-------------------------------
Semiannual Report June 30, 1999
-------------------------------
LifeSpan Capital
Appreciation Portfolio
A Series of Panorama Series Fund, Inc.
[OppenheimerFunds(R) Logo]
OppenheimerFunds(R)
THE RIGHT WAY TO INVEST
<PAGE>
- --------------------------------------------------------------------------------
Statement of Investments June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market Value
Shares Note 1
<S> <C> <C>
========================================================================================================================
Common Stocks--75.8%
========================================================================================================================
Basic Materials--1.5%
- ------------------------------------------------------------------------------------------------------------------------
Chemicals--1.0%
Dexter Corp. 6,000 $ 244,875
- ------------------------------------------------------------------------------------------------------------------------
Dow Chemical Co. 600 76,125
- ------------------------------------------------------------------------------------------------------------------------
Engelhard Corp. 1,400 31,675
- ------------------------------------------------------------------------------------------------------------------------
Ethyl Corp. 16,200 97,200
- ------------------------------------------------------------------------------------------------------------------------
Fuji Photo Film Co. 2,000 75,680
- ------------------------------------------------------------------------------------------------------------------------
IMC Global, Inc. 2,834 49,949
- ------------------------------------------------------------------------------------------------------------------------
International Flavors & Fragrances, Inc. 1,900 84,312
- ------------------------------------------------------------------------------------------------------------------------
Rohm & Haas Co. 2,300 98,612
----------
758,428
- ------------------------------------------------------------------------------------------------------------------------
Metals--0.2%
Carpenter Technology Corp. 4,300 122,819
- ------------------------------------------------------------------------------------------------------------------------
Paper--0.3%
Louisiana-Pacific Corp. 3,700 87,875
- ------------------------------------------------------------------------------------------------------------------------
Unisource Worldwide, Inc. 9,000 108,562
----------
196,437
========================================================================================================================
Capital Goods--8.5%
- ------------------------------------------------------------------------------------------------------------------------
Aerospace/Defense--1.5%
Cordant Technologies, Inc. 700 31,631
- ------------------------------------------------------------------------------------------------------------------------
General Dynamics Corp. 12,000 822,000
- ------------------------------------------------------------------------------------------------------------------------
Northrop Grumman Corp. 3,200 212,200
----------
1,065,831
- ------------------------------------------------------------------------------------------------------------------------
Electrical Equipment--0.6%
ABB Ltd.(1) 2,107 198,558
- ------------------------------------------------------------------------------------------------------------------------
SPX Corp.(1) 1,100 91,850
- ------------------------------------------------------------------------------------------------------------------------
Toshiba Corp. 19,000 135,472
----------
425,880
- ------------------------------------------------------------------------------------------------------------------------
Industrial Services--3.3%
Applied Science & Technology, Inc.(1) 5,500 123,750
- ------------------------------------------------------------------------------------------------------------------------
Capita Group plc 16,000 165,575
- ------------------------------------------------------------------------------------------------------------------------
Hays plc 19,000 200,214
- ------------------------------------------------------------------------------------------------------------------------
Ibiden Co. Ltd. 6,000 99,144
- ------------------------------------------------------------------------------------------------------------------------
Lason, Inc.(1) 2,300 114,137
- ------------------------------------------------------------------------------------------------------------------------
Metzler Group, Inc.(1) 2,500 69,062
- ------------------------------------------------------------------------------------------------------------------------
New England Business Service, Inc. 6,300 194,512
- ------------------------------------------------------------------------------------------------------------------------
Professional Detailing, Inc.(1) 4,500 105,750
- ------------------------------------------------------------------------------------------------------------------------
Quanta Services, Inc.(1) 2,500 110,000
- ------------------------------------------------------------------------------------------------------------------------
Secom Co. Ltd. 2,000 208,202
- ------------------------------------------------------------------------------------------------------------------------
Securitas AB, B Shares 8,950 133,696
- ------------------------------------------------------------------------------------------------------------------------
Tetra Tech, Inc.(1) 10,343 170,659
- ------------------------------------------------------------------------------------------------------------------------
United Rentals, Inc.(1) 4,100 120,950
- ------------------------------------------------------------------------------------------------------------------------
Valassis Communications, Inc.(1) 1,200 43,950
</TABLE>
2 LifeSpan Capital Appreciation Portfolio
<PAGE>
- --------------------------------------------------------------------------------
Statement of Investments (Unaudited) (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market Value
Shares Note 1
<S> <C> <C>
- ------------------------------------------------------------------------------------------------------------------------
Industrial Services (continued)
Viad Corp. 4,000 $123,750
- ------------------------------------------------------------------------------------------------------------------------
Waste Connections, Inc.(1) 6,900 210,450
- ------------------------------------------------------------------------------------------------------------------------
Whittman-Hart, Inc.(1) 7,700 244,475
----------
2,438,276
- ------------------------------------------------------------------------------------------------------------------------
Manufacturing--3.1%
Atlas Copco AB, B Shares 4,500 120,681
- ------------------------------------------------------------------------------------------------------------------------
BBA Group plc 21,000 161,208
- ------------------------------------------------------------------------------------------------------------------------
Brambles Industries Ltd. 6,000 158,067
- ------------------------------------------------------------------------------------------------------------------------
Briggs & Stratton Corp. 1,900 109,725
- ------------------------------------------------------------------------------------------------------------------------
Case Corp. 2,495 120,072
- ------------------------------------------------------------------------------------------------------------------------
ITT Industries, Inc. 1,900 72,437
- ------------------------------------------------------------------------------------------------------------------------
Mannesmann AG 2,500 373,837
- ------------------------------------------------------------------------------------------------------------------------
Optical Coating Laboratory, Inc. 1,900 158,887
- ------------------------------------------------------------------------------------------------------------------------
PRI Automation, Inc.(1) 4,900 177,625
- ------------------------------------------------------------------------------------------------------------------------
ROHN Industries, Inc.(1) 12,000 16,500
- ------------------------------------------------------------------------------------------------------------------------
Smiths Industries plc 10,000 132,094
- ------------------------------------------------------------------------------------------------------------------------
Taiyo Yuden Co. 12,000 196,900
- ------------------------------------------------------------------------------------------------------------------------
Textron, Inc. 900 74,081
- ------------------------------------------------------------------------------------------------------------------------
Tyco International Ltd. 1,000 94,750
- ------------------------------------------------------------------------------------------------------------------------
United Technologies Corp. 4,000 286,750
----------
2,253,614
========================================================================================================================
Communication Services--8.7%
- ------------------------------------------------------------------------------------------------------------------------
Telecommunications: Long Distance--4.3%
ADTRAN, Inc.(1) 3,900 141,862
- ------------------------------------------------------------------------------------------------------------------------
ALLTELL Corp. 8,400 600,600
- ------------------------------------------------------------------------------------------------------------------------
Asia Satellite Telecommunications Holdings Ltd. 50,000 117,611
- ------------------------------------------------------------------------------------------------------------------------
AT&T Corp. 15,300 853,931
- ------------------------------------------------------------------------------------------------------------------------
Carrier Access Corp.(1) 3,100 135,819
- ------------------------------------------------------------------------------------------------------------------------
Ericsson LM, B Shares 7,000 224,366
- ------------------------------------------------------------------------------------------------------------------------
KPN NV 3,000 140,769
- ------------------------------------------------------------------------------------------------------------------------
L-3 Communications Holdings, Inc.(1) 1,400 67,637
- ------------------------------------------------------------------------------------------------------------------------
Matsushita Communication Industrial Co. 2,000 142,932
- ------------------------------------------------------------------------------------------------------------------------
Microcell Telecommunications, Inc., Cl. B(1) 429 3,352
- ------------------------------------------------------------------------------------------------------------------------
Nippon Comsys Corp. 7,000 113,644
- ------------------------------------------------------------------------------------------------------------------------
Nokia Oyj 2,400 210,380
- ------------------------------------------------------------------------------------------------------------------------
NTT Mobile Communications Network, Inc. 12 162,596
- ------------------------------------------------------------------------------------------------------------------------
Sprint Corp. (Fon Group) 3,200 169,000
- ------------------------------------------------------------------------------------------------------------------------
Telecom Italia SpA(1) 7,000 72,767
----------
3,157,266
</TABLE>
LifeSpan Capital Appreciation Portfolio 3
<PAGE>
- --------------------------------------------------------------------------------
Statement of Investments (Unaudited) (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market Value
Shares Note 1
<S> <C> <C>
- ------------------------------------------------------------------------------------------------------------------------
Telephone Utilities--4.0%
Ameritech Corp. 3,700 $271,950
- ------------------------------------------------------------------------------------------------------------------------
Bell Atlantic Corp. 11,360 742,660
- ------------------------------------------------------------------------------------------------------------------------
BellSouth Corp. 6,600 309,375
- ------------------------------------------------------------------------------------------------------------------------
Cable & Wireless Communications plc(1) 18,000 173,078
- ------------------------------------------------------------------------------------------------------------------------
GTE Corp. 4,400 333,300
- ------------------------------------------------------------------------------------------------------------------------
Hellenic Telecommunication Organization SA 3,900 83,595
- ------------------------------------------------------------------------------------------------------------------------
Tele Danmark AS 4,000 196,892
- ------------------------------------------------------------------------------------------------------------------------
Telefonica de Espana(1) 5,107 246,008
- ------------------------------------------------------------------------------------------------------------------------
U S West, Inc. 9,200 540,500
----------
2,897,358
- ------------------------------------------------------------------------------------------------------------------------
Telecommunications: Wireless--0.4%
Price Communications Corp.(1) 6,410 96,150
- ------------------------------------------------------------------------------------------------------------------------
Proxim, Inc.(1) 3,400 197,200
----------
293,350
========================================================================================================================
Consumer Cyclicals--7.3%
- ------------------------------------------------------------------------------------------------------------------------
Autos & Housing--2.4%
Bridgestone Corp. 5,000 151,194
- ------------------------------------------------------------------------------------------------------------------------
Cooper Tire & Rubber Co. 2,000 47,250
- ------------------------------------------------------------------------------------------------------------------------
Ford Motor Co. 2,900 163,669
- ------------------------------------------------------------------------------------------------------------------------
Genuine Parts Co. 6,700 234,500
- ------------------------------------------------------------------------------------------------------------------------
Lafarge SA 900 85,575
- ------------------------------------------------------------------------------------------------------------------------
Martin Marietta Materials, Inc. 1,700 100,300
- ------------------------------------------------------------------------------------------------------------------------
Maytag Corp. 2,500 174,219
- ------------------------------------------------------------------------------------------------------------------------
Overseas Union Enterprise Ltd. 20,000 63,437
- ------------------------------------------------------------------------------------------------------------------------
Sonic Automotive, Inc.(1) 8,100 111,375
- ------------------------------------------------------------------------------------------------------------------------
Southdown, Inc. 1,400 89,950
- ------------------------------------------------------------------------------------------------------------------------
Suzuki Motor Corp. 13,000 206,756
- ------------------------------------------------------------------------------------------------------------------------
USG Corp. 1,100 61,600
- ------------------------------------------------------------------------------------------------------------------------
Valeo SA 2,600 214,505
- ------------------------------------------------------------------------------------------------------------------------
Vulcan Materials Co. 1,500 72,375
----------
1,776,705
- ------------------------------------------------------------------------------------------------------------------------
Consumer Services--0.2%
Harte-Hanks, Inc. 1,300 35,262
- ------------------------------------------------------------------------------------------------------------------------
Hertz Corp., Cl. A 1,700 105,400
----------
140,662
- ------------------------------------------------------------------------------------------------------------------------
Leisure & Entertainment--0.7%
Coach USA, Inc.(1) 2,600 109,037
- ------------------------------------------------------------------------------------------------------------------------
Hasbro, Inc. 2,800 78,225
- ------------------------------------------------------------------------------------------------------------------------
Mandalay Resort Group(1) 2,100 44,362
- ------------------------------------------------------------------------------------------------------------------------
MGM Grand, Inc.(1) 1,100 53,900
- ------------------------------------------------------------------------------------------------------------------------
Nintendo Co. Ltd. 1,200 168,644
- ------------------------------------------------------------------------------------------------------------------------
Pegasus Systems, Inc.(1) 2,200 82,362
----------
536,530
</TABLE>
4 LifeSpan Capital Appreciation Portfolio
<PAGE>
- --------------------------------------------------------------------------------
Statement of Investments (Unaudited) (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market Value
Shares Note 1
<S> <C> <C>
- ------------------------------------------------------------------------------------------------------------------------
Media--1.1%
Deluxe Corp. 5,300 $206,369
- ------------------------------------------------------------------------------------------------------------------------
Gannett Co., Inc. 2,100 149,887
- ------------------------------------------------------------------------------------------------------------------------
Knight-Ridder, Inc. 1,500 82,406
- ------------------------------------------------------------------------------------------------------------------------
VNU-Verenigde Nederlandse Uitgeverbedrijven Verenigd Bezit 5,000 199,809
- ------------------------------------------------------------------------------------------------------------------------
Wolters Kluwer NV 3,600 143,306
----------
781,777
- ------------------------------------------------------------------------------------------------------------------------
Retail: General--0.6%
Circle K Japan Co. Ltd. 2,700 112,429
- ------------------------------------------------------------------------------------------------------------------------
Ito-Yokado Co. Ltd. 2,000 133,844
- ------------------------------------------------------------------------------------------------------------------------
May Department Stores Co. 4,500 183,937
----------
430,210
- ------------------------------------------------------------------------------------------------------------------------
Retail: Specialty--1.7%
Ann Taylor Stores Corp.(1) 3,200 144,000
- ------------------------------------------------------------------------------------------------------------------------
Brown Shoe Co., Inc. 9,700 210,975
- ------------------------------------------------------------------------------------------------------------------------
CSK Auto Corp.(1) 4,700 126,900
- ------------------------------------------------------------------------------------------------------------------------
Hennes & Mauritz AB (H&M), B Shares(1) 8,000 197,607
- ------------------------------------------------------------------------------------------------------------------------
Insight Enterprises, Inc.(1) 7,950 196,762
- ------------------------------------------------------------------------------------------------------------------------
Kingfisher plc(1) 15,000 172,605
- ------------------------------------------------------------------------------------------------------------------------
Ross Stores, Inc. 1,200 60,450
- ------------------------------------------------------------------------------------------------------------------------
TJX Cos., Inc. 3,000 99,937
----------
1,209,236
- ------------------------------------------------------------------------------------------------------------------------
Textile/Apparel & Home Furnishings--0.6%
K-Swiss, Inc., Cl. A 3,900 181,350
- ------------------------------------------------------------------------------------------------------------------------
Shaw Industries, Inc.(1) 5,000 82,500
- ------------------------------------------------------------------------------------------------------------------------
Tarrant Apparel Group(1) 3,700 84,175
- ------------------------------------------------------------------------------------------------------------------------
VF Corp. 2,600 111,150
----------
459,175
========================================================================================================================
Consumer Staples--5.6%
- ------------------------------------------------------------------------------------------------------------------------
Beverages--0.3%
Anheuser-Busch Cos., Inc. 3,200 227,000
- ------------------------------------------------------------------------------------------------------------------------
Broadcasting--0.2%
Citadel Communications Corp. 4,200 151,987
- ------------------------------------------------------------------------------------------------------------------------
Entertainment--0.8%
Brinker International, Inc.(1) 1,500 40,781
- ------------------------------------------------------------------------------------------------------------------------
Dave & Buster's, Inc.(1) 3,800 110,200
- ------------------------------------------------------------------------------------------------------------------------
P.F. Chang's China Bistro, Inc.(1) 5,200 112,450
- ------------------------------------------------------------------------------------------------------------------------
Piccadilly Cafeterias, Inc. 9,300 77,306
- ------------------------------------------------------------------------------------------------------------------------
Rubio's Restaurants, Inc.(1) 8,200 126,587
- ------------------------------------------------------------------------------------------------------------------------
Shaw Brothers (Hong Kong) Ltd. 225,000 153,700
----------
621,024
</TABLE>
LifeSpan Capital Appreciation Portfolio 5
<PAGE>
- --------------------------------------------------------------------------------
Statement of Investments (Unaudited) (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market Value
Shares Note 1
<S> <C> <C>
- ------------------------------------------------------------------------------------------------------------------------
Food--1.4%
General Mills, Inc. 3,700 $297,387
- ------------------------------------------------------------------------------------------------------------------------
Groupe Danone 800 206,255
- ------------------------------------------------------------------------------------------------------------------------
Hormel Foods Corp. 1,300 52,325
- ------------------------------------------------------------------------------------------------------------------------
IBP, Inc. 5,600 133,000
- ------------------------------------------------------------------------------------------------------------------------
Jeronimo Martins & Filho SA 4,000 132,127
- ------------------------------------------------------------------------------------------------------------------------
Kerry Group plc, Cl. A 10,000 118,596
- ------------------------------------------------------------------------------------------------------------------------
Suiza Foods Corp.(1) 2,200 92,125
----------
1,031,815
- ------------------------------------------------------------------------------------------------------------------------
Food & Drug Retailers--1.4%
Albertson's, Inc. 4,200 216,562
- ------------------------------------------------------------------------------------------------------------------------
Colruyt SA(1) 250 164,488
- ------------------------------------------------------------------------------------------------------------------------
Koninklijke Ahold NV 6,000 206,667
- ------------------------------------------------------------------------------------------------------------------------
SUPERVALU, Inc. 6,300 161,831
- ------------------------------------------------------------------------------------------------------------------------
Whole Foods Market, Inc.(1) 2,200 105,737
- ------------------------------------------------------------------------------------------------------------------------
William Morrison Supermarkets plc 68,000 154,351
----------
1,009,636
- ------------------------------------------------------------------------------------------------------------------------
Household Goods--1.1%
- ------------------------------------------------------------------------------------------------------------------------
Blyth Industries, Inc.(1) 4,100 140,938
- ------------------------------------------------------------------------------------------------------------------------
Kimberly-Clark Corp. 6,400 364,800
- ------------------------------------------------------------------------------------------------------------------------
L'OREAL 200 135,200
- ------------------------------------------------------------------------------------------------------------------------
Premark International, Inc. 3,900 146,250
----------
787,188
- ------------------------------------------------------------------------------------------------------------------------
Tobacco--0.4%
Philip Morris Cos., Inc. 7,600 305,425
========================================================================================================================
Energy--4.4%
- ------------------------------------------------------------------------------------------------------------------------
Energy Services--0.3%
Anadarko Petroleum Corp. 1,300 47,856
- ------------------------------------------------------------------------------------------------------------------------
Catalytica, Inc.(1) 8,000 112,000
- ------------------------------------------------------------------------------------------------------------------------
ENSCO International, Inc. 2,500 49,844
- ------------------------------------------------------------------------------------------------------------------------
Global Marine, Inc.(1) 3,000 46,313
----------
256,013
- ------------------------------------------------------------------------------------------------------------------------
Oil: Domestic--2.8%
Apache Corp. 1,200 46,800
- ------------------------------------------------------------------------------------------------------------------------
Atlantic Richfield Co. 3,700 309,181
- ------------------------------------------------------------------------------------------------------------------------
Burlington Resources, Inc. 1,000 43,250
- ------------------------------------------------------------------------------------------------------------------------
Chevron Corp. 3,300 314,119
- ------------------------------------------------------------------------------------------------------------------------
Conoco, Inc., Cl. A 2,500 69,688
- ------------------------------------------------------------------------------------------------------------------------
Exxon Corp. 8,600 663,275
- ------------------------------------------------------------------------------------------------------------------------
Mobil Corp. 3,500 346,500
- ------------------------------------------------------------------------------------------------------------------------
Occidental Petroleum Corp. 6,200 130,975
- ------------------------------------------------------------------------------------------------------------------------
Texaco, Inc. 2,300 143,750
----------
2,067,538
</TABLE>
6 LifeSpan Capital Appreciation Portfolio
<PAGE>
- --------------------------------------------------------------------------------
Statement of Investments (Unaudited) (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market Value
Shares Note 1
<S> <C> <C>
- ------------------------------------------------------------------------------------------------------------------------
Oil: International--1.3%
BP Amoco plc, ADR 4,614 $500,619
- ------------------------------------------------------------------------------------------------------------------------
Shell Transport & Trading Co. plc 30,000 224,977
- ------------------------------------------------------------------------------------------------------------------------
Total Fina SA, Sponsored ADR(1) 1,100 70,881
- ------------------------------------------------------------------------------------------------------------------------
Total SA, B Shares(1) 1,400 180,617
----------
977,094
========================================================================================================================
Financial--12.5%
- ------------------------------------------------------------------------------------------------------------------------
Banks--3.4%
Argentaria SA 6,000 136,685
- ------------------------------------------------------------------------------------------------------------------------
Banca Poplare di Brescia 3,000 128,548
- ------------------------------------------------------------------------------------------------------------------------
Banco Popular Espanol SA 1,200 86,318
- ------------------------------------------------------------------------------------------------------------------------
Bank Handlowy W Warszawie, GDR(1)(2) 2,800 44,380
- ------------------------------------------------------------------------------------------------------------------------
Bank of America Corp. 1,200 87,975
- ------------------------------------------------------------------------------------------------------------------------
Bank of Scotland(1) 10,000 132,409
- ------------------------------------------------------------------------------------------------------------------------
Bank United Corp., Cl. A 500 20,094
- ------------------------------------------------------------------------------------------------------------------------
Chase Manhattan Corp. 4,200 363,825
- ------------------------------------------------------------------------------------------------------------------------
First Union Corp. 1,500 70,500
- ------------------------------------------------------------------------------------------------------------------------
J.P. Morgan & Co., Inc. 1,200 168,600
- ------------------------------------------------------------------------------------------------------------------------
Lloyds TSB Group plc 16,000 216,899
- ------------------------------------------------------------------------------------------------------------------------
National City Corp. 2,800 183,400
- ------------------------------------------------------------------------------------------------------------------------
Nordbanken Holding AB 28,000 163,684
- ------------------------------------------------------------------------------------------------------------------------
Old Kent Financial Corp. 1,680 70,350
- ------------------------------------------------------------------------------------------------------------------------
Roslyn Bancorp, Inc. 1,600 27,500
- ------------------------------------------------------------------------------------------------------------------------
Union Planters Corp. 2,100 93,844
- ------------------------------------------------------------------------------------------------------------------------
UnionBanCal Corp. 8,400 303,450
- ------------------------------------------------------------------------------------------------------------------------
Wachovia Corp. 2,600 222,463
----------
2,520,924
- ------------------------------------------------------------------------------------------------------------------------
Diversified Financial--2.4%
AMBAC Financial Group, Inc. 1,600 91,400
- ------------------------------------------------------------------------------------------------------------------------
Cattles plc 30,000 162,201
- ------------------------------------------------------------------------------------------------------------------------
Citigroup, Inc. 3,500 166,250
- ------------------------------------------------------------------------------------------------------------------------
Credit Saison Co. Ltd. 7,000 146,320
- ------------------------------------------------------------------------------------------------------------------------
Fannie Mae 1,000 68,375
- ------------------------------------------------------------------------------------------------------------------------
Freddie Mac 2,400 139,200
- ------------------------------------------------------------------------------------------------------------------------
ING Groep NV 3,000 162,426
- ------------------------------------------------------------------------------------------------------------------------
Lend Lease Corp. Ltd. 8,000 109,842
- ------------------------------------------------------------------------------------------------------------------------
Morgan Stanley Dean Witter & Co. 700 71,750
- ------------------------------------------------------------------------------------------------------------------------
Nationwide Financial Services, Inc., Cl. A 2,100 95,025
- ------------------------------------------------------------------------------------------------------------------------
Northern Rock plc 20,000 150,694
- ------------------------------------------------------------------------------------------------------------------------
Perlis Plantations Berhad(3) 25,500 29,795
- ------------------------------------------------------------------------------------------------------------------------
Promise Co. Ltd. 2,900 171,312
- ------------------------------------------------------------------------------------------------------------------------
Reckson Associates Realty Corp., Cl. B(1) 3,662 87,430
- ------------------------------------------------------------------------------------------------------------------------
Swire Pacific Ltd., Cl. B 130,000 97,182
----------
1,749,202
</TABLE>
LifeSpan Capital Appreciation Portfolio 7
<PAGE>
- --------------------------------------------------------------------------------
Statement of Investments (Unaudited) (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market Value
Shares Note 1
<S> <C> <C>
- ------------------------------------------------------------------------------------------------------------------------
Insurance--5.5%
ACE Ltd. 3,100 $ 87,575
- ------------------------------------------------------------------------------------------------------------------------
Advance Paradigm, Inc.(1) 1,700 103,700
- ------------------------------------------------------------------------------------------------------------------------
AEGON NV 1,800 130,590
- ------------------------------------------------------------------------------------------------------------------------
Allstate Corp. 5,700 204,488
- ------------------------------------------------------------------------------------------------------------------------
American General Corp. 5,800 437,175
- ------------------------------------------------------------------------------------------------------------------------
American International Group, Inc. 900 105,356
- ------------------------------------------------------------------------------------------------------------------------
Assicurazioni Generali SpA 4,000 138,603
- ------------------------------------------------------------------------------------------------------------------------
AXA SA 1,400 170,799
- ------------------------------------------------------------------------------------------------------------------------
Chubb Corp. 1,700 118,150
- ------------------------------------------------------------------------------------------------------------------------
Cigna Corp. 2,900 258,100
- ------------------------------------------------------------------------------------------------------------------------
Equitable Cos., Inc. 2,700 180,900
- ------------------------------------------------------------------------------------------------------------------------
Hartford Financial Services Group, Inc. 1,900 110,794
- ------------------------------------------------------------------------------------------------------------------------
Hartford Life, Inc., Cl. A 1,000 52,625
- ------------------------------------------------------------------------------------------------------------------------
HSB Group, Inc. 3,750 154,453
- ------------------------------------------------------------------------------------------------------------------------
Irish Life & Permanent plc 9,127 96,477
- ------------------------------------------------------------------------------------------------------------------------
Jefferson-Pilot Corp. 3,900 258,131
- ------------------------------------------------------------------------------------------------------------------------
Lincoln National Corp. 7,200 376,650
- ------------------------------------------------------------------------------------------------------------------------
Marsh & McLennan Cos., Inc. 3,900 294,450
- ------------------------------------------------------------------------------------------------------------------------
Old Republic International Corp. 3,100 53,669
- ------------------------------------------------------------------------------------------------------------------------
Provident Companies, Inc. 1,900 76,000
- ------------------------------------------------------------------------------------------------------------------------
Safeco Corp. 3,800 167,675
- ------------------------------------------------------------------------------------------------------------------------
St. Paul Cos., Inc. 2,600 82,713
- ------------------------------------------------------------------------------------------------------------------------
Transamerica Corp. 3,200 240,000
- ------------------------------------------------------------------------------------------------------------------------
Travelers Property Casualty Corp., Cl. A 3,100 121,288
----------
4,020,361
- ------------------------------------------------------------------------------------------------------------------------
Real Estate Investment Trusts--1.0%
Camden Property Trust 7,200 199,800
- ------------------------------------------------------------------------------------------------------------------------
Cornerstone Properties, Inc. 11,400 180,975
- ------------------------------------------------------------------------------------------------------------------------
Healthcare Realty Trust, Inc. 6,814 143,094
- ------------------------------------------------------------------------------------------------------------------------
HRPT Properties Trust 9,200 140,875
- ------------------------------------------------------------------------------------------------------------------------
Meditrust Corp., Paired Stock 5,407 70,629
----------
735,373
- ------------------------------------------------------------------------------------------------------------------------
Savings & Loans--0.2%
Greenpoint Financial Corp. 3,500 114,844
========================================================================================================================
Healthcare--4.9%
- ------------------------------------------------------------------------------------------------------------------------
Healthcare/Drugs--2.6%
Abbott Laboratories 2,800 127,400
- ------------------------------------------------------------------------------------------------------------------------
Fresenius AG, Preference 900 157,785
- ------------------------------------------------------------------------------------------------------------------------
Gedeon Richter Ltd., GDR(2) 2,400 105,000
- ------------------------------------------------------------------------------------------------------------------------
Glaxo Wellcome plc 6,000 166,741
- ------------------------------------------------------------------------------------------------------------------------
Jones Pharma, Inc. 3,500 137,813
- ------------------------------------------------------------------------------------------------------------------------
Medicis Pharmaceutical Corp., Cl. A(1) 3,850 97,694
</TABLE>
8 LifeSpan Capital Appreciation Portfolio
<PAGE>
- --------------------------------------------------------------------------------
Statement of Investments (Unaudited) (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market Value
Shares Note 1
<S> <C> <C>
- ------------------------------------------------------------------------------------------------------------------------
Healthcare/Drugs (continued)
Novartis AG 100 $ 146,019
- ------------------------------------------------------------------------------------------------------------------------
Osteotech, Inc.(1) 3,400 97,750
- ------------------------------------------------------------------------------------------------------------------------
Pharmacia & Upjohn, Inc. 1,800 102,263
- ------------------------------------------------------------------------------------------------------------------------
Pliva d.d., Sponsored GDR(2) 5,900 88,795
- ------------------------------------------------------------------------------------------------------------------------
Roberts Pharmaceutical Corp.(1) 5,200 126,100
- ------------------------------------------------------------------------------------------------------------------------
Sanofi-Synthelabo SA(1) 6,000 254,621
- ------------------------------------------------------------------------------------------------------------------------
Schering AG 1,200 128,208
- ------------------------------------------------------------------------------------------------------------------------
Takeda Chemical Industries Ltd. 4,000 185,399
----------
1,921,588
- ------------------------------------------------------------------------------------------------------------------------
Healthcare/Supplies & Services--2.3%
Beckman Coulter, Inc. 1,800 87,525
- ------------------------------------------------------------------------------------------------------------------------
Hoya Corp. 2,000 112,859
- ------------------------------------------------------------------------------------------------------------------------
Laser Vision Centers, Inc.(1) 2,300 144,900
- ------------------------------------------------------------------------------------------------------------------------
Luxottica Group SpA, Sponsored ADR 12,000 186,750
- ------------------------------------------------------------------------------------------------------------------------
Molecular Devices Corp.(1) 3,900 146,250
- ------------------------------------------------------------------------------------------------------------------------
Olympus Optical Co. Ltd. 14,000 206,930
- ------------------------------------------------------------------------------------------------------------------------
Perclose, Inc.(1) 2,400 115,350
- ------------------------------------------------------------------------------------------------------------------------
Renal Care Group, Inc.(1) 3,400 87,975
- ------------------------------------------------------------------------------------------------------------------------
SmithKline Beecham plc 17,000 220,942
- ------------------------------------------------------------------------------------------------------------------------
Terumo Corp. 7,000 155,863
- ------------------------------------------------------------------------------------------------------------------------
Xomed Surgical Products, Inc.(1) 3,900 189,881
----------
1,655,225
========================================================================================================================
Technology--14.0%
- ------------------------------------------------------------------------------------------------------------------------
Computer Hardware--2.4%
Apple Computer, Inc.(1) 3,100 143,569
- ------------------------------------------------------------------------------------------------------------------------
Cognex Corp.(1) 5,400 170,438
- ------------------------------------------------------------------------------------------------------------------------
Extreme Networks, Inc.(1) 2,600 150,963
- ------------------------------------------------------------------------------------------------------------------------
Hewlett-Packard Co. 1,800 180,900
- ------------------------------------------------------------------------------------------------------------------------
International Business Machines Corp. 3,800 491,150
- ------------------------------------------------------------------------------------------------------------------------
Lexmark International Group, Inc., Cl. A(1) 1,200 79,275
- ------------------------------------------------------------------------------------------------------------------------
MMC Networks, Inc.(1) 3,000 134,250
- ------------------------------------------------------------------------------------------------------------------------
Network Appliance, Inc.(1) 4,300 240,263
- ------------------------------------------------------------------------------------------------------------------------
NVIDIA Corp.(1) 7,500 143,438
- ------------------------------------------------------------------------------------------------------------------------
Seagate Technology, Inc.(1) 300 7,688
----------
1,741,934
- ------------------------------------------------------------------------------------------------------------------------
Computer Services--2.1%
Applied Micro Circuits Corp.(1) 4,800 394,800
- ------------------------------------------------------------------------------------------------------------------------
Cognizant Technology Solutions Corp.(1) 4,000 104,250
- ------------------------------------------------------------------------------------------------------------------------
Diamond Technology Partners, Inc.(1) 7,100 158,863
- ------------------------------------------------------------------------------------------------------------------------
Eclipsys Corp.(1) 5,500 131,656
- ------------------------------------------------------------------------------------------------------------------------
First Data Corp. 3,500 171,281
</TABLE>
LifeSpan Capital Appreciation Portfolio 9
<PAGE>
- --------------------------------------------------------------------------------
Statement of Investments (Unaudited) (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market Value
Shares Note 1
<S> <C> <C>
- ------------------------------------------------------------------------------------------------------------------------
Computer Services (continued)
MedQuist, Inc.(1) 5,000 $ 218,750
- ------------------------------------------------------------------------------------------------------------------------
NCO Group, Inc.(1) 3,700 140,600
- ------------------------------------------------------------------------------------------------------------------------
QRS Corp.(1) 1,500 117,000
Transaction Systems Architects, Inc., Cl. A(1) 2,700 105,300
----------
1,542,500
- ------------------------------------------------------------------------------------------------------------------------
Computer Software--5.4%
Actuate Corp.(1) 3,700 98,050
- ------------------------------------------------------------------------------------------------------------------------
Advent Software, Inc.(1) 2,300 154,100
- ------------------------------------------------------------------------------------------------------------------------
Aware, Inc.(1) 3,100 142,988
- ------------------------------------------------------------------------------------------------------------------------
BindView Development Corp.(1) 4,800 114,000
- ------------------------------------------------------------------------------------------------------------------------
BISYS Group, Inc. (The)(1) 700 40,950
- ------------------------------------------------------------------------------------------------------------------------
BroadVision, Inc.(1) 3,600 265,500
- ------------------------------------------------------------------------------------------------------------------------
Dendrite International, Inc.(1) 8,400 303,450
- ------------------------------------------------------------------------------------------------------------------------
DSET Corp.(1) 7,000 97,563
- ------------------------------------------------------------------------------------------------------------------------
Exchange Applications, Inc.(1) 4,600 187,450
- ------------------------------------------------------------------------------------------------------------------------
Getronics NV 4,000 153,866
- ------------------------------------------------------------------------------------------------------------------------
Great Plains Software, Inc.(1) 3,000 141,563
- ------------------------------------------------------------------------------------------------------------------------
International Integration, Inc.(1) 6,400 144,000
- ------------------------------------------------------------------------------------------------------------------------
International Network Services(1) 4,050 163,519
- ------------------------------------------------------------------------------------------------------------------------
Legato Systems, Inc.(1) 3,900 225,225
- ------------------------------------------------------------------------------------------------------------------------
Logica plc 9,000 94,625
- ------------------------------------------------------------------------------------------------------------------------
Macromedia, Inc.(1) 3,500 123,375
- ------------------------------------------------------------------------------------------------------------------------
Mercury Interactive Corp.(1) 7,400 261,775
- ------------------------------------------------------------------------------------------------------------------------
Micromuse, Inc.(1) 2,700 134,663
- ------------------------------------------------------------------------------------------------------------------------
New Era of Networks, Inc.(1) 6,400 281,200
- ------------------------------------------------------------------------------------------------------------------------
Sapient Corp.(1) 2,400 135,900
- ------------------------------------------------------------------------------------------------------------------------
Scient Corp.(1) 3,000 142,688
- ------------------------------------------------------------------------------------------------------------------------
TSI International Software Ltd.(1) 5,500 156,063
- ------------------------------------------------------------------------------------------------------------------------
USWeb Corp.(1) 4,900 108,719
- ------------------------------------------------------------------------------------------------------------------------
Verity, Inc.(1) 2,800 151,725
- ------------------------------------------------------------------------------------------------------------------------
Visio Corp.(1) 3,400 129,413
----------
3,952,370
- ------------------------------------------------------------------------------------------------------------------------
Communications Equipment--0.7%
Excel Switching Corp.(1) 3,100 92,806
- ------------------------------------------------------------------------------------------------------------------------
Harmonic, Inc.(1) 2,100 120,619
Vodafone Group plc, Sponsored ADR 1,400 275,800
----------
489,225
- ------------------------------------------------------------------------------------------------------------------------
Electronics--3.4%
ANADIGICS, Inc.(1) 3,900 144,300
- ------------------------------------------------------------------------------------------------------------------------
Bowthorpe plc 21,000 184,380
- ------------------------------------------------------------------------------------------------------------------------
Brooks Automation, Inc.(1) 4,800 129,900
- ------------------------------------------------------------------------------------------------------------------------
Cymer, Inc.(1) 5,200 130,000
- ------------------------------------------------------------------------------------------------------------------------
Electrocomponents plc 23,000 169,854
</TABLE>
10 LifeSpan Capital Appreciation Portfolio
<PAGE>
- --------------------------------------------------------------------------------
Statement of Investments (Unaudited) (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market Value
Shares Note 1
<S> <C> <C>
- ------------------------------------------------------------------------------------------------------------------------
Electronics (continued)
Galileo Technology Ltd.(1) 3,400 $154,063
- ------------------------------------------------------------------------------------------------------------------------
hi/fn, inc.(1) 2,100 159,863
- ------------------------------------------------------------------------------------------------------------------------
Hoshiden Corp. 10,000 215,638
- ------------------------------------------------------------------------------------------------------------------------
QLogic Corp.(1) 2,300 303,600
- ------------------------------------------------------------------------------------------------------------------------
RF Micro Devices, Inc.(1) 5,200 388,050
- ------------------------------------------------------------------------------------------------------------------------
SDL, Inc.(1) 2,200 112,338
- ------------------------------------------------------------------------------------------------------------------------
Sony Corp. 1,600 172,510
- ------------------------------------------------------------------------------------------------------------------------
VTech Holdings Ltd. 61,000 193,804
----------
2,458,300
========================================================================================================================
Transportation--1.7%
- ------------------------------------------------------------------------------------------------------------------------
Air Transportation--0.8%
AHL Services, Inc.(1) 6,800 169,575
- ------------------------------------------------------------------------------------------------------------------------
BAA plc 16,000 153,847
- ------------------------------------------------------------------------------------------------------------------------
Continental Airlines, Inc., Cl. B(1) 1,500 56,438
- ------------------------------------------------------------------------------------------------------------------------
Delta Air Lines, Inc. 1,700 97,963
- ------------------------------------------------------------------------------------------------------------------------
Frontier Airlines, Inc.(1) 6,300 101,588
----------
579,411
- ------------------------------------------------------------------------------------------------------------------------
Railroads & Truckers--0.9%
Burlington Northern Santa Fe Corp. 2,300 71,300
- ------------------------------------------------------------------------------------------------------------------------
GATX Corp. 10,400 395,850
- ------------------------------------------------------------------------------------------------------------------------
MotivePower Industries, Inc.(1) 5,850 105,300
- ------------------------------------------------------------------------------------------------------------------------
Union Pacific Corp. 1,500 87,469
----------
659,919
========================================================================================================================
Utilities--6.7%
- ------------------------------------------------------------------------------------------------------------------------
Electric Utilities--4.9%
Carolina Power & Light Co. 2,100 89,906
- ------------------------------------------------------------------------------------------------------------------------
CLP Holdings Ltd. 20,000 97,182
- ------------------------------------------------------------------------------------------------------------------------
Conectiv, Inc. 7,900 193,056
- ------------------------------------------------------------------------------------------------------------------------
Duke Energy Corp. 8,748 475,673
- ------------------------------------------------------------------------------------------------------------------------
Endesa SA 6,000 127,960
- ------------------------------------------------------------------------------------------------------------------------
Entergy Corp. 1,200 37,500
- ------------------------------------------------------------------------------------------------------------------------
FPL Group, Inc. 7,200 393,300
- ------------------------------------------------------------------------------------------------------------------------
Kansas City Power & Light Co. 6,600 168,300
- ------------------------------------------------------------------------------------------------------------------------
Montana Power Co. 2,500 176,250
- ------------------------------------------------------------------------------------------------------------------------
Peco Energy Co. 10,000 418,750
- ------------------------------------------------------------------------------------------------------------------------
PG&E Corp. 8,600 279,500
- ------------------------------------------------------------------------------------------------------------------------
Potomac Electric Power Co. 3,100 91,256
- ------------------------------------------------------------------------------------------------------------------------
Public Service Enterprise Group, Inc. 4,200 171,675
- ------------------------------------------------------------------------------------------------------------------------
Reliant Energy, Inc. 8,900 245,863
- ------------------------------------------------------------------------------------------------------------------------
Texas Utilities Co. 3,800 156,750
- ------------------------------------------------------------------------------------------------------------------------
Unicom Corp. 3,700 142,681
- ------------------------------------------------------------------------------------------------------------------------
Vivendi (Ex-Generale des Eaux) 2,127 172,301
- ------------------------------------------------------------------------------------------------------------------------
Western Resources, Inc. 5,200 138,450
----------
3,576,353
</TABLE>
LifeSpan Capital Appreciation Portfolio 11
<PAGE>
- --------------------------------------------------------------------------------
Statement of Investments (Unaudited) (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market Value
Shares Note 1
<S> <C> <C>
- ------------------------------------------------------------------------------------------------------------------------
Gas Utilities--1.8%
El Paso Energy Corp. 16,400 $577,075
- ------------------------------------------------------------------------------------------------------------------------
Hong Kong & China Gas Co. Ltd. 77,000 111,650
- ------------------------------------------------------------------------------------------------------------------------
MCN Energy Group, Inc. 5,000 103,750
- ------------------------------------------------------------------------------------------------------------------------
National Fuel Gas Co. 5,600 271,600
- ------------------------------------------------------------------------------------------------------------------------
NICOR, Inc. 1,700 64,706
- ------------------------------------------------------------------------------------------------------------------------
Questar Corp. 10,800 206,550
----------
1,335,331
----------
Total Common Stocks (Cost $46,203,760) 55,431,134
========================================================================================================================
Preferred Stocks--0.1%
- ------------------------------------------------------------------------------------------------------------------------
PRIMEDIA, Inc., 10% Cum., Series D, Non-Vtg.(3) 500 50,562
- ------------------------------------------------------------------------------------------------------------------------
TCR Holding Corp.:
Series B(3) 88 5
Series C(3) 48 3
Series D(3) 127 7
Series E(3) 263 17
----------
Total Preferred Stocks (Cost $50,031) 50,594
<CAPTION>
Units
<S> <C> <C>
========================================================================================================================
Rights, Warrants and Certificates--0.0%
- ------------------------------------------------------------------------------------------------------------------------
Australis Holdings PTY Ltd./Australia Media Ltd. Wts., Exp. 10/01(3) 100 --
- ------------------------------------------------------------------------------------------------------------------------
Diva Systems Corp. Wts., Exp. 3/08(3) 300 3,600
- ------------------------------------------------------------------------------------------------------------------------
e.spire Communications, Inc. Wts., Exp. 11/05 100 5,756
----------
Total Rights, Warrants and Certificates (Cost $0) 9,356
<CAPTION>
Principal
Amount
<S> <C> <C>
========================================================================================================================
Asset-Backed Securities--0.3%
- ------------------------------------------------------------------------------------------------------------------------
Arcadia Automobile Receivables Trust, Automobile Receivables-Backed
Nts., Series 1998-B, Cl. A3, 5.95%, 11/15/02 $ 75,000 74,813
- ------------------------------------------------------------------------------------------------------------------------
IROQUOIS Trust, Asset-Backed Amortizing Nts., Series 1997-2, Cl. A,
6.752%, 6/25/07(3) 50,000 49,574
- ------------------------------------------------------------------------------------------------------------------------
Olympic Automobile Receivables Trust, Automobile Receivables-Backed
Nts., Series 1997-A, Cl. A-5, 6.80%, 2/15/05(3) 50,000 50,180
----------
Total Asset-Backed Securities (Cost $174,909) 174,567
========================================================================================================================
Mortgage-Backed Obligations--0.8%
- ------------------------------------------------------------------------------------------------------------------------
Countrywide Funding Corp., Mtg. Pass-Through Certificates, Series 1994-10,
Cl. A3, 6%, 5/25/09 100,000 98,843
- ------------------------------------------------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp.:
Collateralized Mtg. Obligations, Gtd. Multiclass Mtg. Participation
Certificates, Series 1711, Cl. EA, 7%, 3/15/24 100,000 98,875
Gtd. Multiclass Mtg. Participation Certificates, 6%, 3/1/09 11,890 11,624
Gtd. Multiclass Mtg. Participation Certificates, Series 1843, Cl. VB, 7%, 4/15/03 15,000 15,173
Gtd. Multiclass Mtg. Participation Certificates, Series 1849, Cl. VA, 6%, 12/15/10 17,335 17,271
Interest-Only Stripped Mtg.-Backed Security, Series 1542, Cl. QC, 7%, 10/15/20(4) 300,000 37,125
Interest-Only Stripped Mtg.-Backed Security, Series 1583, Cl. IC, 7%, 1/15/20(4) 181,343 16,547
</TABLE>
12 LifeSpan Capital Appreciation Portfolio
<PAGE>
- --------------------------------------------------------------------------------
Statement of Investments (Unaudited) (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Market Value
Amount Note 1
<S> <C> <C>
========================================================================================================================
Mortgage-Backed Obligations (continued)
- ------------------------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn.:
6%, 12/1/03 $ 26,932 $26,551
6.50%, 4/1/26 36,952 35,707
7%, 4/1/00 17,589 17,607
Collateralized Mtg. Obligations, Gtd. Real Estate Mtg. Investment Conduit
Pass-Through Certificates, Trust 1993-190, Cl. Z, 5.85%, 7/25/08 22,764 22,728
- ------------------------------------------------------------------------------------------------------------------------
GE Capital Mortgage Services, Inc., Gtd. Real Estate Mtg. Investment
Conduit Pass-Through Certificates, Series 1994-7, Cl. A18, 6%, 2/25/09 99,442 92,419
- ------------------------------------------------------------------------------------------------------------------------
IMC Home Equity Trust, Asset-Backed Home Equity Securities, Series
1998-3, Cl. A5, 6.36%, 8/20/22(5) 125,000 122,305
----------
Total Mortgage-Backed Obligations (Cost $617,818) 612,775
========================================================================================================================
U.S. Government Obligations--4.1%
- ------------------------------------------------------------------------------------------------------------------------
Federal Farm Credit Bank, Medium-Term Nts., 5.24%, 10/1/08 100,000 91,119
- ------------------------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn. Nts., 5.125%, 2/13/04 300,000 287,625
- ------------------------------------------------------------------------------------------------------------------------
U.S. Treasury Bonds:
6%, 2/15/26 400,000 389,125
7.50%, 11/15/16 660,000 742,088
STRIPS, 5.67%, 11/15/18(6) 700,000 206,579
- ------------------------------------------------------------------------------------------------------------------------
U.S. Treasury Nts.:
5.625%, 2/15/06 225,000 221,625
5.625%, 5/15/08 125,000 122,461
6.125%, 8/15/07 200,000 202,250
6.50%, 8/15/05 725,000 747,656
----------
Total U.S. Government Obligations (Cost $3,065,818) 3,010,528
========================================================================================================================
Non-Convertible Corporate Bonds and Notes--11.5%
========================================================================================================================
Basic Materials--0.9%
- ------------------------------------------------------------------------------------------------------------------------
Chemicals--0.4%
Laroche Industries, Inc., 9.50% Sr. Sub. Nts., Series B, 9/15/07 75,000 59,625
- ------------------------------------------------------------------------------------------------------------------------
Morton International, Inc., 9.25% Credit Sensitive Nts., 6/1/20 35,000 40,575
- ------------------------------------------------------------------------------------------------------------------------
PPG Industries, Inc., 9% Debs., 5/1/21 35,000 40,722
- ------------------------------------------------------------------------------------------------------------------------
Rexene Corp. (New), 11.75% Sr. Nts., 12/1/04(3) 50,000 53,250
- ------------------------------------------------------------------------------------------------------------------------
Sterling Chemicals Holdings, Inc., 0%/13.50% Sr. Disc. Nts., 8/15/08(7) 75,000 22,875
- ------------------------------------------------------------------------------------------------------------------------
Texas Petrochemical Corp., 11.125% Sr. Sub. Nts., Series B, 7/1/06 75,000 67,875
----------
284,922
- ------------------------------------------------------------------------------------------------------------------------
Metals--0.2%
Alcan Aluminum Ltd., 9.625% Debs., 7/15/19 35,000 36,674
- ------------------------------------------------------------------------------------------------------------------------
Gulf States Steel, Inc. (Alabama), 13.50% First Mtg. Nts., Series B, 4/15/03(8) 75,000 18,469
- ------------------------------------------------------------------------------------------------------------------------
WCI Steel, Inc., 10% Sr. Nts., Series B, 12/1/04 75,000 76,687
----------
131,830
- ------------------------------------------------------------------------------------------------------------------------
Paper--0.3%
Ainsworth Lumber, Inc., 12.50% Sr. Nts., 7/15/07(9) 75,000 84,187
- ------------------------------------------------------------------------------------------------------------------------
Malette, Inc., 12.25% Sr. Sec. Nts., 7/15/04(3) 50,000 53,000
- ------------------------------------------------------------------------------------------------------------------------
Stone Container Corp., 9.875% Sr. Nts., 2/1/01 50,000 50,562
----------
187,749
</TABLE>
LifeSpan Capital Appreciation Portfolio 13
<PAGE>
- --------------------------------------------------------------------------------
Statement of Investments (Unaudited) (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Market Value
Amount Note 1
<S> <C> <C>
========================================================================================================================
Capital Goods--1.7%
- ------------------------------------------------------------------------------------------------------------------------
Industrial Services--1.4%
Advance Holding Corp., 0%/12.875% Sr. Disc. Nts., 4/15/09(3)(7) $ 50,000 $27,250
- ------------------------------------------------------------------------------------------------------------------------
Advance Stores Co., Inc., 10.25% Sr. Unsec. Sub. Nts., Series B, 4/15/08(3) 25,000 24,125
- ------------------------------------------------------------------------------------------------------------------------
Applied Extrusion Technologies, Inc., 11.50% Sr. Nts., Series B, 4/1/02(3) 125,000 127,656
- ------------------------------------------------------------------------------------------------------------------------
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(2) 50,000 48,000
- ------------------------------------------------------------------------------------------------------------------------
Employee Solutions, Inc., 10% Sr. Unsec. Nts., Series B, 10/15/04(3) 75,000 45,281
- ------------------------------------------------------------------------------------------------------------------------
Jordan Telecommunication Products, Inc., 9.875% Sr. Nts., Series B, 8/1/07(3) 50,000 49,750
- ------------------------------------------------------------------------------------------------------------------------
KSL Recreation Group, Inc., 10.25% Sr. Sub. Nts., 5/1/07(3) 50,000 51,000
- ------------------------------------------------------------------------------------------------------------------------
Logix Communications Enterprises, Inc., 12.25% Sr. Unsec. Nts., 6/15/08 50,000 45,250
- ------------------------------------------------------------------------------------------------------------------------
Maxim Group, Inc. (The), 9.25% Sr. Sub. Nts., Series B, 10/15/07(3)(5) 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)(3)(7)(10) 100,000 49,000
- ------------------------------------------------------------------------------------------------------------------------
Ocean Energy, Inc., 8.375% Sr. Unsec. Sub. Nts., Series B, 7/1/08 50,000 48,750
- ------------------------------------------------------------------------------------------------------------------------
Production Resource Group LLC/PRG Finance Corp., 11.50% Sr. Unsec. Sub. Nts., 1/15/08(3) 75,000 76,875
- ------------------------------------------------------------------------------------------------------------------------
Scotia Pacific Co. LLC, 6.55% Timber Collaterized Nts., Series B, Cl. A-1, 1/20/07 72,498 66,683
- ------------------------------------------------------------------------------------------------------------------------
Simonds Industries, Inc., 10.25% Sr. Unsec. Sub. Nts., 7/1/08(3) 50,000 49,250
- ------------------------------------------------------------------------------------------------------------------------
Sun Co., Inc., 7.95% Debs., 12/15/01 50,000 51,177
- ------------------------------------------------------------------------------------------------------------------------
Thermadyne Holdings Corp., 0%/12.50% Sr. Disc. Debs., 6/1/08(3)(7) 75,000 36,000
- ------------------------------------------------------------------------------------------------------------------------
Tyco International Group SA, 6.125% Unsec. Nts., 6/15/01 75,000 74,771
- ------------------------------------------------------------------------------------------------------------------------
USI American Holdings, Inc., 7.25% Sr. Nts., Series B, 12/1/06 40,000 39,384
----------
1,010,202
- ------------------------------------------------------------------------------------------------------------------------
Manufacturing--0.3%
Federal-Mogul Corp., 7.50% Nts., 7/1/04 75,000 72,900
- ------------------------------------------------------------------------------------------------------------------------
Jordan Industries, Inc., 10.375% Sr. Nts., Series B, 8/1/07(3) 75,000 76,312
- ------------------------------------------------------------------------------------------------------------------------
Portola Packaging, Inc., 10.75% Sr. Nts., 10/1/05(3) 50,000 51,250
- ------------------------------------------------------------------------------------------------------------------------
Titan Wheel International, Inc., 8.75% Sr. Sub. Nts., 4/1/07 50,000 46,875
----------
247,337
========================================================================================================================
Communication Services--2.3%
- ------------------------------------------------------------------------------------------------------------------------
Telecommunications: Long Distance--1.7%
AT&T Capital Corp., 6.25% Medium-Term Nts., Series F, 5/15/01 75,000 73,825
- ------------------------------------------------------------------------------------------------------------------------
Coaxial Communications, Inc., 10% Sr. Unsec. Nts., 8/15/06(3) 75,000 76,219
- ------------------------------------------------------------------------------------------------------------------------
Comcast UK Cable Partner Ltd., 0%/11.20% Sr. Disc. Debs., 11/15/07(7) 50,000 45,812
- ------------------------------------------------------------------------------------------------------------------------
Diamond Cable Communications plc, 0%/10.75% Sr. Disc. Nts., 2/15/07(7) 75,000 58,125
- ------------------------------------------------------------------------------------------------------------------------
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 75,000 79,125
- ------------------------------------------------------------------------------------------------------------------------
Galaxy Telecom LP, 12.375% Sr. Sub. Nts., 10/1/05 75,000 83,250
- ------------------------------------------------------------------------------------------------------------------------
GST USA, Inc., 0%/13.875% Gtd. Sr. Disc. Nts., 12/15/05(7) 75,000 61,875
- ------------------------------------------------------------------------------------------------------------------------
Hermes Europe Railtel BV, 10.375% Sr. Unsec. Nts., 1/15/09 75,000 76,312
- ------------------------------------------------------------------------------------------------------------------------
ICG Holdings, Inc., 0%/11.625% Sr. Disc. Nts., 3/15/07(7) 100,000 69,750
- ------------------------------------------------------------------------------------------------------------------------
International CableTel, Inc., 0%/11.50% Sr. Deferred Coupon Nts., Series B, 2/1/06(3)(7) 150,000 131,625
- ------------------------------------------------------------------------------------------------------------------------
IXC Communications, Inc., 9% Sr. Sub. Nts., 4/15/08 50,000 48,000
</TABLE>
14 LifeSpan Capital Appreciation Portfolio
<PAGE>
- --------------------------------------------------------------------------------
Statement of Investments (Unaudited) (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Market Value
Amount Note 1
<S> <C> <C>
- ------------------------------------------------------------------------------------------------------------------------
Telecommunications: Long Distance (continued)
Level 3 Communications, Inc., 9.125% Sr. Unsec. Nts., 5/1/08 $75,000 $ 74,062
- ------------------------------------------------------------------------------------------------------------------------
Optel, Inc., 11.50% Sr. Unsec. Nts., 7/1/08 50,000 36,250
- ------------------------------------------------------------------------------------------------------------------------
PSINET, Inc., 11.50% Sr. Unsec. Nts., 11/1/08 50,000 53,000
- ------------------------------------------------------------------------------------------------------------------------
Qwest Communications International, Inc., 0%/9.47% Sr. Disc. Nts., 10/15/07(7) 75,000 58,875
- ------------------------------------------------------------------------------------------------------------------------
RSL Communications plc, 9.125% Sr. Unsec. Nts., 3/1/08 50,000 46,375
- ------------------------------------------------------------------------------------------------------------------------
Telewest Communications plc:
0%/11% Sr. Disc. Debs., 10/1/07(7) 25,000 22,375
9.625% Sr. Debs., 10/1/06 25,000 25,875
- ------------------------------------------------------------------------------------------------------------------------
US West Capital Funding, Inc., 6.125% Nts., 7/15/02 75,000 73,513
----------
1,247,743
- ------------------------------------------------------------------------------------------------------------------------
Telephone Utilities--0.1%
Teligent, Inc., 11.50% Sr. Nts., 12/1/07 75,000 74,625
- ------------------------------------------------------------------------------------------------------------------------
Telecommunications: Wireless--0.5%
Comcast Cellular Communications, Inc., 9.50% Sr. Nts., 5/1/07 75,000 84,281
- ------------------------------------------------------------------------------------------------------------------------
Microcell Telecommunications, Inc., 0%/14% Sr. Disc. Nts., Series B, 6/1/06(7) 50,000 40,625
- ------------------------------------------------------------------------------------------------------------------------
Nextel Communications, Inc., 9.75% Sr. Disc. Nts., 8/15/04 50,000 51,125
- ------------------------------------------------------------------------------------------------------------------------
Sprint Spectrum LP/Sprint Spectrum Finance Corp., 11% Sr. Nts., 8/15/06 75,000 85,875
- ------------------------------------------------------------------------------------------------------------------------
Western Wireless Corp., 10.50% Sr. Sub. Nts., 2/1/07(3) 50,000 53,250
- ------------------------------------------------------------------------------------------------------------------------
Winstar Communications, Inc., 0%/14% Sr. Disc. Nts., 10/15/05(7) 50,000 44,000
----------
359,156
========================================================================================================================
Consumer Cyclicals--2.4%
- ------------------------------------------------------------------------------------------------------------------------
Autos & Housing--0.3%
Black & Decker Corp., 6.625% Nts., 11/15/00 15,000 15,082
- ------------------------------------------------------------------------------------------------------------------------
Cambridge Industries, Inc., 10.25% Sr. Sub. Nts., Series B, 7/15/07 75,000 61,500
- ------------------------------------------------------------------------------------------------------------------------
Collins & Aikman Floorcoverings, Inc., 10% Sr. Sub. Nts., Series B, 1/15/07(3) 50,000 49,750
- ------------------------------------------------------------------------------------------------------------------------
Oxford Automotive, Inc., 10.125% Sr. Unsec. Sub. Nts., 6/15/07 75,000 75,375
----------
201,707
- ------------------------------------------------------------------------------------------------------------------------
Consumer Services--0.1%
Lamar Advertising Co., 8.625% Sr. Sub. Nts., 9/15/07 75,000 73,875
- ------------------------------------------------------------------------------------------------------------------------
Leisure & Entertainment--1.2%
American Skiing Corp., 12% Sr. Sub. Nts., Series B, 7/15/06(3) 50,000 38,250
- ------------------------------------------------------------------------------------------------------------------------
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(3) 75,000 73,125
- ------------------------------------------------------------------------------------------------------------------------
Casino Magic of Louisiana Corp., 13% First Mtg. Nts., Series B, 8/15/03 50,000 56,813
- ------------------------------------------------------------------------------------------------------------------------
Colorado Gaming & Entertainment Co., 12% Sr. Sec. Nts., 6/1/03(3) 75,000 74,625
- ------------------------------------------------------------------------------------------------------------------------
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 50,000 52,250
- ------------------------------------------------------------------------------------------------------------------------
Hilton Hotels Corp., 7.375% Nts., 6/1/02 50,000 49,986
- ------------------------------------------------------------------------------------------------------------------------
HMH Properties, Inc., 7.875% Sr. Nts., Series A, 8/1/05 75,000 71,250
- ------------------------------------------------------------------------------------------------------------------------
Horseshoe Gaming LLC, 9.375% Sr. Sub. Nts., 6/15/07 50,000 51,063
- ------------------------------------------------------------------------------------------------------------------------
Isle of Capri Casinos, Inc., 8.75% Sr. Sub. Nts., 4/15/09(2) 50,000 47,125
- ------------------------------------------------------------------------------------------------------------------------
Mohegan Tribal Gaming Authority, 8.75% Sr. Unsec. Sub. Nts., 1/1/09 50,000 49,750
</TABLE>
LifeSpan Capital Appreciation Portfolio 15
<PAGE>
- --------------------------------------------------------------------------------
Statement of Investments (Unaudited) (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Market Value
Amount Note 1
<S> <C> <C>
- ------------------------------------------------------------------------------------------------------------------------
Leisure & Entertainment (continued)
Players International, Inc., 10.875% Sr. Nts., 4/15/05(3) $ 75,000 $ 79,313
- ------------------------------------------------------------------------------------------------------------------------
Santa Fe Hotel, Inc., 11% Gtd. First Mtg. Nts., 12/15/00 50,000 48,500
- ------------------------------------------------------------------------------------------------------------------------
Station Casinos, Inc., 9.75% Sr. Sub. Nts., 4/15/07 75,000 76,500
----------
867,300
- ------------------------------------------------------------------------------------------------------------------------
Media--0.3%
Big Flower Press Holdings, Inc., 8.625% Sr. Unsec. Sub. Nts., 12/1/08 75,000 69,375
- ------------------------------------------------------------------------------------------------------------------------
Hollinger International Publishing, Inc., 9.25% Gtd. Sr. Sub. Nts., 3/15/07(3) 75,000 77,250
- ------------------------------------------------------------------------------------------------------------------------
MDC Communications Corp., 10.50% Sr. Sub. Nts., 12/1/06(3) 75,000 78,375
----------
225,000
- ------------------------------------------------------------------------------------------------------------------------
Retail: General--0.2%
Federated Department Stores, Inc., 6.125% Cv. Sub. Nts., 9/1/01(5) 75,000 74,536
- ------------------------------------------------------------------------------------------------------------------------
Price/Costco Cos., Inc., 7.125% Sr. Nts., 6/15/05 40,000 40,564
----------
115,100
- ------------------------------------------------------------------------------------------------------------------------
Retail: Specialty--0.2%
K Mart Corp., 7.75% Debs., 10/1/12 50,000 49,898
- ------------------------------------------------------------------------------------------------------------------------
Pantry, Inc. (The), 10.25% Sr. Sub. Nts., 10/15/07 75,000 75,938
----------
125,836
- ------------------------------------------------------------------------------------------------------------------------
Textile/Apparel & Home Furnishings--0.1%
William Carter Co., 10.375% Sr. Sub. Nts., Series A, 12/1/06 75,000 76,688
========================================================================================================================
Consumer Staples--1.7%
- ------------------------------------------------------------------------------------------------------------------------
Broadcasting--1.2%
Adelphia Communications Corp., 10.50% Sr. Unsec. Nts., Series B, 7/15/04 75,000 80,063
- ------------------------------------------------------------------------------------------------------------------------
Allbritton Communications Co., 8.875% Sr. Sub. Nts., Series B, 2/1/08 75,000 72,563
- ------------------------------------------------------------------------------------------------------------------------
Australis Holdings PTY Ltd., 0%/15% Sr. Sec. Disc. Nts., 11/1/02(3)(7) 100,000 1,000
- ------------------------------------------------------------------------------------------------------------------------
Century Communications Corp.:
9.75% Sr. Nts., 2/15/02(3) 50,000 51,250
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(2)(7) 50,000 31,250
8.625% Sr. Nts., 4/1/09(2) 75,000 72,375
- ------------------------------------------------------------------------------------------------------------------------
Comcast Corp., 9.125% Sr. Sub. Debs., 10/15/06(3) 50,000 52,750
- ------------------------------------------------------------------------------------------------------------------------
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) 100,000 29,375
- ------------------------------------------------------------------------------------------------------------------------
EchoStar DBS Corp., 9.375% Sr. Unsec. Nts., 2/1/09(2) 75,000 76,688
- ------------------------------------------------------------------------------------------------------------------------
Falcon Holding Group LP, 0%/9.285% Sr. Disc. Debs., Series B, 4/15/10(7) 100,000 70,500
- ------------------------------------------------------------------------------------------------------------------------
Interepublic National Radio Sales Corp., 10% Sr. Unsec. Sub. Nts., Series B, 7/1/08(3) 50,000 51,375
- ------------------------------------------------------------------------------------------------------------------------
James Cable Partners LP, 10.75% Sr. Nts., Series B, 8/15/04 50,000 52,250
- ------------------------------------------------------------------------------------------------------------------------
Sinclair Broadcast Group, Inc., 10% Sr. Sub. Nts., 9/30/05 50,000 51,375
- ------------------------------------------------------------------------------------------------------------------------
Spanish Broadcasting Systems, Inc., 11% Sr. Nts., 3/15/04 50,000 53,750
- ------------------------------------------------------------------------------------------------------------------------
United International Holdings, Inc., 0%/10.75% Sr. Disc. Nts., Series B, 2/15/08(7) 100,000 66,250
----------
888,564
- ------------------------------------------------------------------------------------------------------------------------
Entertainment--0.1%
Tricon Global Restaurants, Inc., 7.45% Sr. Unsec. Nts., 5/15/05 75,000 74,734
</TABLE>
16 LifeSpan Capital Appreciation Portfolio
<PAGE>
- --------------------------------------------------------------------------------
Statement of Investments (Unaudited) (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Market Value
Amount Note 1
<S> <C> <C>
- ------------------------------------------------------------------------------------------------------------------------
Food--0.3%
AmeriServe Food Distribution, Inc., 8.875% Sr. Nts., 10/15/06 $ 75,000 $ 69,375
- ------------------------------------------------------------------------------------------------------------------------
Dole Food Distributing, Inc., 6.75% Nts., 7/15/00 40,000 40,032
- ------------------------------------------------------------------------------------------------------------------------
Grand Metro Inventory Corp., 7.125% Nts., 9/15/04 100,000 102,804
----------
212,211
- ------------------------------------------------------------------------------------------------------------------------
Food & Drug Retailers--0.0%
Jitney-Jungle Stores of America, Inc., 10.375% Sr. Sub. Nts., 9/15/07 50,000 18,250
- ------------------------------------------------------------------------------------------------------------------------
Household Goods--0.1%
Kimberly-Clark Corp., 7.875% Debs., 2/1/23 35,000 36,166
- ------------------------------------------------------------------------------------------------------------------------
Revlon Consumer Products Corp., 8.625% Sr. Unsec. Sub. Nts., 2/1/08 75,000 70,500
----------
106,666
========================================================================================================================
Energy--0.4%
- ------------------------------------------------------------------------------------------------------------------------
Energy Services--0.3%
Coastal Corp., 8.125% Sr. Nts., 9/15/02 15,000 15,595
- ------------------------------------------------------------------------------------------------------------------------
Gulf Canada Resources Ltd., 8.25% Sr. Nts., 3/15/17 50,000 45,625
- ------------------------------------------------------------------------------------------------------------------------
Louisiana Land & Exploration Co., 7.65% Debs., 12/1/23 35,000 34,838
- ------------------------------------------------------------------------------------------------------------------------
Petroleum Geo-Services ASA, 7.50% Nts., 3/31/07 50,000 50,102
- ------------------------------------------------------------------------------------------------------------------------
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 75,000 35,625
- ------------------------------------------------------------------------------------------------------------------------
Transamerican Energy Corp., 11.50% Sr. Nts., Series B, 6/15/02(3) 50,000 6,125
- ------------------------------------------------------------------------------------------------------------------------
Williams Holdings of Delaware, Inc., 6.25% Sr. Unsec. Debs., 2/1/06 25,000 23,808
----------
251,374
- ------------------------------------------------------------------------------------------------------------------------
Oil: Domestic--0.1%
Norcen Energy Resources Ltd., 6.80% Debs., 7/2/02 50,000 49,273
- ------------------------------------------------------------------------------------------------------------------------
Oil: International--0.0%
Abraxas Petroleum Corp./CDN Abraxas Petroleum Ltd., 11.50% Sr. Unsec.
Nts., Series D, 11/1/04 50,000 31,750
========================================================================================================================
Financial--1.1%
- ------------------------------------------------------------------------------------------------------------------------
Banks--0.0%
Fleet Mtg./Norstar Group, Inc., 9.90% Sub. Nts., 6/15/01 15,000 15,912
- ------------------------------------------------------------------------------------------------------------------------
Integra Financial Corp., 6.50% Sub. Nts., 4/15/00 15,000 15,056
----------
30,968
- ------------------------------------------------------------------------------------------------------------------------
Diversified Financial--0.6%
American General Institutional Capital B, 8.125% Bonds, Series B, 3/15/46(2) 50,000 52,902
- ------------------------------------------------------------------------------------------------------------------------
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 90,000 89,528
- ------------------------------------------------------------------------------------------------------------------------
General Electric Capital Corp., 5.77% Nts., Series A, 8/27/01 75,000 74,398
- ------------------------------------------------------------------------------------------------------------------------
General Motors Acceptance Corp., 5.625% Nts., 2/15/01 25,000 24,780
- ------------------------------------------------------------------------------------------------------------------------
GS Escrow Corp., 6.75% Sr. Unsec. Nts., 8/1/01 75,000 74,117
- ------------------------------------------------------------------------------------------------------------------------
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)(3)(10) 75,000 67,125
----------
422,352
</TABLE>
LifeSpan Capital Appreciation Portfolio 17
<PAGE>
- --------------------------------------------------------------------------------
Statement of Investments (Unaudited) (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Market Value
Amount Note 1
<S> <C> <C>
- ------------------------------------------------------------------------------------------------------------------------
Insurance--0.2%
Conseco Financing Trust III, 8.796% Bonds, 4/1/27 $50,000 $ 46,043
- ------------------------------------------------------------------------------------------------------------------------
Conseco, Inc., 6.40% Nts., 6/15/01 75,000 73,328
----------
119,371
- ------------------------------------------------------------------------------------------------------------------------
Real Estate Investment Trusts--0.3%
Chelsea GCA Realty Partner, Inc., 7.75% Unsec. Nts., 1/26/01 80,000 80,513
- ------------------------------------------------------------------------------------------------------------------------
First Industrial LP, 7.15% Bonds, 5/15/27 50,000 49,399
- ------------------------------------------------------------------------------------------------------------------------
Simon DeBartolo Group LP, 6.625% Unsec. Nts., 6/15/03 75,000 73,480
----------
203,392
========================================================================================================================
Healthcare--0.4%
- ------------------------------------------------------------------------------------------------------------------------
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--0.4%
Columbia/HCA Healthcare Corp., 6.875% Nts., 7/15/01 30,000 29,215
- ------------------------------------------------------------------------------------------------------------------------
Dade International, Inc., 11.125% Sr. Sub. Nts., 5/1/06(3) 25,000 26,438
- ------------------------------------------------------------------------------------------------------------------------
ICN Pharmaceuticals, Inc., 8.75% Sr. Nts., 11/15/08(2) 75,000 74,063
- ------------------------------------------------------------------------------------------------------------------------
Paracelsus Healthcare Corp., 10% Sr. Unsec. Sub. Nts., 8/15/06(3) 50,000 39,250
- ------------------------------------------------------------------------------------------------------------------------
Playtex Products, Inc., 8.875% Sr. Nts., 7/15/04 50,000 50,875
- ------------------------------------------------------------------------------------------------------------------------
Tenet Healthcare Corp., 8% Sr. Nts., 1/15/05 50,000 48,938
----------
268,779
========================================================================================================================
Transportation--0.3%
- ------------------------------------------------------------------------------------------------------------------------
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 75,000 45,375
----------
75,094
- ------------------------------------------------------------------------------------------------------------------------
Railroads & Truckers--0.2%
CSX Corp., 7.05% Debs., 5/1/02 75,000 75,780
- ------------------------------------------------------------------------------------------------------------------------
Norfolk Southern Corp., 7.35% Nts., 5/15/07 50,000 51,048
- ------------------------------------------------------------------------------------------------------------------------
Union Pacific Corp., 7% Nts., 6/15/00 15,000 15,099
----------
141,927
- ------------------------------------------------------------------------------------------------------------------------
Shipping--0.0%
Golden Ocean Group Ltd., 10% Sr. Unsec. Nts., 8/31/01(3) 50,000 7,750
========================================================================================================================
Utilities--0.3%
- ------------------------------------------------------------------------------------------------------------------------
Electric Utilities--0.1%
AES Corp. (The), 8% Sr. Nts., 12/31/08 50,000 47,000
</TABLE>
18 LifeSpan Capital Appreciation Portfolio
<PAGE>
- --------------------------------------------------------------------------------
Statement of Investments (Unaudited) (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Market Value
Amount Note 1
<S> <C> <C>
- ------------------------------------------------------------------------------------------------------------------------
Gas Utilities--0.2%
Northern Illinois Gas Co., 6.45% First Mtg. Bonds, 8/1/01 $ 50,000 $ 49,901
- ------------------------------------------------------------------------------------------------------------------------
Tennessee Gas Pipeline Co., 7.50% Bonds, 4/1/17 50,000 49,750
- ------------------------------------------------------------------------------------------------------------------------
Williams Cos., Inc. (The), 6.20% Nts., 8/1/02 75,000 73,654
- ------------------------------------------------------------------------------------------------------------------------
173,305
Total Non-Convertible Corporate Bonds and Notes (Cost $9,074,769) 8,388,080
========================================================================================================================
Repurchase Agreements--6.4%
- ------------------------------------------------------------------------------------------------------------------------
Repurchase agreement with Zion First National Bank, 4.80%, dated 6/30/99, to be
repurchased at $4,672,623 on 7/1/99, collateralized by U.S. Treasury Nts.,
6.875%-8.375%, 7/31/99-8/15/08, with a value of $4,776,550 (Cost $4,672,000) 4,672,000 4,672,000
- ------------------------------------------------------------------------------------------------------------------------
Total Investments, at Value (Cost $63,859,105) 99.0% 72,349,034
- ------------------------------------------------------------------------------------------------------------------------
Other Assets Net of Liabilities 1.0 754,086
------ -----------
Net Assets 100.0% $73,103,120
====== ===========
</TABLE>
1. Non-income producing security.
2. 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 $640,578 or 0.88% of the Fund's net assets
as of June 30, 1999.
3. Identifies issues considered to be illiquid or restricted--See Note 6 of
Notes to Financial Statements.
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.
LifeSpan Capital Appreciation Portfolio 19
<PAGE>
- --------------------------------------------------------------------------------
Statement of Assets and Liabilities June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
=================================================================================================
Assets
Investments, at value (cost $63,859,105)--see accompanying statement $72,349,034
- -------------------------------------------------------------------------------------------------
Cash 10,601
- -------------------------------------------------------------------------------------------------
Receivables and other assets:
Investments sold 594,567
Interest, dividends and principal paydowns 336,317
Other 1,341
- -------------------------------------------------------------------------------------------------
Total assets 73,291,860
=================================================================================================
Liabilities Payables and other liabilities:
Shares of capital stock redeemed 118,097
Investments purchased 50,484
Shareholder reports 13,729
Other 6,430
- -------------------------------------------------------------------------------------------------
Total liabilities 188,740
=================================================================================================
Net Assets $73,103,120
===========
=================================================================================================
Composition of Net Assets
Par value of shares of capital stock $ 53,428
- -------------------------------------------------------------------------------------------------
Additional paid-in capital 60,788,660
- -------------------------------------------------------------------------------------------------
Undistributed net investment income 800,459
- -------------------------------------------------------------------------------------------------
Accumulated net realized gain on investments and foreign currency transactions 2,970,998
- -------------------------------------------------------------------------------------------------
Net unrealized appreciation on investments and translation of
assets and liabilities denominated in foreign currencies 8,489,575
===========
Net assets--applicable to 53,427,545 shares of capital
stock outstanding $73,103,120
===========
=================================================================================================
Net Asset Value, Redemption Price Per Share and Offering Price Per Share $1.37
</TABLE>
See accompanying Notes to Financial Statements.
20 LifeSpan Capital Appreciation Portfolio
<PAGE>
- --------------------------------------------------------------------------------
Statement of Operations For the Six Months Ended June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
=================================================================================================
Investment Income
Interest $ 722,316
- -------------------------------------------------------------------------------------------------
Dividends (net of foreign withholding taxes of $10,736) 405,610
----------
Total income 1,127,926
=================================================================================================
Expenses
Management fees--Note 4 301,109
- -------------------------------------------------------------------------------------------------
Accounting service fees--Note 4 7,507
- -------------------------------------------------------------------------------------------------
Legal, auditing and other professional fees 6,240
- -------------------------------------------------------------------------------------------------
Custodian fees and expenses 4,682
- -------------------------------------------------------------------------------------------------
Shareholder reports 4,443
- -------------------------------------------------------------------------------------------------
Directors' compensation 1,385
- -------------------------------------------------------------------------------------------------
Transfer and shareholder servicing agent fees--Note 4 1,047
- -------------------------------------------------------------------------------------------------
Insurance expenses 922
- -------------------------------------------------------------------------------------------------
Other 553
----------
Total expenses 327,888
Less expenses paid indirectly--Note 1 (2,251)
----------
Net expenses 325,637
=================================================================================================
Net Investment Income 802,289
=================================================================================================
Realized and Unrealized Gain (Loss)
Net realized gain (loss) on:
Investments 4,208,734
Foreign currency transactions (48,088)
----------
Net realized gain 4,160,646
- -------------------------------------------------------------------------------------------------
Net change in unrealized appreciation or depreciation on:
Investments (1,890,409)
Translation of assets and liabilities denominated in foreign currencies (763,766)
----------
Net change (2,654,175)
----------
Net realized and unrealized gain 1,506,471
=================================================================================================
Net Increase in Net Assets Resulting from Operations $2,308,760
==========
</TABLE>
See accompanying Notes to Financial Statements.
LifeSpan Capital Appreciation Portfolio 21
<PAGE>
- --------------------------------------------------------------------------------
Statement of Changes in Net Assets
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Six Months Ended Year Ended
June 30, 1999 December 31,
(Unaudited) 1998
<S> <C> <C>
================================================================================================
Operations
Net investment income $ 802,289 $ 1,606,354
- ------------------------------------------------------------------------------------------------
Net realized gain (loss) 4,160,646 (1,177,781)
- ------------------------------------------------------------------------------------------------
Net change in unrealized appreciation or depreciation (2,654,175) 3,371,596
----------- -----------
Net increase in net assets resulting from operations 2,308,760 3,800,169
================================================================================================
Dividends and Distributions to Shareholders
Dividends from net investment income (1,572,323) (1,183,734)
- ------------------------------------------------------------------------------------------------
Distributions from net realized gain -- (2,498,475)
================================================================================================
Capital Stock Transactions
Net increase (decrease) in net assets resulting from
capital stock transactions--Note 2 (482,470) 11,351,711
================================================================================================
Net Assets
Total increase 253,967 11,469,671
- ------------------------------------------------------------------------------------------------
Beginning of period 72,849,153 61,379,482
----------- -----------
End of period (including undistributed net investment
income of $800,459 and $1,570,493, respectively) $73,103,120 $72,849,153
=========== ===========
</TABLE>
See accompanying Notes to Financial Statements.
22 LifeSpan Capital Appreciation Portfolio
<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 $1.36 $1.35 $1.24 $1.06 $1.00
- ----------------------------------------------------------------------------------------------------------------------
Income from investment operations:
Net investment income .02 .03 .03 .02 .01
Net realized and unrealized gain .02 .06 .12 .17 .06
- ----------------------------------------------------------------------------------------------------------------------
Total income from investment operations .04 .09 .15 .19 .07
- ----------------------------------------------------------------------------------------------------------------------
Dividends and distributions to shareholders:
Dividends from net investment income (.03) (.03) (.01) (.01) (.01)
Distributions from net realized gain -- (.05) (.03) -- --
- ----------------------------------------------------------------------------------------------------------------------
Total dividends and distributions
to shareholders (.03) (.08) (.04) (.01) (.01)
- ----------------------------------------------------------------------------------------------------------------------
Net asset value, end of period $1.37 $1.36 $1.35 $1.24 $1.06
======= ======= ======= ======= =======
======================================================================================================================
Total Return, at Net Asset Value(3) 3.04% 6.49% 12.53% 17.97% 6.65%
======================================================================================================================
Ratios/Supplemental Data
Net assets, end of period (in thousands) $73,103 $72,849 $61,379 $41,994 $26,768
- ----------------------------------------------------------------------------------------------------------------------
Average net assets (in thousands) $71,438 $66,754 $51,473 $33,109 $25,460(4)
- ----------------------------------------------------------------------------------------------------------------------
Ratios to average net assets: (5)
Net investment income 2.26% 2.41% 2.36% 1.92% 1.73%
Expenses (6) 0.92% 0.93% 0.99% 1.30% 1.50%
- ----------------------------------------------------------------------------------------------------------------------
Portfolio turnover rate(7) 45% 65% 66% 71% 39%
</TABLE>
1. 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 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 $30,145,288 and $29,049,865, respectively.
See accompanying Notes to Financial Statements.
LifeSpan Capital Appreciation Portfolio 23
<PAGE>
- --------------------------------------------------------------------------------
Notes to Financial Statements (Unaudited)
- --------------------------------------------------------------------------------
================================================================================
1. Significant Accounting Policies
LifeSpan Capital Appreciation 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 long-term capital
appreciation by investing in a strategically allocated portfolio consisting
primarily of stocks. Current income is not a primary consideration. 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 exchange contracts are valued based on
the closing prices of the foreign currency contract rates in the London foreign
exchange markets on a daily basis as provided by a reliable bank or dealer.
- --------------------------------------------------------------------------------
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 $18,469, representing 0.03% 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 $1,169,000, 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.
24 LifeSpan Capital Appreciation Portfolio
<PAGE>
- --------------------------------------------------------------------------------
Notes to Financial Statements (Unaudited) (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 1,536,630 $2,048,809 8,700,602 $11,570,097
Dividends and distributions reinvested 1,209,480 1,572,323 2,668,268 3,682,209
Redeemed (3,081,378) (4,103,602) (2,957,241) (3,900,595)
---------- ---------- ---------- -----------
Net increase (decrease) (335,268) $ (482,470) 8,411,629 $11,351,711
========== ========== ========== ===========
</TABLE>
================================================================================
3. Unrealized Gains and Losses on Securities.
As of June 30, 1999, net unrealized appreciation on investments of $8,489,929
was composed of gross appreciation of $11,393,788, and gross depreciation of
$2,903,859.
================================================================================
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 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 sub-advisory agreements with three Sub-Advisors to
assist in the selection of portfolio investments for the components of the Fund.
For these 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.
LifeSpan Capital Appreciation Portfolio 25
<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.
- --------------------------------------------------------------------------------
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
$2,037,337, which represents 2.79% of the Fund's net assets.
26 LifeSpan Capital Appreciation Portfolio
