.4% 0.6%
Financials 13.3% 12.9% 0.4%
Health Care 11.3% 11.5% (0.2)%
Technology 35.5% 33.0% 2.5%
Transportation 0.5% 0.6% (0.1)%
Utilities 2.3% 2.5% (0.2)%
</TABLE>
<TABLE>
<CAPTION>
% OF NET
TOP TEN EQUITY HOLDINGS ASSETS
<S> <C>
Intel Corp. 2.9%
General Electric Co. 2.7%
Cisco Systems, Inc. 2.3%
Microsoft Corp. 1.6%
Pfizer, Inc. 1.6%
Exxon Mobil Corp. 1.4%
Wal-Mart Stores, Inc. 1.4%
Citigroup, Inc. 1.4%
Nortel Networks Corp. 1.3%
Oracle Corp. 1.2%
</TABLE>
<TABLE>
<CAPTION>
% OF NOTIONAL ECONOMIC ECONOMIC
INVESTMENT VALUE* EXPOSURE* EXPOSURE*
ASSET CLASS ALLOCATION: 06/30/00 OF FUTURES 06/03/00 12/31/99
<S> <C> <C> <C> <C>
Large Cap Stocks 51.6% 0.8% 52.4% 63.8%
Mid Cap Stocks 1.3% -- 1.3% 1.1%
International Stocks 2.2% -- 2.2% 2.2%
Fixed Income 43.3% -- 43.3% 32.8%
Cash Equivalents 1.6% (0.8)% 0.8% 0.1%
-------------------------------------------------------------------------------------------
100.0% -- 100.0% 100.0%
===========================================================================================
</TABLE>
126 See Definition of Terms.
<PAGE>
GET E:
<TABLE>
<CAPTION>
% OF EQUITY % OF OVER/(UNDER)
SECTOR INVESTMENTS S&P 500 WEIGHTING
<S> <C> <C> <C>
Basic Materials 1.9% 2.0% (0.1)%
Capital Goods 8.1% 7.8% 0.3%
Communication Services 5.4% 6.9% (1.5)%
Consumer Cyclicals 7.5% 7.4% 0.1%
Consumer Staples 7.5% 10.0% (2.5)%
Energy 5.8% 5.4% 0.4%
Financials 12.8% 12.9% (0.1)%
Health Care 10.9% 11.5% (0.6)%
Technology 37.4% 33.0% 4.4%
Transportation 0.5% 0.6% (0.1)%
Utilities 2.2% 2.5% (0.3)%
</TABLE>
<TABLE>
<CAPTION>
% OF NET
TOP TEN EQUITY HOLDINGS ASSETS
<S> <C>
Intel Corp. 3.4%
Cisco Systems, Inc. 3.4%
General Electric Co. 3.2%
Microsoft Corp. 1.9%
Pfizer, Inc. 1.8%
Oracle Corp. 1.7%
Exxon Mobil Corp. 1.7%
Wal-Mart Stores, Inc. 1.6%
Citigroup, Inc. 1.6%
Nortel Networks Corp. 1.5%
</TABLE>
<TABLE>
<CAPTION>
% OF NOTIONAL ECONOMIC ECONOMIC
INVESTMENT VALUE* EXPOSURE* EXPOSURE*
ASSET CLASS ALLOCATION: 06/30/00 OF FUTURES 06/30/00 12/31/99
<S> <C> <C> <C> <C>
Large Cap Stocks 61.3% 4.0% 65.3% 69.1%
Mid Cap Stocks 1.5% -- 1.5% 1.1%
Small Cap Stocks 0.1% -- 0.1% --
International Stocks 2.5% -- 2.5% 2.2%
Fixed Income 30.2% -- 30.2% 27.3%
Cash Equivalents 4.4% (4.0)% 0.4% 0.3%
-------------------------------------------------------
100.0% -- 100.0% 100.0%
=======================================================
</TABLE>
See Definition of Terms. 127
<PAGE>
GET G:
<TABLE>
<CAPTION>
% OF EQUITY % OF OVER/(UNDER)
SECTOR INVESTMENTS S&P 500 WEIGHTING
<S> <C> <C> <C>
Basic Materials 1.9% 2.0% (0.1)%
Capital Goods 8.2% 7.8% 0.4%
Communication Services 5.5% 6.9% (1.4)%
Consumer Cyclicals 7.9% 7.4% 0.5%
Consumer Staples 7.2% 10.0% (2.8)%
Energy 5.4% 5.4% --
Financials 13.0% 12.9% 0.1%
Health Care 11.1% 11.5% (0.4)%
Technology 37.1% 33.0% 4.1%
Transportation 0.5% 0.6% (0.1)%
Utilities 2.2% 2.5% (0.3)%
</TABLE>
<TABLE>
<CAPTION>
% OF NET
TOP TEN EQUITY HOLDINGS ASSETS
<S> <C>
Intel Corp. 3.0%
General Electric Co. 2.9%
Cisco Systems, Inc. 2.4%
Microsoft Corp. 1.7%
Oracle Corp. 1.6%
Pfizer, Inc. 1.6%
Exxon Mobil Corp. 1.5%
Wal-Mart Stores, Inc. 1.4%
Citigroup, Inc. 1.4%
Nortel Networks Corp. 1.3%
</TABLE>
<TABLE>
<CAPTION>
% OF NOTIONAL ECONOMIC ECONOMIC
INVESTMENT VALUE* EXPOSURE* EXPOSURE*
ASSET CLASS ALLOCATION: 06/30/00 OF FUTURES 06/30/00 12/31/99
<S> <C> <C> <C> <C>
Large Cap Stocks 54.0% 1.2% 55.2% 66.8%
Mid Cap Stocks 1.3% -- 1.3% 1.1%
International Stocks 2.1% -- 2.1% 2.2%
Fixed Income 41.1% -- 41.1% 29.2%
Cash Equivalents 1.5% (1.2)% 0.3% 0.7%
----------------------------------------------------
100.0% -- 100.0% 100.0%
====================================================
</TABLE>
128 See Definition of Terms.
<PAGE>
GET H:
<TABLE>
<CAPTION>
% OF EQUITY % OF OVER/(UNDER)
SECTOR INVESTMENTS S&P 500 WEIGHTING
<S> <C> <C> <C>
Basic Materials 1.8% 2.0% (0.2)%
Capital Goods 8.2% 7.8% 0.4%
Communication Services 5.5% 6.9% (1.4)%
Consumer Cyclicals 7.9% 7.4% 0.5%
Consumer Staples 7.1% 10.0% (2.9)%
Energy 5.4% 5.4% --
Financials 13.2% 12.9% 0.3%
Health Care 11.1% 11.5% (0.4)%
Technology 37.1% 33.0% 4.1%
Transportation 0.5% 0.6% (0.1)%
Utilities 2.2% 2.5% (0.3)%
</TABLE>
<TABLE>
<CAPTION>
% OF NET
TOP TEN EQUITY HOLDINGS ASSETS
<S> <C>
Intel Corp. 3.5%
General Electric Co. 3.5%
Cisco Systems, Inc. 2.9%
Microsoft Corp. 2.0%
Oracle Corp. 2.0%
Pfizer, Inc. 1.9%
Exxon Mobil Corp. 1.8%
Wal-Mart Stores, Inc. 1.7%
Citigroup, Inc. 1.7%
Nortel Networks Corp. 1.6%
</TABLE>
<TABLE>
<CAPTION>
% OF NOTIONAL ECONOMIC
INVESTMENT VALUE* EXPOSURE*
ASSET CLASS ALLOCATION: 06/30/00 OF FUTURES 06/30/00
<S> <C> <C> <C>
Large Cap Stocks 64.4% 2.0% 66.4%
Mid Cap Stocks 1.5% -- 1.5%
International Stocks 2.5% -- 2.5%
Fixed Income 29.1% -- 29.1%
Cash Equivalents 2.5% (2.0)% 0.5%
-----------------------------------------
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 Series' exposure to both changes in the value of the
portfolio of investments as well as the financial instruments underlying the
options and futures positions.
The opinions expressed reflect those of the portfolio manager only through June
30, 2000. The manager's opinions are subject to change at any time based on
market and other conditions. The composition, industries and holdings of the
Series are subject to change.
See Definition of Terms. 129
<PAGE>
AETNA GET FUND, SERIES I
HOW DID THE PORTFOLIO PERFORM DURING THE PERIOD?
Aetna GET Fund, Series I (GET I) generated a return of -0.21%, net of fund
expenses, for the period from June 15, 2000 through June 30, 2000. The
benchmark, the Standard & Poor's (S&P) 500 Index(a), returned -1.05% for the
same period.
WHAT IS YOUR OUTLOOK GOING FORWARD?
The picture is mixed as the 2000 market heads into its second half. Robust
earnings growth, low inflation, and a friendly Federal Reserve (Fed) have been
key contributors to the record returns generated by the bull market of the late
1990s. Although the earnings outlook remains favorable, recent economic data has
shown some level of weakness. The Fed chose not to raise interest rates at their
June meeting, but we are concerned that the Fed is not yet done.
Our outlook for the second half of the year is one of balance between market
risks related to the slowing of the U.S. economy and other market positives,
such as the resolution of the Presidential race and the approaching end of the
Fed's interest rate increases. Given the uncertainty of the outcomes, we feel
the wild volatility that characterized 2000's first half is likely to persist
into the second half.
DOMESTIC EQUITY PORTFOLIO BREAKDOWN:
<TABLE>
<CAPTION>
% OF EQUITY % OF OVER/(UNDER)
SECTOR INVESTMENTS S&P 500 WEIGHTING
<S> <C> <C> <C>
Basic Materials 1.8% 2.0% (0.2)%
Capital Goods 7.9% 7.8% 0.1%
Communication Services 5.4% 6.9% (1.5)%
Consumer Cyclicals 7.3% 7.4% (0.1)%
Consumer Staples 7.3% 10.0% (2.7)%
Energy 5.8% 5.4% 0.4%
Financials 12.0% 12.9% (0.9)%
Health Care 11.7% 11.5% 0.2%
Technology 38.0% 33.0% 5.0%
Transportation 0.5% 0.6% (0.1)%
Utilities 2.3% 2.5% (0.2)%
</TABLE>
<TABLE>
<CAPTION>
% OF NET
TOP TEN EQUITY HOLDINGS ASSETS
<S> <C>
Intel Corp. 3.2%
Cisco Systems, Inc. 3.1%
General Electric Co. 3.0%
Pfizer, Inc. 2.1%
Microsoft Corp. 1.7%
Oracle Corp. 1.7%
Exxon Mobil Corp. 1.5%
Wal-Mart Stores, Inc. 1.4%
Citigroup, Inc. 1.4%
Nortel Networks Corp. 1.4%
</TABLE>
130 See Definition of Terms.
<PAGE>
<TABLE>
<CAPTION>
% OF NOTIONAL ECONOMIC
INVESTMENT VALUE* EXPOSURE*
ASSET CLASS ALLOCATION: 06/30/00 OF FUTURES 06/30/00
<S> <C> <C> <C>
Large Cap Stocks 58.0% 2.2% 60.2%
Mid Cap Stocks 1.4% -- 1.4%
Small Cap Stocks 0.1% -- 0.1%
International Stocks 2.5% -- 2.5%
Fixed Income 35.2% -- 35.2%
Cash Equivalents 2.8% (2.2)% 0.6%
----------------------------------------
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 Series' exposure to both changes in the value of the
portfolio of investments as well as the financial instruments underlying the
options and futures positions.
The opinions expressed reflect those of the portfolio manager only through June
30, 2000. The manager's opinions are subject to change at any time based on
market and other conditions. The composition, industries and holdings of the
Series are subject to change.
See Definition of Terms. 131
<PAGE>
AETNA GET FUND, SERIES J
ACCUMULATION PERIOD
Aetna GET Fund, Series J (GET J) will be offered from June 15, 2000 through
September 13, 2000 as a funding option under certain variable annuity contracts
issued by Aetna Life Insurance and Annuity Company. GET J assets will be
invested entirely in short term instruments prior to September 13, 2000. After
that date, GET J will allocate its investments between equities and fixed income
securities in proportions that are intended to help GET J attain its investment
objective.
132 See Definition of Terms.
<PAGE>
DEFINITION OF TERMS
<TABLE>
<S> <C>
(a) The S&P 500 is the Standard & Poor's 500 Index. Performance is calculated
on a total return basis and dividends are reinvested, as reported by Frank
Russell Company.
(b) NASDAQ Composite Index is an unmanaged index of the National Market System
which includes over 5,000 stocks traded only over-the-counter and not on an
exchange.
(c) The Russell 2000 Index consists of the smallest 2,000 of the 3,000 largest
companies, based on market capitalization.
(d) S&P 500 Barra Value Index is the Standard & Poor's 500 Value Index.
Companies in each U.S. index are split into two groups based on
price-to-book ratio to create growth and value indices. The Value index
contains companies with lower price-to-book ratios, while the Growth index
contains those with higher ratios.
(e) S&P 500 Barra Growth Index is the Standard & Poor's 500 Growth Index.
Companies in each U.S. index are split into two groups based on
price-to-book ratio to create growth and value indices. The Growth index
contains companies with higher price-to-book ratios, while the Value index
contains those with lower ratios.
(f) The Lehman Brothers Aggregate Bond Index is an unmanaged index and is
composed of securities from Lehman Brothers Government/Corporate Bond
Index, Mortgage-Backed Securities Index and the Asset-Backed Securities
Index.
</TABLE>
The unmanaged indicies described above are not available for individual
investment.
133
<PAGE>
AETNA GET FUND
PORTFOLIO OF INVESTMENTS - JUNE 30, 2000 (UNAUDITED)
SERIES C
------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRICIPAL MARKET
AMOUNT VALUE
--------- ------------
<S> <C> <C>
COMMON STOCKS (96.1%)
AEROSPACE/DEFENSE (0.4%)
Boeing Co. ............................ 12,500 $ 522,656
General Dynamics Corp. ................ 2,700 141,075
Goodrich (B.F.) Co. ................... 1,000 34,063
Northrop Grumman Corp. ................ 500 33,125
------------
730,919
------------
AGRICULTURE (0.1%)
Archer-Daniels-Midland Co. ............ 9,700 95,181
------------
AIR FREIGHT (0.1%)
FedEx Corporation + ................... 4,260 161,880
------------
AIRLINES (0.2%)
AMR Corp. + ........................... 2,400 63,450
Delta Air Lines, Inc. ................. 2,800 141,575
Southwest Airlines Co. ................ 7,500 142,031
------------
347,056
------------
ALUMINUM (0.2%)
Alcan Aluminum Ltd. ................... 3,300 102,300
Alcoa Inc. ............................ 12,308 356,932
------------
459,232
------------
AUTO PARTS & EQUIPMENT (0.2%)
Cooper Tire & Rubber Co. .............. 900 10,013
Dana Corp. ............................ 1,357 28,751
Delphi Automotive Systems Corp. ....... 8,742 127,305
Genuine Parts Co. ..................... 4,450 89,000
Snap-On, Inc. ......................... 1,100 29,287
TRW, Inc. ............................. 2,000 86,750
Visteon Corp. ......................... 2,763 33,498
------------
404,604
------------
AUTOMOBILES (0.9%)
Ford Motor Co. ........................ 21,100 907,300
General Motors Corp. + ................ 14,000 812,875
------------
1,720,175
------------
BANKS (MAJOR REGIONAL) (2.4%)
Bank of New York Co., Inc. ............ 10,500 488,250
Bank One Corp. ........................ 100 2,656
BB&T Corp. ............................ 5,100 121,762
Comerica, Inc. ........................ 2,300 103,213
Fifth Third Bancorp ................... 4,125 260,906
Firstar Corp. ......................... 13,327 280,700
Fleet Boston Financial Corp. .......... 20,387 693,158
Huntington Bancshares Inc. ............ 1,423 22,501
Mellon Financial Corp. ................ 7,700 280,569
Northern Trust Corp. .................. 3,500 227,719
PNC Bank Corp. ........................ 4,600 215,625
SouthTrust Corp. ...................... 2,700 61,088
State Street Corp. .................... 2,400 254,550
Summit Bancorp ........................ 1,200 29,550
Suntrust Banks, Inc. .................. 4,400 201,025
Synovus Financial Corp. ............... 4,200 74,025
U.S. Bancorp .......................... 5,000 96,250
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
--------- ------------
<S> <C> <C>
BANKS (MAJOR REGIONAL) (CONTINUED)
Wachovia Corp. ........................ 3,000 $ 162,750
Wells Fargo & Co. ..................... 22,700 879,625
------------
4,455,922
------------
BANKS (MONEY CENTER) (1.3%)
Bank of America Corp. ................. 22,700 976,100
Chase Manhattan Corp. ................. 16,500 760,031
First Union Corp. ..................... 13,300 330,006
J.P. Morgan & Co. ..................... 2,900 319,363
------------
2,385,500
------------
BEVERAGES (NON-ALCOHOLIC) (0.5%)
Coca-Cola Co. (The) ................... 17,000 976,437
------------
BEVERAGES (ALCOHOLIC) (0.4%)
Anheuser-Busch Co., Inc. .............. 8,200 612,437
Brown-Forman Corp. + .................. 800 43,000
Coors (Adolph) Co. .................... 300 18,150
------------
673,587
------------
BIOTECHNOLOGY (0.6%)
Amgen, Inc. + ......................... 13,800 969,450
Biogen, Inc. + ........................ 2,000 129,000
------------
1,098,450
------------
BROADCASTING (TV, RADIO & CABLE) (0.4%)
Clear Channel Communications, Inc. + .. 2,200 165,000
Mediaone Group, Inc. + (1) ............ 8,700 576,930
------------
741,930
------------
BUILDING MATERIALS GROUP (0.1%)
Armstrong Holdings, Inc. .............. 800 12,250
Masco Corp. ........................... 8,200 148,113
Owens Corning ......................... 800 7,400
------------
167,763
------------
CELLULAR/WIRELESS TELECOMMUNICATIONS (0.7%)
Nextel Communications, Inc. + ......... 10,400 636,350
Sprint PCS + .......................... 11,600 690,200
------------
1,326,550
------------
CHEMICALS (0.7%)
Air Products and Chemicals, Inc. ...... 4,200 129,413
Dow Chemical Co. ...................... 11,400 344,137
Du Pont (E.I.) de Nemours ............. 15,400 673,750
Eastman Chemical Co. .................. 1,700 81,175
Praxair, Inc. ......................... 1,300 48,669
Union Carbide Corp. ................... 1,300 64,350
------------
1,341,494
------------
CHEMICALS - DIVERSIFIED (0.0%)
Engelhard Corp. ....................... 2,100 35,831
FMC Corp. + ........................... 600 34,800
------------
70,631
------------
CHEMICALS - SPECIALITY (0.1%)
Ecolab, Inc. .......................... 800 31,250
Grace (W.R.) & Co. + .................. 1,800 21,825
Great Lakes Chemical Corp. ............ 700 22,050
Hercules, Inc. ........................ 1,600 22,500
International Flavors & Fragrances,
Inc................................... 1,000 30,188
</TABLE>
134 See Notes to Portfolio of Investments.
<PAGE>
------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
--------- ------------
<S> <C> <C>
CHEMICALS - SPECIALITY (CONTINUED)
Sigma-Aldrich Corp. ................... 1,900 $ 55,575
------------
183,388
------------
COMMUNICATIONS EQUIPMENT (4.7%)
ADC Telecommunications, Inc. + ........ 6,400 536,800
Andrew Corp. + ........................ 600 20,137
Comverse Technology, Inc. + ........... 3,400 316,200
Corning, Inc. ......................... 4,400 1,187,450
Lucent Technologies, Inc. ............. 20,600 1,220,550
Motorola, Inc. ........................ 28,956 841,534
Nortel Networks Corp. ................. 52,300 3,569,475
QUALCOMM Inc. + ....................... 9,900 594,000
Scientific-Atlanta, Inc. .............. 3,800 283,100
Tellabs, Inc. + ....................... 5,100 349,031
------------
8,918,277
------------
COMPUTERS (HARDWARE) (5.2%)
Apple Computer, Inc. + ................ 7,400 387,575
Compaq Computer Corp. ................. 22,300 570,044
Dell Computer Corp. + ................. 32,700 1,612,519
Gateway, Inc. + ....................... 5,400 306,450
Hewlett-Packard Co. ................... 13,800 1,723,275
International Business Machines Corp. . 23,900 2,618,543
Sun Microsystems, Inc. + .............. 28,000 2,546,250
------------
9,764,656
------------
COMPUTERS (NETWORKING) (4.4%)
Cabletron Systems, Inc. + ............ 1,300 32,825
Cisco Systems, Inc. + ................. 120,500 7,659,281
Network Appliance, Inc. + ............. 6,600 531,300
------------
8,223,406
------------
COMPUTERS (PERIPHERALS) (1.7%)
EMC Corp. + ........................... 36,400 2,800,525
Lexmark International Group, Inc. + ... 2,000 134,500
Seagate Technology, Inc. + ............ 3,300 181,500
------------
3,116,525
------------
COMPUTERS SOFTWARE/SERVICES (8.2%)
Adobe Systems, Inc. ................... 2,100 273,000
America Online, Inc. + ................ 39,100 2,062,525
BMC Software, Inc. + .................. 3,200 116,750
Citrix Systems, Inc. + ................ 2,800 53,025
Computer Associates International, Inc. 7,950 406,941
Compuware Corp. + ..................... 5,000 51,875
Microsoft Corp. + ..................... 67,000 5,360,000
Oracle Corp. + ........................ 62,200 5,228,687
Parametric Technology Co. + ........... 4,000 44,000
Unisys Corp. + ........................ 2,100 30,581
VERITAS Software Corp. + .............. 8,800 994,538
Yahoo! Inc. + ......................... 7,200 891,900
------------
15,513,822
------------
CONSTRUCTION (0.0%)
Vulcan Materials Co. .................. 1,600 68,300
------------
CONSUMER FINANCE (0.5%)
Capital One Financial Corp. ........... 3,300 147,263
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
--------- ------------
<S> <C> <C>
CONSUMER FINANCE (CONTINUED)
Household International, Inc. ......... 6,400 $ 266,000
MBNA Corp. ............................ 12,075 327,534
Providian Financial Corp. ............. 1,950 175,500
------------
916,297
------------
CONTAINERS - METAL & GLASS (0.0%)
Ball Corp. ............................ 600 19,312
Owens-Illinois, Inc. + ................ 2,500 29,219
------------
48,531
------------
CONTAINERS/PACKAGING (PAPER) (0.0%)
Bemis Co., Inc. ....................... 800 26,900
Pactiv Corp. + ........................ 1,300 10,238
Temple-Inland Inc. .................... 1,100 46,200
------------
83,338
------------
DISTRIBUTORS (FOOD & HEALTH) (0.3%)
Cardinal Health, Inc. ................. 3,600 266,400
SUPERVALU, Inc. ....................... 3,800 72,438
Sysco Corp. ........................... 7,300 307,512
------------
646,350
------------
ELECTRIC COMPANIES (1.3%)
Ameren Corp. .......................... 900 30,375
American Electric Power Co. ........... 4,240 125,610
CMS Energy Corp. ...................... 1,600 35,400
Consolidated Edison, Inc. ............. 3,000 88,875
Constellation Energy Group ............ 2,000 65,125
CP&L, Inc. ............................ 2,000 63,875
Dominion Resources, Inc. .............. 3,479 149,162
DTE Energy Co. ........................ 2,500 76,406
Duke Energy Corp. ..................... 4,730 266,654
Entergy Corp. ......................... 3,300 89,719
FirstEnergy Corp. ..................... 5,000 116,875
Florida Progress Corp. ................ 1,500 70,313
FPL Group, Inc. ....................... 2,700 133,650
GPU, Inc. ............................. 3,300 89,306
Northern States Power Co. ............. 2,000 40,375
Peco Energy Co. ....................... 2,800 112,875
PG&E Corp. ............................ 6,300 155,137
Pinnacle West Capital Corp. ........... 1,300 44,038
PPL Corporation ....................... 1,200 26,325
Public Service Enterprise Group, Inc. . 2,600 90,025
Reliant Energy Inc. ................... 4,015 118,693
Southern Co. .......................... 9,200 214,475
TXU Corp. ............................. 4,657 137,382
Unicom Corp. .......................... 3,600 139,275
------------
2,479,945
------------
ELECTRICAL EQUIPMENT (5.2%)
Cooper Industries, Inc. ............... 1,000 32,562
Emerson Electric Co. .................. 6,000 362,250
General Electric Co. .................. 173,500 9,195,500
Molex, Inc. ........................... 3,375 162,422
Rockwell International Corp. .......... 3,000 94,500
</TABLE>
See Notes to Portfolio of Investments. 135
<PAGE>
AETNA GET FUND
PORTFOLIO OF INVESTMENTS - JUNE 30, 2000 (UNAUDITED)
SERIES C (CONTINUED)
------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
--------- ------------
<S> <C> <C>
ELECTRICAL EQUIPMENT (CONTINUED)
Thomas & Betts Corp. .................. 600 $ 11,475
------------
9,858,709
------------
ELECTRONICS (INSTRUMENTS) (0.3%)
Agilent Technologies, Inc. ............ 5,788 426,865
Perkin-Elmer Inc. + ................... 700 46,288
Tektronix, Inc. ....................... 900 66,600
------------
539,753
------------
ELECTRONICS (SEMICONDUCTORS) (8.2%)
Adaptec, Inc. + ....................... 2,300 52,325
Advanced Micro Devices Corp. + ........ 3,300 254,925
Altera Corp. + ........................ 4,400 448,525
Analog Devices, Inc. + ................ 7,500 570,000
Conexant Systems, Inc. + .............. 4,700 228,538
Intel Corp. ........................... 70,200 9,384,862
Linear Technology Corp. ............... 4,000 255,750
LSI Logic Corp. + ..................... 5,200 281,450
Maxim Integrated Products, Inc. + ..... 3,700 251,369
Micron Technology, Inc. + ............. 7,200 634,050
National Semiconductor Corp. + ........ 3,600 204,300
Texas Instruments, Inc. ............... 34,800 2,390,325
Xilinx, Inc. + ........................ 6,800 561,425
------------
15,517,844
------------
ENGINEERING & CONSTRUCTION (0.0%)
Fluor Corp. ........................... 1,700 53,762
McDermott International, Inc., ADR ... 1,000 8,813
------------
62,575
------------
ENTERTAINMENT (1.9%)
Time Warner, Inc. ..................... 17,300 1,314,800
Viacom, Inc. + ........................ 18,798 1,281,788
Walt Disney Co. (The) + ............... 27,500 1,067,344
------------
3,663,932
------------
EQUIPMENT (SEMICONDUCTORS) (1.1%)
Applied Materials, Inc. + ............. 16,400 1,486,250
KLA Instruments Corp. + ............... 4,000 234,250
Teradyne, Inc. + ...................... 3,700 271,950
------------
1,992,450
------------
FINANCIAL (DIVERSIFIED) (4.5%)
American Express Co. .................. 17,000 886,125
Associates First Capital Corp. ........ 9,598 214,155
Citigroup Inc. ........................ 74,100 4,464,525
Federal National Mortgage Association . 16,000 835,000
Freddie Mac Corp. ..................... 8,800 356,400
Morgan Stanley Dean Witter & Co. ...... 20,000 1,665,000
------------
8,421,205
------------
FOODS (1.6%)
Bestfoods ............................. 4,500 311,625
Conagra, Inc. ......................... 7,900 150,594
General Mills, Inc. ................... 4,600 175,950
Heinz (H.J.) Co. ...................... 5,600 245,000
Hershey Foods Corp. ................... 1,700 82,450
Kellogg Co. ........................... 5,700 169,575
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
--------- ------------
<S> <C> <C>
FOODS (CONTINUED)
Nabisco Group Holdings Corp. .......... 2,200 $ 57,062
PepsiCo, Inc. ......................... 20,100 893,194
Quaker Oats Co. ....................... 2,000 150,250
Sara Lee Corp. ........................ 12,400 239,475
Unilever NV ........................... 7,800 335,400
Wrigley (Wm.) Jr. Co. + ............... 2,000 160,375
------------
2,970,950
------------
FOOTWEAR (0.1%)
Nike, Inc. ............................ 3,700 147,306
------------
GAMING, LOTTERY, & PARI-MUTUEL (0.0%)
Harrah's Entertainment, Inc. + ........ 1,200 25,125
------------
GOLD/PRECIOUS METALS MINING (0.0%)
Homestake Mining Co. .................. 4,200 28,875
------------
HARDWARE & TOOLS (0.1%)
Black & Decker Corp. .................. 1,700 66,831
Stanley Works (The) ................... 1,400 33,250
------------
100,081
------------
HEALTH CARE (DRUGS) (0.0%)
Alza Corp. + .......................... 1,400 82,775
------------
HEALTH CARE (DRUGS/PHARMACEUTICALS) (5.9%)
Eli Lilly & Co. ....................... 18,700 1,867,663
Merck & Co., Inc. ..................... 29,400 2,252,775
Pfizer, Inc. .......................... 106,625 5,118,000
Pharmacia Corporation ................. 16,582 857,082
Schering Plough ....................... 19,100 964,550
------------
11,060,070
------------
HEALTH CARE (HOSPITAL MANAGEMENT) (0.2%)
HCA - The Healthcare Corp. ............ 8,500 258,188
Tenet Healthcare Corp. + .............. 5,000 135,000
------------
393,188
------------
HEALTH CARE (MANAGED CARE) (0.1%)
UnitedHealth Group Incorporated ....... 2,200 188,650
Wellpoint Health Networks, Inc. + ..... 1,000 72,438
------------
261,088
------------
HEALTH CARE (MEDICAL PRODUCTS/SUPPLIES) (1.0%)
Bard (C.R.) Inc. ...................... 800 38,500
Bausch & Lomb, Inc. ................... 700 54,163
Baxter International, Inc. ............ 4,300 302,344
Becton, Dickinson & Co. ............... 4,200 120,487
Biomet, Inc. .......................... 2,000 76,875
Guidant Corp. + ....................... 4,900 242,550
Medtronic, Inc. + ..................... 16,100 801,981
PE Corp-PE Biosystems Group ........... 3,000 197,625
------------
1,834,525
------------
HEALTH CARE (SPECIAL SERVICES) (0.0%)
HEALTHSOUTH Corp. + ................... 6,700 48,156
------------
HEALTH CARE DIVERSIFIED (2.9%)
Abbott Laboratories ................... 20,600 917,988
Allergan, Inc. ........................ 2,000 149,000
American Home Products Corp. .......... 9,000 528,750
Bristol-Myers Squibb Co. .............. 25,500 1,485,375
</TABLE>
136 See Notes to Portfolio of Investments.
<PAGE>
------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
--------- ------------
<S> <C> <C>
HEALTH CARE DIVERSIFIED (CONTINUED)
Johnson & Johnson ..................... 23,600 $2,404,250
Mallinckrodt Inc. ..................... 1,100 47,781
------------
5,533,144
------------
HOMEBUILDING (0.0%)
Kaufman & Broad Home Corp. ............ 900 17,831
Pulte Corp. ........................... 1,000 21,625
------------
39,456
------------
HOUSEHOLD FURNISHINGS & APPLIANCES (0.1%)
Leggett & Platt, Inc. ................. 3,200 52,800
Whirlpool Corp. ....................... 1,500 69,938
------------
122,738
------------
HOUSEHOLD PRODUCTS (NON-DURABLE) (0.8%)
Clorox Co. ............................ 2,900 129,956
Colgate-Palmolive Co. ................. 7,700 461,038
Fort James Corp. ...................... 1,400 32,375
Kimberly-Clark Corp. .................. 7,400 424,575
Procter & Gamble Co. .................. 9,400 538,150
------------
1,586,094
------------
HOUSEWARES (0.1%)
Fortune Brands, Inc. .................. 1,700 39,206
Newell Rubbermaid Inc. ................ 3,400 87,550
Tupperware Corp. ...................... 1,100 24,200
------------
150,956
------------
INSURANCE (LIFE/HEALTH) (0.3%)
AFLAC, Inc. ........................... 3,700 169,969
American General Corp. ................ 3,564 217,404
Jefferson-Pilot Corp. ................. 1,600 90,300
Lincoln National Corp. ................ 3,000 108,375
Torchmark Corp. ....................... 2,300 56,781
------------
642,829
------------
INSURANCE (MULTI-LINE) (1.7%)
American International Group, Inc. .... 22,298 2,620,015
CIGNA Corp. ........................... 3,500 327,250
Hartford Financial Services Group, Inc. 4,000 223,750
Loews Corp. ........................... 1,600 96,000
------------
3,267,015
------------
INSURANCE (PROPERTY/CASUALTY) (0.3%)
Allstate Corp. (The) .................. 11,000 244,750
Chubb Corp. ........................... 1,200 73,800
Cincinnati Financial Corp. ............ 1,200 37,725
MBIA, Inc. ............................ 800 38,550
MGIC Investment Corp. ................. 2,500 113,750
St. Paul Co., Inc. .................... 2,296 78,351
------------
586,926
------------
INSURANCE BROKERS (0.3%)
Aon Corp. ............................. 3,500 108,719
Marsh & McLennan Co., Inc. ............ 4,000 417,750
------------
526,469
------------
INVESTMENT BANKING/BROKERAGE (0.8%)
Bear Stearns Co., Inc. (The) .......... 1,995 83,042
Charles Schwab Corp. .................. 9,050 304,306
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
--------- ------------
<S> <C> <C>
INVESTMENT BANKING/BROKERAGE (CONTINUED)
Lehman Brothers Holdings Inc. ......... 2,900 $ 274,231
Merrill Lynch & Co., Inc. ............. 6,000 690,000
Paine Webber Group Inc. ............... 2,300 104,650
------------
1,456,229
------------
INVESTMENT MANAGEMENT (0.1%)
Franklin Resources, Inc. .............. 4,300 130,613
T. Rowe Price & Associates ............ 1,800 76,500
------------
207,113
------------
LEISURE TIME (PRODUCTS) (0.1%)
Brunswick Corp. ....................... 1,500 24,844
Harley-Davidson, Inc. ................. 4,800 184,800
Hasbro, Inc. .......................... 1,450 21,840
------------
231,484
------------
LODGING - HOTELS (0.1%)
Carnival Corp. ........................ 3,900 76,050
Marriott International, Inc. .......... 3,900 140,644
------------
216,694
------------
MACHINERY - DIVERSIFIED (0.3%)
Caterpillar, Inc. ..................... 4,600 155,825
Deere & Co. ........................... 3,500 129,500
Dover Corp. ........................... 2,800 113,575
Ingersoll-Rand Co. .................... 2,300 92,575
Timken Co. ............................ 1,000 18,625
------------
510,100
------------
MANUFACTURING (DIVERSIFIED) (1.4%)
Crane Co. ............................. 1,200 29,175
Danaher Corp. ......................... 2,000 98,875
Eaton Corp. ........................... 700 46,900
Honeywell International Inc. .......... 10,599 357,054
Illinois Tool Works, Inc. ............. 4,400 250,800
ITT Industries, Inc. .................. 1,300 39,488
Johnson Controls, Inc. ................ 1,400 71,838
Minnesota Mining and Manufacturing Co. 5,300 437,250
National Service Industries, Inc. ..... 800 15,600
Parker-Hannifin Corp. ................. 1,700 58,225
PPG Industries Inc. ................... 3,300 146,231
Textron, Inc. ......................... 2,600 141,212
Tyco International Ltd. ............... 21,500 1,018,562
------------
2,711,210
------------
MANUFACTURING (SPECIALIZED) (0.4%)
Avery Dennison Corp. .................. 1,700 114,112
Briggs & Stratton Corp. ............... 300 10,275
Millipore Corp. ....................... 700 52,763
Pall Corp. ............................ 1,900 35,150
Sealed Air Corp. + .................... 1,300 68,087
United Technologies Corp. ............. 7,000 412,125
------------
692,512
------------
METALS MINING (0.0%)
Freeport-McMoRan Copper & Gold, Inc. + 1,500 13,875
Phelps Dodge Corp. .................... 1,200 44,625
------------
58,500
------------
</TABLE>
See Notes to Portfolio of Investments. 137
<PAGE>
AETNA GET FUND
PORTFOLIO OF INVESTMENTS - JUNE 30, 2000 (UNAUDITED)
SERIES C (CONTINUED)
------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
--------- ------------
<S> <C> <C>
MISCELLANEOUS METALS (0.1%)
Barrick Gold Corp. .................... 6,700 $ 121,856
Inco Ltd. + ........................... 2,900 44,588
------------
166,444
------------
NATURAL GAS (DISTRIBUTION - PIPE LINE) (0.7%)
Coastal Corp. (The) ................... 3,300 200,887
Eastern Enterprises ................... 500 31,500
El Paso Energy Corp. .................. 3,600 183,375
Enron Corp. ........................... 9,600 619,200
NICOR, Inc. ........................... 900 29,363
People's Energy Corp. ................. 600 19,425
Sempra Energy ......................... 4,311 73,287
Williams Co., Inc. (The) .............. 2,900 120,894
------------
1,277,931
------------
OFFICE EQUIPMENT & SUPPLIES (0.0%)
Pitney Bowes, Inc. .................... 1,700 68,000
------------
OIL (0.9%)
Royal Dutch Petroleum Co. ............. 28,600 1,760,687
------------
OIL & GAS (DRILLING & EQUIPMENT) (0.1%)
Baker Hughes Inc. ..................... 4,200 134,400
Rowan Co., Inc. + ..................... 2,000 60,750
------------
195,150
------------
OIL & GAS (EXPLORATION/PRODUCTION) (0.3%)
Anadarko Petroleum Corp. .............. 1,900 93,694
Apache Corp. .......................... 2,200 129,387
Burlington Resources, Inc. ............ 3,600 137,700
Kerr-McGee Corp. ...................... 1,300 76,619
Unocal Corp. .......................... 3,900 129,188
------------
566,588
------------
OIL & GAS (REFINING & MARKETING) (0.1%)
Sunoco Inc. ........................... 1,800 52,988
Tosco Corp. ........................... 3,000 84,937
------------
137,925
------------
OIL (DOMESTIC INTEGRATED) (0.5%)
Amerada Hess Corp. .................... 2,200 135,850
Conoco Inc. ........................... 6,500 159,656
Occidental Petroleum Corp. ............ 8,600 181,138
Phillips Petroleum Co. ................ 4,200 212,887
USX-Marathon Group .................... 6,800 170,425
------------
859,956
------------
OIL (INTERNATIONAL INTEGRATED) (3.8%)
Chevron Corp. ......................... 8,800 746,350
Exxon Mobil Corp. ..................... 73,799 5,793,221
Texaco, Inc. .......................... 12,300 654,975
------------
7,194,546
------------
PAPER & FOREST PRODUCTS (0.4%)
Boise Cascade Corp. ................... 1,100 28,462
Georgia-Pacific Corp. ................. 4,600 120,750
International Paper Co. ............... 7,944 236,827
Louisiana-Pacific Corp. ............... 2,400 26,100
Mead Corp. ............................ 800 20,200
Potlatch Corp. ........................ 400 13,250
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
--------- ------------
<S> <C> <C>
PAPER & FOREST PRODUCTS (CONTINUED)
Westvaco Corp. ........................ 1,000 $ 24,813
Weyerhaeuser Co. ...................... 3,500 150,500
Willamette Industries, Inc. ........... 2,500 68,125
------------
689,027
------------
PERSONAL CARE (0.3%)
Alberto-Culver Co. .................... 1,000 30,563
Avon Products, Inc. ................... 1,600 71,200
Gillette Co. .......................... 14,700 513,581
------------
615,344
------------
PHOTOGRAPHY/IMAGING (0.2%)
Eastman Kodak Co. ..................... 4,500 267,750
Polaroid Corp. ........................ 300 5,419
Xerox Corp. ........................... 4,400 91,300
------------
364,469
------------
POWER PRODUCERS (INDEPENDENT) (0.1%)
AES Corp. + ........................... 5,800 264,625
------------
PUBLISHING (0.1%)
Harcourt General, Inc. ................ 800 43,500
McGraw-Hill Co., Inc. ................. 3,200 172,800
Meredith Corp. ........................ 400 13,500
------------
229,800
------------
PUBLISHING - NEWSPAPERS (0.3%)
Dow Jones & Co., Inc. ................. 1,100 80,575
Gannett Co., Inc. ..................... 4,900 293,081
Knight-Ridder, Inc. ................... 1,900 101,056
New York Times Co. .................... 2,700 106,650
Tribune Co. ........................... 1,700 59,500
------------
640,862
------------
RAILROADS (0.2%)
Burlington Northern Santa Fe Corp. .... 7,800 178,913
Kansas City Southern Industries, Inc. . 1,700 150,769
Union Pacific Corp. ................... 2,300 85,531
------------
415,213
------------
RESTAURANTS (0.4%)
Darden Restaurants, Inc. .............. 3,000 48,750
McDonald's Corp. ...................... 18,100 596,169
Tricon Global Restaurants, Inc. + ..... 2,470 69,777
Wendy's International, Inc. ........... 2,400 42,750
------------
757,446
------------
RETAIL (BUILDING SUPPLIES) (1.3%)
Home Depot, Inc. ...................... 40,700 2,032,456
Lowe's Co., Inc. ...................... 8,100 332,606
Sherwin-Williams Co. .................. 2,000 42,375
------------
2,407,437
------------
RETAIL (COMPUTERS & ELECTRONICS) (0.3%)
Best Buy Co., Inc. + .................. 4,200 265,650
Circuit City Stores, Inc. ............. 3,100 102,881
RadioShack Corporation ................ 2,700 127,913
------------
496,444
------------
RETAIL (DISCOUNTERS) (0.0%)
Consolidated Stores Corp. + ........... 1,700 20,400
</TABLE>
138 See Notes to Portfolio of Investments.
<PAGE>
------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
--------- ------------
<S> <C> <C>
RETAIL (DISCOUNTERS) (CONTINUED)
Dollar General Corp. .................. 2,375 $ 46,313
------------
66,713
------------
RETAIL (DEPARTMENT STORES) (0.4%)
Dillards, Inc. ........................ 1,600 19,600
Federated Department Stores, Inc. + ... 3,000 101,250
Kohl's Corp. + ........................ 4,800 267,000
May Department Stores Co. ............. 7,500 180,000
Nordstrom, Inc. ....................... 2,300 55,487
Sears, Roebuck & Co. .................. 4,400 143,550
------------
766,887
------------
RETAIL (GENERAL MERCHANDISE CHAIN) (2.7%)
Costco Wholesale Corp. + .............. 3,000 99,000
Target Corporation .................... 7,000 406,000
Wal-Mart Stores, Inc. ................. 78,300 4,512,037
------------
5,017,037
------------
RETAIL (SPECIALITY) (0.1%)
AutoZone, Inc. + ...................... 1,300 28,600
Bed Bath & Beyond, Inc. + ............. 2,700 97,875
Office Depot, Inc. + .................. 6,000 37,500
Toys "R" Us, Inc. + ................... 2,700 39,319
------------
203,294
------------
RETAIL SPECIALITY - APPAREL (0.3%)
Gap, Inc. ............................. 11,800 368,750
The Limited, Inc. ..................... 7,400 160,025
TJX Companies, Inc. ................... 4,000 75,000
------------
603,775
------------
RETAIL STORES - DRUG STORE (0.4%)
CVS Corp. ............................. 5,900 236,000
Longs Drug Stores, Inc. ............... 800 17,400
Walgreen Co. .......................... 13,800 444,187
------------
697,587
------------
RETAIL STORES - FOOD CHAINS (0.2%)
Albertson's, Inc. ..................... 2,800 93,100
Great Atlantic & Pacific Tea Co., Inc. 600 9,975
Safeway, Inc. + ....................... 6,700 302,338
------------
405,413
------------
SAVINGS & LOAN COMPANIES (0.1%)
Golden West Financial Corp. ........... 2,700 110,194
Washington Mutual Fin. Corp. .......... 3,500 101,062
------------
211,256
------------
SERVICES (ADVERTISING/MARKETING) (0.2%)
Interpublic Group of Co., Inc. (The) .. 4,400 189,200
Omnicom Group, Inc. ................... 2,200 195,938
------------
385,138
------------
SERVICES (COMMERCIAL & CONSUMER) (0.2%)
Cendant Corp. + ....................... 11,300 158,200
Dun & Bradstreet Corp. ................ 2,800 80,150
H&R Block, Inc. ....................... 2,500 80,938
IMS Health, Inc. ...................... 4,700 84,600
------------
403,888
------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
--------- ------------
<S> <C> <C>
SERVICES (COMPUTER SYSTEMS) (0.4%)
Computer Sciences Corp. + ............. 2,600 $ 194,187
Electronic Data Systems Corp. ......... 6,600 272,250
Sabre Holdings Corporation ............ 1,734 49,419
Sapient Corp. + ....................... 1,300 139,019
------------
654,875
------------
SERVICES (DATA PROCESSING) (0.6%)
Automatic Data Processing, Inc. ....... 9,100 487,419
Ceridian Corp. + ...................... 1,100 26,469
Equifax, Inc. ......................... 1,200 31,500
First Data Corp. ...................... 5,900 292,787
Paychex, Inc. ......................... 5,625 236,250
------------
1,074,425
------------
SPECIALITY PRINTING (0.1%)
Deluxe Corp. .......................... 1,500 35,344
RR Donnelley & Sons Co. ............... 2,200 49,637
------------
84,981
------------
STEEL (0.1%)
Allegheny Technologies Incorporated ... 900 16,200
Nucor Corp. ........................... 1,900 63,057
USX-US Steel Group, Inc. .............. 2,100 38,981
Worthington Industries ................ 1,300 13,650
------------
131,888
------------
TELEPHONE (2.6%)
ALLTEL Corp. .......................... 4,400 272,525
Bell Atlantic Corp. ................... 19,600 995,925
BellSouth Corp. ....................... 24,900 1,061,362
GTE Corp. ............................. 12,300 765,675
SBC Communications, Inc. .............. 43,200 1,868,400
------------
4,963,887
------------
TELEPHONE LONG DISTANCE (1.6%)
AT&T Corp. ............................ 20,500 648,313
Sprint Corp. .......................... 11,900 606,900
WorldCom, Inc. ........................ 36,600 1,679,025
------------
2,934,238
------------
TEXTILES (APPAREL) (0.0%)
Liz Claiborne, Inc. ................... 600 21,150
Russell Corporation ................... 500 10,000
VF Corp. .............................. 2,000 47,625
------------
78,775
------------
TEXTILES (HOME FURNISHINGS) (0.0%)
Springs Industries, Inc. - Class A .... 200 6,438
------------
TOBACCO (0.4%)
Philip Morris Co., Inc. ............... 29,200 775,625
UST, Inc. ............................. 2,600 38,187
------------
813,812
------------
TRUCKERS (0.0%)
Ryder System, Inc. .................... 1,600 30,300
------------
TRUCKS & PARTS (0.1%)
Cummins Engine Co., Inc. .............. 900 24,525
Navistar International Corp. + ........ 800 24,850
</TABLE>
See Notes to Portfolio of Investments. 139
<PAGE>
AETNA GET FUND
PORTFOLIO OF INVESTMENTS - JUNE 30, 2000 (UNAUDITED)
SERIES C (CONTINUED)
------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
--------- ------------
<S> <C> <C>
TRUCKS & PARTS (CONTINUED)
PACCAR, Inc. .......................... 1,800 $ 71,438
120,813
------------
TOTAL COMMON STOCKS 181,431,535
(COST $149,810,315) ------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
----------
<S> <C> <C>
LONG-TERM BONDS AND NOTES (3.4%)
U.S. Treasury Strip,Zero
Coupon,11/15/01....................... $4,558,000 4,176,131
U.S. Treasury Strip,Zero
Coupon,02/15/02....................... 2,497,000 2,273,493
------------
TOTAL LONG-TERM BONDS AND NOTES
(COST $6,581,245) 6,449,624
------------
SHORT-TERM INVESTMENTS (0.5%)
Federal Home Loan Mortgage
Corp.,6.43%,07/18/00 + ............... 926,000 926,000
------------
TOTAL SHORT-TERM INVESTMENTS
(COST $926,000) 926,000
------------
TOTAL INVESTMENTS
(COST $157,317,560)(a) 188,807,159
OTHER ASSETS LESS LIABILITIES 25,148
------------
TOTAL NET ASSETS $188,832,307
============
NOTES TO PORTFOLIO OF INVESTMENTS
(a) The cost of investments for federal income tax purposes amounts to
$162,107,679. Unrealized gains and losses, based on identified tax cost at June
30, 2000, are as follows:
Unrealized gains........................... $ 37,417,017
Unrealized losses.......................... (10,717,537)
------------
Net unrealized gain...................... $ 26,699,480
============
</TABLE>
+ Non-income producing security.
(1) AT&T Corp. acquired MediaOne Group on June 15, 2000. As of June 30, 2000 the
acquisition was not completed, therefore, the market value of MediaOne Group
on June 30, 2000 reflects the fair value of the AT&T Corp. offer.
Category percentages are based on net assets.
140 See Notes to Financial Statements.
<PAGE>
AETNA GET FUND
PORTFOLIO OF INVESTMENTS - JUNE 30, 2000 (UNAUDITED)
SERIES D
------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
----------- ------------
<S> <C> <C>
COMMON STOCKS (55.2%)
AEROSPACE/DEFENSE (0.3%)
Boeing Co. .......................... 19,500 $ 815,344
General Dynamics Corp. .............. 4,700 245,575
Goodrich (B.F.) Co. ................. 2,400 81,750
Lockheed Martin Corp. ............... 8,900 220,831
Northrop Grumman Corp. .............. 2,700 178,875
------------
1,542,375
------------
AGRICULTURE (0.0%)
Archer-Daniels-Midland Co. .......... 17,400 170,738
------------
AIR FREIGHT (0.0%)
FedEx Corporation + ................. 6,200 235,600
------------
AIRLINES (0.1%)
AMR Corp. + ......................... 5,800 153,338
Delta Air Lines, Inc. ............... 4,300 217,419
Southwest Airlines Co. .............. 11,400 215,887
------------
586,644
------------
ALUMINUM (0.2%)
Alcan Aluminum Ltd. ................. 6,900 213,900
Alcoa Inc. .......................... 25,188 730,452
------------
944,352
------------
AUTO PARTS & EQUIPMENT (0.1%)
Cooper Tire & Rubber Co. ............ 2,700 30,037
Dana Corp. .......................... 4,100 86,869
Delphi Automotive Systems Corp. ..... 17,043 248,189
Genuine Parts Co. ................... 4,600 92,000
Snap-On, Inc. ....................... 1,500 39,937
TRW, Inc. ........................... 2,600 112,775
Visteon Corp. ....................... 4,635 56,200
------------
666,007
------------
AUTOMOBILES (0.5%)
Ford Motor Co. ...................... 35,400 1,522,200
General Motors Corp. + .............. 23,200 1,347,050
------------
2,869,250
------------
BANKS (MAJOR REGIONAL) (1.3%)
Bank of New York Co., Inc. .......... 17,300 804,450
BB&T Corp. .......................... 8,700 207,712
Comerica, Inc. ...................... 4,000 179,500
Fifth Third Bancorp ................. 7,000 442,750
Firstar Corp. ....................... 23,036 485,196
Fleet Boston Financial Corp. ........ 36,073 1,226,482
Huntington Bancshares Inc. .......... 3,090 48,861
Mellon Financial Corp. .............. 10,900 397,169
Northern Trust Corp. ................ 6,400 416,400
Old Kent Financial Corp. ............ 1,890 50,558
PNC Bank Corp. ...................... 6,300 295,312
Regions Financial Corp. ............. 2,900 57,638
SouthTrust Corp. .................... 2,200 49,775
State Street Corp. .................. 3,700 392,431
Summit Bancorp ...................... 2,100 51,713
Suntrust Banks, Inc. ................ 7,000 319,812
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
----------- ------------
<S> <C> <C>
BANKS (MAJOR REGIONAL) (CONTINUED)
Synovus Financial Corp. ............. 5,700 $ 100,462
U.S. Bancorp ........................ 9,400 180,950
Union Planters Co. .................. 2,500 69,844
Wachovia Corp. ...................... 4,700 254,975
Wells Fargo & Co. ................... 38,600 1,495,750
------------
7,527,740
------------
BANKS (MONEY CENTER) (0.7%)
Bank of America Corp. ............... 40,200 1,728,600
Chase Manhattan Corp. ............... 28,650 1,319,690
First Union Corp. ................... 23,100 573,169
J.P. Morgan & Co. ................... 4,800 528,600
------------
4,150,059
------------
BEVERAGES (NON-ALCOHOLIC) (0.5%)
Coca-Cola Co. (The) ................. 54,500 3,130,344
------------
BEVERAGES (ALCOHOLIC) (0.2%)
Anheuser-Busch Co., Inc. ............ 14,100 1,053,094
Brown-Forman Corp. + ................ 2,200 118,250
Coors (Adolph) Co. .................. 1,200 72,600
------------
1,243,944
------------
BIOTECHNOLOGY (0.3%)
Amgen, Inc. + ....................... 23,800 1,671,950
Biogen, Inc. + ...................... 1,800 116,100
------------
1,788,050
------------
BROADCASTING (TV, RADIO & CABLE) (0.2%)
Clear Channel Communications, Inc. + 4,100 307,500
Mediaone Group, Inc. + (1) .......... 13,700 908,498
------------
1,215,998
------------
BUILDING MATERIALS GROUP (0.0%)
Masco Corp. ......................... 9,400 169,788
------------
CELLULAR/WIRELESS TELECOMMUNICATIONS (0.4%)
Nextel Communications, Inc. + ....... 16,200 991,237
Sprint PCS + ........................ 18,900 1,124,550
------------
2,115,787
------------
CHEMICALS (0.4%)
Air Products and Chemicals, Inc. .... 6,200 191,037
Dow Chemical Co. .................... 20,400 615,825
Du Pont (E.I.) de Nemours ........... 23,000 1,006,250
Eastman Chemical Co. ................ 2,500 119,375
Praxair, Inc. ....................... 3,300 123,544
Union Carbide Corp. ................. 3,900 193,050
------------
2,249,081
------------
CHEMICALS - DIVERSIFIED (0.0%)
Engelhard Corp. ..................... 3,400 58,013
FMC Corp. + ......................... 900 52,200
------------
110,213
------------
CHEMICALS - SPECIALITY (0.1%)
Ecolab, Inc. ........................ 3,100 121,094
Grace (W.R.) & Co. + ................ 2,500 30,312
Great Lakes Chemical Corp. .......... 1,500 47,250
International Flavors & Fragrances,
Inc................................. 2,500 75,469
</TABLE>
See Notes to Portfolio of Investments. 141
<PAGE>
AETNA GET FUND
PORTFOLIO OF INVESTMENTS - JUNE 30, 2000 (UNAUDITED)
SERIES D (CONTINUED)
------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
----------- ------------
<S> <C> <C>
CHEMICALS - SPECIALITY (CONTINUED)
Sigma-Aldrich Corp. ................. 2,400 $ 70,200
------------
344,325
------------
COMMUNICATIONS EQUIPMENT (2.7%)
ADC Telecommunications, Inc. + ...... 11,800 989,725
Andrew Corp. + ...................... 3,200 107,400
Comverse Technology, Inc. + ......... 6,100 567,300
Corning, Inc. ....................... 10,200 2,752,725
Motorola, Inc. ...................... 50,295 1,461,698
Nortel Networks Corp. ............... 108,200 7,384,650
QUALCOMM Inc. + ..................... 16,400 984,000
Scientific-Atlanta, Inc. ............ 6,300 469,350
Tellabs, Inc. + ..................... 9,200 629,625
------------
15,346,473
------------
COMPUTERS (HARDWARE) (3.1%)
Apple Computer, Inc. + .............. 13,000 680,875
Compaq Computer Corp. ............... 37,500 958,594
Dell Computer Corp. + ............... 58,400 2,879,850
Gateway, Inc. + ..................... 9,600 544,800
Hewlett-Packard Co. ................. 29,300 3,658,837
International Business Machines Corp. 41,100 4,503,019
NCR Corp. + ......................... 3,000 116,812
Sun Microsystems, Inc. + ............ 46,900 4,264,969
------------
17,607,756
------------
COMPUTERS (NETWORKING) (2.5%)
Cabletron Systems, Inc. + .......... 2,300 58,075
Cisco Systems, Inc. + ............... 205,600 13,068,450
Network Appliance, Inc. + ........... 11,500 925,750
------------
14,052,275
------------
COMPUTERS (PERIPHERALS) (0.9%)
EMC Corp. + ......................... 63,500 4,885,531
Lexmark International Group, Inc. + . 2,800 188,300
Seagate Technology, Inc. + .......... 4,700 258,500
------------
5,332,331
------------
COMPUTERS SOFTWARE/SERVICES (4.4%)
Adobe Systems, Inc. ................. 3,400 442,000
America Online, Inc. + .............. 53,400 2,816,850
Autodesk, Inc. ...................... 1,400 48,563
BMC Software, Inc. + ................ 6,000 218,906
Citrix Systems, Inc. + .............. 5,000 94,688
Computer Associates International,
Inc................................. 13,200 675,675
Compuware Corp. + ................... 9,000 93,375
Microsoft Corp. + ................... 116,900 9,352,000
Oracle Corp. + ...................... 83,600 7,027,625
Peoplesoft, Inc. + .................. 7,600 127,300
Siebel Systems, Inc. + .............. 6,000 981,375
Unisys Corp. + ...................... 3,300 48,056
VERITAS Software Corp. + ............ 14,200 1,604,822
Yahoo! Inc. + ....................... 11,700 1,449,337
------------
24,980,572
------------
CONSTRUCTION (0.0%)
Vulcan Materials Co. ................ 2,200 93,913
------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
----------- ------------
<S> <C> <C>
CONSUMER FINANCE (0.3%)
Capital One Financial Corp. ......... 4,900 $ 218,662
Countrywide Credit Industries, Inc. . 2,600 78,813
Household International, Inc. ....... 10,100 419,781
MBNA Corp. .......................... 17,800 482,825
Providian Financial Corp. ........... 4,400 396,000
------------
1,596,081
------------
CONTAINERS - METAL & GLASS (0.0%)
Ball Corp. .......................... 1,200 38,625
Owens-Illinois, Inc. + .............. 2,100 24,544
------------
63,169
------------
CONTAINERS/PACKAGING (PAPER) (0.0%)
Bemis Co., Inc. ..................... 1,600 53,800
Pactiv Corp. + ...................... 6,700 52,763
Temple-Inland Inc. .................. 1,900 79,800
------------
186,363
------------
DISTRIBUTORS (FOOD & HEALTH) (0.3%)
Cardinal Health, Inc. ............... 10,400 769,600
McKesson HBOC, Inc. ................. 3,400 71,188
SUPERVALU, Inc. ..................... 3,800 72,437
Sysco Corp. ......................... 12,500 526,562
------------
1,439,787
------------
ELECTRIC COMPANIES (0.8%)
Ameren Corp. ........................ 3,200 108,000
American Electric Power Co. ......... 9,360 277,290
Cinergy Corp. ....................... 3,100 78,856
Consolidated Edison, Inc. ........... 5,700 168,862
Constellation Energy Group .......... 3,100 100,944
CP&L, Inc. .......................... 3,200 102,200
Dominion Resources, Inc. ............ 5,221 223,850
DTE Energy Co. ...................... 4,200 128,363
Duke Energy Corp. ................... 8,100 456,637
Edison International Inc. ........... 8,000 164,000
Entergy Corp. ....................... 6,000 163,125
FirstEnergy Corp. ................... 6,500 151,938
Florida Progress Corp. .............. 2,200 103,125
FPL Group, Inc. ..................... 3,900 193,050
GPU, Inc. ........................... 3,300 89,306
New Century Energies, Inc. .......... 2,300 69,000
Niagara Mohawk Holdings Inc. + ...... 3,800 52,963
Northern States Power Co. ........... 3,800 76,713
Peco Energy Co. ..................... 5,100 205,594
PG&E Corp. .......................... 8,400 206,850
Pinnacle West Capital Corp. ......... 3,400 115,175
PPL Corporation ..................... 3,300 72,394
Public Service Enterprise Group, Inc. 6,500 225,062
Reliant Energy Inc. ................. 6,800 201,025
Southern Co. ........................ 15,300 356,681
TXU Corp. ........................... 6,500 191,750
Unicom Corp. ........................ 5,000 193,437
------------
4,476,190
------------
</TABLE>
142 See Notes to Portfolio of Investments.
<PAGE>
------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
----------- ------------
<S> <C> <C>
ELECTRICAL EQUIPMENT (3.0%)
American Power Conversion Corp. + ... 4,600 $ 187,737
Cooper Industries, Inc. ............. 2,200 71,638
Emerson Electric Co. ................ 9,500 573,562
General Electric Co. ................ 296,200 15,698,600
Molex, Inc. ......................... 5,900 283,937
Rockwell International Corp. ........ 4,400 138,600
Thomas & Betts Corp. ................ 1,500 28,688
------------
16,982,762
------------
ELECTRONICS (COMPONENT DISTRIBUTION) (0.0%)
Grainger (W.W.), Inc. ............... 2,700 83,194
------------
ELECTRONICS (INSTRUMENTS) (0.2%)
Agilent Technologies, Inc. .......... 10,813 797,459
Perkin-Elmer Inc. + ................. 1,300 85,962
Tektronix, Inc. ..................... 1,600 118,400
------------
1,001,821
------------
ELECTRONICS (SEMICONDUCTORS) (4.6%)
Adaptec, Inc. + ..................... 4,800 109,200
Advanced Micro Devices Corp. + ...... 5,500 424,875
Altera Corp. + ...................... 7,200 733,950
Analog Devices, Inc. + .............. 13,300 1,010,800
Conexant Systems, Inc. + ............ 8,700 423,038
Intel Corp. ......................... 123,300 16,483,669
Linear Technology Corp. ............. 7,000 447,563
LSI Logic Corp. + ................... 9,100 492,538
Maxim Integrated Products, Inc. + ... 6,700 455,181
Micron Technology, Inc. + ........... 11,800 1,039,137
National Semiconductor Corp. + ...... 6,900 391,575
Texas Instruments, Inc. ............. 48,200 3,310,737
Xilinx, Inc. + ...................... 12,200 1,007,262
------------
26,329,525
------------
ENGINEERING & CONSTRUCTION (0.0%)
Fluor Corp. ......................... 1,500 47,438
------------
ENTERTAINMENT (1.1%)
Time Warner, Inc. ................... 29,300 2,226,800
Viacom, Inc. + ...................... 34,868 2,377,562
Walt Disney Co. (The) + ............. 46,000 1,785,375
------------
6,389,737
------------
EQUIPMENT (SEMICONDUCTORS) (0.6%)
Applied Materials, Inc. + ........... 28,900 2,619,062
KLA Instruments Corp. + ............. 7,500 439,219
Teradyne, Inc. + .................... 6,700 492,450
------------
3,550,731
------------
FINANCIAL (DIVERSIFIED) (2.6%)
American Express Co. ................ 30,500 1,589,812
Associates First Capital Corp. ...... 16,600 370,388
Citigroup Inc. ...................... 130,400 7,856,600
Federal National Mortgage Association 31,100 1,623,031
Freddie Mac Corp. ................... 15,600 631,800
Morgan Stanley Dean Witter & Co. .... 33,900 2,822,175
SLM Holding Corp. ................... 3,900 146,006
------------
15,039,812
------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
----------- ------------
<S> <C> <C>
FOODS (0.9%)
Bestfoods ........................... 8,200 $ 567,850
Conagra, Inc. ....................... 10,700 203,969
General Mills, Inc. ................. 6,900 263,925
Heinz (H.J.) Co. .................... 8,200 358,750
Hershey Foods Corp. ................. 3,500 169,750
Kellogg Co. ......................... 9,700 288,575
Nabisco Group Holdings Corp. ........ 4,100 106,344
PepsiCo, Inc. ....................... 32,400 1,439,775
Quaker Oats Co. ..................... 2,900 217,862
Ralston-Ralston Purina Group ........ 3,900 77,756
Sara Lee Corp. ...................... 21,200 409,425
Unilever NV ......................... 13,300 571,900
Wrigley (Wm.) Jr. Co. + ............. 2,700 216,506
------------
4,892,387
------------
FOOTWEAR (0.1%)
Nike, Inc. .......................... 6,700 266,744
------------
GAMING, LOTTERY, & PARI-MUTUEL (0.0%)
Harrah's Entertainment, Inc. + ...... 4,500 94,219
------------
GOLD/PRECIOUS METALS MINING (0.0%)
Newmont Mining Corp. ................ 1,700 36,763
------------
HARDWARE & TOOLS (0.0%)
Black & Decker Corp. ................ 2,000 78,625
Stanley Works (The) ................. 2,400 57,000
------------
135,625
------------
HEALTH CARE (DRUGS) (0.0%)
Alza Corp. + ........................ 1,500 88,688
Watson Pharmaceuticals, Inc. + ...... 2,700 145,125
------------
233,813
------------
HEALTH CARE (DRUGS/PHARMACEUTICALS) (3.4%)
Eli Lilly & Co. ..................... 33,600 3,355,800
Merck & Co., Inc. ................... 52,100 3,992,162
Pfizer, Inc. ........................ 187,800 9,014,400
Pharmacia Corporation ............... 28,574 1,476,919
Schering Plough ..................... 34,400 1,737,200
------------
19,576,481
------------
HEALTH CARE (HOSPITAL MANAGEMENT) (0.1%)
HCA - The Healthcare Corp. .......... 12,900 391,838
Tenet Healthcare Corp. + ............ 7,300 197,100
------------
588,938
------------
HEALTH CARE (MANAGED CARE) (0.1%)
UnitedHealth Group Incorporated ..... 3,600 308,700
Wellpoint Health Networks, Inc. + ... 2,500 181,094
------------
489,794
------------
HEALTH CARE (MEDICAL PRODUCTS/SUPPLIES) (0.5%)
Bard (C.R.) Inc. .................... 1,300 62,563
Bausch & Lomb, Inc. ................. 1,200 92,850
Baxter International, Inc. .......... 6,400 450,000
Becton, Dickinson & Co. ............. 6,600 189,337
Biomet, Inc. ........................ 3,000 115,312
Guidant Corp. + ..................... 7,100 351,450
Medtronic, Inc. + ................... 28,000 1,394,750
</TABLE>
See Notes to Portfolio of Investments. 143
<PAGE>
AETNA GET FUND
PORTFOLIO OF INVESTMENTS - JUNE 30, 2000 (UNAUDITED)
SERIES D (CONTINUED)
------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
----------- ------------
<S> <C> <C>
HEALTH CARE (MEDICAL PRODUCTS/SUPPLIES) (CONTINUED)
PE Corp-PE Biosystems Group ......... 4,700 $ 309,612
Saint Jude Medical, Inc. + .......... 2,100 96,338
------------
3,062,212
------------
HEALTH CARE (SPECIAL SERVICE) (0.0%)
HEALTHSOUTH Corp. + ................. 200 1,438
------------
HEALTH CARE DIVERSIFIED (1.7%)
Abbott Laboratories ................. 35,300 1,573,056
Allergan, Inc. ...................... 3,000 223,500
American Home Products Corp. ........ 14,500 851,875
Bristol-Myers Squibb Co. ............ 44,500 2,592,125
Johnson & Johnson ................... 41,600 4,238,000
Mallinckrodt Inc. ................... 1,800 78,188
------------
9,556,744
------------
HOMEBUILDING (0.0%)
Kaufman & Broad Home Corp. .......... 2,000 39,625
Pulte Corp. ......................... 1,800 38,925
------------
78,550
------------
HOUSEHOLD FURNISHINGS & APPLIANCES (0.0%)
Leggett & Platt, Inc. ............... 4,700 77,550
Maytag Corp. ........................ 1,200 44,250
Whirlpool Corp. ..................... 3,000 139,875
------------
261,675
------------
HOUSEHOLD PRODUCTS (NON-DURABLE) (0.5%)
Clorox Co. .......................... 5,400 241,987
Colgate-Palmolive Co. ............... 13,100 784,362
Fort James Corp. .................... 2,500 57,813
Kimberly-Clark Corp. ................ 12,400 711,450
Procter & Gamble Co. ................ 14,500 830,125
------------
2,625,737
------------
HOUSEWARES (0.1%)
Fortune Brands, Inc. ................ 4,200 96,863
Newell Rubbermaid Inc. .............. 6,500 167,375
Tupperware Corp. .................... 1,600 35,200
------------
299,438
------------
INSURANCE (LIFE/HEALTH) (0.2%)
AFLAC, Inc. ......................... 6,000 275,625
American General Corp. .............. 5,800 353,800
Jefferson-Pilot Corp. ............... 3,100 174,956
Lincoln National Corp. .............. 4,800 173,400
Torchmark Corp. ..................... 3,100 76,531
------------
1,054,312
------------
INSURANCE (MULTI-LINE) (1.1%)
American International Group, Inc. .. 46,700 5,487,250
CIGNA Corp. ......................... 4,900 458,150
Hartford Financial Services Group,
Inc................................. 7,000 391,562
Loews Corp. ......................... 2,500 150,000
------------
6,486,962
------------
INSURANCE (PROPERTY/CASUALTY) (0.2%)
Allstate Corp. (The) ................ 18,000 400,500
Chubb Corp. ......................... 2,000 123,000
Cincinnati Financial Corp. .......... 4,400 138,325
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
----------- ------------
<S> <C> <C>
INSURANCE (PROPERTY/CASUALTY) (CONTINUED)
MBIA, Inc. .......................... 2,400 $ 115,650
MGIC Investment Corp. ............... 3,500 159,250
St. Paul Co., Inc. .................. 6,800 232,050
------------
1,168,775
------------
INSURANCE BROKERS (0.1%)
Aon Corp. ........................... 6,100 189,481
Marsh & McLennan Co., Inc. .......... 6,400 668,400
------------
857,881
------------
INVESTMENT BANKING/BROKERAGE (0.5%)
Bear Stearns Co., Inc. (The) ........ 3,826 159,257
Charles Schwab Corp. ................ 30,100 1,012,113
Lehman Brothers Holdings Inc. ....... 4,900 463,356
Merrill Lynch & Co., Inc. ........... 11,500 1,322,500
Paine Webber Group Inc. ............. 4,100 186,550
------------
3,143,776
------------
INVESTMENT MANAGEMENT (0.1%)
Franklin Resources, Inc. ............ 7,000 212,625
T. Rowe Price & Associates .......... 3,500 148,750
------------
361,375
------------
LEISURE TIME (PRODUCTS) (0.1%)
Brunswick Corp. ..................... 2,300 38,094
Harley-Davidson, Inc. ............... 6,700 257,950
Hasbro, Inc. ........................ 3,050 45,940
Mattel, Inc. ........................ 10,000 131,875
------------
473,859
------------
LODGING - HOTELS (0.1%)
Carnival Corp. ...................... 6,700 130,650
Hilton Hotels Corp. ................. 7,700 72,188
Marriott International, Inc. ........ 5,700 205,556
------------
408,394
------------
MACHINERY - DIVERSIFIED (0.2%)
Caterpillar, Inc. ................... 8,300 281,162
Deere & Co. ......................... 8,300 307,100
Dover Corp. ......................... 5,500 223,094
Ingersoll-Rand Co. .................. 4,100 165,025
Timken Co. .......................... 1,700 31,663
------------
1,008,044
------------
MANUFACTURING (DIVERSIFIED) (0.8%)
Crane Co. ........................... 1,700 41,331
Danaher Corp. ....................... 3,200 158,200
Eaton Corp. ......................... 2,100 140,700
Honeywell International Inc. ........ 18,499 623,185
Illinois Tool Works, Inc. ........... 7,300 416,100
ITT Industries, Inc. ................ 2,500 75,938
Johnson Controls, Inc. .............. 3,200 164,200
Minnesota Mining and Manufacturing
Co.................................. 8,800 726,000
National Service Industries, Inc. ... 1,100 21,450
Parker-Hannifin Corp. ............... 4,200 143,850
PPG Industries Inc. ................. 5,200 230,425
Textron, Inc. ....................... 3,400 184,663
Thermo Electron Corp. + ............. 3,700 77,931
</TABLE>
144 See Notes to Portfolio of Investments.
<PAGE>
------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
----------- ------------
<S> <C> <C>
MANUFACTURING (DIVERSIFIED) (CONTINUED)
Tyco International Ltd. ............. 37,456 $ 1,774,478
------------
4,778,451
------------
MANUFACTURING (SPECIALIZED) (0.2%)
Avery Dennison Corp. ................ 3,200 214,800
Briggs & Stratton Corp. ............. 800 27,400
Millipore Corp. ..................... 1,200 90,450
Pall Corp. .......................... 3,000 55,500
Sealed Air Corp. + .................. 2,200 115,225
United Technologies Corp. ........... 11,200 659,400
------------
1,162,775
------------
MISCELLANEOUS METALS (0.1%)
Barrick Gold Corp. .................. 9,600 174,600
Inco Ltd. + ......................... 7,400 113,775
Placer Dome, Inc. ................... 7,000 66,938
------------
355,313
------------
NATURAL GAS (DISTRIBUTION - PIPE LINE) (0.4%)
Coastal Corp. (The) ................. 6,400 389,600
Columbia Energy Group ............... 2,300 150,937
El Paso Energy Corp. ................ 5,100 259,781
Enron Corp. ......................... 15,700 1,012,650
NICOR, Inc. ......................... 1,400 45,675
People's Energy Corp. ............... 1,300 42,088
Sempra Energy ....................... 5,700 96,900
Williams Co., Inc. (The) ............ 4,800 200,100
------------
2,197,731
------------
OFFICE EQUIPMENT & SUPPLIES (0.0%)
Pitney Bowes, Inc. .................. 2,900 116,000
------------
OIL (0.7%)
Royal Dutch Petroleum Co. ........... 63,200 3,890,750
------------
OIL & GAS (DRILLING & EQUIPMENT) (0.1%)
Baker Hughes Inc. ................... 8,200 262,400
Rowan Co., Inc. + ................... 2,100 63,788
Schlumberger, Ltd. .................. 6,300 470,137
------------
796,325
------------
OIL & GAS (EXPLORATION/PRODUCTION) (0.2%)
Anadarko Petroleum Corp. ............ 3,500 172,594
Apache Corp. ........................ 4,200 247,012
Burlington Resources, Inc. .......... 5,000 191,250
Kerr-McGee Corp. .................... 2,300 135,556
Union Pacific Resources Group Inc. .. 9,600 211,200
Unocal Corp. ........................ 6,600 218,625
------------
1,176,237
------------
OIL & GAS (REFINING & MARKETING) (0.1%)
Ashland Oil, Inc. ................... 2,200 77,137
Sunoco Inc. ......................... 2,500 73,594
Tosco Corp. ......................... 5,500 155,719
------------
306,450
------------
OIL (DOMESTIC INTEGRATED) (0.3%)
Amerada Hess Corp. .................. 3,100 191,425
Conoco Inc. ......................... 13,700 336,506
Occidental Petroleum Corp. .......... 13,600 286,450
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
----------- ------------
<S> <C> <C>
OIL (DOMESTIC INTEGRATED) (CONTINUED)
Phillips Petroleum Co. .............. 8,700 $ 440,981
USX-Marathon Group .................. 12,800 320,800
------------
1,576,162
------------
OIL (INTERNATIONAL INTEGRATED) (2.0%)
Chevron Corp. ....................... 23,800 2,018,537
Exxon Mobil Corp. ................... 103,900 8,156,150
Texaco, Inc. ........................ 21,000 1,118,250
------------
11,292,937
------------
PAPER & FOREST PRODUCTS (0.2%)
Boise Cascade Corp. ................. 1,200 31,050
Georgia-Pacific Corp. ............... 4,900 128,625
International Paper Co. ............. 10,589 315,686
Louisiana-Pacific Corp. ............. 4,400 47,850
Mead Corp. .......................... 1,300 32,825
Potlatch Corp. ...................... 800 26,500
Westvaco Corp. ...................... 4,400 109,175
Weyerhaeuser Co. .................... 7,400 318,200
Willamette Industries, Inc. ......... 2,300 62,675
------------
1,072,586
------------
PERSONAL CARE (0.2%)
Avon Products, Inc. ................. 2,700 120,150
Gillette Co. ........................ 23,800 831,512
------------
951,662
------------
PHOTOGRAPHY/IMAGING (0.1%)
Eastman Kodak Co. ................... 7,100 422,450
Xerox Corp. ......................... 7,800 161,850
------------
584,300
------------
POWER PRODUCERS (INDEPENDENT) (0.1%)
AES Corp. + ......................... 9,000 410,625
------------
PUBLISHING (0.1%)
Harcourt General, Inc. .............. 1,300 70,688
McGraw-Hill Co., Inc. ............... 4,200 226,800
Meredith Corp. ...................... 1,100 37,125
------------
334,613
------------
PUBLISHING - NEWSPAPERS (0.2%)
Dow Jones & Co., Inc. ............... 2,700 197,775
Gannett Co., Inc. ................... 6,000 358,875
Knight-Ridder, Inc. ................. 2,100 111,694
New York Times Co. .................. 3,600 142,200
Times Mirror Co. (2)................. 1,500 135,787
Tribune Co. ......................... 7,200 252,000
------------
1,198,331
------------
RAILROADS (0.1%)
Burlington Northern Santa Fe Corp. .. 10,600 243,137
Kansas City Southern Industries, Inc. 3,300 292,669
Union Pacific Corp. ................. 5,300 197,094
------------
732,900
------------
RESTAURANTS (0.2%)
Darden Restaurants, Inc. ............ 4,400 71,500
McDonald's Corp. .................... 31,500 1,037,531
Tricon Global Restaurants, Inc. + ... 3,700 104,525
</TABLE>
See Notes to Portfolio of Investments. 145
<PAGE>
AETNA GET FUND
PORTFOLIO OF INVESTMENTS - JUNE 30, 2000 (UNAUDITED)
SERIES D (CONTINUED)
------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
----------- ------------
<S> <C> <C>
RESTAURANTS (CONTINUED)
Wendy's International, Inc. ......... 4,100 $ 73,031
------------
1,286,587
------------
RETAIL (BUILDING SUPPLIES) (0.6%)
Home Depot, Inc. .................... 52,600 2,626,713
Lowe's Co., Inc. .................... 14,000 574,875
Sherwin-Williams Co. ................ 3,500 74,156
------------
3,275,744
------------
RETAIL (COMPUTERS & ELECTRONICS) (0.1%)
Best Buy Co., Inc. + ................ 6,000 379,500
Circuit City Stores, Inc. ........... 4,800 159,300
RadioShack Corporation .............. 5,700 270,037
------------
808,837
------------
RETAIL (DISCOUNTERS) (0.0%)
Dollar General Corp. ................ 7,468 145,626
------------
RETAIL (DEPARTMENT STORES) (0.2%)
Federated Department Stores, Inc. + . 8,600 290,250
Kohl's Corp. + ...................... 7,200 400,500
May Department Stores Co. ........... 3,600 86,400
Nordstrom, Inc. ..................... 2,100 50,662
Sears, Roebuck & Co. ................ 7,600 247,950
------------
1,075,762
------------
RETAIL (GENERAL MERCHANDISE CHAIN) (1.6%)
Costco Wholesale Corp. + ............ 10,100 333,300
Target Corporation .................. 13,700 794,600
Wal-Mart Stores, Inc. ............... 138,000 7,952,250
------------
9,080,150
------------
RETAIL (SPECIALITY) (0.1%)
AutoZone, Inc. + .................... 2,500 55,000
Bed Bath & Beyond, Inc. + ........... 4,700 170,375
Office Depot, Inc. + ................ 4,900 30,625
Staples, Inc. + ..................... 5,100 78,413
------------
334,413
------------
RETAIL SPECIALITY - APPAREL (0.2%)
Gap, Inc. ........................... 20,000 625,000
The Limited, Inc. ................... 17,800 384,925
TJX Companies, Inc. ................. 8,700 163,125
------------
1,173,050
------------
RETAIL STORES - DRUG STORE (0.2%)
CVS Corp. ........................... 8,500 340,000
Walgreen Co. ........................ 21,900 704,906
------------
1,044,906
------------
RETAIL STORES - FOOD CHAINS (0.1%)
Albertson's, Inc. ................... 4,627 153,848
Safeway, Inc. + ..................... 11,400 514,425
------------
668,273
------------
SAVINGS & LOAN COMPANIES (0.1%)
Charter One Financial, Inc. ......... 4,800 110,400
Golden West Financial Corp. ......... 4,400 179,575
Washington Mutual Fin. Corp. ........ 6,000 173,250
------------
463,225
------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
----------- ------------
<S> <C> <C>
SERVICES (ADVERTISING/MARKETING) (0.1%)
Interpublic Group of Co., Inc. (The) 6,400 $ 275,200
Omnicom Group, Inc. ................. 3,800 338,438
Young And Rubicam, Inc. + ........... 1,900 108,656
------------
722,294
------------
SERVICES (COMMERCIAL & CONSUMER) (0.1%)
Cendant Corp. + ..................... 15,800 221,200
Convergys Corp. + ................... 3,600 186,750
Dun & Bradstreet Corp. .............. 3,800 108,775
H&R Block, Inc. ..................... 2,500 80,937
IMS Health, Inc. .................... 9,400 169,200
------------
766,862
------------
SERVICES (COMPUTER SYSTEMS) (0.2%)
Computer Sciences Corp. + ........... 3,700 276,344
Electronic Data Systems Corp. ....... 10,400 429,000
Sabre Holdings Corporation .......... 3,251 92,653
Sapient Corp. + ..................... 2,000 213,875
------------
1,011,872
------------
SERVICES (DATA PROCESSING) (0.3%)
Automatic Data Processing, Inc. ..... 14,000 749,875
Equifax, Inc. ....................... 2,100 55,125
First Data Corp. .................... 9,200 456,550
Paychex, Inc. ....................... 8,100 340,200
------------
1,601,750
------------
SPECIALITY PRINTING (0.0%)
Deluxe Corp. ........................ 2,000 47,125
RR Donnelley & Sons Co. ............. 3,200 72,200
------------
119,325
------------
STEEL (0.0%)
Allegheny Technologies Incorporated . 2,300 41,400
Nucor Corp. ......................... 2,000 66,375
USX-US Steel Group, Inc. ............ 4,400 81,675
Worthington Industries .............. 2,400 25,200
------------
214,650
------------
TELEPHONE (1.7%)
ALLTEL Corp. ........................ 7,400 458,338
Bell Atlantic Corp. ................. 35,400 1,798,762
BellSouth Corp. ..................... 43,000 1,832,875
GTE Corp. ........................... 21,400 1,332,150
SBC Communications, Inc. ............ 75,600 3,269,700
U.S. WEST, Inc. ..................... 11,100 951,825
------------
9,643,650
------------
TELEPHONE LONG DISTANCE (0.9%)
AT&T Corp. .......................... 42,000 1,328,250
Sprint Corp. ........................ 20,000 1,020,000
WorldCom, Inc. ...................... 65,350 2,997,931
------------
5,346,181
------------
TEXTILES (APPAREL) (0.0%)
Liz Claiborne, Inc. ................. 3,100 109,275
Russell Corporation ................. 1,200 24,000
VF Corp. ............................ 3,000 71,438
------------
204,713
------------
</TABLE>
146 See Notes to Portfolio of Investments.
<PAGE>
------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
----------- ------------
<S> <C> <C>
TEXTILES (HOME FURNISHINGS) (0.0%)
Springs Industries, Inc. - Class A .. 300 $ 9,656
------------
TOBACCO (0.2%)
Philip Morris Co., Inc. ............. 52,000 1,381,250
UST, Inc. ........................... 1,600 23,500
------------
1,404,750
------------
TRUCKERS (0.0%)
Ryder System, Inc. .................. 2,600 49,238
------------
TRUCKS & PARTS (0.0%)
Cummins Engine Co., Inc. ............ 1,700 46,325
Navistar International Corp. + ...... 2,800 86,975
PACCAR, Inc. ........................ 2,900 115,094
------------
248,394
------------
TOTAL COMMON STOCKS (COST $315,449,270) 316,458,217
------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
------------
<S> <C> <C>
LONG-TERM BONDS AND NOTES (43.3%)
Bank of Boston,6.88%,07/15/03 * ..... $ 5,375,000 5,277,390
Countrywide Funding
Corp.,6.25%,05/25/14................ 415,435 360,389
Dana Corp.,6.25%,03/01/04 * ......... 10,000,000 9,451,000
Delta Air Lines, Inc.,6.65%,
03/15/04 *.......................... 7,500,000 6,988,125
DLJ Commercial Mortgage
Corp.,6.08%,08/10/08................ 11,610,724 11,032,301
Federal National Mortgage
Association,
Zero Coupon,08/16/04 ............... 8,077,000 6,120,831
Federal National Mortgage
Association,5.13%,02/13/04.......... 35,000,000 32,850,650
Federal National Mortgage
Association,6.50%,08/15/04.......... 13,000,000 12,750,140
Federal National Mortgage
Association,6.50%,07/01/29 # ....... 101,400,000 95,600,934
GE Capital Mortgage Services,
Inc.,6.25%,03/25/14................. 532,179 473,806
Green Tree Financial Corp.,
8.41%,12/01/30 * ................... 9,000,000 7,994,883
Nationslink Funding
Corp.,6.04%,11/20/07 * ............. 12,988,634 12,351,178
Norwest Asset Securities
Corp.,6.75%,02/25/13................ 392,420 360,807
Norwest Asset Securities
Corp.,6.75%,10/25/28................ 886,848 761,749
Saks Inc.,7.25%,12/01/04 ............ 5,000,000 4,538,450
U.S. Treasury Strip,Zero
Coupon,08/15/03..................... 1,800,000 1,488,852
U.S. Treasury Strip,Zero
Coupon,02/15/04..................... 43,743,000 34,943,221
USX Corp.,9.63%,08/15/03 ............ 4,410,000 4,648,140
------------
TOTAL LONG-TERM BONDS AND NOTES
(COST $251,309,133) 247,992,846
------------
SHORT-TERM INVESTMENTS (17.8%)
Federal Home Loan Bank,6.45%,07/19/00 15,000,000 14,957,000
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
----------- ------------
<S> <C> <C>
SHORT-TERM INVESTMENTS (CONTINUED)
Federal Home Loan Mortgage
Corp.,6.43%,07/18/00 * ............. $ 15,000,000 $ 14,959,813
Federal Home Loan Mortgage
Corp.,6.57%,07/03/00................ 16,504,000 16,504,000
Federal National Mortgage
Association,6.38%,07/17/00 * ....... 55,000,000 54,863,539
U.S. Treasury Bill,6.14%,11/09/00 @ . 600,000 587,418
------------
TOTAL SHORT-TERM INVESTMENTS
(COST $101,871,161) 101,871,770
------------
TOTAL INVESTMENTS
(COST $668,629,564)(A) 666,322,833
OTHER ASSETS LESS LIABILITIES (93,159,764)
------------
TOTAL NET ASSETS $573,163,069
============
NOTES TO PORTFOLIO OF INVESTMENTS
(a) The cost of investments for federal income tax purposes amounts to
$733,763,997. Unrealized gains and losses, based on identified tax cost at
June 30, 2000, are as follows:
Unrealized gains........................... $ --
Unrealized losses.......................... (67,441,164)
-------------
Net unrealized loss....................... $(67,441,164)
============
</TABLE>
Information concerning open futures contracts at June 30, 2000 is shown below:
<TABLE>
<CAPTION>
NO. OF NOTIONAL EXPIRATION UNREALIZED
CONTRACTS VALUE DATE GAIN/(LOSS)
--------- ---------- ---------- -----------
LONG CONTRACTS
--------------------------
<S> <C> <C> <C> <C>
S&P 500 Index Futures .... 12 $4,404,300 Sep 00 $(56,136)
========== ========
</TABLE>
+ Non-income producing security.
(a) Security pledged to cover initial margin requirements on open futures
contracts at June 30, 2000.
# When-issued or delayed delivery security.
* Segregated securities for purchases of delayed delivery or when-issued
securities held at June 30, 2000.
(1) AT&T Corp. acquired MediaOne Group on June 15, 2000. As of June 30, 2000 the
acquisition was not completed, therefore, the market value of MediaOne Group
on June 30, 2000 reflects the fair value of the AT&T Corp. offer.
(2) Tribune Co. acquired Times Mirror Co. on June 12, 2000. As of June 30, 2000
the acquisition was not completed, therefore, the market value of Times
Mirror Co. on June 30, 2000 reflects the fair value of the Tribune Co.
offer.
Category percentages are based on net assets.
See Notes to Financial Statements. 147
<PAGE>
AETNA GET FUND
PORTFOLIO OF INVESTMENTS - JUNE 30, 2000 (UNAUDITED)
SERIES E
------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
----------- ------------
<S> <C> <C>
COMMON STOCKS (65.4%)
AEROSPACE/DEFENSE (0.3%)
Boeing Co. ........................... 21,600 $ 903,150
General Dynamics Corp. ............... 5,100 266,475
Goodrich (B.F.) Co. .................. 2,600 88,563
Lockheed Martin Corp. ................ 9,400 233,237
Northrop Grumman Corp. ............... 2,600 172,250
------------
1,663,675
------------
AGRICULTURE (0.0%)
Archer-Daniels-Midland Co. ........... 14,400 141,300
------------
AIR FREIGHT (0.1%)
FedEx Corporation + .................. 6,800 258,400
------------
AIRLINES (0.1%)
AMR Corp. + .......................... 6,600 174,488
Delta Air Lines, Inc. ................ 5,400 273,037
Southwest Airlines Co. ............... 12,300 232,931
------------
680,456
------------
ALUMINUM (0.2%)
Alcan Aluminum Ltd. .................. 7,600 235,600
Alcoa Inc. ........................... 29,816 864,664
------------
1,100,264
------------
AUTO PARTS & EQUIPMENT (0.1%)
Cooper Tire & Rubber Co. ............. 800 8,900
Dana Corp. ........................... 4,300 91,106
Delphi Automotive Systems Corp. ...... 17,300 251,931
Genuine Parts Co. .................... 3,400 68,000
Goodyear Tire & Rubber Co. (The) ..... 2,600 52,000
Snap-On, Inc. ........................ 1,900 50,588
TRW, Inc. ............................ 3,000 130,125
Visteon Corp. ........................ 5,185 62,867
------------
715,517
------------
AUTOMOBILES (0.6%)
Ford Motor Co. ....................... 39,600 1,702,800
General Motors Corp. + ............... 23,000 1,335,437
------------
3,038,237
------------
BANKS (MAJOR REGIONAL) (1.6%)
Bank of New York Co., Inc. ........... 17,800 827,700
BB&T Corp. ........................... 8,800 210,100
Comerica, Inc. ....................... 4,100 183,987
Fifth Third Bancorp .................. 7,700 487,025
Firstar Corp. ........................ 23,100 486,544
Fleet Boston Financial Corp. ......... 38,500 1,309,000
Huntington Bancshares Inc. ........... 5,300 83,806
KeyCorp .............................. 5,500 96,938
Mellon Financial Corp. ............... 12,100 440,894
Northern Trust Corp. ................. 7,000 455,437
Old Kent Financial Corp. ............. 3,990 106,732
PNC Bank Corp. ....................... 7,000 328,125
Regions Financial Corp. .............. 2,900 57,638
SouthTrust Corp. ..................... 4,300 97,288
State Street Corp. ................... 4,100 434,856
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
----------- ------------
<S> <C> <C>
BANKS (MAJOR REGIONAL) (CONTINUED)
Summit Bancorp ....................... 4,100 $ 100,963
Suntrust Banks, Inc. ................. 8,000 365,500
Synovus Financial Corp. .............. 6,500 114,562
U.S. Bancorp ......................... 8,000 154,000
Union Planters Co. ................... 3,100 86,606
Wachovia Corp. ....................... 5,400 292,950
Wells Fargo & Co. .................... 41,200 1,596,500
------------
8,317,151
------------
BANKS (MONEY CENTER) (0.8%)
Bank of America Corp. ................ 42,900 1,844,700
Chase Manhattan Corp. ................ 30,300 1,395,694
First Union Corp. .................... 23,600 585,575
J.P. Morgan & Co. .................... 5,400 594,675
------------
4,420,644
------------
BEVERAGES (NON-ALCOHOLIC) (0.6%)
Coca-Cola Co. (The) .................. 53,300 3,061,419
------------
BEVERAGES (ALCOHOLIC) (0.2%)
Anheuser-Busch Co., Inc. ............. 14,400 1,075,500
Brown-Forman Corp. + ................. 1,300 69,875
Coors (Adolph) Co. ................... 900 54,450
------------
1,199,825
------------
BIOTECHNOLOGY (0.4%)
Amgen, Inc. + ........................ 24,400 1,714,100
Biogen, Inc. + ....................... 3,800 245,100
------------
1,959,200
------------
BROADCASTING (TV, RADIO & CABLE) (0.2%)
Clear Channel Communications, Inc. + . 4,200 315,000
Mediaone Group, Inc. + (1) ........... 14,400 954,918
------------
1,269,918
------------
BUILDING MATERIALS GROUP (0.0%)
Masco Corp. .......................... 13,400 242,038
------------
CELLULAR/WIRELESS TELECOMMUNICATIONS (0.4%)
Nextel Communications, Inc. + ........ 17,800 1,089,137
Sprint PCS + ......................... 21,300 1,267,350
------------
2,356,487
------------
CHEMICALS (0.5%)
Air Products and Chemicals, Inc. ..... 5,600 172,550
Dow Chemical Co. ..................... 21,600 652,050
Du Pont (E.I.) de Nemours ............ 24,100 1,054,375
Eastman Chemical Co. ................. 2,600 124,150
Praxair, Inc. ........................ 3,600 134,775
Rohm & Haas Co. ...................... 2,600 89,700
Union Carbide Corp. .................. 3,400 168,300
------------
2,395,900
------------
CHEMICALS - DIVERSIFIED (0.0%)
Engelhard Corp. ...................... 4,400 75,075
FMC Corp. + .......................... 700 40,600
------------
115,675
------------
CHEMICALS - SPECIALITY (0.1%)
Ecolab, Inc. ......................... 3,300 128,906
Grace (W.R.) & Co. + ................. 1,300 15,763
</TABLE>
148 See Notes to Portfolio of Investments.
<PAGE>
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
----------- ------------
<S> <C> <C>
CHEMICALS - SPECIALITY (CONTINUED)
Great Lakes Chemical Corp. ........... 1,500 $ 47,250
International Flavors & Fragrances,
Inc.................................. 2,700 81,506
Sigma-Aldrich Corp. .................. 2,700 78,975
------------
352,400
------------
COMMUNICATIONS EQUIPMENT (3.5%)
ADC Telecommunications, Inc. + ....... 12,300 1,031,662
Andrew Corp. + ....................... 2,000 67,125
Comverse Technology, Inc. + .......... 5,900 548,700
Corning, Inc. ........................ 11,000 2,968,625
Lucent Technologies, Inc. ............ 39,100 2,316,675
Motorola, Inc. ....................... 52,026 1,512,006
Nortel Networks Corp. ................ 118,800 8,108,100
QUALCOMM Inc. + ...................... 17,200 1,032,000
Scientific-Atlanta, Inc. ............. 6,400 476,800
Tellabs, Inc. + ...................... 9,700 663,844
------------
18,725,537
------------
COMPUTERS (HARDWARE) (3.5%)
Apple Computer, Inc. + ............... 12,200 638,975
Compaq Computer Corp. ................ 41,800 1,068,513
Dell Computer Corp. + ................ 60,600 2,988,337
Gateway, Inc. + ...................... 10,400 590,200
Hewlett-Packard Co. .................. 32,600 4,070,925
International Business Machines Corp. 43,700 4,787,881
NCR Corp. + .......................... 3,200 124,600
Sun Microsystems, Inc. + ............. 49,500 4,501,406
------------
18,770,837
------------
COMPUTERS (NETWORKING) (3.5%)
Cabletron Systems, Inc. + ........... 2,600 65,650
Cisco Systems, Inc. + ................ 281,100 17,867,419
Network Appliance, Inc. + ............ 11,800 949,900
------------
18,882,969
------------
COMPUTERS (PERIPHERALS) (1.1%)
EMC Corp. + .......................... 70,000 5,385,625
Lexmark International Group, Inc. + .. 3,100 208,475
Seagate Technology, Inc. + ........... 6,400 352,000
------------
5,946,100
------------
COMPUTERS SOFTWARE/SERVICES (5.4%)
Adobe Systems, Inc. .................. 3,900 507,000
America Online, Inc. + ............... 56,900 3,001,475
Autodesk, Inc. ....................... 1,600 55,500
BMC Software, Inc. + ................. 6,100 222,555
Citrix Systems, Inc. + ............... 5,800 109,837
Computer Associates International,
Inc.................................. 14,900 762,694
Compuware Corp. + .................... 9,600 99,600
Microsoft Corp. + .................... 123,600 9,888,000
Oracle Corp. + ....................... 110,700 9,305,719
Peoplesoft, Inc. + ................... 8,100 135,675
Siebel Systems, Inc. + ............... 6,100 997,731
Unisys Corp. + ....................... 3,800 55,338
VERITAS Software Corp. + ............. 15,700 1,774,345
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
----------- ------------
<S> <C> <C>
COMPUTERS SOFTWARE/SERVICES (CONTINUED)
Yahoo! Inc. + ........................ 13,400 $ 1,659,925
------------
28,575,394
------------
CONSTRUCTION (0.0%)
Vulcan Materials Co. ................. 3,200 136,600
------------
CONSUMER FINANCE (0.3%)
Capital One Financial Corp. .......... 5,900 263,288
Countrywide Credit Industries, Inc. .. 2,700 81,844
Household International, Inc. ........ 11,200 465,500
MBNA Corp. ........................... 19,700 534,362
Providian Financial Corp. ............ 4,200 378,000
------------
1,722,994
------------
CONTAINERS - METAL & GLASS (0.0%)
Ball Corp. ........................... 700 22,531
Owens-Illinois, Inc. + ............... 4,600 53,763
------------
76,294
------------
CONTAINERS/PACKAGING (PAPER) (0.0%)
Bemis Co., Inc. ...................... 1,800 60,525
Pactiv Corp. + ....................... 5,100 40,163
Temple-Inland Inc. ................... 1,200 50,400
------------
151,088
------------
DISTRIBUTORS (FOOD & HEALTH) (0.2%)
Cardinal Health, Inc. ................ 6,700 495,800
McKesson HBOC, Inc. .................. 3,600 75,375
SUPERVALU, Inc. ...................... 3,200 61,000
Sysco Corp. .......................... 12,700 534,987
------------
1,167,162
------------
ELECTRIC COMPANIES (0.9%)
Ameren Corp. ......................... 3,100 104,625
American Electric Power Co. .......... 7,820 231,667
Cinergy Corp. ........................ 5,100 129,731
Consolidated Edison, Inc. ............ 5,500 162,938
Constellation Energy Group ........... 3,500 113,969
CP&L, Inc. ........................... 5,200 166,075
Dominion Resources, Inc. ............. 5,906 253,220
DTE Energy Co. ....................... 5,100 155,869
Duke Energy Corp. .................... 9,100 513,012
Edison International Inc. ............ 4,600 94,300
Entergy Corp. ........................ 6,200 168,562
FirstEnergy Corp. .................... 6,000 140,250
Florida Progress Corp. ............... 1,900 89,063
FPL Group, Inc. ...................... 4,600 227,700
GPU, Inc. ............................ 4,500 121,781
New Century Energies, Inc. ........... 2,600 78,000
Niagara Mohawk Holdings Inc. + ....... 4,300 59,931
Northern States Power Co. ............ 4,100 82,769
Peco Energy Co. ...................... 5,500 221,719
PG&E Corp. ........................... 10,000 246,250
Pinnacle West Capital Corp. .......... 2,800 94,850
PPL Corporation ...................... 3,700 81,169
Public Service Enterprise Group, Inc. 6,700 231,987
Reliant Energy Inc. .................. 10,400 307,450
</TABLE>
See Notes to Portfolio of Investments. 149
<PAGE>
AETNA GET FUND
PORTFOLIO OF INVESTMENTS -- JUNE 30, 2000 (UNAUDITED)
SERIES E (CONTINUED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
----------- ------------
<S> <C> <C>
ELECTRIC COMPANIES (CONTINUED)
Southern Co. ......................... 16,800 $ 391,650
TXU Corp. ............................ 7,300 215,350
Unicom Corp. ......................... 5,500 212,781
------------
4,896,668
------------
ELECTRICAL EQUIPMENT (3.5%)
American Power Conversion Corp. + .... 4,800 195,900
Cooper Industries, Inc. .............. 2,900 94,431
Emerson Electric Co. ................. 10,500 633,937
General Electric Co. ................. 325,000 17,225,000
Molex, Inc. .......................... 6,150 295,969
Rockwell International Corp. ......... 4,900 154,350
Thomas & Betts Corp. ................. 1,000 19,125
------------
18,618,712
------------
ELECTRONICS (COMPONENT DISTRIBUTION) (0.0%)
Grainger (W.W.), Inc. ................ 2,000 61,625
------------
ELECTRONICS (INSTRUMENTS) (0.2%)
Agilent Technologies, Inc. ........... 11,937 880,354
Perkin-Elmer Inc. + .................. 600 39,675
Tektronix, Inc. ...................... 900 66,600
------------
986,629
------------
ELECTRONICS (SEMICONDUCTORS) (5.6%)
Adaptec, Inc. + ...................... 4,600 104,650
Advanced Micro Devices Corp. + ....... 6,000 463,500
Altera Corp. + ....................... 8,500 866,469
Analog Devices, Inc. + ............... 14,300 1,086,800
Conexant Systems, Inc. + ............. 9,100 442,488
Intel Corp. .......................... 134,100 17,927,494
Linear Technology Corp. .............. 7,600 485,925
LSI Logic Corp. + .................... 10,000 541,250
Maxim Integrated Products, Inc. + .... 6,700 455,181
Micron Technology, Inc. + ............ 13,200 1,162,425
National Semiconductor Corp. + ....... 7,000 397,250
Texas Instruments, Inc. .............. 67,200 4,615,800
Xilinx, Inc. + ....................... 13,400 1,106,337
------------
29,655,569
------------
ENGINEERING & CONSTRUCTION (0.0%)
Fluor Corp. .......................... 2,100 66,413
------------
ENTERTAINMENT (1.4%)
Time Warner, Inc. .................... 30,500 2,318,000
Viacom, Inc. + ....................... 37,000 2,522,937
Walt Disney Co. (The) + .............. 63,200 2,452,950
------------
7,293,887
------------
EQUIPMENT (SEMICONDUCTORS) (0.8%)
Applied Materials, Inc. + ............ 32,900 2,981,562
KLA Instruments Corp. + .............. 6,700 392,369
Novellus Systems, Inc. + ............. 3,400 192,313
Teradyne, Inc. + ..................... 6,700 492,450
------------
4,058,694
------------
FINANCIAL (DIVERSIFIED) (3.0%)
American Express Co. ................. 32,100 1,673,212
Associates First Capital Corp. ....... 17,700 394,931
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
----------- ------------
<S> <C> <C>
FINANCIAL (DIVERSIFIED) (CONTINUED)
Citigroup Inc. ....................... 139,200 $ 8,386,800
Federal National Mortgage Association 32,400 1,690,875
Freddie Mac Corp. .................... 17,300 700,650
Morgan Stanley Dean Witter & Co. ..... 36,500 3,038,625
SLM Holding Corp. .................... 3,400 127,288
------------
16,012,381
------------
FOODS (1.0%)
Bestfoods ............................ 8,800 609,400
Conagra, Inc. ........................ 12,100 230,656
General Mills, Inc. .................. 7,200 275,400
Heinz (H.J.) Co. ..................... 9,000 393,750
Hershey Foods Corp. .................. 3,600 174,600
Kellogg Co. .......................... 10,300 306,425
Nabisco Group Holdings Corp. ......... 3,900 101,156
PepsiCo, Inc. ........................ 35,500 1,577,531
Quaker Oats Co. ...................... 3,500 262,937
Ralston-Ralston Purina Group ......... 4,100 81,744
Sara Lee Corp. ....................... 21,100 407,494
Unilever NV .......................... 13,400 576,200
Wrigley (Wm.) Jr. Co. + .............. 2,500 200,469
------------
5,197,762
------------
FOOTWEAR (0.1%)
Nike, Inc. ........................... 6,900 274,706
------------
GAMING, LOTTERY, & PARI-MUTUEL (0.0%)
Harrah's Entertainment, Inc. + ....... 2,900 60,719
------------
GOLD/PRECIOUS METALS MINING (0.0%)
Newmont Mining Corp. ................. 1,900 41,088
------------
HARDWARE & TOOLS (0.0%)
Black & Decker Corp. ................. 2,500 98,281
Stanley Works (The) .................. 2,800 66,500
------------
164,781
------------
HEALTH CARE (DRUGS) (0.1%)
Alza Corp. + ......................... 2,500 147,813
Watson Pharmaceuticals, Inc. + ....... 2,400 129,000
------------
276,813
------------
HEALTH CARE (DRUGS/PHARMACEUTICALS) (3.9%)
Eli Lilly & Co. ...................... 34,900 3,485,638
Merck & Co., Inc. .................... 56,400 4,321,650
Pfizer, Inc. ......................... 201,675 9,680,400
Pharmacia Corporation ................ 29,954 1,548,247
Schering Plough ...................... 34,900 1,762,450
------------
20,798,385
------------
HEALTH CARE (HOSPITAL MANAGEMENT) (0.1%)
HCA - The Healthcare Corp. ........... 13,700 416,137
Tenet Healthcare Corp. + ............. 9,100 245,700
------------
661,837
------------
HEALTH CARE (MANAGED CARE) (0.1%)
UnitedHealth Group Incorporated ...... 4,100 351,575
Wellpoint Health Networks, Inc. + .... 1,900 137,631
------------
489,206
------------
</TABLE>
150 See Notes to Portfolio of Investments.
<PAGE>
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
----------- ------------
<S> <C> <C>
HEALTH CARE (MEDICAL PRODUCTS/SUPPLIES) (0.6%)
Bard (C.R.) Inc. ..................... 1,500 $ 72,188
Bausch & Lomb, Inc. .................. 1,900 147,012
Baxter International, Inc. ........... 7,000 492,187
Becton, Dickinson & Co. .............. 5,300 152,044
Biomet, Inc. ......................... 2,500 96,094
Guidant Corp. + ...................... 7,800 386,100
Medtronic, Inc. + .................... 29,300 1,459,506
PE Corp-PE Biosystems Group .......... 5,000 329,375
Saint Jude Medical, Inc. + ........... 2,300 105,513
------------
3,240,019
------------
HEALTH CARE DIVERSIFIED (1.9%)
Abbott Laboratories .................. 36,600 1,630,987
Allergan, Inc. ....................... 4,000 298,000
American Home Products Corp. ......... 15,900 934,125
Bristol-Myers Squibb Co. ............. 47,700 2,778,525
Johnson & Johnson .................... 44,500 4,533,437
Mallinckrodt Inc. .................... 2,200 95,563
------------
10,270,637
------------
HOMEBUILDING (0.0%)
Kaufman & Broad Home Corp. ........... 700 13,869
Pulte Corp. .......................... 1,100 23,787
------------
37,656
------------
HOUSEHOLD FURNISHINGS & APPLIANCES (0.1%)
Leggett & Platt, Inc. ................ 6,200 102,300
Maytag Corp. ......................... 1,200 44,250
Whirlpool Corp. ...................... 3,100 144,538
------------
291,088
------------
HOUSEHOLD PRODS (NON-DURABLE) (0.5%)
Clorox Co. ........................... 6,200 277,838
Colgate-Palmolive Co. ................ 14,500 868,187
Fort James Corp. ..................... 2,600 60,125
Kimberly-Clark Corp. ................. 13,800 791,775
Procter & Gamble Co. ................. 16,100 921,725
------------
2,919,650
------------
HOUSEWARES (0.1%)
Fortune Brands, Inc. ................. 4,300 99,169
Newell Rubbermaid Inc. ............... 6,700 172,525
Tupperware Corp. ..................... 1,100 24,200
------------
295,894
------------
INSURANCE (LIFE/HEALTH) (0.2%)
AFLAC, Inc. .......................... 6,800 312,375
American General Corp. ............... 5,900 359,900
Jefferson-Pilot Corp. ................ 2,400 135,450
Lincoln National Corp. ............... 4,500 162,562
Torchmark Corp. ...................... 3,200 79,000
------------
1,049,287
------------
INSURANCE (MULTI-LINE) (1.3%)
American International Group, Inc. ... 48,500 5,698,750
CIGNA Corp. .......................... 5,600 523,600
Hartford Financial Services Group,
Inc.................................. 7,000 391,562
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
----------- ------------
<S> <C> <C>
INSURANCE (MULTI-LINE) (CONTINUED)
Loews Corp. .......................... 2,500 $ 150,000
------------
6,763,912
------------
INSURANCE (PROPERTY/CASUALTY) (0.3%)
Allstate Corp. (The) ................. 19,300 429,425
Chubb Corp. .......................... 2,900 178,350
Cincinnati Financial Corp. ........... 5,000 157,188
MBIA, Inc. ........................... 3,100 149,381
MGIC Investment Corp. ................ 4,500 204,750
St. Paul Co., Inc. ................... 7,100 242,287
------------
1,361,381
------------
INSURANCE BROKERS (0.2%)
Aon Corp. ............................ 6,500 201,906
Marsh & McLennan Co., Inc. ........... 6,600 689,288
------------
891,194
------------
INVESTMENT BANKING/BROKERAGE (0.5%)
Bear Stearns Co., Inc. (The) ......... 3,860 160,673
Charles Schwab Corp. ................. 16,600 558,175
Lehman Brothers Holdings Inc. ........ 5,000 472,812
Merrill Lynch & Co., Inc. ............ 12,300 1,414,500
Paine Webber Group Inc. .............. 4,600 209,300
------------
2,815,460
------------
INVESTMENT MANAGEMENT (0.1%)
Franklin Resources, Inc. ............. 6,300 191,363
T. Rowe Price & Associates ........... 2,600 110,500
------------
301,863
------------
LEISURE TIME (PRODUCTS) (0.1%)
Brunswick Corp. ...................... 2,400 39,750
Harley-Davidson, Inc. ................ 7,100 273,350
Hasbro, Inc. ......................... 5,000 75,313
Mattel, Inc. ......................... 10,400 137,150
------------
525,563
------------
LODGING - HOTELS (0.1%)
Carnival Corp. ....................... 7,800 152,100
Hilton Hotels Corp. .................. 7,900 74,063
Marriott International, Inc. ......... 6,400 230,800
------------
456,963
------------
MACHINERY - DIVERSIFIED (0.2%)
Caterpillar, Inc. .................... 9,900 335,362
Deere & Co. .......................... 9,900 366,300
Dover Corp. .......................... 6,000 243,375
Ingersoll-Rand Co. ................... 3,900 156,975
NACCO Industries, Inc. ............... 200 7,025
Timken Co. ........................... 1,200 22,350
------------
1,131,387
------------
MANUFACTURING (DIVERSIFIED) (1.0%)
Crane Co. ............................ 2,100 51,056
Danaher Corp. ........................ 3,500 173,031
Eaton Corp. .......................... 1,700 113,900
Honeywell International Inc. ......... 19,412 653,942
Illinois Tool Works, Inc. ............ 7,200 410,400
ITT Industries, Inc. ................. 2,800 85,050
</TABLE>
See Notes to Portfolio of Investments. 151
<PAGE>
AETNA GET FUND
PORTFOLIO OF INVESTMENTS -- JUNE 30, 2000 (UNAUDITED)
SERIES E (CONTINUED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
----------- ------------
<S> <C> <C>
MANUFACTURING (DIVERSIFIED) (CONTINUED)
Johnson Controls, Inc. ............... 3,300 $ 169,331
Minnesota Mining and Manufacturing Co. 9,700 800,250
National Service Industries, Inc. .... 800 15,600
Parker-Hannifin Corp. ................ 4,400 150,700
PPG Industries Inc. .................. 5,700 252,581
Textron, Inc. ........................ 4,000 217,250
Thermo Electron Corp. + .............. 1,700 35,806
Tyco International Ltd. .............. 42,500 2,013,438
------------
5,142,335
------------
MANUFACTURING (SPECIALIZED) (0.2%)
Avery Dennison Corp. ................. 2,700 181,237
Briggs & Stratton Corp. .............. 500 17,125
Millipore Corp. ...................... 2,200 165,825
Pall Corp. ........................... 4,100 75,850
Sealed Air Corp. + ................... 2,200 115,225
United Technologies Corp. ............ 12,200 718,275
------------
1,273,537
------------
MISCELLANEOUS METALS (0.1%)
Barrick Gold Corp. ................... 9,900 180,056
Inco Ltd. + .......................... 8,800 135,300
Placer Dome, Inc. .................... 10,700 102,319
------------
417,675
------------
NATURAL GAS (DISTRIBUTION - PIPE LINE) (0.4%)
Coastal Corp. (The) .................. 6,800 413,950
Columbia Energy Group ................ 2,100 137,813
Eastern Enterprises .................. 400 25,200
El Paso Energy Corp. ................. 5,500 280,156
Enron Corp. .......................... 17,500 1,128,750
NICOR, Inc. .......................... 1,200 39,150
People's Energy Corp. ................ 600 19,425
Sempra Energy ........................ 6,100 103,700
Williams Co., Inc. (The) ............. 5,500 229,281
------------
2,377,425
------------
OFFICE EQUIPMENT & SUPPLIES (0.0%)
Pitney Bowes, Inc. ................... 3,200 128,000
------------
OIL (0.8%)
Royal Dutch Petroleum Co. ............ 67,900 4,180,094
------------
OIL & GAS (DRILLING & EQUIPMENT) (0.1%)
Baker Hughes Inc. .................... 8,300 265,600
Rowan Co., Inc. + .................... 3,200 97,200
------------
362,800
------------
OIL & GAS (EXPLORATION/PRODUCTION) (0.3%)
Anadarko Petroleum Corp. ............. 3,800 187,388
Apache Corp. ......................... 4,900 288,181
Burlington Resources, Inc. ........... 5,600 214,200
Kerr-McGee Corp. ..................... 2,600 153,238
Union Pacific Resources Group Inc. ... 10,900 239,800
Unocal Corp. ......................... 7,300 241,812
------------
1,324,619
------------
OIL & GAS (REFINING & MARKETING) (0.1%)
Ashland Oil, Inc. .................... 1,700 59,606
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
----------- ------------
<S> <C> <C>
OIL & GAS (REFINING & MARKETING) (CONTINUED)
Sunoco Inc. .......................... 3,100 $ 91,257
Tosco Corp. .......................... 7,600 215,175
------------
366,038
------------
OIL (DOMESTIC INTEGRATED) (0.3%)
Amerada Hess Corp. ................... 3,600 222,300
Conoco Inc. .......................... 15,000 368,437
Occidental Petroleum Corp. ........... 13,900 292,769
Phillips Petroleum Co. ............... 9,800 496,737
USX-Marathon Group ................... 12,300 308,269
------------
1,688,512
------------
OIL (INTERNATIONAL INTEGRATED) (2.3%)
Chevron Corp. ........................ 25,600 2,171,200
Exxon Mobil Corp. .................... 114,800 9,011,800
Texaco, Inc. ......................... 22,500 1,198,125
------------
12,381,125
------------
PAPER & FOREST PRODUCTS (0.2%)
Boise Cascade Corp. .................. 1,100 28,463
Georgia-Pacific Corp. ................ 4,500 118,125
International Paper Co. .............. 11,627 346,624
Louisiana-Pacific Corp. .............. 3,500 38,062
Mead Corp. ........................... 1,300 32,825
Potlatch Corp. ....................... 600 19,875
Westvaco Corp. ....................... 3,600 89,325
Weyerhaeuser Co. ..................... 7,000 301,000
Willamette Industries, Inc. .......... 4,200 114,450
------------
1,088,749
------------
PERSONAL CARE (0.2%)
Alberto-Culver Co. ................... 1,300 39,731
Avon Products, Inc. .................. 2,900 129,050
Gillette Co. ......................... 26,100 911,869
------------
1,080,650
------------
PHOTOGRAPHY/IMAGING (0.1%)
Eastman Kodak Co. .................... 7,900 470,050
Xerox Corp. .......................... 9,400 195,050
------------
665,100
------------
POWER PRODUCERS (INDEPENDENT) (0.1%)
AES Corp. + .......................... 10,000 456,250
------------
PUBLISHING (0.1%)
Harcourt General, Inc. ............... 1,300 70,688
McGraw-Hill Co., Inc. ................ 4,700 253,800
Meredith Corp. ....................... 900 30,375
------------
354,863
------------
PUBLISHING - NEWSPAPERS (0.2%)
Dow Jones & Co., Inc. ................ 2,900 212,425
Gannett Co., Inc. .................... 6,700 400,744
Knight-Ridder, Inc. .................. 2,200 117,012
New York Times Co. ................... 4,300 169,850
Times Mirror Co. (2) ................. 1,600 144,839
Tribune Co. .......................... 7,500 262,500
------------
1,307,370
------------
</TABLE>
152 See Notes to Portfolio of Investments.
<PAGE>
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
----------- ------------
<S> <C> <C>
RAILROADS (0.1%)
Burlington Northern Santa Fe Corp. ... 10,900 $ 250,019
Kansas City Southern Industries, Inc. 3,300 292,669
Union Pacific Corp. .................. 6,200 230,562
------------
773,250
------------
RESTAURANTS (0.2%)
Darden Restaurants, Inc. ............. 3,300 53,625
McDonald's Corp. ..................... 32,100 1,057,294
Tricon Global Restaurants, Inc. + .... 4,000 113,000
Wendy's International, Inc. .......... 3,300 58,781
------------
1,282,700
------------
RETAIL (BUILDING SUPPLIES) (0.7%)
Home Depot, Inc. ..................... 57,150 2,853,928
Lowe's Co., Inc. ..................... 15,100 620,044
Sherwin-Williams Co. ................. 4,100 86,869
------------
3,560,841
------------
RETAIL (COMPUTERS & ELECTRONICS) (0.2%)
Best Buy Co., Inc. + ................. 6,500 411,125
Circuit City Stores, Inc. ............ 8,500 282,094
RadioShack Corporation ............... 5,000 236,875
------------
930,094
------------
RETAIL (DISCOUNTERS) (0.0%)
Consolidated Stores Corp. + .......... 2,100 25,200
Dollar General Corp. ................. 7,875 153,563
------------
178,763
------------
RETAIL (DEPARTMENT STORES) (0.3%)
Federated Department Stores, Inc. + .. 8,900 300,375
Kohl's Corp. + ....................... 9,900 550,687
May Department Stores Co. ............ 3,700 88,800
Nordstrom, Inc. ...................... 3,500 84,438
Sears, Roebuck & Co. ................. 11,400 371,925
------------
1,396,225
------------
RETAIL (GENERAL MERCHANDISE CHAIN) (1.8%)
Costco Wholesale Corp. + ............. 11,200 369,600
Target Corporation ................... 14,200 823,600
Wal-Mart Stores, Inc. ................ 147,100 8,476,637
------------
9,669,837
------------
RETAIL (SPECIALITY) (0.1%)
AutoZone, Inc. + ..................... 4,700 103,400
Bed Bath & Beyond, Inc. + ............ 5,000 181,250
Office Depot, Inc. + ................. 8,200 51,250
Staples, Inc. + ...................... 5,600 86,100
------------
422,000
------------
RETAIL SPECIALITY - APPAREL (0.2%)
Gap, Inc. ............................ 21,100 659,375
The Limited, Inc. .................... 18,200 393,575
TJX Companies, Inc. .................. 7,200 135,000
------------
1,187,950
------------
RETAIL STORES - DRUG STORE (0.2%)
CVS Corp. ............................ 9,500 380,000
Longs Drug Stores, Inc. .............. 700 15,225
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
----------- ------------
<S> <C> <C>
RETAIL STORES - DRUG STORE (CONTINUED)
Walgreen Co. ......................... 24,500 $ 788,594
------------
1,183,819
------------
RETAIL STORES - FOOD CHAINS (0.1%)
Albertson's, Inc. .................... 5,400 179,550
Safeway, Inc. + ...................... 12,600 568,575
------------
748,125
------------
SAVINGS & LOAN COMPANIES (0.1%)
Charter One Financial, Inc. .......... 5,400 124,200
Golden West Financial Corp. .......... 6,000 244,875
Washington Mutual Fin. Corp. ......... 6,600 190,575
------------
559,650
------------
SERVICES (ADVERTISING/MARKETING) (0.2%)
Interpublic Group of Co., Inc. (The) . 6,900 296,700
Omnicom Group, Inc. .................. 4,500 400,781
Young And Rubicam, Inc. + ............ 2,300 131,531
------------
829,012
------------
SERVICES (COMMERCIAL & CONSUMER) (0.1%)
Cendant Corp. + ...................... 17,900 250,600
Dun & Bradstreet Corp. ............... 4,500 128,812
H&R Block, Inc. ...................... 2,400 77,700
IMS Health, Inc. ..................... 8,000 144,000
------------
601,112
------------
SERVICES (COMPUTER SYSTEMS) (0.2%)
Computer Sciences Corp. + ............ 4,300 321,156
Electronic Data Systems Corp. ........ 11,800 486,750
Sabre Holdings Corporation ........... 3,540 100,890
Sapient Corp. + ...................... 2,200 235,263
------------
1,144,059
------------
SERVICES (DATA PROCESSING) (0.3%)
Automatic Data Processing, Inc. ...... 14,900 798,081
Equifax, Inc. ........................ 3,700 97,125
First Data Corp. ..................... 9,900 491,288
Paychex, Inc. ........................ 9,450 396,900
------------
1,783,394
------------
SPECIALITY PRINTING (0.0%)
Deluxe Corp. ......................... 1,500 35,344
RR Donnelley & Sons Co. .............. 3,300 74,456
------------
109,800
------------
STEEL (0.0%)
Allegheny Technologies Incorporated .. 2,400 43,200
Nucor Corp. .......................... 2,200 73,013
USX-US Steel Group, Inc. ............. 4,400 81,675
Worthington Industries ............... 1,000 10,500
------------
208,388
------------
TELEPHONE (2.0%)
ALLTEL Corp. ......................... 7,500 464,531
Bell Atlantic Corp. .................. 35,800 1,819,088
BellSouth Corp. ...................... 47,100 2,007,637
CenturyTel, Inc. ..................... 2,100 60,375
GTE Corp. ............................ 22,600 1,406,850
SBC Communications, Inc. ............. 83,900 3,628,675
</TABLE>
See Notes to Portfolio of Investments. 153
<PAGE>
AETNA GET FUND
PORTFOLIO OF INVESTMENTS -- JUNE 30, 2000 (UNAUDITED)
SERIES E (CONTINUED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
----------- ------------
<S> <C> <C>
TELEPHONE (CONTINUED)
U.S. WEST, Inc. ...................... 11,800 $ 1,011,850
------------
10,399,006
------------
TELEPHONE LONG DISTANCE (1.2%)
AT&T Corp. ........................... 46,000 1,454,750
Sprint Corp. ......................... 21,500 1,096,500
WorldCom, Inc. ....................... 71,100 3,261,712
------------
5,812,962
------------
TEXTILES (APPAREL) (0.0%)
Liz Claiborne, Inc. .................. 1,700 59,925
Russell Corporation .................. 1,100 22,000
VF Corp. ............................. 2,900 69,056
------------
150,981
------------
TEXTILES (HOME FURNISHINGS) (0.0%)
Springs Industries, Inc. - Class A ... 200 6,438
------------
TOBACCO (0.3%)
Philip Morris Co., Inc. .............. 56,600 1,503,437
UST, Inc. ............................ 4,000 58,750
------------
1,562,187
------------
TRUCKERS (0.0%)
Ryder System, Inc. ................... 1,800 34,088
------------
TRUCKS & PARTS (0.0%)
Cummins Engine Co., Inc. ............. 1,200 32,700
Navistar International Corp. + ....... 1,900 59,019
PACCAR, Inc. ......................... 2,100 83,344
------------
175,063
------------
TOTAL COMMON STOCKS (COST $338,587,047) 348,716,196
------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
------------
<S> <C> <C>
LONG-TERM BONDS AND NOTES (30.2%)
Federal Home Loan Bank,
Zero Coupon, 02/25/04 ................. $ 15,550,000 12,051,250
Federal National Mortgage Association,
Zero Coupon, 08/16/04 ................. 63,790,000 48,340,700
Federal National Mortgage Association
- Strip, Zero Coupon, 07/24/04 ........ 7,777,000 5,980,980
FICO Strip, Zero Coupon, 09/07/04 ...... 12,167,000 9,092,277
Isreal Government Trust Certificate,
Zero Coupon, 05/15/04 ................. 15,731,000 12,031,855
Tennessee Valley Authority Strip,
Zero Coupon, 11/01/04 ................. 10,781,000 7,976,215
Turkey Government Trust Certificate,
Zero Coupon, 05/15/04 ................. 9,218,000 7,050,387
U.S. Treasury Note, Zero
Coupon, 08/15/04....................... 37,332,000 28,870,329
U.S. Treasury Note, 6.53%, 05/15/05 .... 39,927,000 29,425,800
------------
TOTAL LONG-TERM BONDS AND NOTES (COST
$161,615,841) 160,819,793
------------
SHORT-TERM INVESTMENTS (4.4%)
Federal Home Loan Bank, 6.45%, 07/19/00 8,000,000 7,977,067
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
---------- ------------
<S> <C> <C>
SHORT-TERM INVESTMENTS (CONTINUED)
Federal Home Loan Mortgage
Corp., 6.43%, 07/18/00................. $13,867,000 $ 13,867,000
U.S. Treasury Bill, 5.88%, 11/09/00 @ .. 900,000 881,127
U.S. Treasury Bill, 6.18%, 11/09/00 @ .. 600,000 587,418
------------
TOTAL SHORT-TERM INVESTMENTS
(COST $23,311,795) 23,312,612
------------
TOTAL INVESTMENTS
(COST $523,514,683)(A) 532,848,601
OTHER ASSETS LESS LIABILITIES 95,269
------------
TOTAL NET ASSETS $532,943,870
============
NOTES TO PORTFOLIO OF INVESTMENTS
(a) The cost of investments for federal income tax purposes amounts to
$551,251,488. Unrealized gains and losses, based on identified tax cost at
June 30, 2000, are as follows:
Unrealized gains........................... $ 14,305,097
Unrealized losses.......................... (32,707,984)
------------
Net unrealized loss....................... $(18,402,887)
============
</TABLE>
Information concerning open futures contracts at June 30, 2000 is shown below:
<TABLE>
<CAPTION>
NO. OF NOTIONAL EXPIRATION UNREALIZED
CONTRACTS VALUE DATE GAIN/(LOSS)
--------- ---------- ---------- -----------
LONG CONTRACTS
--------------------------
<S> <C> <C> <C> <C>
S&P 500 Index Futures .... 58 $21,287,450 Sep 00 $(373,701)
=========== =========
</TABLE>
+ Non-income producing security.
@ Security pledged to cover initial margin requirements on open futures
contracts at June 30, 2000.
(1) AT&T Corp. acquired MediaOne Group on June 15, 2000. As of June 30, 2000 the
acquisition was not completed, therefore, the market value of MediaOne Group
on June 30, 2000 reflects the fair value of the AT&T Corp. offer.
(2) Tribune Co. acquired Times Mirror Co. on June 12, 2000. As of June 30, 2000
the acquisition was not completed, therefore, the market value of Times
Mirror Co. on June 30, 2000 reflects the fair value of the Tribune Co.
offer.
Category percentages are based on net assets.
See Notes to Financial Statements. 154
<PAGE>
AETNA GET FUND
PORTFOLIO OF INVESTMENTS - JUNE 30, 2000 (UNAUDITED)
SERIES G
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
-------------- ------------
<S> <C> <C>
COMMON STOCKS (57.4%)
AEROSPACE/DEFENSE (0.3%)
Boeing Co. ........................... 8,000 $ 334,500
General Dynamics Corp. ............... 1,800 94,050
Goodrich (B.F.) Co. .................. 1,100 37,469
Lockheed Martin Corp. ................ 4,000 99,250
Northrop Grumman Corp. ............... 1,100 72,875
------------
638,144
------------
AGRICULTURE (0.0%)
Archer-Daniels-Midland Co. ........... 5,700 55,931
------------
AIR FREIGHT (0.0%)
FedEx Corporation + .................. 2,700 102,600
------------
AIRLINES (0.1%)
AMR Corp. + .......................... 2,600 68,738
Delta Air Lines, Inc. ................ 1,900 96,069
Southwest Airlines Co. ............... 5,400 102,262
------------
267,069
------------
ALUMINUM (0.2%)
Alcan Aluminum Ltd. .................. 2,900 89,900
Alcoa Inc. ........................... 11,084 321,436
------------
411,336
------------
AUTO PARTS & EQUIPMENT (0.1%)
Cooper Tire & Rubber Co. ............. 300 3,338
Dana Corp. ........................... 1,800 38,137
Delphi Automotive Systems Corp. ...... 7,700 112,131
Genuine Parts Co. .................... 1,400 28,000
Snap-On, Inc. ........................ 800 21,300
TRW, Inc. ............................ 1,300 56,387
Visteon Corp. ........................ 2,121 25,719
------------
285,012
------------
AUTOMOBILES (0.5%)
Ford Motor Co. ....................... 16,200 696,600
General Motors Corp. + ............... 9,300 539,981
------------
1,236,581
------------
BANKS (MAJOR REGIONAL) (1.4%)
Bank of New York Co., Inc. ........... 7,400 344,100
BB&T Corp. ........................... 3,400 81,175
Comerica, Inc. ....................... 1,700 76,287
Fifth Third Bancorp .................. 3,000 189,750
Firstar Corp. ........................ 8,900 187,456
Fleet Boston Financial Corp. ......... 15,200 516,800
Huntington Bancshares Inc. ........... 2,200 34,788
KeyCorp .............................. 2,200 38,775
Mellon Financial Corp. ............... 5,300 193,119
Northern Trust Corp. ................. 2,800 182,175
Old Kent Financial Corp. ............. 1,365 36,514
PNC Bank Corp. ....................... 3,000 140,625
Regions Financial Corp. .............. 1,300 25,838
SouthTrust Corp. ..................... 800 18,100
State Street Corp. ................... 1,700 180,306
Summit Bancorp ....................... 800 19,700
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
-------------- ------------
<S> <C> <C>
BANKS (MAJOR REGIONAL) (CONTINUED)
Suntrust Banks, Inc. ................. 3,100 $ 141,631
Synovus Financial Corp. .............. 2,800 49,350
U.S. Bancorp ......................... 4,100 78,925
Union Planters Co. ................... 1,500 41,906
Wachovia Corp. ....................... 1,900 103,075
Wells Fargo & Co. .................... 16,800 651,000
------------
3,331,395
------------
BANKS (MONEY CENTER) (0.7%)
Bank of America Corp. ................ 17,400 748,200
Chase Manhattan Corp. ................ 12,750 587,297
First Union Corp. .................... 10,100 250,606
J.P. Morgan & Co. .................... 2,200 242,275
------------
1,828,378
------------
BEVERAGES (NON-ALCOHOLIC) (0.3%)
Coca-Cola Co. (The) .................. 12,600 723,712
------------
BEVERAGES (ALCOHOLIC) (0.2%)
Anheuser-Busch Co., Inc. ............. 6,300 470,531
Brown-Forman Corp. + ................. 500 26,875
Coors (Adolph) Co. ................... 400 24,200
------------
521,606
------------
BIOTECHNOLOGY (0.3%)
Amgen, Inc. + ........................ 10,400 730,600
Biogen, Inc. + ....................... 800 51,600
------------
782,200
------------
BROADCASTING (TV, RADIO & CABLE) (0.2%)
Clear Channel Communications, Inc. + . 1,800 135,000
Mediaone Group, Inc.+ (1) ............ 6,200 411,145
------------
546,145
------------
BUILDING MATERIALS GROUP (0.0%)
Armstrong Holdings, Inc. ............. 400 6,125
Masco Corp. .......................... 4,200 75,863
Owens Corning ........................ 800 7,400
------------
89,388
------------
CELLULAR/WIRELESS TELECOMMUNICATIONS (0.4%)
Nextel Communications, Inc. + ........ 7,400 452,787
Sprint PCS + ......................... 8,700 517,650
------------
970,437
------------
CHEMICALS (0.4%)
Air Products and Chemicals, Inc. ..... 2,200 67,787
Dow Chemical Co. ..................... 8,800 265,650
Du Pont (E.I.) de Nemours ............ 10,400 455,000
Eastman Chemical Co. ................. 1,000 47,750
Praxair, Inc. ........................ 1,400 52,413
Union Carbide Corp. .................. 1,600 79,200
------------
967,800
------------
CHEMICALS - DIVERSIFIED (0.0%)
Engelhard Corp. ...................... 1,900 32,419
FMC Corp. + .......................... 300 17,400
------------
49,819
------------
CHEMICALS - SPECIALITY (0.1%)
Ecolab, Inc. ......................... 1,400 54,688
</TABLE>
See Notes to Portfolio of Investments. 155
<PAGE>
AETNA GET FUND
PORTFOLIO OF INVESTMENTS - JUNE 30, 2000 (UNAUDITED)
SERIES G (CONTINUED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
-------------- ------------
<S> <C> <C>
CHEMICALS - SPECIALITY (CONTINUED)
Grace (W.R.) & Co. + ................. 600 $ 7,275
Great Lakes Chemical Corp. ........... 600 18,900
International Flavors & Fragrances,
Inc.................................. 1,100 33,206
Sigma-Aldrich Corp. .................. 1,100 32,175
------------
146,244
------------
COMMUNICATIONS EQUIPMENT (3.1%)
ADC Telecommunications, Inc. + ....... 5,100 427,763
Andrew Corp. + ....................... 400 13,425
Comverse Technology, Inc. + .......... 2,500 232,500
Corning, Inc. ........................ 3,800 1,025,525
Lucent Technologies, Inc. ............ 15,800 936,150
Motorola, Inc. ....................... 21,720 631,237
Nortel Networks Corp. ................ 47,800 3,262,350
QUALCOMM Inc. + ...................... 7,600 456,000
Scientific-Atlanta, Inc. ............. 2,800 208,600
Tellabs, Inc. + ...................... 3,900 266,906
------------
7,460,456
------------
COMPUTERS (HARDWARE) (3.2%)
Apple Computer, Inc. + ............... 5,000 261,875
Compaq Computer Corp. ................ 17,300 442,231
Dell Computer Corp. + ................ 25,200 1,242,675
Gateway, Inc. + ...................... 4,200 238,350
Hewlett-Packard Co. .................. 12,900 1,610,887
International Business Machines Corp. 18,400 2,015,950
NCR Corp. + .......................... 1,200 46,725
Sun Microsystems, Inc. + ............. 21,300 1,936,969
------------
7,795,662
------------
COMPUTERS (NETWORKING) (2.6%)
Cabletron Systems, Inc. + ........... 900 22,725
Cisco Systems, Inc. + ................ 92,400 5,873,175
Network Appliance, Inc. + ............ 5,100 410,550
------------
6,306,450
------------
COMPUTERS (PERIPHERALS) (1.0%)
EMC Corp. + .......................... 28,000 2,154,250
Lexmark International Group, Inc. + .. 1,200 80,700
Seagate Technology, Inc. + ........... 2,100 115,500
------------
2,350,450
------------
COMPUTERS SOFTWARE/SERVICES (4.9%)
Adobe Systems, Inc. .................. 1,800 234,000
America Online, Inc. + ............... 23,300 1,229,075
Autodesk, Inc. ....................... 600 20,812
BMC Software, Inc. + ................. 2,200 80,266
Citrix Systems, Inc. + ............... 2,400 45,450
Computer Associates International,
Inc. ................................ 6,100 312,244
Compuware Corp. + .................... 3,900 40,462
Microsoft Corp. + .................... 50,900 4,072,000
Oracle Corp. + ....................... 47,500 3,992,969
Peoplesoft, Inc. + ................... 2,900 48,575
Siebel Systems, Inc. + ............... 2,500 408,906
Unisys Corp. + ....................... 1,500 21,844
VERITAS Software Corp. + ............. 6,500 734,602
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
-------------- ------------
<S> <C> <C>
COMPUTERS SOFTWARE/SERVICES (CONTINUED)
Yahoo! Inc. + ........................ 5,400 $ 668,925
------------
11,910,130
------------
CONSTRUCTION (0.0%)
Vulcan Materials Co. ................. 1,200 51,225
------------
CONSUMER FINANCE (0.3%)
Capital One Financial Corp. .......... 1,900 84,788
Countrywide Credit Industries, Inc. .. 1,200 36,375
Household International, Inc. ........ 4,900 203,656
MBNA Corp. ........................... 8,400 227,850
Providian Financial Corp. ............ 1,800 162,000
------------
714,669
------------
CONTAINERS - METAL & GLASS (0.0%)
Ball Corp. ........................... 300 9,656
Owens-Illinois, Inc. + ............... 1,800 21,038
------------
30,694
------------
CONTAINERS/PACKAGING (PAPER) (0.0%)
Bemis Co., Inc. ...................... 800 26,900
Pactiv Corp. + ....................... 2,000 15,750
Temple-Inland Inc. ................... 500 21,000
------------
63,650
------------
DISTRIBUTORS (FOOD & HEALTH) (0.2%)
Cardinal Health, Inc. ................ 2,700 199,800
SUPERVALU, Inc. ...................... 1,400 26,687
Sysco Corp. .......................... 5,600 235,900
------------
462,387
------------
ELECTRIC COMPANIES (0.8%)
Ameren Corp. ......................... 1,300 43,875
American Electric Power Co. .......... 3,120 92,430
Cinergy Corp. ........................ 2,000 50,875
Consolidated Edison, Inc. ............ 2,200 65,175
Constellation Energy Group ........... 1,500 48,844
CP&L, Inc. ........................... 1,900 60,681
Dominion Resources, Inc. ............. 2,109 90,423
DTE Energy Co. ....................... 1,500 45,844
Duke Energy Corp. .................... 3,400 191,675
Entergy Corp. ........................ 2,500 67,969
FirstEnergy Corp. .................... 2,500 58,438
Florida Progress Corp. ............... 1,200 56,250
FPL Group, Inc. ...................... 1,900 94,050
GPU, Inc. ............................ 1,900 51,419
New Century Energies, Inc. ........... 1,500 45,000
Niagara Mohawk Holdings Inc. + ....... 1,900 26,481
Northern States Power Co. ............ 2,200 44,413
Peco Energy Co. ...................... 1,700 68,531
PG&E Corp. ........................... 3,800 93,575
Pinnacle West Capital Corp. .......... 800 27,100
PPL Corporation ...................... 1,500 32,906
Public Service Enterprise Group, Inc. 2,200 76,175
Reliant Energy Inc. .................. 3,900 115,294
Southern Co. ......................... 6,200 144,537
TXU Corp. ............................ 3,100 91,450
</TABLE>
156 See Notes to Portfolio of Investments.
<PAGE>
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
-------------- ------------
<S> <C> <C>
ELECTRIC COMPANIES (CONTINUED)
Unicom Corp. ......................... 2,300 $ 88,981
------------
1,872,391
------------
ELECTRICAL EQUIPMENT (3.1%)
American Power Conversion Corp. + .... 1,900 77,544
Cooper Industries, Inc. .............. 1,200 39,075
Emerson Electric Co. ................. 3,900 235,462
General Electric Co. ................. 132,900 7,043,700
Molex, Inc. .......................... 2,100 101,063
Rockwell International Corp. ......... 2,000 63,000
Thomas & Betts Corp. ................. 400 7,650
------------
7,567,494
------------
ELECTRONICS (COMPONENT DISTRIBUTION) (0.0%)
Grainger (W.W.), Inc. ................ 900 27,731
------------
ELECTRONICS (INSTRUMENTS) (0.2%)
Agilent Technologies, Inc. ........... 4,738 349,427
Perkin-Elmer Inc. + .................. 300 19,838
Tektronix, Inc. ...................... 600 44,400
------------
413,665
------------
ELECTRONICS (SEMICONDUCTORS) (5.0%)
Adaptec, Inc. + ...................... 1,900 43,225
Advanced Micro Devices Corp. + ....... 2,600 200,850
Altera Corp. + ....................... 3,400 346,587
Analog Devices, Inc. + ............... 6,000 456,000
Conexant Systems, Inc. + ............. 3,500 170,187
Intel Corp. .......................... 54,100 7,232,494
Linear Technology Corp. .............. 3,700 236,569
LSI Logic Corp. + .................... 4,700 254,387
Maxim Integrated Products, Inc. + .... 2,900 197,019
Micron Technology, Inc. + ............ 5,500 484,344
National Semiconductor Corp. + ....... 2,400 136,200
Texas Instruments, Inc. .............. 27,300 1,875,169
Xilinx, Inc. + ....................... 5,500 454,094
------------
12,087,125
------------
ENGINEERING & CONSTRUCTION (0.0%)
Fluor Corp. .......................... 900 28,463
------------
ENTERTAINMENT (1.2%)
Time Warner, Inc. .................... 13,100 995,600
Viacom, Inc. + ....................... 15,700 1,070,543
Walt Disney Co. (The) + .............. 21,100 818,944
------------
2,885,087
------------
EQUIPMENT (SEMICONDUCTORS) (0.6%)
Applied Materials, Inc. + ............ 13,000 1,178,125
KLA Instruments Corp. + .............. 3,000 175,687
Teradyne, Inc. + ..................... 3,000 220,500
------------
1,574,312
------------
FINANCIAL (DIVERSIFIED) (2.7%)
American Express Co. ................. 13,700 714,112
Associates First Capital Corp. ....... 7,500 167,344
Citigroup Inc. ....................... 56,900 3,428,225
Federal National Mortgage Association 14,000 730,625
Freddie Mac Corp. .................... 7,200 291,600
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
-------------- ------------
<S> <C> <C>
FINANCIAL (DIVERSIFIED) (CONTINUED)
Morgan Stanley Dean Witter & Co. ..... 14,800 $ 1,232,100
SLM Holding Corp. .................... 1,800 67,388
------------
6,631,394
------------
FOODS (0.9%)
Bestfoods ............................ 3,700 256,225
Conagra, Inc. ........................ 5,100 97,219
General Mills, Inc. .................. 3,000 114,750
Heinz (H.J.) Co. ..................... 3,700 161,875
Hershey Foods Corp. .................. 1,700 82,450
Kellogg Co. .......................... 4,300 127,925
Nabisco Group Holdings Corp. ......... 1,800 46,688
PepsiCo, Inc. ........................ 15,000 666,562
Quaker Oats Co. ...................... 1,500 112,687
Ralston-Ralston Purina Group ......... 1,700 33,894
Sara Lee Corp. ....................... 8,000 154,500
Unilever NV .......................... 6,000 258,000
Wrigley (Wm.) Jr. Co. + .............. 1,000 80,187
------------
2,192,962
------------
FOOTWEAR (0.0%)
Nike, Inc. ........................... 3,000 119,438
------------
GAMING, LOTTERY, & PARI-MUTUEL (0.0%)
Harrah's Entertainment, Inc. + ....... 1,900 39,781
------------
HARDWARE & TOOLS (0.0%)
Black & Decker Corp. ................. 1,100 43,244
Stanley Works (The) .................. 1,000 23,750
------------
66,994
------------
HEALTH CARE (DRUGS) (0.0%)
Alza Corp. + ......................... 1,200 70,950
Watson Pharmaceuticals, Inc. + ....... 1,000 53,750
------------
124,700
------------
HEALTH CARE (DRUGS/PHARMACEUTICALS) (3.5%)
Eli Lilly & Co. ...................... 14,100 1,408,238
Merck & Co., Inc. .................... 22,900 1,754,712
Pfizer, Inc. ......................... 80,325 3,855,600
Pharmacia Corporation ................ 12,845 663,926
Schering Plough ...................... 15,000 757,500
------------
8,439,976
------------
HEALTH CARE (HOSPITAL MANAGEMENT) (0.1%)
HCA - The Healthcare Corp. ........... 5,300 160,987
Tenet Healthcare Corp. + ............. 3,200 86,400
------------
247,387
------------
HEALTH CARE (MANAGED CARE) (0.1%)
UnitedHealth Group Incorporated ...... 1,700 145,775
Wellpoint Health Networks, Inc. + .... 800 57,950
------------
203,725
------------
HEALTH CARE (MEDICAL PRODUCTS/SUPPLIES) (0.6%)
Bard (C.R.) Inc. ..................... 800 38,500
Bausch & Lomb, Inc. .................. 800 61,900
Baxter International, Inc. ........... 2,700 189,844
Becton, Dickinson & Co. .............. 2,900 83,194
Biomet, Inc. ......................... 1,100 42,281
</TABLE>
See Notes to Portfolio of Investments. 157
<PAGE>
AETNA GET FUND
PORTFOLIO OF INVESTMENTS - JUNE 30, 2000 (UNAUDITED)
SERIES G (CONTINUED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
-------------- ------------
<S> <C> <C>
HEALTH CARE (MEDICAL PRODUCTS/SUPPLIES) (CONTINUED)
Guidant Corp. + ...................... 3,000 $ 148,500
Medtronic, Inc. + .................... 12,200 607,712
PE Corp-PE Biosystems Group .......... 1,800 118,575
Saint Jude Medical, Inc. + ........... 1,300 59,638
------------
1,350,144
------------
HEALTH CARE DIVERSIFIED (1.7%)
Abbott Laboratories .................. 15,800 704,087
Allergan, Inc. ....................... 1,400 104,300
American Home Products Corp. ......... 6,700 393,625
Bristol-Myers Squibb Co. ............. 19,300 1,124,225
Johnson & Johnson .................... 18,000 1,833,750
Mallinckrodt Inc. .................... 800 34,750
------------
4,194,737
------------
HOMEBUILDING (0.0%)
Kaufman & Broad Home Corp. ........... 300 5,944
Pulte Corp. .......................... 500 10,812
------------
16,756
------------
HOUSEHOLD FURNISHINGS & APPLIANCES (0.0%)
Leggett & Platt, Inc. ................ 1,900 31,350
Maytag Corp. ......................... 700 25,813
Whirlpool Corp. ...................... 1,400 65,275
------------
122,438
------------
HOUSEHOLD PRODUCTS (NON-DURABLE) (0.5%)
Clorox Co. ........................... 2,400 107,550
Colgate-Palmolive Co. ................ 5,900 353,262
Fort James Corp. ..................... 1,400 32,375
Kimberly-Clark Corp. ................. 5,600 321,300
Procter & Gamble Co. ................. 6,400 366,400
------------
1,180,887
------------
HOUSEWARES (0.1%)
Fortune Brands, Inc. ................. 1,800 41,513
Newell Rubbermaid Inc. ............... 2,900 74,675
Tupperware Corp. ..................... 900 19,800
------------
135,988
------------
INSURANCE (LIFE/HEALTH) (0.2%)
AFLAC, Inc. .......................... 2,600 119,437
American General Corp. ............... 2,400 146,400
Jefferson-Pilot Corp. ................ 1,100 62,081
Lincoln National Corp. ............... 2,300 83,088
Torchmark Corp. ...................... 1,400 34,563
------------
445,569
------------
INSURANCE (MULTI-LINE) (1.2%)
American International Group, Inc. ... 21,000 2,467,500
CIGNA Corp. .......................... 2,000 187,000
Hartford Financial Services Group,
Inc.................................. 3,100 173,406
Loews Corp. .......................... 1,100 66,000
------------
2,893,906
------------
INSURANCE (PROPERTY/CASUALTY) (0.2%)
Allstate Corp. (The) ................. 7,500 166,875
Chubb Corp. .......................... 900 55,350
Cincinnati Financial Corp. ........... 2,000 62,875
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
-------------- ------------
<S> <C> <C>
INSURANCE (PROPERTY/CASUALTY) (CONTINUED)
MBIA, Inc. ........................... 700 $ 33,731
MGIC Investment Corp. ................ 1,400 63,700
St. Paul Co., Inc. ................... 2,400 81,900
------------
464,431
------------
INSURANCE BROKERS (0.2%)
Aon Corp. ............................ 2,700 83,869
Marsh & McLennan Co., Inc. ........... 2,800 292,425
------------
376,294
------------
INVESTMENT BANKING/BROKERAGE (0.4%)
Bear Stearns Co., Inc. (The) ......... 1,100 45,788
Charles Schwab Corp. ................. 6,150 206,794
Lehman Brothers Holdings Inc. ........ 1,800 170,212
Merrill Lynch & Co., Inc. ............ 5,000 575,000
Paine Webber Group Inc. .............. 2,000 91,000
------------
1,088,794
------------
INVESTMENT MANAGEMENT (0.0%)
Franklin Resources, Inc. ............. 2,100 63,788
T. Rowe Price & Associates ........... 1,400 59,500
------------
123,288
------------
LEISURE TIME (PRODUCTS) (0.1%)
Brunswick Corp. ...................... 1,000 16,563
Harley-Davidson, Inc. ................ 2,800 107,800
Hasbro, Inc. ......................... 2,100 31,631
Mattel, Inc. ......................... 4,500 59,344
------------
215,338
------------
LODGING - HOTELS (0.1%)
Carnival Corp. ....................... 3,200 62,400
Hilton Hotels Corp. .................. 3,400 31,875
Marriott International, Inc. ......... 2,700 97,369
------------
191,644
------------
MACHINERY - DIVERSIFIED (0.2%)
Caterpillar, Inc. .................... 3,600 121,950
Deere & Co. .......................... 3,800 140,600
Dover Corp. .......................... 2,700 109,519
Ingersoll-Rand Co. ................... 1,700 68,425
Timken Co. ........................... 700 13,037
------------
453,531
------------
MANUFACTURING (DIVERSIFIED) (0.9%)
Crane Co. ............................ 700 17,019
Danaher Corp. ........................ 1,400 69,213
Eaton Corp. .......................... 700 46,900
Honeywell International Inc. ......... 8,200 276,237
Illinois Tool Works, Inc. ............ 2,800 159,600
ITT Industries, Inc. ................. 1,200 36,450
Johnson Controls, Inc. ............... 1,400 71,838
Minnesota Mining and Manufacturing Co. 4,100 338,250
National Service Industries, Inc. .... 500 9,750
Parker-Hannifin Corp. ................ 1,700 58,225
PPG Industries Inc. .................. 2,500 110,781
Textron, Inc. ........................ 1,700 92,331
Thermo Electron Corp. + .............. 1,000 21,063
</TABLE>
158 See Notes to Portfolio of Investments.
<PAGE>
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
-------------- ------------
<S> <C> <C>
MANUFACTURING (DIVERSIFIED) (CONTINUED)
Tyco International Ltd. .............. 17,300 $ 819,587
------------
2,127,244
------------
MANUFACTURING (SPECIALIZED) (0.2%)
Avery Dennison Corp. ................. 1,100 73,837
Briggs & Stratton Corp. .............. 200 6,850
Millipore Corp. ...................... 500 37,688
Pall Corp. ........................... 1,100 20,350
Sealed Air Corp. + ................... 900 47,138
United Technologies Corp. ............ 4,900 288,487
------------
474,350
------------
METALS MINING (0.0%)
Freeport-McMoRan Copper & Gold, Inc. + 1,700 15,725
------------
MISCELLANEOUS METALS (0.1%)
Barrick Gold Corp. ................... 4,300 78,206
Inco Ltd. + .......................... 3,700 56,887
Placer Dome, Inc. .................... 3,000 28,688
------------
163,781
------------
NATURAL GAS (DISTRIBUTION - PIPE LINE) (0.4%)
Coastal Corp. (The) .................. 2,900 176,537
Columbia Energy Group ................ 800 52,500
El Paso Energy Corp. ................. 2,200 112,062
Enron Corp. .......................... 7,200 464,400
NICOR, Inc. .......................... 500 16,313
People's Energy Corp. ................ 300 9,713
Sempra Energy ........................ 1,100 18,700
Williams Co., Inc. (The) ............. 2,000 83,375
------------
933,600
------------
OFFICE EQUIPMENT & SUPPLIES (0.0%)
Pitney Bowes, Inc. ................... 1,300 52,000
------------
OIL (0.6%)
Royal Dutch Petroleum Co. ............ 22,000 1,354,375
------------
OIL & GAS (DRILLING & EQUIPMENT) (0.1%)
Baker Hughes Inc. .................... 3,600 115,200
Rowan Co., Inc. + .................... 1,500 45,563
------------
160,763
------------
OIL & GAS (EXPLORATION/PRODUCTION) (0.2%)
Anadarko Petroleum Corp. ............. 1,600 78,900
Apache Corp. ......................... 1,600 94,100
Burlington Resources, Inc. ........... 2,200 84,150
Kerr-McGee Corp. ..................... 1,100 64,831
Union Pacific Resources Group Inc. ... 4,600 101,200
Unocal Corp. ......................... 4,100 135,813
------------
558,994
------------
OIL & GAS (REFINING & MARKETING) (0.1%)
Ashland Oil, Inc. .................... 700 24,544
Sunoco Inc. .......................... 1,400 41,212
Tosco Corp. .......................... 2,300 65,119
------------
130,875
------------
OIL (DOMESTIC INTEGRATED) (0.3%)
Amerada Hess Corp. ................... 1,600 98,800
Conoco Inc. .......................... 6,400 157,200
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
-------------- ------------
<S> <C> <C>
OIL (DOMESTIC INTEGRATED) (CONTINUED)
Occidental Petroleum Corp. ........... 5,800 $ 122,162
Phillips Petroleum Co. ............... 3,100 157,131
USX-Marathon Group ................... 4,600 115,288
------------
650,581
------------
OIL (INTERNATIONAL INTEGRATED) (1.9%)
Chevron Corp. ........................ 6,700 568,244
Exxon Mobil Corp. .................... 46,700 3,665,950
Texaco, Inc. ......................... 9,400 500,550
------------
4,734,744
------------
PAPER & FOREST PRODUCTS (0.2%)
Boise Cascade Corp. .................. 900 23,287
Georgia-Pacific Corp. ................ 2,000 52,500
International Paper Co. .............. 4,807 143,318
Louisiana-Pacific Corp. .............. 1,500 16,313
Mead Corp. ........................... 400 10,100
Potlatch Corp. ....................... 400 13,250
Westvaco Corp. ....................... 1,200 29,775
Weyerhaeuser Co. ..................... 2,900 124,700
Willamette Industries, Inc. .......... 1,100 29,975
------------
443,218
------------
PERSONAL CARE (0.2%)
Alberto-Culver Co. ................... 600 18,338
Avon Products, Inc. .................. 1,200 53,400
Gillette Co. ......................... 10,600 370,337
------------
442,075
------------
PHOTOGRAPHY/IMAGING (0.1%)
Eastman Kodak Co. .................... 3,000 178,500
Polaroid Corp. ....................... 200 3,612
Xerox Corp. .......................... 3,500 72,625
------------
254,737
------------
POWER PRODUCERS (INDEPENDENT) (0.1%)
AES Corp. + .......................... 4,200 191,625
------------
PUBLISHING (0.1%)
Harcourt General, Inc. ............... 600 32,625
McGraw-Hill Co., Inc. ................ 1,800 97,200
Meredith Corp. ....................... 400 13,500
------------
143,325
------------
PUBLISHING - NEWSPAPERS (0.2%)
Dow Jones & Co., Inc. ................ 1,200 87,900
Gannett Co., Inc. .................... 2,600 155,512
Knight-Ridder, Inc. .................. 900 47,869
New York Times Co. ................... 1,700 67,150
Times Mirror Company (2) ............. 700 63,367
Tribune Co. .......................... 3,000 105,000
------------
526,798
------------
RAILROADS (0.1%)
Burlington Northern Santa Fe Corp. ... 4,200 96,337
Kansas City Southern Industries, Inc. 1,000 88,688
Union Pacific Corp. .................. 2,400 89,250
------------
274,275
------------
</TABLE>
See Notes to Portfolio of Investments. 159
<PAGE>
AETNA GET FUND
PORTFOLIO OF INVESTMENTS - JUNE 30, 2000 (UNAUDITED)
SERIES G (CONTINUED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
-------------- ------------
<S> <C> <C>
RESTAURANTS (0.2%)
Darden Restaurants, Inc. ............. 1,500 $ 24,375
McDonald's Corp. ..................... 13,900 457,831
Tricon Global Restaurants, Inc. + .... 1,000 28,250
Wendy's International, Inc. .......... 1,400 24,938
------------
535,394
------------
RETAIL (BUILDING SUPPLIES) (0.8%)
Home Depot, Inc. ..................... 31,100 1,553,056
Lowe's Co., Inc. ..................... 6,300 258,694
Sherwin-Williams Co. ................. 1,700 36,019
------------
1,847,769
------------
RETAIL (COMPUTERS & ELECTRONICS) (0.2%)
Best Buy Co., Inc. + ................. 3,100 196,075
Circuit City Stores, Inc. ............ 3,000 99,563
RadioShack Corporation ............... 2,300 108,962
------------
404,600
------------
RETAIL (DISCOUNTERS) (0.0%)
Dollar General Corp. ................. 3,250 63,375
------------
RETAIL (DEPARTMENT STORES) (0.2%)
Federated Department Stores, Inc. + .. 3,200 108,000
Kohl's Corp. + ....................... 4,300 239,187
May Department Stores Co. ............ 1,700 40,800
Nordstrom, Inc. ...................... 1,500 36,188
Sears, Roebuck & Co. ................. 3,400 110,925
------------
535,100
------------
RETAIL (GENERAL MERCHANDISE CHAIN) (1.6%)
Costco Wholesale Corp. + ............. 2,100 69,300
Target Corporation ................... 5,900 342,200
Wal-Mart Stores, Inc. ................ 60,000 3,457,500
------------
3,869,000
------------
RETAIL (SPECIALITY) (0.1%)
AutoZone, Inc. + ..................... 1,700 37,400
Bed Bath & Beyond, Inc. + ............ 2,000 72,500
Office Depot, Inc. + ................. 1,800 11,250
Staples, Inc. + ...................... 2,300 35,363
Toys "R" Us, Inc. + .................. 100 1,456
------------
157,969
------------
RETAIL SPECIALITY - APPAREL (0.2%)
Gap, Inc. ............................ 8,200 256,250
The Limited, Inc. .................... 6,600 142,725
TJX Companies, Inc. .................. 3,700 69,375
------------
468,350
------------
RETAIL STORES - DRUG STORE (0.2%)
CVS Corp. ............................ 3,600 144,000
Longs Drug Stores, Inc. .............. 300 6,525
Walgreen Co. ......................... 9,900 318,656
------------
469,181
------------
RETAIL STORES - FOOD CHAINS (0.1%)
Albertson's, Inc. .................... 2,000 66,500
Safeway, Inc. + ...................... 4,500 203,062
------------
269,562
------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
-------------- ------------
<S> <C> <C>
SAVINGS & LOAN COMPANIES (0.1%)
Golden West Financial Corp. .......... 1,800 $ 73,463
Washington Mutual Fin. Corp. ......... 2,700 77,962
------------
151,425
------------
SERVICES (ADVERTISING/MARKETING) (0.1%)
Interpublic Group of Co., Inc. (The) . 2,600 111,800
Omnicom Group, Inc. .................. 1,700 151,406
Young And Rubicam, Inc. + ............ 800 45,750
------------
308,956
------------
SERVICES (COMMERCIAL & CONSUMER) (0.1%)
Cendant Corp. + ...................... 6,300 88,200
Convergys Corp. + .................... 1,600 83,000
Dun & Bradstreet Corp. ............... 1,900 54,387
H&R Block, Inc. ...................... 1,000 32,375
IMS Health, Inc. ..................... 3,400 61,200
------------
319,162
------------
SERVICES (COMPUTER SYSTEMS) (0.2%)
Computer Sciences Corp. + ............ 1,700 126,969
Electronic Data Systems Corp. ........ 4,700 193,875
Sabre Holdings Corporation ........... 1,083 30,865
Sapient Corp. + ...................... 900 96,244
------------
447,953
------------
SERVICES (DATA PROCESSING) (0.3%)
Automatic Data Processing, Inc. ...... 6,300 337,444
Equifax, Inc. ........................ 1,600 42,000
First Data Corp. ..................... 4,400 218,350
Paychex, Inc. ........................ 3,900 163,800
------------
761,594
------------
SPECIALITY PRINTING (0.0%)
Deluxe Corp. ......................... 600 14,138
RR Donnelley & Sons Co. .............. 1,400 31,587
------------
45,725
------------
STEEL (0.0%)
Allegheny Technologies Incorporated .. 1,000 18,000
Nucor Corp. .......................... 900 29,869
USX-US Steel Group, Inc. ............. 1,900 35,269
Worthington Industries ............... 400 4,200
------------
87,338
------------
TELEPHONE (1.7%)
ALLTEL Corp. ......................... 2,900 179,619
Bell Atlantic Corp. .................. 15,100 767,269
BellSouth Corp. ...................... 19,300 822,662
GTE Corp. ............................ 9,900 616,275
SBC Communications, Inc. ............. 33,300 1,440,225
U.S. WEST, Inc. ...................... 5,100 437,325
------------
4,263,375
------------
TELEPHONE LONG DISTANCE (1.0%)
AT&T Corp. ........................... 18,600 588,225
Sprint Corp. ......................... 9,000 459,000
WorldCom, Inc. ....................... 28,200 1,293,675
------------
2,340,900
------------
</TABLE>
160 See Notes to Portfolio of Investments.
<PAGE>
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
-------------- ------------
<S> <C> <C>
TEXTILES (APPAREL) (0.0%)
Liz Claiborne, Inc. .................. 700 $ 24,675
Russell Corporation .................. 400 8,000
VF Corp. ............................. 1,300 30,956
------------
63,631
------------
TEXTILES (HOME FURNISHINGS) (0.0%)
Springs Industries, Inc. - Class A ... 100 3,219
------------
TOBACCO (0.3%)
Philip Morris Co., Inc. .............. 24,000 637,500
UST, Inc. ............................ 1,700 24,969
------------
662,469
------------
TRUCKERS (0.0%)
Ryder System, Inc. ................... 800 15,150
------------
TRUCKS & PARTS (0.0%)
Cummins Engine Co., Inc. ............. 700 19,075
Navistar International Corp. + ....... 800 24,850
PACCAR, Inc. ......................... 900 35,719
------------
79,644
------------
TOTAL COMMON STOCKS (COST $138,628,135) 139,679,866
------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
--------------
<S> <C> <C>
LONG-TERM BONDS AND NOTES (41.1%)
U.S. Treasury Note, Zero
Coupon, 11/15/04..................... $131,361,000 99,873,768
------------
TOTAL LONG-TERM BONDS AND NOTES (COST
$99,075,909) 99,873,768
------------
SHORT-TERM INVESTMENTS (1.5%)
Federal Home Loan Mortgage
Corp., 6.57%, 07/03/00............... 3,403,000 3,403,000
U.S. Treasury Bill, 6.14%, 11/09/00 @ 300,000 293,709
------------
TOTAL SHORT-TERM INVESTMENTS
(COST $3,696,405) 3,696,709
------------
TOTAL INVESTMENTS
(COST $241,400,449)(A) 243,250,343
OTHER ASSETS LESS LIABILITIES (18,112)
------------
TOTAL NET ASSETS $243,232,231
============
NOTES TO PORTFOLIO OF INVESTMENTS
(a) The cost of investments for federal income tax purposes amounts to
$254,362,990. Unrealized gains and losses, based on identified tax cost at
June 30, 2000, are as follows:
Unrealized gains........................... $ 185,782
Unrealized losses.......................... (11,298,429)
------------
Net unrealized loss....................... $(11,112,647)
============
</TABLE>
<TABLE>
Information concerning open futures contracts at June 30, 2000 is shown below:
NO. OF NOTIONAL EXPIRATION UNREALIZED
CONTRACTS VALUE DATE GAIN/(LOSS)
----------- ------------ ------------ ------------
LONG CONTRACTS
-------------------
<S> <C> <C> <C> <C>
S&P 500 Index Futures. 8 $2,936,200 Sep 00 $ (49,758)
========== ==========
</TABLE>
+ Non-income producing security.
(a) Security pledged to cover initial margin requirements on open futures
contracts at June 30, 2000.
(1) AT&T Corp. acquired MediaOne Group on June 15, 2000. As of June 30, 2000 the
acquisition was not completed, therefore, the market value of MediaOne Group
on June 30, 2000 reflects the fair value of the AT&T Corp. offer.
(2) Tribune Co. acquired Times Mirror Co. on June 12, 2000. As of June 30, 2000
the acquisition was not completed, therefore, the market value of Times
Mirror Co. on June 30, 2000 reflects the fair value of the Tribune Co.
offer.
Category percentages are based on net assets.
See Notes to Financial Statements. 161
<PAGE>
AETNA GET FUND
PORTFOLIO OF INVESTMENTS - JUNE 30, 2000 (UNAUDITED)
SERIES H
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
-------------- ------------
<S> <C> <C>
COMMON STOCKS (68.5%)
AEROSPACE/DEFENSE (0.3%)
Boeing Co. ........................... 7,600 $ 317,775
General Dynamics Corp. ............... 1,700 88,825
Goodrich (B.F.) Co. .................. 400 13,625
Lockheed Martin Corp. ................ 3,500 86,844
Northrop Grumman Corp. ............... 1,000 66,250
------------
573,319
------------
AGRICULTURE (0.0%)
Archer-Daniels-Midland Co. ........... 6,100 59,856
------------
AIR FREIGHT (0.0%)
FedEx Corporation + .................. 2,400 91,200
------------
AIRLINES (0.1%)
AMR Corp. + .......................... 2,300 60,806
Delta Air Lines, Inc. ................ 2,100 106,181
Southwest Airlines Co. ............... 4,900 92,794
------------
259,781
------------
ALUMINUM (0.2%)
Alcan Aluminum Ltd. .................. 3,300 102,300
Alcoa Inc. ........................... 10,084 292,436
------------
394,736
------------
AUTO PARTS & EQUIPMENT (0.1%)
Cooper Tire & Rubber Co. ............. 300 3,338
Dana Corp. ........................... 700 14,831
Delphi Automotive Systems Corp. ...... 7,100 103,394
Genuine Parts Co. .................... 1,200 24,000
Snap-On, Inc. ........................ 700 18,637
TRW, Inc. ............................ 1,100 47,712
Visteon Corp. ........................ 1,885 22,861
------------
234,773
------------
AUTOMOBILES (0.6%)
Ford Motor Co. ....................... 14,400 619,200
General Motors Corp. + ............... 8,300 481,919
------------
1,101,119
------------
BANKS (MAJOR REGIONAL) (1.7%)
Bank of New York Co., Inc. ........... 7,000 325,500
BB&T Corp. ........................... 3,000 71,625
Comerica, Inc. ....................... 1,500 67,312
Fifth Third Bancorp .................. 2,700 170,775
Firstar Corp. ........................ 9,000 189,562
Fleet Boston Financial Corp. ......... 13,900 472,600
Huntington Bancshares Inc. ........... 1,900 30,044
KeyCorp .............................. 2,000 35,250
Mellon Financial Corp. ............... 4,700 171,256
Northern Trust Corp. ................. 2,600 169,162
Old Kent Financial Corp. ............. 1,365 36,514
PNC Bank Corp. ....................... 3,000 140,625
SouthTrust Corp. ..................... 1,000 22,625
State Street Corp. ................... 1,500 159,094
Summit Bancorp ....................... 1,500 36,938
Suntrust Banks, Inc. ................. 2,800 127,925
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
-------------- ------------
<S> <C> <C>
BANKS (MAJOR REGIONAL) (CONTINUED)
Synovus Financial Corp. .............. 2,400 $ 42,300
U.S. Bancorp ......................... 3,500 67,375
Union Planters Co. ................... 800 22,350
Wachovia Corp. ....................... 2,000 108,500
Wells Fargo & Co. .................... 15,500 600,625
------------
3,067,957
------------
BANKS (MONEY CENTER) (0.9%)
Bank of America Corp. ................ 15,500 666,500
Chase Manhattan Corp. ................ 11,250 518,203
First Union Corp. .................... 8,900 220,831
J.P. Morgan & Co. .................... 2,000 220,250
------------
1,625,784
------------
BEVERAGES (NON-ALCOHOLIC) (0.3%)
Coca-Cola Co. (The) .................. 11,200 643,300
------------
BEVERAGES (ALCOHOLIC) (0.3%)
Anheuser-Busch Co., Inc. ............. 5,600 418,250
Brown-Forman Corp. + ................. 500 26,875
Coors (Adolph) Co. ................... 300 18,150
------------
463,275
------------
BIOTECHNOLOGY (0.4%)
Amgen, Inc. + ........................ 9,300 653,325
Biogen, Inc. + ....................... 1,400 90,300
------------
743,625
------------
BROADCASTING (TV, RADIO & CABLE) (0.2%)
Clear Channel Communications, Inc. + . 1,500 112,500
Mediaone Group, Inc. + (1) ........... 5,500 364,726
------------
477,226
------------
BUILDING MATERIALS GROUP (0.0%)
Masco Corp. .......................... 1,800 32,513
------------
CELLULAR/WIRELESS TELECOMMUNICATIONS (0.5%)
Nextel Communications, Inc. + ........ 6,900 422,194
Sprint PCS + ......................... 8,100 481,950
------------
904,144
------------
CHEMICALS (0.5%)
Air Products and Chemicals, Inc. ..... 2,000 61,625
Dow Chemical Co. ..................... 8,000 241,500
Du Pont (E.I.) de Nemours ............ 9,400 411,250
Eastman Chemical Co. ................. 800 38,200
Praxair, Inc. ........................ 1,400 52,412
Union Carbide Corp. .................. 1,400 69,300
------------
874,287
------------
CHEMICALS - DIVERSIFIED (0.0%)
Engelhard Corp. ...................... 600 10,238
FMC Corp. + .......................... 300 17,400
------------
27,638
------------
CHEMICALS - SPECIALITY (0.1%)
Ecolab, Inc. ......................... 1,200 46,875
Grace (W.R.) & Co. + ................. 500 6,063
Great Lakes Chemical Corp. ........... 600 18,900
International Flavors & Fragrances,
Inc. ................................ 1,000 30,187
</TABLE>
162 See Notes to Portfolio of Investments.
<PAGE>
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
-------------- ------------
<S> <C> <C>
CHEMICALS - SPECIALITY (CONTINUED)
Sigma-Aldrich Corp. .................. 1,000 $ 29,250
------------
131,275
------------
COMMUNICATIONS EQUIPMENT (3.6%)
ADC Telecommunications, Inc. + ....... 4,500 377,438
Andrew Corp. + ....................... 300 10,069
Comverse Technology, Inc. + .......... 2,500 232,500
Corning, Inc. ........................ 3,300 890,587
Lucent Technologies, Inc. ............ 14,400 853,200
Motorola, Inc. ....................... 19,300 560,906
Nortel Networks Corp. ................ 43,400 2,962,050
QUALCOMM Inc. + ...................... 6,800 408,000
Scientific-Atlanta, Inc. ............. 2,500 186,250
Tellabs, Inc. + ...................... 3,500 239,531
------------
6,720,531
------------
COMPUTERS (HARDWARE) (3.8%)
Apple Computer, Inc. + ............... 5,000 261,875
Compaq Computer Corp. ................ 14,700 375,769
Dell Computer Corp. + ................ 23,300 1,148,981
Gateway, Inc. + ...................... 3,800 215,650
Hewlett-Packard Co. .................. 11,700 1,461,037
International Business Machines Corp. 16,800 1,840,650
NCR Corp. + .......................... 900 35,044
Sun Microsystems, Inc. + ............. 19,500 1,773,281
------------
7,112,287
------------
COMPUTERS (NETWORKING) (3.1%)
Cabletron Systems, Inc. + ........... 900 22,725
Cisco Systems, Inc. + ................ 84,200 5,351,962
Network Appliance, Inc. + ............ 4,600 370,300
------------
5,744,987
------------
COMPUTERS (PERIPHERALS) (1.2%)
EMC Corp. + .......................... 25,400 1,954,212
Lexmark International Group, Inc. + .. 1,100 73,975
Seagate Technology, Inc. + ........... 2,200 121,000
------------
2,149,187
------------
COMPUTERS SOFTWARE/SERVICES (5.9%)
Adobe Systems, Inc. .................. 1,500 195,000
America Online, Inc. + ............... 21,300 1,123,575
Autodesk, Inc. ....................... 600 20,813
BMC Software, Inc. + ................. 2,400 87,562
Citrix Systems, Inc. + ............... 2,400 45,450
Computer Associates International,
Inc. ................................ 5,400 276,412
Compuware Corp. + .................... 3,500 36,313
Microsoft Corp. + .................... 46,200 3,696,000
Oracle Corp. + ....................... 43,000 3,614,687
Peoplesoft, Inc. + ................... 2,800 46,900
Siebel Systems, Inc. + ............... 2,300 376,194
Unisys Corp. + ....................... 1,500 21,844
VERITAS Software Corp. + ............. 6,000 678,094
Yahoo! Inc. + ........................ 5,000 619,375
------------
10,838,219
------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
-------------- ------------
<S> <C> <C>
CONSTRUCTION (0.0%)
Vulcan Materials Co. ................. 1,100 $ 46,956
------------
CONSUMER FINANCE (0.3%)
Capital One Financial Corp. .......... 1,800 80,325
Countrywide Credit Industries, Inc. .. 1,000 30,313
Household International, Inc. ........ 4,300 178,719
MBNA Corp. ........................... 6,900 187,162
Providian Financial Corp. ............ 1,400 126,000
------------
602,519
------------
CONTAINERS - METAL & GLASS (0.0%)
Ball Corp. ........................... 300 9,656
Owens-Illinois, Inc. + ............... 1,600 18,700
------------
28,356
------------
CONTAINERS/PACKAGING (PAPER) (0.0%)
Bemis Co., Inc. ...................... 700 23,537
Pactiv Corp. + ....................... 1,700 13,388
Temple-Inland Inc. ................... 400 16,800
------------
53,725
------------
DISTRIBUTORS (FOOD & HEALTH) (0.2%)
Cardinal Health, Inc. ................ 2,500 185,000
SUPERVALU, Inc. ...................... 1,200 22,875
Sysco Corp. .......................... 5,000 210,625
------------
418,500
------------
ELECTRIC COMPANIES (0.9%)
Ameren Corp. ......................... 1,200 40,500
American Electric Power Co. .......... 3,300 97,762
Cinergy Corp. ........................ 1,800 45,788
Consolidated Edison, Inc. ............ 2,000 59,250
Constellation Energy Group ........... 1,200 39,075
CP&L, Inc. ........................... 1,600 51,100
Dominion Resources, Inc. ............. 2,100 90,037
DTE Energy Co. ....................... 1,900 58,069
Duke Energy Corp. .................... 3,100 174,762
Entergy Corp. ........................ 2,200 59,813
FirstEnergy Corp. .................... 2,200 51,425
Florida Progress Corp. ............... 1,000 46,875
FPL Group, Inc. ...................... 1,700 84,150
GPU, Inc. ............................ 1,600 43,300
New Century Energies, Inc. ........... 1,300 39,000
Northern States Power Co. ............ 1,900 38,356
Peco Energy Co. ...................... 1,800 72,562
PG&E Corp. ........................... 3,500 86,187
Pinnacle West Capital Corp. .......... 700 23,713
PPL Corporation ...................... 1,300 28,519
Public Service Enterprise Group, Inc. 1,900 65,788
Reliant Energy Inc. .................. 2,700 79,819
Southern Co. ......................... 5,900 137,544
TXU Corp. ............................ 2,700 79,650
Unicom Corp. ......................... 2,000 77,375
------------
1,670,419
------------
ELECTRICAL EQUIPMENT (3.7%)
American Power Conversion Corp. + .... 1,700 69,381
</TABLE>
See Notes to Portfolio of Investments. 163
<PAGE>
AETNA GET FUND
PORTFOLIO OF INVESTMENTS - JUNE 30, 2000 (UNAUDITED)
SERIES H (CONTINUED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
-------------- ------------
<S> <C> <C>
ELECTRICAL EQUIPMENT (CONTINUED)
Cooper Industries, Inc. .............. 1,100 $ 35,819
Emerson Electric Co. ................. 3,700 223,387
General Electric Co. ................. 121,200 6,423,600
Molex, Inc. .......................... 2,100 101,063
Rockwell International Corp. ......... 1,700 53,550
Thomas & Betts Corp. ................. 400 7,650
------------
6,914,450
------------
ELECTRONICS (COMPONENT DISTRIBUTION) (0.0%)
Grainger (W.W.), Inc. ................ 800 24,650
------------
ELECTRONICS (INSTRUMENTS) (0.2%)
Agilent Technologies, Inc. ........... 4,233 312,184
Perkin-Elmer Inc. + .................. 200 13,225
Tektronix, Inc. ...................... 400 29,600
------------
355,009
------------
ELECTRONICS (SEMICONDUCTORS) (5.9%)
Adaptec, Inc. + ...................... 1,600 36,400
Advanced Micro Devices Corp. + ....... 2,100 162,225
Altera Corp. + ....................... 3,100 316,006
Analog Devices, Inc. + ............... 5,300 402,800
Conexant Systems, Inc. + ............. 3,100 150,738
Intel Corp. .......................... 49,000 6,550,687
Linear Technology Corp. .............. 2,800 179,025
LSI Logic Corp. + .................... 3,700 200,263
Maxim Integrated Products, Inc. + .... 2,400 163,050
Micron Technology, Inc. + ............ 5,100 449,119
National Semiconductor Corp. + ....... 2,600 147,550
Texas Instruments, Inc. .............. 25,000 1,717,187
Xilinx, Inc. + ....................... 4,800 396,300
------------
10,871,350
------------
ENGINEERING & CONSTRUCTION (0.0%)
Fluor Corp. .......................... 800 25,300
------------
ENTERTAINMENT (1.4%)
Time Warner, Inc. .................... 12,000 912,000
Viacom, Inc. + ....................... 13,900 947,806
Walt Disney Co. (The) + .............. 18,700 725,794
------------
2,585,600
------------
EQUIPMENT (SEMICONDUCTORS) (0.8%)
Applied Materials, Inc. + ............ 11,800 1,069,375
KLA Instruments Corp. + .............. 2,600 152,262
Teradyne, Inc. + ..................... 2,500 183,750
------------
1,405,387
------------
FINANCIAL (DIVERSIFIED) (3.3%)
American Express Co. ................. 12,200 635,925
Associates First Capital Corp. ....... 6,900 153,956
Citigroup Inc. ....................... 51,800 3,120,950
Federal National Mortgage Association 12,400 647,125
Freddie Mac Corp. .................... 6,100 247,050
Morgan Stanley Dean Witter & Co. ..... 13,800 1,148,850
SLM Holding Corp. .................... 1,600 59,900
------------
6,013,756
------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
-------------- ------------
<S> <C> <C>
FOODS (1.0%)
Bestfoods ............................ 3,300 $ 228,525
Conagra, Inc. ........................ 4,400 83,875
General Mills, Inc. .................. 2,500 95,625
Heinz (H.J.) Co. ..................... 3,000 131,250
Hershey Foods Corp. .................. 1,400 67,900
Kellogg Co. .......................... 3,300 98,175
Nabisco Group Holdings Corp. ......... 1,600 41,500
PepsiCo, Inc. ........................ 13,400 595,462
Quaker Oats Co. ...................... 1,200 90,150
Ralston-Ralston Purina Group ......... 2,500 49,844
Sara Lee Corp. ....................... 7,300 140,981
Unilever NV .......................... 4,800 206,400
Wrigley (Wm.) Jr. Co. + .............. 900 72,169
------------
1,901,856
------------
FOOTWEAR (0.1%)
Nike, Inc. ........................... 2,400 95,550
------------
GAMING, LOTTERY, & PARI-MUTUEL (0.0%)
Harrah's Entertainment, Inc. + ....... 1,200 25,125
------------
HARDWARE & TOOLS (0.0%)
Black & Decker Corp. ................. 900 35,381
Stanley Works (The) .................. 900 21,375
------------
56,756
------------
HEALTH CARE (DRUGS) (0.1%)
Alza Corp. + ......................... 1,000 59,125
Watson Pharmaceuticals, Inc. + ....... 900 48,375
------------
107,500
------------
HEALTH CARE (DRUGS/PHARMACEUTICALS) (4.1%)
Eli Lilly & Co. ...................... 12,800 1,278,400
Merck & Co., Inc. .................... 20,700 1,586,138
Pfizer, Inc. ......................... 72,975 3,502,800
Pharmacia Corporation ................ 11,388 588,617
Schering Plough ...................... 13,300 671,650
------------
7,627,605
------------
HEALTH CARE (HOSPITAL MANAGEMENT) (0.1%)
HCA - The Healthcare Corp. ........... 4,900 148,838
Tenet Healthcare Corp. + ............. 3,100 83,700
------------
232,538
------------
HEALTH CARE (MANAGED CARE) (0.1%)
UnitedHealth Group Incorporated ...... 1,500 128,625
------------
HEALTH CARE (MEDICAL PRODUCTS/SUPPLIES) (0.7%)
Bard (C.R.) Inc. ..................... 700 33,688
Bausch & Lomb, Inc. .................. 700 54,163
Baxter International, Inc. ........... 2,500 175,781
Becton, Dickinson & Co. .............. 2,300 65,981
Biomet, Inc. ......................... 900 34,594
Guidant Corp. + ...................... 2,800 138,600
Medtronic, Inc. + .................... 10,900 542,956
PE Corp-PE Biosystems Group .......... 2,300 151,512
Saint Jude Medical, Inc. + ........... 1,200 55,050
------------
1,252,325
------------
</TABLE>
164 See Notes to Portfolio of Investments.
<PAGE>
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
-------------- ------------
<S> <C> <C>
HEALTH CARE DIVERSIFIED (2.1%)
Abbott Laboratories .................. 14,100 $ 628,331
Allergan, Inc. ....................... 1,100 81,950
American Home Products Corp. ......... 6,100 358,375
Bristol-Myers Squibb Co. ............. 17,600 1,025,200
Johnson & Johnson .................... 16,400 1,670,750
Mallinckrodt Inc. .................... 700 30,406
------------
3,795,012
------------
HOMEBUILDING (0.0%)
Kaufman & Broad Home Corp. ........... 300 5,944
Pulte Corp. .......................... 400 8,650
------------
14,594
------------
HOUSEHOLD FURNISHINGS & APPLIANCES (0.1%)
Leggett & Platt, Inc. ................ 1,700 28,050
Maytag Corp. ......................... 400 14,750
Whirlpool Corp. ...................... 1,200 55,950
------------
98,750
------------
HOUSEHOLD PRODUCTS (NON-DURABLE) (0.6%)
Clorox Co. ........................... 2,100 94,106
Colgate-Palmolive Co. ................ 5,100 305,363
Fort James Corp. ..................... 1,200 27,750
Kimberly-Clark Corp. ................. 4,800 275,400
Procter & Gamble Co. ................. 5,800 332,050
------------
1,034,669
------------
HOUSEWARES (0.1%)
Fortune Brands, Inc. ................. 1,600 36,900
Newell Rubbermaid Inc. ............... 2,300 59,225
Tupperware Corp. ..................... 800 17,600
------------
113,725
------------
INSURANCE (LIFE/HEALTH) (0.2%)
AFLAC, Inc. .......................... 2,700 124,031
American General Corp. ............... 2,100 128,100
Jefferson-Pilot Corp. ................ 900 50,794
Lincoln National Corp. ............... 2,000 72,250
Torchmark Corp. ...................... 1,200 29,625
------------
404,800
------------
INSURANCE (MULTI-LINE) (1.4%)
American International Group, Inc. ... 19,000 2,232,500
CIGNA Corp. .......................... 2,400 224,400
Hartford Financial Services Group,
Inc.................................. 2,800 156,625
Loews Corp. .......................... 1,000 60,000
------------
2,673,525
------------
INSURANCE (PROPERTY/CASUALTY) (0.2%)
Allstate Corp. (The) ................. 6,900 153,525
Chubb Corp. .......................... 800 49,200
Cincinnati Financial Corp. ........... 1,700 53,444
MBIA, Inc. ........................... 600 28,913
MGIC Investment Corp. ................ 1,200 54,600
St. Paul Co., Inc. ................... 2,700 92,137
------------
431,819
------------
INSURANCE BROKERS (0.2%)
Aon Corp. ............................ 2,400 74,550
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
-------------- ------------
<S> <C> <C>
INSURANCE BROKERS (CONTINUED)
Marsh & McLennan Co., Inc. ........... 2,300 $ 240,206
------------
314,756
------------
INVESTMENT BANKING/BROKERAGE (0.7%)
Bear Stearns Co., Inc. (The) ......... 1,400 58,275
Charles Schwab Corp. ................. 12,050 405,181
Lehman Brothers Holdings Inc. ........ 1,800 170,213
Merrill Lynch & Co., Inc. ............ 4,500 517,500
Paine Webber Group Inc. .............. 1,600 72,800
------------
1,223,969
------------
INVESTMENT MANAGEMENT (0.1%)
Franklin Resources, Inc. ............. 2,200 66,825
T. Rowe Price & Associates ........... 1,200 51,000
------------
117,825
------------
LEISURE TIME (PRODUCTS) (0.1%)
Brunswick Corp. ...................... 900 14,906
Harley-Davidson, Inc. ................ 2,500 96,250
Hasbro, Inc. ......................... 1,800 27,113
Mattel, Inc. ......................... 4,000 52,750
------------
191,019
------------
LODGING - HOTELS (0.1%)
Carnival Corp. ....................... 2,900 56,550
Hilton Hotels Corp. .................. 4,000 37,500
Marriott International, Inc. ......... 2,400 86,550
------------
180,600
------------
MACHINERY - DIVERSIFIED (0.2%)
Caterpillar, Inc. .................... 3,200 108,400
Deere & Co. .......................... 3,400 125,800
Dover Corp. .......................... 2,500 101,406
Ingersoll-Rand Co. ................... 1,400 56,350
Timken Co. ........................... 700 13,038
------------
404,994
------------
MANUFACTURING (DIVERSIFIED) (1.0%)
Danaher Corp. ........................ 1,400 69,213
Eaton Corp. .......................... 600 40,200
Honeywell International Inc. ......... 7,300 245,919
Illinois Tool Works, Inc. ............ 2,600 148,200
ITT Industries, Inc. ................. 1,000 30,375
Johnson Controls, Inc. ............... 1,300 66,706
Minnesota Mining and Manufacturing Co. 3,700 305,250
National Service Industries, Inc. .... 400 7,800
Parker-Hannifin Corp. ................ 1,400 47,950
PPG Industries Inc. .................. 2,200 97,487
Textron, Inc. ........................ 1,400 76,038
Thermo Electron Corp. + .............. 1,300 27,381
Tyco International Ltd. .............. 15,400 729,575
------------
1,892,094
------------
MANUFACTURING (SPECIALIZED) (0.2%)
Avery Dennison Corp. ................. 1,100 73,837
Briggs & Stratton Corp. .............. 200 6,850
Millipore Corp. ...................... 500 37,688
Pall Corp. ........................... 1,300 24,050
</TABLE>
See Notes to Portfolio of Investments. 165
<PAGE>
AETNA GET FUND
PORTFOLIO OF INVESTMENTS - JUNE 30, 2000 (UNAUDITED)
SERIES H (CONTINUED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
-------------- ------------
<S> <C> <C>
MANUFACTURING (SPECIALIZED) (CONTINUED)
Sealed Air Corp. + ................... 800 $ 41,900
United Technologies Corp. ............ 4,100 241,387
------------
425,712
------------
MISCELLANEOUS METALS (0.1%)
Barrick Gold Corp. ................... 3,700 67,294
Inco Ltd. + .......................... 3,100 47,663
Placer Dome, Inc. .................... 3,300 31,556
------------
146,513
------------
NATURAL GAS (DISTRIBUTION - PIPE LINE) (0.5%)
Coastal Corp. (The) .................. 2,600 158,275
Columbia Energy Group ................ 800 52,500
El Paso Energy Corp. ................. 2,100 106,969
Enron Corp. .......................... 6,700 432,150
NICOR, Inc. .......................... 400 13,050
People's Energy Corp. ................ 200 6,475
Sempra Energy ........................ 2,500 42,500
Williams Co., Inc. (The) ............. 1,900 79,206
------------
891,125
------------
OFFICE EQUIPMENT & SUPPLIES (0.0%)
Pitney Bowes, Inc. ................... 1,200 48,000
------------
OIL (0.7%)
Royal Dutch Petroleum Co. ............ 20,000 1,231,250
------------
OIL & GAS (DRILLING & EQUIPMENT) (0.1%)
Baker Hughes Inc. .................... 3,200 102,400
Rowan Co., Inc. + .................... 1,200 36,450
------------
138,850
------------
OIL & GAS (EXPLORATION/PRODUCTION) (0.3%)
Anadarko Petroleum Corp. ............. 1,500 73,969
Apache Corp. ......................... 1,400 82,338
Burlington Resources, Inc. ........... 2,200 84,150
Kerr-McGee Corp. ..................... 1,600 94,300
Union Pacific Resources Group Inc. ... 2,600 57,200
Unocal Corp. ......................... 3,700 122,562
------------
514,519
------------
OIL & GAS (REFINING & MARKETING) (0.1%)
Ashland Oil, Inc. .................... 800 28,050
Sunoco Inc. .......................... 1,300 38,269
Tosco Corp. .......................... 2,000 56,625
------------
122,944
------------
OIL (DOMESTIC INTEGRATED) (0.3%)
Amerada Hess Corp. ................... 1,500 92,625
Conoco Inc. .......................... 5,300 130,181
Occidental Petroleum Corp. ........... 5,500 115,844
Phillips Petroleum Co. ............... 2,800 141,925
USX-Marathon Group ................... 4,000 100,250
------------
580,825
------------
OIL (INTERNATIONAL INTEGRATED) (2.3%)
Chevron Corp. ........................ 6,000 508,875
Exxon Mobil Corp. .................... 42,500 3,336,250
Texaco, Inc. ......................... 8,000 426,000
------------
4,271,125
------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
-------------- ------------
<S> <C> <C>
PAPER & FOREST PRODUCTS (0.2%)
Boise Cascade Corp. .................. 800 $ 20,700
Georgia-Pacific Corp. ................ 1,700 44,625
International Paper Co. .............. 4,266 127,175
Louisiana-Pacific Corp. .............. 1,300 14,138
Mead Corp. ........................... 1,000 25,250
Potlatch Corp. ....................... 300 9,938
Westvaco Corp. ....................... 1,000 24,812
Weyerhaeuser Co. ..................... 2,900 124,700
Willamette Industries, Inc. .......... 1,500 40,875
------------
432,213
------------
PERSONAL CARE (0.2%)
Alberto-Culver Co. ................... 700 21,394
Avon Products, Inc. .................. 1,100 48,950
Gillette Co. ......................... 9,600 335,400
------------
405,744
------------
PHOTOGRAPHY/IMAGING (0.1%)
Eastman Kodak Co. .................... 3,000 178,500
Polaroid Corp. ....................... 200 3,613
Xerox Corp. .......................... 3,100 64,325
------------
246,438
------------
POWER PRODUCERS (INDEPENDENT) (0.1%)
AES Corp. + .......................... 3,600 164,250
------------
PUBLISHING (0.1%)
Harcourt General, Inc. ............... 500 27,188
McGraw-Hill Co., Inc. ................ 1,700 91,800
Meredith Corp. ....................... 300 10,125
------------
129,113
------------
PUBLISHING - NEWSPAPERS (0.3%)
Dow Jones & Co., Inc. ................ 1,200 87,900
Gannett Co., Inc. .................... 2,400 143,550
Knight-Ridder, Inc. .................. 800 42,550
New York Times Co. ................... 1,500 59,250
Times Mirror Company (2) ............. 600 54,315
Tribune Co. .......................... 2800 98000
------------
485,565
------------
RAILROADS (0.2%)
Burlington Northern Santa Fe Corp. ... 4,500 103,219
Kansas City Southern Industries, Inc. 1,300 115,294
Union Pacific Corp. .................. 2,200 81,812
------------
300,325
------------
RESTAURANTS (0.3%)
Darden Restaurants, Inc. ............. 1,200 19,500
McDonald's Corp. ..................... 12,400 408,425
Tricon Global Restaurants, Inc. + .... 1,500 42,375
Wendy's International, Inc. .......... 1,200 21,375
------------
491,675
------------
RETAIL (BUILDING SUPPLIES) (0.9%)
Home Depot, Inc. ..................... 28,300 1,413,231
Lowe's Co., Inc. ..................... 5,600 229,950
Sherwin-Williams Co. ................. 1,500 31,781
------------
1,674,962
------------
</TABLE>
166 See Notes to Portfolio of Investments.
<PAGE>
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
-------------- ------------
<S> <C> <C>
RETAIL (COMPUTERS & ELECTRONICS) (0.2%)
Best Buy Co., Inc. + ................. 2,400 $ 151,800
Circuit City Stores, Inc. ............ 2,700 89,606
RadioShack Corporation ............... 2,000 94,750
------------
336,156
------------
RETAIL (DISCOUNTERS) (0.0%)
Dollar General Corp. ................. 2,750 53,625
------------
RETAIL (DEPARTMENT STORES) (0.3%)
Federated Department Stores, Inc. + .. 2,700 91,125
Kohl's Corp. + ....................... 3,800 211,375
May Department Stores Co. ............ 1,300 31,200
Nordstrom, Inc. ...................... 1,300 31,363
Sears, Roebuck & Co. ................. 3,100 101,137
------------
466,200
------------
RETAIL (GENERAL MERCHANDISE CHAIN) (1.9%)
Costco Wholesale Corp. + ............. 1,900 62,700
Target Corporation ................... 5,300 307,400
Wal-Mart Stores, Inc. ................ 54,800 3,157,850
------------
3,527,950
------------
RETAIL (SPECIALITY) (0.1%)
AutoZone, Inc. + ..................... 1,500 33,000
Bed Bath & Beyond, Inc. + ............ 1,900 68,875
Office Depot, Inc. + ................. 3,200 20,000
Staples, Inc. + ...................... 2,000 30,750
------------
152,625
------------
RETAIL SPECIALITY - APPAREL (0.2%)
Gap, Inc. ............................ 7,400 231,250
The Limited, Inc. .................... 6,200 134,075
TJX Companies, Inc. .................. 3,400 63,750
------------
429,075
------------
RETAIL STORES - DRUG STORE (0.2%)
CVS Corp. ............................ 3,300 132,000
Longs Drug Stores, Inc. .............. 300 6,525
Walgreen Co. ......................... 8,600 276,812
------------
415,337
------------
RETAIL STORES - FOOD CHAINS (0.1%)
Albertson's, Inc. .................... 1,800 59,850
Safeway, Inc. + ...................... 4,400 198,550
------------
258,400
------------
SAVINGS & LOAN COMPANIES (0.1%)
Golden West Financial Corp. .......... 1,700 69,381
Washington Mutual Fin. Corp. ......... 2,400 69,300
------------
138,681
------------
SERVICES (ADVERTISING/MARKETING) (0.2%)
Interpublic Group of Co., Inc. (The) . 2,400 103,200
Omnicom Group, Inc. .................. 1,600 142,500
Young And Rubicam, Inc. + ............ 700 40,031
------------
285,731
------------
SERVICES (COMMERCIAL & CONSUMER) (0.2%)
Cendant Corp. + ...................... 5,800 81,200
Convergys Corp. + .................... 1,400 72,625
Dun & Bradstreet Corp. ............... 1,600 45,800
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
-------------- ------------
<S> <C> <C>
SERVICES (COMMERCIAL & CONSUMER) (CONTINUED)
H&R Block, Inc. ...................... 900 $ 29,137
IMS Health, Inc. ..................... 3,000 54,000
------------
282,762
------------
SERVICES (COMPUTER SYSTEMS) (0.2%)
Computer Sciences Corp. + ............ 1,500 112,031
Electronic Data Systems Corp. ........ 4,500 185,625
Sabre Holdings Corporation ........... 939 26,762
Sapient Corp. + ...................... 800 85,550
------------
409,968
------------
SERVICES (DATA PROCESSING) (0.4%)
Automatic Data Processing, Inc. ...... 5,900 316,019
Equifax, Inc. ........................ 1,300 34,125
First Data Corp. ..................... 3,800 188,575
Paychex, Inc. ........................ 3,450 144,900
------------
683,619
------------
SPECIALITY PRINTING (0.0%)
Deluxe Corp. ......................... 600 14,138
RR Donnelley & Sons Co. .............. 1,200 27,075
------------
41,213
------------
STEEL (0.0%)
Nucor Corp. .......................... 800 26,550
USX-US Steel Group, Inc. ............. 1,400 25,988
Worthington Industries ............... 400 4,200
------------
56,738
------------
TELEPHONE (2.1%)
ALLTEL Corp. ......................... 2,900 179,619
Bell Atlantic Corp. .................. 14,100 716,456
BellSouth Corp. ...................... 17,200 733,150
CenturyTel, Inc. ..................... 700 20,125
GTE Corp. ............................ 8,800 547,800
SBC Communications, Inc. ............. 30,200 1,306,150
U.S. WEST, Inc. ...................... 4,800 411,600
------------
3,914,900
------------
TELEPHONE LONG DISTANCE (1.2%)
AT&T Corp. ........................... 16,900 534,463
Sprint Corp. ......................... 8,000 408,000
WorldCom, Inc. ....................... 25,500 1,169,813
------------
2,112,276
------------
TEXTILES (APPAREL) (0.0%)
Liz Claiborne, Inc. .................. 800 28,200
Russell Corporation .................. 300 6,000
VF Corp. ............................. 1,200 28,575
------------
62,775
------------
TEXTILES (HOME FURNISHINGS) (0.0%)
Springs Industries, Inc. - Class A ... 100 3,219
------------
TOBACCO (0.3%)
Philip Morris Co., Inc. .............. 21,400 568,437
UST, Inc. ............................ 1,400 20,563
------------
589,000
------------
TRUCKERS (0.0%)
Ryder System, Inc. ................... 700 13,256
------------
</TABLE>
See Notes to Portfolio of Investments. 167
<PAGE>
AETNA GET FUND
PORTFOLIO OF INVESTMENTS - JUNE 30, 2000 (UNAUDITED)
SERIES H (CONTINUED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
-------------- ------------
<S> <C> <C>
TRUCKS & PARTS (0.0%)
Cummins Engine Co., Inc. ............. 700 $ 19,075
Navistar International Corp. + ....... 700 21,744
PACCAR, Inc. ......................... 800 31,750
------------
72,569
------------
TOTAL COMMON STOCKS (COST $122,218,291) 126,614,249
------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
--------------
<S> <C> <C>
LONG-TERM BONDS AND NOTES (29.1%)
Federal National Mortgage Association
- Strip, Zero Coupon, 01/15/05 ....... $ 13,022,000 9,573,136
Federal National Mortgage Association
- Strip, Zero Coupon, 02/07/05 ....... 5,005,000 3,662,629
Federal National Mortgage Association
- Strip, Zero Coupon, 02/15/05 ....... 5,588,000 4,157,807
U.S. Treasury Note, Zero Coupon,
01/15/05.............................. 10,302,000 7,708,781
U.S. Treasury Note, Zero Coupon,
02/15/05.............................. 13,454,000 10,098,438
U.S. Treasury Note, Zero Coupon,
02/15/05.............................. 24,794,000 18,701,866
------------
TOTAL LONG-TERM BONDS AND NOTES (COST
$52,907,716) 53,902,657
------------
SHORT-TERM INVESTMENTS (2.4%)
Federal Home Loan Mortgage
Corp., 6.57%, 07/03/00................ 3,897,000 3,897,000
U.S. Treasury Bill, 6.02%, 11/09/00 @.. 200,000 195,805
U.S. Treasury Bill, 6.14%, 11/09/00 @.. 100,000 97,903
U.S. Treasury Bill, 6.18%, 11/09/00 @.. 200,000 195,806
------------
TOTAL SHORT-TERM INVESTMENTS
(COST $4,386,058) 4,386,514
------------
TOTAL INVESTMENTS
(COST $179,512,065)(A) 184,903,420
OTHER ASSETS LESS LIABILITIES 8,159
------------
TOTAL NET ASSETS $184,911,579
------------
NOTES TO PORTFOLIO OF INVESTMENTS
(a) The cost of investments for federal income tax purposes amounts to
$183,413,132. Unrealized gains and losses, based on identified tax cost at
June 30, 2000, are as follows:
Unrealized gains............................ $ 7,589,848
Unrealized losses........................... (6,099,560)
------------
Net unrealized gain........................ $ 1,490,288
============
</TABLE>
Information concerning open futures contracts at June 30, 2000 is shown below:
<TABLE>
<CAPTION>
NO. OF NOTIONAL EXPIRATION UNREALIZED
CONTRACTS VALUE DATE GAIN/(LOSS)
----------- ------------ ------------ ------------
LONG CONTRACTS
-------------------
<S> <C> <C> <C> <C>
S&P 500 Index Futures... 10 $3,670,250 Sep 00 $ (62,644)
========== ==========
</TABLE>
+ Non-income producing security.
(a) Security pledged to cover initial margin requirements on open futures
contracts at June 30, 2000.
(1) AT&T Corp. acquired MediaOne Group on June 15, 2000. As of June 30, 2000 the
acquisition was not completed, therefore, the market value of MediaOne Group
on June 30, 2000 reflects the fair value of the AT&T Corp. offer.
(2) Tribune Co. acquired Times Mirror Co. on June 12, 2000. As of June 30, 2000
the acquisition was not completed, therefore, the market value of Times
Mirror Co. on June 30, 2000 reflects the fair value of the Tribune Co.
offer.
Category percentages are based on net assets.
168 See Notes to Financial Statements.
<PAGE>
AETNA GET FUND
PORTFOLIO OF INVESTMENTS - JUNE 30, 2000 (UNAUDITED)
SERIES I
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------- -------------
<S> <C> <C>
COMMON STOCKS (62.0%)
AEROSPACE/DEFENSE (0.3%)
Boeing Co. ............................ 3,600 $ 150,525
General Dynamics Corp. ................ 700 36,575
Goodrich (B.F.) Co. ................... 200 6,813
Lockheed Martin Corp. ................. 1,700 42,181
Northrop Grumman Corp. ................ 500 33,125
-------------
269,219
-------------
AGRICULTURE (0.0%)
Archer-Daniels-Midland Co. ............ 1,500 14,719
-------------
AIR FREIGHT (0.1%)
FedEx Corporation + ................... 1,400 53,200
-------------
AIRLINES (0.1%)
AMR Corp. + ........................... 1,100 29,081
Delta Air Lines, Inc. ................. 600 30,338
Southwest Airlines Co. ................ 2,200 41,662
-------------
101,081
-------------
ALUMINUM (0.2%)
Alcan Aluminum Ltd. ................... 1,600 49,600
Alcoa Inc. ............................ 3,600 104,400
-------------
154,000
-------------
AUTO PARTS & EQUIPMENT (0.1%)
Cooper Tire & Rubber Co. .............. 100 1,113
Dana Corp. ............................ 800 16,950
Delphi Automotive Systems Corp. ....... 4,000 58,250
Genuine Parts Co. ..................... 600 12,000
Goodyear Tire & Rubber Co. (The) ...... 800 16,000
Snap-On, Inc. ......................... 300 7,988
TRW, Inc. ............................. 500 21,687
Visteon Corp. ......................... 851 10,319
-------------
144,307
-------------
AUTOMOBILES (0.5%)
Ford Motor Co. ........................ 6,500 279,500
General Motors Corp. + ................ 4,500 261,281
-------------
540,781
-------------
BANKS (MAJOR REGIONAL) (1.4%)
Bank of New York Co., Inc. ............ 3,400 158,100
BB&T Corp. ............................ 1,600 38,200
Comerica, Inc. ........................ 700 31,412
Fifth Third Bancorp ................... 1,500 94,875
Firstar Corp. ......................... 4,200 88,462
Fleet Boston Financial Corp. .......... 6,400 217,600
KeyCorp ............................... 1,000 17,625
Mellon Financial Corp. ................ 2,200 80,162
Northern Trust Corp. .................. 1,300 84,581
Old Kent Financial Corp. .............. 630 16,853
PNC Bank Corp. ........................ 1,400 65,625
SouthTrust Corp. ...................... 1,100 24,887
State Street Corp. .................... 700 74,244
Summit Bancorp ........................ 700 17,238
Suntrust Banks, Inc. .................. 1,500 68,531
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------- -------------
<S> <C> <C>
BANKS (MAJOR REGIONAL) (CONTINUED)
Synovus Financial Corp. ............... 1,100 $ 19,388
Union Planters Co. .................... 600 16,763
Wells Fargo & Co. ..................... 7,000 271,250
-------------
1,385,796
-------------
BANKS (MONEY CENTER) (0.7%)
Bank of America Corp. ................. 7,200 309,600
Chase Manhattan Corp. ................. 5,300 244,132
First Union Corp. ..................... 4,100 101,731
J.P. Morgan & Co. ..................... 800 88,100
-------------
743,563
-------------
BEVERAGES (NON-ALCOHOLIC) (0.6%)
Coca-Cola Co. (The) ................... 10,300 591,606
-------------
BEVERAGES (ALCOHOLIC) (0.2%)
Anheuser-Busch Co., Inc. .............. 2,500 186,719
Brown-Forman Corp. + .................. 200 10,750
Coors (Adolph) Co. .................... 200 12,100
-------------
209,569
-------------
BIOTECHNOLOGY (0.4%)
Amgen, Inc. + ......................... 4,300 302,075
Biogen, Inc. + ........................ 600 38,700
MedImmune, Inc. + ..................... 900 66,600
-------------
407,375
-------------
BROADCASTING (TV, RADIO & CABLE) (0.3%)
Clear Channel Communications, Inc. + .. 1,400 105,000
Mediaone Group, Inc. + (1) ............ 2,600 172,416
-------------
277,416
-------------
CELLULAR/WIRELESS TELECOMMUNICATIONS (0.4%)
Nextel Communications, Inc. + ......... 3,200 195,800
Sprint PCS + .......................... 3,700 220,150
-------------
415,950
-------------
CHEMICALS (0.4%)
Air Products and Chemicals, Inc. ...... 900 27,731
Dow Chemical Co. ...................... 3,800 114,712
Du Pont (E.I.) de Nemours ............. 4,400 192,500
Eastman Chemical Co. .................. 600 28,650
Praxair, Inc. ......................... 600 22,463
Union Carbide Corp. ................... 600 29,700
-------------
415,756
-------------
CHEMICALS - DIVERSIFIED (0.0%)
Engelhard Corp. ....................... 300 5,119
FMC Corp. + ........................... 100 5,800
-------------
10,919
-------------
CHEMICALS - SPECIALITY (0.1%)
Ecolab, Inc. .......................... 600 23,437
Grace (W.R.) & Co. + .................. 200 2,425
International Flavors & Fragrances,
Inc. ................................. 500 15,094
Sigma-Aldrich Corp. ................... 500 14,625
-------------
55,581
-------------
COMMUNICATIONS EQUIPMENT (3.3%)
ADC Telecommunications, Inc. + ........ 2,200 184,525
Andrew Corp. + ........................ 500 16,781
</TABLE>
See Notes to Portfolio of Investments. 169
<PAGE>
AETNA GET FUND
PORTFOLIO OF INVESTMENTS - JUNE 30, 2000 (UNAUDITED)
SERIES I (CONTINUED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------- -------------
<S> <C> <C>
COMMUNICATIONS EQUIPMENT (CONTINUED)
Comverse Technology, Inc. + ........... 1,100 $ 102,300
Corning, Inc. ......................... 1,900 512,763
Lucent Technologies, Inc. ............. 7,000 414,750
Motorola, Inc. ........................ 9,300 270,281
Nortel Networks Corp. ................. 20,500 1,399,125
QUALCOMM Inc. + ....................... 3,100 186,000
Scientific-Atlanta, Inc. .............. 1,100 81,950
Tellabs, Inc. + ....................... 1,700 116,344
-------------
3,284,819
-------------
COMPUTERS (HARDWARE) (3.5%)
Apple Computer, Inc. + ................ 2,600 136,175
Compaq Computer Corp. ................. 7,200 184,050
Dell Computer Corp. + ................. 10,800 532,575
Gateway, Inc. + ....................... 1,500 85,125
Hewlett-Packard Co. ................... 5,700 711,787
International Business Machines Corp. . 7,600 832,675
NCR Corp. + ........................... 400 15,575
Sun Microsystems, Inc. + .............. 11,200 1,018,500
-------------
3,516,462
-------------
COMPUTERS (NETWORKING) (3.3%)
3Com Corp. + .......................... 800 46,100
Cisco Systems, Inc. + ................. 49,000 3,114,562
Network Appliance, Inc. + ............. 2,100 169,050
-------------
3,329,712
-------------
COMPUTERS (PERIPHERALS) (1.1%)
EMC Corp. + ........................... 12,200 938,637
Lexmark International Group, Inc. + ... 600 40,350
Seagate Technology, Inc. + ............ 1,300 71,500
-------------
1,050,487
-------------
COMPUTERS SOFTWARE/SERVICES (5.3%)
Adobe Systems, Inc. ................... 700 91,000
America Online, Inc. + ................ 12,700 669,925
Autodesk, Inc. ........................ 300 10,406
BMC Software, Inc. + .................. 1,100 40,133
Citrix Systems, Inc. + ................ 1,100 20,831
Computer Associates International, Inc. 2,400 122,850
Mercury Interactive Corp. + ........... 400 38,700
Microsoft Corp. + ..................... 21,700 1,736,000
Oracle Corp. + ........................ 19,900 1,672,844
Peoplesoft, Inc. + .................... 1,200 20,100
Siebel Systems, Inc. + ................ 1,100 179,919
Unisys Corp. + ........................ 1,500 21,844
VERITAS Software Corp. + .............. 2,800 316,444
Yahoo! Inc. + ......................... 2,300 284,912
-------------
5,225,908
-------------
CONSTRUCTION (0.0%)
Vulcan Materials Co. .................. 500 21,344
-------------
CONSUMER (JEWELRY/NOVELTIES) (0.0%)
American Greeting Corp. ............... 200 3,800
-------------
CONSUMER FINANCE (0.3%)
Capital One Financial Corp. ........... 800 35,700
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------- -------------
<S> <C> <C>
CONSUMER FINANCE (CONTINUED)
Countrywide Credit Industries, Inc. ... 500 $ 15,156
Household International, Inc. ......... 2,000 83,125
MBNA Corp. ............................ 3,400 92,225
Providian Financial Corp. ............. 900 81,000
-------------
307,206
-------------
CONTAINERS - METAL & GLASS (0.0%)
Ball Corp. ............................ 100 3,219
Owens-Illinois, Inc. + ................ 700 8,181
-------------
11,400
-------------
CONTAINERS/PACKAGING (PAPER) (0.0%)
Bemis Co., Inc. ....................... 300 10,088
Pactiv Corp. + ........................ 800 6,300
Temple-Inland Inc. .................... 400 16,800
-------------
33,188
-------------
DISTRIBUTORS (FOOD & HEALTH) (0.2%)
Cardinal Health, Inc. ................. 1,200 88,800
SUPERVALU, Inc. ....................... 600 11,438
Sysco Corp. ........................... 1,600 67,400
-------------
167,638
-------------
ELECTRIC COMPANIES (0.8%)
Ameren Corp. .......................... 500 16,875
American Electric Power Co. ........... 940 27,848
Cinergy Corp. ......................... 700 17,806
Consolidated Edison, Inc. ............. 900 26,663
Constellation Energy Group ............ 600 19,538
CP&L, Inc. ............................ 700 22,356
Dominion Resources, Inc. .............. 1,300 55,737
DTE Energy Co. ........................ 900 27,506
Duke Energy Corp. ..................... 1,500 84,562
Edison International Inc. ............. 1,500 30,750
Entergy Corp. ......................... 1,500 40,781
FirstEnergy Corp. ..................... 1,000 23,375
Florida Progress Corp. ................ 500 23,438
FPL Group, Inc. ....................... 800 39,600
GPU, Inc. ............................. 800 21,650
New Century Energies, Inc. ............ 500 15,000
Peco Energy Co. ....................... 900 36,281
PG&E Corp. ............................ 1,800 44,325
Pinnacle West Capital Corp. ........... 300 10,163
PPL Corporation ....................... 1,100 24,131
Public Service Enterprise Group, Inc. . 900 31,162
Reliant Energy Inc. ................... 1,200 35,475
Southern Co. .......................... 3,200 74,600
TXU Corp. ............................. 1,300 38,350
Unicom Corp. .......................... 900 34,819
-------------
822,791
-------------
ELECTRICAL EQUIPMENT (3.2%)
Cooper Industries, Inc. ............... 500 16,281
Emerson Electric Co. .................. 1,900 114,712
General Electric Co. .................. 56,300 2,983,900
Molex, Inc. ........................... 1,100 52,938
</TABLE>
170 See Notes to Portfolio of Investments.
<PAGE>
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------- -------------
<S> <C> <C>
ELECTRICAL EQUIPMENT (CONTINUED)
Rockwell International Corp. .......... 800 $ 25,200
-------------
3,193,031
-------------
ELECTRONICS (INSTRUMENTS) (0.2%)
Agilent Technologies, Inc. ............ 1,900 140,125
Perkin-Elmer Inc. + ................... 100 6,613
Tektronix, Inc. ....................... 200 14,800
-------------
161,538
-------------
ELECTRONICS (SEMICONDUCTORS) (5.4%)
Adaptec, Inc. + ....................... 800 18,200
Advanced Micro Devices Corp. + ........ 1,200 92,700
Altera Corp. + ........................ 1,400 142,712
Analog Devices, Inc. + ................ 2,500 190,000
Conexant Systems, Inc. + .............. 1,400 68,075
Intel Corp. ........................... 23,600 3,155,025
Linear Technology Corp. ............... 2,100 134,269
LSI Logic Corp. + ..................... 2,100 113,662
Maxim Integrated Products, Inc. + ..... 1,600 108,700
Micron Technology, Inc. + ............. 3,900 343,444
National Semiconductor Corp. + ........ 1,200 68,100
Texas Instruments, Inc. ............... 11,500 789,906
Xilinx, Inc. + ........................ 2,300 189,894
-------------
5,414,687
-------------
ENGINEERING & CONSTRUCTION (0.0%)
Fluor Corp. ........................... 400 12,650
-------------
ENTERTAINMENT (1.2%)
Time Warner, Inc. ..................... 5,600 425,600
Viacom, Inc. + ........................ 6,400 436,400
Walt Disney Co. (The) + ............... 8,600 333,787
-------------
1,195,787
-------------
EQUIPMENT (SEMICONDUCTORS) (0.7%)
Applied Materials, Inc. + ............. 5,700 516,563
KLA Instruments Corp. + ............... 1,300 76,131
Teradyne, Inc. + ...................... 1,400 102,900
-------------
695,594
-------------
FINANCIAL (DIVERSIFIED) (2.8%)
American Express Co. .................. 5,700 297,112
Associates First Capital Corp. ........ 3,000 66,938
Citigroup Inc. ........................ 23,800 1,433,950
Federal National Mortgage Association . 5,600 292,250
Freddie Mac Corp. ..................... 3,100 125,550
Morgan Stanley Dean Witter & Co. ...... 6,200 516,150
SLM Holding Corp. ..................... 700 26,206
-------------
2,758,156
-------------
FOODS (0.9%)
Bestfoods ............................. 1,100 76,175
Conagra, Inc. ......................... 2,000 38,125
General Mills, Inc. ................... 1,300 49,725
Heinz (H.J.) Co. ...................... 1,700 74,375
Hershey Foods Corp. ................... 500 24,250
Kellogg Co. ........................... 1,700 50,575
PepsiCo, Inc. ......................... 5,900 262,181
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------- -------------
<S> <C> <C>
FOODS (CONTINUED)
Quaker Oats Co. ....................... 600 $ 45,075
Ralston-Ralston Purina Group .......... 1,300 25,919
Sara Lee Corp. ........................ 3,800 73,387
Unilever NV ........................... 2,400 103,200
Wrigley (Wm.) Jr. Co. + ............... 400 32,075
-------------
855,062
-------------
FOOTWEAR (0.0%)
Nike, Inc. ............................ 800 31,850
Reebok International Ltd. + ........... 200 3,188
-------------
35,038
-------------
GAMING, LOTTERY, & PARI-MUTUEL (0.0%)
Harrah's Entertainment, Inc. + ........ 600 12,563
-------------
HARDWARE & TOOLS (0.0%)
Black & Decker Corp. .................. 400 15,725
Stanley Works (The) ................... 400 9,500
-------------
25,225
-------------
HEALTH CARE (DRUGS) (0.0%)
Alza Corp. + .......................... 400 23,650
Watson Pharmaceuticals, Inc. + ........ 400 21,500
-------------
45,150
-------------
HEALTH CARE (DRUGS/PHARMACEUTICALS) (4.1%)
Eli Lilly & Co. ....................... 6,300 629,213
Merck & Co., Inc. ..................... 9,700 743,262
Pfizer, Inc. .......................... 43,850 2,104,800
Pharmacia Corporation ................. 5,600 289,450
Schering Plough ....................... 6,200 313,100
-------------
4,079,825
-------------
HEALTH CARE (HOSPITAL MANAGEMENT) (0.1%)
HCA - The Healthcare Corp. ............ 2,200 66,825
Tenet Healthcare Corp. + .............. 1,800 48,600
-------------
115,425
-------------
HEALTH CARE (MANAGED CARE) (0.1%)
UnitedHealth Group Incorporated ....... 1,300 111,475
-------------
HEALTH CARE (MEDICAL PRODUCTS/SUPPLIES) (0.6%)
Bard (C.R.) Inc. ...................... 300 14,438
Bausch & Lomb, Inc. ................... 300 23,213
Baxter International, Inc. ............ 1,400 98,437
Becton, Dickinson & Co. ............... 1,100 31,556
Biomet, Inc. .......................... 400 15,375
Boston Scientific Corp. + ............. 1,800 39,487
Guidant Corp. + ....................... 1,300 64,350
Medtronic, Inc. + ..................... 5,100 254,044
PE Corp-PE Biosystems Group ........... 900 59,287
Saint Jude Medical, Inc. + ............ 100 4,588
-------------
604,775
-------------
HEALTH CARE (SPECIAL SERVICES) (0.0%)
HEALTHSOUTH Corp. + ................... 1,900 13,656
-------------
HEALTH CARE DIVERSIFIED (1.8%)
Abbott Laboratories ................... 6,700 298,569
Allergan, Inc. ........................ 800 59,600
American Home Products Corp. .......... 2,700 158,625
</TABLE>
See Notes to Portfolio of Investments. 171
<PAGE>
AETNA GET FUND
PORTFOLIO OF INVESTMENTS - JUNE 30, 2000 (UNAUDITED)
SERIES I (CONTINUED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------- -------------
<S> <C> <C>
HEALTH CARE DIVERSIFIED (CONTINUED)
Bristol-Myers Squibb Co. .............. 8,400 $ 489,300
Johnson & Johnson ..................... 7,600 774,250
Mallinckrodt Inc. ..................... 300 13,031
-------------
1,793,375
-------------
HOMEBUILDING (0.0%)
Centex Corp. .......................... 200 4,700
Kaufman & Broad Home Corp. ............ 100 1,981
Pulte Corp. ........................... 200 4,325
-------------
11,006
-------------
HOUSEHOLD FURNISHINGS & APPLIANCES (0.1%)
Leggett & Platt, Inc. ................. 800 13,200
Maytag Corp. .......................... 200 7,375
Whirlpool Corp. ....................... 600 27,975
-------------
48,550
-------------
HOUSEHOLD PRODUCTS (NON-DURABLE) (0.5%)
Clorox Co. ............................ 1,000 44,813
Colgate-Palmolive Co. ................. 2,700 161,662
Fort James Corp. ...................... 1,100 25,438
Kimberly-Clark Corp. .................. 2,300 131,962
Procter & Gamble Co. .................. 2,800 160,300
-------------
524,175
-------------
HOUSEWARES (0.1%)
Fortune Brands, Inc. .................. 700 16,144
Newell Rubbermaid Inc. ................ 1,100 28,325
Tupperware Corp. ...................... 400 8,800
-------------
53,269
-------------
INSURANCE (LIFE/HEALTH) (0.2%)
AFLAC, Inc. ........................... 1,300 59,719
American General Corp. ................ 1,200 73,200
Jefferson-Pilot Corp. ................. 600 33,862
Lincoln National Corp. ................ 900 32,512
Torchmark Corp. ....................... 600 14,813
-------------
214,106
-------------
INSURANCE (MULTI-LINE) (1.0%)
American International Group, Inc. .... 6,600 775,500
CIGNA Corp. ........................... 1,000 93,500
Hartford Financial Services Group, Inc. 1,100 61,531
Loews Corp. ........................... 500 30,000
-------------
960,531
-------------
INSURANCE (PROPERTY/CASUALTY) (0.2%)
Allstate Corp. (The) .................. 1,700 37,825
Chubb Corp. ........................... 800 49,200
Cincinnati Financial Corp. ............ 800 25,150
MBIA, Inc. ............................ 500 24,094
MGIC Investment Corp. ................. 800 36,400
St. Paul Co., Inc. .................... 1,100 37,537
-------------
210,206
-------------
INSURANCE BROKERS (0.2%)
Aon Corp. ............................. 1,100 34,169
Marsh & McLennan Co., Inc. ............ 1,100 114,881
-------------
149,050
-------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------- -------------
<S> <C> <C>
INVESTMENT BANKING/BROKERAGE (0.5%)
Bear Stearns Co., Inc. (The) .......... 900 $ 37,463
Charles Schwab Corp. .................. 2,600 87,425
Lehman Brothers Holdings Inc. ......... 900 85,106
Merrill Lynch & Co., Inc. ............. 2,100 241,500
Paine Webber Group Inc. ............... 700 31,850
-------------
483,344
-------------
INVESTMENT MANAGEMENT (0.1%)
Franklin Resources, Inc. .............. 1,000 30,375
T. Rowe Price & Associates ............ 600 25,500
-------------
55,875
-------------
LEISURE TIME (PRODUCTS) (0.1%)
Brunswick Corp. ....................... 400 6,625
Harley-Davidson, Inc. ................. 1,400 53,900
Hasbro, Inc. .......................... 900 13,556
-------------
74,081
-------------
LODGING - HOTELS (0.1%)
Carnival Corp. ........................ 1,300 25,350
Hilton Hotels Corp. ................... 1,500 14,063
Marriott International, Inc. .......... 600 21,637
-------------
61,050
-------------
MACHINERY - DIVERSIFIED (0.2%)
Caterpillar, Inc. ..................... 1,500 50,812
Deere & Co. ........................... 1,600 59,200
Dover Corp. ........................... 1,100 44,619
Ingersoll-Rand Co. .................... 900 36,225
Timken Co. ............................ 300 5,588
-------------
196,444
-------------
MANUFACTURING (DIVERSIFIED) (0.9%)
Crane Co. ............................. 200 4,863
Danaher Corp. ......................... 700 34,606
Eaton Corp. ........................... 300 20,100
Honeywell International Inc. .......... 3,400 114,537
Illinois Tool Works, Inc. ............. 1,400 79,800
ITT Industries, Inc. .................. 500 15,188
Johnson Controls, Inc. ................ 400 20,525
Minnesota Mining and Manufacturing Co. 1,800 148,500
National Service Industries, Inc. ..... 200 3,900
Parker-Hannifin Corp. ................. 700 23,975
PPG Industries Inc. ................... 1,000 44,312
Textron, Inc. ......................... 700 38,019
Tyco International Ltd. ............... 7,400 350,575
-------------
898,900
-------------
MANUFACTURING (SPECIALIZED) (0.2%)
Avery Dennison Corp. .................. 500 33,562
Briggs & Stratton Corp. ............... 100 3,425
Millipore Corp. ....................... 300 22,613
Pall Corp. ............................ 600 11,100
Sealed Air Corp. + .................... 400 20,950
United Technologies Corp. ............. 2,000 117,750
-------------
209,400
-------------
</TABLE>
172 See Notes to Portfolio of Investments.
<PAGE>
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------- -------------
<S> <C> <C>
MISCELLANEOUS METALS (0.1%)
Barrick Gold Corp. .................... 1,900 $ 34,557
Inco Ltd. + ........................... 1,400 21,525
Placer Dome, Inc. ..................... 1,300 12,431
-------------
68,513
-------------
NATURAL GAS (DISTRIBUTION - PIPE LINE) (0.5%)
Coastal Corp. (The) ................... 1,200 73,050
Columbia Energy Group ................. 400 26,250
Eastern Enterprises ................... 100 6,300
El Paso Energy Corp. .................. 1,000 50,937
Enron Corp. ........................... 3,300 212,850
NICOR, Inc. ........................... 200 6,525
ONEOK, Inc. ........................... 100 2,594
People's Energy Corp. ................. 100 3,238
Sempra Energy ......................... 1,200 20,400
Williams Co., Inc. (The) .............. 1,900 79,206
-------------
481,350
-------------
OFFICE EQUIPMENT & SUPPLIES (0.0%)
Pitney Bowes, Inc. .................... 600 24,000
-------------
OIL (0.7%)
Royal Dutch Petroleum Co. ............. 11,900 732,594
-------------
OIL & GAS (DRILLING & EQUIPMENT) (0.2%)
Baker Hughes Inc. ..................... 1,400 44,800
Rowan Co., Inc. + ..................... 700 21,262
Schlumberger, Ltd. .................... 1,200 89,550
Transocean Sedco Forex Inc. ........... 500 26,719
-------------
182,331
-------------
OIL & GAS (EXPLORATION/PRODUCTION) (0.3%)
Anadarko Petroleum Corp. .............. 600 29,588
Apache Corp. .......................... 700 41,169
Burlington Resources, Inc. ............ 1,000 38,250
Kerr-McGee Corp. ...................... 700 41,256
Union Pacific Resources Group Inc. .... 1,800 39,600
Unocal Corp. .......................... 1,800 59,625
-------------
249,488
-------------
OIL & GAS (REFINING & MARKETING) (0.1%)
Ashland Oil, Inc. ..................... 400 14,025
Sunoco Inc. ........................... 600 17,663
Tosco Corp. ........................... 900 25,481
-------------
57,169
-------------
OIL (DOMESTIC INTEGRATED) (0.3%)
Amerada Hess Corp. .................... 600 37,050
Conoco Inc. ........................... 2,700 66,319
Occidental Petroleum Corp. ............ 2,600 54,762
Phillips Petroleum Co. ................ 1,800 91,237
USX-Marathon Group .................... 1,800 45,113
-------------
294,481
-------------
OIL (INTERNATIONAL INTEGRATED) (2.1%)
Chevron Corp. ......................... 4,500 381,656
Exxon Mobil Corp. ..................... 19,000 1,491,500
Texaco, Inc. .......................... 3,900 207,675
-------------
2,080,831
-------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------- -------------
<S> <C> <C>
PAPER & FOREST PRODUCTS (0.2%)
Boise Cascade Corp. ................... 400 $ 10,350
Georgia-Pacific Corp. ................. 1,300 34,125
International Paper Co. ............... 2,495 74,385
Louisiana-Pacific Corp. ............... 600 6,525
Mead Corp. ............................ 500 12,625
Potlatch Corp. ........................ 100 3,313
Westvaco Corp. ........................ 500 12,406
Weyerhaeuser Co. ...................... 1,300 55,900
Willamette Industries, Inc. ........... 700 19,075
-------------
228,704
-------------
PERSONAL CARE (0.2%)
Alberto-Culver Co. .................... 200 6,112
Avon Products, Inc. ................... 600 26,700
Gillette Co. .......................... 4,500 157,219
-------------
190,031
-------------
PHOTOGRAPHY/IMAGING (0.1%)
Eastman Kodak Co. ..................... 1,400 83,300
Polaroid Corp. ........................ 100 1,806
Xerox Corp. ........................... 1,400 29,050
-------------
114,156
-------------
POWER PRODUCERS (INDEPENDENT) (0.1%)
AES Corp. + ........................... 2,000 91,250
-------------
PUBLISHING (0.1%)
Harcourt General, Inc. ................ 200 10,875
McGraw-Hill Co., Inc. ................. 1,200 64,800
Meredith Corp. ........................ 200 6,750
-------------
82,425
-------------
PUBLISHING - NEWSPAPERS (0.2%)
Dow Jones & Co., Inc. ................. 300 21,975
Gannett Co., Inc. ..................... 1,300 77,756
Knight-Ridder, Inc. ................... 400 21,275
New York Times Co. .................... 1,100 43,450
Tribune Co. ........................... 1,400 49,000
-------------
213,456
-------------
RAILROADS (0.2%)
Burlington Northern Santa Fe Corp. .... 2,100 48,169
Kansas City Southern Industries, Inc. . 600 53,213
Union Pacific Corp. ................... 1,500 55,781
-------------
157,163
-------------
RESTAURANTS (0.1%)
Darden Restaurants, Inc. .............. 1,100 17,875
McDonald's Corp. ...................... 2,900 95,519
Tricon Global Restaurants, Inc. + ..... 700 19,775
Wendy's International, Inc. ........... 600 10,687
-------------
143,856
-------------
RETAIL (BUILDING SUPPLIES) (0.8%)
Home Depot, Inc. ...................... 12,600 629,213
Lowe's Co., Inc. ...................... 2,700 110,869
Sherwin-Williams Co. .................. 700 14,831
-------------
754,913
-------------
</TABLE>
See Notes to Portfolio of Investments. 173
<PAGE>
AETNA GET FUND
PORTFOLIO OF INVESTMENTS - JUNE 30, 2000 (UNAUDITED)
SERIES I (CONTINUED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------- -------------
<S> <C> <C>
RETAIL (COMPUTERS & ELECTRONICS) (0.2%)
Best Buy Co., Inc. + .................. 1,500 $ 94,875
Circuit City Stores, Inc. ............. 1,500 49,781
RadioShack Corporation ................ 1,100 52,113
-------------
196,769
-------------
RETAIL (DEPARTMENT STORES) (0.2%)
Federated Department Stores, Inc. + ... 1,300 43,875
Kohl's Corp. + ........................ 1,500 83,437
May Department Stores Co. ............. 700 16,800
Nordstrom, Inc. ....................... 600 14,475
Sears, Roebuck & Co. .................. 1,500 48,938
-------------
207,525
-------------
RETAIL (GENERAL MERCHANDISE CHAIN) (1.6%)
Costco Wholesale Corp. + .............. 900 29,700
Target Corporation .................... 2,000 116,000
Wal-Mart Stores, Inc. ................. 24,900 1,434,862
-------------
1,580,562
-------------
RETAIL (SPECIALITY) (0.0%)
AutoZone, Inc. + ...................... 700 15,400
Bed Bath & Beyond, Inc. + ............. 600 21,750
-------------
37,150
-------------
RETAIL SPECIALITY - APPAREL (0.2%)
Gap, Inc. ............................. 3,500 109,375
The Limited, Inc. ..................... 3,300 71,363
TJX Companies, Inc. ................... 1,300 24,375
-------------
205,113
-------------
RETAIL STORES - DRUG STORE (0.2%)
CVS Corp. ............................. 1,800 72,000
Longs Drug Stores, Inc. ............... 100 2,175
Walgreen Co. .......................... 4,300 138,406
-------------
212,581
-------------
RETAIL STORES - FOOD CHAINS (0.1%)
Albertson's, Inc. ..................... 900 29,925
Safeway, Inc. + ....................... 2,100 94,763
-------------
124,688
-------------
SAVINGS & LOAN COMPANIES (0.1%)
Charter One Financial, Inc. ........... 900 20,700
Golden West Financial Corp. ........... 1,000 40,813
Washington Mutual Fin. Corp. .......... 1,200 34,650
-------------
96,163
-------------
SERVICES (ADVERTISING/MARKETING) (0.2%)
Interpublic Group of Co., Inc. (The) .. 1,400 60,200
Omnicom Group, Inc. ................... 900 80,157
Young And Rubicam, Inc. + ............. 300 17,156
-------------
157,513
-------------
SERVICES (COMMERCIAL & CONSUMER) (0.1%)
Cendant Corp. + ....................... 3,100 43,400
Convergys Corp. + ..................... 700 36,313
Dun & Bradstreet Corp. ................ 800 22,900
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------- -------------
<S> <C> <C>
SERVICES (COMMERCIAL & CONSUMER) (CONTINUED)
H&R Block, Inc. ....................... 400 $ 12,950
IMS Health, Inc. ...................... 1,400 25,200
-------------
140,763
-------------
SERVICES (COMPUTER SYSTEMS) (0.2%)
Computer Sciences Corp. + ............. 700 52,281
Electronic Data Systems Corp. ......... 2,000 82,500
Sabre Holdings Corporation ............ 500 14,250
Sapient Corp. + ....................... 400 42,775
-------------
191,806
-------------
SERVICES (DATA PROCESSING) (0.3%)
Automatic Data Processing, Inc. ....... 3,000 160,688
First Data Corp. ...................... 1,800 89,325
Paychex, Inc. ......................... 1,600 67,200
-------------
317,213
-------------
SPECIALITY PRINTING (0.0%)
Deluxe Corp. .......................... 300 7,069
RR Donnelley & Sons Co. ............... 600 13,537
-------------
20,606
-------------
STEEL (0.0%)
Allegheny Technologies Incorporated ... 300 5,400
Nucor Corp. ........................... 600 19,912
USX-US Steel Group, Inc. .............. 700 12,994
Worthington Industries ................ 200 2,100
-------------
40,406
-------------
TELEPHONE (1.8%)
ALLTEL Corp. .......................... 1,400 86,712
Bell Atlantic Corp. ................... 6,700 340,444
BellSouth Corp. ....................... 8,200 349,525
GTE Corp. ............................. 4,100 255,225
SBC Communications, Inc. .............. 14,300 618,475
U.S. WEST, Inc. ....................... 2,100 180,075
-------------
1,830,456
-------------
TELEPHONE LONG DISTANCE (1.1%)
AT&T Corp. ............................ 7,900 249,838
Global Crossing Holdings Ltd. + ....... 1,900 49,994
Sprint Corp. .......................... 3,700 188,700
WorldCom, Inc. ........................ 12,000 550,500
-------------
1,039,032
-------------
TEXTILES (APPAREL) (0.0%)
Liz Claiborne, Inc. ................... 300 10,575
Russell Corporation ................... 200 4,000
VF Corp. .............................. 500 11,906
-------------
26,481
-------------
TEXTILES (HOME FURNISHINGS) (0.0%)
Springs Industries, Inc. - Class A .... 100 3,219
-------------
TOBACCO (0.3%)
Philip Morris Co., Inc. ............... 10,000 265,625
UST, Inc. ............................. 700 10,281
-------------
275,906
-------------
TRUCKERS (0.0%)
Ryder System, Inc. .................... 300 5,681
-------------
</TABLE>
174 See Notes to Portfolio of Investments.
<PAGE>
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------- -------------
<S> <C> <C>
TRUCKS & PARTS (0.0%)
Cummins Engine Co., Inc. .............. 300 $ 8,175
Navistar International Corp. + ........ 300 9,319
PACCAR, Inc. .......................... 600 23,812
-------------
41,306
-------------
TOTAL COMMON STOCKS (COST $62,197,739) 61,736,241
-------------
PREFERRED STOCKS (0.1%)
Seagram Co. Ltd. ...................... 900 52,200
-------------
TOTAL PREFERRED STOCKS (COST $52,445) 52,200
-------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
-------------
<S> <C> <C>
LONG-TERM BONDS AND NOTES (35.2%)
U.S. Treasury Note, 6.53%, 05/15/05 ... $47,650,000 35,117,573
-------------
TOTAL LONG-TERM BONDS AND NOTES
(COST $34,935,442) 35,117,573
-------------
SHORT-TERM INVESTMENTS (4.5%)
Federal Home Loan Mortgage
Corp., 6.57%, 07/03/00................ 4,298,000 4,298,000
U.S. Treasury Bill, 5.88%, 11/09/00 @ . 200,000 195,806
-------------
TOTAL SHORT-TERM INVESTMENTS
(COST $4,493,790) 4,493,806
-------------
TOTAL INVESTMENTS
(COST $101,679,416)(A) 101,399,820
OTHER ASSETS LESS LIABILITIES (1,780,051)
-------------
TOTAL NET ASSETS $ 99,619,769
=============
NOTES TO PORTFOLIO OF INVESTMENTS
(a) The cost of investments for federal income tax purposes amounts to
$101,706,078. Unrealized gains and losses, based on identified tax cost at
June 30, 2000, are as follows:
Unrealized gains............................ $ 2,000,777
Unrealized losses........................... (2,307,035)
------------
Net unrealized loss........................ $ (306,258)
============
</TABLE>
Information concerning open futures contracts at June 30, 2000 is shown below:
<TABLE>
<CAPTION>
NO. OF NOTIONAL EXPIRATION UNREALIZED
CONTRACTS VALUE DATE GAIN/(LOSS)
----------- ------------ ------------ ---------------
LONG CONTRACTS
----------------------
<S> <C> <C> <C> <C>
S&P 500 Index Futures... 6 $2,202,150 Sep 00 $ (38,904)
========== ===========
</TABLE>
+ Non-income producing security.
@ Security pledged to cover initial margin requirements on open sutures
contracts at June 30, 2000.
(1) AT&T Corp. acquired MediaOne Group on June 15, 2000. As of June 30, 2000 the
acquisition was not completed, therefore, the market value of MediaOne Group
on June 30, 2000 reflects the fair value of the AT&T Corp. offer.
Category percentages are based on net assets.
See Notes to Financial Statements. 175
<PAGE>
AETNA GET FUND
PORTFOLIO OF INVESTMENTS - JUNE 30, 2000 (UNAUDITED)
SERIES J
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
--------- ---------
<S> <C> <C>
SHORT-TERM INVESTMENTS (96.7%)
Federal Farm Credit Bank, 6.57%, 07/03/00 .... $ 85,000 85,000
Federal Home Loan Bank, 6.50%, 09/13/00 ...... 100,000 98,711
Federal Home Loan Mortgage
Corp., 6.49%, 09/14/00....................... 70,000 69,086
Federal National Mortgage
Association, 6.49%, 09/14/00................. 70,000 69,086
U.S. Treasury Bill, 5.68%, 09/14/00 .......... 50,000 49,428
---------
TOTAL SHORT-TERM INVESTMENTS
(COST $371,282) 371,311
---------
TOTAL INVESTMENTS (COST $371,282)(A) 371,311
OTHER ASSETS LESS LIABILITIES 12,478
---------
TOTAL NET ASSETS $383,789
=========
NOTES TO PORTFOLIO OF INVESTMENTS
(a) The cost of investments for federal income tax purposes is identical.
Unrealized gains and losses, at June 30, 2000, are as follows:
Unrealized gains........................................... $29
Unrealized losses.......................................... -
---
Net unrealized gain....................................... $29
===
</TABLE>
Category percentages are based on net assets.
176 See Notes to Financial Statements.
<PAGE>
--------------------------------------------------------------------------------
THIS PAGE INTENTIONALLY LEFT BLANK
<PAGE>
AETNA GET FUND
STATEMENTS OF ASSETS AND LIABILITIES
JUNE 30, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SERIES C SERIES D
------------ ------------
<S> <C> <C>
ASSETS:
Investments, at market value ............... $188,807,159 $666,322,833
Cash ....................................... 1,672 64,652
Receivable for:
Dividends and interest .................... 117,527 2,453,906
Investments sold .......................... 137,248 96,409
Fund shares sold .......................... -- --
Variation margin .......................... -- 30,300
Prepaid expenses ........................... 724 2,190
------------ ------------
Total assets .......................... 189,064,330 668,970,290
------------ ------------
LIABILITIES:
Payable for:
Investments purchased ..................... 42,248 95,372,664
Fund shares redeemed ...................... 56,630 66,640
Accrued investment advisory fees ........... 98,352 299,558
Accrued administrative service fees ........ 12,294 37,445
Accrued custody fees ....................... 10,498 25,616
Other liabilities .......................... 12,001 5,298
------------ ------------
Total liabilities ..................... 232,023 95,807,221
------------ ------------
NET ASSETS ........................... $188,832,307 $573,163,069
============ ============
NET ASSETS REPRESENTED BY:
Paid-in capital ............................ $140,190,014 $559,131,859
Net unrealized gain (loss) on investments
and open futures contracts ................ 31,489,599 (2,362,867)
Undistributed net investment income ........ 434,979 8,091,807
Accumulated net realized gain (loss) on
investments................................ 16,717,715 8,302,270
------------ ------------
NET ASSETS ........................... $188,832,307 $573,163,069
============ ============
Cost of investments ........................ $157,317,560 $668,629,564
CAPITAL SHARES:
Par Value .................................. $ 0.001 $ 0.001
Outstanding ................................ 16,300,525 56,124,922
Net asset value, offering and redemption
price per share (net assets divided by
shares outstanding) ....................... $ 11.58 $ 10.21
</TABLE>
178 See Notes to Financial Statements.
<PAGE>
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SERIES E SERIES G SERIES H SERIES I SERIES J
------------ ------------ ------------ ------------ --------
<S> <C> <C> <C> <C>
$532,848,601 $243,250,343 $184,903,420 $101,399,820 $371,311
2,012 1,329 1,364 2,404 7,069
220,522 86,166 77,600 17,383 --
166,142 72,236 57,683 639,613 8,724
-- -- -- -- 5,409
146,450 20,200 25,250 15,150 --
977 17 -- -- --
------------ ------------ ------------ ------------ --------
533,384,704 243,430,291 185,065,317 102,074,370 392,513
------------ ------------ ------------ ------------ --------
51,142 22,236 17,789 2,398,096 --
58,418 12,706 13,258 4,782 --
277,903 126,699 96,313 29,989 24
34,738 15,837 12,039 3,924 7
14,256 13,688 3,178 3,000 1,000
4,377 6,894 11,161 14,810 7,693
------------ ------------ ------------ ------------ --------
440,834 198,060 153,738 2,454,601 8,724
------------ ------------ ------------ ------------ --------
$532,943,870 $243,232,231 $184,911,579 $ 99,619,769 $383,789
============ ============ ============ ============ ========
$507,909,214 $242,648,282 $178,274,322 $ 99,726,350 $383,460
8,960,217 1,800,136 5,328,711 (318,500) 29
5,749,458 2,801,422 1,494,151 205,965 295
10,324,981 (4,017,609) (185,605) 5,954 5
------------ ------------ ------------ ------------ --------
$532,943,870 $243,232,231 $184,911,579 $ 99,619,769 $383,789
============ ============ ============ ============ ========
$523,514,683 $241,400,449 $179,512,065 $101,679,416 $371,282
$ 0.001 $ 0.001 $ 0.001 $ 0.001 $ 0.001
50,462,635 24,073,604 17,624,144 9,840,997 38,345
$ 10.56 $ 10.10 $ 10.49 $ 10.12 $ 10.01
</TABLE>
See Notes to Financial Statements. 179
<PAGE>
AETNA GET FUND
STATEMENTS OF OPERATIONS
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SERIES C SERIES D
-------- --------
SIX MONTH SIX MONTH
PERIOD ENDED PERIOD ENDED
JUNE 30, 2000 JUNE 30, 2000
(UNAUDITED) (UNAUDITED)
------------- -------------
<S> <C> <C>
INVESTMENT INCOME:
Dividends ..................................... $ 968,218 $ 1,876,235
Interest ...................................... 161,508 8,404,589
------------ ------------
1,129,726 10,280,824
Foreign taxes withheld on dividends ........... (5,864) (11,216)
------------ ------------
Total investment income .................. 1,123,862 10,269,608
------------ ------------
INVESTMENT EXPENSES:
Investment advisory fees ...................... 571,720 1,841,783
Administrative services fees .................. 71,465 230,223
Printing and postage fees ..................... 10,707 8,378
Custody fees .................................. 11,232 55,544
Transfer agent fees ........................... 1,300 1,755
Audit fees .................................... 10,336 10,001
Trustees' fees ................................ 2,749 9,566
Registration fees ............................. 4,055 --
Miscellaneous expenses ........................ 4,723 15,120
------------ ------------
Expenses before reimbursement and waiver from
Investment Adviser ........................... 688,287 2,172,370
Expense reimbursement and waiver from
Investment Adviser ........................... -- --
------------ ------------
Net investment expenses .................. 688,287 2,172,370
------------ ------------
Net investment income ......................... 435,575 8,097,238
------------ ------------
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments .................................. 18,736,405 21,003,985
Futures contracts ............................ -- (1,862,611)
------------ ------------
Net realized gain (loss) on investments .. 18,736,405 19,141,374
------------ ------------
Net change in unrealized gain or loss on:
Investments .................................. (19,872,136) (46,449,628)
Futures contracts ............................ -- (113,006)
------------ ------------
Net change in unrealized gain or loss on
investments.............................. (19,872,136) (46,562,634)
------------ ------------
Net realized and change in unrealized gain or
loss on investments .......................... (1,135,731) (27,421,260)
------------ ------------
Net increase (decrease) in net assets resulting
from operations .............................. $ (700,156) $(19,324,022)
============ ============
</TABLE>
180 See Notes to Financial Statements.
<PAGE>
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SERIES E SERIES G SERIES H SERIES I SERIES J
-------- -------- -------- -------- --------
SIX MONTH SIX MONTH SIX MONTH PERIOD FROM MARCH 15, 2000 PERIOD FROM JUNE 15, 2000
PERIOD ENDED PERIOD ENDED PERIOD ENDED (COMMENCEMENT OF OPERATIONS) (COMMENCEMENT OF OPERATIONS)
JUNE 30, 2000 JUNE 30, 2000 JUNE 30, 2000 TO JUNE 30, 2000 TO JUNE 30, 2000
(UNAUDITED) (UNAUDITED) (UNAUDITED) (UNAUDITED) (UNAUDITED)
------------- ------------- ------------- ---------------------------- ----------------------------
<S> <C> <C> <C> <C> <C>
$ 1,893,357 $ 794,747 $ 364,020 $ 17,473 $ --
5,744,828 2,883,424 1,539,347 227,528 295
------------ ----------- ---------- --------- -------
7,638,185 3,678,171 1,903,367 245,001 295
(12,039) (4,600) (3,973) -- --
------------ ----------- ---------- --------- -------
7,626,146 3,673,571 1,899,394 245,001 295
------------ ----------- ---------- --------- -------
1,615,346 741,157 346,988 32,136 25
201,918 92,645 45,274 4,568 7
6,696 6,696 4,196 2,616 1,849
27,596 19,908 3,229 3,050 1,000
1,300 1,311 1,300 867 217
9,701 9,012 20,560 8,655 5,268
6,534 -- -- -- --
569 366 4,490 2,590 172
5,169 638 232 743 186
------------ ----------- ---------- --------- -------
1,874,829 871,733 426,269 55,225 8,724
-- -- (21,802) (16,189) (8,724)
------------ ----------- ---------- --------- -------
1,874,829 871,733 404,467 39,036 --
------------ ----------- ---------- --------- -------
5,751,317 2,801,838 1,494,927 205,965 295
------------ ----------- ---------- --------- -------
19,569,099 (3,287,462) (313,028) 24,140 5
(711,712) (694,249) 127,423 (18,186) --
------------ ----------- ---------- --------- -------
18,857,387 (3,981,711) (185,605) 5,954 5
------------ ----------- ---------- --------- -------
(33,491,436) (5,066,763) 5,390,940 (279,596) 29
(483,465) (84,749) (62,644) (38,904) --
------------ ----------- ---------- --------- -------
(33,974,901) (5,151,512) 5,328,296 (318,500) 29
------------ ----------- ---------- --------- -------
(15,117,514) (9,133,223) 5,142,691 (312,546) 34
------------ ----------- ---------- --------- -------
$ (9,366,197) $(6,331,385) $6,637,618 $(106,581) $ 329
============ =========== ========== ========= =======
</TABLE>
See Notes to Financial Statements. 181
<PAGE>
AETNA GET FUND
STATEMENTS OF CHANGES IN NET ASSETS
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SERIES C
----------------------------------
SIX MONTH
PERIOD ENDED
JUNE 30, 2000 YEAR ENDED
(UNAUDITED) DECEMBER 31, 1999
------------- -----------------
<S> <C> <C>
FROM OPERATIONS:
Net investment income .................... $ 435,575 $ 1,197,671
Net realized gain on investments.......... 18,736,405 31,332,472
Net change in unrealized gain or loss on
investments.............................. (19,872,136) 9,390,331
------------ ------------
Net increase (decrease) in net assets
resulting from operations............... (700,156) 41,920,474
------------ ------------
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income................ (304,096) (1,612,703)
From net realized gains................... (16,823,174) (57,111,643)
------------ ------------
Decrease in net assets from distributions
to shareholders......................... (17,127,270) (58,724,346)
------------ ------------
FROM FUND SHARE TRANSACTIONS:
Proceeds from shares exchanged* .......... 63,217 30,881
Net asset value of shares issued upon
reinvestment of distributions............ 17,127,270 58,724,346
Payments for shares redeemed.............. (14,742,403) (64,946,688)
------------ ------------
Net increase (decrease) in net assets
from fund share transactions............ 2,448,084 (6,191,461)
------------ ------------
Net change in net assets................ (15,379,342) (22,995,333)
NET ASSETS:
Beginning of period....................... 204,211,649 227,206,982
------------ ------------
End of period............................. $188,832,307 $204,211,649
============ ============
End of period net assets includes
undistributed net investment income...... $ 434,979 $ 303,500
============ ============
SHARE TRANSACTIONS:
Number of shares exchanged*............... 5,067 2,121
Number of shares issued upon reinvestment
of distributions......................... 1,481,598 4,829,305
Number of shares redeemed................. (1,181,892) (4,553,632)
------------ ------------
Net increase............................. 304,773 277,794
============ ============
</TABLE>
* Exchanges into the Series are from initial shareholders who have exchange
privileges.
182 See Notes to Financial Statements.
<PAGE>
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SERIES D
-----------------------------------
SIX MONTH
PERIOD ENDED
JUNE 30, 2000 YEAR ENDED
(UNAUDITED) DECEMBER 31, 1999
------------- -----------------
<S> <C> <C>
FROM OPERATIONS:
Net investment income ................... $ 8,097,238 $ 20,878,211
Net realized gain (loss) on investments.. 19,141,374 (8,184,223)
Net change in unrealized gain or loss on
investments............................. (46,562,634) 44,199,767
------------- -------------
Net increase (decrease) in net assets
resulting from operations.............. (19,324,022) 56,893,755
------------- -------------
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income............... (5,922,438) (14,978,076)
From net realized gains.................. (2,652,585) --
------------- -------------
Decrease in net assets from
distributions to shareholders.......... (8,575,023) (14,978,076)
------------- -------------
FROM FUND SHARE TRANSACTIONS:
Proceeds from shares exchanged* ......... -- 380,855,808
Net asset value of shares issued upon
reinvestment of distributions........... 8,575,023 14,978,076
Payments for shares redeemed............. (123,597,476) (106,958,583)
------------- -------------
Net increase (decrease) in net assets
from fund share transactions........... (115,022,453) 288,875,301
------------- -------------
Net change in net assets............... (142,921,498) 330,790,980
NET ASSETS:
Beginning of period...................... 716,084,567 385,293,587
------------- -------------
End of period............................ $ 573,163,069 $ 716,084,567
============= =============
End of period net assets includes
undistributed net investment income..... $ 8,091,807 $ 5,917,007
============= =============
SHARE TRANSACTIONS:
Number of shares exchanged*.............. -- 37,852,335
Number of shares issued upon reinvestment
of distributions....................... 843,998 1,444,410
Number of shares redeemed................ (11,968,464) (10,381,590)
------------- -------------
Net increase (decrease)................. (11,124,466) 28,915,155
============= =============
</TABLE>
* Exchanges into the Series are from initial shareholders who have exchange
privileges.
See Notes to Financial Statements. 183
<PAGE>
AETNA GET FUND
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SERIES E
-------------------------------------
PERIOD FROM
SIX MONTH JUNE 15, 1999
PERIOD ENDED (COMMENCEMENT OF
JUNE 30, 2000 OPERATIONS)
(UNAUDITED) TO DECEMBER 31, 1999
------------- --------------------
<S> <C> <C>
FROM OPERATIONS:
Net investment income ................. $ 5,751,317 $ 5,268,703
Net realized gain (loss) on investments 18,857,387 (8,532,406)
Net change in unrealized gain or loss
on investments........................ (33,974,901) 42,935,118
------------ ------------
Net increase (decrease) in net assets
resulting from operations............ (9,366,197) 39,671,415
------------ ------------
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income............. (1,572,036) (3,698,526)
------------ ------------
Decrease in net assets from
distributions to shareholders........ (1,572,036) (3,698,526)
------------ ------------
FROM FUND SHARE TRANSACTIONS:
Proceeds from shares sold/exchanged* .. 388,131 542,018,402
Net asset value of shares issued upon
reinvestment of distributions......... 1,572,036 3,698,519
Payments for shares redeemed........... (25,756,822) (14,011,052)
------------ ------------
Net increase (decrease) in net assets
from fund share transactions......... (23,796,655) 531,705,869
------------ ------------
Net change in net assets............. (34,734,888) 567,678,758
NET ASSETS:
Beginning of period.................... 567,678,758 --
------------ ------------
End of period.......................... $532,943,870 $567,678,758
============ ============
End of period net assets includes
undistributed net investment income... $ 5,749,458 $ 1,570,177
============ ============
SHARE TRANSACTIONS:
Number of shares sold/exchanged*....... 36,791 53,728,873
Number of shares issued upon
reinvestment of distributions........ 150,147 354,604
Number of shares redeemed.............. (2,444,993) (1,362,787)
------------ ------------
Net increase (decrease)............... (2,258,055) 52,720,690
============ ============
</TABLE>
* Exchanges into the Series are from initial shareholders who have exchange
privileges.
184 See Notes to Financial Statements.
<PAGE>
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SERIES G
-------------------------------------
PERIOD FROM
SIX MONTH SEPTEMBER 15, 1999
PERIOD ENDED (COMMENCEMENT OF
JUNE 30, 2000 OPERATIONS)
(UNAUDITED) TO DECEMBER 31, 1999
------------- --------------------
<S> <C> <C>
FROM OPERATIONS:
Net investment income ................. $ 2,801,838 $ 709,852
Net realized gain (loss) on investments (3,981,711) 19,448
Net change in unrealized gain or loss
on investments........................ (5,151,512) 6,951,648
------------ ------------
Net increase (decrease) in net assets
resulting from operations............ (6,331,385) 7,680,948
------------ ------------
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income............. (469,235) (241,033)
From net realized gains................ (55,346) --
------------ ------------
Decrease in net assets from
distributions to shareholders........ (524,581) (241,033)
------------ ------------
FROM FUND SHARE TRANSACTIONS:
Proceeds from shares sold/exchanged*... 1,229,527 255,281,122
Net asset value of shares issued upon
reinvestment of distributions........ 524,581 241,033
Payments for shares redeemed........... (14,223,035) (404,946)
------------ ------------
Net increase (decrease) in net assets
from fund share transactions......... (12,468,927) 255,117,209
------------ ------------
Net change in net assets............. (19,324,893) 262,557,124
NET ASSETS:
Beginning of period.................... 262,557,124 --
------------ ------------
End of period.......................... $243,232,231 $262,557,124
============ ============
End of period net assets includes
undistributed net investment income... $ 2,801,422 $ 468,819
============ ============
SHARE TRANSACTIONS:
Number of shares sold/exchanged*....... 122,431 25,330,752
Number of shares issued upon
reinvestment of distributions........ 52,406 23,926
Number of shares redeemed.............. (1,416,374) (39,537)
------------ ------------
Net increase (decrease)............... (1,241,537) 25,315,141
============ ============
</TABLE>
* Exchanges into the Series are from initial shareholders who have exchange
privileges.
See Notes to Financial Statements. 185
<PAGE>
AETNA GET FUND
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SERIES H
-------------------------------------
PERIOD FROM
SIX MONTH DECEMBER 15, 1999
PERIOD ENDED (COMMENCEMENT OF
JUNE 30, 2000 OPERATIONS)
(UNAUDITED) TO DECEMBER 31, 1999
------------- --------------------
<S> <C> <C>
FROM OPERATIONS:
Net investment income ................. $ 1,494,927 $ 4,515
Net realized loss on investments....... (185,605) --
Net change in unrealized gain or loss
on investments........................ 5,328,296 415
------------ ----------
Net increase in net assets resulting
from operations...................... 6,637,618 4,930
------------ ----------
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income............. (5,291) --
------------ ----------
Decrease in net assets from
distributions to shareholders........ (5,291) --
------------ ----------
FROM FUND SHARE TRANSACTIONS:
Proceeds from shares sold/exchanged*... 180,722,577 3,727,694
Net asset value of shares issued upon
reinvestment of distributions......... 5,291 --
Payments for shares redeemed........... (6,181,240) --
------------ ----------
Net increase in net assets from fund
share transactions................... 174,546,628 3,727,694
------------ ----------
Net change in net assets............. 181,178,955 3,732,624
NET ASSETS:
Beginning of period.................... 3,732,624 --
------------ ----------
End of period.......................... $184,911,579 $3,732,624
============ ==========
End of period net assets includes
undistributed net investment income... $ 1,494,151 $ 4,515
============ ==========
SHARE TRANSACTIONS:
Number of shares sold/exchanged*....... 17,841,000 372,325
Number of shares issued upon
reinvestment of distributions......... 509 --
Number of shares redeemed.............. (589,690) --
------------ ----------
Net increase.......................... 17,251,819 372,325
============ ==========
</TABLE>
* Exchanges into the Series are from initial shareholders who have exchange
privileges.
186 See Notes to Financial Statements.
<PAGE>
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SERIES I
----------------
PERIOD FROM
MARCH 15, 2000
(COMMENCEMENT OF
OPERATIONS)
TO JUNE 30, 2000
(UNAUDITED)
----------------
<S> <C>
FROM OPERATIONS:
Net investment income ..................................... $ 205,965
Net realized gain on investments........................... 5,954
Net change in unrealized gain or loss on investments....... (318,500)
------------
Net decrease in net assets resulting from operations...... (106,581)
------------
FROM FUND SHARE TRANSACTIONS:
Proceeds from shares sold.................................. 100,242,084
Payments for shares redeemed............................... (515,734)
------------
Net increase in net assets from fund share transactions... 99,726,350
------------
Net change in net assets................................. 99,619,769
NET ASSETS:
Beginning of period........................................ --
------------
End of period.............................................. $ 99,619,769
============
End of period net assets includes undistributed net
investment income......................................... $ 205,965
============
SHARE TRANSACTIONS:
Number of shares sold...................................... 9,892,149
Number of shares redeemed.................................. (51,152)
------------
Net increase.............................................. 9,840,997
============
</TABLE>
See Notes to Financial Statements. 187
<PAGE>
AETNA GET FUND
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SERIES J
----------------
PERIOD FROM
JUNE 15, 2000
(COMMENCEMENT OF
OPERATIONS)
TO JUNE 30, 2000
(UNAUDITED)
----------------
<S> <C>
FROM OPERATIONS:
Net investment income ..................................... $ 295
Net realized gain on investments........................... 5
Net change in unrealized gain or loss on investments....... 29
--------
Net increase in net assets resulting from operations...... 329
--------
FROM FUND SHARE TRANSACTIONS:
Proceeds from shares sold ................................. 435,802
Payments for shares redeemed............................... (52,342)
--------
Net increase in net assets from fund share transactions... 383,460
--------
Net change in net assets................................. 383,789
NET ASSETS:
Beginning of period........................................ --
--------
End of period.............................................. $383,789
========
End of period net assets includes undistributed net
investment income......................................... $ 295
========
SHARE TRANSACTIONS:
Number of shares sold...................................... 43,579
Number of shares redeemed.................................. (5,234)
--------
Net increase.............................................. 38,345
========
</TABLE>
188 See Notes to Financial Statements.
<PAGE>
AETNA GET FUND
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
1. ORGANIZATION
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, each of which has its own investment
objective, policies and restrictions.
Currently there are seven diversified Series of the Fund, Series C (GET C),
Series D (GET D), Series E (GET E), Series G (GET G), Series H (GET H), Series I
(GET I), and Series J (GET J) (individually, a Series and collectively, the
Series). Each 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 (Guarantee Period). The minimum
targeted return for each Series during the Guarantee Period is 1.5% (except for
GET C and GET D which is 2.5%) before asset based contract charges and each
Series' cost of operations.
<TABLE>
<CAPTION>
ACCUMULATION GUARANTEE MATURITY
PERIOD PERIOD DATE
------ ------ ----
<S> <C> <C> <C>
GET C* 09/16/96 - 12/16/96 12/17/96 - 12/16/01 12/16/01
GET D* 10/15/98 - 01/15/99 01/16/99 - 01/15/04 01/15/04
GET E* 06/15/99 - 09/14/99 09/15/99 - 09/14/04 09/14/04
GET G* 09/15/99 - 12/14/99 12/15/99 - 12/14/04 12/14/04
GET H* 12/15/99 - 03/14/00 03/15/00 - 03/14/05 03/14/05
GET I* 03/15/00 - 06/14/00 06/15/00 - 06/14/05 06/14/05
GET J 06/15/00 - 09/13/00 09/14/00 - 09/13/05 09/13/05
* Closed to new investors.
</TABLE>
Shares of the Series' are offered to insurance company separate accounts that
fund both annuity and life insurance contracts and to certain tax-qualified
retirement plans. At June 30, 2000 separate accounts of Aetna Life Insurance and
Annuity Company (ALIAC) and its affiliates held all the shares outstanding of
each Series.
Aeltus Investment Management, Inc. (Aeltus) serves as the investment adviser to
each Series. ALIAC serves as the principal underwriter to each Series. Aeltus
and ALIAC are both indirect wholly owned subsidiaries of Aetna Inc.
2. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
The accompanying financial statements of each Series have been prepared in
accordance with generally accepted accounting principles. The preparation of
financial statements in conformity with generally accepted accounting principles
requires management to make estimates and assumptions that affect amounts
reported therein. Actual results could differ from these estimates.
A. VALUATION OF INVESTMENTS
Exchange traded equity investments are stated at market values based upon prices
furnished by external pricing sources as reported on national securities
exchanges. Over-the-counter securities are stated at the last sale price, or if
there has been no sale that day, at the mean of the bid and asked prices. Fixed
income securities, with the exception of high yield securities, maturing in more
than sixty days for which market quotations are readily available are valued at
the mean of the last bid and asked price. High yield securities are priced at
bid by external pricing sources or brokers making a market in the security.
Short-term investments maturing in sixty days or less are valued at amortized
cost, which when combined with accrued interest, approximates market value.
Securities and fixed income investments for which market quotations are not
considered to be readily available are valued using methods approved by the
Board of Trustees (Board).
189
<PAGE>
AETNA GET FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
The accounting records of the Funds are maintained in U.S. dollars. Investment
securities and other assets and liabilities denominated in foreign currencies
are translated into U.S. dollars at the prevailing rates of exchange at the end
of each day. 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. The Funds do not isolate the portion of
the results of operations resulting from changes in foreign exchange rates on
investments from the fluctuations arising from changes in their market prices.
Such fluctuations are included in net realized and unrealized gain or loss on
investments.
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 may invest in
financial futures contracts as a hedge against their existing portfolio
securities, to manage the risk of changes in interest rates, equity prices or in
anticipation of future purchases and sales of securities.
Upon entering into a futures contract, each 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.
The risks associated with financial futures may arise from an imperfect
correlation between the change in market value of the securities held by the
Series 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 financial futures are reflected in
the accompanying financial statements. The amounts at risk under such futures
may exceed the amounts reflected in the financial statements. 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 reported to shareholders
as 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 a Series to sell them promptly at an
acceptable price. Restricted securities are those which can only be sold under
Rule 144A of the Securities Act of 1933 (1933 Act) or are securities offered
pursuant to Section 4(2) of the 1933 Act, and are subject to legal or
contractual restrictions on resale and may not be publicly sold without
registration under the 1933 Act. Each Series may invest up to 15% of its total
assets in illiquid securities. In the absence of market quotations, the
securities are valued based upon their fair value determined under procedures
approved by the Board. The Series will not pay the costs of disposition of
restricted securities other than ordinary brokerage fees, if any.
D. FEDERAL INCOME TAXES
Each Series has met the requirements to be taxed as a regulated investment
company for the year ended December 31, 1999, and intends to meet the
requirements for the current year. As such, each Series is relieved of federal
income taxes by distributing all of its net taxable investment income and
capital gains, if any, in compliance with the applicable provisions of the
Internal Revenue Code (Code). Furthermore, by distributing substantially all of
its net taxable investment income and capital gains during the calender year,
each Series will avoid federal excise taxes in accordance with the applicable
provisions of the Code. Thus, the financial statements contain no provision for
federal income taxes.
190
<PAGE>
--------------------------------------------------------------------------------
E. DISTRIBUTIONS
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 futures contracts and repurchases of
certain securities sold at a loss. In addition, distributions of realized gains
from sales of securities held one year or less are taxable to shareholders at
ordinary income tax rates rather than preferred capital gain tax rates in
accordance with the applicable provisions of the Code.
F. LINE OF CREDIT
Certain series of Aetna GET Fund (GET C and GET D), certain portfolios of Aetna
Variable Portfolios, Inc., Aetna Generation Portfolios, Inc., Aetna Balanced VP
Inc., Aetna Variable Fund, Aetna Income Shares, and certain series of Aetna
Series Fund Inc., collectively Aetna Mutual Funds, have entered into a revolving
credit facility, of up to $300,000,000, with a syndicate of banks led by
Citibank, N.A. For its services as Agent, Citibank, N.A. received an agent fee
of $200,000. In addition, the revolving credit facility requires the payment of
an annual commitment fee of 0.09% based on the average daily unused amount of
the credit facility. Each of the Aetna Mutual Funds will pay its pro rata share
of both the agent fee and commitment fee. Generally, borrowings under the
facility accrue interest at the Federal Funds Rate plus a specified margin.
Repayments generally must be made within 30 days after the date of a revolving
credit advance. The revolving credit facility became effective on November 30,
1999, and there was no outstanding balance as of June 30, 2000.
G. OTHER
Investment transactions are accounted for on the day following trade date,
except same day settlements which are accounted for on the trade date. Interest
income is recorded on an accrual basis. Discounts and premiums on securities
purchased are accreted or amortized, respectively, using an effective yield
method over the life of the 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.
3. INVESTMENT ADVISORY AND ADMINISTRATIVE SERVICE FEES
Each Series pays Aeltus an investment advisory fee expressed as a percentage of
each Series' average daily net assets. Each Series pays Aeltus 0.60% of their
respective average daily net assets during the Guarantee Period (0.25% of its
average daily net assets during the Accumulation Period).
Each Series pays Aeltus an administrative services fee in exchange for receiving
certain administrative and shareholder services and to compensate Aeltus for
supervising the Series' other service providers. Each Series pays Aeltus an
administrative services fee at an annual rate based on its average daily net
assets. The rate for each Series is 0.075% on the first $5 billion in assets and
0.050% on assets over $5 billion.
Aeltus has entered into a Service Agreement with ALIAC under which ALIAC will
provide various administrative and shareholder services for each Series, in
exchange for fees payable by Aeltus, of up to 0.30% of the Series' average daily
net assets. For the period ending June 30, 2000 Aeltus paid ALIAC $2,574,581.
4. REIMBURSEMENT AND WAIVER FROM INVESTMENT ADVISER
Aeltus may, from time to time, make reimbursements to GET C for some or all of
its operating expenses or it may waive fees in order to maintain a certain
expense ratio. Aeltus is contractually obligated for GET D, GET E, GET G, GET H,
GET I and GET J to reimburse the Series' for some or all of their operating
expenses or to waive fees in order to maintain a certain expense ratio.
Reimbursement and waiver arrangements will increase a Series' total return.
Actual expenses for the period ended June 30, 2000 were at or below contractual
limits. Actual expense ratios are included in the Financial Highlights.
191
<PAGE>
AETNA GET FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
5. PURCHASES AND SALES OF INVESTMENT SECURITIES
Purchases and sales of investment securities, excluding short-term investments,
for the period ended June 30, 2000 were:
<TABLE>
<CAPTION>
COST OF PURCHASES PROCEEDS FROM SALES
----------------- -------------------
<S> <C> <C>
GET C $ 71,527,741 $ 84,886,311
GET D 742,746,873 864,212,329
GET E 452,274,839 496,410,279
GET G 272,382,603 282,719,761
GET H 299,309,619 124,893,735
GET I 98,883,189 1,811,653
</TABLE>
6. CAPITAL LOSS CARRYFORWARD
In accordance with applicable provisions of the Code, as of June 30, 2000, GET E
incurred a capital loss carryforward of $2,405,124 which expires on December 31,
2007. This capital loss carryforward may be used to offset future capital gains
until its respective expiration date. It is the policy of the Series to reduce
future distributions of realized gains to shareholders to the extent of the
unexpired capital loss carryforward.
192
<PAGE>
AETNA GET FUND
ADDITIONAL INFORMATION
JUNE 30, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
SUBSEQUENT EVENT
Aetna Inc. ("Aetna"), of which Aeltus Investment Management, Inc. ("Aeltus") is
an indirect wholly-owned subsidiary, has entered into an agreement to sell
certain of its businesses, including Aeltus, to ING Groep N.V. ("ING"), an
integrated financial services provider.
Consummation of the transaction is subject to a number of contingencies,
including regulatory and shareholder approvals and other closing conditions.
Under the Investment Company Act of 1940, the transaction would result in a
change in control of Aeltus and, therefore, constitute an assignment of the
Aetna variable funds' investment advisory agreements, which would result in a
termination of those agreements. Consequently, it is anticipated that Aeltus
will seek approval of new agreements from the Boards of the Aetna variable
funds, and the shareholders of each fund prior to consummation of the
transaction. The transaction is targeted to close by the end of 2000. Additional
information regarding the transaction and its impact upon the funds will be
provided to you in the near future.
193
<PAGE>
AETNA GET FUND
FINANCIAL HIGHLIGHTS
SERIES C
--------------------------------------------------------------------------------
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
PERIOD FROM
SIX MONTH DECEMBER 17, 1996
PERIOD ENDED YEAR ENDED YEAR ENDED YEAR ENDED (COMMENCEMENT OF
JUNE 30, 2000 DECEMBER 31, DECEMBER 31, DECEMBER 31, OPERATIONS)
(UNAUDITED) 1999 1998 1997 TO DECEMBER 31, 1996
------------- ------------ ------------ ------------ --------------------
<S> <C> <C> <C> <C> <C>
Net asset value,
beginning
of period ........... $ 12.77 $ 14.46 $ 12.61 $ 10.23 $ 10.13
-------- -------- -------- -------- --------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income 0.03 0.09 0.14 0.19+ 0.01+
Net realized and
change in unrealized
gain or loss on
investments......... (0.07) 2.78 3.23 2.39 0.14
-------- -------- -------- -------- --------
Total from
investment
operations........ (0.04) 2.87 3.37 2.58 0.15
-------- -------- -------- -------- --------
LESS DISTRIBUTIONS:
From net investment
income.............. (0.02) (0.12) (0.12) (0.18) (0.05)
From net realized
gains on investments (1.13) (4.44) (1.40) (0.02) --
-------- -------- -------- -------- --------
Total distributions (1.15) (4.56) (1.52) (0.20) (0.05)
-------- -------- -------- -------- --------
Net asset value, end
of period ........... $ 11.58 $ 12.77 $ 14.46 $ 12.61 $ 10.23
======== ======== ======== ======== ========
Total return* ........ (0.26)% 23.56% 27.76% 25.25% 1.52%
Net assets, end of
period (000's) ...... $188,832 $204,212 $227,207 $247,752 $208,442
Ratio of net
investment expenses
to average net assets 0.72%(1) 0.71% 0.72% 0.75% 0.75%(1)
Ratio of net
investment income to
average net assets .. 0.46%(1) 0.62% 0.89% 1.58% 3.04%(1)
Portfolio turnover
rate................. 37.76% 51.05% 108.16% 126.43% 6.25%
</TABLE>
(1) Annualized.
* The total return percentage does not reflect any separate account charges
under variable annuity contracts and life policies.
+ Per share data calculated using weighted average number of shares outstanding
throughout the period.
194 See Notes to Financial Statements.
<PAGE>
SERIES D
--------------------------------------------------------------------------------
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
PERIOD FROM
SIX MONTH OCTOBER 15, 1998
PERIOD ENDED YEAR ENDED (COMMENCEMENT OF
JUNE 30, 2000 DECEMBER 31, OPERATIONS)
(UNAUDITED) 1999 TO DECEMBER 31, 1998
------------- ------------ --------------------
<S> <C> <C> <C>
Net asset value, beginning
of period ............... $ 10.65 $ 10.05 $ 10.00
-------- -------- --------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income ... 0.16 0.31 0.10
Net realized and change
in unrealized gain or
loss on investments .... (0.44) 0.51 --
-------- -------- --------
Total from investment
operations............ (0.28) 0.82 0.10
-------- -------- --------
LESS DISTRIBUTIONS:
From net investment
income.................. (0.11) (0.22) (0.05)
From net realized gains
on investments ......... (0.05) -- --
-------- -------- --------
Total distributions ... (0.16) (0.22) (0.05)
-------- -------- --------
Net asset value, end of
period................... $ 10.21 $ 10.65 $ 10.05
======== ======== ========
Total return* ............ (2.68)% 8.01%# --
Net assets, end of period
(000's).................. $573,163 $716,085 $385,294
Ratio of net investment
expenses to average net
assets................... 0.71%(1) 0.68% 0.36%(1)
Ratio of net investment
income to average net
assets................... 2.64%(1) 2.84% 4.59%(1)
Ratio of expenses before
reimbursement and waiver
to average net assets ... -- 0.68% 0.38%(1)
Portfolio turnover rate .. 125.52% 223.85% --
</TABLE>
(1) Annualized.
* Per share data calculated using weighted average number of shares outstanding
throughout the period.
# Total return calculation began on January 16, 1999, the first day of its
Guarantee Period.
See Notes to Financial Statements. 195
<PAGE>
AETNA GET FUND
FINANCIAL HIGHLIGHTS (CONTINUED)
SERIES E
--------------------------------------------------------------------------------
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
PERIOD FROM
SIX MONTH JUNE 15, 1999
PERIOD ENDED (COMMENCEMENT OF
JUNE 30, 2000 OPERATIONS)
(UNAUDITED) TO DECEMBER 31, 1999
------------- --------------------
<S> <C> <C>
Net asset value, beginning of period ... $ 10.77 $ 10.00
-------- --------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income ................. 0.11 0.10
Net realized and change in unrealized
gain or loss on investments .......... (0.29) 0.74
-------- --------
Total from investment operations .... (0.18) 0.84
-------- --------
LESS DISTRIBUTIONS:
From net investment income ............ (0.03) (0.07)
-------- --------
Total distributions ................. (0.03) (0.07)
-------- --------
Net asset value, end of period ......... $ 10.56 $ 10.77
======== ========
Total return* .......................... (1.66)% 7.14%#
Net assets, end of period (000's) ...... $532,944 $567,679
Ratio of net investment expenses to
average net assets .................... 0.70%(1) 0.63%(1)
Ratio of net investment income to
average net assets .................... 2.14%(1) 2.68%(1)
Ratio of expenses before reimbursement
and waiver to average net assets ...... -- 0.64%(1)
Portfolio turnover rate ................ 85.71% 51.75%
</TABLE>
(1) Annualized.
* The total return percentage does not reflect any separate account charges
under variable annuity contracts and life policies.
# Total return calculation began on September 15, 1999, the first day of its
Guarantee Period.
196 See Notes to Financial Statements.
<PAGE>
SERIES G
--------------------------------------------------------------------------------
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
PERIOD FROM
SIX MONTH SEPTEMBER 15, 1999
PERIOD ENDED (COMMENCEMENT OF
JUNE 30, 2000 OPERATIONS)
(UNAUDITED) TO DECEMBER 31, 1999
------------- --------------------
<S> <C> <C>
Net asset value, beginning of period ... $ 10.37 $ 10.00
-------- --------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income ................. 0.12 0.06
Net realized and change in unrealized
gain or loss on investments .......... (0.37) 0.35
-------- --------
Total from investment operations .... (0.25) 0.41
-------- --------
LESS DISTRIBUTIONS:
From net investment income ............ (0.02) (0.04)
-------- --------
Total distributions ................. (0.02) (0.04)
-------- --------
Net asset value, end of period ......... $ 10.10 $ 10.37
======== ========
Total return* .......................... (2.39)% 2.86%#
Net assets, end of period (000's) ...... $243,232 $262,557
Ratio of net investment expenses to
average net assets .................... 0.71%(1) 0.61%(1)
Ratio of net investment income to
average net assets .................... 2.27%(1) 3.45%(1)
Ratio of expenses before reimbursement
and waiver to average net assets ...... -- 0.69%(1)
Portfolio turnover rate ................ 113.48% 22.19%
</TABLE>
(1) Annualized.
* The total return percentage does not reflect any separate account charges
under variable annuity contracts and life policies.
# Total return calculation began on December 15, 1999, the first day of its
Guarantee Period.
See Notes to Financial Statements. 197
<PAGE>
AETNA GET FUND
FINANCIAL HIGHLIGHTS (CONTINUED)
SERIES H
--------------------------------------------------------------------------------
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
PERIOD FROM
SIX MONTH DECEMBER 15, 1999
PERIOD ENDED (COMMENCEMENT OF
JUNE 30, 2000 OPERATIONS)
(UNAUDITED) TO DECEMBER 31, 1999
------------- --------------------
<S> <C> <C>
Net asset value, beginning of period ... $ 10.03 $10.00
-------- ------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income ................. 0.07 0.01
Net realized and change in unrealized
gain or loss on investments .......... 0.39 0.02
-------- ------
Total from investment operations .... 0.46 0.03
-------- ------
Net asset value, end of period ......... $ 10.49 $10.03
======== ======
Total return* .......................... 3.55%# --
Net assets, end of period (000's) ...... $184,912 $3,733
Ratio of net investment expenses to
average net assets .................... 0.67%(1) 0.37%(1)
Ratio of net investment income to
average net assets .................... 2.44%(1) 4.65%(1)
Ratio of expenses before reimbursement
and waiver to average net assets ...... 0.71%(1) 10.60%(1)
Portfolio turnover rate ................ 70.68% --
</TABLE>
(1) Annualized.
* The total return percentage does not reflect any separate account charges
under variable annuity contracts and life policies.
# Total return calculation began on March 15, 2000, the first day of its
Guarantee Period.
198 See Notes to Financial Statements.
<PAGE>
SERIES I
--------------------------------------------------------------------------------
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
PERIOD FROM
MARCH 15, 2000
(COMMENCEMENT OF
OPERATIONS)
TO JUNE 30, 2000
(UNAUDITED)
----------------
<S> <C>
Net asset value, beginning of period ...................... $ 10.00
-------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income .................................... 0.02
Net realized and change in unrealized gain or loss on
investments.............................................. 0.10
-------
Total from investment operations ....................... 0.12
-------
Net asset value, end of period ............................ $ 10.12
=======
Total return* ............................................. (0.21)%#
Net assets, end of period (000's) ......................... $99,620
Ratio of net investment expenses to average net assets .... 0.64%(1)
Ratio of net investment income to average net assets ...... 3.39%(1)
Ratio of expenses before reimbursement and waiver to
average net assets ....................................... 0.91%(1)
Portfolio turnover rate ................................... 1.87%
</TABLE>
(1) Annualized.
* The total return percentage does not reflect any separate account charges
under variable annuity contracts and life policies.
# Total return calculation began on June 15, 2000, the first day of its
Guarantee Period.
See Notes to Financial Statements. 199
<PAGE>
AETNA GET FUND
FINANCIAL HIGHLIGHTS (CONTINUED)
SERIES J
--------------------------------------------------------------------------------
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
PERIOD FROM
JUNE 15, 2000
(COMMENCEMENT OF
OPERATIONS)
TO JUNE 30, 2000
(UNAUDITED)
----------------
<S> <C>
Net asset value, beginning of period ...................... $10.00
------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income .................................... 0.01
------
Total from investment operations ....................... 0.01
------
Net asset value, end of period ............................ $10.01
======
Total return* ............................................. --
Net assets, end of period (000's) ......................... $ 384
Ratio of net investment expenses to average net assets .... 0.00%(1)
Ratio of net investment income to average net assets ...... 2.85%(1)
Ratio of expenses before reimbursement and waiver to
average net assets ....................................... 84.32%(1)
</TABLE>
(1) Annualized.
* GET J is in its Accumulation Period. Total return calculation will begin on
September 14, 2000, the first day of its Guarantee Period.
200 See Notes to Financial Statements.
