Annual Report December 31, 1999
================================================================================
Oppenheimer
LifeSpan
Balanced Portfolio
A Series of Panorama Series Fund, Inc.
[Logo] OppenheimerFunds(R)
The Right Way to Invest
<PAGE>
- --------------------------------------------------------------------------------
Statement of Investments December 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market Value
Shares Note 1
<S> <C> <C>
====================================================================================================================
Common Stocks--60.0%
- --------------------------------------------------------------------------------------------------------------------
Basic Materials--1.7%
- --------------------------------------------------------------------------------------------------------------------
Chemicals--0.7%
Dexter Corp. 4,700 $186,825
- --------------------------------------------------------------------------------------------------------------------
Dow Chemical Co. 1,100 146,987
- --------------------------------------------------------------------------------------------------------------------
Ethyl Corp. 14,400 56,700
- --------------------------------------------------------------------------------------------------------------------
Fuji Photo Film Co. 4,000 145,945
- --------------------------------------------------------------------------------------------------------------------
IMC Global, Inc. 2,834 46,407
- --------------------------------------------------------------------------------------------------------------------
Rohm & Haas Co. 2,100 85,444
--------
668,308
- --------------------------------------------------------------------------------------------------------------------
Metals--0.3%
Broken Hill Proprietary Co. Ltd.(1) 14,000 183,969
- --------------------------------------------------------------------------------------------------------------------
Carpenter Technology Corp. 3,600 98,775
--------
282,744
- --------------------------------------------------------------------------------------------------------------------
Paper--0.7%
Buhrmann NV 10,000 150,457
- --------------------------------------------------------------------------------------------------------------------
Georgia Pacific Group 1,500 76,125
- --------------------------------------------------------------------------------------------------------------------
Georgia Pacific Group/Timber Group 2,300 56,637
- --------------------------------------------------------------------------------------------------------------------
Louisiana-Pacific Corp. 2,600 37,050
- --------------------------------------------------------------------------------------------------------------------
Weyerhaeuser Co. 4,400 315,975
--------
636,244
- --------------------------------------------------------------------------------------------------------------------
Capital Goods--7.9%
- --------------------------------------------------------------------------------------------------------------------
Aerospace/Defense--0.7%
General Dynamics Corp. 10,600 559,150
- --------------------------------------------------------------------------------------------------------------------
Northrop Grumman Corp. 3,000 162,187
--------
721,337
- --------------------------------------------------------------------------------------------------------------------
Electrical Equipment--0.9%
Amphenol Corp., Cl. A(1) 2,300 153,094
- --------------------------------------------------------------------------------------------------------------------
Integrated Device Technology, Inc.(1) 1,400 40,600
- --------------------------------------------------------------------------------------------------------------------
Kemet Corp.(1) 4,300 193,769
- --------------------------------------------------------------------------------------------------------------------
Power Integrations, Inc.(1) 4,400 210,925
- --------------------------------------------------------------------------------------------------------------------
Rockwell International Corp. 800 38,300
- --------------------------------------------------------------------------------------------------------------------
SPX Corp.(1) 2,300 185,869
--------
822,557
- --------------------------------------------------------------------------------------------------------------------
Industrial Services--2.8%
Capita Group plc 16,000 290,790
- --------------------------------------------------------------------------------------------------------------------
Forrester Research, Inc.(1) 3,400 234,175
- --------------------------------------------------------------------------------------------------------------------
Hays plc 20,000 318,577
- --------------------------------------------------------------------------------------------------------------------
Mobile Mini, Inc.(1) 5,000 107,500
- --------------------------------------------------------------------------------------------------------------------
New England Business Service, Inc. 5,300 129,519
- --------------------------------------------------------------------------------------------------------------------
Professional Detailing, Inc.(1) 4,100 122,744
- --------------------------------------------------------------------------------------------------------------------
Quanta Services, Inc.(1) 3,100 87,575
- --------------------------------------------------------------------------------------------------------------------
Secom Co. Ltd. 4,000 440,184
- --------------------------------------------------------------------------------------------------------------------
Securitas AB, B Shares 8,950 161,953
</TABLE>
2 LifeSpan Balanced Portfolio
<PAGE>
- --------------------------------------------------------------------------------
Statement of Investments (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market Value
Shares Note 1
<S> <C> <C>
- -----------------------------------------------------------------------------------------------------------------------
Industrial Services (continued)
Source Information Management Co. (The)(1) 6,300 $ 105,525
- -----------------------------------------------------------------------------------------------------------------------
Tetra Tech, Inc.(1) 7,508 115,435
- -----------------------------------------------------------------------------------------------------------------------
United Rentals, Inc.(1) 5,000 85,625
- -----------------------------------------------------------------------------------------------------------------------
Valassis Communications, Inc.(1) 1,200 50,700
- -----------------------------------------------------------------------------------------------------------------------
Waste Connections, Inc.(1) 5,500 79,406
- -----------------------------------------------------------------------------------------------------------------------
Whittman-Hart, Inc.(1) 4,100 219,862
- -----------------------------------------------------------------------------------------------------------------------
Zomax, Inc.(1) 3,800 171,950
----------
2,721,520
- -----------------------------------------------------------------------------------------------------------------------
Manufacturing--3.5%
Asyst Technologies, Inc.(1) 4,700 308,144
- -----------------------------------------------------------------------------------------------------------------------
Atlas Copco AB, B Shares 5,142 146,215
- -----------------------------------------------------------------------------------------------------------------------
Avery-Dennison Corp. 800 58,300
- -----------------------------------------------------------------------------------------------------------------------
Ball Corp. 800 31,500
- -----------------------------------------------------------------------------------------------------------------------
BBA Group plc 21,000 169,628
- -----------------------------------------------------------------------------------------------------------------------
Brambles Industries Ltd. 5,000 138,374
- -----------------------------------------------------------------------------------------------------------------------
Briggs & Stratton Corp. 1,800 96,525
- -----------------------------------------------------------------------------------------------------------------------
Cooper Industries, Inc. 1,700 68,744
- -----------------------------------------------------------------------------------------------------------------------
Crane Co. 2,200 43,725
- -----------------------------------------------------------------------------------------------------------------------
Dover Corp. 2,400 108,900
- -----------------------------------------------------------------------------------------------------------------------
Eaton Corp. 500 36,312
- -----------------------------------------------------------------------------------------------------------------------
Honeywell International, Inc. 4,237 244,422
- -----------------------------------------------------------------------------------------------------------------------
Mannesmann AG 1,950 474,920
- -----------------------------------------------------------------------------------------------------------------------
Miller (Herman), Inc. 1,900 43,700
- -----------------------------------------------------------------------------------------------------------------------
Minnesota Mining & Manufacturing Co. 3,700 362,137
- -----------------------------------------------------------------------------------------------------------------------
NetOptix Corp.(1) 3,800 253,650
- -----------------------------------------------------------------------------------------------------------------------
Parker-Hannifin Corp. 1,300 66,706
- -----------------------------------------------------------------------------------------------------------------------
PRI Automation, Inc.(1) 4,000 268,500
- -----------------------------------------------------------------------------------------------------------------------
RadiSys Corp.(1) 4,200 214,200
- -----------------------------------------------------------------------------------------------------------------------
ROHN Industries, Inc.(1) 12,000 34,500
- -----------------------------------------------------------------------------------------------------------------------
Textron, Inc. 900 69,019
- -----------------------------------------------------------------------------------------------------------------------
United Technologies Corp. 2,800 182,000
----------
3,420,121
- -----------------------------------------------------------------------------------------------------------------------
Communication Services--5.8%
- -----------------------------------------------------------------------------------------------------------------------
Telecommunications: Long Distance--3.6%
ADC Telecommunications, Inc.(1) 1,000 72,562
- -----------------------------------------------------------------------------------------------------------------------
ALLTELL Corp. 7,100 587,081
- -----------------------------------------------------------------------------------------------------------------------
Asia Satellite Telecommunications Holdings Ltd. 60,000 189,490
- -----------------------------------------------------------------------------------------------------------------------
AT&T Corp. 4,300 218,225
- -----------------------------------------------------------------------------------------------------------------------
China Telecom (Hong Kong) Ltd.(1) 50,000 312,600
- -----------------------------------------------------------------------------------------------------------------------
Ericsson LM, B Shares 6,000 385,641
- -----------------------------------------------------------------------------------------------------------------------
Globix Corp., Restricted(1) 352 17,688
- -----------------------------------------------------------------------------------------------------------------------
KPN NV 2,700 263,304
- -----------------------------------------------------------------------------------------------------------------------
L-3 Communications Holdings, Inc.(1) 1,300 54,112
</TABLE>
LifeSpan Balanced Portfolio 3
<PAGE>
- --------------------------------------------------------------------------------
Statement of Investments (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market Value
Shares Note 1
<S> <C> <C>
- -----------------------------------------------------------------------------------------------------------------------
Telecommunications: Long Distance (continued)
Matsushita Communication Industrial Co. 2,000 $ 528,221
- -----------------------------------------------------------------------------------------------------------------------
Microcell Telecommunications, Inc., Cl. B(1) 1,072 35,242
- -----------------------------------------------------------------------------------------------------------------------
Nippon Comsys Corp. 9,000 186,638
- -----------------------------------------------------------------------------------------------------------------------
Nokia Oyj 2,400 434,765
- -----------------------------------------------------------------------------------------------------------------------
Tut Systems, Inc.(1) 2,800 150,150
----------
3,435,719
- -----------------------------------------------------------------------------------------------------------------------
Telephone Utilities--1.1%
BellSouth Corp. 6,000 280,875
- -----------------------------------------------------------------------------------------------------------------------
Energis plc(1) 5,000 240,225
- -----------------------------------------------------------------------------------------------------------------------
Hellenic Telecommunication Organization SA 6,400 152,088
- -----------------------------------------------------------------------------------------------------------------------
Telefonica SA(1) 14,323 357,484
----------
1,030,672
- -----------------------------------------------------------------------------------------------------------------------
Telecommunications: Wireless--1.1%
NTT Mobile Communications Network, Inc. 12 461,313
- -----------------------------------------------------------------------------------------------------------------------
Price Communications Corp. 12,360 343,762
- -----------------------------------------------------------------------------------------------------------------------
Proxim, Inc.(1) 2,500 275,000
----------
1,080,075
- -----------------------------------------------------------------------------------------------------------------------
Consumer Cyclicals--5.7%
- -----------------------------------------------------------------------------------------------------------------------
Autos & Housing--1.2%
Bridgestone Corp. 7,000 154,064
- -----------------------------------------------------------------------------------------------------------------------
Cheung Kong (Holdings) Ltd.(1) 11,000 139,738
- -----------------------------------------------------------------------------------------------------------------------
Cooper Tire & Rubber Co. 1,800 28,012
- -----------------------------------------------------------------------------------------------------------------------
Ethan Allen Interiors, Inc. 1,500 48,094
- -----------------------------------------------------------------------------------------------------------------------
Fortune Brands, Inc. 1,200 39,675
- -----------------------------------------------------------------------------------------------------------------------
Genuine Parts Co. 5,600 138,950
- -----------------------------------------------------------------------------------------------------------------------
Lafarge SA 1,700 197,778
- -----------------------------------------------------------------------------------------------------------------------
Masco Corp. 2,900 73,587
- -----------------------------------------------------------------------------------------------------------------------
Overseas Union Enterprise Ltd. 17,500 58,841
- -----------------------------------------------------------------------------------------------------------------------
Stanley Works (The) 7,000 210,875
- -----------------------------------------------------------------------------------------------------------------------
USG Corp. 800 37,700
- -----------------------------------------------------------------------------------------------------------------------
Vulcan Materials Co. 1,400 55,912
----------
1,183,226
- -----------------------------------------------------------------------------------------------------------------------
Consumer Services--0.1%
Harte-Hanks, Inc. 1,200 26,100
- -----------------------------------------------------------------------------------------------------------------------
Young & Rubicam, Inc. 1,100 77,825
----------
103,925
- -----------------------------------------------------------------------------------------------------------------------
Leisure & Entertainment--0.1%
MGM Grand, Inc. 800 40,250
- -----------------------------------------------------------------------------------------------------------------------
Mirage Resorts, Inc.(1) 4,400 67,375
----------
107,625
</TABLE>
4 LifeSpan Balanced Portfolio
<PAGE>
- --------------------------------------------------------------------------------
Statement of Investments (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market Value
Shares Note 1
<S> <C> <C>
- -----------------------------------------------------------------------------------------------------------------------
Media--1.2%
Central Newspapers, Inc., Cl. A 900 $ 35,437
- -----------------------------------------------------------------------------------------------------------------------
Deluxe Corp. 4,800 131,700
- -----------------------------------------------------------------------------------------------------------------------
Gannett Co., Inc. 2,200 179,437
- -----------------------------------------------------------------------------------------------------------------------
Knight-Ridder, Inc. 1,300 77,350
- -----------------------------------------------------------------------------------------------------------------------
Modern Times Group, Cl. B(1) 3,500 173,550
- -----------------------------------------------------------------------------------------------------------------------
Tweeter Home Entertainment Group, Inc. 7,000 248,500
- -----------------------------------------------------------------------------------------------------------------------
VNU-Verenigde Nederlandse Uitgeverbedrijven Verenigd Bezit 5,000 262,570
----------
1,108,544
- -----------------------------------------------------------------------------------------------------------------------
Retail: General--0.8%
Family Dollar Stores, Inc. 2,000 32,625
- -----------------------------------------------------------------------------------------------------------------------
Federated Department Stores, Inc.(1) 2,600 131,462
- -----------------------------------------------------------------------------------------------------------------------
Ito-Yokado Co. Ltd. 2,000 217,157
- -----------------------------------------------------------------------------------------------------------------------
May Department Stores Co. 1,200 38,700
- -----------------------------------------------------------------------------------------------------------------------
Nordstrom, Inc. 1,800 47,137
- -----------------------------------------------------------------------------------------------------------------------
Pinault-Printemps-Redoute SA 1,000 263,677
----------
730,758
- -----------------------------------------------------------------------------------------------------------------------
Retail: Specialty--1.9%
Ann Taylor Stores Corp.(1) 2,800 96,425
- -----------------------------------------------------------------------------------------------------------------------
Brown Shoe Co., Inc. 7,900 111,587
- -----------------------------------------------------------------------------------------------------------------------
Circuit City Stores-Circuit City Group 2,300 103,644
- -----------------------------------------------------------------------------------------------------------------------
Gap, Inc. 3,200 147,200
- -----------------------------------------------------------------------------------------------------------------------
Insight Enterprises, Inc.(1) 6,362 258,456
- -----------------------------------------------------------------------------------------------------------------------
Kingfisher plc 14,000 155,379
- -----------------------------------------------------------------------------------------------------------------------
Pacific Sunware of California, Inc(1) 4,000 127,500
- -----------------------------------------------------------------------------------------------------------------------
PC Connection, Inc.(1) 6,700 231,150
- -----------------------------------------------------------------------------------------------------------------------
Ross Stores, Inc. 1,900 34,081
- -----------------------------------------------------------------------------------------------------------------------
Sherwin-Williams Co. 8,000 168,000
- -----------------------------------------------------------------------------------------------------------------------
TJX Cos., Inc. 1,000 20,437
- -----------------------------------------------------------------------------------------------------------------------
Urban Outfitters, Inc.(1) 5,200 151,450
- -----------------------------------------------------------------------------------------------------------------------
Whitehall Jewellers, Inc. 5,400 199,125
----------
1,804,434
- -----------------------------------------------------------------------------------------------------------------------
Textile/Apparel & Home Furnishings--0.4%
bebe stores, inc.(1) 4,400 118,800
- -----------------------------------------------------------------------------------------------------------------------
Jones Apparel Group, Inc.(1) 3,100 84,087
- -----------------------------------------------------------------------------------------------------------------------
Liz Claiborne, Inc. 1,100 41,387
- -----------------------------------------------------------------------------------------------------------------------
Shaw Industries, Inc. 4,600 71,012
- -----------------------------------------------------------------------------------------------------------------------
WestPoint Stevens, Inc. 1,300 22,750
----------
338,036
- -----------------------------------------------------------------------------------------------------------------------
Consumer Staples--2.8%
- -----------------------------------------------------------------------------------------------------------------------
Beverages--0.3%
Adolph Coors Co., Cl. B 1,000 52,500
- -----------------------------------------------------------------------------------------------------------------------
Anheuser-Busch Cos., Inc. 2,800 198,450
----------
250,950
</TABLE>
LifeSpan Balanced Portfolio 5
<PAGE>
- --------------------------------------------------------------------------------
Statement of Investments (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market Value
Shares Note 1
<S> <C> <C>
- --------------------------------------------------------------------------------------------------------------------
Broadcasting--0.2%
Citadel Communications Corp.(1) 3,600 $233,550
- --------------------------------------------------------------------------------------------------------------------
Entertainment--0.3%
Brinker International, Inc.(1) 1,400 33,600
- --------------------------------------------------------------------------------------------------------------------
Darden Restaurants, Inc. 1,300 23,562
- --------------------------------------------------------------------------------------------------------------------
P.F. Chang's China Bistro, Inc.(1) 6,600 164,175
- --------------------------------------------------------------------------------------------------------------------
Piccadilly Cafeterias, Inc. 8,000 32,000
- --------------------------------------------------------------------------------------------------------------------
Shaw Brothers (Hong Kong) Ltd. 65,000 75,674
--------
329,011
- --------------------------------------------------------------------------------------------------------------------
Food--0.5%
Flowers Industries, Inc. 2,900 46,219
- --------------------------------------------------------------------------------------------------------------------
Heinz (H.J.) Co. 1,400 55,737
- --------------------------------------------------------------------------------------------------------------------
Hormel Foods Corp. 300 12,187
- --------------------------------------------------------------------------------------------------------------------
IBP, Inc. 3,600 64,800
- --------------------------------------------------------------------------------------------------------------------
International Home Foods, Inc.(1) 2,500 43,437
- --------------------------------------------------------------------------------------------------------------------
Keebler Foods Co.(1) 1,300 36,562
- --------------------------------------------------------------------------------------------------------------------
Kerry Group plc, Cl. A 9,000 107,785
- --------------------------------------------------------------------------------------------------------------------
Sara Lee Corp. 4,800 105,900
--------
472,627
- --------------------------------------------------------------------------------------------------------------------
Food & Drug Retailers--0.8%
Albertson's, Inc. 1,700 54,825
- --------------------------------------------------------------------------------------------------------------------
Colruyt NV 3,000 172,094
- --------------------------------------------------------------------------------------------------------------------
Express Scripts, Inc., Cl. A(1) 2,500 160,000
- --------------------------------------------------------------------------------------------------------------------
Koninklijke Ahold NV 6,000 177,469
- --------------------------------------------------------------------------------------------------------------------
SUPERVALU, Inc. 5,600 112,000
- --------------------------------------------------------------------------------------------------------------------
William Morrison Supermarkets plc 66,000 141,809
--------
818,197
- --------------------------------------------------------------------------------------------------------------------
Household Goods--0.6%
Blyth Industries, Inc.(1) 3,600 88,425
- --------------------------------------------------------------------------------------------------------------------
Kimberly-Clark Corp. 6,000 391,500
- --------------------------------------------------------------------------------------------------------------------
L'OREAL 150 120,240
--------
600,165
- --------------------------------------------------------------------------------------------------------------------
Tobacco--0.1%
UST, Inc. 4,700 118,381
- --------------------------------------------------------------------------------------------------------------------
Energy--3.2%
- --------------------------------------------------------------------------------------------------------------------
Energy Services--0.1%
Anadarko Petroleum Corp. 800 27,300
- --------------------------------------------------------------------------------------------------------------------
ENSCO International, Inc. 2,300 52,612
- --------------------------------------------------------------------------------------------------------------------
Global Marine, Inc.(1) 2,800 46,550
--------
126,462
</TABLE>
6 LifeSpan Balanced Portfolio
<PAGE>
- --------------------------------------------------------------------------------
Statement of Investments (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market Value
Shares Note 1
<S> <C> <C>
- -----------------------------------------------------------------------------------------------------------------------
Oil: Domestic--1.9%
Apache Corp. 1,200 $ 44,325
- -----------------------------------------------------------------------------------------------------------------------
Atlantic Richfield Co. 2,800 242,200
- -----------------------------------------------------------------------------------------------------------------------
Burlington Resources, Inc. 1,000 33,063
- -----------------------------------------------------------------------------------------------------------------------
Chevron Corp. 2,800 242,550
- -----------------------------------------------------------------------------------------------------------------------
Conoco, Inc., Cl. A 2,300 56,925
- -----------------------------------------------------------------------------------------------------------------------
Exxon Mobil Corp. 10,092 813,037
- -----------------------------------------------------------------------------------------------------------------------
Murphy Oil Corp. 3,100 177,863
- -----------------------------------------------------------------------------------------------------------------------
Occidental Petroleum Corp. 5,400 116,775
- -----------------------------------------------------------------------------------------------------------------------
Texaco, Inc. 2,200 119,488
----------
1,846,226
- -----------------------------------------------------------------------------------------------------------------------
Oil: International--1.2%
Abraxas Petroleum Corp.(1) 5,961 5,588
- -----------------------------------------------------------------------------------------------------------------------
BP Amoco plc, ADR 7,770 460,858
- -----------------------------------------------------------------------------------------------------------------------
Royal Dutch Petroleum Co., NY Shares 2,400 145,050
- -----------------------------------------------------------------------------------------------------------------------
Shell Transport & Trading Co. plc 34,000 282,600
- -----------------------------------------------------------------------------------------------------------------------
Total Fina SA, Sponsored ADR 1,100 76,175
- -----------------------------------------------------------------------------------------------------------------------
Total SA, B Shares 1,700 226,692
----------
1,196,963
- -----------------------------------------------------------------------------------------------------------------------
Financial--8.3%
- -----------------------------------------------------------------------------------------------------------------------
Banks--2.6%
Argentaria SA 6,000 140,876
- -----------------------------------------------------------------------------------------------------------------------
Banca Poplare di Brescia 3,000 265,237
- -----------------------------------------------------------------------------------------------------------------------
Banco Popular Espanol SA 1,800 117,296
- -----------------------------------------------------------------------------------------------------------------------
Bank of Scotland 13,000 151,001
- -----------------------------------------------------------------------------------------------------------------------
Banque Nationale de Paris 1,800 165,935
- -----------------------------------------------------------------------------------------------------------------------
Chase Manhattan Corp. 2,500 194,219
- -----------------------------------------------------------------------------------------------------------------------
DePfa Deutsche Pfandbriefbank AG (DePfa-Bank) 2,200 162,203
- -----------------------------------------------------------------------------------------------------------------------
First Union Corp. 1,200 39,375
- -----------------------------------------------------------------------------------------------------------------------
Fuji Bank Ltd. (The) 16,000 155,414
- -----------------------------------------------------------------------------------------------------------------------
Lloyds TSB Group plc 14,000 175,169
- -----------------------------------------------------------------------------------------------------------------------
Nordbanken Holding AB(1) 25,000 142,154
- -----------------------------------------------------------------------------------------------------------------------
Overseas Union Bank Ltd. 18,272 106,966
- -----------------------------------------------------------------------------------------------------------------------
Roslyn Bancorp, Inc. 1,600 29,600
- -----------------------------------------------------------------------------------------------------------------------
Sanwa Bank Ltd. (The) 11,000 133,747
- -----------------------------------------------------------------------------------------------------------------------
UnionBanCal Corp. 4,700 185,356
- -----------------------------------------------------------------------------------------------------------------------
Wachovia Corp. 1,900 129,200
- -----------------------------------------------------------------------------------------------------------------------
Wells Fargo Co. 4,400 177,925
----------
2,471,673
- -----------------------------------------------------------------------------------------------------------------------
Diversified Financial--2.1%
AMBAC Financial Group, Inc. 1,500 78,281
- -----------------------------------------------------------------------------------------------------------------------
Cattles plc 30,000 158,481
- -----------------------------------------------------------------------------------------------------------------------
Citigroup, Inc. 5,800 322,263
- -----------------------------------------------------------------------------------------------------------------------
Credit Saison Co. Ltd. 6,700 116,659
</TABLE>
LifeSpan Balanced Portfolio 7
<PAGE>
- --------------------------------------------------------------------------------
Statement of Investments (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market Value
Shares Note 1
<S> <C> <C>
- -----------------------------------------------------------------------------------------------------------------------
Diversified Financial (continued)
Goldman Sachs Group, Inc. (The) 600 $ 56,513
- -----------------------------------------------------------------------------------------------------------------------
ING Groep NV 2,500 150,809
- -----------------------------------------------------------------------------------------------------------------------
Lend Lease Corp. Ltd. 11,000 154,224
- -----------------------------------------------------------------------------------------------------------------------
Morgan Stanley Dean Witter & Co. 600 85,650
- -----------------------------------------------------------------------------------------------------------------------
Nationwide Financial Services, Inc., Cl. A 1,800 50,288
- -----------------------------------------------------------------------------------------------------------------------
NCO Group, Inc.(1) 3,900 117,488
- -----------------------------------------------------------------------------------------------------------------------
Nomura Securities Co. Ltd.(1) 14,000 252,666
- -----------------------------------------------------------------------------------------------------------------------
PMI Group, Inc. (The) 1,100 53,694
- -----------------------------------------------------------------------------------------------------------------------
Promise Co. Ltd. 3,400 172,943
- -----------------------------------------------------------------------------------------------------------------------
Reckson Associates Realty Corp., Cl. B 3,211 73,050
- -----------------------------------------------------------------------------------------------------------------------
Senior Housing Properties Trust 730 9,079
- -----------------------------------------------------------------------------------------------------------------------
Swire Pacific Ltd., Cl. B 200,000 176,240
----------
2,028,328
- -----------------------------------------------------------------------------------------------------------------------
Insurance--3.1%
ACE Ltd. 2,900 48,394
- -----------------------------------------------------------------------------------------------------------------------
Advance Paradigm, Inc.(1) 6,200 133,688
- -----------------------------------------------------------------------------------------------------------------------
Aegon NV 2,010 191,955
- -----------------------------------------------------------------------------------------------------------------------
AEGON NV 1,600 154,422
- -----------------------------------------------------------------------------------------------------------------------
Allstate Corp. 2,200 52,800
- -----------------------------------------------------------------------------------------------------------------------
American General Corp. 3,200 242,800
- -----------------------------------------------------------------------------------------------------------------------
American International Group, Inc. 875 94,609
- -----------------------------------------------------------------------------------------------------------------------
AXA Financial, Inc. 4,800 162,600
- -----------------------------------------------------------------------------------------------------------------------
AXA SA 1,300 181,071
- -----------------------------------------------------------------------------------------------------------------------
Chubb Corp. 2,500 140,781
- -----------------------------------------------------------------------------------------------------------------------
Cigna Corp. 1,700 136,956
- -----------------------------------------------------------------------------------------------------------------------
Conseco, Inc. 2,300 41,113
- -----------------------------------------------------------------------------------------------------------------------
Hartford Life, Inc., Cl. A 900 39,600
- -----------------------------------------------------------------------------------------------------------------------
HSB Group, Inc. 3,750 126,797
- -----------------------------------------------------------------------------------------------------------------------
Irish Life & Permanent plc 9,127 86,343
- -----------------------------------------------------------------------------------------------------------------------
Jefferson-Pilot Corp. 4,300 293,475
- -----------------------------------------------------------------------------------------------------------------------
Lincoln National Corp. 7,500 300,000
- -----------------------------------------------------------------------------------------------------------------------
Manulife Financial Corp.(1) 2,700 34,256
- -----------------------------------------------------------------------------------------------------------------------
Marsh & McLennan Cos., Inc. 500 47,844
- -----------------------------------------------------------------------------------------------------------------------
Radian Group, Inc. 1,200 57,300
- -----------------------------------------------------------------------------------------------------------------------
St. Paul Cos., Inc. 2,400 80,850
- -----------------------------------------------------------------------------------------------------------------------
Travelers Property Casualty Corp., Cl. A 2,550 87,338
- -----------------------------------------------------------------------------------------------------------------------
XL Capital Ltd., Cl. A 5,600 290,500
----------
3,025,492
- -----------------------------------------------------------------------------------------------------------------------
Real Estate Investment Trusts--0.5%
Camden Property Trust 5,400 147,825
- -----------------------------------------------------------------------------------------------------------------------
Cornerstone Properties, Inc. 9,500 138,938
</TABLE>
8 LifeSpan Balanced Portfolio
<PAGE>
- --------------------------------------------------------------------------------
Statement of Investments (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market Value
Shares Note 1
<S> <C> <C>
- -----------------------------------------------------------------------------------------------------------------------
Real Estate Investment Trusts (continued)
Healthcare Realty Trust, Inc. 5,366 $ 83,844
- -----------------------------------------------------------------------------------------------------------------------
HRPT Properties Trust 7,300 65,700
- -----------------------------------------------------------------------------------------------------------------------
Meditrust Corp., Paired Stock 4,325 23,788
----------
460,095
- -----------------------------------------------------------------------------------------------------------------------
Savings & Loans--0.0%
Greenpoint Financial Corp. 1,100 26,194
- -----------------------------------------------------------------------------------------------------------------------
Healthcare--4.0%
- -----------------------------------------------------------------------------------------------------------------------
Healthcare/Drugs--2.4%
Celgene Corp.(1) 3,700 259,000
- -----------------------------------------------------------------------------------------------------------------------
Fresenius AG, Preference 800 146,532
- -----------------------------------------------------------------------------------------------------------------------
Gedeon Richter Ltd., GDR(3) 2,000 131,000
- -----------------------------------------------------------------------------------------------------------------------
Glaxo Wellcome plc 5,000 141,356
- -----------------------------------------------------------------------------------------------------------------------
Invitrogen Corp.(1) 2,200 132,000
- -----------------------------------------------------------------------------------------------------------------------
Jones Pharma, Inc. 4,650 201,984
- -----------------------------------------------------------------------------------------------------------------------
King Pharmaceuticals, Inc.(1) 7,150 400,847
- -----------------------------------------------------------------------------------------------------------------------
Novartis AG 100 147,016
- -----------------------------------------------------------------------------------------------------------------------
Noven Pharmaceuticals, Inc.(1) 7,800 141,375
- -----------------------------------------------------------------------------------------------------------------------
Sanofi-Synthelabo SA(1) 4,800 199,702
- -----------------------------------------------------------------------------------------------------------------------
Schering AG 1,000 121,623
- -----------------------------------------------------------------------------------------------------------------------
SmithKline Beecham plc 15,000 191,437
- -----------------------------------------------------------------------------------------------------------------------
Takeda Chemical Industries Ltd. 3,000 148,195
----------
2,362,067
- -----------------------------------------------------------------------------------------------------------------------
Healthcare/Supplies & Services--1.6%
ArthroCare Corp.(1) 5,900 359,900
- -----------------------------------------------------------------------------------------------------------------------
Luxottica Group SpA, Sponsored ADR 10,000 175,625
- -----------------------------------------------------------------------------------------------------------------------
Molecular Devices Corp.(1) 4,300 223,600
- -----------------------------------------------------------------------------------------------------------------------
Seton School Healthcare Group plc 14,000 177,374
- -----------------------------------------------------------------------------------------------------------------------
Terumo Corp. 9,000 240,340
- -----------------------------------------------------------------------------------------------------------------------
United Healthcare Corp. 1,800 95,625
- -----------------------------------------------------------------------------------------------------------------------
WellPoint Health Networks, Inc.(1) 1,500 98,906
- -----------------------------------------------------------------------------------------------------------------------
Zoll Medical Corp.(1) 4,000 152,750
----------
1,524,120
- -----------------------------------------------------------------------------------------------------------------------
Technology--16.7%
- -----------------------------------------------------------------------------------------------------------------------
Computer Hardware--1.4%
Apple Computer, Inc.(1) 1,600 164,500
- -----------------------------------------------------------------------------------------------------------------------
Digital Lightwave, Inc.(1) 2,600 166,400
- -----------------------------------------------------------------------------------------------------------------------
Hewlett-Packard Co. 500 56,969
- -----------------------------------------------------------------------------------------------------------------------
International Business Machines Corp. 2,200 237,600
- -----------------------------------------------------------------------------------------------------------------------
Lexmark International Group, Inc., Cl. A(1) 2,800 253,400
- -----------------------------------------------------------------------------------------------------------------------
SanDisk Corp.(1) 3,000 288,750
- -----------------------------------------------------------------------------------------------------------------------
Silicon Storage Technology, Inc.(1) 5,000 206,250
----------
1,373,869
</TABLE>
LifeSpan Balanced Portfolio 9
<PAGE>
- --------------------------------------------------------------------------------
Statement of Investments (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market Value
Shares Note 1
<S> <C> <C>
- -----------------------------------------------------------------------------------------------------------------------
Computer Services--3.7%
Applied Micro Circuits Corp.(1) 1,800 $ 229,050
- -----------------------------------------------------------------------------------------------------------------------
Crossroads Systems, Inc. (1) 1,200 101,400
- -----------------------------------------------------------------------------------------------------------------------
Diamond Technology Partners, Inc. (1) 5,300 455,469
- -----------------------------------------------------------------------------------------------------------------------
Emulex Corp. (1) 2,800 315,000
- -----------------------------------------------------------------------------------------------------------------------
First Data Corp. 3,600 177,525
- -----------------------------------------------------------------------------------------------------------------------
Getronics NV 4,000 318,827
- -----------------------------------------------------------------------------------------------------------------------
Intraware, Inc. (1) 4,400 351,725
- -----------------------------------------------------------------------------------------------------------------------
MedQuist, Inc. (1) 4,900 126,481
- -----------------------------------------------------------------------------------------------------------------------
Proxicom, Inc. (1) 2,400 298,350
- -----------------------------------------------------------------------------------------------------------------------
QRS Corp. (1) 2,100 220,500
- -----------------------------------------------------------------------------------------------------------------------
Titan Corp. (The) (1) 4,000 188,500
- -----------------------------------------------------------------------------------------------------------------------
USinternetworking, Inc. (1) 3,000 209,625
- -----------------------------------------------------------------------------------------------------------------------
USWeb Corp. (1) 2,700 119,981
- -----------------------------------------------------------------------------------------------------------------------
Viant Corp. (1) 2,500 247,500
- -----------------------------------------------------------------------------------------------------------------------
WebTrends Corp. (1) 2,300 186,300
----------
3,546,233
- -----------------------------------------------------------------------------------------------------------------------
Computer Software--4.3%
Actuate Corp. (1) 8,400 360,150
- -----------------------------------------------------------------------------------------------------------------------
Advanced Digital Information Corp. (1) 4,300 209,088
- -----------------------------------------------------------------------------------------------------------------------
Advent Software, Inc. (1) 3,650 235,197
- -----------------------------------------------------------------------------------------------------------------------
Allaire Corp. (1) 1,600 234,100
- -----------------------------------------------------------------------------------------------------------------------
Bluestone Software, Inc. (1) 1,700 195,500
- -----------------------------------------------------------------------------------------------------------------------
Brio Technology, Inc. (1) 2,300 96,600
- -----------------------------------------------------------------------------------------------------------------------
Broadbase Software, Inc. (1) 1,600 180,000
- -----------------------------------------------------------------------------------------------------------------------
Cysive, Inc. (1) 2,700 194,569
- -----------------------------------------------------------------------------------------------------------------------
Dendrite International, Inc. (1) 11,400 386,175
- -----------------------------------------------------------------------------------------------------------------------
Exchange Applications, Inc. (1) 4,000 223,500
- -----------------------------------------------------------------------------------------------------------------------
Great Plains Software, Inc. (1) 2,800 209,300
- -----------------------------------------------------------------------------------------------------------------------
Logica plc 16,000 412,793
- -----------------------------------------------------------------------------------------------------------------------
Macromedia, Inc. (1) 2,800 204,750
- -----------------------------------------------------------------------------------------------------------------------
Mercury Interactive Corp. (1) 2,600 280,638
- -----------------------------------------------------------------------------------------------------------------------
Micromuse, Inc. (1) 1,600 272,000
- -----------------------------------------------------------------------------------------------------------------------
PC-Tel, Inc. (1) 3,000 157,500
- -----------------------------------------------------------------------------------------------------------------------
Rare Medium Group, Inc. (1) 3,100 105,788
- -----------------------------------------------------------------------------------------------------------------------
RAVISENT Technologies, Inc. (1) 3,400 130,688
- -----------------------------------------------------------------------------------------------------------------------
Synopsys, Inc. (1) 1,000 66,750
----------
4,155,086
</TABLE>
10 LifeSpan Balanced Portfolio
<PAGE>
- --------------------------------------------------------------------------------
Statement of Investments (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market Value
Shares Note 1
<S> <C> <C>
- -----------------------------------------------------------------------------------------------------------------------
Communications Equipment--1.2%
Audiocodes Ltd.(1) 2,700 $ 248,400
- -----------------------------------------------------------------------------------------------------------------------
BISYS Group, Inc. (The)(1) 900 58,725
- -----------------------------------------------------------------------------------------------------------------------
Ditech Communications Corp.(1) 1,500 140,250
- -----------------------------------------------------------------------------------------------------------------------
Extreme Networks, Inc.(1) 2,000 167,000
- -----------------------------------------------------------------------------------------------------------------------
Polycom, Inc.(1) 3,400 216,538
- -----------------------------------------------------------------------------------------------------------------------
Vodafone Group plc 70,000 346,888
----------
1,177,801
- -----------------------------------------------------------------------------------------------------------------------
Electronics--6.1%
ACT Manufacturing, Inc.(1) 4,200 157,500
- -----------------------------------------------------------------------------------------------------------------------
Advanced Energy Industries, Inc.(1) 4,400 216,700
- -----------------------------------------------------------------------------------------------------------------------
ANADIGICS, Inc.(1) 4,900 231,219
- -----------------------------------------------------------------------------------------------------------------------
Anaren Microwave, Inc.(1) 4,600 248,975
- -----------------------------------------------------------------------------------------------------------------------
Bowthorpe plc 18,000 316,380
- -----------------------------------------------------------------------------------------------------------------------
Cognex Corp.(1) 5,000 195,000
- -----------------------------------------------------------------------------------------------------------------------
Credence Systems Corp.(1) 3,500 302,750
- -----------------------------------------------------------------------------------------------------------------------
Cree, Inc.(1) 4,300 367,113
- -----------------------------------------------------------------------------------------------------------------------
CTS Corp. 2,500 188,438
- -----------------------------------------------------------------------------------------------------------------------
Cymer, Inc.(1) 4,700 216,200
- -----------------------------------------------------------------------------------------------------------------------
Cypress Semiconductor Corp.(1) 4,000 129,500
- -----------------------------------------------------------------------------------------------------------------------
Dallas Semiconductor Corp. 1,500 96,656
- -----------------------------------------------------------------------------------------------------------------------
DSP Group(1) 3,400 316,200
- -----------------------------------------------------------------------------------------------------------------------
Electrocomponents plc 20,000 221,485
- -----------------------------------------------------------------------------------------------------------------------
Hoshiden Corp. 10,000 641,690
- -----------------------------------------------------------------------------------------------------------------------
Hoya Corp. 4,000 314,976
- -----------------------------------------------------------------------------------------------------------------------
Intel Corp. 900 74,081
- -----------------------------------------------------------------------------------------------------------------------
MKS Instruments, Inc.(1) 3,800 137,275
- -----------------------------------------------------------------------------------------------------------------------
National Semiconductor Corp.(1) 3,100 132,719
- -----------------------------------------------------------------------------------------------------------------------
NVIDIA Corp.(1) 4,200 197,138
- -----------------------------------------------------------------------------------------------------------------------
RF Micro Devices, Inc.(1) 4,600 314,813
- -----------------------------------------------------------------------------------------------------------------------
Sony Corp. 1,400 414,947
- -----------------------------------------------------------------------------------------------------------------------
Teradyne, Inc. (1) 2,600 171,600
- -----------------------------------------------------------------------------------------------------------------------
TranSwitch Corp. (1) 3,500 253,969
----------
5,857,324
- -----------------------------------------------------------------------------------------------------------------------
Transportation--0.7%
- -----------------------------------------------------------------------------------------------------------------------
Air Transportation--0.3%
AHL Services, Inc. (1) 5,800 121,075
- -----------------------------------------------------------------------------------------------------------------------
Delta Air Lines, Inc. 1,000 49,813
- -----------------------------------------------------------------------------------------------------------------------
Japan Airport Terminal Co. Ltd. 13,000 120,806
----------
291,694
- -----------------------------------------------------------------------------------------------------------------------
Railroads & Truckers--0.4%
GATX Corp. 8,600 290,250
- -----------------------------------------------------------------------------------------------------------------------
Union Pacific Corp. 1,500 65,438
----------
355,688
</TABLE>
LifeSpan Balanced Portfolio 11
<PAGE>
- --------------------------------------------------------------------------------
Statement of Investments (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market Value
Shares Note 1
<S> <C> <C>
- -----------------------------------------------------------------------------------------------------------------------
Utilities--3.2%
- -----------------------------------------------------------------------------------------------------------------------
Electric Utilities--2.1%
Carolina Power & Light Co. 1,900 $ 57,831
- -----------------------------------------------------------------------------------------------------------------------
CLP Holdings Ltd. 30,000 138,162
- -----------------------------------------------------------------------------------------------------------------------
Conectiv, Inc. 7,600 127,775
- -----------------------------------------------------------------------------------------------------------------------
Duke Energy Corp. 7,717 386,815
- -----------------------------------------------------------------------------------------------------------------------
FPL Group, Inc. 5,800 248,313
- -----------------------------------------------------------------------------------------------------------------------
Kansas City Power & Light Co. 5,600 123,550
- -----------------------------------------------------------------------------------------------------------------------
Montana Power Co. 6,600 238,013
- -----------------------------------------------------------------------------------------------------------------------
Peco Energy Co. 3,100 107,725
- -----------------------------------------------------------------------------------------------------------------------
Potomac Electric Power Co. 2,800 64,225
- -----------------------------------------------------------------------------------------------------------------------
Public Service Enterprise Group, Inc. 3,900 135,769
- -----------------------------------------------------------------------------------------------------------------------
Reliant Energy, Inc. 8,000 183,000
- -----------------------------------------------------------------------------------------------------------------------
Texas Utilities Co. 3,500 124,469
- -----------------------------------------------------------------------------------------------------------------------
Unicom Corp. 1,600 53,600
- -----------------------------------------------------------------------------------------------------------------------
Western Resources, Inc. 4,400 74,800
-----------
2,064,047
- -----------------------------------------------------------------------------------------------------------------------
Gas Utilities--1.1%
El Paso Energy Corp. 13,800 535,613
- -----------------------------------------------------------------------------------------------------------------------
Hong Kong & China Gas Co. Ltd. 108,000 147,964
- -----------------------------------------------------------------------------------------------------------------------
National Fuel Gas Co. 4,400 204,600
- -----------------------------------------------------------------------------------------------------------------------
NICOR, Inc. 1,500 48,750
- -----------------------------------------------------------------------------------------------------------------------
Questar Corp. 8,200 123,000
-----------
1,059,927
-----------
Total Common Stocks (Cost $42,300,110) 57,968,015
=======================================================================================================================
Preferred Stocks--0.1%
- -----------------------------------------------------------------------------------------------------------------------
PRIMEDIA, Inc., 10% Cum., Series D, Non-Vtg.(2) (Cost $100,000) 1,000 97,250
Units
=======================================================================================================================
Rights, Warrants and Certificates--0.0%
- -----------------------------------------------------------------------------------------------------------------------
Abraxas Petroleum Corp. Wts., Exp. 11/1/04 5,961 894
- -----------------------------------------------------------------------------------------------------------------------
Diva Systems Corp. Wts., Exp. 3/1/08(2) 600 4,800
- -----------------------------------------------------------------------------------------------------------------------
Primestar, Inc., Share APP Rts., Exp. 5/30/00(2) 976 4,882
-----------
Total Rights, Warrants and Certificates (Cost $894) 10,576
Principal
Amount
=======================================================================================================================
Asset-Backed Securities--0.6%
- -----------------------------------------------------------------------------------------------------------------------
Arcadia Automobile Receivables Trust, Automobile Receivables-Backed Nts.,
Series 1998-B, Cl. A3, 5.95%, 11/15/02 $175,000 173,907
- -----------------------------------------------------------------------------------------------------------------------
Dayton Hudson Credit Card Master Trust, Asset-Backed Certificates,
Series 1997-1, Cl. A, 6.25%, 8/25/05 125,000 121,796
- -----------------------------------------------------------------------------------------------------------------------
IROQUOIS Trust, Asset-Backed Amortizing Nts.,
Series 1997-2, Cl. A, 6.752%, 6/25/07(2) 120,855 118,429
- -----------------------------------------------------------------------------------------------------------------------
Olympic Automobile Receivables Trust, Automobile Receivables-Backed Nts.,
Series 1997-A, Cl. A-5, 6.80%, 2/15/05 150,000 149,203
-----------
Total Asset-Backed Securities (Cost $570,475) 563,335
</TABLE>
12 LifeSpan Balanced Portfolio
<PAGE>
- --------------------------------------------------------------------------------
Statement of Investments (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Market Value
Amount Note 1
<S> <C> <C>
=======================================================================================================================
Mortgage-Backed Obligations--1.9%
- -----------------------------------------------------------------------------------------------------------------------
Countrywide Funding Corp., Mtg. Pass-Through Certificates,
Series 1994-10, Cl. A3, 6%, 5/25/09 $ 350,000 $ 341,250
- -----------------------------------------------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp., Gtd. Multiclass Mtg.
Participation Certificates:
6%, 3/1/09 125,351 120,805
Series 1843, Cl. VB, 7%, 4/15/03 50,000 50,000
Series 1849, Cl. VA, 6%, 12/15/10 85,299 84,312
- -----------------------------------------------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp., Interest-Only Stripped Mtg.-Backed Security:
Series 1542, Cl. QC, 10.90%, 10/15/20(4) 882,452 85,210
Series 1583, Cl. IC, 11.374%-33.853%, 1/15/20(4) 587,000 49,344
Series 1661, Cl. PK, 19.792%-20.665%, 11/15/06(4) 366,274 10,988
- -----------------------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn.:
6%, 12/1/03 86,782 85,164
6.50%, 4/1/26 138,138 131,016
7%, 4/1/00 11,883 11,868
- -----------------------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn., Collateralized Mtg. Obligations, Gtd. Real Estate Mtg.
Investment Conduit Pass-Through Certificates, Trust 1993-190, Cl. Z, 5.85%, 7/25/08 77,843 77,210
- -----------------------------------------------------------------------------------------------------------------------
GE Capital Mortgage Services, Inc., Gtd. Real Estate Mtg. Investment Conduit
Pass-Through Certificates, Series 1994-7, Cl. A18, 6%, 2/25/09 248,607 219,162
- -----------------------------------------------------------------------------------------------------------------------
IMC Home Equity Trust, Asset-Backed Home Equity Securities,
Series 1998-3, Cl. A5, 6.36%, 8/20/22(5) 350,000 341,195
- -----------------------------------------------------------------------------------------------------------------------
Residential Accredit Loans, Inc., Mtg. Asset-Backed Pass-Through Certificates,
Series 1999-QS12, Cl. M1, 7%, 9/25/14 247,702 235,085
----------
Total Mortgage-Backed Obligations (Cost $1,892,593) 1,842,609
=======================================================================================================================
U.S. Government Obligations--9.6%
- -----------------------------------------------------------------------------------------------------------------------
Agency--2.2%
Federal Farm Credit Bank, Medium-Term Nts., 5.24%, 10/1/08 175,000 154,064
- -----------------------------------------------------------------------------------------------------------------------
Federal Home Loan Bank, 5.57%, 8/17/00 350,000 348,358
- -----------------------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn., 5.125%, 2/13/04 1,750,000 1,645,280
----------
2,147,702
- -----------------------------------------------------------------------------------------------------------------------
Treasury--7.4%
U.S. Treasury Bonds:
6%, 2/15/26 575,000 526,125
7.50%, 11/15/16 1,310,000 1,401,700
STRIPS, 5.67%, 11/15/18(6) 1,500,000 417,910
- -----------------------------------------------------------------------------------------------------------------------
U.S. Treasury Nts.:
5.625%, 2/15/06 500,000 478,594
5.625%, 5/15/08 250,000 235,235
5.75%, 8/15/03 1,000,000 979,375
6.125%, 8/15/07 350,000 341,250
6.50%, 8/15/05 945,000 945,296
7.50%, 11/15/01 1,775,000 1,814,384
----------
7,139,869
----------
Total U.S. Government Obligations (Cost $9,791,489) 9,287,571
</TABLE>
LifeSpan Balanced Portfolio 13
<PAGE>
- --------------------------------------------------------------------------------
Statement of Investments (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Market Value
Amount Note 1
<S> <C> <C>
=================================================================================================================
Non-Convertible Corporate Bonds and Notes--17.5%
- -----------------------------------------------------------------------------------------------------------------
Basic Materials--1.1%
- -----------------------------------------------------------------------------------------------------------------
Chemicals--0.5%
Laroche Industries, Inc., 9.50% Sr. Sub. Nts., Series B, 9/15/07 $125,000 $ 34,375
- -----------------------------------------------------------------------------------------------------------------
PPG Industries, Inc., 9% Debs., 5/1/21 50,000 56,001
- -----------------------------------------------------------------------------------------------------------------
Rexene Corp., 11.75% Sr. Nts., 12/1/04 125,000 131,250
- -----------------------------------------------------------------------------------------------------------------
Rohm & Haas Co., 7.85% Unsec. Debs., 7/15/29 125,000 125,988
- -----------------------------------------------------------------------------------------------------------------
Sterling Chemicals Holdings, Inc., 0%/13.50% Sr. Disc. Nts., 8/15/08(7) 125,000 32,187
- -----------------------------------------------------------------------------------------------------------------
Texas Petrochemical Corp., 11.125% Sr. Sub. Nts., Series B, 7/1/06 125,000 110,625
--------
490,426
- -----------------------------------------------------------------------------------------------------------------
Metals--0.3%
Alcan Aluminum Ltd., 9.625% Debs., 7/15/19(2) 15,000 15,150
- -----------------------------------------------------------------------------------------------------------------
Algoma Steel, Inc., 12.375% First Mtg. Nts., 7/15/05 100,000 94,500
- -----------------------------------------------------------------------------------------------------------------
Gulf States Steel, Inc. (Alabama), 13.50% First Mtg. Nts., Series B, 4/15/03(1)(10) 125,000 13,125
- -----------------------------------------------------------------------------------------------------------------
International Utility Structures, Inc., 10.75% Sr. Sub. Nts., 2/1/08 100,000 84,500
- -----------------------------------------------------------------------------------------------------------------
National Steel Corp., 9.875% First Mtg. Bonds, Series D, 3/1/09 50,000 51,750
- -----------------------------------------------------------------------------------------------------------------
WCI Steel, Inc., 10% Sr. Nts., Series B, 12/1/04 75,000 76,500
--------
335,525
- -----------------------------------------------------------------------------------------------------------------
Paper--0.3%
Ainsworth Lumber, Inc., 12.50% Sr. Nts., 7/15/07(8) 125,000 137,500
- -----------------------------------------------------------------------------------------------------------------
Stone Container Corp., 9.875% Sr. Nts., 2/1/01 125,000 125,937
--------
263,437
- -----------------------------------------------------------------------------------------------------------------
Capital Goods--2.5%
- -----------------------------------------------------------------------------------------------------------------
Industrial Services--1.8%
Advance Holding Corp., 0%/12.875% Sr. Disc. Nts., 4/15/09(7) 100,000 53,000
- -----------------------------------------------------------------------------------------------------------------
Advance Stores Co., Inc., 10.25% Sr. Unsec. Sub. Nts., Series B, 4/15/08 125,000 109,375
- -----------------------------------------------------------------------------------------------------------------
Applied Extrusion Technologies, Inc., 11.50% Sr. Nts., Series B, 4/1/02 75,000 77,250
- -----------------------------------------------------------------------------------------------------------------
Armco, Inc., 9% Sr. Unsec. Nts., 9/15/07 50,000 50,812
- -----------------------------------------------------------------------------------------------------------------
Coinstar, Inc., 13% Sr. Disc. Nts., 10/1/06 50,000 50,312
- -----------------------------------------------------------------------------------------------------------------
Employee Solutions, Inc., 10% Sr. Unsec. Nts., Series B, 10/15/04 125,000 75,625
- -----------------------------------------------------------------------------------------------------------------
Iron Mountain, Inc., 8.25% Sr. Unsec. Sub. Nts., 7/1/11 50,000 45,625
- -----------------------------------------------------------------------------------------------------------------
Jordan Telecommunication Products, Inc., 9.875% Sr. Nts., Series B, 8/1/07(2) 50,000 54,250
- -----------------------------------------------------------------------------------------------------------------
KSL Recreation Group, Inc., 10.25% Sr. Sub. Nts., 5/1/07(2) 100,000 98,500
- -----------------------------------------------------------------------------------------------------------------
Logix Communications Enterprises, Inc., 12.25% Sr. Unsec. Nts., 6/15/08(2) 100,000 72,500
- -----------------------------------------------------------------------------------------------------------------
Maxim Group, Inc. (The), 9.25% Sr. Sub. Nts., Series B, 10/15/07(2) 50,000 40,125
- -----------------------------------------------------------------------------------------------------------------
Mrs. Fields Holding Co., Units (each unit consists of $1,000 principal amount of 0%/14%
sr. sec. disc. nts., 12/1/05 and warrants to purchase shares of common stock)(2)(7)(9) 150,000 84,750
- -----------------------------------------------------------------------------------------------------------------
Ocean Energy, Inc., 8.375% Sr. Unsec. Sub. Nts., Series B, 7/1/08 125,000 120,625
- -----------------------------------------------------------------------------------------------------------------
Production Resource Group LLC/PRG Finance Corp., 11.50% Sr. Unsec. Sub. Nts., 1/15/08 75,000 67,125
- -----------------------------------------------------------------------------------------------------------------
Scotia Pacific Co. LLC, 6.55% Timber Collaterized Nts., Series B, Cl. A-1, 1/20/07 189,813 178,944
- -----------------------------------------------------------------------------------------------------------------
Simonds Industries, Inc., 10.25% Sr. Unsec. Sub. Nts., 7/1/08 125,000 100,625
- -----------------------------------------------------------------------------------------------------------------
Sun Co., Inc., 7.95% Debs., 12/15/01 125,000 126,215
</TABLE>
14 LifeSpan Balanced Portfolio
<PAGE>
- --------------------------------------------------------------------------------
Statement of Investments (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Market Value
Amount Note 1
<S> <C> <C>
- -------------------------------------------------------------------------------------------------------------------
Industrial Services (continued)
Thermadyne Holdings Corp., 0%/12.50% Sr. Disc. Debs., 6/1/08(7) $ 50,000 $ 23,125
- -------------------------------------------------------------------------------------------------------------------
Tyco International Group SA, 6.125% Unsec. Nts., 6/15/01 175,000 172,046
- -------------------------------------------------------------------------------------------------------------------
USI American Holdings, Inc., 7.25% Sr. Nts., Series B, 12/1/06 120,000 113,300
----------
1,714,129
- -------------------------------------------------------------------------------------------------------------------
Manufacturing--0.7%
Federal-Mogul Corp., 7.50% Nts., 7/1/04 125,000 118,453
- -------------------------------------------------------------------------------------------------------------------
Jordan Industries, Inc., 10.375% Sr. Nts., Series B, 8/1/07(2) 125,000 125,625
- -------------------------------------------------------------------------------------------------------------------
Portola Packaging, Inc., 10.75% Sr. Nts., 10/1/05 125,000 125,625
- -------------------------------------------------------------------------------------------------------------------
Titan Wheel International, Inc., 8.75% Sr. Sub. Nts., 4/1/07 100,000 82,625
- -------------------------------------------------------------------------------------------------------------------
U.S. Industries, Inc./USI American Holdings, Inc./USI Global Corp., 7.125%
Sr. Unsec. Nts., 10/15/03 225,000 219,090
----------
671,418
- -------------------------------------------------------------------------------------------------------------------
Communication Services--3.3%
- -------------------------------------------------------------------------------------------------------------------
Telecommunications: Long Distance--2.7%
AT&T Capital Corp., 6.25% Medium-Term Nts., Series F, 5/15/01 175,000 173,220
- -------------------------------------------------------------------------------------------------------------------
Coaxial Communications, Inc., 10% Sr. Unsec. Nts., 8/15/06 125,000 123,125
- -------------------------------------------------------------------------------------------------------------------
Comcast UK Cable Partner Ltd., 0%/11.20% Sr. Disc. Debs., 11/15/07(7) 125,000 119,687
- -------------------------------------------------------------------------------------------------------------------
Diamond Cable Communications plc, 0%/10.75% Sr. Disc. Nts., 2/15/07(7) 125,000 103,125
- -------------------------------------------------------------------------------------------------------------------
e.spire Communications, Inc., 0%/13% Sr. Disc. Nts., 11/1/05(7) 100,000 53,625
- -------------------------------------------------------------------------------------------------------------------
Exodus Communications, Inc., 11.25% Sr. Nts., 7/1/08 125,000 129,687
- -------------------------------------------------------------------------------------------------------------------
Galaxy Telecom LP, 12.375% Sr. Sub. Nts., 10/1/05 100,000 106,500
- -------------------------------------------------------------------------------------------------------------------
Global Crossing Holdings Ltd., 9.125% Sr. Nts., 11/15/06(3) 50,000 49,687
- -------------------------------------------------------------------------------------------------------------------
Globix Corp., 13% Sr. Unsec. Nts., 5/1/05 100,000 101,500
- -------------------------------------------------------------------------------------------------------------------
GST USA, Inc., 0%/13.875% Gtd. Sr. Disc. Nts., 12/15/05(7) 125,000 93,125
- -------------------------------------------------------------------------------------------------------------------
Hermes Europe Railtel BV, 10.375% Sr. Unsec. Nts., 1/15/09 125,000 124,062
- -------------------------------------------------------------------------------------------------------------------
ICG Holdings, Inc., 0%/11.625% Sr. Disc. Nts., 3/15/07(7) 125,000 81,875
- -------------------------------------------------------------------------------------------------------------------
International CableTel, Inc., 0%/11.50% Sr. Deferred Coupon Nts., Series B, 2/1/06(7) 200,000 182,000
- -------------------------------------------------------------------------------------------------------------------
IXC Communications, Inc., 9% Sr. Sub. Nts., 4/15/08(2) 50,000 50,750
- -------------------------------------------------------------------------------------------------------------------
Level 3 Communications, Inc., 9.125% Sr. Unsec. Nts., 5/1/08 125,000 118,437
- -------------------------------------------------------------------------------------------------------------------
Metromedia Fiber Network, Inc., 10% Sr. Nts., 12/15/09 50,000 51,500
- -------------------------------------------------------------------------------------------------------------------
PSINet, Inc., 11.50% Sr. Unsec. Nts., 11/1/08 100,000 105,000
- -------------------------------------------------------------------------------------------------------------------
Qwest Communications International, Inc., 0%/9.47% Sr. Disc. Nts., 10/15/07(7) 125,000 101,875
- -------------------------------------------------------------------------------------------------------------------
RSL Communications plc, 9.125% Sr. Unsec. Nts., 3/1/08 100,000 88,000
- -------------------------------------------------------------------------------------------------------------------
Telewest Communications plc:
0%/11% Sr. Disc. Debs., 10/1/07(7) 75,000 70,313
9.625% Sr. Debs., 10/1/06 75,000 76,125
- -------------------------------------------------------------------------------------------------------------------
Teligent, Inc., 11.50% Sr. Nts., 12/1/07 125,000 121,250
- -------------------------------------------------------------------------------------------------------------------
Time Warner Telecom LLC, 9.75% Sr. Nts., 7/15/08 50,000 51,750
- -------------------------------------------------------------------------------------------------------------------
US West Capital Funding, Inc., 6.125% Nts., 7/15/02 200,000 195,063
- -------------------------------------------------------------------------------------------------------------------
Winstar Communications, Inc., 0%/14% Sr. Disc. Nts., 10/15/05(7) 50,000 48,750
- -------------------------------------------------------------------------------------------------------------------
Worldwide Fiber, Inc., 12% Sr. Nts., 8/1/09(3) 100,000 103,500
----------
2,623,531
</TABLE>
LifeSpan Balanced Portfolio 15
<PAGE>
- --------------------------------------------------------------------------------
Statement of Investments (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Market Value
Amount Note 1
<S> <C> <C>
- -------------------------------------------------------------------------------------------------------------------
Telecommunications: Wireless--0.6%
Clearnet Communications, Inc., 0%/14.75% Sr. Disc. Nts., 12/15/05(7) $ 50,000 $ 49,313
- -------------------------------------------------------------------------------------------------------------------
Microcell Telecommunications, Inc., 0%/14% Sr. Disc. Nts., Series B, 6/1/06(7) 125,000 110,938
- -------------------------------------------------------------------------------------------------------------------
Nextel Communications, Inc., 9.75% Sr. Disc. Nts., 8/15/04 150,000 155,250
- -------------------------------------------------------------------------------------------------------------------
Rural Cellular Corp., 9.625% Sr. Sub. Nts., Series B, 5/15/08 100,000 102,750
- -------------------------------------------------------------------------------------------------------------------
Sprint Spectrum LP/Sprint Spectrum Finance Corp., 11% Sr. Nts., 8/15/06 100,000 110,564
- -------------------------------------------------------------------------------------------------------------------
Western Wireless Corp., 10.50% Sr. Sub. Nts., 2/1/07 50,000 52,750
----------
581,565
- -------------------------------------------------------------------------------------------------------------------
Consumer Cyclicals--3.4%
- -------------------------------------------------------------------------------------------------------------------
Autos & Housing--0.3%
Black & Decker Corp., 6.625% Nts., 11/15/00 85,000 84,794
- -------------------------------------------------------------------------------------------------------------------
Cambridge Industries, Inc., 10.25% Sr. Sub. Nts., Series B, 7/15/07 125,000 49,063
- -------------------------------------------------------------------------------------------------------------------
Collins & Aikman Floorcoverings, Inc., 10% Sr. Sub. Nts., Series B, 1/15/07 50,000 49,250
- -------------------------------------------------------------------------------------------------------------------
Oxford Automotive, Inc., 10.125% Sr. Unsec. Sub. Nts., Series D, 6/15/07(2) 125,000 118,125
----------
301,232
- -------------------------------------------------------------------------------------------------------------------
Leisure & Entertainment--2.0%
American Skiing Corp., 12% Sr. Sub. Nts., Series B, 7/15/06 100,000 91,750
- -------------------------------------------------------------------------------------------------------------------
Ameristar Casinos, Inc., 10.50% Sr. Sub. Nts., Series B, 8/1/04 50,000 51,000
- -------------------------------------------------------------------------------------------------------------------
Bally Total Fitness Holding Corp., 9.875% Sr. Unsec. Sub. Nts., Series D, 10/15/07 125,000 121,875
- -------------------------------------------------------------------------------------------------------------------
Casino Magic of Louisiana Corp., 13% First Mtg. Nts., Series B, 8/15/03 200,000 226,750
- -------------------------------------------------------------------------------------------------------------------
Colorado Gaming & Entertainment Co., 12% Sr. Sec. Nts., 6/1/03 125,000 88,125
- -------------------------------------------------------------------------------------------------------------------
Florida Panthers Holdings, Inc., 9.875% Sr. Sub. Nts., 4/15/09 50,000 48,750
- -------------------------------------------------------------------------------------------------------------------
Hard Rock Hotel, Inc., 9.25% Sr. Sub. Nts., 4/1/05 100,000 71,500
- -------------------------------------------------------------------------------------------------------------------
Harveys Casino Resorts, 10.625% Sr. Unsec. Sub. Nts., 6/1/06 100,000 103,750
- -------------------------------------------------------------------------------------------------------------------
HMH Properties, Inc., 7.875% Sr. Nts., Series A, 8/1/05 125,000 116,250
- -------------------------------------------------------------------------------------------------------------------
Horseshoe Gaming LLC, 9.375% Sr. Sub. Nts., 6/15/07 50,000 50,000
- -------------------------------------------------------------------------------------------------------------------
Intrawest Corp., 9.75% Sr. Nts., 8/15/08 100,000 98,500
- -------------------------------------------------------------------------------------------------------------------
Isle of Capri Casinos, Inc., 8.75% Sr. Unsec. Nts., 4/15/09 100,000 92,500
- -------------------------------------------------------------------------------------------------------------------
Mohegan Tribal Gaming Authority, 8.125% Sr. Nts., 1/1/06 125,000 121,875
- -------------------------------------------------------------------------------------------------------------------
Park Place Entertainment Corp., 7.875% Sr. Unsec. Sub. Nts., 12/15/05 100,000 96,250
- -------------------------------------------------------------------------------------------------------------------
Park Place Entertainment Corp., 8.50% Sr. Nts., 11/15/06 125,000 123,397
- -------------------------------------------------------------------------------------------------------------------
Players International, Inc., 10.875% Sr. Nts., 4/15/05(2) 125,000 131,875
- -------------------------------------------------------------------------------------------------------------------
Prime Hospitality Corp., 9.75% Sr. Sub. Nts., 4/1/07 125,000 124,375
- -------------------------------------------------------------------------------------------------------------------
Santa Fe Hotel, Inc., 11% Gtd. First Mtg. Nts., 12/15/00 100,000 97,500
- -------------------------------------------------------------------------------------------------------------------
Station Casinos, Inc., 9.75% Sr. Sub. Nts., 4/15/07 125,000 126,250
----------
1,982,272
- -------------------------------------------------------------------------------------------------------------------
Media--0.4%
Hollinger International Publishing, Inc., 9.25% Gtd. Sr. Sub. Nts., 3/15/07 125,000 124,375
- -------------------------------------------------------------------------------------------------------------------
Lamar Advertising Co., 8.625% Sr. Sub. Nts., 9/15/07(2) 100,000 98,500
- -------------------------------------------------------------------------------------------------------------------
MDC Communications Corp., 10.50% Sr. Sub. Nts., 12/1/06(2) 125,000 124,063
- -------------------------------------------------------------------------------------------------------------------
TV Guide, Inc., 8.125% Sr. Unsec. Sub. Nts., 3/1/09 50,000 50,125
----------
397,063
</TABLE>
16 LifeSpan Balanced Portfolio
<PAGE>
- --------------------------------------------------------------------------------
Statement of Investments (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Market Value
Amount Note 1
<S> <C> <C>
- -------------------------------------------------------------------------------------------------------------------
Retail: General--0.3%
Federated Department Stores, Inc., 6.125% Cv. Sub. Nts., 9/1/01(5) $200,000 $ 195,995
- -------------------------------------------------------------------------------------------------------------------
Price/Costco Cos., Inc., 7.125% Sr. Nts., 6/15/05 90,000 89,227
----------
285,222
- -------------------------------------------------------------------------------------------------------------------
Retail: Specialty--0.3%
K Mart Corp., 7.75% Debs., 10/1/12 125,000 111,224
- -------------------------------------------------------------------------------------------------------------------
Pantry, Inc. (The), 10.25% Sr. Sub. Nts., 10/15/07 150,000 146,250
----------
257,474
- -------------------------------------------------------------------------------------------------------------------
Textile/Apparel & Home Furnishings--0.1%
William Carter Co., 10.375% Sr. Sub. Nts., Series A, 12/1/06 125,000 113,125
- -------------------------------------------------------------------------------------------------------------------
Consumer Staples--2.5%
- -------------------------------------------------------------------------------------------------------------------
Broadcasting--1.7%
Adelphia Communications Corp.:
7.875% Sr. Unsec. Nts., 5/1/09 50,000 45,125
10.50% Sr. Unsec. Nts., Series B, 7/15/04 125,000 130,313
- -------------------------------------------------------------------------------------------------------------------
Allbritton Communications Co., 8.875% Sr. Sub. Nts., Series B, 2/1/08 125,000 120,625
- -------------------------------------------------------------------------------------------------------------------
Century Communications Corp.:
9.75% Sr. Nts., 2/15/02 100,000 101,000
Zero Coupon Sr. Disc. Nts., Series B, 8.50%, 1/15/08(6) 50,000 22,188
- -------------------------------------------------------------------------------------------------------------------
Charter Communication Holdings LLC/Charter Communication Holdings Capital Corp.:
0%/9.92% Sr. Unsec. Disc. Nts., 4/1/11(7) 50,000 29,563
8.625% Sr. Unsec. Nts., 4/1/09 100,000 92,875
- -------------------------------------------------------------------------------------------------------------------
Classic Cable, Inc., 9.375% Sr. Sub. Nts., Series B, 8/1/09 100,000 98,750
- -------------------------------------------------------------------------------------------------------------------
Comcast Corp., 9.125% Sr. Sub. Debs., 10/15/06 125,000 130,469
- -------------------------------------------------------------------------------------------------------------------
CSC Holdings, Inc., 9.875% Sr. Sub. Nts., 5/15/06 50,000 53,000
- -------------------------------------------------------------------------------------------------------------------
Diva Systems Corp., 0%/12.625% Sr. Disc. Nts., Series B, 3/1/08(7) 200,000 79,000
- -------------------------------------------------------------------------------------------------------------------
EchoStar DBS Corp., 9.375% Sr. Unsec. Nts., 2/1/09 125,000 126,250
- -------------------------------------------------------------------------------------------------------------------
Falcon Holding Group LP, 0%/9.285% Sr. Disc. Debs., Series B, 4/15/10(7) 175,000 131,906
- -------------------------------------------------------------------------------------------------------------------
Interepublic National Radio Sales Corp., 10% Sr. Unsec. Sub. Nts., Series B, 7/1/08 125,000 120,313
- -------------------------------------------------------------------------------------------------------------------
James Cable Partners LP, 10.75% Sr. Nts., Series B, 8/15/04 100,000 101,750
- -------------------------------------------------------------------------------------------------------------------
RCN Corp., 0%/11.125% Sr. Unsec. Nts., 10/15/07(7) 50,000 35,375
- -------------------------------------------------------------------------------------------------------------------
Sinclair Broadcast Group, Inc., 10% Sr. Sub. Nts., 9/30/05 125,000 124,375
- -------------------------------------------------------------------------------------------------------------------
United International Holdings, Inc., 0%/10.75% Sr. Disc. Nts., Series B, 2/15/08(7) 100,000 64,500
----------
1,607,377
- -------------------------------------------------------------------------------------------------------------------
Entertainment--0.1%
Tricon Global Restaurants, Inc., 7.45% Sr. Unsec. Nts., 5/15/05 125,000 120,316
- -------------------------------------------------------------------------------------------------------------------
Food--0.5%
AmeriServe Food Distribution, Inc., 8.875% Sr. Nts., 10/15/06 125,000 69,375
- -------------------------------------------------------------------------------------------------------------------
Dole Food Co., 6.75% Nts., 7/15/00 115,000 114,327
- -------------------------------------------------------------------------------------------------------------------
Eagle Family Foods, Inc., 8.75% Sr. Sub. Nts., 1/15/08 50,000 38,750
- -------------------------------------------------------------------------------------------------------------------
Grand Metro Inventory Corp., 7.125% Nts., 9/15/04 175,000 174,315
- -------------------------------------------------------------------------------------------------------------------
Premier International Foods plc, 12% Sr. Nts., 9/1/09(3) 50,000 49,250
----------
446,017
</TABLE>
LifeSpan Balanced Portfolio 17
<PAGE>
- --------------------------------------------------------------------------------
Statement of Investments (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Market Value
Amount Note 1
<S> <C> <C>
- -----------------------------------------------------------------------------------------------------------------------
Food & Drug Retailers--0.1%
Jitney-Jungle Stores of America, Inc., 10.375% Sr. Sub. Nts., 9/15/07(2)(10) $ 50,000 $ 500
- -----------------------------------------------------------------------------------------------------------------------
Pathmark Stores, Inc., 9.625% Sr. Sub. Nts., 5/1/03 50,000 37,750
- -----------------------------------------------------------------------------------------------------------------------
Stater Brothers Holdings, Inc., 10.75% Sr. Nts., 8/15/06 100,000 101,750
----------
140,000
- -----------------------------------------------------------------------------------------------------------------------
Household Goods--0.1%
Kimberly-Clark Corp., 7.875% Debs., 2/1/23 50,000 49,136
- -----------------------------------------------------------------------------------------------------------------------
Revlon Consumer Products Corp., 8.625% Sr. Unsec. Sub. Nts., 2/1/08 125,000 63,125
----------
112,261
- -----------------------------------------------------------------------------------------------------------------------
Energy--0.7%
- -----------------------------------------------------------------------------------------------------------------------
Energy Services--0.5%
Coastal Corp., 8.125% Sr. Nts., 9/15/02 50,000 51,183
- -----------------------------------------------------------------------------------------------------------------------
Crown Central Petroleum Corp., 10.875% Sr. Nts., 2/1/05 50,000 38,000
- -----------------------------------------------------------------------------------------------------------------------
Gulf Canada Resources Ltd., 8.25% Sr. Nts., 3/15/17 75,000 65,474
- -----------------------------------------------------------------------------------------------------------------------
Louisiana Land & Exploration Co., 7.65% Debs., 12/1/23 50,000 47,216
- -----------------------------------------------------------------------------------------------------------------------
Petroleum Geo-Services ASA, 7.50% Nts., 3/31/07 125,000 122,194
- -----------------------------------------------------------------------------------------------------------------------
RAM Energy, Inc., 11.50% Sr. Unsec. Nts., 2/15/08 75,000 34,875
- -----------------------------------------------------------------------------------------------------------------------
Southwest Royalties, Inc., 10.50% Sr. Nts., Series B, 10/15/04 125,000 70,625
- -----------------------------------------------------------------------------------------------------------------------
Williams Holdings of Delaware, Inc., 6.25% Sr. Unsec. Debs., 2/1/06 50,000 46,507
----------
476,074
- -----------------------------------------------------------------------------------------------------------------------
Oil: Domestic--0.1%
Frontier Oil Corp., 11.75% Sr. Nts., 11/15/09 50,000 49,500
- -----------------------------------------------------------------------------------------------------------------------
Norcen Energy Resources Ltd., 6.80% Debs., 7/2/02 50,000 48,613
----------
98,113
- -----------------------------------------------------------------------------------------------------------------------
Oil: International--0.1%
Abraxas Petroleum Corp./Canadian Abraxas Petroleum Ltd., 11.50% Sr. Unsec. Nts., 11/1/04 70,000 64,050
- -----------------------------------------------------------------------------------------------------------------------
Financial--2.2%
- -----------------------------------------------------------------------------------------------------------------------
Banks--0.2%
Fleet Mtg./Norstar Group, Inc., 9.90% Sub. Nts., 6/15/01 85,000 88,241
- -----------------------------------------------------------------------------------------------------------------------
Integra Financial Corp., 6.50% Sub. Nts., 4/15/00 105,000 105,022
- -----------------------------------------------------------------------------------------------------------------------
Sovereign Bankcorp, 10.50% Sr. Unsec. Nts., 11/15/06 50,000 51,250
----------
244,513
- -----------------------------------------------------------------------------------------------------------------------
Diversified Financial--1.2%
American General Institutional Capital B, 8.125% Bonds, Series B, 3/15/46(3) 125,000 125,171
- -----------------------------------------------------------------------------------------------------------------------
Capital One Financial Corp., 7.25% Nts., 12/1/03 40,000 39,151
- -----------------------------------------------------------------------------------------------------------------------
Conseco Financing Trust III, 8.796% Bonds, 4/1/27 100,000 90,816
- -----------------------------------------------------------------------------------------------------------------------
Countrywide Home Loans, Inc., 6.05% Medium-Term Nts., Series D, 3/1/01 220,000 217,730
- -----------------------------------------------------------------------------------------------------------------------
General Electric Capital Corp., 5.77% Nts., Series A, 8/27/01 200,000 197,141
- -----------------------------------------------------------------------------------------------------------------------
General Motors Acceptance Corp., 5.625% Nts., 2/15/01 175,000 172,603
- -----------------------------------------------------------------------------------------------------------------------
GS Escrow Corp., 6.75% Sr. Unsec. Nts., 8/1/01 200,000 192,837
- -----------------------------------------------------------------------------------------------------------------------
Olympic Financial Ltd., Units (each unit consists of $1,000 principal amount of 11.50%
sr. nts., 3/15/07 and one warrant to purchase 6.84 shares of common stock)(2)(9) 125,000 130,000
----------
1,165,449
</TABLE>
18 LifeSpan Balanced Portfolio
<PAGE>
- --------------------------------------------------------------------------------
Statement of Investments (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Market Value
Amount Note 1
<S> <C> <C>
- --------------------------------------------------------------------------------------------------------------------
Insurance--0.3%
Aetna Industries, Inc., 11.875% Sr. Nts., 10/1/06 $100,000 $ 97,625
- --------------------------------------------------------------------------------------------------------------------
Conseco, Inc., 6.40% Nts., 6/15/01 175,000 170,721
-----------
268,346
- --------------------------------------------------------------------------------------------------------------------
Real Estate Investment Trusts--0.5%
Chelsea GCA Realty Partner, Inc., 7.75% Unsec. Nts., 1/26/01 280,000 280,584
- --------------------------------------------------------------------------------------------------------------------
First Industrial LP, 7.15% Bonds, 5/15/27 60,000 58,864
- --------------------------------------------------------------------------------------------------------------------
Simon DeBartolo Group LP, 6.625% Unsec. Nts., 6/15/03 175,000 167,087
-----------
506,535
- --------------------------------------------------------------------------------------------------------------------
Healthcare--0.6%
- --------------------------------------------------------------------------------------------------------------------
Healthcare/Supplies & Services--0.6%
Columbia/HCA Healthcare Corp., 6.875% Nts., 7/15/01 145,000 141,186
- --------------------------------------------------------------------------------------------------------------------
Dade International, Inc., 11.125% Sr. Sub. Nts., 5/1/06 100,000 98,000
- --------------------------------------------------------------------------------------------------------------------
ICN Pharmaceutical, Inc., 8.75% Sr. Nts., 11/15/08(3) 125,000 120,000
- --------------------------------------------------------------------------------------------------------------------
Paracelsus Healthcare Corp., 10% Sr. Unsec. Sub. Nts., 8/15/06 100,000 55,500
- --------------------------------------------------------------------------------------------------------------------
Playtex Products, Inc., 8.875% Sr. Nts., 7/15/04 75,000 75,563
- --------------------------------------------------------------------------------------------------------------------
Tenet Healthcare Corp., 8% Sr. Nts., 1/15/05 75,000 72,188
-----------
562,437
- --------------------------------------------------------------------------------------------------------------------
Technology--0.1%
- --------------------------------------------------------------------------------------------------------------------
Computer Services--0.1%
Fisher Scientific International, Inc., 9% Sr. Unsec. Sub. Nts., 2/1/08 100,000 96,375
- --------------------------------------------------------------------------------------------------------------------
Transportation--0.4%
- --------------------------------------------------------------------------------------------------------------------
Air Transportation--0.1%
Canadian Airlines Corp., 12.25% Sr. Nts., 8/1/06 75,000 40,875
- --------------------------------------------------------------------------------------------------------------------
Trans World Airlines, Inc., 11.375% Unsec. Nts., 3/1/06 125,000 51,250
-----------
92,125
- --------------------------------------------------------------------------------------------------------------------
Railroads & Truckers--0.3%
CSX Corp., 7.05% Debs., 5/1/02 70,000 69,676
- --------------------------------------------------------------------------------------------------------------------
Norfolk Southern Corp., 7.35% Nts., 5/15/07 75,000 73,428
- --------------------------------------------------------------------------------------------------------------------
Union Pacific Corp., 7% Nts., 6/15/00 105,000 105,338
-----------
248,442
- --------------------------------------------------------------------------------------------------------------------
Utilities--0.7%
- --------------------------------------------------------------------------------------------------------------------
Electric Utilities--0.1%
AES Corp. (The), 8% Sr. Nts., 12/31/08 100,000 92,000
- --------------------------------------------------------------------------------------------------------------------
Gas Utilities--0.6%
Northern Illinois Gas Co., 6.45% First Mtg. Bonds, 8/1/01 200,000 198,030
- --------------------------------------------------------------------------------------------------------------------
Tennessee Gas Pipeline Co., 7.50% Bonds, 4/1/17 125,000 118,155
- --------------------------------------------------------------------------------------------------------------------
Williams Cos., Inc. (The), 6.20% Nts., 8/1/02 225,000 219,540
-----------
535,725
-----------
Total Non-Convertible Corporate Bonds and Notes (Cost $18,265,485) 16,892,574
</TABLE>
LifeSpan Balanced Portfolio 19
<PAGE>
- --------------------------------------------------------------------------------
Statement of Investments (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Market Value
Amount Note 1
<S> <C> <C>
=======================================================================================================================
Repurchase Agreements--9.4%
- -----------------------------------------------------------------------------------------------------------------------
Repurchase agreement with Zion First National Bank, 3%, dated 12/31/99, to be
repurchased at $9,139,284 on 1/3/00, collateralized by U.S. Treasury Nts.,
7.25%, 8/15/04, with a value of $9,325,259 (Cost $9,137,000) $9,137,000 $ 9,137,000
- -----------------------------------------------------------------------------------------------------------------------
Total Investments, at Value (Cost $82,058,046) 99.1% 95,798,930
- -----------------------------------------------------------------------------------------------------------------------
Other Assets Net of Liabilities 0.9 830,164
---------- -----------
Net Assets 100.0% $96,629,094
========== ===========
</TABLE>
1. Non-income producing security.
2. Identifies issues considered to be illiquid or restricted--See Note 6 of
Notes to Financial Statements.
3. Represents securities sold under Rule 144A, which are exempt from
registration under the Securities Act of 1933, as amended. These securities have
been determined to be liquid under guidelines established by the Board of
Directors. These securities amount to $578,608 or 0.60% of the Fund's net assets
as of December 31, 1999.
4. Interest-Only Strips represent the right to receive the monthly interest
payments on an underlying pool of mortgage loans. These securities typically
decline in price as interest rates decline. Most other fixed income securities
increase in price when interest rates decline. The principal amount of the
underlying pool represents the notional amount on which current interest is
calculated. The price of these securities is typically more sensitive to changes
in prepayment rates than traditional mortgage-backed securities (for example,
GNMA pass-throughs). Interest rates disclosed represent current yields based
upon the current cost basis and estimated timing and amount of future cash
flows.
5. Represents the current interest rate for a variable or increasing 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. Interest or dividend is paid-in-kind.
9. 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.
10. Issuer is in default.
See accompanying Notes to Financial Statements.
20 LifeSpan Balanced Portfolio
<PAGE>
- --------------------------------------------------------------------------------
Statement of Assets and Liabilities December 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
=======================================================================================
Assets
Investments, at value (cost $82,058,046)--see accompanying statement $95,798,930
- ---------------------------------------------------------------------------------------
Receivables and other assets:
Interest dividends and principal paydowns 641,313
Investments sold 452,155
Other 2,773
-----------
Total assets 96,895,171
=======================================================================================
Liabilities
Bank overdraft 5,382
- ---------------------------------------------------------------------------------------
Payables and other liabilities:
Shares of capital stock redeemed 210,900
Investments purchased 20,534
Shareholder reports 15,202
Directors' compensation 1,353
Transfer and shareholder servicing agent fees 185
Other 12,521
-----------
Total liabilities 266,077
=======================================================================================
Net Assets $96,629,094
===========
=======================================================================================
Composition of Net Assets
- ---------------------------------------------------------------------------------------
Par value of shares of capital stock $ 66,979
- ---------------------------------------------------------------------------------------
Additional paid-in capital 73,569,452
- ---------------------------------------------------------------------------------------
Undistributed net investment income 2,937,258
- ---------------------------------------------------------------------------------------
Accumulated net realized gain on investments and
foreign currency transactions 6,266,683
- ---------------------------------------------------------------------------------------
Net unrealized appreciation on investments and translation of
assets and liabilities denominated in foreign currencies 13,788,722
-----------
Net assets--applicable to 66,978,661 shares of capital stock outstanding $96,629,094
===========
=======================================================================================
Net Asset Value, Redemption Price Per Share and Offering Price Per Share $1.44
</TABLE>
See accompanying Notes to Financial Statements.
LifeSpan Balanced Portfolio 21
<PAGE>
- --------------------------------------------------------------------------------
Statement of Operations For the Year Ended December 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
========================================================================================
Investment Income
Interest $ 2,919,491
- ----------------------------------------------------------------------------------------
Dividends (net of foreign withholding taxes of $14,978) 711,600
-----------
Total income 3,631,091
========================================================================================
Expenses
Management fees 736,934
- ----------------------------------------------------------------------------------------
Accounting service fees 15,000
- ----------------------------------------------------------------------------------------
Custodian fees and expenses 3,947
- ----------------------------------------------------------------------------------------
Directors' compensation 3,918
- ----------------------------------------------------------------------------------------
Transfer and shareholder servicing agent fees 2,119
- ----------------------------------------------------------------------------------------
Other 27,315
-----------
Total expenses 789,233
Less expenses paid indirectly (3,216)
-----------
Net expenses 786,017
========================================================================================
Net Investment Income 2,845,074
========================================================================================
Realized and Unrealized Gain (Loss) Net realized gain (loss) on:
Investments 7,378,289
Foreign currency transactions (59,198)
-----------
Net realized gain 7,319,091
- ----------------------------------------------------------------------------------------
Net change in unrealized appreciation or depreciation on:
Investments 3,779,741
Translation of assets and liabilities denominated in foreign currencies (224,762)
-----------
Net change 3,554,979
-----------
Net realized and unrealized gain 10,874,070
========================================================================================
Net Increase in Net Assets Resulting from Operations $13,719,144
===========
</TABLE>
See accompanying Notes to Financial Statements.
22 LifeSpan Balanced Portfolio
<PAGE>
- --------------------------------------------------------------------------------
Statements of Changes in Net Assets
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Year Ended December 31,
1999 1998
<S> <C> <C>
================================================================================================================
Operations
Net investment income $ 2,845,074 $ 2,627,566
- ----------------------------------------------------------------------------------------------------------------
Net realized gain (loss) 7,319,091 (948,884)
- ----------------------------------------------------------------------------------------------------------------
Net change in unrealized appreciation or depreciation 3,554,979 2,762,286
----------- -----------
Net increase in net assets resulting from operations 13,719,144 4,440,968
================================================================================================================
Dividends and/or Distributions to Shareholders
Dividends from net investment income (2,600,510) (1,965,841)
- ----------------------------------------------------------------------------------------------------------------
Distributions from net realized gain -- (2,467,048)
================================================================================================================
Capital Stock Transactions
Net increase (decrease) in net assets resulting from capital stock transactions (362,950) 17,172,548
================================================================================================================
Net Assets
Total increase 10,755,684 17,180,627
- ----------------------------------------------------------------------------------------------------------------
Beginning of period 85,873,410 68,692,783
----------- -----------
End of period (including undistributed net investment
income of $2,937,258 and $2,595,467, respectively) $96,629,094 $85,873,410
=========== ===========
</TABLE>
See accompanying Notes to Financial Statements.
LifeSpan Balanced Portfolio 23
<PAGE>
- --------------------------------------------------------------------------------
Financial Highlights
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Year Ended December 31,
1999 1998 1997 1996(1) 1995(2)
<S> <C> <C> <C> <C> <C>
==============================================================================================================================
Per Share Operating Data
Net asset value, beginning of period $1.28 $1.28 $1.18 $1.05 $1.00
- ------------------------------------------------------------------------------------------------------------------------------
Income from investment operations:
Net investment income .04 .04 .04 .03 .01
Net realized and unrealized gain .16 .04 .10 .11 .05
- ------------------------------------------------------------------------------------------------------------------------------
Total income from investment operations .20 .08 .14 .14 .06
- ------------------------------------------------------------------------------------------------------------------------------
Dividends and/or distributions to shareholders:
Dividends from net investment income (.04) (.04) (.03) (.01) (.01)
Distributions from net realized gain -- (.04) (.01) -- --
- ------------------------------------------------------------------------------------------------------------------------------
Total dividends and/or distributions to shareholders (.04) (.08) (.04) (.01) (.01)
- ------------------------------------------------------------------------------------------------------------------------------
Net asset value, end of period $1.44 $1.28 $1.28 $1.18 $1.05
===== ===== ===== ===== =====
==============================================================================================================================
Total Return, at Net Asset Value(3) 16.11% 6.17% 12.20% 13.38% 6.08%
==============================================================================================================================
Ratios/Supplemental Data
Net assets, end of period (in thousands) $96,629 $85,873 $68,693 $51,336 $35,467
- ------------------------------------------------------------------------------------------------------------------------------
Average net assets (in thousands) $86,728 $76,384 $59,388 $41,847 $33,925(4)
- ------------------------------------------------------------------------------------------------------------------------------
Ratios to average net assets: (5)
Net investment income 3.28% 3.44% 3.44% 3.34% 3.08%
Expenses 0.91% 0.93%(6) 0.97%(6) 1.17%(6) 1.50%(6)
- ------------------------------------------------------------------------------------------------------------------------------
Portfolio turnover rate(7) 73% 58% 57% 70% 40%
</TABLE>
1. On March 1, 1996, OppenheimerFunds, Inc. became the investment advisor to the
Fund.
2. For the period from September 1, 1995 (commencement of operations) to
December 31, 1995.
3. Assumes a $1,000 hypothetical initial investment on the business day before
the first day of the fiscal period (or commencement of operations), with all
dividends and distributions reinvested in additional shares on the reinvestment
date, and redemption at the net asset value calculated on the last business day
of the fiscal period. Total returns are not annualized for periods of less than
one full year. Total return information does not reflect expenses that apply at
the separate account level or to related insurance products. Inclusion of these
charges would reduce the total return figures for all periods shown.
4. This information is not covered by the auditors' opinion.
5. Annualized for periods less than one full year.
6. Expense ratio has not been grossed up to reflect the effect of expenses paid
indirectly.
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 December 31, 1999 were $58,110,807 and $57,401,150, respectively.
See accompanying Notes to Financial Statements.
24 LifeSpan Balanced Portfolio
<PAGE>
- --------------------------------------------------------------------------------
Notes to Financial Statements
- --------------------------------------------------------------------------------
================================================================================
1. Significant Accounting Policies
LifeSpan Balanced Portfolio (the Fund) is a series of Panorama Series Fund, Inc.
(the Company) which is registered under the Investment Company Act of 1940, as
amended, as a diversified, open-end management investment company. The Fund's
investment objective is to seek a blend of capital appreciation and income by
investing in a strategically allocated portfolio of stocks and bonds, with a
slightly stronger emphasis on stocks. The Fund's investment advisor is
OppenheimerFunds, Inc. (the Manager). Shares of the Fund are sold only to
separate accounts of life insurance companies, a majority of such shares are
held by separate accounts of Massachusetts Mutual Life Insurance Co., an
affiliate of the investment advisor. The following is a summary of significant
accounting policies consistently followed by the Fund.
- --------------------------------------------------------------------------------
Securities Valuation. Portfolio securities are valued at the close of the New
York Stock Exchange on each trading day. Listed and unlisted securities for
which such information is regularly reported are valued at the last sale price
of the day or, in the absence of sales, at values based on the closing bid or
the last sale price on the prior trading day. Long-term and short-term
"non-money market" debt securities are valued by a portfolio pricing service
approved by the Board of Directors. Such securities which cannot be valued by an
approved portfolio pricing service are valued using dealer-supplied valuations
provided the Manager is satisfied that the firm rendering the quotes is reliable
and that the quotes reflect current market value, or are valued under
consistently applied procedures established by the Board of Directors to
determine fair value in good faith. Short-term "money market type" debt
securities having a remaining maturity of 60 days or less are valued at cost (or
last determined market value) adjusted for amortization to maturity of any
premium or discount. Foreign currency 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.
Options are valued based upon the last sale price on the principal exchange on
which the option is traded or, in the absence of any transactions that day, the
value is based upon the last sale price on the prior trading date if it is
within the spread between the closing bid and asked prices. If the last sale
price is outside the spread, the closing bid is used.
- --------------------------------------------------------------------------------
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 December 31, 1999, securities with an
aggregate market value of $13,625, representing 0.01% of the Fund's net assets,
were in default.
- --------------------------------------------------------------------------------
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.
- --------------------------------------------------------------------------------
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.
LifeSpan Balanced Portfolio 25
<PAGE>
- --------------------------------------------------------------------------------
Notes to Financial Statements (Continued)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
1. Significant Accounting Policies (continued)
Dividends and Distributions to Shareholders. Dividends and distributions to
shareholders, which are determined in accordance with income tax regulations,
are recorded on the ex-dividend date.
- --------------------------------------------------------------------------------
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.
The Fund adjusts the classification of distributions to shareholders to
reflect the differences between financial statement amounts and distributions
determined in accordance with income tax regulations. Accordingly, during the
year ended December 31, 1999, amounts have been reclassified to reflect an
increase in undistributed net investment income of $97,227. Accumulated net
realized gain on investments was decreased by the same amount.
- --------------------------------------------------------------------------------
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. Certain dividends from foreign
securities will be recorded as soon as the Fund is informed of the dividend if
such information is obtained subsequent to the ex-dividend 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>
Year Ended December 31, 1999 Year Ended December 31, 1998
-------------------------------- -------------------------------
Shares Amount Shares Amount
<S> <C> <C> <C> <C>
- --------------------------------------------------------------------------------------------------------------------------------
Sold 5,787,975 $ 7,373,964 14,229,457 $17,733,908
Dividends and/or distributions reinvested 2,131,566 2,600,510 3,436,348 4,432,889
Redeemed (8,095,447) (10,337,424) (4,001,987) (4,994,249)
---------- ----------- ---------- -----------
Net increase (decrease) (175,906) $ (362,950) 13,663,818 $17,172,548
========== =========== ========== ===========
</TABLE>
================================================================================
3. Unrealized Gains and Losses on Securities
As of December 31, 1999, net unrealized appreciation on securities of
$13,740,884 was composed of gross appreciation of $18,486,337, and gross
depreciation of $4,745,453.
26 LifeSpan Balanced Portfolio
<PAGE>
- --------------------------------------------------------------------------------
Notes to Financial Statements (Continued)
- --------------------------------------------------------------------------------
================================================================================
4. Management Fees and Other Transactions with Affiliates
Management Fees. Management fees paid to the Manager were in accordance with the
investment advisory agreement with the Fund. The annual fees are 0.85% of the
Fund's first $250 million of average daily net assets and 0.75% of average daily
net assets over $250 million. The Fund's management fee for the year ended
December 31, 1999, was 0.85% of average annual net assets.
- --------------------------------------------------------------------------------
Accounting 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.
- --------------------------------------------------------------------------------
Transfer Agent Fees. 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 for cost.
================================================================================
5. Foreign Currency Contracts
A foreign currency 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 contracts for operational purposes and to seek to protect against
adverse exchange rate fluctuations. 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 December 31, 1999, investments in securities included issues that are
illiquid. 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 December 31, 1999, was $1,370,074,
which represents 1.42% of the Fund's net assets.
LifeSpan Balanced Portfolio 27
<PAGE>
- --------------------------------------------------------------------------------
Independent Auditors' Report
- --------------------------------------------------------------------------------
================================================================================
To the Board of Directors and Shareholders of LifeSpan Balanced Portfolio:
We have audited the accompanying statement of assets and liabilities, including
the statement of investments, of LifeSpan Balanced Portfolio (which is a series
of Panorama Series Fund, Inc.) as of December 31, 1999, the related statement of
operations for the year then ended, the statements of changes in net assets for
the years ended December 31, 1999 and 1998 and the financial highlights for the
period January 1, 1996 to December 31, 1999. These financial statements and
financial highlights are the responsibility of the Fund's management. Our
responsibility is to express an opinion on these financial statements and
financial highlights based on our audits. The financial highlights for the
period September 1, 1995, to December 31, 1995, were audited by other auditors
whose report dated February 15, 1996, expressed an unqualified opinion on this
information.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of securities owned as of
December 31, 1999, by correspondence with the custodian and brokers; where
confirmations were not received from brokers, we performed other auditing
procedures. An audit also includes assessing the accounting principles used and
significant estimates made by management, as well as evaluating the overall
financial statement presentation. We believe that our audits provide a
reasonable basis for our opinion.
In our opinion, such financial statements and financial highlights
present fairly, in all material respects, the financial position of LifeSpan
Balanced Portfolio as of December 31, 1999, the results of its operations, the
changes in its net assets, and the financial highlights for the respective
stated periods, in conformity with generally accepted accounting principles.
Deloitte & Touche LLP
Denver, Colorado
January 24, 2000
28 LifeSpan Balanced Portfolio
<PAGE>
- --------------------------------------------------------------------------------
Federal Income Tax Information (Unaudited)
- --------------------------------------------------------------------------------
================================================================================
In early 2000 shareholders will receive information regarding all dividends and
distributions paid to them by the Fund during calendar year 1999. Regulations of
the U.S. Treasury Department require the Fund to report this information to the
Internal Revenue Service.
Dividends paid by the Fund during the fiscal year ended December 31,
1999 which are not designated as capital gain distributions should be multiplied
by 7.90% to arrive at the net amount eligible for the corporate
dividend-received deduction.
The foregoing information is presented to assist shareholders in
reporting distributions received from the Fund to the Internal Revenue Service.
Because of the complexity of the federal regulations which may affect your
individual tax return and the many variations in state and local tax
regulations, we recommend that you consult your tax advisor for specific
guidance.
LifeSpan Balanced Portfolio 29
<PAGE>
- --------------------------------------------------------------------------------
LifeSpan Balanced Portfolio
- --------------------------------------------------------------------------------
A Series of Panorama Series Fund, Inc.
<TABLE>
<S> <C>
=====================================================================================
Officers and Directors James C. Swain, Director and Chairman of the Board
Bridget A. Macaskill, President
William H. Armstrong, Director
Robert G. Avis, Director
William A. Baker, Director
Jon S. Fossel, Director
Sam Freedman, Director
Raymond J. Kalinowski, Director
C. Howard Kast, Director
Robert M. Kirchner, Director
Ned M. Steel, Director
Peter M. Antos, Vice President
George Evans, Vice President
Alan Gilston, Vice President
John Kowalski, Vice President
Stephen F. Libera, Vice President
David P. Negri, Vice President
Thomas P. Reedy, Vice President
Michael C. Strathearn, Vice President
Kenneth B. White, Vice President
Arthur J. Zimmer, Vice President
Andrew J. Donohue, Vice President and Secretary
Brian W. Wixted, Treasurer
Robert G. Zack, Assistant Secretary
Robert J. Bishop, Assistant Treasurer
Scott T. Farrar, Assistant Treasurer
=====================================================================================
Investment Advisor OppenheimerFunds, Inc.
=====================================================================================
Transfer Agent OppenheimerFunds Services
=====================================================================================
Custodian of Portfolio Securities The Bank of New York
=====================================================================================
Independent Auditors Deloitte & Touche LLP
=====================================================================================
Legal Counsel Myer, Swanson, Adams & Wolf, P.C.
This is a copy of a report to shareholders of
LifeSpan Balanced Portfolio. This report must
be preceded or accompanied by a Prospectus of
LifeSpan Balanced Portfolio. For material
information concerning the Fund, see the
Prospectus.
Shares of Oppenheimer funds are not deposits or
obligations of any bank, are not guaranteed by
any bank, are not insured by the FDIC or any
other agency, and involve investment risks,
including the possible loss of the principal
amount invested.
</TABLE>
30 LifeSpan Balanced Portfolio
