-------------------------------
Semiannual Report June 30, 1999
-------------------------------
LifeSpan Balanced
Portfolio
A Series of Panorama Series Fund, Inc.
[OppenheimerFunds(R) Logo]
OppenheimerFunds(R)
THE RIGHT WAY TO INVEST
<PAGE>
- --------------------------------------------------------------------------------
Panorama Series Fund, Inc.--Life Span Portfolios
- --------------------------------------------------------------------------------
================================================================================
Objective
Panorama Series Fund, Inc.--LifeSpan Capital Appreciation Portfolio seeks
long-term capital appreciation by investing in a strategically allocated
portfolio consisting primarily of stocks. Current income is not a primary
consideration.
- --------------------------------------------------------------------------------
Panorama Series Fund, Inc.--LifeSpan Balanced Portfolio seeks a blend of capital
appreciation and income by investing in a strategically allocated portfolio of
stocks and bonds, with a slightly stronger emphasis on stocks.
- --------------------------------------------------------------------------------
Panorama Series Fund, Inc.--LifeSpan Diversified Income Portfolio seeks high
current income, with opportunities for capital appreciation, by investing in a
strategically allocated portfolio consisting primarily of bonds.
================================================================================
Narrative by the Portfolio Management Team
When 1999 began, many investors were concerned about economic conditions around
the world. The global currency and credit crisis, which began in Asia in 1997,
had spread to Russia and Latin America. With less demand for goods and services
from international markets, U.S. corporate profit growth was expected to slow.
As a result, many investors were expecting lower interest rates and volatile
stock markets.
The economic environment of the first six months of 1999 did not
develop as expected, however. Instead of slower growth, the U.S. economy grew
strongly during the first quarter of the year. Yet, inflationary pressures
remained virtually absent. While overseas demand for U.S. goods was indeed
slower, U.S. consumers more than picked up the slack. As a result, many
companies reported stronger-than-expected earnings.
Yields on U.S. Treasury bonds, which had fallen to 30-year lows in
1998, rose sharply in the first quarter of 1999. Fixed-income investors became
concerned that inflation might reappear in a surprisingly strong economy. In
fact, the first quarter of 1999 was the worst single quarter for U.S. Treasury
bonds in recent memory. Other types of bonds, including corporate bonds, fared
better as the differences in their yields compared to U.S. Treasury securities,
which had widened dramatically last summer, returned to more normal levels.
In this environment, large-capitalization growth stocks continued to
lead the U.S. stock market higher during the first quarter. Technology stocks
also produced above-average gains, driven primarily by a handful of high-flying
Internet companies, many of which have yet to turn a profit. Many small- and
mid-capitalization stocks and stocks in out-of-favor industries continued to
languish at very cheap valuations, however.
In Europe, lower exports were only partially offset by strong consumer
spending. As a result, the region's new currency, the euro, lost value relative
to the U.S. dollar. These factors adversely affected Europe's stock markets,
which produced only small gains in local-currency terms and modest losses in
U.S. dollar terms during the first quarter of the year. In Japan, the stock
market rallied against a backdrop of further economic deterioration. That's
primarily because foreign investors, encouraged by new fiscal stimulus programs
and corporate restructuring, shifted assets into Japan to buy stocks at
inexpensive prices.
Beginning in April, the global investment environment began to change.
Evidence emerged that the global financial crisis was finally abating,
suggesting that the worst might be over for emerging markets. The U.S. economy
defied most analysts' expectations by continuing to grow robustly. In fact, the
Federal Reserve Board, which reduced key short-term interest rates three times
last fall, indicated their bias toward raising interest rates to forestall a
reacceleration of inflation.
In this new economic climate, U.S. investors began to show renewed
interest in smaller and value-oriented stocks. With long-term interest rates no
longer at historically low levels and growth stocks at historically high
valuations, investors began to turn their attention to stocks selling at
inexpensive prices. As a result, many value stocks began to outperform growth
stocks during the second half of the reporting period.
2
<PAGE>
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Panorama Series Fund, Inc.--Life Span Portfolios
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================================================================================
The Capital Appreciation Portfolio benefited from its holdings of value-oriented
stocks, smaller stocks and Japanese stocks in April, May and June. The Portfolio
produced a cumulative total return of 3.04% for the six-month period ended June
30, 1999.1 The Balanced Portfolio, which also benefited from its positions in
value stocks, received competitive returns from its investments in corporate
bonds, which generally outpaced other fixed-income instruments. This Portfolio
generated a cumulative total return of 2.40% for the same period.1 Finally, the
Diversified Income Portfolio produced modest total returns because gains in
corporate bond holdings were partially offset by declines in U.S. Treasury
securities. This Portfolio produced a cumulative total return of 0.97% for the
period.1
As for the future, we expect equity markets to remain volatile. In the
United States, a persistently strong economy may periodically encourage
investors, while high stock market valuations may discourage them, potentially
leading to short-term price fluctuations. However, we do not currently believe
that economic growth will be strong enough to rekindle inflationary pressures,
which should prevent the Federal Reserve from raising interest rates
significantly. Overseas, we view European markets positively because of strong
consumer spending, but we are more cautious regarding Asian markets. Despite
evidence that the financial crisis is receding, Asia continues to confront
serious economic challenges.
Of course, it is impossible to determine at this point if recent market
trends will persist, but we believe the diversity provided by the LifeSpan
Portfolios offers investors the potential for attractive long-term total returns
in a variety of environments. That's why Panorama Series Fund, Inc.--LifeSpan
Portfolios remain part of The Right Way to Invest.
Because the stock market can be volatile, the Fund's performance may be subject
to substantial short-term changes. For updates on the Fund's performance, please
contact your financial advisor, call us at 1-800-525-7048 or visit our website,
www.oppenheimerfunds.com.
1. Includes changes in net asset value per share and does not include the
charges associated with the separate account products which offer this Fund.
Such performance is not annualized and would have been lower if such charges
were taken into account.
3
<PAGE>
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Statement of Investments June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market Value
Shares Note 1
================================================================================================
<S> <C> <C>
Common Stocks--57.5%
================================================================================================
Basic Materials--1.1%
- ------------------------------------------------------------------------------------------------
Chemicals--0.8%
Dexter Corp. 4,700 $ 191,819
- ------------------------------------------------------------------------------------------------
Dow Chemical Co. 500 63,437
- ------------------------------------------------------------------------------------------------
Engelhard Corp. 1,300 29,412
- ------------------------------------------------------------------------------------------------
Ethyl Corp. 14,400 86,400
- ------------------------------------------------------------------------------------------------
Fuji Photo Film Co. 2,000 75,680
- ------------------------------------------------------------------------------------------------
IMC Global, Inc. 2,834 49,949
- ------------------------------------------------------------------------------------------------
International Flavors & Fragrances, Inc. 1,700 75,437
- ------------------------------------------------------------------------------------------------
Rohm & Haas Co. 2,100 90,037
---------
662,171
- ------------------------------------------------------------------------------------------------
Metals--0.1%
Carpenter Technology Corp. 3,600 102,825
- ------------------------------------------------------------------------------------------------
Paper--0.2%
Louisiana-Pacific Corp. 3,500 83,125
- ------------------------------------------------------------------------------------------------
Unisource Worldwide, Inc. 7,900 95,294
---------
178,419
================================================================================================
Capital Goods--6.5%
- ------------------------------------------------------------------------------------------------
Aerospace/Defense--1.1%
Cordant Technologies, Inc. 500 22,594
- ------------------------------------------------------------------------------------------------
General Dynamics Corp. 10,900 746,650
- ------------------------------------------------------------------------------------------------
Northrop Grumman Corp. 3,000 198,937
---------
968,181
- ------------------------------------------------------------------------------------------------
Electrical Equipment--0.4%
ABB Ltd.(1) 1,945 183,291
- ------------------------------------------------------------------------------------------------
SPX Corp.(1) 1,100 91,850
- ------------------------------------------------------------------------------------------------
Toshiba Corp. 15,000 106,952
---------
382,093
- ------------------------------------------------------------------------------------------------
Industrial Services--2.6%
Applied Science & Technology, Inc.(1) 5,000 112,500
- ------------------------------------------------------------------------------------------------
Capita Group plc 16,000 165,575
- ------------------------------------------------------------------------------------------------
Hays plc 20,000 210,751
- ------------------------------------------------------------------------------------------------
Ibiden Co. Ltd. 5,000 82,620
- ------------------------------------------------------------------------------------------------
Lason, Inc.(1) 2,100 104,212
- ------------------------------------------------------------------------------------------------
Metzler Group, Inc.(1) 2,300 63,537
- ------------------------------------------------------------------------------------------------
New England Business Service, Inc. 5,300 163,637
- ------------------------------------------------------------------------------------------------
Professional Detailing, Inc.(1) 4,100 96,350
- ------------------------------------------------------------------------------------------------
Quanta Services, Inc.(1) 2,300 101,200
- ------------------------------------------------------------------------------------------------
Secom Co. Ltd. 2,000 208,202
- ------------------------------------------------------------------------------------------------
Securitas AB, B Shares 8,950 133,696
- ------------------------------------------------------------------------------------------------
Tetra Tech, Inc.(1) 9,308 153,582
</TABLE>
4 LifeSpan Balanced Portfolio
<PAGE>
- --------------------------------------------------------------------------------
Statement of Investments (Unaudited) (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market Value
Shares Note 1
- ----------------------------------------------------------------------------------------------
<S> <C> <C>
- ----------------------------------------------------------------------------------------------
Industrial Services (continued)
United Rentals, Inc.(1) 3,700 $ 109,150
- ----------------------------------------------------------------------------------------------
Valassis Communications, Inc.(1) 1,200 43,950
- ----------------------------------------------------------------------------------------------
Viad Corp. 4,500 139,219
- ----------------------------------------------------------------------------------------------
Waste Connections, Inc.(1) 6,200 189,100
- ----------------------------------------------------------------------------------------------
Whittman-Hart, Inc.(1) 7,000 222,250
----------
2,299,531
- ----------------------------------------------------------------------------------------------
Manufacturing--2.4%
Atlas Copco AB, B Shares 4,500 120,681
- ----------------------------------------------------------------------------------------------
BBA Group plc 21,000 161,208
- ----------------------------------------------------------------------------------------------
Brambles Industries Ltd. 5,000 131,722
- ----------------------------------------------------------------------------------------------
Briggs & Stratton Corp. 1,800 103,950
- ----------------------------------------------------------------------------------------------
Case Corp. 2,495 120,072
- ----------------------------------------------------------------------------------------------
ITT Industries, Inc. 1,800 68,625
- ----------------------------------------------------------------------------------------------
Mannesmann AG 1,950 291,593
- ----------------------------------------------------------------------------------------------
Optical Coating Laboratory, Inc. 1,700 142,162
- ----------------------------------------------------------------------------------------------
PRI Automation, Inc.(1) 4,400 159,500
- ----------------------------------------------------------------------------------------------
ROHN Industries, Inc.(1) 12,000 16,500
- ----------------------------------------------------------------------------------------------
Smiths Industries plc 11,000 145,303
- ----------------------------------------------------------------------------------------------
Taiyo Yuden Co. 11,000 180,492
- ----------------------------------------------------------------------------------------------
Textron, Inc. 900 74,081
- ----------------------------------------------------------------------------------------------
Tyco International Ltd. 1,000 94,750
- ----------------------------------------------------------------------------------------------
United Technologies Corp. 3,500 250,906
----------
2,061,545
==============================================================================================
Communication Services--6.7%
- ----------------------------------------------------------------------------------------------
Telecommunications: Long Distance--3.3%
ADTRAN, Inc.(1) 3,500 127,312
- ----------------------------------------------------------------------------------------------
ALLTELL Corp. 7,100 507,650
- ----------------------------------------------------------------------------------------------
Asia Satellite Telecommunications Holdings Ltd. 50,000 117,611
- ----------------------------------------------------------------------------------------------
AT&T Corp. 14,000 781,375
- ----------------------------------------------------------------------------------------------
Carrier Access Corp.(1) 2,800 122,675
- ----------------------------------------------------------------------------------------------
Ericsson LM, B Shares 6,000 192,313
- ----------------------------------------------------------------------------------------------
Globix Corp., Restricted(1) 352 14,080
- ----------------------------------------------------------------------------------------------
KPN NV 2,700 126,692
- ----------------------------------------------------------------------------------------------
L-3 Communications Holdings, Inc.(1) 1,300 62,806
- ----------------------------------------------------------------------------------------------
Matsushita Communication Industrial Co. 2,000 142,932
- ----------------------------------------------------------------------------------------------
Microcell Telecommunications, Inc., Cl. B(1) 1,072 8,375
- ----------------------------------------------------------------------------------------------
Nippon Comsys Corp. 6,000 97,409
- ----------------------------------------------------------------------------------------------
Nokia Oyj 2,400 210,380
- ----------------------------------------------------------------------------------------------
NTT Mobile Communications Network, Inc. 12 162,596
- ----------------------------------------------------------------------------------------------
Sprint Corp. (Fon Group) 2,800 147,875
- ----------------------------------------------------------------------------------------------
Telecom Italia SpA(1) 6,500 67,569
----------
2,889,650
</TABLE>
LifeSpan Balanced Portfolio 5
<PAGE>
- --------------------------------------------------------------------------------
Statement of Investments (Unaudited) (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market Value
Shares Note 1
- -----------------------------------------------------------------------------------------
<S> <C> <C>
Telephone Utilities--3.0%
Ameritech Corp. 3,500 $ 257,250
- -----------------------------------------------------------------------------------------
Bell Atlantic Corp. 9,946 650,220
- -----------------------------------------------------------------------------------------
BellSouth Corp. 6,000 281,250
- -----------------------------------------------------------------------------------------
Cable & Wireless Communications plc(1) 16,000 153,847
- -----------------------------------------------------------------------------------------
GTE Corp. 4,100 310,575
- -----------------------------------------------------------------------------------------
Hellenic Telecommunication Organization SA 3,400 72,878
- -----------------------------------------------------------------------------------------
Tele Danmark AS 4,000 196,892
- -----------------------------------------------------------------------------------------
Telefonica de Espana(1) 4,681 225,487
- -----------------------------------------------------------------------------------------
U S West, Inc. 7,700 452,375
----------
2,600,774
- -----------------------------------------------------------------------------------------
Telecommunications: Wireless--0.4%
Price Communications Corp.(1) 11,771 176,565
- -----------------------------------------------------------------------------------------
Proxim, Inc.(1) 3,100 179,800
---------
356,365
=========================================================================================
Consumer Cyclicals--5.6%
- -----------------------------------------------------------------------------------------
Autos & Housing--1.9%
Bridgestone Corp. 5,000 151,194
- -----------------------------------------------------------------------------------------
Cooper Tire & Rubber Co. 1,800 42,525
- -----------------------------------------------------------------------------------------
Ford Motor Co. 2,700 152,381
- -----------------------------------------------------------------------------------------
Genuine Parts Co. 6,100 213,500
- -----------------------------------------------------------------------------------------
Lafarge SA 900 85,575
- -----------------------------------------------------------------------------------------
Martin Marietta Materials, Inc. 1,600 94,400
- -----------------------------------------------------------------------------------------
Maytag Corp. 2,300 160,281
- -----------------------------------------------------------------------------------------
Overseas Union Enterprise Ltd. 17,500 55,508
- -----------------------------------------------------------------------------------------
Sonic Automotive, Inc.(1) 7,300 100,375
- -----------------------------------------------------------------------------------------
Southdown, Inc. 1,400 89,950
- -----------------------------------------------------------------------------------------
Suzuki Motor Corp. 12,000 190,852
- -----------------------------------------------------------------------------------------
USG Corp. 800 44,800
- -----------------------------------------------------------------------------------------
Valeo SA 2,500 206,255
- -----------------------------------------------------------------------------------------
Vulcan Materials Co. 1,400 67,550
----------
1,655,146
- -----------------------------------------------------------------------------------------
Consumer Services--0.1%
Harte-Hanks, Inc. 1,200 32,550
- -----------------------------------------------------------------------------------------
Hertz Corp., Cl. A 1,500 93,000
----------
125,550
- -----------------------------------------------------------------------------------------
Leisure & Entertainment--0.5%
Coach USA, Inc.(1) 2,300 96,456
- -----------------------------------------------------------------------------------------
Hasbro, Inc. 2,500 69,844
- -----------------------------------------------------------------------------------------
Mandalay Resort Group(1) 2,100 44,362
- -----------------------------------------------------------------------------------------
MGM Grand, Inc.(1) 800 39,200
- -----------------------------------------------------------------------------------------
Nintendo Co. Ltd. 1,000 140,537
- -----------------------------------------------------------------------------------------
Pegasus Systems, Inc.(1) 2,000 74,875
----------
465,274
</TABLE>
6 LifeSpan Balanced Portfolio
<PAGE>
- --------------------------------------------------------------------------------
Statement of Investments (Unaudited) (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market Value
Shares Note 1
- ---------------------------------------------------------------------------------------------
<S> <C> <C>
Media--0.8%
Deluxe Corp. 4,800 $ 186,900
- ---------------------------------------------------------------------------------------------
Gannett Co., Inc. 1,900 135,612
- ---------------------------------------------------------------------------------------------
Knight-Ridder, Inc. 1,300 71,419
- ---------------------------------------------------------------------------------------------
VNU-Verenigde Nederlandse Uitgeverbedrijven Verenigd Bezit 5,000 199,809
- ---------------------------------------------------------------------------------------------
Wolters Kluwer NV 3,000 119,421
----------
713,161
- ---------------------------------------------------------------------------------------------
Retail: General--0.5%
Circle K Japan Co. Ltd. 2,600 108,265
- ---------------------------------------------------------------------------------------------
Ito-Yokado Co. Ltd. 2,000 133,844
- ---------------------------------------------------------------------------------------------
May Department Stores Co. 4,000 163,500
----------
405,609
- ---------------------------------------------------------------------------------------------
Retail: Specialty--1.3%
Ann Taylor Stores Corp.(1) 2,800 126,000
- ---------------------------------------------------------------------------------------------
Brown Shoe Co., Inc. 7,900 171,825
- ---------------------------------------------------------------------------------------------
CSK Auto Corp.(1) 4,300 116,100
- ---------------------------------------------------------------------------------------------
Hennes & Mauritz AB (H&M), B Shares(1) 8,000 197,607
- ---------------------------------------------------------------------------------------------
Insight Enterprises, Inc.(1) 7,162 177,259
- ---------------------------------------------------------------------------------------------
Kingfisher plc(1) 14,000 161,098
- ---------------------------------------------------------------------------------------------
Ross Stores, Inc. 1,200 60,450
- ---------------------------------------------------------------------------------------------
TJX Cos., Inc. 2,700 89,944
----------
1,100,283
- ---------------------------------------------------------------------------------------------
Textile/Apparel & Home Furnishings--0.5%
K-Swiss, Inc., Cl. A 3,500 162,750
- ---------------------------------------------------------------------------------------------
Shaw Industries, Inc.(1) 4,600 75,900
- ---------------------------------------------------------------------------------------------
Tarrant Apparel Group(1) 3,300 75,075
- ---------------------------------------------------------------------------------------------
VF Corp. 2,500 106,875
----------
420,600
=============================================================================================
Consumer Staples--4.4%
- ---------------------------------------------------------------------------------------------
Beverages--0.3%
Anheuser-Busch Cos., Inc. 3,200 227,000
- ---------------------------------------------------------------------------------------------
Broadcasting--0.2%
Citadel Communications Corp. 3,800 137,512
- ---------------------------------------------------------------------------------------------
Entertainment--0.6%
Brinker International, Inc.(1) 1,400 38,062
- ---------------------------------------------------------------------------------------------
Dave & Buster's, Inc.(1) 3,400 98,600
- ---------------------------------------------------------------------------------------------
P.F. Chang's China Bistro, Inc.(1) 4,700 101,637
- ---------------------------------------------------------------------------------------------
Piccadilly Cafeterias, Inc. 8,000 66,500
- ---------------------------------------------------------------------------------------------
Rubio's Restaurants, Inc.(1) 7,500 115,781
- ---------------------------------------------------------------------------------------------
Shaw Brothers (Hong Kong) Ltd. 190,000 129,791
----------
550,371
</TABLE>
LifeSpan Balanced Portfolio 7
<PAGE>
- --------------------------------------------------------------------------------
Statement of Investments (Unaudited) (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market Value
Shares Note 1
- ----------------------------------------------------------------------------------------
<S> <C> <C>
Food--1.1%
General Mills, Inc. 3,600 $ 289,350
- ----------------------------------------------------------------------------------------
Groupe Danone 800 206,255
- ----------------------------------------------------------------------------------------
Hormel Foods Corp. 1,200 48,300
- ----------------------------------------------------------------------------------------
IBP, Inc. 5,000 118,750
- ----------------------------------------------------------------------------------------
Jeronimo Martins & Filho SA 3,166 104,578
- ----------------------------------------------------------------------------------------
Kerry Group plc, Cl. A 9,000 106,737
- ----------------------------------------------------------------------------------------
Suiza Foods Corp.(1) 1,900 79,562
----------
953,532
- ----------------------------------------------------------------------------------------
Food & Drug Retailers--1.1%
Albertson's, Inc. 4,300 221,719
- ----------------------------------------------------------------------------------------
Colruyt SA(1) 200 131,590
- ----------------------------------------------------------------------------------------
Koninklijke Ahold NV 6,000 206,667
- ----------------------------------------------------------------------------------------
SUPERVALU, Inc. 5,900 151,556
- ----------------------------------------------------------------------------------------
Whole Foods Market, Inc.(1) 2,000 96,125
- ----------------------------------------------------------------------------------------
William Morrison Supermarkets plc 66,000 149,812
----------
957,469
- ----------------------------------------------------------------------------------------
Household Goods--0.8%
Blyth Industries, Inc.(1) 3,600 123,750
- ----------------------------------------------------------------------------------------
Kimberly-Clark Corp. 6,000 342,000
- ----------------------------------------------------------------------------------------
L'OREAL 150 101,400
- ----------------------------------------------------------------------------------------
Premark International, Inc. 4,400 165,000
----------
732,150
- ----------------------------------------------------------------------------------------
Tobacco--0.3%
Philip Morris Cos., Inc. 7,000 281,312
========================================================================================
Energy--3.4%
- ----------------------------------------------------------------------------------------
Energy Services--0.3%
Anadarko Petroleum Corp. 1,100 40,494
- ----------------------------------------------------------------------------------------
Catalytica, Inc.(1) 7,300 102,200
- ----------------------------------------------------------------------------------------
ENSCO International, Inc. 2,300 45,856
- ----------------------------------------------------------------------------------------
Global Marine, Inc.(1) 2,800 43,225
----------
231,775
- ----------------------------------------------------------------------------------------
Oil: Domestic--2.1%
Apache Corp. 1,200 46,800
- ----------------------------------------------------------------------------------------
Atlantic Richfield Co. 2,800 233,975
- ----------------------------------------------------------------------------------------
Burlington Resources, Inc. 1,000 43,250
- ----------------------------------------------------------------------------------------
Chevron Corp. 2,800 266,525
- ----------------------------------------------------------------------------------------
Conoco, Inc., Cl. A 2,300 64,112
- ----------------------------------------------------------------------------------------
Exxon Corp. 7,600 586,150
- ----------------------------------------------------------------------------------------
Mobil Corp. 3,100 306,900
- ----------------------------------------------------------------------------------------
Occidental Petroleum Corp. 5,400 114,075
- ----------------------------------------------------------------------------------------
Texaco, Inc. 2,200 137,500
----------
1,799,287
</TABLE>
8 LifeSpan Balanced Portfolio
<PAGE>
- --------------------------------------------------------------------------------
Statement of Investments (Unaudited) (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market Value
Shares Note 1
- -----------------------------------------------------------------------------------------------
<S> <C> <C>
Oil: International--1.0%
BP Amoco plc, ADR 3,885 $ 421,523
- -----------------------------------------------------------------------------------------------
Shell Transport & Trading Co. plc 34,000 254,974
- -----------------------------------------------------------------------------------------------
Total Fina SA, Sponsored ADR(1) 1,100 70,881
- -----------------------------------------------------------------------------------------------
Total SA, B Shares(1) 1,200 154,815
----------
902,193
===============================================================================================
Financial--9.4%
- -----------------------------------------------------------------------------------------------
Banks--2.6%
Argentaria SA 6,000 136,685
- -----------------------------------------------------------------------------------------------
Banca Poplare di Brescia 3,000 128,548
- -----------------------------------------------------------------------------------------------
Banco Popular Espanol SA 900 64,738
- -----------------------------------------------------------------------------------------------
Bank of America Corp. 1,100 80,644
- -----------------------------------------------------------------------------------------------
Bank of Scotland(1) 9,000 119,168
- -----------------------------------------------------------------------------------------------
Bank United Corp., Cl. A 500 20,094
- -----------------------------------------------------------------------------------------------
Chase Manhattan Corp. 3,900 337,838
- -----------------------------------------------------------------------------------------------
First Union Corp. 1,200 56,400
- -----------------------------------------------------------------------------------------------
J.P. Morgan & Co., Inc. 1,100 154,550
- -----------------------------------------------------------------------------------------------
Lloyds TSB Group plc 14,000 189,787
- -----------------------------------------------------------------------------------------------
National City Corp. 2,500 163,750
- -----------------------------------------------------------------------------------------------
Nordbanken Holding AB 25,000 146,146
- -----------------------------------------------------------------------------------------------
Old Kent Financial Corp. 1,575 65,953
- -----------------------------------------------------------------------------------------------
Roslyn Bancorp, Inc. 1,600 27,500
- -----------------------------------------------------------------------------------------------
Union Planters Corp. 2,000 89,375
- -----------------------------------------------------------------------------------------------
UnionBanCal Corp. 7,800 281,775
- -----------------------------------------------------------------------------------------------
Wachovia Corp. 2,400 205,350
----------
2,268,301
- -----------------------------------------------------------------------------------------------
Diversified Financial--1.8%
AMBAC Financial Group, Inc. 1,500 85,688
- -----------------------------------------------------------------------------------------------
Cattles plc 30,000 162,201
- -----------------------------------------------------------------------------------------------
Citigroup, Inc. 3,300 156,750
- -----------------------------------------------------------------------------------------------
Credit Saison Co. Ltd. 6,000 125,417
- -----------------------------------------------------------------------------------------------
Fannie Mae 1,000 68,375
- -----------------------------------------------------------------------------------------------
Freddie Mac 2,300 133,400
- -----------------------------------------------------------------------------------------------
ING Groep NV 2,500 135,355
- -----------------------------------------------------------------------------------------------
Lend Lease Corp. Ltd. 7,000 96,112
- -----------------------------------------------------------------------------------------------
Morgan Stanley Dean Witter & Co. 700 71,750
- -----------------------------------------------------------------------------------------------
Nationwide Financial Services, Inc., Cl. A 1,800 81,450
- -----------------------------------------------------------------------------------------------
Northern Rock plc 16,000 120,555
- -----------------------------------------------------------------------------------------------
Perlis Plantations Berhad(2) 17,500 20,447
- -----------------------------------------------------------------------------------------------
Promise Co. Ltd. 2,900 171,312
- -----------------------------------------------------------------------------------------------
Reckson Associates Realty Corp., Cl. B(1) 3,211 76,663
- -----------------------------------------------------------------------------------------------
Swire Pacific Ltd., Cl. B 120,000 89,707
----------
1,595,182
</TABLE>
LifeSpan Balanced Portfolio 9
<PAGE>
- --------------------------------------------------------------------------------
Statement of Investments (Unaudited) (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market Value
Shares Note 1
- ---------------------------------------------------------------------------------------------
<S> <C> <C>
Insurance--4.2%
ACE Ltd. 2,900 $ 81,925
- ---------------------------------------------------------------------------------------------
Advance Paradigm, Inc.(1) 1,600 97,600
- ---------------------------------------------------------------------------------------------
AEGON NV 1,600 116,080
- ---------------------------------------------------------------------------------------------
Allstate Corp. 5,000 179,375
- ---------------------------------------------------------------------------------------------
American General Corp. 5,200 391,950
- ---------------------------------------------------------------------------------------------
American International Group, Inc. 700 81,944
- ---------------------------------------------------------------------------------------------
Assicurazioni Generali SpA 4,000 138,603
- ---------------------------------------------------------------------------------------------
AXA SA 1,300 158,600
- ---------------------------------------------------------------------------------------------
Chubb Corp. 1,500 104,250
- ---------------------------------------------------------------------------------------------
Cigna Corp. 2,600 231,400
- ---------------------------------------------------------------------------------------------
Equitable Cos., Inc. 2,400 160,800
- ---------------------------------------------------------------------------------------------
Hartford Financial Services Group, Inc. 1,600 93,300
- ---------------------------------------------------------------------------------------------
Hartford Life, Inc., Cl. A 900 47,363
- ---------------------------------------------------------------------------------------------
HSB Group, Inc. 3,750 154,453
- ---------------------------------------------------------------------------------------------
Irish Life & Permanent plc 9,127 96,477
- ---------------------------------------------------------------------------------------------
Jefferson-Pilot Corp. 3,800 251,513
- ---------------------------------------------------------------------------------------------
Lincoln National Corp. 6,400 334,800
- ---------------------------------------------------------------------------------------------
Marsh & McLennan Cos., Inc. 3,600 271,800
- ---------------------------------------------------------------------------------------------
Old Republic International Corp. 2,900 50,206
- ---------------------------------------------------------------------------------------------
Provident Companies, Inc. 1,800 72,000
- ---------------------------------------------------------------------------------------------
Safeco Corp. 3,400 150,025
- ---------------------------------------------------------------------------------------------
St. Paul Cos., Inc. 2,400 76,350
- ---------------------------------------------------------------------------------------------
Transamerica Corp. 2,800 210,000
- ---------------------------------------------------------------------------------------------
Travelers Property Casualty Corp., Cl. A 2,900 113,463
----------
3,664,277
- ---------------------------------------------------------------------------------------------
Real Estate Investment Trusts--0.7%
Camden Property Trust 5,400 149,850
- ---------------------------------------------------------------------------------------------
Cornerstone Properties, Inc. 9,500 150,813
- ---------------------------------------------------------------------------------------------
Healthcare Realty Trust, Inc. 5,366 112,686
- ---------------------------------------------------------------------------------------------
HRPT Properties Trust 7,300 111,781
- ---------------------------------------------------------------------------------------------
Meditrust Corp., Paired Stock 4,325 56,495
----------
581,625
- ---------------------------------------------------------------------------------------------
Savings & Loans--0.1%
Greenpoint Financial Corp. 3,100 101,719
=============================================================================================
Healthcare--3.6%
- ---------------------------------------------------------------------------------------------
Healthcare/Drugs--1.9%
Abbott Laboratories 2,500 113,750
- ---------------------------------------------------------------------------------------------
Fresenius AG, Preference 800 140,253
- ---------------------------------------------------------------------------------------------
Gedeon Richter Ltd., GDR(3) 2,000 87,500
- ---------------------------------------------------------------------------------------------
Glaxo Wellcome plc 5,000 138,951
- ---------------------------------------------------------------------------------------------
Jones Pharma, Inc. 3,100 122,063
</TABLE>
10 LifeSpan Balanced Portfolio
<PAGE>
- --------------------------------------------------------------------------------
Statement of Investments (Unaudited) (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market Value
Shares Note 1
- ---------------------------------------------------------------------------------------------------
<S> <C> <C>
Healthcare/Drugs (continued)
Medicis Pharmaceutical Corp., Cl. A(1) 3,400 $ 86,275
- ---------------------------------------------------------------------------------------------------
Novartis AG 100 146,019
- ---------------------------------------------------------------------------------------------------
Osteotech, Inc.(1) 3,100 89,125
- ---------------------------------------------------------------------------------------------------
Pharmacia & Upjohn, Inc. 1,600 90,900
- ---------------------------------------------------------------------------------------------------
Pliva d.d., Sponsored GDR(3) 5,100 76,755
- ---------------------------------------------------------------------------------------------------
Roberts Pharmaceutical Corp.(1) 4,600 111,550
- ---------------------------------------------------------------------------------------------------
Sanofi-Synthelabo SA(1) 4,800 203,697
- ---------------------------------------------------------------------------------------------------
Schering AG 1,000 106,840
- ---------------------------------------------------------------------------------------------------
Takeda Chemical Industries Ltd. 3,000 139,049
----------
1,652,727
- ---------------------------------------------------------------------------------------------------
Healthcare/Supplies & Services--1.7%
Beckman Coulter, Inc. 1,700 82,663
- ---------------------------------------------------------------------------------------------------
Hoya Corp. 2,000 112,859
- ---------------------------------------------------------------------------------------------------
Laser Vision Centers, Inc.(1) 2,100 132,300
- ---------------------------------------------------------------------------------------------------
Luxottica Group SpA, Sponsored ADR 10,000 155,625
- ---------------------------------------------------------------------------------------------------
Molecular Devices Corp.(1) 3,500 131,250
- ---------------------------------------------------------------------------------------------------
Olympus Optical Co. Ltd. 11,000 162,588
- ---------------------------------------------------------------------------------------------------
Perclose, Inc.(1) 2,200 105,738
- ---------------------------------------------------------------------------------------------------
Renal Care Group, Inc.(1) 3,000 77,625
- ---------------------------------------------------------------------------------------------------
SmithKline Beecham plc 15,000 194,949
- ---------------------------------------------------------------------------------------------------
Terumo Corp. 7,000 155,863
- ---------------------------------------------------------------------------------------------------
Xomed Surgical Products, Inc.(1) 3,500 170,406
---------
1,481,866
===================================================================================================
Technology--10.5%
- ---------------------------------------------------------------------------------------------------
Computer Hardware--1.8%
Apple Computer, Inc.(1) 2,600 120,413
- ---------------------------------------------------------------------------------------------------
Cognex Corp.(1) 5,000 157,813
- ---------------------------------------------------------------------------------------------------
Extreme Networks, Inc.(1) 2,300 133,544
- ---------------------------------------------------------------------------------------------------
Hewlett-Packard Co. 1,700 170,850
- ---------------------------------------------------------------------------------------------------
International Business Machines Corp. 3,600 465,300
- ---------------------------------------------------------------------------------------------------
Lexmark International Group, Inc., Cl. A(1) 1,200 79,275
- ---------------------------------------------------------------------------------------------------
MMC Networks, Inc.(1) 2,700 120,825
- ---------------------------------------------------------------------------------------------------
Network Appliance, Inc.(1) 3,800 212,325
- ---------------------------------------------------------------------------------------------------
NVIDIA Corp.(1) 6,800 130,050
----------
1,590,395
- ---------------------------------------------------------------------------------------------------
Computer Services--1.6%
Applied Micro Circuits Corp.(1) 4,300 353,675
- ---------------------------------------------------------------------------------------------------
Cognizant Technology Solutions Corp.(1) 3,600 93,825
- ---------------------------------------------------------------------------------------------------
Diamond Technology Partners, Inc.(1) 6,500 145,438
- ---------------------------------------------------------------------------------------------------
Eclipsys Corp.(1) 5,000 119,688
- ---------------------------------------------------------------------------------------------------
First Data Corp. 3,600 176,175
</TABLE>
LifeSpan Balanced Portfolio 11
<PAGE>
- --------------------------------------------------------------------------------
Statement of Investments (Unaudited) (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market Value
Shares Note 1
- --------------------------------------------------------------------------------------
<S> <C> <C>
Computer Services (continued)
MedQuist, Inc.(1) 4,500 $ 196,875
- --------------------------------------------------------------------------------------
NCO Group, Inc.(1) 3,300 125,400
- --------------------------------------------------------------------------------------
QRS Corp.(1) 1,400 109,200
- --------------------------------------------------------------------------------------
Transaction Systems Architects, Inc., Cl. A(1) 2,400 93,600
----------
1,413,876
- --------------------------------------------------------------------------------------
Computer Software--4.1%
Actuate Corp.(1) 3,300 87,450
- --------------------------------------------------------------------------------------
Advent Software, Inc.(1) 2,100 140,700
- --------------------------------------------------------------------------------------
Aware, Inc.(1) 2,800 129,150
- --------------------------------------------------------------------------------------
BindView Development Corp.(1) 4,300 102,125
- --------------------------------------------------------------------------------------
BISYS Group, Inc. (The)(1) 700 40,950
- --------------------------------------------------------------------------------------
BroadVision, Inc.(1) 3,300 243,375
- --------------------------------------------------------------------------------------
Dendrite International, Inc.(1) 7,600 274,550
- --------------------------------------------------------------------------------------
DSET Corp.(1) 6,300 87,806
- --------------------------------------------------------------------------------------
Exchange Applications, Inc.(1) 4,200 171,150
- --------------------------------------------------------------------------------------
Getronics NV 4,000 153,866
- --------------------------------------------------------------------------------------
Great Plains Software, Inc.(1) 2,700 127,406
- --------------------------------------------------------------------------------------
International Integration, Inc.(1) 5,700 128,250
- --------------------------------------------------------------------------------------
International Network Services(1) 3,700 149,388
- --------------------------------------------------------------------------------------
Legato Systems, Inc.(1) 3,500 202,125
- --------------------------------------------------------------------------------------
Logica plc 8,000 84,111
- --------------------------------------------------------------------------------------
Macromedia, Inc.(1) 3,200 112,800
- --------------------------------------------------------------------------------------
Mercury Interactive Corp.(1) 6,700 237,013
- --------------------------------------------------------------------------------------
Micromuse, Inc.(1) 2,400 119,700
- --------------------------------------------------------------------------------------
New Era of Networks, Inc.(1) 5,900 259,231
- --------------------------------------------------------------------------------------
Sapient Corp.(1) 2,200 124,575
- --------------------------------------------------------------------------------------
Scient Corp.(1) 2,700 128,419
- --------------------------------------------------------------------------------------
TSI International Software Ltd.(1) 5,000 141,875
- --------------------------------------------------------------------------------------
USWeb Corp.(1) 4,400 97,625
- --------------------------------------------------------------------------------------
Verity, Inc.(1) 2,500 135,469
- --------------------------------------------------------------------------------------
Visio Corp.(1) 3,100 117,994
----------
3,597,103
- --------------------------------------------------------------------------------------
Communications Equipment--0.5%
Excel Switching Corp.(1) 2,800 83,825
- --------------------------------------------------------------------------------------
Harmonic, Inc.(1) 1,900 109,131
- --------------------------------------------------------------------------------------
Vodafone Group plc, Sponsored ADR 1,400 275,800
----------
468,756
</TABLE>
12 LifeSpan Balanced Portfolio
<PAGE>
- --------------------------------------------------------------------------------
Statement of Investments (Unaudited) (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market Value
Shares Note 1
- --------------------------------------------------------------------------------------------
<S> <C> <C>
Electronics--2.5%
ANADIGICS, Inc.(1) 3,600 $ 133,200
- --------------------------------------------------------------------------------------------
Bowthorpe plc 18,000 158,040
- --------------------------------------------------------------------------------------------
Brooks Automation, Inc.(1) 4,300 116,369
- --------------------------------------------------------------------------------------------
Cymer, Inc.(1) 4,700 117,500
- --------------------------------------------------------------------------------------------
Electrocomponents plc 20,000 147,699
- --------------------------------------------------------------------------------------------
Galileo Technology Ltd.(1) 3,100 140,469
- --------------------------------------------------------------------------------------------
hi/fn, inc.(1) 1,900 144,638
- --------------------------------------------------------------------------------------------
Hoshiden Corp. 9,000 194,074
- --------------------------------------------------------------------------------------------
QLogic Corp.(1) 2,000 264,000
- --------------------------------------------------------------------------------------------
RF Micro Devices, Inc.(1) 4,700 350,738
- --------------------------------------------------------------------------------------------
SDL, Inc.(1) 2,000 102,125
- --------------------------------------------------------------------------------------------
Sony Corp. 1,400 150,947
- --------------------------------------------------------------------------------------------
VTech Holdings Ltd. 53,000 168,387
----------
2,188,186
============================================================================================
Transportation--1.3%
- --------------------------------------------------------------------------------------------
Air Transportation--0.6%
AHL Services, Inc.(1) 6,100 152,119
- --------------------------------------------------------------------------------------------
BAA plc 14,000 134,616
- --------------------------------------------------------------------------------------------
Continental Airlines, Inc., Cl. B(1) 1,600 60,200
- --------------------------------------------------------------------------------------------
Delta Air Lines, Inc. 1,600 92,200
- --------------------------------------------------------------------------------------------
Frontier Airlines, Inc.(1) 5,800 93,525
----------
532,660
- --------------------------------------------------------------------------------------------
Railroads & Truckers--0.7%
Burlington Northern Santa Fe Corp. 2,100 65,100
- --------------------------------------------------------------------------------------------
GATX Corp. 8,600 327,338
- --------------------------------------------------------------------------------------------
MotivePower Industries, Inc.(1) 5,250 94,500
- --------------------------------------------------------------------------------------------
Union Pacific Corp. 1,500 87,469
----------
574,407
============================================================================================
Utilities--5.0%
- --------------------------------------------------------------------------------------------
Electric Utilities--3.7%
Carolina Power & Light Co. 1,900 81,344
- --------------------------------------------------------------------------------------------
CLP Holdings Ltd. 20,000 97,182
- --------------------------------------------------------------------------------------------
Conectiv, Inc. 7,600 185,725
- --------------------------------------------------------------------------------------------
Duke Energy Corp. 7,717 419,612
- --------------------------------------------------------------------------------------------
Endesa SA 6,000 127,960
- --------------------------------------------------------------------------------------------
Entergy Corp. 1,100 34,375
- --------------------------------------------------------------------------------------------
FPL Group, Inc. 6,200 338,675
- --------------------------------------------------------------------------------------------
Kansas City Power & Light Co. 5,600 142,800
- --------------------------------------------------------------------------------------------
Montana Power Co. 2,000 141,000
- --------------------------------------------------------------------------------------------
Peco Energy Co. 8,800 368,500
- --------------------------------------------------------------------------------------------
PG&E Corp. 7,900 256,750
- --------------------------------------------------------------------------------------------
Potomac Electric Power Co. 2,800 82,425
</TABLE>
LifeSpan Balanced Portfolio 13
<PAGE>
- --------------------------------------------------------------------------------
Statement of Investments (Unaudited) (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market Value
Shares Note 1
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Electric Utilities (continued)
Public Service Enterprise Group, Inc. 3,900 $ 159,413
- -------------------------------------------------------------------------------------------------------------
Reliant Energy, Inc. 8,000 221,000
- -------------------------------------------------------------------------------------------------------------
Texas Utilities Co. 3,500 144,375
- -------------------------------------------------------------------------------------------------------------
Unicom Corp. 3,400 131,113
- -------------------------------------------------------------------------------------------------------------
Vivendi (Ex-Generale des Eaux) 1,963 159,016
- -------------------------------------------------------------------------------------------------------------
Western Resources, Inc. 4,400 117,150
-----------
3,208,415
- -------------------------------------------------------------------------------------------------------------
Gas Utilities--1.3%
El Paso Energy Corp. 13,800 485,588
- -------------------------------------------------------------------------------------------------------------
Hong Kong & China Gas Co. Ltd. 66,000 95,700
- -------------------------------------------------------------------------------------------------------------
MCN Energy Group, Inc. 4,300 89,225
- -------------------------------------------------------------------------------------------------------------
National Fuel Gas Co. 4,400 213,400
- -------------------------------------------------------------------------------------------------------------
NICOR, Inc. 1,500 57,094
- -------------------------------------------------------------------------------------------------------------
Questar Corp. 8,200 156,825
-----------
1,097,832
-----------
Total Common Stocks (Cost $41,800,180) 50,177,105
=============================================================================================================
Preferred Stocks--0.1%
- -------------------------------------------------------------------------------------------------------------
PRIMEDIA, Inc., 10% Cum., Series D, Non-Vtg.(2) 1,000 101,125
- -------------------------------------------------------------------------------------------------------------
TCR Holding Corp.:
Series B(2) 88 5
Series C(2) 48 3
Series D(2) 127 7
Series E(2) 263 16
----------
Total Preferred Stocks (Cost $100,031) 101,156
<CAPTION>
Units
=============================================================================================================
Rights, Warrants and Certificates--0.0%
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Diva Systems Corp. Wts., Exp. 3/08(2) (Cost $0) 600 7,200
<CAPTION>
Principal
Amount
<S> <C> <C>
=============================================================================================================
Asset-Backed Securities--0.7%
- -------------------------------------------------------------------------------------------------------------
Arcadia Automobile Receivables Trust, Automobile Receivables-Backed Nts.,
Series 1998-B, Cl. A3, 5.95%, 11/15/02 $175,000 174,563
- -------------------------------------------------------------------------------------------------------------
Dayton Hudson Credit Card Master Trust, Asset-Backed Certificates,
Series 1997-1, Cl. A, 6.25%, 8/25/05 125,000 123,906
- -------------------------------------------------------------------------------------------------------------
IROQUOIS Trust, Asset-Backed Amortizing Nts.,
Series 1997-2, Cl. A, 6.752%, 6/25/07(2) 175,000 173,510
- -------------------------------------------------------------------------------------------------------------
Olympic Automobile Receivables Trust, Automobile Receivables-Backed Nts.,
Series 1997-A, Cl. A-5, 6.80%, 2/15/05(2) 150,000 150,539
----------
Total Asset-Backed Securities (Cost $624,567) 622,518
</TABLE>
14 LifeSpan Balanced Portfolio
<PAGE>
- --------------------------------------------------------------------------------
Statement of Investments (Unaudited) (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Market Value
Amount Note 1
================================================================================================================================
<S> <C> <C>
Mortgage-Backed Obligations--2.3%
- --------------------------------------------------------------------------------------------------------------------------------
Countrywide Funding Corp., Mtg. Pass-Through
Certificates, Series 1994-10, Cl. A3, 6%, 5/25/09 $ 350,000 $ 345,951
- --------------------------------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn.:
6%, 12/1/03 106,144 104,641
6.50%, 4/1/26 147,809 142,827
7%, 4/1/00 46,172 46,217
- --------------------------------------------------------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp., Collateralized Mtg. Obligations,
Gtd. Multiclass Mtg. Participation Certificates, Series 1711, Cl. EA, 7%, 3/15/24 200,000 197,750
- --------------------------------------------------------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp., Gtd. Multiclass Mtg. Participation Certificates:
6%, 3/1/09 139,289 136,169
Series 1843, Cl. VB, 7%, 4/15/03 50,000 50,578
Series 1849, Cl. VA, 6%, 12/15/10 98,236 97,868
- --------------------------------------------------------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp., Interest-Only Stripped Mtg.-Backed Security:
Series 1542, Cl. QC, 7%, 10/15/20(4) 900,000 111,375
Series 1583, Cl. IC, 7%, 1/15/20(4) 725,370 66,190
Series 1661, Cl. PK, 6.50%, 11/15/06(4) 553,056 26,094
- --------------------------------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn., Collateralized Mtg. Obligations, Gtd. Real Estate Mtg.
Investment Conduit Pass-Through Certificates, Trust 1993-190, Cl. Z, 5.85%, 7/25/08 106,231 106,065
- --------------------------------------------------------------------------------------------------------------------------------
GE Capital Mortgage Services, Inc., Gtd. Real Estate Mtg. Investment Conduit
Pass-Through Certificates, Series 1994-7, Cl. A18, 6%, 2/25/09 248,607 231,048
- --------------------------------------------------------------------------------------------------------------------------------
IMC Home Equity Trust, Asset-Backed Home Equity Securities,
Series 1998-3, Cl. A5, 6.36%, 8/20/22(5) 350,000 342,453
----------
Total Mortgage-Backed Obligations (Cost $2,023,383) 2,005,226
================================================================================================================================
U.S. Government Obligations--10.6%
- --------------------------------------------------------------------------------------------------------------------------------
Federal Farm Credit Bank, Medium-Term Nts., 5.24%, 10/1/08 175,000 159,458
- --------------------------------------------------------------------------------------------------------------------------------
Federal Home Loan Bank, 5.57%, 8/17/00 350,000 350,000
- --------------------------------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn. Nts., 5.125%, 2/13/04 1,350,000 1,294,313
- --------------------------------------------------------------------------------------------------------------------------------
U.S. Treasury Bonds:
6%, 2/15/26 575,000 559,367
7.50%, 11/15/16 1,310,000 1,472,931
STRIPS, 5.67%, 11/15/18(6) 1,500,000 442,670
- --------------------------------------------------------------------------------------------------------------------------------
U.S. Treasury Nts.:
5.625%, 2/15/06 500,000 492,500
5.625%, 5/15/08 250,000 244,922
5.75%, 8/15/03 1,000,000 1,000,313
6.125%, 8/15/07 350,000 353,938
6.50%, 8/15/05 945,000 974,531
7.50%, 11/15/01 1,775,000 1,849,328
----------
Total U.S. Government Obligations (Cost $9,389,610) 9,194,271
================================================================================================================================
Non-Convertible Corporate Bonds and Notes--20.1%
================================================================================================================================
Basic Materials--1.6%
- --------------------------------------------------------------------------------------------------------------------------------
Chemicals--0.6%
Laroche Industries, Inc., 9.50% Sr. Sub. Nts., Series B, 9/15/07 125,000 99,375
- --------------------------------------------------------------------------------------------------------------------------------
Morton International, Inc., 9.25% Credit Sensitive Nts., 6/1/20 50,000 57,965
</TABLE>
LifeSpan Balanced Portfolio 15
<PAGE>
- --------------------------------------------------------------------------------
Statement of Investments (Unaudited) (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Market Value
Amount Note 1
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Chemicals (continued)
PPG Industries, Inc., 9% Debs., 5/1/21 $ 50,000 $ 58,174
- --------------------------------------------------------------------------------------------------------------------------------
Rexene Corp., 11.75% Sr. Nts., 12/1/04(2) 125,000 133,125
- --------------------------------------------------------------------------------------------------------------------------------
Sterling Chemicals Holdings, Inc., 0%/13.50% Sr. Disc. Nts., 8/15/08(7) 125,000 38,125
- --------------------------------------------------------------------------------------------------------------------------------
Texas Petrochemical Corp., 11.125% Sr. Sub. Nts., Series B, 7/1/06 125,000 113,125
--------
499,889
- --------------------------------------------------------------------------------------------------------------------------------
Metals--0.5%
Alcan Aluminum Ltd., 9.625% Debs., 7/15/19 100,000 104,715
- --------------------------------------------------------------------------------------------------------------------------------
Algoma Steel, Inc., 12.375% First Mtg. Nts., 7/15/05 100,000 98,500
- --------------------------------------------------------------------------------------------------------------------------------
Gulf States Steel, Inc. (Alabama), 13.50% First Mtg. Nts., Series B, 4/15/03(8) 125,000 30,781
- --------------------------------------------------------------------------------------------------------------------------------
International Utility Structures, Inc., 10.75% Sr. Sub. Nts., 2/1/08 100,000 100,750
- --------------------------------------------------------------------------------------------------------------------------------
National Steel Corp., 9.875% Nts., Series B, 3/1/09(3) 50,000 51,125
- --------------------------------------------------------------------------------------------------------------------------------
WCI Steel, Inc., 10% Sr. Nts., Series B, 12/1/04 75,000 76,687
--------
462,558
- --------------------------------------------------------------------------------------------------------------------------------
Paper--0.5%
Ainsworth Lumber, Inc., 12.50% Sr. Nts., 7/15/07(9) 125,000 140,312
- --------------------------------------------------------------------------------------------------------------------------------
Malette, Inc., 12.25% Sr. Sec. Nts., 7/15/04(2) 125,000 132,500
- --------------------------------------------------------------------------------------------------------------------------------
Stone Container Corp., 9.875% Sr. Nts., 2/1/01 125,000 126,406
--------
399,218
================================================================================================================================
Capital Goods--3.1%
- --------------------------------------------------------------------------------------------------------------------------------
Industrial Services--2.3%
Advance Holding Corp., 0%/12.875% Sr. Disc. Nts., 4/15/09(2)(7) 100,000 54,500
- --------------------------------------------------------------------------------------------------------------------------------
Advance Stores Co., Inc., 10.25% Sr. Unsec. Sub. Nts., Series B, 4/15/08(2) 125,000 120,625
- --------------------------------------------------------------------------------------------------------------------------------
Applied Extrusion Technologies, Inc., 11.50% Sr. Nts., Series B, 4/1/02(2) 75,000 76,594
- --------------------------------------------------------------------------------------------------------------------------------
Armco, Inc., 9% Sr. Unsec. Nts., 9/15/07 50,000 51,500
- --------------------------------------------------------------------------------------------------------------------------------
Coinstar, Inc., 0%/13% Sr. Disc. Nts., 10/1/06(7) 50,000 51,250
- --------------------------------------------------------------------------------------------------------------------------------
Dura Operating Corp., 9% Sr. Sub. Nts., 5/1/09(3) 100,000 96,000
- --------------------------------------------------------------------------------------------------------------------------------
Employee Solutions, Inc., 10% Sr. Unsec. Nts., Series B, 10/15/04(2) 125,000 75,469
- --------------------------------------------------------------------------------------------------------------------------------
Fisher Scientific International, Inc., 9% Sr. Unsec. Sub. Nts., 2/1/08 100,000 95,500
- --------------------------------------------------------------------------------------------------------------------------------
Iron Mountain, Inc., 8.25% Sr. Sub. Nts., 7/1/11(3) 50,000 47,000
- --------------------------------------------------------------------------------------------------------------------------------
Jordan Telecommunication Products, Inc., 9.875% Sr. Nts., Series B, 8/1/07(2) 50,000 49,750
- --------------------------------------------------------------------------------------------------------------------------------
KSL Recreation Group, Inc., 10.25% Sr. Sub. Nts., 5/1/07(2) 100,000 102,000
- --------------------------------------------------------------------------------------------------------------------------------
Logix Communications Enterprises, Inc., 12.25% Sr. Unsec. Nts., 6/15/08 100,000 90,500
- --------------------------------------------------------------------------------------------------------------------------------
Maxim Group, Inc. (The), 9.25% Sr. Sub. Nts., Series B, 10/15/07(2) 50,000 48,750
- --------------------------------------------------------------------------------------------------------------------------------
Mrs. Fields Holding Co., Units (each unit consists of $1,000 principal amount of 0%/14%
sr. sec. discount nts., 12/1/05 and warrants to purchase shares of common stock)(2)(7)(10) 150,000 73,500
- --------------------------------------------------------------------------------------------------------------------------------
Ocean Energy, Inc., 8.375% Sr. Unsec. Sub. Nts., Series B, 7/1/08 125,000 121,875
- --------------------------------------------------------------------------------------------------------------------------------
Production Resource Group LLC/PRG Finance Corp., 11.50% Sr. Unsec. Sub. Nts., 1/15/08(2) 75,000 76,875
- --------------------------------------------------------------------------------------------------------------------------------
Scotia Pacific Co. LLC, 6.55% Timber Collaterized Nts., Series B, Cl. A-1, 1/20/07 193,328 177,822
- --------------------------------------------------------------------------------------------------------------------------------
Simonds Industries, Inc., 10.25% Sr. Unsec. Sub. Nts., 7/1/08(2) 125,000 123,125
- --------------------------------------------------------------------------------------------------------------------------------
Sun Co., Inc., 7.95% Debs., 12/15/01 125,000 127,942
- --------------------------------------------------------------------------------------------------------------------------------
Thermadyne Holdings Corp., 0%/12.50% Sr. Disc. Debs., 6/1/08(2)(7) 50,000 24,000
</TABLE>
16 LifeSpan Balanced Portfolio
<PAGE>
- --------------------------------------------------------------------------------
Statement of Investments (Unaudited) (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Market Value
Amount Note 1
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Industrial Services (continued)
Tyco International Group SA, 6.125% Unsec. Nts., 6/15/01 $175,000 $ 174,465
- --------------------------------------------------------------------------------------------------------------------------------
USI American Holdings, Inc., 7.25% Sr. Nts., Series B, 12/1/06 120,000 118,151
----------
1,977,193
- --------------------------------------------------------------------------------------------------------------------------------
Manufacturing--0.8%
Federal-Mogul Corp., 7.50% Nts., 7/1/04 125,000 121,500
- --------------------------------------------------------------------------------------------------------------------------------
Jordan Industries, Inc., 10.375% Sr. Nts., Series B, 8/1/07(2) 125,000 127,187
- --------------------------------------------------------------------------------------------------------------------------------
Portola Packaging, Inc., 10.75% Sr. Nts., 10/1/05(2) 125,000 128,125
- --------------------------------------------------------------------------------------------------------------------------------
Titan Wheel International, Inc., 8.75% Sr. Sub. Nts., 4/1/07 100,000 93,750
- --------------------------------------------------------------------------------------------------------------------------------
U.S. Industries, Inc., 7.125% Sr. Nts., 10/15/03(3) 225,000 222,708
----------
693,270
================================================================================================================================
Communication Services--3.5%
- --------------------------------------------------------------------------------------------------------------------------------
Telecommunications: Long Distance--2.5%
AT&T Capital Corp., 6.25% Medium-Term Nts., Series F, 5/15/01 175,000 172,259
- --------------------------------------------------------------------------------------------------------------------------------
Coaxial Communications, Inc., 10% Sr. Unsec. Nts., 8/15/06(2) 125,000 127,031
- --------------------------------------------------------------------------------------------------------------------------------
Comcast UK Cable Partner Ltd., 0%/11.20% Sr. Disc. Debs., 11/15/07(7) 125,000 114,531
- --------------------------------------------------------------------------------------------------------------------------------
Diamond Cable Communications plc, 0%/10.75% Sr. Disc. Nts., 2/15/07(7) 125,000 96,875
- --------------------------------------------------------------------------------------------------------------------------------
e.spire Communications, Inc., 0%/13% Sr. Disc. Nts., 11/1/05(7) 100,000 53,500
- --------------------------------------------------------------------------------------------------------------------------------
Exodus Communications, Inc., 11.25% Sr. Nts., 7/1/08 125,000 131,875
- --------------------------------------------------------------------------------------------------------------------------------
Globix Corp., 13% Sr. Unsec. Nts., 5/1/05(2) 100,000 96,000
- --------------------------------------------------------------------------------------------------------------------------------
GST USA, Inc., 0%/13.875% Gtd. Sr. Disc. Nts., 12/15/05(7) 125,000 103,125
- --------------------------------------------------------------------------------------------------------------------------------
Hermes Europe Railtel BV, 10.375% Sr. Unsec. Nts., 1/15/09 125,000 127,187
- --------------------------------------------------------------------------------------------------------------------------------
ICG Holdings, Inc., 0%/11.625% Sr. Disc. Nts., 3/15/07(7) 125,000 87,187
- --------------------------------------------------------------------------------------------------------------------------------
International CableTel, Inc., 0%/11.50% Sr. Deferred Coupon Nts., Series B, 2/1/06(2)(7) 200,000 175,500
- --------------------------------------------------------------------------------------------------------------------------------
IXC Communications, Inc., 9% Sr. Sub. Nts., 4/15/08 50,000 48,000
- --------------------------------------------------------------------------------------------------------------------------------
Level 3 Communications, Inc., 9.125% Sr. Unsec. Nts., 5/1/08 125,000 123,437
- --------------------------------------------------------------------------------------------------------------------------------
Optel, Inc., 11.50% Sr. Unsec. Nts., 7/1/08 125,000 90,625
- --------------------------------------------------------------------------------------------------------------------------------
PSINet, Inc., 11.50% Sr. Unsec. Nts., 11/1/08 100,000 106,000
- --------------------------------------------------------------------------------------------------------------------------------
Qwest Communications International, Inc., 0%/9.47% Sr. Disc. Nts., 10/15/07(7) 125,000 98,125
- --------------------------------------------------------------------------------------------------------------------------------
RSL Communications plc, 9.125% Sr. Unsec. Nts., 3/1/08 100,000 92,750
- --------------------------------------------------------------------------------------------------------------------------------
Telewest Communications plc:
0%/11% Sr. Disc. Debs., 10/1/07(7) 75,000 67,125
9.625% Sr. Debs., 10/1/06 75,000 77,625
- --------------------------------------------------------------------------------------------------------------------------------
US West Capital Funding, Inc., 6.125% Nts., 7/15/02 200,000 196,036
----------
2,184,793
- --------------------------------------------------------------------------------------------------------------------------------
Telephone Utilities--0.1%
Teligent, Inc., 11.50% Sr. Nts., 12/1/07 125,000 124,375
- --------------------------------------------------------------------------------------------------------------------------------
Telecommunications: Wireless--0.9%
Clearnet Communications, Inc., 0%/14.75% Sr. Disc. Nts., 12/15/05(7) 50,000 46,000
- --------------------------------------------------------------------------------------------------------------------------------
Comcast Cellular Communications, Inc., 9.50% Sr. Nts., 5/1/07 125,000 140,469
- --------------------------------------------------------------------------------------------------------------------------------
Microcell Telecommunications, Inc., 0%/14% Sr. Disc. Nts., Series B, 6/1/06(7) 125,000 101,563
- --------------------------------------------------------------------------------------------------------------------------------
Nextel Communications, Inc., 9.75% Sr. Disc. Nts., 8/15/04 150,000 153,375
</TABLE>
LifeSpan Balanced Portfolio 17
<PAGE>
- --------------------------------------------------------------------------------
Statement of Investments (Unaudited) (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Market Value
Amount Note 1
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Telecommunications: Wireless (continued)
Rural Cellular Corp., 9.625% Sr. Sub. Nts., Series B, 5/15/08 $100,000 $ 101,000
- --------------------------------------------------------------------------------------------------------------------------------
Sprint Spectrum LP/Sprint Spectrum Finance Corp., 11% Sr. Nts., 8/15/06 100,000 114,500
- --------------------------------------------------------------------------------------------------------------------------------
Western Wireless Corp., 10.50% Sr. Sub. Nts., 2/1/07(2) 50,000 53,250
- --------------------------------------------------------------------------------------------------------------------------------
Winstar Communications, Inc., 0%/14% Sr. Disc. Nts., 10/15/05(7) 50,000 44,000
----------
754,157
================================================================================================================================
Consumer Cyclicals--4.1%
- --------------------------------------------------------------------------------------------------------------------------------
Autos & Housing--0.4%
Black & Decker Corp., 6.625% Nts., 11/15/00 85,000 85,462
- --------------------------------------------------------------------------------------------------------------------------------
Cambridge Industries, Inc., 10.25% Sr. Sub. Nts., Series B, 7/15/07 125,000 102,500
- --------------------------------------------------------------------------------------------------------------------------------
Collins & Aikman Floorcoverings, Inc., 10% Sr. Sub. Nts., Series B, 1/15/07(2) 50,000 49,750
- --------------------------------------------------------------------------------------------------------------------------------
Oxford Automotive, Inc., 10.125% Sr. Unsec. Sub. Nts., 6/15/07 125,000 125,625
----------
363,337
- --------------------------------------------------------------------------------------------------------------------------------
Consumer Services--0.1%
Lamar Advertising Co., 8.625% Sr. Sub. Nts., 9/15/07 100,000 98,500
- --------------------------------------------------------------------------------------------------------------------------------
Leisure & Entertainment--2.3%
American Skiing Corp., 12% Sr. Sub. Nts., Series B, 7/15/06(2) 100,000 76,500
- --------------------------------------------------------------------------------------------------------------------------------
Ameristar Casinos, Inc., 10.50% Sr. Sub. Nts., Series B, 8/1/04 50,000 51,375
- --------------------------------------------------------------------------------------------------------------------------------
Bally Total Fitness Holding Corp., 9.875% Sr. Unsec. Sub. Nts., Series D, 10/15/07(2) 125,000 121,875
- --------------------------------------------------------------------------------------------------------------------------------
Casino Magic of Louisiana Corp., 13% First Mtg. Nts., Series B, 8/15/03 200,000 227,250
- --------------------------------------------------------------------------------------------------------------------------------
Colorado Gaming & Entertainment Co., 12% Sr. Sec. Nts., 6/1/03(2) 125,000 124,375
- --------------------------------------------------------------------------------------------------------------------------------
Florida Panthers Holdings, Inc., 9.875% Sr. Sub. Nts., 4/15/09 50,000 47,000
- --------------------------------------------------------------------------------------------------------------------------------
Hard Rock Hotel, Inc., 9.25% Sr. Sub. Nts., 4/1/05 50,000 47,375
- --------------------------------------------------------------------------------------------------------------------------------
Harveys Casino Resorts, 10.625% Sr. Unsec. Sub. Nts., 6/1/06 100,000 104,500
- --------------------------------------------------------------------------------------------------------------------------------
Hilton Hotels Corp., 7.375% Nts., 6/1/02 175,000 174,953
- --------------------------------------------------------------------------------------------------------------------------------
HMH Properties, Inc., 7.875% Sr. Nts., Series A, 8/1/05 125,000 118,750
- --------------------------------------------------------------------------------------------------------------------------------
Horseshoe Gaming LLC, 9.375% Sr. Sub. Nts., 6/15/07 50,000 51,063
- --------------------------------------------------------------------------------------------------------------------------------
Intrawest Corp., 9.75% Sr. Nts., 8/15/08 100,000 101,250
- --------------------------------------------------------------------------------------------------------------------------------
Isle of Capri Casinos, Inc., 8.75% Sr. Sub. Nts., 4/15/09(3) 100,000 94,250
- --------------------------------------------------------------------------------------------------------------------------------
Mohegan Tribal Gaming Authority, 8.125% Sr. Nts., 1/1/06 125,000 123,125
- --------------------------------------------------------------------------------------------------------------------------------
Park Place Entertainment Corp., 7.875% Sr. Unsec. Sub. Nts., 12/15/05 100,000 95,750
- --------------------------------------------------------------------------------------------------------------------------------
Players International, Inc., 10.875% Sr. Nts., 4/15/05(2) 125,000 132,188
- --------------------------------------------------------------------------------------------------------------------------------
Prime Hospitality Corp., 9.75% Sr. Sub. Nts., 4/1/07(2) 125,000 121,875
- --------------------------------------------------------------------------------------------------------------------------------
Santa Fe Hotel, Inc., 11% Gtd. First Mtg. Nts., 12/15/00 100,000 97,000
- --------------------------------------------------------------------------------------------------------------------------------
Station Casinos, Inc., 9.75% Sr. Sub. Nts., 4/15/07 125,000 127,500
----------
2,037,954
- --------------------------------------------------------------------------------------------------------------------------------
Media--0.5%
Big Flower Press Holdings, Inc., 8.625% Sr. Unsec. Sub. Nts., 12/1/08 125,000 115,625
- --------------------------------------------------------------------------------------------------------------------------------
Hollinger International Publishing, Inc., 9.25% Gtd. Sr. Sub. Nts., 3/15/07(2) 125,000 128,750
- --------------------------------------------------------------------------------------------------------------------------------
MDC Communications Corp., 10.50% Sr. Sub. Nts., 12/1/06(2) 125,000 130,625
- --------------------------------------------------------------------------------------------------------------------------------
TV Guide, Inc., 8.125% Sr. Sub. Nts., 3/1/09(3) 50,000 47,563
----------
422,563
</TABLE>
18 LifeSpan Balanced Portfolio
<PAGE>
- --------------------------------------------------------------------------------
Statement of Investments (Unaudited) (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Market Value
Amount Note 1
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Retail: General--0.3%
Federated Department Stores, Inc., 6.125% Cv. Sub. Nts., 9/1/01(5) $200,000 $ 198,761
- --------------------------------------------------------------------------------------------------------------------------------
Price/Costco Cos., Inc., 7.125% Sr. Nts., 6/15/05 90,000 91,268
----------
290,029
- --------------------------------------------------------------------------------------------------------------------------------
Retail: Specialty--0.3%
K Mart Corp., 7.75% Debs., 10/1/12 125,000 124,746
- --------------------------------------------------------------------------------------------------------------------------------
Pantry, Inc. (The), 10.25% Sr. Sub. Nts., 10/15/07 150,000 151,875
----------
276,621
- --------------------------------------------------------------------------------------------------------------------------------
Textile/Apparel & Home Furnishings--0.2%
William Carter Co., 10.375% Sr. Sub. Nts., Series A, 12/1/06 125,000 127,813
================================================================================================================================
Consumer Staples--2.7%
- --------------------------------------------------------------------------------------------------------------------------------
Broadcasting--1.9%
Adelphia Communications Corp.:
7.875% Sr. Unsec. Nts., 5/1/09 50,000 46,625
10.50% Sr. Unsec. Nts., Series B, 7/15/04 125,000 133,438
- --------------------------------------------------------------------------------------------------------------------------------
Allbritton Communications Co., 8.875% Sr. Sub. Nts., Series B, 2/1/08 125,000 120,938
- --------------------------------------------------------------------------------------------------------------------------------
Century Communications Corp.:
9.75% Sr. Nts., 2/15/02(2) 100,000 102,500
Zero Coupon Sr. Disc. Nts., Series B, 8.50%, 1/15/08(6) 50,000 22,500
- --------------------------------------------------------------------------------------------------------------------------------
Charter Communication Holdings LLC/Charter Communication Holdings Capital Corp.:
0%/9.92% Sr. Disc. Nts., 4/1/11(3)(7) 50,000 31,250
8.625% Sr. Nts., 4/1/09(3) 100,000 96,500
- --------------------------------------------------------------------------------------------------------------------------------
Comcast Corp., 9.125% Sr. Sub. Debs., 10/15/06(2) 125,000 131,875
- --------------------------------------------------------------------------------------------------------------------------------
CSC Holdings, Inc., 9.875% Sr. Sub. Nts., 5/15/06 50,000 53,250
- --------------------------------------------------------------------------------------------------------------------------------
Diva Systems Corp., 0%/12.625% Sr. Disc. Nts., Series B, 3/1/08(7) 200,000 58,750
- --------------------------------------------------------------------------------------------------------------------------------
EchoStar DBS Corp., 9.375% Sr. Unsec. Nts., 2/1/09(3) 125,000 127,813
- --------------------------------------------------------------------------------------------------------------------------------
Falcon Holding Group LP, 0%/9.285% Sr. Disc. Debs., Series B, 4/15/10(7) 175,000 123,375
- --------------------------------------------------------------------------------------------------------------------------------
Interepublic National Radio Sales Corp., 10% Sr. Unsec. Sub. Nts., Series B, 7/1/08(2) 125,000 128,438
- --------------------------------------------------------------------------------------------------------------------------------
James Cable Partners LP, 10.75% Sr. Nts., Series B, 8/15/04 100,000 104,500
- --------------------------------------------------------------------------------------------------------------------------------
RCN Corp., 0%/11.125% Sr. Unsec. Nts., 10/15/07(7) 50,000 33,875
- --------------------------------------------------------------------------------------------------------------------------------
Sinclair Broadcast Group, Inc., 10% Sr. Sub. Nts., 9/30/05 125,000 128,438
- --------------------------------------------------------------------------------------------------------------------------------
Spanish Broadcasting Systems, Inc., 11% Sr. Nts., 3/15/04 100,000 107,500
- --------------------------------------------------------------------------------------------------------------------------------
United International Holdings, Inc., 0%/10.75% Sr. Disc. Nts., Series B, 2/15/08(7) 100,000 66,250
----------
1,617,815
- --------------------------------------------------------------------------------------------------------------------------------
Entertainment--0.1%
Tricon Global Restaurants, Inc., 7.45% Sr. Unsec. Nts., 5/15/05 125,000 124,557
- --------------------------------------------------------------------------------------------------------------------------------
Food--0.5%
AmeriServe Food Distribution, Inc., 8.875% Sr. Nts., 10/15/06 125,000 115,625
- --------------------------------------------------------------------------------------------------------------------------------
Dole Food Distributing, Inc., 6.75% Nts., 7/15/00 115,000 115,091
- --------------------------------------------------------------------------------------------------------------------------------
Grand Metro Inventory Corp., 7.125% Nts., 9/15/04 175,000 179,907
----------
410,623
- --------------------------------------------------------------------------------------------------------------------------------
Food & Drug Retailers--0.0%
Jitney-Jungle Stores of America, Inc., 10.375% Sr. Sub. Nts., 9/15/07 50,000 18,250
</TABLE>
LifeSpan Balanced Portfolio 19
<PAGE>
- --------------------------------------------------------------------------------
Statement of Investments (Unaudited) (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Market Value
Amount Note 1
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Household Goods--0.2%
Kimberly-Clark Corp., 7.875% Debs., 2/1/23 $ 50,000 $ 51,666
- --------------------------------------------------------------------------------------------------------------------------------
Revlon Consumer Products Corp., 8.625% Sr. Unsec. Sub. Nts., 2/1/08 125,000 117,500
----------
169,166
================================================================================================================================
Energy--0.9%
- --------------------------------------------------------------------------------------------------------------------------------
Energy Services--0.7%
Coastal Corp., 8.125% Sr. Nts., 9/15/02 50,000 51,982
- --------------------------------------------------------------------------------------------------------------------------------
Crown Central Petroleum Corp., 10.875% Sr. Nts., 2/1/05(2) 50,000 43,750
- --------------------------------------------------------------------------------------------------------------------------------
Gulf Canada Resources Ltd.:
8.25% Sr. Nts., 3/15/17 75,000 68,438
9% Debs., 8/15/99 75,000 75,375
- --------------------------------------------------------------------------------------------------------------------------------
Louisiana Land & Exploration Co., 7.65% Debs., 12/1/23 50,000 49,769
- --------------------------------------------------------------------------------------------------------------------------------
Petroleum Geo-Services ASA, 7.50% Nts., 3/31/07 125,000 125,254
- --------------------------------------------------------------------------------------------------------------------------------
RAM Energy, Inc., 11.50% Sr. Unsec. Nts., 2/15/08 75,000 39,656
- --------------------------------------------------------------------------------------------------------------------------------
Southwest Royalties, Inc., 10.50% Sr. Nts., Series B, 10/15/04 125,000 59,375
- --------------------------------------------------------------------------------------------------------------------------------
Transamerican Energy Corp., 11.50% Sr. Nts., Series B, 6/15/02(2) 50,000 6,125
- --------------------------------------------------------------------------------------------------------------------------------
Williams Holdings of Delaware, Inc., 6.25% Sr. Unsec. Debs., 2/1/06 50,000 47,615
----------
567,339
- --------------------------------------------------------------------------------------------------------------------------------
Oil: Domestic--0.1%
Norcen Energy Resources Ltd., 6.80% Debs., 7/2/02 50,000 49,273
- --------------------------------------------------------------------------------------------------------------------------------
Oil: International--0.1%
Abraxas Petroleum Corp./CDN Abraxas Petroleum Ltd., 11.50% Sr.
Unsec. Nts., Series D, 11/1/04 100,000 63,500
================================================================================================================================
Financial--2.4%
- --------------------------------------------------------------------------------------------------------------------------------
Banks--0.2%
Fleet Mtg./Norstar Group, Inc., 9.90% Sub. Nts., 6/15/01 85,000 90,169
- --------------------------------------------------------------------------------------------------------------------------------
Integra Financial Corp., 6.50% Sub. Nts., 4/15/00 105,000 105,390
----------
195,559
- --------------------------------------------------------------------------------------------------------------------------------
Diversified Financial--1.2%
American General Institutional Capital B, 8.125% Bonds, Series B, 3/15/46(3) 125,000 132,255
- --------------------------------------------------------------------------------------------------------------------------------
Capital One Financial Corp., 7.25% Nts., 12/1/03 40,000 39,502
- --------------------------------------------------------------------------------------------------------------------------------
Countrywide Home Loans, Inc., 6.05% Medium-Term Nts., Series D, 3/1/01 220,000 218,847
- --------------------------------------------------------------------------------------------------------------------------------
General Electric Capital Corp., 5.77% Nts., Series A, 8/27/01 200,000 198,395
- --------------------------------------------------------------------------------------------------------------------------------
General Motors Acceptance Corp., 5.625% Nts., 2/15/01 175,000 173,461
- --------------------------------------------------------------------------------------------------------------------------------
GS Escrow Corp., 6.75% Sr. Unsec. Nts., 8/1/01 200,000 197,646
- --------------------------------------------------------------------------------------------------------------------------------
Olympic Financial Ltd., Units (each unit consists of $1,000 principal amount
of 11.50% sr. nts., 3/15/07 and one warrant to purchase 6.84 shares of common stock)(2)(10) 125,000 111,875
----------
1,071,981
- --------------------------------------------------------------------------------------------------------------------------------
Insurance--0.4%
Aetna Industries, Inc., 11.875% Sr. Nts., 10/1/06(2) 100,000 102,500
- --------------------------------------------------------------------------------------------------------------------------------
Conseco Financing Trust III, 8.796% Bonds, 4/1/27 100,000 92,086
- --------------------------------------------------------------------------------------------------------------------------------
Conseco, Inc., 6.40% Nts., 6/15/01 175,000 171,099
----------
365,685
</TABLE>
20 LifeSpan Balanced Portfolio
<PAGE>
- --------------------------------------------------------------------------------
Statement of Investments (Unaudited) (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Market Value
Amount Note 1
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Real Estate Investment Trusts--0.6%
Chelsea GCA Realty Partner, Inc., 7.75% Unsec. Nts., 1/26/01 $280,000 $ 281,796
- --------------------------------------------------------------------------------------------------------------------------------
First Industrial LP, 7.15% Bonds, 5/15/27 60,000 59,279
- --------------------------------------------------------------------------------------------------------------------------------
Simon DeBartolo Group LP, 6.625% Unsec. Nts., 6/15/03 175,000 171,452
-----------
512,527
================================================================================================================================
Healthcare--0.7%
- --------------------------------------------------------------------------------------------------------------------------------
Healthcare/Drugs--0.0%
Integrated Health Services, Inc., 9.25% Sr. Sub. Nts., Series A, 1/15/08 50,000 36,250
- --------------------------------------------------------------------------------------------------------------------------------
Healthcare/Supplies & Services--0.7%
Columbia/HCA Healthcare Corp., 6.875% Nts., 7/15/01 145,000 141,206
- --------------------------------------------------------------------------------------------------------------------------------
Dade International, Inc., 11.125% Sr. Sub. Nts., 5/1/06(2) 100,000 105,750
- --------------------------------------------------------------------------------------------------------------------------------
ICN Pharmaceuticals, Inc., 8.75% Sr. Nts., 11/15/08(3) 125,000 123,438
- --------------------------------------------------------------------------------------------------------------------------------
Paracelsus Healthcare Corp., 10% Sr. Unsec. Sub. Nts., 8/15/06(2) 100,000 78,500
- --------------------------------------------------------------------------------------------------------------------------------
Playtex Products, Inc., 8.875% Sr. Nts., 7/15/04 75,000 76,313
- --------------------------------------------------------------------------------------------------------------------------------
Tenet Healthcare Corp., 8% Sr. Nts., 1/15/05 75,000 73,406
-----------
598,613
================================================================================================================================
Transportation--0.4%
- --------------------------------------------------------------------------------------------------------------------------------
Air Transportation--0.1%
Canadian Airlines Corp., 12.25%, Sr. Nts., 8/1/06 75,000 29,719
- --------------------------------------------------------------------------------------------------------------------------------
Trans World Airlines, Inc., 11.375% Unsec. Nts., 3/1/06 125,000 75,625
-----------
105,344
- --------------------------------------------------------------------------------------------------------------------------------
Railroads & Truckers--0.3%
CSX Corp., 7.05% Debs., 5/1/02 70,000 70,728
- --------------------------------------------------------------------------------------------------------------------------------
Norfolk Southern Corp., 7.35% Nts., 5/15/07 75,000 76,572
- --------------------------------------------------------------------------------------------------------------------------------
Union Pacific Corp., 7% Nts., 6/15/00 105,000 105,691
-----------
252,991
- --------------------------------------------------------------------------------------------------------------------------------
Shipping--0.0%
Golden Ocean Group Ltd., 10% Sr. Unsec. Nts., 8/31/01(2) 100,000 15,500
================================================================================================================================
Utilities--0.7%
- --------------------------------------------------------------------------------------------------------------------------------
Electric Utilities--0.1%
AES Corp., 8% Sr. Nts., 12/31/08 100,000 94,000
- --------------------------------------------------------------------------------------------------------------------------------
Gas Utilities--0.6%
Northern Illinois Gas Co., 6.45% First Mtg. Bonds, 8/1/01 200,000 199,605
- --------------------------------------------------------------------------------------------------------------------------------
Tennessee Gas Pipeline Co., 7.50% Bonds, 4/1/17 125,000 124,376
- --------------------------------------------------------------------------------------------------------------------------------
Williams Cos., Inc., 6.20% Nts., 8/1/02 225,000 220,961
-----------
544,942
-----------
Total Non-Convertible Corporate Bonds and Notes (Cost $18,426,509) 17,526,185
</TABLE>
LifeSpan Balanced Portfolio 21
<PAGE>
- --------------------------------------------------------------------------------
Statement of Investments (Unaudited) (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Market Value
Amount Note 1
================================================================================================================================
<S> <C> <C>
Repurchase Agreements--7.0%
- --------------------------------------------------------------------------------------------------------------------------------
Repurchase agreement with Zion First National Bank, 4.80%, dated 6/30/99, to be
repurchased at $6,098,813 on 7/1/99, collateralized by U.S. Treasury Nts.,
6.875%-8.375%, 7/31/99-8/15/08, with a value of $6,234,461 (Cost $6,098,000) $6,098,000 $ 6,098,000
- --------------------------------------------------------------------------------------------------------------------------------
Total Investments, at Value (Cost $78,462,280) 98.3% 85,731,661
- --------------------------------------------------------------------------------------------------------------------------------
Other Assets Net of Liabilities 1.7 1,490,717
---------- -----------
Net Assets 100.0% $87,222,378
========== ===========
</TABLE>
1. Non-income producing security.
2. Identifies issues considered to be illiquid or restricted--See Note 6 of
Notes to Financial Statements.
3. Represents securities sold under Rule 144A, which are exempt from
registration under the Securities Act of 1933, as amended. These securities have
been determined to be liquid under guidelines established by the Board of
Directors. These securities amount to $1,234,157 or 1.41% of the Fund's net
assets as of June 30, 1999.
4. Interest-Only Strips represent the right to receive the monthly interest
payments on an underlying pool of mortgage loans. These securities typically
decline in price as interest rates decline. Most other fixed income securities
increase in price when interest rates decline. The principal amount of the
underlying pool represents the notional amount on which current interest is
calculated. The price of these securities is typically more sensitive to changes
in prepayment rates than traditional mortgage-backed securities (for example,
GNMA pass-throughs). Interest rates disclosed represent current yields based
upon the current cost basis and estimated timing and amount of future cash
flows.
5. Represents the current interest rate for a variable rate security.
6. For zero coupon bonds, the interest rate shown is the effective yield on the
date of purchase.
7. Denotes a step bond: a zero coupon bond that converts to a fixed or variable
interest rate at a designated future date.
8. Non-income producing--issuer is in default.
9. Interest or dividend is paid in kind.
10. Units may be comprised of several components, such as debt and equity and/or
warrants to purchase equity at some point in the future. For units which
represent debt securities, principal amount disclosed represents total
underlying principal.
See accompanying Notes to Financial Statements.
22 LifeSpan Balanced Portfolio
<PAGE>
- --------------------------------------------------------------------------------
Statement of Assets and Liabilities June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
================================================================================================================================
<S> <C>
Assets
Investments, at value (cost $78,462,280)--see accompanying statement $85,731,661
- --------------------------------------------------------------------------------------------------------------------------------
Cash 431,831
- --------------------------------------------------------------------------------------------------------------------------------
Receivables and other assets:
Interest and dividends 663,633
Investments sold 553,892
Other 1,541
-----------
Total assets 87,382,558
================================================================================================================================
Liabilities
Payables and other liabilities:
Shares of capital stock redeemed 129,109
Shareholder reports 12,524
Custodian fees 6,051
Investments purchased 4,808
Other 7,688
-----------
Total liabilities 160,180
================================================================================================================================
Net Assets $87,222,378
===========
================================================================================================================================
Composition of Net Assets
Par value of shares of capital stock $ 68,656
- --------------------------------------------------------------------------------------------------------------------------------
Additional paid-in capital 75,740,143
- --------------------------------------------------------------------------------------------------------------------------------
Undistributed net investment income 1,422,665
- --------------------------------------------------------------------------------------------------------------------------------
Accumulated net realized gain on investments and
foreign currency transactions 2,722,281
- --------------------------------------------------------------------------------------------------------------------------------
Net unrealized appreciation on investments and translation of
assets and liabilities denominated in foreign currencies 7,268,633
-----------
Net assets--applicable to 68,656,012 shares of capital stock outstanding $87,222,378
===========
================================================================================================================================
Net Asset Value, Redemption Price Per Share and Offering Price Per Share $1.27
</TABLE>
See accompanying Notes to Financial Statements.
LifeSpan Balanced Portfolio 23
<PAGE>
- --------------------------------------------------------------------------------
Statement of Operations June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
================================================================================================================================
<S> <C>
Investment Income
Interest $ 1,445,933
- --------------------------------------------------------------------------------------------------------------------------------
Dividends (net of foreign withholding taxes of $9,500) 362,622
-----------
Total income 1,808,555
================================================================================================================================
Expenses
Management fees--Note 4 357,979
- --------------------------------------------------------------------------------------------------------------------------------
Accounting service fees--Note 4 7,729
- --------------------------------------------------------------------------------------------------------------------------------
Legal, auditing and other professional fees 6,089
- --------------------------------------------------------------------------------------------------------------------------------
Shareholder reports 4,894
- --------------------------------------------------------------------------------------------------------------------------------
Custodian fees and expenses 2,249
- --------------------------------------------------------------------------------------------------------------------------------
Directors' compensation 1,397
- --------------------------------------------------------------------------------------------------------------------------------
Transfer and shareholder servicing agent fees--Note 4 1,083
- --------------------------------------------------------------------------------------------------------------------------------
Insurance expenses 1,054
- --------------------------------------------------------------------------------------------------------------------------------
Other 619
-----------
Total expenses 383,093
Less expenses paid indirectly--Note 1 (2,247)
-----------
Net expenses 380,846
================================================================================================================================
Net Investment Income 1,427,709
================================================================================================================================
Realized and Unrealized Gain (Loss)
Net realized gain (loss) on:
Investments 3,734,559
Foreign currency transactions (57,097)
-----------
Net realized gain 3,677,462
- --------------------------------------------------------------------------------------------------------------------------------
Net change in unrealized appreciation or depreciation on:
Investments (2,270,802)
Translation of assets and liabilities denominated in foreign currencies (694,308)
-----------
Net change (2,965,110)
-----------
Net realized and unrealized gain 712,352
================================================================================================================================
Net Increase in Net Assets Resulting from Operations $ 2,140,061
===========
</TABLE>
See accompanying Notes to Financial Statements.
24 LifeSpan Balanced Portfolio
<PAGE>
- --------------------------------------------------------------------------------
Statement of Changes in Net Assets June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Six Months Ended Year Ended
June 30, 1999 December 31,
(Unaudited) 1998
================================================================================================================================
<S> <C> <C>
Operations
Net investment income $ 1,427,709 $ 2,627,566
- --------------------------------------------------------------------------------------------------------------------------------
Net realized gain (loss) 3,677,462 (948,884)
- --------------------------------------------------------------------------------------------------------------------------------
Net change in unrealized appreciation or depreciation (2,965,110) 2,762,286
----------- -----------
Net increase in net assets resulting from operations 2,140,061 4,440,968
================================================================================================================================
Dividends and Distributions to Shareholders
Dividends from net investment income (2,600,511) (1,965,841)
- --------------------------------------------------------------------------------------------------------------------------------
Distributions from net realized gain -- (2,467,048)
================================================================================================================================
Capital Stock Transactions
Net increase in net assets resulting from
capital stock transactions--Note 2 1,809,418 17,172,548
================================================================================================================================
Net Assets
Total increase 1,348,968 17,180,627
- --------------------------------------------------------------------------------------------------------------------------------
Beginning of period 85,873,410 68,692,783
----------- -----------
End of period (including undistributed net investment
income of $1,422,665 and $2,595,467, respectively) $87,222,378 $85,873,410
=========== ===========
</TABLE>
See accompanying Notes to Financial Statements.
LifeSpan Balanced Portfolio 25
<PAGE>
- --------------------------------------------------------------------------------
Financial Highlights
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Six Months
Ended
June 30,1999 Year Ended December 31,
(Unaudited) 1998 1997 1996(1) 1995(2)
===================================================================================================================================
<S> <C> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------------------------------------
Per Share Operating Data
Net asset value, beginning of period $1.28 $1.28 $1.18 $1.05 $1.00
- -----------------------------------------------------------------------------------------------------------------------------------
Income from investment operations:
Net investment income .02 .04 .04 .03 .01
Net realized and unrealized gain .01 .04 .10 .11 .05
- -----------------------------------------------------------------------------------------------------------------------------------
Total income from investment operations .03 .08 .14 .14 .06
- -----------------------------------------------------------------------------------------------------------------------------------
Dividends and distributions to shareholders:
Dividends from net investment income (.04) (.04) (.03) (.01) (.01)
Distributions from net realized gain -- (.04) (.01) -- --
- -----------------------------------------------------------------------------------------------------------------------------------
Total dividends and distributions to shareholders (.04) (.08) (.04) (.01) (.01)
- -----------------------------------------------------------------------------------------------------------------------------------
Net asset value, end of period $1.27 $1.28 $1.28 $1.18 $1.05
===== ===== ===== ===== =====
===================================================================================================================================
Total Return, at Net Asset Value(3) 2.40% 6.17% 12.20% 13.38% 6.08%
===================================================================================================================================
Ratios/Supplemental Data
Net assets, end of period (in thousands) $87,222 $85,873 $68,693 $51,336 $35,467
- -----------------------------------------------------------------------------------------------------------------------------------
Average net assets (in thousands) $84,936 $76,384 $59,388 $41,847 $33,925(4)
Ratios to average net assets: (5)
Net investment income 3.39% 3.44% 3.44% 3.34% 3.08%
Expenses (6) 0.91% 0.93% 0.97% 1.17% 1.50%
- -----------------------------------------------------------------------------------------------------------------------------------
Portfolio turnover rate(7) 37% 58% 57% 70% 40%
</TABLE>
1. On March 1, 1996, OppenheimerFunds, Inc. became the investment advisor to the
Fund.
2. For the period from September 1, 1995 (commencement of operations) to
December 31, 1995.
3. Assumes a $1,000 hypothetical initial investment on the business day before
the first day of the fiscal period (or commencement of operations), with all
dividends and distributions reinvested in additional shares on the reinvestment
date, and redemption at the net asset value calculated on the last business day
of the fiscal period. Total returns are not annualized for periods of less than
one full year. Total return information does not reflect expenses that apply at
the separate account level or to related insurance products. Inclusion of these
charges would reduce the total return figures for all periods shown.
4. This information is not covered by the auditors' opinion.
5. Annualized for periods less than one full year.
6. The expense ratio reflects the effect of expenses paid indirectly by the
Fund.
7. The lesser of purchases or sales of portfolio securities for a period,
divided by the monthly average of the market value of portfolio securities owned
during the period. Securities with a maturity or expiration date at the time of
acquisition of one year or less are excluded from the calculation. Purchases and
sales of investment securities (excluding short-term securities) for the period
ended June 30, 1999, were $31,141,271 and $28,315,980, respectively.
See accompanying Notes to Financial Statements.
26 LifeSpan Balanced Portfolio
<PAGE>
- --------------------------------------------------------------------------------
Notes to Financial Statements (Unaudited)
- --------------------------------------------------------------------------------
================================================================================
1. Significant Accounting Policies
LifeSpan Balanced Portfolio (the Fund) is a series of Panorama Series Fund, Inc.
(the Company) which is registered under the Investment Company Act of 1940, as
amended, as a diversified, open-end management investment company. The Fund's
investment objective is to seek a blend of capital appreciation and income by
investing in a strategically allocated portfolio of stocks and bonds, with a
slightly stronger emphasis on stocks. The Fund's investment advisor is
OppenheimerFunds, Inc. (the Manager). Shares of the Fund are sold only to
separate accounts of life insurance companies. A majority of such shares are
held by separate accounts of Massachusetts Mutual Life Insurance Co., an
affiliate of the investment advisor. The following is a summary of significant
accounting policies consistently followed by the Fund.
- --------------------------------------------------------------------------------
Securities Valuation. Portfolio securities are valued at the close of the New
York Stock Exchange on each trading day. Listed and unlisted securities for
which such information is regularly reported are valued at the last sale price
of the day or, in the absence of sales, at values based on the closing bid or
the last sale price on the prior trading day. Long-term and short-term
"non-money market" debt securities are valued by a portfolio pricing service
approved by the Board of Directors. Such securities which cannot be valued by an
approved portfolio pricing service are valued using dealer-supplied valuations
provided the Manager is satisfied that the firm rendering the quotes is reliable
and that the quotes reflect current market value, or are valued under
consistently applied procedures established by the Board of Directors to
determine fair value in good faith. Short-term "money market type" debt
securities having a remaining maturity of 60 days or less are valued at cost (or
last determined market value) adjusted for amortization to maturity of any
premium or discount.
- --------------------------------------------------------------------------------
Foreign Currency Translation. The accounting records of the Fund are maintained
in U.S. dollars. Prices of securities denominated in foreign currencies are
translated into U.S. dollars at the closing rates of exchange. Amounts related
to the purchase and sale of foreign securities and investment income are
translated at the rates of exchange prevailing on the respective dates of such
transactions.
The effect of changes in foreign currency exchange rates on investments
is separately identified from the fluctuations arising from changes in market
values of securities held and reported with all other foreign currency gains and
losses in the Fund's Statement of Operations.
- --------------------------------------------------------------------------------
Security Credit Risk. The Fund invests in high yield securities, which may be
subject to a greater degree of credit risk, greater market fluctuations and risk
of loss of income and principal, and may be more sensitive to economic
conditions than lower yielding, higher rated fixed income securities. The Fund
may acquire securities in default, and is not obligated to dispose of securities
whose issuers subsequently default. As of June 30, 1999, securities with an
aggregate market value of $30,781, representing 0.04% of the Fund's net assets,
were in default.
- --------------------------------------------------------------------------------
Repurchase Agreements. The Fund requires the custodian to take possession, to
have legally segregated in the Federal Reserve Book Entry System or to have
segregated within the custodian's vault, all securities held as collateral for
repurchase agreements. The market value of the underlying securities is required
to be at least 102% of the resale price at the time of purchase. If the seller
of the agreement defaults and the value of the collateral declines, or if the
seller enters an insolvency proceeding, realization of the value of the
collateral by the Fund may be delayed or limited.
- --------------------------------------------------------------------------------
Federal Taxes. The Fund intends to continue to comply with provisions of the
Internal Revenue Code applicable to regulated investment companies and to
distribute all of its taxable income, including any net realized gain on
investments not offset by loss carryovers, to shareholders. As of December 31,
1998, the Fund had available for federal income tax purposes an unused capital
loss carryover of approximately $938,000, expiring in 2006.
- --------------------------------------------------------------------------------
Distributions to Shareholders. Distributions to shareholders, which are
determined in accordance with income tax regulations, are recorded on the
ex-dividend date.
LifeSpan Balanced Portfolio 27
<PAGE>
- --------------------------------------------------------------------------------
Notes to Financial Statements (Unaudited) (Continued)
- --------------------------------------------------------------------------------
================================================================================
1. Significant Accounting Policies (continued)
Classification of Distributions to Shareholders. Net investment income (loss)
and net realized gain (loss) may differ for financial statement and tax purposes
primarily because of paydown gains and losses and the recognition of certain
foreign currency gains (losses) as ordinary income (loss) for tax purposes. The
character of distributions made during the year from net investment income or
net realized gains may differ from its ultimate characterization for federal
income tax purposes. Also, due to timing of dividend distributions, the fiscal
year in which amounts are distributed may differ from the fiscal year in which
the income or realized gain was recorded by the Fund.
- --------------------------------------------------------------------------------
Expense Offset Arrangements. Expenses paid indirectly represent a reduction of
custodian fees for earnings on cash balances maintained by the Fund.
- --------------------------------------------------------------------------------
Other. Investment transactions are accounted for as of trade date and dividend
income is recorded on the ex-dividend date. Foreign dividend income is often
recorded on the payable date. Realized gains and losses on investments and
unrealized appreciation and depreciation are determined on an identified cost
basis, which is the same basis used for federal income tax purposes.
The preparation of financial statements in conformity with generally
accepted accounting principles requires management to make estimates and
assumptions that affect the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements and the reported amounts of income and expenses during the reporting
period. Actual results could differ from those estimates.
================================================================================
2. Shares of Capital Stock
The Fund has authorized 250 million shares of $0.001 par value capital stock.
Transactions in shares of capital stock were as follows:
<TABLE>
<CAPTION>
Six Months Ended June 30, 1999 Year Ended December 31, 1998
-------------------------------- -------------------------------
Shares Amount Shares Amount
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Sold 3,354,063 $ 4,192,848 14,229,457 $17,733,908
Dividends and distributions reinvested 2,131,566 2,600,510 3,436,348 4,432,889
Redeemed (3,984,184) (4,983,940) (4,001,987) (4,994,249)
---------- ----------- ---------- -----------
Net increase 1,501,445 $ 1,809,418 13,663,818 $17,172,548
========== =========== ========== ===========
</TABLE>
================================================================================
3. Unrealized Gains and Losses on Securities
As of June 30, 1999, net unrealized appreciation on investments of $7,269,381
was composed of gross appreciation of $10,489,966, and gross depreciation of
$3,220,585.
================================================================================
4. Management Fees and Other Transactions with Affiliates
Management fees paid to the Manager were in accordance with the investment
advisory agreement with the Fund which provides for a fee of 0.85% of the Fund's
first $250 million of average daily net assets and 0.75% of average daily net
assets over $250 million. The Fund's management fee for the six months ended
June 30, 1999 was 0.85% of average annual net assets.
The Manager has entered into sub-advisory agreements with three
Sub-Advisors to assist in the selection of portfolio investments for the
components of the Fund. For those services, the Manager pays Babson-Stewart
Ivory International, Credit Suisse Asset Management and Pilgrim Baxter &
Associates, Ltd. (the Sub-Advisors) negotiated fees.
The Manager acts as the accounting agent for the Fund at an annual fee
of $15,000, plus out-of-pocket costs and expenses reasonably incurred.
OppenheimerFunds Services (OFS), a division of the Manager, is the
transfer agent for the Fund and is responsible for maintaining the shareholder
registry and shareholder accounting records for the Fund. OFS provides these
services at cost.
28 LifeSpan Balanced Portfolio
<PAGE>
- --------------------------------------------------------------------------------
Notes to Financial Statements (Unaudited) (Continued)
- --------------------------------------------------------------------------------
================================================================================
5. Foreign Currency Contracts
A foreign currency exchange contract is a commitment to purchase or sell a
foreign currency at a future date, at a negotiated rate. The Fund may enter into
foreign currency exchange contracts for operational purposes and to seek to
protect against adverse exchange rate fluctuation. Risks to the Fund include the
potential inability of the counterparty to meet the terms of the contract.
The net U.S. dollar value of foreign currency underlying all
contractual commitments held by the Fund and the resulting unrealized
appreciation or depreciation are determined using foreign currency exchange
rates as provided by a reliable bank, dealer or pricing service. Unrealized
appreciation and depreciation on foreign currency contracts are reported in the
Statement of Assets and Liabilities.
The Fund may realize a gain or loss upon the closing or settlement of
the foreign currency transactions. Realized gains and losses are reported with
all other foreign currency gains and losses in the Statement of Operations.
Securities denominated in foreign currency to cover net exposure on
outstanding foreign currency contracts are noted in the Statement of Investments
where applicable.
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6. Illiquid or Restricted Securities
As of June 30, 1999, investments in securities included issues that are illiquid
or restricted. A security may be considered illiquid if it lacks a readily
available market or if its valuation has not changed for a certain period of
time. The Fund intends to invest no more than 15% of its net assets (determined
at the time of purchase and reviewed periodically) in illiquid securities.
Certain restricted securities, eligible for resale to qualified institutional
investors, are not subject to that limit. The aggregate value of illiquid or
restricted securities subject to this limitation as of June 30, 1999, was
$3,963,509, which represents 4.54% of the Fund's net assets.
LifeSpan Balanced Portfolio 29
<PAGE>
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LifeSpan Balanced, LifeSpan Capital Appreciation, LifeSpan Diversified Income
Portfolios
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A Series of Panorama Series Fund, Inc.
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<S> <C>
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Officers and Directors James C. Swain, Chairman of the Board of Directors
Bridget A. Macaskill, President
Robert G. Avis, Director
William A. Baker, Director
Jon S. Fossel, Director
Sam Freedman, Director
Raymond J. Kalinowski, Director
C. Howard Kast, Director
Robert M. Kirchner, Director
Ned M. Steel, Director
Peter M. Antos, Vice President
Stephen F. Libera, Vice President
Michael C. Strathearn, Vice President
Kenneth B. White, Vice President
Arthur J. Zimmer, Vice President
Andrew J. Donohue, Vice President and Secretary
Brian W. Wixted, Treasurer
Robert G. Zack, Assistant Secretary
Robert J. Bishop, Assistant Treasurer
Scott T. Farrar, Assistant Treasurer
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Investment Advisor OppenheimerFunds, Inc.
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Sub-Advisors Babson-Stewart Ivory International
Credit Suisse Asset Management
Pilgrim Baxter & Associates, Ltd.
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Transfer Agent OppenheimerFunds Services
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Custodian of Portfolio Securities The Bank of New York
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Independent Auditors Deloitte & Touche LLP
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Legal Counsel Myer, Swanson, Adams & Wolf, P.C.
The financial statements included herein have been
taken from the records of the Fund without
examination of the independent auditors.
This is a copy of a report to shareholders of the
Portfolios. This report must be preceded or
accompanied by a Prospectus of the Portfolios. For
material information concerning the Fund, see the
Prospectus.
Shares of Oppenheimer funds are not deposits or
obligations of any bank, are not guaranteed by any
bank, are not insured by the FDIC or any other
agency, and involve investment risks, including the
possible loss of the principal amount invested.
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