Semiannual Report June 30, 2000
LifeSpan
Balanced Portfolio
A Series of Panorama Series Fund, Inc.
[logo]OppenheimerFunds(R)
The Right Way to Invest
<PAGE>
Statement of Investments June 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
Market Value
Shares Note 1
======================================================================================================================
<S> <C> <C>
Common Stocks--57.0%
----------------------------------------------------------------------------------------------------------------------
Basic Materials--1.9%
----------------------------------------------------------------------------------------------------------------------
Chemicals--0.8%
Air Products & Chemicals, Inc. 3,100 $ 95,519
----------------------------------------------------------------------------------------------------------------------
Dexter Corp. 4,700 225,600
----------------------------------------------------------------------------------------------------------------------
Dow Chemical Co. 3,000 90,562
----------------------------------------------------------------------------------------------------------------------
Du Pont (E.I.) de Nemours & Co. 2,500 109,375
----------------------------------------------------------------------------------------------------------------------
Fuji Photo Film Co. 4,000 164,075
----------------------------------------------------------------------------------------------------------------------
IMC Global, Inc. 2,834 36,842
----------------------------------------------------------------------------------------------------------------------
Rohm & Haas Co. 3,000 103,500
----------
825,473
----------------------------------------------------------------------------------------------------------------------
Metals--0.6%
Broken Hill Proprietary Co. Ltd. 14,000 166,011
----------------------------------------------------------------------------------------------------------------------
Carpenter Technology Corp. 3,600 76,050
----------------------------------------------------------------------------------------------------------------------
Shaw Group, Inc. (The)(1) 7,000 329,875
----------
571,936
----------------------------------------------------------------------------------------------------------------------
Paper--0.5%
Buhrmann NV 10,217 293,331
----------------------------------------------------------------------------------------------------------------------
Georgia Pacific Corp. 1,500 39,375
----------------------------------------------------------------------------------------------------------------------
Georgia Pacific Group/Timber Group 2,300 49,737
----------------------------------------------------------------------------------------------------------------------
Louisiana-Pacific Corp. 200 2,175
----------------------------------------------------------------------------------------------------------------------
Weyerhaeuser Co. 3,700 159,100
----------
543,718
----------------------------------------------------------------------------------------------------------------------
Capital Goods--7.2%
----------------------------------------------------------------------------------------------------------------------
Aerospace/Defense--0.9%
Boeing Co. 3,500 146,344
----------------------------------------------------------------------------------------------------------------------
General Dynamics Corp. 8,900 465,025
----------------------------------------------------------------------------------------------------------------------
L-3 Communications Holdings, Inc.(1) 1,000 57,062
----------------------------------------------------------------------------------------------------------------------
Northrop Grumman Corp. 3,000 198,750
----------
867,181
----------------------------------------------------------------------------------------------------------------------
Electrical Equipment--1.5%
ABB Ltd. 850 102,062
----------------------------------------------------------------------------------------------------------------------
Amphenol Corp., Cl. A(1) 4,600 304,462
----------------------------------------------------------------------------------------------------------------------
AVX Corp. 1,400 32,112
----------------------------------------------------------------------------------------------------------------------
CommScope, Inc.(1) 1,200 49,200
----------------------------------------------------------------------------------------------------------------------
Integrated Device Technology, Inc.(1) 2,000 119,750
----------------------------------------------------------------------------------------------------------------------
Kemet Corp.(1) 8,600 215,537
----------------------------------------------------------------------------------------------------------------------
Rockwell International Corp. 2,700 85,050
----------------------------------------------------------------------------------------------------------------------
Siemens AG 1,500 227,188
----------------------------------------------------------------------------------------------------------------------
SPX Corp.(1) 2,500 302,344
----------------------------------------------------------------------------------------------------------------------
Vishay Intertechnology, Inc.(1) 1,800 68,287
----------
1,505,992
2 LifeSpan Balanced Portfolio
<PAGE>
Statement of Investments (Unaudited) (Continued)
Market Value
Shares Note 1
----------------------------------------------------------------------------------------------------------------------
Industrial Services--3.0%
Adecco SA 65 $ 55,402
----------------------------------------------------------------------------------------------------------------------
Capita Group plc 16,000 391,676
----------------------------------------------------------------------------------------------------------------------
Forrester Research, Inc.(1) 6,800 495,125
----------------------------------------------------------------------------------------------------------------------
Hays plc 40,000 223,149
----------------------------------------------------------------------------------------------------------------------
Mobile Mini, Inc.(1) 5,000 110,312
----------------------------------------------------------------------------------------------------------------------
New England Business Service, Inc. 5,300 86,125
----------------------------------------------------------------------------------------------------------------------
Newpark Resources, Inc.(1) 15,000 141,562
----------------------------------------------------------------------------------------------------------------------
Professional Detailing, Inc.(1) 4,100 139,656
----------------------------------------------------------------------------------------------------------------------
Quanta Services, Inc.(1) 4,650 255,750
----------------------------------------------------------------------------------------------------------------------
Secom Co. Ltd. 4,000 292,992
----------------------------------------------------------------------------------------------------------------------
Securitas AB, B Shares 8,950 190,816
----------------------------------------------------------------------------------------------------------------------
Source Information Management Co. (The)(1) 6,300 96,075
----------------------------------------------------------------------------------------------------------------------
Tetra Tech, Inc.(1) 7,508 171,745
----------------------------------------------------------------------------------------------------------------------
United Rentals, Inc.(1) 10,000 171,250
----------------------------------------------------------------------------------------------------------------------
Valassis Communications, Inc.(1) 1,200 45,750
----------------------------------------------------------------------------------------------------------------------
Waste Connections, Inc.(1) 5,500 108,625
----------------------------------------------------------------------------------------------------------------------
Zomax, Inc.(1) 7,600 99,750
----------
3,075,760
----------------------------------------------------------------------------------------------------------------------
Manufacturing--1.8%
Avery-Dennison Corp. 800 53,700
----------------------------------------------------------------------------------------------------------------------
Ball Corp. 800 25,750
----------------------------------------------------------------------------------------------------------------------
BBA Group plc 21,000 137,659
----------------------------------------------------------------------------------------------------------------------
Brambles Industries Ltd. 5,000 154,111
----------------------------------------------------------------------------------------------------------------------
Briggs & Stratton Corp. 1,200 41,100
----------------------------------------------------------------------------------------------------------------------
Cooper Industries, Inc. 1,700 55,356
----------------------------------------------------------------------------------------------------------------------
Crane Co. 4,400 106,975
----------------------------------------------------------------------------------------------------------------------
Credence Systems Corp.(1) 7,000 386,312
----------------------------------------------------------------------------------------------------------------------
Deere & Co. 1,000 37,000
----------------------------------------------------------------------------------------------------------------------
Dover Corp. 4,000 162,250
----------------------------------------------------------------------------------------------------------------------
Eaton Corp. 500 33,500
----------------------------------------------------------------------------------------------------------------------
Honeywell International, Inc. 2,500 84,219
----------------------------------------------------------------------------------------------------------------------
Kulicke & Soffa Industries, Inc.(1) 1,300 77,187
----------------------------------------------------------------------------------------------------------------------
Miller (Herman), Inc. 1,900 49,162
----------------------------------------------------------------------------------------------------------------------
Minnesota Mining & Manufacturing Co. 3,700 305,250
----------------------------------------------------------------------------------------------------------------------
Parker-Hannifin Corp. 1,300 44,525
----------------------------------------------------------------------------------------------------------------------
ROHN Industries, Inc.(1) 12,000 50,625
----------------------------------------------------------------------------------------------------------------------
Textron, Inc. 700 38,019
----------------------------------------------------------------------------------------------------------------------
United Technologies Corp. 400 23,550
----------
1,866,250
LifeSpan Balanced Portfolio 3
<PAGE>
Statement of Investments (Unaudited) (Continued)
Market Value
Shares Note 1
----------------------------------------------------------------------------------------------------------------------
Communication Services--5.1%
----------------------------------------------------------------------------------------------------------------------
Telecommunications: Long Distance--2.6%
ALLTEL Corp. 4,000 $ 247,750
----------------------------------------------------------------------------------------------------------------------
AT&T Corp. 4,000 126,500
----------------------------------------------------------------------------------------------------------------------
Deutsche Telekom AG 6,500 372,608
----------------------------------------------------------------------------------------------------------------------
France Telecom SA 1,800 252,610
----------------------------------------------------------------------------------------------------------------------
Globix Corp.(1)(2) 1,408 40,831
----------------------------------------------------------------------------------------------------------------------
KPN NV 5,442 244,402
----------------------------------------------------------------------------------------------------------------------
Matsushita Communication Industrial Co. 2,000 234,015
----------------------------------------------------------------------------------------------------------------------
Microcell Telecommunications, Inc., Cl. B(1) 1,072 38,726
----------------------------------------------------------------------------------------------------------------------
NEC Corp. 4,000 125,892
----------------------------------------------------------------------------------------------------------------------
Nippon Comsys Corp. 9,000 191,815
----------------------------------------------------------------------------------------------------------------------
Spirent plc(1) 54,000 363,381
----------------------------------------------------------------------------------------------------------------------
Telefonaktiebolaget LM Ericsson AB, Cl. B 20,000 397,902
----------
2,636,432
----------------------------------------------------------------------------------------------------------------------
Telephone Utilities--1.3%
BellSouth Corp. 9,000 383,625
----------------------------------------------------------------------------------------------------------------------
Energis plc(1) 5,000 187,572
----------------------------------------------------------------------------------------------------------------------
Hellenic Telecommunication Organization SA 6,400 156,799
----------------------------------------------------------------------------------------------------------------------
SBC Communications, Inc. 4,900 211,925
----------------------------------------------------------------------------------------------------------------------
Swisscom AG 215 74,703
----------------------------------------------------------------------------------------------------------------------
Telefonica SA(1) 14,323 308,926
----------
1,323,550
----------------------------------------------------------------------------------------------------------------------
Telecommunications: Wireless--1.2%
Nokia Oyj 9,600 491,877
----------------------------------------------------------------------------------------------------------------------
NTT Docomo, Inc. 12 325,504
----------------------------------------------------------------------------------------------------------------------
Price Communications Corp.(1) 12,360 291,232
----------------------------------------------------------------------------------------------------------------------
Telecom Italia Mobile SpA 11,000 112,827
----------
1,221,440
----------------------------------------------------------------------------------------------------------------------
Consumer Cyclicals--4.4%
----------------------------------------------------------------------------------------------------------------------
Autos & Housing--0.8%
Bridgestone Corp. 7,000 148,528
----------------------------------------------------------------------------------------------------------------------
Cheung Kong (Holdings) Ltd. 11,000 121,708
----------------------------------------------------------------------------------------------------------------------
Fortune Brands, Inc. 1,200 27,675
----------------------------------------------------------------------------------------------------------------------
Genuine Parts Co. 5,600 112,000
----------------------------------------------------------------------------------------------------------------------
Lafarge SA 1,700 132,651
----------------------------------------------------------------------------------------------------------------------
Overseas Union Enterprise Ltd. 17,500 42,510
----------------------------------------------------------------------------------------------------------------------
Stanley Works (The) 7,000 166,250
----------------------------------------------------------------------------------------------------------------------
Vulcan Materials Co. 900 38,419
----------
789,741
----------------------------------------------------------------------------------------------------------------------
Consumer Services--0.2%
Dun & Bradstreet Corp. 5,000 143,125
----------------------------------------------------------------------------------------------------------------------
Harte-Hanks, Inc. 1,200 30,000
----------
173,125
4 LifeSpan Balanced Portfolio
<PAGE>
Statement of Investments (Unaudited) (Continued)
Market Value
Shares Note 1
----------------------------------------------------------------------------------------------------------------------
Leisure & Entertainment--0.3%
Marriott International, Inc., Cl. A 4,300 $ 155,069
----------------------------------------------------------------------------------------------------------------------
Mattel, Inc. 8,100 106,819
----------
261,888
----------------------------------------------------------------------------------------------------------------------
Media--1.3%
Central Newspapers, Inc., Cl. A 900 56,925
----------------------------------------------------------------------------------------------------------------------
Deluxe Corp. 4,800 113,100
----------------------------------------------------------------------------------------------------------------------
Gannett Co., Inc. 2,200 131,587
----------------------------------------------------------------------------------------------------------------------
Harcourt General, Inc. 2,800 152,250
----------------------------------------------------------------------------------------------------------------------
Knight-Ridder, Inc. 4,000 212,750
----------------------------------------------------------------------------------------------------------------------
Modern Times Group, Cl. B(1) 3,500 167,598
----------------------------------------------------------------------------------------------------------------------
Tweeter Home Entertainment Group, Inc.(1) 7,000 212,625
----------------------------------------------------------------------------------------------------------------------
VNU-Verenigde Nederlandse Uitgeverbedrijven Verenigd Bezit 5,030 260,857
----------
1,307,692
----------------------------------------------------------------------------------------------------------------------
Retail: General--0.6%
Family Dollar Stores, Inc. 700 13,694
----------------------------------------------------------------------------------------------------------------------
Federated Department Stores, Inc.(1) 1,000 33,750
----------------------------------------------------------------------------------------------------------------------
Ito-Yokado Co. Ltd. 2,000 120,599
----------------------------------------------------------------------------------------------------------------------
May Department Stores Co. 1,200 28,800
----------------------------------------------------------------------------------------------------------------------
Pinault-Printemps-Redoute SA 1,000 223,066
----------------------------------------------------------------------------------------------------------------------
Sears Roebuck & Co. 4,900 159,862
----------
579,771
----------------------------------------------------------------------------------------------------------------------
Retail: Specialty--1.0%
BJ's Wholesale Club, Inc.(1) 700 23,100
----------------------------------------------------------------------------------------------------------------------
Brown Shoe Co., Inc. 7,900 102,700
----------------------------------------------------------------------------------------------------------------------
Insight Enterprises, Inc.(1) 6,362 377,346
----------------------------------------------------------------------------------------------------------------------
Kingfisher plc 14,000 127,486
----------------------------------------------------------------------------------------------------------------------
RadioShack Corp. 1,000 47,375
----------------------------------------------------------------------------------------------------------------------
Ross Stores, Inc. 600 10,237
----------------------------------------------------------------------------------------------------------------------
Sherwin-Williams Co. 8,000 169,500
----------------------------------------------------------------------------------------------------------------------
Whitehall Jewellers, Inc.(1) 8,100 150,862
----------
1,008,606
----------------------------------------------------------------------------------------------------------------------
Textile/Apparel & Home Furnishings--0.2%
Jones Apparel Group, Inc.(1) 600 14,100
----------------------------------------------------------------------------------------------------------------------
Linens 'N Things, Inc.(1) 5,800 157,325
----------------------------------------------------------------------------------------------------------------------
Liz Claiborne, Inc. 700 24,675
----------------------------------------------------------------------------------------------------------------------
Shaw Industries, Inc. 3,000 37,500
----------
233,600
----------------------------------------------------------------------------------------------------------------------
Consumer Staples--2.9%
----------------------------------------------------------------------------------------------------------------------
Beverages--0.2%
Adolph Coors Co., Cl. B 700 42,350
----------------------------------------------------------------------------------------------------------------------
Anheuser-Busch Cos., Inc. 1,800 134,437
----------
176,787
----------------------------------------------------------------------------------------------------------------------
Broadcasting--0.1%
Citadel Communications Corp.(1) 3,600 125,775
LifeSpan Balanced Portfolio 5
<PAGE>
Statement of Investments (Unaudited) (Continued)
Market Value
Shares Note 1
----------------------------------------------------------------------------------------------------------------------
Education--0.2%
Education Management Corp.(1) 9,000 $162,562
----------------------------------------------------------------------------------------------------------------------
Entertainment--0.4%
Brinker International, Inc.(1) 2,900 84,825
----------------------------------------------------------------------------------------------------------------------
Darden Restaurants, Inc. 3,900 63,375
----------------------------------------------------------------------------------------------------------------------
McDonald's Corp. 900 29,644
----------------------------------------------------------------------------------------------------------------------
P.F. Chang's China Bistro, Inc.(1) 6,600 210,787
----------------------------------------------------------------------------------------------------------------------
Wendy's International, Inc. 800 14,250
--------
402,881
----------------------------------------------------------------------------------------------------------------------
Food--0.7%
Bestfoods 2,200 152,350
----------------------------------------------------------------------------------------------------------------------
ConAgra, Inc. 4,500 85,781
----------------------------------------------------------------------------------------------------------------------
Heinz (H.J.) Co. 1,400 61,250
----------------------------------------------------------------------------------------------------------------------
Hormel Foods Corp. 600 10,087
----------------------------------------------------------------------------------------------------------------------
International Home Foods, Inc.(1) 1,600 33,500
----------------------------------------------------------------------------------------------------------------------
Keebler Foods Co. 1,300 48,262
----------------------------------------------------------------------------------------------------------------------
Kerry Group plc, Cl. A 9,000 118,109
----------------------------------------------------------------------------------------------------------------------
Nestle SA 75 150,590
----------------------------------------------------------------------------------------------------------------------
Sara Lee Corp. 2,300 44,419
--------
704,348
----------------------------------------------------------------------------------------------------------------------
Food & Drug Retailers--0.5%
Express Scripts, Inc., Cl. A(1) 2,500 155,312
----------------------------------------------------------------------------------------------------------------------
Kroger Co.(1) 8,400 185,325
----------------------------------------------------------------------------------------------------------------------
SUPERVALU, Inc. 3,600 68,625
----------------------------------------------------------------------------------------------------------------------
William Morrison Supermarkets plc 66,000 140,884
--------
550,146
----------------------------------------------------------------------------------------------------------------------
Household Goods--0.8%
Blyth, Inc. 3,600 106,200
----------------------------------------------------------------------------------------------------------------------
Kimberly-Clark Corp. 6,000 344,250
----------------------------------------------------------------------------------------------------------------------
L'OREAL 150 130,418
----------------------------------------------------------------------------------------------------------------------
Procter & Gamble Co. 4,100 234,725
--------
815,593
----------------------------------------------------------------------------------------------------------------------
Energy--3.6%
----------------------------------------------------------------------------------------------------------------------
Energy Services--0.4%
Anadarko Petroleum Corp. 800 39,450
----------------------------------------------------------------------------------------------------------------------
ENSCO International, Inc. 1,500 53,719
----------------------------------------------------------------------------------------------------------------------
Global Marine, Inc.(1) 2,800 78,925
----------------------------------------------------------------------------------------------------------------------
St. Mary Land & Exploration Co. 5,000 210,312
--------
382,406
----------------------------------------------------------------------------------------------------------------------
Oil: Domestic--1.7%
Apache Corp. 600 35,287
----------------------------------------------------------------------------------------------------------------------
Burlington Resources, Inc. 1,000 38,250
----------------------------------------------------------------------------------------------------------------------
Chevron Corp. 2,800 237,475
6 LifeSpan Balanced Portfolio
<PAGE>
Statement of Investments (Unaudited) (Continued)
Market Value
Shares Note 1
----------------------------------------------------------------------------------------------------------------------
Oil: Domestic (continued)
Conoco, Inc., Cl. A 2,300 $ 50,600
----------------------------------------------------------------------------------------------------------------------
Exxon Mobil Corp. 10,092 792,222
----------------------------------------------------------------------------------------------------------------------
Murphy Oil Corp. 3,100 184,256
----------------------------------------------------------------------------------------------------------------------
Occidental Petroleum Corp. 5,400 113,738
----------------------------------------------------------------------------------------------------------------------
Phillips Petroleum Co. 3,200 162,200
----------------------------------------------------------------------------------------------------------------------
Texaco, Inc. 2,200 117,150
----------
1,731,178
----------------------------------------------------------------------------------------------------------------------
Oil: International--1.5%
Abraxas Petroleum Corp.(1) 5,961 8,942
----------------------------------------------------------------------------------------------------------------------
BP Amoco plc, ADR 12,362 699,226
----------------------------------------------------------------------------------------------------------------------
Royal Dutch Petroleum Co., NY Shares 2,300 141,594
----------------------------------------------------------------------------------------------------------------------
Shell Transport & Trading Co. plc 34,000 283,871
----------------------------------------------------------------------------------------------------------------------
Total Fina Elf SA, B Shares 1,700 261,717
----------------------------------------------------------------------------------------------------------------------
Total Fina Elf SA, Sponsored ADR 1,100 84,494
----------
1,479,844
----------------------------------------------------------------------------------------------------------------------
Financial--9.8%
----------------------------------------------------------------------------------------------------------------------
Banks--3.4%
Banco Bilbao Vizcaya Argentaria, SA 10,000 150,021
----------------------------------------------------------------------------------------------------------------------
Banco Popular Espanol SA 3,600 111,811
----------------------------------------------------------------------------------------------------------------------
Bank of America Corp. 5,800 249,400
----------------------------------------------------------------------------------------------------------------------
Bank of New York Co., Inc. (The) 1,300 60,450
----------------------------------------------------------------------------------------------------------------------
Bank of Scotland 13,214 125,729
----------------------------------------------------------------------------------------------------------------------
Bank One Corp. 3,300 87,656
----------------------------------------------------------------------------------------------------------------------
Bipop-Carire SpA 30,000 236,966
----------------------------------------------------------------------------------------------------------------------
BNP Paribas 1,800 173,928
----------------------------------------------------------------------------------------------------------------------
Chase Manhattan Corp. 5,550 255,647
----------------------------------------------------------------------------------------------------------------------
Credit Suisse Group 770 153,659
----------------------------------------------------------------------------------------------------------------------
DePfa Deutsche Pfandbriefbank AG (DePfa-Bank) 2,200 221,647
----------------------------------------------------------------------------------------------------------------------
First Union Corp. 4,200 104,213
----------------------------------------------------------------------------------------------------------------------
Firstar Corp. 900 18,956
----------------------------------------------------------------------------------------------------------------------
Fuji Bank Ltd. (The) 16,000 121,885
----------------------------------------------------------------------------------------------------------------------
Lloyds TSB Group plc 14,394 135,976
----------------------------------------------------------------------------------------------------------------------
Mellon Financial Corp. 7,500 273,281
----------------------------------------------------------------------------------------------------------------------
Nordbanken Holding AB 25,000 186,927
----------------------------------------------------------------------------------------------------------------------
Overseas Union Bank Ltd. 18,272 70,805
----------------------------------------------------------------------------------------------------------------------
PNC Financial Services Group 4,500 210,938
----------------------------------------------------------------------------------------------------------------------
Roslyn Bancorp, Inc. 1,600 26,575
----------------------------------------------------------------------------------------------------------------------
Sanwa Bank Ltd. (The) 11,000 87,954
----------------------------------------------------------------------------------------------------------------------
SunTrust Banks, Inc. 1,800 82,238
----------------------------------------------------------------------------------------------------------------------
UnionBanCal Corp. 4,200 77,963
----------------------------------------------------------------------------------------------------------------------
Wachovia Corp. 1,000 54,250
----------------------------------------------------------------------------------------------------------------------
Wells Fargo Co. 5,500 213,125
----------
3,492,000
LifeSpan Balanced Portfolio 7
<PAGE>
Statement of Investments (Unaudited) (Continued)
Market Value
Shares Note 1
----------------------------------------------------------------------------------------------------------------------
Diversified Financial--3.2%
AMBAC Financial Group, Inc. 700 $ 38,369
----------------------------------------------------------------------------------------------------------------------
American Express Co. 2,400 125,100
----------------------------------------------------------------------------------------------------------------------
Bear Stearns Cos., Inc. 500 20,813
----------------------------------------------------------------------------------------------------------------------
Cattles plc 30,000 111,272
----------------------------------------------------------------------------------------------------------------------
ChoicePoint, Inc.(1) 5,600 249,200
----------------------------------------------------------------------------------------------------------------------
Citigroup, Inc. 7,100 427,775
----------------------------------------------------------------------------------------------------------------------
Credit Saison Co. Ltd. 6,700 155,777
----------------------------------------------------------------------------------------------------------------------
Fannie Mae 2,900 151,344
----------------------------------------------------------------------------------------------------------------------
Franklin Resources, Inc. 900 27,338
----------------------------------------------------------------------------------------------------------------------
Freddie Mac 800 32,400
----------------------------------------------------------------------------------------------------------------------
Goldman Sachs Group, Inc. (The) 1,400 132,825
----------------------------------------------------------------------------------------------------------------------
ING Groep NV 2,538 172,251
----------------------------------------------------------------------------------------------------------------------
John Hancock Financial Services, Inc.(1) 2,400 56,850
----------------------------------------------------------------------------------------------------------------------
Lend Lease Corp. Ltd. 11,000 140,727
----------------------------------------------------------------------------------------------------------------------
Merrill Lynch & Co., Inc. 700 80,500
----------------------------------------------------------------------------------------------------------------------
Metris Cos., Inc. 6,600 165,825
----------------------------------------------------------------------------------------------------------------------
Morgan Stanley Dean Witter & Co. 2,100 174,825
----------------------------------------------------------------------------------------------------------------------
Nationwide Financial Services, Inc., Cl. A 500 16,438
----------------------------------------------------------------------------------------------------------------------
Nomura Securities Co. Ltd. 14,000 343,368
----------------------------------------------------------------------------------------------------------------------
PaineWebber Group, Inc. 600 27,300
----------------------------------------------------------------------------------------------------------------------
PMI Group, Inc. (The) 1,100 52,250
----------------------------------------------------------------------------------------------------------------------
Promise Co. Ltd. 3,400 269,288
----------------------------------------------------------------------------------------------------------------------
Reckson Associates Realty Corp., Cl. B 3,211 81,680
----------------------------------------------------------------------------------------------------------------------
Senior Housing Properties Trust 730 5,338
----------------------------------------------------------------------------------------------------------------------
Swire Pacific Ltd., Cl. B 200,000 162,919
----------
3,221,772
----------------------------------------------------------------------------------------------------------------------
Insurance--2.8%
ACE Ltd. 2,900 81,200
----------------------------------------------------------------------------------------------------------------------
Advance Paradigm, Inc.(1) 6,200 127,100
----------------------------------------------------------------------------------------------------------------------
Aegon NV 4,020 143,213
----------------------------------------------------------------------------------------------------------------------
Aegon NV 2,811 100,429
----------------------------------------------------------------------------------------------------------------------
Allianz AG 535 192,986
----------------------------------------------------------------------------------------------------------------------
Allmerica Financial Corp. 500 26,188
----------------------------------------------------------------------------------------------------------------------
Allstate Corp. 4,800 106,800
----------------------------------------------------------------------------------------------------------------------
American General Corp. 2,000 122,000
----------------------------------------------------------------------------------------------------------------------
American International Group, Inc. 1,100 129,250
----------------------------------------------------------------------------------------------------------------------
AXA Financial, Inc. 900 30,600
----------------------------------------------------------------------------------------------------------------------
AXA SA 1,300 205,620
----------------------------------------------------------------------------------------------------------------------
Chubb Corp. 2,200 135,300
----------------------------------------------------------------------------------------------------------------------
Cigna Corp. 1,700 158,950
----------------------------------------------------------------------------------------------------------------------
HSB Group, Inc. 3,750 116,719
8 LifeSpan Balanced Portfolio
<PAGE>
Statement of Investments (Unaudited) (Continued)
Market Value
Shares Note 1
----------------------------------------------------------------------------------------------------------------------
Insurance (continued)
Irish Life & Permanent plc 9,127 $ 77,255
----------------------------------------------------------------------------------------------------------------------
Jefferson-Pilot Corp. 3,500 197,531
----------------------------------------------------------------------------------------------------------------------
Lincoln National Corp. 5,600 202,300
----------------------------------------------------------------------------------------------------------------------
Manulife Financial Corp. 2,700 48,094
----------------------------------------------------------------------------------------------------------------------
Marsh & McLennan Cos., Inc. 1,000 104,438
----------------------------------------------------------------------------------------------------------------------
MetLife, Inc.(1) 10,000 210,625
----------------------------------------------------------------------------------------------------------------------
Radian Group, Inc. 1,200 62,100
----------------------------------------------------------------------------------------------------------------------
St. Paul Cos., Inc. 250 8,531
----------------------------------------------------------------------------------------------------------------------
XL Capital Ltd., Cl. A 5,600 303,100
----------
2,890,329
----------------------------------------------------------------------------------------------------------------------
Real Estate Investment Trusts--0.4%
Camden Property Trust 5,400 158,625
----------------------------------------------------------------------------------------------------------------------
Equity Office Properties Trust 4,045 111,490
----------------------------------------------------------------------------------------------------------------------
Healthcare Realty Trust, Inc. 5,366 91,557
----------------------------------------------------------------------------------------------------------------------
HRPT Properties Trust 7,300 44,713
----------
406,385
----------------------------------------------------------------------------------------------------------------------
Savings & Loans--0.0%
Washington Mutual, Inc. 1,300 37,538
----------------------------------------------------------------------------------------------------------------------
Healthcare--6.8%
----------------------------------------------------------------------------------------------------------------------
Healthcare/Drugs--4.7%
Abbott Laboratories 3,600 160,425
----------------------------------------------------------------------------------------------------------------------
American Home Products Corp. 2,500 146,875
----------------------------------------------------------------------------------------------------------------------
Bristol-Myers Squibb Co. 2,900 168,925
----------------------------------------------------------------------------------------------------------------------
Celgene Corp.(1) 11,100 653,513
----------------------------------------------------------------------------------------------------------------------
Gedeon Richter Ltd., GDR(3) 2,000 108,000
----------------------------------------------------------------------------------------------------------------------
Glaxo Wellcome plc 5,055 147,469
----------------------------------------------------------------------------------------------------------------------
HCA-Healthcare Corp. (The) 3,200 97,200
----------------------------------------------------------------------------------------------------------------------
Invitrogen Corp.(1) 2,200 165,447
----------------------------------------------------------------------------------------------------------------------
Johnson & Johnson 1,700 173,188
----------------------------------------------------------------------------------------------------------------------
Jones Pharma, Inc. 6,975 278,564
----------------------------------------------------------------------------------------------------------------------
King Pharmaceuticals, Inc.(1) 10,725 470,559
----------------------------------------------------------------------------------------------------------------------
Mallinckrodt, Inc. 3,900 169,406
----------------------------------------------------------------------------------------------------------------------
Merck & Co., Inc. 3,200 245,200
----------------------------------------------------------------------------------------------------------------------
Novartis AG 200 317,816
----------------------------------------------------------------------------------------------------------------------
Noven Pharmaceuticals, Inc.(1) 7,800 234,488
----------------------------------------------------------------------------------------------------------------------
Roche Holdings AG 20 195,314
----------------------------------------------------------------------------------------------------------------------
Sanofi-Synthelabo SA 6,000 287,005
----------------------------------------------------------------------------------------------------------------------
Schering AG 3,000 165,071
----------------------------------------------------------------------------------------------------------------------
SmithKline Beecham plc 15,069 197,332
----------------------------------------------------------------------------------------------------------------------
Takeda Chemical Industries Ltd. 3,000 197,344
----------------------------------------------------------------------------------------------------------------------
UnitedHealth Group, Inc. 1,800 154,350
----------
4,733,491
LifeSpan Balanced Portfolio 9
<PAGE>
Statement of Investments (Unaudited) (Continued)
Market Value
Shares Note 1
----------------------------------------------------------------------------------------------------------------------
Healthcare/Supplies & Services--2.1%
ArthroCare Corp.(1) 2,900 $ 154,425
----------------------------------------------------------------------------------------------------------------------
Baxter International, Inc. 2,100 147,656
----------------------------------------------------------------------------------------------------------------------
Cardinal Health, Inc. 2,200 162,800
----------------------------------------------------------------------------------------------------------------------
Fresenius AG, Preference 800 185,585
----------------------------------------------------------------------------------------------------------------------
Luxottica Group SpA, Sponsored ADR 20,000 243,750
----------------------------------------------------------------------------------------------------------------------
Molecular Devices Corp.(1) 4,300 297,506
----------------------------------------------------------------------------------------------------------------------
PacifiCare Health Systems, Inc.(1) 3,000 180,563
----------------------------------------------------------------------------------------------------------------------
SSL International plc 14,000 151,541
----------------------------------------------------------------------------------------------------------------------
Terumo Corp. 9,000 305,373
----------------------------------------------------------------------------------------------------------------------
WellPoint Health Networks, Inc.(1) 2,100 152,119
----------------------------------------------------------------------------------------------------------------------
Zoll Medical Corp.(1) 4,000 196,000
----------
2,177,318
----------------------------------------------------------------------------------------------------------------------
Technology--11.2%
----------------------------------------------------------------------------------------------------------------------
Computer Hardware--1.3%
Agilent Technologies, Inc.(1) 190 14,013
----------------------------------------------------------------------------------------------------------------------
Apple Computer, Inc.(1) 3,200 167,600
----------------------------------------------------------------------------------------------------------------------
Digital Lightwave, Inc.(1) 2,600 261,463
----------------------------------------------------------------------------------------------------------------------
Hewlett-Packard Co. 1,300 162,338
----------------------------------------------------------------------------------------------------------------------
International Business Machines Corp. 2,600 284,863
----------------------------------------------------------------------------------------------------------------------
Lexmark International Group, Inc., Cl. A 800 53,800
----------------------------------------------------------------------------------------------------------------------
SanDisk Corp.(1) 6,000 367,125
----------
1,311,202
----------------------------------------------------------------------------------------------------------------------
Computer Services--1.4%
Diamond Technology Partners, Inc.(1) 5,300 466,400
----------------------------------------------------------------------------------------------------------------------
First Data Corp. 3,600 178,650
----------------------------------------------------------------------------------------------------------------------
Getronics NV 12,041 186,411
----------------------------------------------------------------------------------------------------------------------
Intraware, Inc.(1) 4,400 70,675
----------------------------------------------------------------------------------------------------------------------
MedQuist, Inc.(1) 2,732 92,888
----------------------------------------------------------------------------------------------------------------------
Proxicom, Inc.(1) 4,800 229,800
----------------------------------------------------------------------------------------------------------------------
WebTrends Corp.(1) 4,600 177,963
----------
1,402,787
----------------------------------------------------------------------------------------------------------------------
Computer Software--2.6%
Actuate Corp.(1) 8,400 448,350
----------------------------------------------------------------------------------------------------------------------
Advanced Digital Information Corp.(1) 8,600 137,063
----------------------------------------------------------------------------------------------------------------------
Advent Software, Inc.(1) 7,300 470,850
----------------------------------------------------------------------------------------------------------------------
Computer Associates International, Inc. 1,600 81,900
----------------------------------------------------------------------------------------------------------------------
Great Plains Software, Inc.(1) 2,800 54,950
----------------------------------------------------------------------------------------------------------------------
Logica plc 16,000 378,838
----------------------------------------------------------------------------------------------------------------------
Mercury Interactive Corp.(1) 5,200 503,100
----------------------------------------------------------------------------------------------------------------------
Micromuse, Inc.(1) 3,200 529,550
----------------------------------------------------------------------------------------------------------------------
Symantec Corp.(1) 1,300 70,119
----------
2,674,720
10 LifeSpan Balanced Portfolio
<PAGE>
Statement of Investments (Unaudited) (Continued)
Market Value
Shares Note 1
----------------------------------------------------------------------------------------------------------------------
Communications Equipment--1.9%
ADC Telecommunications, Inc.(1) 1,500 $ 125,813
----------------------------------------------------------------------------------------------------------------------
Alcatel SA 3,500 230,495
----------------------------------------------------------------------------------------------------------------------
Ditech Communications Corp.(1) 3,000 283,688
----------------------------------------------------------------------------------------------------------------------
Extreme Networks, Inc.(1) 2,000 211,000
----------------------------------------------------------------------------------------------------------------------
Polycom, Inc.(1) 3,400 319,919
----------------------------------------------------------------------------------------------------------------------
Vodafone Group plc 184,980 747,710
----------
1,918,625
----------------------------------------------------------------------------------------------------------------------
Electronics--4.0%
Advanced Energy Industries, Inc.(1) 4,400 259,325
----------------------------------------------------------------------------------------------------------------------
Advanced Micro Devices, Inc.(1) 800 61,800
----------------------------------------------------------------------------------------------------------------------
ANADIGICS, Inc.(1) 3,600 122,625
----------------------------------------------------------------------------------------------------------------------
Anaren Microwave, Inc.(1) 6,900 905,517
----------------------------------------------------------------------------------------------------------------------
Cymer, Inc.(1) 4,700 224,425
----------------------------------------------------------------------------------------------------------------------
Cypress Semiconductor Corp.(1) 1,400 59,150
----------------------------------------------------------------------------------------------------------------------
Dallas Semiconductor Corp. 3,000 122,250
----------------------------------------------------------------------------------------------------------------------
Electrocomponents plc 20,000 204,377
----------------------------------------------------------------------------------------------------------------------
Hoshiden Corp. 10,000 425,311
----------------------------------------------------------------------------------------------------------------------
Hoya Corp. 4,000 359,151
----------------------------------------------------------------------------------------------------------------------
Intel Corp. 900 120,319
----------------------------------------------------------------------------------------------------------------------
Matsushita Electric Industrial Co.(1) 7,000 181,938
----------------------------------------------------------------------------------------------------------------------
National Semiconductor Corp.(1) 2,700 153,225
----------------------------------------------------------------------------------------------------------------------
Novellus Systems, Inc.(1) 1,600 90,500
----------------------------------------------------------------------------------------------------------------------
Sony Corp. 2,800 261,991
----------------------------------------------------------------------------------------------------------------------
Teradyne, Inc.(1) 1,200 88,200
----------------------------------------------------------------------------------------------------------------------
TranSwitch Corp.(1) 5,250 405,234
----------------------------------------------------------------------------------------------------------------------
Zebra Technologies Corp., Cl. A(1) 1,300 57,606
----------
4,102,944
----------------------------------------------------------------------------------------------------------------------
Transportation--0.5%
----------------------------------------------------------------------------------------------------------------------
Air Transportation--0.2%
Delta Air Lines, Inc. 1,000 50,563
----------------------------------------------------------------------------------------------------------------------
Japan Airport Terminal Co. Ltd. 13,000 115,618
----------
166,181
----------------------------------------------------------------------------------------------------------------------
Railroads & Truckers--0.3%
GATX Corp. 8,600 292,400
----------------------------------------------------------------------------------------------------------------------
Union Pacific Corp. 1,500 55,781
----------
348,181
----------------------------------------------------------------------------------------------------------------------
Utilities--3.6%
----------------------------------------------------------------------------------------------------------------------
Electric Utilities--2.3%
CLP Holdings Ltd. 30,000 139,700
----------------------------------------------------------------------------------------------------------------------
Conectiv, Inc. 7,600 118,275
----------------------------------------------------------------------------------------------------------------------
CP&L Energy, Inc. 1,900 60,681
----------------------------------------------------------------------------------------------------------------------
Duke Energy Corp. 7,717 435,046
LifeSpan Balanced Portfolio 11
<PAGE>
Statement of Investments (Unaudited) (Continued)
Market Value
Shares Note 1
----------------------------------------------------------------------------------------------------------------------
Electric Utilities (continued)
FPL Group, Inc. 5,800 $ 287,100
----------------------------------------------------------------------------------------------------------------------
Kansas City Power & Light Co. 5,600 126,000
----------------------------------------------------------------------------------------------------------------------
Montana Power Co. 4,500 158,906
----------------------------------------------------------------------------------------------------------------------
Peco Energy Co. 3,100 124,969
----------------------------------------------------------------------------------------------------------------------
Potomac Electric Power Co. 2,000 50,000
----------------------------------------------------------------------------------------------------------------------
Public Service Enterprise Group, Inc. 3,900 135,038
----------------------------------------------------------------------------------------------------------------------
Reliant Energy, Inc. 8,000 236,500
----------------------------------------------------------------------------------------------------------------------
Tokyo Electric Power Corp.(1) 5,000 122,159
----------------------------------------------------------------------------------------------------------------------
TXU Corp. 3,300 97,350
----------------------------------------------------------------------------------------------------------------------
Unicom Corp. 1,600 61,900
----------------------------------------------------------------------------------------------------------------------
Vivendi (Ex-Generale des Eaux) 1,300 115,209
----------------------------------------------------------------------------------------------------------------------
Western Resources, Inc. 4,400 68,200
-----------
2,337,033
----------------------------------------------------------------------------------------------------------------------
Gas Utilities--1.3%
El Paso Energy Corp. 13,800 702,938
----------------------------------------------------------------------------------------------------------------------
Hong Kong & China Gas Co. Ltd. 118,800 133,350
----------------------------------------------------------------------------------------------------------------------
National Fuel Gas Co. 4,400 214,500
----------------------------------------------------------------------------------------------------------------------
NICOR, Inc. 4,100 133,763
----------------------------------------------------------------------------------------------------------------------
Questar Corp. 8,200 158,875
-----------
1,343,426
-----------
Total Common Stocks (Cost $44,492,182) 57,887,607
======================================================================================================================
Preferred Stocks--0.1%
----------------------------------------------------------------------------------------------------------------------
PRIMEDIA, Inc., 10% Cum., Series D, Non-Vtg.(2) (Cost $100,000) 1,000 96,250
Units
======================================================================================================================
Rights, Warrants and Certificates--0.0%
----------------------------------------------------------------------------------------------------------------------
Abraxas Petroleum Corp. Wts., Exp. 11/1/04(2) 5,961 5,961
----------------------------------------------------------------------------------------------------------------------
Arcadia Financial Ltd. Wts., Exp. 3/15/07 125 --
----------------------------------------------------------------------------------------------------------------------
Diva Systems Corp. Wts., Exp. 3/1/08(2) 600 15,600
----------------------------------------------------------------------------------------------------------------------
Mrs. Fields Holdings, Inc. Wts., Exp. 12/31/49 150 1,575
-----------
Total Rights, Warrants and Certificates (Cost $894) 23,136
Principal
Amount
======================================================================================================================
Asset-Backed Securities--0.5%
----------------------------------------------------------------------------------------------------------------------
Arcadia Automobile Receivables Trust, Automobile Receivables-Backed Nts.,
Series 1998-B, Cl. A3, 5.95%, 11/15/02 $136,644 135,961
----------------------------------------------------------------------------------------------------------------------
Dayton Hudson Credit Card Master Trust, Asset-Backed Certificates,
Series 1997-1, Cl. A, 6.25%, 8/25/05 125,000 122,656
----------------------------------------------------------------------------------------------------------------------
IROQUOIS Trust, Asset-Backed Amortizing Nts., Series 1997-2, Cl. A, 6.752%, 6/25/07(2) 98,463 96,094
----------------------------------------------------------------------------------------------------------------------
Olympic Automobile Receivables Trust, Automobile Receivables-Backed Nts.,
Series 1997-A, Cl. A-5, 6.80%, 2/15/05 150,000 148,852
-----------
Total Asset-Backed Securities (Cost $509,789) 503,563
12 LifeSpan Balanced Portfolio
<PAGE>
Statement of Investments (Unaudited) (Continued)
Principal Market Value
Amount Note 1
======================================================================================================================
Mortgage-Backed Obligations--1.6%
----------------------------------------------------------------------------------------------------------------------
Countrywide Funding Corp., Mtg. Pass-Through Certificates,
Series 1994-10, Cl. A3, 6%, 5/25/09 $ 350,000 $ 343,000
----------------------------------------------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp., Gtd. Multiclass Mtg.
Participation Certificates, 6%, 3/1/09 114,706 110,783
----------------------------------------------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp., Interest-Only Stripped Mtg.-Backed Security:
Series 1542, Cl. QC, 11.91%, 10/15/20(4) 749,749 64,426
Series 1583, Cl. IC, 12.83%, 1/15/20(4) 345,452 26,016
Series 1583, Cl. IC, 34.48%, 1/15/20(4) 115,150 8,672
Series 1661, Cl. PK, 8.20%, 11/15/06(2)(4) 185,125 3,471
----------------------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn.:
6%, 12/1/03 71,478 70,150
6.50%, 4/1/26 131,170 124,339
----------------------------------------------------------------------------------------------------------------------
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 44,015 43,671
----------------------------------------------------------------------------------------------------------------------
GE Capital Mortgage Services, Inc., Gtd. Real Estate Mtg. Investment Conduit
Pass-Through Certificates, Series 1994-7, Cl. A18, 6%, 2/25/09 248,607 226,464
----------------------------------------------------------------------------------------------------------------------
IMC Home Equity Trust, Asset-Backed Home Equity Securities,
Series 1998-3, Cl. A5, 6.36%, 8/20/22(5) 350,000 340,375
----------------------------------------------------------------------------------------------------------------------
Residential Accredit Loans, Inc., Mtg. Asset-Backed Pass-Through Certificates,
Series 1999-QS12, Cl. M1, 7%, 9/25/14 242,860 233,222
-----------
Total Mortgage-Backed Obligations (Cost $1,626,879) 1,594,589
======================================================================================================================
U.S. Government Obligations--14.7%
----------------------------------------------------------------------------------------------------------------------
Federal Farm Credit Bank, Medium-Term Nts., 5.24%, 10/1/08 175,000 154,431
----------------------------------------------------------------------------------------------------------------------
Federal Home Loan Bank, 5.57%, 8/17/00 350,000 349,671
----------------------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn. Nts., 5.125%, 2/13/04 1,750,000 1,642,532
----------------------------------------------------------------------------------------------------------------------
U.S. Treasury Bonds:
6%, 2/15/26 575,000 562,242
7.50%, 11/15/16 1,310,000 1,475,798
STRIPS, 5.67%, 11/15/18(6) 1,500,000 482,658
----------------------------------------------------------------------------------------------------------------------
U.S. Treasury Nts.:
5.625%, 2/15/06-5/15/08 750,000 726,172
5.75%, 8/15/03 3,300,000 3,244,313
6.125%, 8/15/07 3,500,000 3,480,313
6.50%, 8/15/05 945,000 955,336
7.50%, 11/15/01 1,775,000 1,798,297
-----------
Total U.S. Government Obligations (Cost $15,076,411) 14,871,763
======================================================================================================================
Non-Convertible Corporate Bonds and Notes--17.8%
----------------------------------------------------------------------------------------------------------------------
Basic Materials--1.2%
----------------------------------------------------------------------------------------------------------------------
Chemicals--0.6%
Laroche Industries, Inc., 9.50% Sr. Sub. Nts., Series B, 9/15/07(1)(2)(7) 125,000 26,875
----------------------------------------------------------------------------------------------------------------------
Lyondell Chemical Co., 10.875% Sr. Sub. Nts., 5/1/09 100,000 99,750
----------------------------------------------------------------------------------------------------------------------
PPG Industries, Inc., 9% Debs., 5/1/21 50,000 55,436
----------------------------------------------------------------------------------------------------------------------
Rexene Corp., 11.75% Sr. Nts., 12/1/04(2) 125,000 127,500
----------------------------------------------------------------------------------------------------------------------
Rohm & Haas Co., 7.85% Unsec. Debs., 7/15/29 125,000 126,722
----------------------------------------------------------------------------------------------------------------------
Sterling Chemicals Holdings, Inc., 0%/13.50% Sr. Disc. Nts., 8/15/08(8) 125,000 50,625
----------------------------------------------------------------------------------------------------------------------
Texas Petrochemical Corp., 11.125% Sr. Sub. Nts., Series B, 7/1/06 125,000 106,875
-----------
593,783
LifeSpan Balanced Portfolio 13
<PAGE>
Statement of Investments (Unaudited) (Continued)
Principal Market Value
Amount Note 1
----------------------------------------------------------------------------------------------------------------------
Metals--0.3%
Alcan Aluminium Ltd., 9.625% Debs., 7/15/19 $ 15,000 $ 14,999
----------------------------------------------------------------------------------------------------------------------
Algoma Steel, Inc., 12.375% First Mtg. Nts., 7/15/05 100,000 87,500
----------------------------------------------------------------------------------------------------------------------
Gulf States Steel, Inc. (Alabama), 13.50% First Mtg. Nts., Series B, 4/15/03(1)(7) 125,000 11,875
----------------------------------------------------------------------------------------------------------------------
International Utility Structures, Inc., 10.75% Sr. Sub. Nts., 2/1/08 100,000 82,500
----------------------------------------------------------------------------------------------------------------------
National Steel Corp., 9.875% First Mtg. Bonds, Series D, 3/1/09 50,000 42,000
----------------------------------------------------------------------------------------------------------------------
WCI Steel, Inc., 10% Sr. Nts., Series B, 12/1/04 75,000 70,125
----------
308,999
----------------------------------------------------------------------------------------------------------------------
Paper--0.3%
Ainsworth Lumber, Inc., 12.50% Sr. Nts., 7/15/07(9) 125,000 124,687
----------------------------------------------------------------------------------------------------------------------
Riverwood International Corp., 10.25% Sr. Nts., 4/1/06 200,000 193,000
----------
317,687
----------------------------------------------------------------------------------------------------------------------
Capital Goods--2.0%
----------------------------------------------------------------------------------------------------------------------
Industrial Services--1.4%
Advance Holding Corp., 0%/12.875% Sr. Disc. Nts., 4/15/09(8) 100,000 42,500
----------------------------------------------------------------------------------------------------------------------
Advance Stores Co., Inc., 10.25% Sr. Unsec. Sub. Nts., Series B, 4/15/08 125,000 103,750
----------------------------------------------------------------------------------------------------------------------
Applied Extrusion Technologies, Inc., 11.50% Sr. Nts., Series B, 4/1/02 75,000 75,562
----------------------------------------------------------------------------------------------------------------------
Armco, Inc., 9% Sr. Unsec. Nts., 9/15/07 50,000 47,375
----------------------------------------------------------------------------------------------------------------------
Coinstar, Inc., 13% Sr. Disc. Nts., 10/1/06 50,000 50,812
----------------------------------------------------------------------------------------------------------------------
Employee Solutions, Inc., 10% Sr. Unsec. Nts., Series B, 10/15/04(1)(2)(7) 125,000 25,000
----------------------------------------------------------------------------------------------------------------------
Flooring America, Inc., 9.25% Sr. Sub. Nts., Series B, 10/15/07(2) 37,000 21,275
----------------------------------------------------------------------------------------------------------------------
Iron Mountain, Inc., 8.25% Sr. Unsec. Sub. Nts., 7/1/11 50,000 44,000
----------------------------------------------------------------------------------------------------------------------
KSL Recreation Group, Inc., 10.25% Sr. Sub. Nts., 5/1/07(2) 100,000 95,500
----------------------------------------------------------------------------------------------------------------------
Mrs. Fields Holding Co., 0%/14% Sr. Sec. Disc. Nts., 12/1/05(3)(8) 150,000 65,250
----------------------------------------------------------------------------------------------------------------------
Ocean Energy, Inc., 8.375% Sr. Unsec. Sub. Nts., Series B, 7/1/08 125,000 121,875
----------------------------------------------------------------------------------------------------------------------
Production Resource Group LLC/PRG Finance Corp., 11.50% Sr. Unsec. Sub. Nts., 1/15/08 75,000 15,750
----------------------------------------------------------------------------------------------------------------------
Scotia Pacific Co. LLC, Timber Collaterized Nts., Series B, Cl. A-1, 6.55%, 7/20/28 173,696 165,581
----------------------------------------------------------------------------------------------------------------------
Simonds Industries, Inc., 10.25% Sr. Unsec. Sub. Nts., 7/1/08(2) 125,000 103,281
----------------------------------------------------------------------------------------------------------------------
Sun Co., Inc., 7.95% Debs., 12/15/01 125,000 126,032
----------------------------------------------------------------------------------------------------------------------
Thermadyne Holdings Corp., 0%/12.50% Sr. Disc. Debs., 6/1/08(2)(8) 50,000 18,250
----------------------------------------------------------------------------------------------------------------------
Tyco International Group SA, 6.125% Unsec. Nts., 6/15/01 175,000 172,838
----------------------------------------------------------------------------------------------------------------------
USI American Holdings, Inc., 7.25% Sr. Nts., Series B, 12/1/06 120,000 114,312
----------
1,408,943
----------------------------------------------------------------------------------------------------------------------
Manufacturing--0.6%
Federal-Mogul Corp., 7.50% Nts., 7/1/04 125,000 96,730
----------------------------------------------------------------------------------------------------------------------
Jordan Industries, Inc., 10.375% Sr. Nts., Series B, 8/1/07(2) 125,000 115,000
----------------------------------------------------------------------------------------------------------------------
Kimberly-Clark Corp., 7.875% Debs., 2/1/23 50,000 48,965
----------------------------------------------------------------------------------------------------------------------
Portola Packaging, Inc., 10.75% Sr. Nts., 10/1/05 125,000 101,875
----------------------------------------------------------------------------------------------------------------------
Titan Wheel International, Inc., 8.75% Sr. Sub. Nts., 4/1/07 100,000 62,500
----------------------------------------------------------------------------------------------------------------------
U.S. Industries, Inc./USI American Holdings, Inc./USI Global Corp.,
7.125% Sr. Unsec. Nts., 10/15/03 225,000 220,184
----------
645,254
14 LifeSpan Balanced Portfolio
<PAGE>
Statement of Investments (Unaudited) (Continued)
Principal Market Value
Amount Note 1
----------------------------------------------------------------------------------------------------------------------
Communication Services--4.9%
----------------------------------------------------------------------------------------------------------------------
Telecommunications: Long Distance--3.9%
360networks, Inc., 12% Sr. Unsec. Sub. Nts., 8/1/09 $100,000 $ 95,000
----------------------------------------------------------------------------------------------------------------------
Coaxial Communications, Inc., 10% Sr. Unsec. Nts., 8/15/06 125,000 119,063
----------------------------------------------------------------------------------------------------------------------
Covad Communications Group, Inc., 12% Sr. Nts., 2/15/10(3) 300,000 235,500
----------------------------------------------------------------------------------------------------------------------
e.spire Communications, Inc., 0%/13% Sr. Disc. Nts., 11/1/05(2)(8) 100,000 47,500
----------------------------------------------------------------------------------------------------------------------
Exodus Communications, Inc., 11.25% Sr. Nts., 7/1/08 125,000 124,375
----------------------------------------------------------------------------------------------------------------------
Focal Communications Corp., 11.875% Sr. Nts., 1/15/10(3) 300,000 303,000
----------------------------------------------------------------------------------------------------------------------
Galaxy Telecom LP, 12.375% Sr. Sub. Nts., 10/1/05 100,000 87,000
----------------------------------------------------------------------------------------------------------------------
Global Crossing Holdings Ltd., 9.125% Sr. Nts., 11/15/06(3) 50,000 48,125
----------------------------------------------------------------------------------------------------------------------
Globix Corp., 12.50% Sr. Unsec. Nts., 2/1/10 300,000 247,500
----------------------------------------------------------------------------------------------------------------------
GST USA, Inc., 0%/13.875% Gtd. Sr. Disc. Nts., 12/15/05(8) 125,000 43,125
----------------------------------------------------------------------------------------------------------------------
Hermes Europe Railtel BV, 10.375% Sr. Unsec. Nts., 1/15/09 125,000 102,500
----------------------------------------------------------------------------------------------------------------------
ICG Holdings, Inc., 0%/11.625% Sr. Disc. Nts., 3/15/07(2)(8) 125,000 86,406
----------------------------------------------------------------------------------------------------------------------
Intermedia Communications, Inc., 8.50% Sr. Nts., Series B, 1/15/08 200,000 185,000
----------------------------------------------------------------------------------------------------------------------
International CableTel, Inc., 0%/11.50% Sr. Deferred Coupon Nts., Series B, 2/1/06(8) 200,000 185,500
----------------------------------------------------------------------------------------------------------------------
IXC Communications, Inc., 9% Sr. Sub. Nts., 4/15/08(2) 50,000 50,250
----------------------------------------------------------------------------------------------------------------------
Level 3 Communications, Inc., 9.125% Sr. Unsec. Nts., 5/1/08 125,000 112,813
----------------------------------------------------------------------------------------------------------------------
Logix Communications Enterprises, Inc., 12.25% Sr. Unsec. Nts., 6/15/08(2) 100,000 40,000
----------------------------------------------------------------------------------------------------------------------
Metromedia Fiber Network, Inc., 10% Sr. Nts., 12/15/09 350,000 346,500
----------------------------------------------------------------------------------------------------------------------
MGC Communications, Inc./Mpower Communications Corp., 13% Sr. Nts., 4/1/10(3) 100,000 94,500
----------------------------------------------------------------------------------------------------------------------
NEXTLINK Communications, Inc., 10.75% Sr. Unsec. Nts., 6/1/09 200,000 198,000
----------------------------------------------------------------------------------------------------------------------
NorthPoint Communications Group, Inc., 12.875% Nts., 2/15/10(3) 300,000 217,500
----------------------------------------------------------------------------------------------------------------------
PSINet, Inc., 11.50% Sr. Unsec. Nts., 11/1/08 100,000 94,500
----------------------------------------------------------------------------------------------------------------------
Qwest Communications International, Inc., 0%/9.47% Sr. Disc. Nts., 10/15/07(8) 125,000 105,194
----------------------------------------------------------------------------------------------------------------------
RCN Corp.:
0%/11.125% Sr. Unsec. Nts., 10/15/07(8) 50,000 31,500
10.125% Sr. Unsec. Nts., 1/15/10 200,000 167,500
----------------------------------------------------------------------------------------------------------------------
RSL Communications plc, 9.125% Sr. Unsec. Nts., 3/1/08 100,000 65,500
----------------------------------------------------------------------------------------------------------------------
Teligent, Inc., 11.50% Sr. Nts., 12/1/07 125,000 97,500
----------------------------------------------------------------------------------------------------------------------
Time Warner Telecom LLC, 9.75% Sr. Nts., 7/15/08 50,000 48,625
----------------------------------------------------------------------------------------------------------------------
US West Capital Funding, Inc., 6.125% Nts., 7/15/02 200,000 195,761
----------------------------------------------------------------------------------------------------------------------
Williams Cos., Inc. (The), 6.20% Nts., 8/1/02 225,000 220,439
----------
3,995,676
----------------------------------------------------------------------------------------------------------------------
Telecommunications: Wireless--1.0%
Clearnet Communications, Inc., 0%/14.75% Sr. Disc. Nts., 12/15/05(8) 50,000 51,875
----------------------------------------------------------------------------------------------------------------------
Microcell Telecommunications, Inc., 0%/14% Sr. Disc. Nts., Series B, 6/1/06(8) 125,000 115,938
----------------------------------------------------------------------------------------------------------------------
Nextel Communications, Inc., 9.375% Sr. Unsec. Nts., 11/15/09 200,000 192,000
----------------------------------------------------------------------------------------------------------------------
Rural Cellular Corp., 9.625% Sr. Sub. Nts., Series B, 5/15/08 100,000 97,500
----------------------------------------------------------------------------------------------------------------------
SBA Communications Corp., 0%/12% Sr. Unsec. Disc. Nts., 3/1/08(8) 200,000 142,000
----------------------------------------------------------------------------------------------------------------------
Sprint Spectrum LP/Sprint Spectrum Finance Corp., 11% Sr. Nts., 8/15/06 100,000 107,671
----------------------------------------------------------------------------------------------------------------------
VoiceStream Wireless Corp., 10.375% Sr. Nts., 11/15/09(3) 200,000 208,000
----------------------------------------------------------------------------------------------------------------------
Western Wireless Corp., 10.50% Sr. Sub. Nts., 2/1/07(2) 50,000 51,250
----------
966,234
LifeSpan Balanced Portfolio 15
<PAGE>
Statement of Investments (Unaudited) (Continued)
Principal Market Value
Amount Note 1
----------------------------------------------------------------------------------------------------------------------
Consumer Cyclicals--2.7%
----------------------------------------------------------------------------------------------------------------------
Autos & Housing--0.3%
Black & Decker Corp., 6.625% Nts., 11/15/00 $ 85,000 $ 84,861
----------------------------------------------------------------------------------------------------------------------
Cambridge Industries, Inc., 10.25% Sr. Sub. Nts., Series B, 7/15/07 125,000 31,875
----------------------------------------------------------------------------------------------------------------------
Collins & Aikman Floorcoverings, Inc., 10% Sr. Sub. Nts., Series B, 1/15/07(2) 50,000 48,875
----------------------------------------------------------------------------------------------------------------------
Oxford Automotive, Inc., 10.125% Sr. Unsec. Sub. Nts., Series D, 6/15/07 125,000 109,375
----------
274,986
----------------------------------------------------------------------------------------------------------------------
Leisure & Entertainment--1.6%
American Skiing Corp., 12% Sr. Sub. Nts., Series B, 7/15/06 100,000 84,500
----------------------------------------------------------------------------------------------------------------------
Ameristar Casinos, Inc., 10.50% Sr. Sub. Nts., Series B, 8/1/04 50,000 50,500
----------------------------------------------------------------------------------------------------------------------
Bally Total Fitness Holding Corp., 9.875% Sr. Unsec. Sub. Nts., Series D, 10/15/07 125,000 113,750
----------------------------------------------------------------------------------------------------------------------
Casino Magic of Louisiana Corp., 13% First Mtg. Nts., Series B, 8/15/03 200,000 213,000
----------------------------------------------------------------------------------------------------------------------
Florida Panthers Holdings, Inc., 9.875% Sr. Sub. Nts., 4/15/09 50,000 47,125
----------------------------------------------------------------------------------------------------------------------
Hard Rock Hotel, Inc., 9.25% Sr. Sub. Nts., 4/1/05 100,000 92,250
----------------------------------------------------------------------------------------------------------------------
Harveys Casino Resorts, 10.625% Sr. Unsec. Sub. Nts., 6/1/06 100,000 102,500
----------------------------------------------------------------------------------------------------------------------
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 49,500
----------------------------------------------------------------------------------------------------------------------
Intrawest Corp., 9.75% Sr. Nts., 8/15/08 100,000 99,500
----------------------------------------------------------------------------------------------------------------------
Isle of Capri Casinos, Inc., 8.75% Sr. Unsec. Nts., 4/15/09 100,000 93,000
----------------------------------------------------------------------------------------------------------------------
Mohegan Tribal Gaming Authority, 8.125% Sr. Nts., 1/1/06 125,000 119,375
----------------------------------------------------------------------------------------------------------------------
Park Place Entertainment Corp., 7.875% Sr. Unsec. Sub. Nts., 12/15/05 100,000 94,250
----------------------------------------------------------------------------------------------------------------------
Prime Hospitality Corp., 9.75% Sr. Sub. Nts., 4/1/07 125,000 121,250
----------------------------------------------------------------------------------------------------------------------
Santa Fe Hotel, Inc., 11% Gtd. First Mtg. Nts., 12/15/00(2) 100,000 99,750
----------------------------------------------------------------------------------------------------------------------
Station Casinos, Inc., 9.75% Sr. Sub. Nts., 4/15/07 125,000 125,625
----------
1,622,125
----------------------------------------------------------------------------------------------------------------------
Media--0.4%
Hollinger International Publishing, Inc., 9.25% Gtd. Sr. Sub. Nts., 3/15/07 125,000 123,750
----------------------------------------------------------------------------------------------------------------------
Lamar Advertising Co., 8.625% Sr. Sub. Nts., 9/15/07 100,000 96,500
----------------------------------------------------------------------------------------------------------------------
MDC Communications Corp., 10.50% Sr. Sub. Nts., 12/1/06(2) 125,000 120,625
----------------------------------------------------------------------------------------------------------------------
TV Guide, Inc., 8.125% Sr. Unsec. Sub. Nts., 3/1/09 50,000 50,125
----------
391,000
----------------------------------------------------------------------------------------------------------------------
Retail: General--0.2%
Federated Department Stores, Inc., 6.125% Cv. Sub. Nts., 9/1/01(5) 200,000 196,116
----------------------------------------------------------------------------------------------------------------------
Retail: Specialty--0.1%
K Mart Corp., 7.75% Debs., 10/1/12 125,000 106,519
----------------------------------------------------------------------------------------------------------------------
Textile/Apparel & Home Furnishings--0.1%
William Carter Co., 10.375% Sr. Sub. Nts., Series A, 12/1/06 125,000 120,000
----------------------------------------------------------------------------------------------------------------------
Consumer Staples--2.9%
----------------------------------------------------------------------------------------------------------------------
Broadcasting--2.0%
Adelphia Communications Corp.:
7.875% Sr. Unsec. Nts., 5/1/09 50,000 42,375
10.50% Sr. Unsec. Nts., Series B, 7/15/04 125,000 125,625
----------------------------------------------------------------------------------------------------------------------
Allbritton Communications Co., 8.875% Sr. Sub. Nts., Series B, 2/1/08 125,000 115,781
----------------------------------------------------------------------------------------------------------------------
Century Communications Corp.:
9.75% Sr. Nts., 2/15/02 100,000 100,500
Zero Coupon Sr. Disc. Nts., Series B, 8.50%, 1/15/08(6) 50,000 20,750
16 LifeSpan Balanced Portfolio
<PAGE>
Statement of Investments (Unaudited) (Continued)
Principal Market Value
Amount Note 1
----------------------------------------------------------------------------------------------------------------------
Broadcasting (continued)
Charter Communications Holdings LLC/Charter Communications Holdings Capital Corp.:
0%/9.92% Sr. Unsec. Disc. Nts., 4/1/11(8) $ 50,000 $ 28,500
8.625% Sr. Unsec. Nts., 4/1/09 100,000 88,375
10% Sr. Nts., 4/1/09(3) 300,000 291,000
----------------------------------------------------------------------------------------------------------------------
Classic Cable, Inc., 9.375% Sr. Sub. Nts., Series B, 8/1/09 100,000 87,750
----------------------------------------------------------------------------------------------------------------------
Comcast Corp., 9.125% Sr. Sub. Debs., 10/15/06 125,000 131,198
----------------------------------------------------------------------------------------------------------------------
Comcast UK Cable Partner Ltd., 0%/11.20% Sr. Disc. Debs., 11/15/07(8) 125,000 117,188
----------------------------------------------------------------------------------------------------------------------
CSC Holdings, Inc., 9.875% Sr. Sub. Nts., 5/15/06 50,000 51,250
----------------------------------------------------------------------------------------------------------------------
Diamond Cable Communications plc, 0%/10.75% Sr. Disc. Nts., 2/15/07(2)(8) 125,000 95,938
----------------------------------------------------------------------------------------------------------------------
Diva Systems Corp., 0%/12.625% Sr. Disc. Nts., Series B, 3/1/08(8) 200,000 107,000
----------------------------------------------------------------------------------------------------------------------
EchoStar DBS Corp., 9.375% Sr. Unsec. Nts., 2/1/09 125,000 120,625
----------------------------------------------------------------------------------------------------------------------
Interepublic National Radio Sales Corp., 10% Sr. Unsec. Sub. Nts., Series B, 7/1/08 125,000 111,250
----------------------------------------------------------------------------------------------------------------------
James Cable Partners LP, 10.75% Sr. Nts., Series B, 8/15/04 100,000 96,500
----------------------------------------------------------------------------------------------------------------------
Sinclair Broadcast Group, Inc., 10% Sr. Sub. Nts., 9/30/05 125,000 120,000
----------------------------------------------------------------------------------------------------------------------
Telewest Communications plc:
0%/11% Sr. Disc. Debs., 10/1/07(8) 75,000 71,438
9.625% Sr. Debs., 10/1/06 75,000 70,500
----------------------------------------------------------------------------------------------------------------------
United International Holdings, Inc., 0%/10.75% Sr. Disc. Nts., Series B, 2/15/08(8) 100,000 70,500
----------
2,064,043
----------------------------------------------------------------------------------------------------------------------
Entertainment--0.1%
Tricon Global Restaurants, Inc., 7.45% Sr. Unsec. Nts., 5/15/05 125,000 117,299
----------------------------------------------------------------------------------------------------------------------
Food--0.4%
AmeriServe Food Distribution, Inc., 8.875% Sr. Nts., 10/15/06(1)(7) 125,000 6,563
----------------------------------------------------------------------------------------------------------------------
Dole Food Co., 6.75% Nts., 7/15/00 115,000 114,903
----------------------------------------------------------------------------------------------------------------------
Eagle Family Foods, Inc., 8.75% Sr. Sub. Nts., 1/15/08(2) 50,000 29,750
----------------------------------------------------------------------------------------------------------------------
Grand Metro Inventory Corp., 7.125% Nts., 9/15/04 175,000 173,096
----------------------------------------------------------------------------------------------------------------------
Premier International Foods plc, 12% Sr. Nts., 9/1/09(3) 50,000 45,000
----------
369,312
----------------------------------------------------------------------------------------------------------------------
Food & Drug Retailers--0.4%
Jitney-Jungle Stores of America, Inc., 10.375% Sr. Sub. Nts., 9/15/07(1)(2)(7) 50,000 1,000
----------------------------------------------------------------------------------------------------------------------
Pantry, Inc. (The), 10.25% Sr. Sub. Nts., 10/15/07 150,000 142,500
----------------------------------------------------------------------------------------------------------------------
Pathmark Stores, Inc., 9.625% Sr. Sub. Nts., 5/1/03(1)(7) 50,000 35,250
----------------------------------------------------------------------------------------------------------------------
Price/Costco Wholesale Corp., 7.125% Sr. Nts., 6/15/05 90,000 88,493
----------------------------------------------------------------------------------------------------------------------
Stater Brothers Holdings, Inc., 10.75% Sr. Nts., 8/15/06 100,000 88,500
----------
355,743
----------------------------------------------------------------------------------------------------------------------
Household Goods--0.0%
Revlon Consumer Products Corp., 8.625% Sr. Unsec. Sub. Nts., 2/1/08 75,000 38,250
----------------------------------------------------------------------------------------------------------------------
Energy--0.7%
----------------------------------------------------------------------------------------------------------------------
Energy Services--0.5%
Coastal Corp., 8.125% Sr. Nts., 9/15/02 50,000 50,980
----------------------------------------------------------------------------------------------------------------------
Crown Central Petroleum Corp., 10.875% Sr. Nts., 2/1/05 50,000 43,625
----------------------------------------------------------------------------------------------------------------------
Frontier Oil Corp., 11.75% Sr. Nts., 11/15/09 50,000 50,250
----------------------------------------------------------------------------------------------------------------------
Gulf Canada Resources Ltd., 8.25% Sr. Nts., 3/15/17 75,000 69,375
----------------------------------------------------------------------------------------------------------------------
Louisiana Land & Exploration Co., 7.65% Debs., 12/1/23 50,000 47,529
----------------------------------------------------------------------------------------------------------------------
Petroleum Geo-Services ASA, 7.50% Nts., 3/31/07 125,000 119,297
LifeSpan Balanced Portfolio 17
<PAGE>
Statement of Investments (Unaudited) (Continued)
Principal Market Value
Amount Note 1
----------------------------------------------------------------------------------------------------------------------
Energy Services (continued)
RAM Energy, Inc., 11.50% Sr. Unsec. Nts., 2/15/08(2) $ 75,000 $ 37,219
----------------------------------------------------------------------------------------------------------------------
Southwest Royalties, Inc., 10.50% Sr. Nts., Series B, 10/15/04 125,000 80,625
----------------------------------------------------------------------------------------------------------------------
Williams Holdings of Delaware, Inc., 6.25% Sr. Unsec. Debs., 2/1/06 50,000 46,469
----------
545,369
----------------------------------------------------------------------------------------------------------------------
Oil: Domestic--0.1%
Norcen Energy Resources Ltd., 6.80% Debs., 7/2/02 50,000 49,113
----------------------------------------------------------------------------------------------------------------------
Oil: International--0.1%
Abraxas Petroleum Corp./Canadian Abraxas Petroleum Ltd., 11.50% Sr. Unsec. Nts., 11/1/04 70,000 59,150
----------------------------------------------------------------------------------------------------------------------
Financial--2.4%
----------------------------------------------------------------------------------------------------------------------
Banks--0.1%
Fleet Mtg./Norstar Group, Inc., 9.90% Sub. Nts., 6/15/01 85,000 86,925
----------------------------------------------------------------------------------------------------------------------
Sovereign Bancorp, Inc., 10.50% Sr. Unsec. Nts., 11/15/06 50,000 49,625
----------
136,550
----------------------------------------------------------------------------------------------------------------------
Diversified Financial--1.6%
American General Institutional Capital, 8.125% Bonds, Series B, 3/15/46(3) 125,000 118,002
----------------------------------------------------------------------------------------------------------------------
Capital One Financial Corp., 7.25% Nts., 12/1/03 40,000 39,084
----------------------------------------------------------------------------------------------------------------------
Conseco Financing Trust III, 8.796% Bonds, 4/1/27 100,000 42,500
----------------------------------------------------------------------------------------------------------------------
Countrywide Home Loans, Inc., 6.05% Medium-Term Nts., Series D, 3/1/01 220,000 218,516
----------------------------------------------------------------------------------------------------------------------
General Electric Capital Corp.:
5.77% Nts., Series A, 8/27/01 200,000 196,955
7.25% Nts., Series A, 2/1/05 400,000 401,192
----------------------------------------------------------------------------------------------------------------------
General Motors Acceptance Corp., 5.625% Nts., 2/15/01 175,000 173,470
----------------------------------------------------------------------------------------------------------------------
Goldman Sachs Group, Inc. (The), 7.50% Sr. Unsec. Unsub. Nts., 1/28/05 275,000 273,983
----------------------------------------------------------------------------------------------------------------------
GS Escrow Corp., 6.75% Sr. Unsec. Nts., 8/1/01 200,000 194,346
----------
1,658,048
----------------------------------------------------------------------------------------------------------------------
Insurance--0.2%
Aetna Industries, Inc., 11.875% Sr. Nts., 10/1/06 100,000 80,500
----------------------------------------------------------------------------------------------------------------------
Conseco, Inc., 6.40% Unsec. Mandatory Par Put Remarketed Securities, 6/15/01 175,000 139,125
----------
219,625
----------------------------------------------------------------------------------------------------------------------
Real Estate Investment Trusts--0.5%
Chelsea GCA Realty Partner, Inc., 7.75% Unsec. Nts., 1/26/01 280,000 279,755
----------------------------------------------------------------------------------------------------------------------
First Industrial LP, 7.15% Bonds, 5/15/27 60,000 58,746
----------------------------------------------------------------------------------------------------------------------
Simon DeBartolo Group LP, 6.625% Unsec. Nts., 6/15/03 175,000 167,492
----------
505,993
----------------------------------------------------------------------------------------------------------------------
Healthcare--0.5%
----------------------------------------------------------------------------------------------------------------------
Healthcare/Drugs--0.1%
ICN Pharmaceutical, Inc., 9.75% Sr. Nts., 11/15/08(3) 125,000 123,750
----------------------------------------------------------------------------------------------------------------------
Healthcare/Supplies & Services--0.4%
Columbia/HCA Healthcare Corp., 6.875% Nts., 7/15/01 145,000 141,405
----------------------------------------------------------------------------------------------------------------------
Dade International, Inc., 11.125% Sr. Sub. Nts., 5/1/06 100,000 47,500
----------------------------------------------------------------------------------------------------------------------
Paracelsus Healthcare Corp., 10% Sr. Unsec. Sub. Nts., 8/15/06(1)(7) 100,000 22,500
----------------------------------------------------------------------------------------------------------------------
Playtex Products, Inc., 8.875% Sr. Nts., 7/15/04 75,000 72,750
----------------------------------------------------------------------------------------------------------------------
Tenet Healthcare Corp., 8% Sr. Nts., 1/15/05 75,000 72,375
----------
356,530
18 LifeSpan Balanced Portfolio
<PAGE>
Statement of Investments (Unaudited) (Continued)
Principal Market Value
Amount Note 1
----------------------------------------------------------------------------------------------------------------------
Technology--0.1%
----------------------------------------------------------------------------------------------------------------------
Computer Services--0.1%
Fisher Scientific International, Inc., 9% Sr. Unsec. Sub. Nts., 2/1/08 $ 100,000 $ 92,000
----------------------------------------------------------------------------------------------------------------------
Transportation--0.2%
----------------------------------------------------------------------------------------------------------------------
Air Transportation--0.1%
Canadian Airlines Corp., 12.25% Sr. Nts., 8/1/06(1)(7) 75,000 10,875
----------------------------------------------------------------------------------------------------------------------
Trans World Airlines, Inc., 11.375% Unsec. Nts., 3/1/06 125,000 49,375
------------
60,250
----------------------------------------------------------------------------------------------------------------------
Railroads & Truckers--0.1%
CSX Corp., 7.05% Debs., 5/1/02 70,000 69,223
----------------------------------------------------------------------------------------------------------------------
Norfolk Southern Corp., 7.35% Nts., 5/15/07 75,000 72,938
------------
142,161
----------------------------------------------------------------------------------------------------------------------
Utilities--0.2%
----------------------------------------------------------------------------------------------------------------------
Electric Utilities--0.1%
AES Corp. (The), 8% Sr. Nts., 12/31/08 100,000 89,500
----------------------------------------------------------------------------------------------------------------------
Gas Utilities--0.1%
Tennessee Gas Pipeline Co., 7.50% Bonds, 4/1/17 125,000 118,973
------------
Total Non-Convertible Corporate Bonds and Notes (Cost $20,625,968) 18,048,981
======================================================================================================================
Repurchase Agreements--7.6%
----------------------------------------------------------------------------------------------------------------------
Repurchase agreement with Zion First National Bank, 6.55%, dated 6/30/00,
to be repurchased at $7,716,209 on 7/3/00, collateralized by U.S. Treasury Nts.,
5.625%, 2/15/06, with a value of $7,884,898 (Cost $7,712,000) 7,712,000 7,712,000
----------------------------------------------------------------------------------------------------------------------
Total Investments, at Value (Cost $90,144,123) 99.3% 100,737,889
----------------------------------------------------------------------------------------------------------------------
Other Assets Net of Liabilities 0.7 758,532
---------- ------------
Net Assets 100.0% $101,496,421
========== ============
</TABLE>
1. Non-income-producing security.
2. Identifies issues considered to be illiquid or restricted--See Note 6 of
Notes to Financial Statements.
3. Represents securities sold under Rule 144A, which are exempt from
registration under the Securities Act of 1933, as amended. These securities have
been determined to be liquid under guidelines established by the Board of
Directors. These securities amount to $1,857,627 or 1.83% of the Portfolio's net
assets as of June 30, 2000.
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. Issuer is in default.
8. Denotes a step bond: a zero coupon bond that converts to a fixed or variable
interest rate at a designated future date.
9. Interest or dividend is paid in kind.
See accompanying Notes to Financial Statements.
LifeSpan Balanced Portfolio 19
<PAGE>
Statement of Assets and Liabilities June 30, 2000 (Unaudited)
<TABLE>
============================================================================================
<S> <C>
Assets
Investments, at value (cost $90,144,123)--see accompanying statement $100,737,889
--------------------------------------------------------------------------------------------
Receivables and other assets:
Interest, dividends and principal paydowns 863,033
Investments sold 138,991
Other 1,472
------------
Total assets 101,741,385
============================================================================================
Liabilities
Bank overdraft 2,245
--------------------------------------------------------------------------------------------
Payables and other liabilities:
Shares of capital stock redeemed 148,429
Investments purchased 72,125
Shareholder reports 8,277
Legal, auditing and other professional fees 6,457
Directors' compensation 1,322
Transfer and shareholder servicing agent fees 118
Other 5,991
------------
Total liabilities 244,964
============================================================================================
Net Assets $101,496,421
============
============================================================================================
Composition of Net Assets
Par value of shares of capital stock $ 76,051
--------------------------------------------------------------------------------------------
Additional paid-in capital 85,766,696
--------------------------------------------------------------------------------------------
Undistributed net investment income 1,564,966
--------------------------------------------------------------------------------------------
Accumulated net realized gain on investments and foreign currency transactions 3,446,319
--------------------------------------------------------------------------------------------
Net unrealized appreciation on investments and translation of
assets and liabilities denominated in foreign currencies 10,642,389
------------
Net assets--applicable to 76,051,483 shares of capital stock outstanding $101,496,421
============
============================================================================================
Net Asset Value, Redemption Price Per Share and Offering Price Per Share $1.33
</TABLE>
See accompanying Notes to Financial Statements.
20 LifeSpan Balanced Portfolio
<PAGE>
Statement of Operations For the Six Months Ended June 30, 2000 (Unaudited)
<TABLE>
========================================================================================
<S> <C>
Investment Income
Interest $ 1,728,908
----------------------------------------------------------------------------------------
Dividends (net of foreign withholding taxes of $10,280) 416,098
-----------
Total income 2,145,006
========================================================================================
Expenses
Management fees 414,455
----------------------------------------------------------------------------------------
Custodian fees and expenses 11,091
----------------------------------------------------------------------------------------
Accounting service fees 2,645
----------------------------------------------------------------------------------------
Transfer and shareholder servicing agent fees 984
----------------------------------------------------------------------------------------
Directors' compensation 741
----------------------------------------------------------------------------------------
Other 18,076
-----------
Total expenses 447,992
Less expenses paid indirectly (3,263)
-----------
Net expenses 444,729
========================================================================================
Net Investment Income 1,700,277
========================================================================================
Realized and Unrealized Gain (Loss)
Net realized gain (loss) on:
Investments 3,739,521
Foreign currency transactions (82,739)
-----------
Net realized gain 3,656,782
----------------------------------------------------------------------------------------
Net change in unrealized depreciation on:
Investments (2,894,344)
Translation of assets and liabilities denominated in foreign currencies (251,989)
-----------
Net change (3,146,333)
-----------
Net realized and unrealized gain 510,449
========================================================================================
Net Increase in Net Assets Resulting from Operations $ 2,210,726
===========
</TABLE>
See accompanying Notes to Financial Statements.
LifeSpan Balanced Portfolio 21
<PAGE>
Statements of Changes in Net Assets
<TABLE>
<CAPTION>
Six Months Ended Year Ended
June 30, 2000 December 31,
(Unaudited) 1999
================================================================================================
<S> <C> <C>
Operations
Net investment income $ 1,700,277 $ 2,845,074
------------------------------------------------------------------------------------------------
Net realized gain 3,656,782 7,319,091
------------------------------------------------------------------------------------------------
Net change in unrealized appreciation (depreciation) (3,146,333) 3,554,979
------------ -----------
Net increase in net assets resulting from operations 2,210,726 13,719,144
================================================================================================
Dividends and/or Distributions to Shareholders
Dividends from net investment income (3,072,569) (2,600,510)
------------------------------------------------------------------------------------------------
Distributions from net realized gain (6,477,146) --
================================================================================================
Capital Stock Transactions
Net increase (decrease) in net assets resulting from
capital stock transactions 12,206,316 (362,950)
================================================================================================
Net Assets
Total increase 4,867,327 10,755,684
------------------------------------------------------------------------------------------------
Beginning of period 96,629,094 85,873,410
------------ -----------
End of period (including undistributed net investment
income of $1,564,966 and $2,937,258, respectively) $101,496,421 $96,629,094
============ ===========
</TABLE>
See accompanying Notes to Financial Statements.
22 LifeSpan Balanced Portfolio
<PAGE>
Financial Highlights
<TABLE>
<CAPTION>
Six Months
Ended June 30,
2000 Year Ended December 31,
(Unaudited) 1999 1998 1997 1996(1) 1995(2)
=============================================================================================================================
<S> <C> <C> <C> <C> <C> <C>
Per Share Operating Data
Net asset value, beginning of period $1.44 $1.28 $1.28 $1.18 $1.05 $1.00
-----------------------------------------------------------------------------------------------------------------------------
Income from investment operations:
Net investment income .03 .04 .04 .04 .03 .01
Net realized and unrealized gain .01 .16 .04 .10 .11 .05
-----------------------------------------------------------------------------------------------------------------------------
Total income from investment operations .04 .20 .08 .14 .14 .06
-----------------------------------------------------------------------------------------------------------------------------
Dividends and/or distributions to shareholders:
Dividends from net investment income (.05) (.04) (.04) (.03) (.01) (.01)
Distributions from net realized gain (.10) -- (.04) (.01) -- --
-----------------------------------------------------------------------------------------------------------------------------
Total dividends and/or distributions
to shareholders (.15) (.04) (.08) (.04) (.01) (.01)
-----------------------------------------------------------------------------------------------------------------------------
Net asset value, end of period $1.33 $1.44 $1.28 $1.28 $1.18 $1.05
===== ===== ===== ===== ===== =====
=============================================================================================================================
Total Return, at Net Asset Value(3) 2.10% 16.11% 6.17% 12.20% 13.38% 6.08%
=============================================================================================================================
Ratios/Supplemental Data
Net assets, end of period (in thousands) $101,496 $96,629 $85,873 $68,693 $51,336 $35,467
-----------------------------------------------------------------------------------------------------------------------------
Average net assets (in thousands) $ 98,081 $86,728 $76,384 $59,388 $41,847 $33,925(4)
-----------------------------------------------------------------------------------------------------------------------------
Ratios to average net assets:(5)
Net investment income 3.49% 3.28% 3.44% 3.44% 3.34% 3.08%
Expenses 0.91% 0.91% 0.93%(6) 0.97%(6) 1.17%(6) 1.50%(6)
-----------------------------------------------------------------------------------------------------------------------------
Portfolio turnover rate 18% 73% 58% 57% 70% 40%
</TABLE>
1. On March 1, 1996, OppenheimerFunds, Inc. became the investment advisor to the
Portfolio.
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 fiqures for all periods shown.
4. This information is not covered by the auditors' opinion.
5. Annualized for periods of less than one full year.
6. Expense ratio has not been grossed up to reflect the effect of expenses paid
indirectly.
See accompanying Notes to Financial Statements.
LifeSpan Balanced Portfolio 23
<PAGE>
Notes to Financial Statements (Unaudited)
================================================================================
1. Significant Accounting Policies
LifeSpan Balanced Portfolio (the Portfolio) is a series of Panorama Series
Portfolio, Inc. (the Company) which is registered under the Investment Company
Act of 1940, as amended, as an open-end management investment company. The
Portfolio'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 Portfolio's investment advisor
is OppenheimerFunds, Inc. (the Manager). Shares of the Portfolio 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 Portfolio.
--------------------------------------------------------------------------------
Securities Valuation. Securities listed or traded on National Stock Exchanges or
other domestic or foreign exchanges are valued based on the last sale price of
the security traded on that exchange prior to the time when the Portfolio's
assets are valued. In the absence of a sale, the security is valued at the last
sale price on the prior trading day, if it is within the spread of the closing
bid and asked prices, and if not, at the closing bid price. Securities
(including restricted securities) for which quotations are not readily available
are valued primarily using dealer-supplied valuations, a portfolio pricing
service authorized by the Board of Directors, or at their fair value. Fair value
is determined in good faith under consistently applied procedures under the
supervision of the Board of Directors. Short-term "money market type" debt
securities with remaining maturities of sixty days or less are valued at
amortized cost (which approximates market value.)
--------------------------------------------------------------------------------
Security Credit Risk. The Portfolio 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
Portfolio may acquire securities in default, and is not obligated to dispose of
securities whose issuers subsequently default. As of June 30, 2000, securities
with an aggregate market value of $139,938, representing 0.14% of the
Portfolio's net assets, were in default.
--------------------------------------------------------------------------------
Foreign Currency Translation. The accounting records of the Portfolio 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 Portfolio's Statement of Operations.
--------------------------------------------------------------------------------
Repurchase Agreements. The Portfolio 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 Portfolio may be delayed or limited.
--------------------------------------------------------------------------------
Federal Taxes. The Portfolio 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.
--------------------------------------------------------------------------------
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.
24 LifeSpan Balanced Portfolio
<PAGE>
Notes to Financial Statements (Unaudited) (Continued)
================================================================================
Classification of Dividends and 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 dividends and distributions made during the
fiscal 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 dividends and 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 Portfolio.
--------------------------------------------------------------------------------
Expense Offset Arrangements. Expenses paid indirectly represent a reduction of
custodian fees for earnings on cash balances maintained by the Portfolio.
--------------------------------------------------------------------------------
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 Portfolio 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 Portfolio has authorized 200 million shares of $0.001 par value capital
stock. Transactions in shares of capital stock were as follows:
<TABLE>
<CAPTION>
Six Months Ended June 30, 2000 Year Ended December 31, 1999
-------------------------------- -------------------------------
Shares Amount Shares Amount
----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Sold 4,270,315 $ 5,820,654 5,787,975 $ 7,373,964
Dividends and/or distributions reinvested 7,073,863 9,549,715 2,131,566 2,600,510
Redeemed (2,271,356) (3,164,053) (8,095,447) (10,337,424)
---------- ----------- ---------- ------------
Net increase (decrease) 9,072,822 $12,206,316 (175,906) $ (362,950)
========== =========== ========== ============
</TABLE>
================================================================================
3. Purchases and Sales of Securities
The aggregate cost of purchases and proceeds from sales of securities, other
than short-term obligations, for the six months ended June 30, 2000, were
$22,967,219 and $16,227,213, respectively.
LifeSpan Balanced Portfolio 25
<PAGE>
Notes to Financial Statements (Unaudited) (Continued)
================================================================================
4. Fees and Other Transactions with Affiliates
Management Fees. Management fees paid to the Manager were in accordance with the
investment advisory agreement with the Portfolio. The annual fees are 0.85% of
the Portfolio's first $250 million of average daily net assets and 0.75% of
average daily net assets over $250 million. The Portfolio's management fee for
the six months ended June 30, 2000 was an annualized rate of 0.85%, before any
waiver by the Manager.
--------------------------------------------------------------------------------
Accounting Fees. The Manager acts as the accounting agent for the Portfolio 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 Portfolio and is responsible for maintaining the
shareholder registry and shareholder accounting records for the Portfolio. 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 Portfolio may enter into
foreign currency contracts for operational purposes and to seek to protect
against adverse exchange rate fluctuations. Risks to the Portfolio 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 Portfolio 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 Portfolio may realize a gain or loss upon the closing or settlement
of the foreign currency transactions. Realized gains and losses are reported
with all other foreign currency gains and losses in the Statement of Operations.
Securities denominated in foreign currency to cover net exposure on
outstanding foreign currency contracts are noted in the Statement of Investments
where applicable.
================================================================================
6. Illiquid or Restricted Securities
As of June 30, 2000, investments in securities included issues that are illiquid
or restricted. Restricted securities are often purchased in private placement
transactions, are not registered under the Securities Act of 1933, may have
contractual restrictions on resale, and are valued under methods approved by the
Board of Trustees as reflecting fair value. A security may also be considered
illiquid if it lacks a readily available market or if its valuation has not
changed for a certain period of time. The Portfolio intends to invest no more
than 15% of its net assets (determined at the time of purchase and reviewed
periodically) in illiquid or restricted securities. Certain restricted
securities, eligible for resale to qualified institutional investors, are not
subject to that limitation. The aggregate value of illiquid or restricted
securities subject to this limitation as of June 30, 2000 was $1,449,451, which
represents 1.43% of the Portfolio's net assets, of which $40,831 is considered
restricted. Information concerning restricted securities is as follows
<TABLE>
<CAPTION>
Valuation Per
Acquisition Cost Per Unit as of
Security Dates Unit June 30, 2000
--------------------------------------------------------------------------------
<S> <C> <C> <C>
Stocks
Globix Corp. 6/17/99 $3.51 $29.00
</TABLE>
26 LifeSpan Balanced Portfolio
<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 L. 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 S. Kowalik, 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 J. Bishop, Assistant Treasurer
Scott T. Farrar, Assistant Treasurer
Robert G. Zack, Assistant Secretary
====================================================================================================================================
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.
The financial statements included herein have been taken from the records of the
Portfolio without examination of those records by the independent auditors.
This is a copy of a report to shareholders of LifeSpan Balanced Portfolio. For other
material information concerning the Portfolio, see its prospectus. This report must be
preceded or accompanied by the Portfolio's prospectus, the separate account prospectus,
and current standardized average annual total returns for the separate account being
offered.
Shares of Oppenheimer funds are not deposits or obligations of any bank, are not
guaranteed by any bank, and are not insured by the FDIC or any other agency, and involve
investment risks, including the possible loss of the principal amount invested.
</TABLE>
(C)Copyright 2000 OppenheimerFunds, Inc. All rights reserved.
LifeSpan Balanced Portfolio 27
