Semiannual Report June 30, 2000
LifeSpan Capital
Appreciation Portfolio
A Series of Panorama Series Fund, Inc.
[logo]OppenheimerFunds(R)
The Right Way to Invest
<PAGE>
Panorama Series Fund, Inc.--LifeSpan Portfolios
================================================================================
Objectives:
--------------------------------------------------------------------------------
Panorama LifeSpan Capital Appreciation Portfolio seeks long-term capital
appreciation by investing in a strategically allocated portfolio consisting
primarily of stocks. Current income is not a primary consideration.
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Panorama LifeSpan Balanced Portfolio seeks a blend of capital appreciation and
income by investing in a strategically allocated portfolio of stocks and bonds
with slightly stronger emphasis on stocks.
--------------------------------------------------------------------------------
Panorama LifeSpan Diversified Income Portfolio seeks high current income with
opportunities for capital appreciation by investing in a strategically allocated
portfolio consisting primarily of bonds.
================================================================================
Narrative By Portfolio Management Team
The first half of this year was marked by a continuation of strong economic
growth, inflationary pressures and a sharp increase in financial market
volatility. In this environment, the Panorama LifeSpan Capital Appreciation,
Balanced and Diversified Income Portfolios provided cumulative returns of 2.60%,
2.10% and 2.05%, respectively, for the six-month period that ended June 30,
2000.(1)
During most of the first quarter, the U.S. stock market largely
experienced a continuation of the trends that had begun in about mid-1999.
Throughout this time, investors were drawn to the outstanding results being
generated by a fairly narrow group of large-capitalization growth and technology
issues. As a result, most other sectors languished. While daily fluctuations in
the financial markets increased, downturns were typically viewed by investors as
buying opportunities. This occurred against a backdrop of a series of
interest-rate hikes that the Federal Reserve Board (the Fed) was implementing in
an attempt to cool off the surging economy.
However, with the prospects of rising inflation, continued
interest-rate hikes and high stock valuations, investors began to flee the
technology-heavy Nasdaq in mid-March. While other types of stocks were dragged
down, the Nasdaq experienced the brunt of the decline. By the end of the second
quarter the Nasdaq had fallen roughly 30% from its peak, and the Dow Jones
Industrial Average was down approximately 10% from its high.
Many international developed and emerging stock markets also fell
during the reporting period. As in the United States, this was oftentimes fueled
by declining technology stock prices. In Europe, the ongoing decline in the euro
currency further hampered overall market returns. Despite strong economic
fundamentals in many European countries, investors continued to favor the U.S.
dollar, based on stronger relative growth rates in the United States.
The bond markets also experienced their share of volatility. The strong
economy and rising inflation led to generally poor performance in many areas,
including corporate, mortgage-backed and emerging-markets securities. The market
was also affected by the U.S. Treasury Department's program to buy back
long-term debt. By reducing the supply of these issues it sought to reduce the
interest cost of Treasury debt. This led to a sharp increase in demand for
30-year bonds, and higher long-term bond prices. An inverted yield curve
resulted, in which long-term security yields were lower than their shorter-term
counterparts. Normally, longer-term debt securities offer a yield premium in
exchange for their higher interest-rate and market risks.
In light of this unsettled market environment, we sought to enhance
returns while limiting downside risk. Early in the reporting period, we were
rewarded for our exposure to technology stocks. As the downward correction in
this sector unfolded, we moved to protect gains by lowering our technology
weightings. In the Capital Appreciation and Balanced Portfolios, where we
generally hold international and domestic small-capitalizations stocks, we pared
these holdings in favor of the better relative values we saw in growth and value
stocks. Within those areas, we emphasized securities that we felt offered
attractive valuations, given their prospects for appreciation. As always, please
keep in mind that investing in foreign securities entails additional expenses
and risks including foreign currency fluctuations.
Because the stock market can be volatile, the Fund's performance may be subject
to substantial short-term changes.
1. Includes changes in net asset value per share and does not include the
charges associated with the separate account products which offer this Fund.
Such performance is not annualized and would have been lower if such charges
were taken into account.
2
<PAGE>
Panorama Series Fund, Inc.--LifeSpan Portfolios
================================================================================
Our best bond returns were generated by higher-quality issues, and all three
Portfolios were rewarded for their concentration in U.S. Treasury obligations.
Conversely, we generally lowered our exposure to high-yield bonds, as we believe
issuers could face weakening operating results--and, consequently, a higher
tendency to default--should the economy falter. Within the high-yield sector, we
focused on growth-oriented issues that we believe could withstand an economic
slowdown.
Looking ahead, we expect to see increasing signs of more moderate
economic growth. Historically, rising interest rates ultimately lead to falling
consumer and business spending, and slower growth. Should this occur, many
market participants are hopeful that Federal Reserve interest-rate hikes may end
sooner, rather than later. However, the question remains whether the Federal
Reserve will be able to orchestrate a "soft landing," in which the economy would
expand at a slower rate, while avoiding a recession. Until the direction of the
economy becomes clearer, we expect to see a continuation of market volatility.
As such, for all three Portfolios, we currently anticipate maintaining
allocations that are fairly in line with those of their respective benchmarks.
Overall, we continue to believe that our disciplined strategy of
diversifying assets among a wide variety of U.S. and international stocks and
bonds will serve shareholders well. We are also confident that all three
Panorama LifeSpan Portfolios are well positioned, given current economic and
market conditions.
3
<PAGE>
Statement of Investments June 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
Market Value
Shares Note 1
=======================================================================================================================
<S> <C> <C>
Common Stocks--75.6%
-----------------------------------------------------------------------------------------------------------------------
Basic Materials--2.7%
-----------------------------------------------------------------------------------------------------------------------
Chemicals--1.2%
Air Products & Chemicals, Inc. 3,300 $ 101,681
-----------------------------------------------------------------------------------------------------------------------
Dexter Corp. 6,000 288,000
-----------------------------------------------------------------------------------------------------------------------
Dow Chemical Co. 3,600 108,675
-----------------------------------------------------------------------------------------------------------------------
Du Pont (E.I.) de Nemours & Co. 2,900 126,875
-----------------------------------------------------------------------------------------------------------------------
Fuji Photo Film Co. 4,000 164,075
-----------------------------------------------------------------------------------------------------------------------
IMC Global, Inc. 2,834 36,842
-----------------------------------------------------------------------------------------------------------------------
Rohm & Haas Co. 3,200 110,400
----------
936,548
-----------------------------------------------------------------------------------------------------------------------
Metals--0.8%
Broken Hill Proprietary Co. Ltd. 15,000 177,868
-----------------------------------------------------------------------------------------------------------------------
Carpenter Technology Corp. 4,300 90,837
-----------------------------------------------------------------------------------------------------------------------
Shaw Group, Inc. (The)(1) 7,500 353,437
----------
622,142
-----------------------------------------------------------------------------------------------------------------------
Paper--0.7%
Buhrmann NV 10,217 293,331
-----------------------------------------------------------------------------------------------------------------------
Georgia Pacific Corp. 1,600 42,000
-----------------------------------------------------------------------------------------------------------------------
Georgia Pacific Group/Timber Group 2,300 49,737
-----------------------------------------------------------------------------------------------------------------------
Louisiana-Pacific Corp. 200 2,175
-----------------------------------------------------------------------------------------------------------------------
Weyerhaeuser Co. 4,000 172,000
----------
559,243
-----------------------------------------------------------------------------------------------------------------------
Capital Goods--9.5%
-----------------------------------------------------------------------------------------------------------------------
Aerospace/Defense--1.2%
Boeing Co. 3,700 154,706
-----------------------------------------------------------------------------------------------------------------------
General Dynamics Corp. 9,900 517,275
-----------------------------------------------------------------------------------------------------------------------
L-3 Communications Holdings, Inc.(1) 1,100 62,769
-----------------------------------------------------------------------------------------------------------------------
Northrop Grumman Corp. 3,200 212,000
----------
946,750
-----------------------------------------------------------------------------------------------------------------------
Electrical Equipment--1.9%
ABB Ltd. 650 78,047
-----------------------------------------------------------------------------------------------------------------------
Amphenol Corp., Cl. A(1) 4,800 317,700
-----------------------------------------------------------------------------------------------------------------------
AVX Corp. 1,400 32,112
-----------------------------------------------------------------------------------------------------------------------
CommScope, Inc.(1) 1,200 49,200
-----------------------------------------------------------------------------------------------------------------------
Integrated Device Technology, Inc.(1) 2,100 125,737
-----------------------------------------------------------------------------------------------------------------------
Kemet Corp.(1) 9,000 225,562
-----------------------------------------------------------------------------------------------------------------------
Rockwell International Corp. 2,800 88,200
-----------------------------------------------------------------------------------------------------------------------
Siemens AG 1,300 196,896
-----------------------------------------------------------------------------------------------------------------------
SPX Corp.(1) 2,700 326,531
-----------------------------------------------------------------------------------------------------------------------
Vishay Intertechnology, Inc.(1) 2,100 79,669
----------
1,519,654
4 LifeSpan Capital Appreciation Portfolio
<PAGE>
Statement of Investments (Unaudited) (Continued)
Market Value
Shares Note 1
-----------------------------------------------------------------------------------------------------------------------
Industrial Services--3.9%
Adecco SA 35 $ 29,832
-----------------------------------------------------------------------------------------------------------------------
Capita Group plc 16,000 391,676
-----------------------------------------------------------------------------------------------------------------------
Forrester Research, Inc.(1) 7,400 538,812
-----------------------------------------------------------------------------------------------------------------------
Hays plc 38,000 211,991
-----------------------------------------------------------------------------------------------------------------------
Mobile Mini, Inc.(1) 5,400 119,137
-----------------------------------------------------------------------------------------------------------------------
New England Business Service, Inc. 6,300 102,375
-----------------------------------------------------------------------------------------------------------------------
Newpark Resources, Inc.(1) 15,000 141,562
-----------------------------------------------------------------------------------------------------------------------
Professional Detailing, Inc.(1) 4,500 153,281
-----------------------------------------------------------------------------------------------------------------------
Quanta Services, Inc.(1) 5,100 280,500
-----------------------------------------------------------------------------------------------------------------------
Secom Co. Ltd. 4,000 292,992
-----------------------------------------------------------------------------------------------------------------------
Securitas AB, B Shares 8,950 190,816
-----------------------------------------------------------------------------------------------------------------------
Source Information Management Co. (The)(1) 6,700 102,175
-----------------------------------------------------------------------------------------------------------------------
Tetra Tech, Inc.(1) 8,143 186,271
-----------------------------------------------------------------------------------------------------------------------
United Rentals, Inc.(1) 10,000 171,250
-----------------------------------------------------------------------------------------------------------------------
Valassis Communications, Inc.(1) 1,200 45,750
-----------------------------------------------------------------------------------------------------------------------
Waste Connections, Inc.(1) 6,000 118,500
-----------------------------------------------------------------------------------------------------------------------
Zomax, Inc.(1) 8,400 110,250
----------
3,187,170
-----------------------------------------------------------------------------------------------------------------------
Manufacturing--2.5%
Avery-Dennison Corp. 800 53,700
-----------------------------------------------------------------------------------------------------------------------
Ball Corp. 1,100 35,406
-----------------------------------------------------------------------------------------------------------------------
BBA Group plc 21,000 137,659
-----------------------------------------------------------------------------------------------------------------------
Brambles Industries Ltd. 6,000 184,933
-----------------------------------------------------------------------------------------------------------------------
Briggs & Stratton Corp. 1,300 44,525
-----------------------------------------------------------------------------------------------------------------------
Cooper Industries, Inc. 1,900 61,869
-----------------------------------------------------------------------------------------------------------------------
Crane Co. 4,600 111,837
-----------------------------------------------------------------------------------------------------------------------
Credence Systems Corp.(1) 7,400 408,387
-----------------------------------------------------------------------------------------------------------------------
Deere & Co. 1,200 44,400
-----------------------------------------------------------------------------------------------------------------------
Dover Corp. 4,300 174,419
-----------------------------------------------------------------------------------------------------------------------
Eaton Corp. 500 33,500
-----------------------------------------------------------------------------------------------------------------------
Honeywell International, Inc. 2,600 87,587
-----------------------------------------------------------------------------------------------------------------------
Kulicke & Soffa Industries, Inc.(1) 1,400 83,125
-----------------------------------------------------------------------------------------------------------------------
Miller (Herman), Inc. 1,800 46,575
-----------------------------------------------------------------------------------------------------------------------
Minnesota Mining & Manufacturing Co. 3,900 321,750
-----------------------------------------------------------------------------------------------------------------------
Parker-Hannifin Corp. 1,600 54,800
-----------------------------------------------------------------------------------------------------------------------
ROHN Industries, Inc.(1) 12,000 50,625
-----------------------------------------------------------------------------------------------------------------------
Textron, Inc. 700 38,019
-----------------------------------------------------------------------------------------------------------------------
United Technologies Corp. 800 47,100
----------
2,020,216
LifeSpan Capital Appreciation Portfolio 5
<PAGE>
Statement of Investments (Unaudited) (Continued)
Market Value
Shares Note 1
-----------------------------------------------------------------------------------------------------------------------
Communication Services--5.8%
-----------------------------------------------------------------------------------------------------------------------
Telecommunications: Long Distance--2.9%
ALLTEL Corp. 4,900 $ 303,494
-----------------------------------------------------------------------------------------------------------------------
AT&T Corp. 4,900 154,962
-----------------------------------------------------------------------------------------------------------------------
Deutsche Telekom AG 6,300 361,143
-----------------------------------------------------------------------------------------------------------------------
e.spire Communications, Inc.(1) 1,416 9,558
-----------------------------------------------------------------------------------------------------------------------
KPN NV 6,046 271,528
-----------------------------------------------------------------------------------------------------------------------
Matsushita Communication Industrial Co. 2,000 234,015
-----------------------------------------------------------------------------------------------------------------------
Microcell Telecommunications, Inc., Cl. B(1) 429 15,498
-----------------------------------------------------------------------------------------------------------------------
Nippon Comsys Corp. 9,000 191,815
-----------------------------------------------------------------------------------------------------------------------
Spirent plc(1) 63,000 423,945
-----------------------------------------------------------------------------------------------------------------------
Telefonaktiebolaget LM Ericsson AB, Cl. B 20,000 397,902
----------
2,363,860
-----------------------------------------------------------------------------------------------------------------------
Telephone Utilities--1.7%
BellSouth Corp. 9,600 409,200
-----------------------------------------------------------------------------------------------------------------------
Energis plc(1) 5,000 187,572
-----------------------------------------------------------------------------------------------------------------------
Hellenic Telecommunication Organization SA 6,900 169,049
-----------------------------------------------------------------------------------------------------------------------
SBC Communications, Inc. 5,200 224,900
-----------------------------------------------------------------------------------------------------------------------
Swisscom AG 155 53,856
-----------------------------------------------------------------------------------------------------------------------
Telefonica SA(1) 15,627 337,051
----------
1,381,628
-----------------------------------------------------------------------------------------------------------------------
Telecommunications: Wireless--1.2%
Nokia Oyj 9,600 491,877
-----------------------------------------------------------------------------------------------------------------------
NTT Docomo, Inc. 12 325,504
-----------------------------------------------------------------------------------------------------------------------
Price Communications Corp.(1) 6,731 158,599
----------
975,980
-----------------------------------------------------------------------------------------------------------------------
Consumer Cyclicals--5.7%
-----------------------------------------------------------------------------------------------------------------------
Autos & Housing--1.0%
Bridgestone Corp. 7,000 148,528
-----------------------------------------------------------------------------------------------------------------------
Cheung Kong (Holdings) Ltd. 12,000 132,772
-----------------------------------------------------------------------------------------------------------------------
Fortune Brands, Inc. 1,300 29,981
-----------------------------------------------------------------------------------------------------------------------
Genuine Parts Co. 5,800 116,000
-----------------------------------------------------------------------------------------------------------------------
Lafarge SA 1,700 132,651
-----------------------------------------------------------------------------------------------------------------------
Overseas Union Enterprise Ltd. 20,000 48,583
-----------------------------------------------------------------------------------------------------------------------
Stanley Works (The) 7,500 178,125
-----------------------------------------------------------------------------------------------------------------------
Vulcan Materials Co. 1,000 42,687
----------
829,327
-----------------------------------------------------------------------------------------------------------------------
Consumer Services--0.2%
Dun & Bradstreet Corp. 5,300 151,712
-----------------------------------------------------------------------------------------------------------------------
Harte-Hanks, Inc. 1,300 32,500
----------
184,212
6 LifeSpan Capital Appreciation Portfolio
<PAGE>
Statement of Investments (Unaudited) (Continued)
Market Value
Shares Note 1
-----------------------------------------------------------------------------------------------------------------------
Leisure & Entertainment--0.3%
Marriott International, Inc., Cl. A 4,500 $ 162,281
-----------------------------------------------------------------------------------------------------------------------
Mattel, Inc. 8,500 112,094
----------
274,375
-----------------------------------------------------------------------------------------------------------------------
Media--1.7%
Central Newspapers, Inc., Cl. A 900 56,925
-----------------------------------------------------------------------------------------------------------------------
Deluxe Corp. 5,300 124,881
-----------------------------------------------------------------------------------------------------------------------
Gannett Co., Inc. 2,500 149,531
-----------------------------------------------------------------------------------------------------------------------
Harcourt General, Inc. 3,000 163,125
-----------------------------------------------------------------------------------------------------------------------
Knight-Ridder, Inc. 4,300 228,706
-----------------------------------------------------------------------------------------------------------------------
Modern Times Group, Cl. B(1) 4,000 191,540
-----------------------------------------------------------------------------------------------------------------------
Tweeter Home Entertainment Group, Inc.(1) 7,400 224,775
-----------------------------------------------------------------------------------------------------------------------
VNU-Verenigde Nederlandse Uitgeverbedrijven Verenigd Bezit 5,030 260,857
----------
1,400,340
-----------------------------------------------------------------------------------------------------------------------
Retail: General--0.8%
Family Dollar Stores, Inc. 900 17,606
-----------------------------------------------------------------------------------------------------------------------
Federated Department Stores, Inc.(1) 1,100 37,125
-----------------------------------------------------------------------------------------------------------------------
Ito-Yokado Co. Ltd. 2,000 120,599
-----------------------------------------------------------------------------------------------------------------------
May Department Stores Co. 1,600 38,400
-----------------------------------------------------------------------------------------------------------------------
Pinault-Printemps-Redoute SA 1,000 223,066
-----------------------------------------------------------------------------------------------------------------------
Sears Roebuck & Co. 5,400 176,175
----------
612,971
-----------------------------------------------------------------------------------------------------------------------
Retail: Specialty--1.4%
BJ's Wholesale Club, Inc.(1) 700 23,100
-----------------------------------------------------------------------------------------------------------------------
Brown Shoe Co., Inc. 9,700 126,100
-----------------------------------------------------------------------------------------------------------------------
Insight Enterprises, Inc.(1) 6,950 412,222
-----------------------------------------------------------------------------------------------------------------------
Kingfisher plc 15,000 136,592
-----------------------------------------------------------------------------------------------------------------------
RadioShack Corp. 900 42,637
-----------------------------------------------------------------------------------------------------------------------
Ross Stores, Inc. 400 6,825
-----------------------------------------------------------------------------------------------------------------------
Sherwin-Williams Co. 8,500 180,094
-----------------------------------------------------------------------------------------------------------------------
Whitehall Jewellers, Inc.(1) 8,550 159,244
----------
1,086,814
-----------------------------------------------------------------------------------------------------------------------
Textile/Apparel & Home Furnishings--0.3%
Jones Apparel Group, Inc.(1) 700 16,450
-----------------------------------------------------------------------------------------------------------------------
Linens 'N Things, Inc.(1) 6,500 176,312
-----------------------------------------------------------------------------------------------------------------------
Liz Claiborne, Inc. 800 28,200
-----------------------------------------------------------------------------------------------------------------------
Shaw Industries, Inc. 3,200 40,000
----------
260,962
-----------------------------------------------------------------------------------------------------------------------
Consumer Staples--4.0%
-----------------------------------------------------------------------------------------------------------------------
Beverages--0.2%
Adolph Coors Co., Cl. B 800 48,400
-----------------------------------------------------------------------------------------------------------------------
Anheuser-Busch Cos., Inc. 1,900 141,906
----------
190,306
LifeSpan Capital Appreciation Portfolio 7
<PAGE>
Statement of Investments (Unaudited) (Continued)
Market Value
Shares Note 1
-----------------------------------------------------------------------------------------------------------------------
Broadcasting--0.2%
Citadel Communications Corp.(1) 3,800 $132,762
-----------------------------------------------------------------------------------------------------------------------
Education--0.2%
Education Management Corp.(1) 10,200 184,237
-----------------------------------------------------------------------------------------------------------------------
Entertainment--0.5%
Brinker International, Inc.(1) 3,000 87,750
-----------------------------------------------------------------------------------------------------------------------
Darden Restaurants, Inc. 4,200 68,250
-----------------------------------------------------------------------------------------------------------------------
McDonald's Corp. 1,000 32,937
-----------------------------------------------------------------------------------------------------------------------
P.F. Chang's China Bistro, Inc.(1) 7,100 226,756
-----------------------------------------------------------------------------------------------------------------------
Wendy's International, Inc. 900 16,031
--------
431,724
-----------------------------------------------------------------------------------------------------------------------
Food--1.0%
Bestfoods 2,400 166,200
-----------------------------------------------------------------------------------------------------------------------
ConAgra, Inc. 4,900 93,406
-----------------------------------------------------------------------------------------------------------------------
Heinz (H.J.) Co. 1,600 70,000
-----------------------------------------------------------------------------------------------------------------------
Hormel Foods Corp. 800 13,450
-----------------------------------------------------------------------------------------------------------------------
International Home Foods, Inc.(1) 1,900 39,781
-----------------------------------------------------------------------------------------------------------------------
Keebler Foods Co. 1,400 51,975
-----------------------------------------------------------------------------------------------------------------------
Kerry Group plc, Cl. A 10,000 131,232
-----------------------------------------------------------------------------------------------------------------------
Nestle SA 75 150,590
-----------------------------------------------------------------------------------------------------------------------
Sara Lee Corp. 2,500 48,281
--------
764,915
-----------------------------------------------------------------------------------------------------------------------
Food & Drug Retailers--0.8%
Express Scripts, Inc., Cl. A(1) 2,700 167,737
-----------------------------------------------------------------------------------------------------------------------
Kroger Co.(1) 9,600 211,800
-----------------------------------------------------------------------------------------------------------------------
SUPERVALU, Inc. 3,900 74,344
-----------------------------------------------------------------------------------------------------------------------
William Morrison Supermarkets plc 68,000 145,153
--------
599,034
-----------------------------------------------------------------------------------------------------------------------
Household Goods--1.1%
Blyth, Inc. 4,100 120,950
-----------------------------------------------------------------------------------------------------------------------
Kimberly-Clark Corp. 6,400 367,200
-----------------------------------------------------------------------------------------------------------------------
L'OREAL 200 173,890
-----------------------------------------------------------------------------------------------------------------------
Procter & Gamble Co. 4,400 251,900
--------
913,940
-----------------------------------------------------------------------------------------------------------------------
Energy--4.9%
-----------------------------------------------------------------------------------------------------------------------
Energy Services--0.5%
Anadarko Petroleum Corp. 1,000 49,313
-----------------------------------------------------------------------------------------------------------------------
ENSCO International, Inc. 1,700 60,881
-----------------------------------------------------------------------------------------------------------------------
Global Marine, Inc.(1) 3,000 84,563
-----------------------------------------------------------------------------------------------------------------------
St. Mary Land & Exploration Co. 5,600 235,550
--------
430,307
8 LifeSpan Capital Appreciation Portfolio
<PAGE>
Statement of Investments (Unaudited) (Continued)
Market Value
Shares Note 1
-----------------------------------------------------------------------------------------------------------------------
Oil: Domestic--2.4%
Apache Corp. 600 $ 35,288
-----------------------------------------------------------------------------------------------------------------------
Burlington Resources, Inc. 1,000 38,250
-----------------------------------------------------------------------------------------------------------------------
Chevron Corp. 3,300 279,881
-----------------------------------------------------------------------------------------------------------------------
Conoco, Inc., Cl. A 2,500 55,000
-----------------------------------------------------------------------------------------------------------------------
Exxon Mobil Corp. 11,520 904,320
-----------------------------------------------------------------------------------------------------------------------
Murphy Oil Corp. 3,700 219,919
-----------------------------------------------------------------------------------------------------------------------
Occidental Petroleum Corp. 6,200 130,588
-----------------------------------------------------------------------------------------------------------------------
Phillips Petroleum Co. 3,700 187,544
-----------------------------------------------------------------------------------------------------------------------
Texaco, Inc. 2,300 122,475
----------
1,973,265
-----------------------------------------------------------------------------------------------------------------------
Oil: International--2.0%
Abraxas Petroleum Corp.(1) 2,980 4,470
-----------------------------------------------------------------------------------------------------------------------
BP Amoco plc, ADR 15,296 865,180
-----------------------------------------------------------------------------------------------------------------------
Royal Dutch Petroleum Co., NY Shares 2,300 141,594
-----------------------------------------------------------------------------------------------------------------------
Shell Transport & Trading Co. plc 30,000 250,475
-----------------------------------------------------------------------------------------------------------------------
Total Fina Elf SA, B Shares 1,800 277,112
-----------------------------------------------------------------------------------------------------------------------
Total Fina Elf SA, Sponsored ADR 1,100 84,494
----------
1,623,325
-----------------------------------------------------------------------------------------------------------------------
Financial--13.5%
-----------------------------------------------------------------------------------------------------------------------
Banks--4.7%
Banco Bilbao Vizcaya Argentaria, SA 10,000 150,021
-----------------------------------------------------------------------------------------------------------------------
Banco Popular Espanol SA 4,800 149,081
-----------------------------------------------------------------------------------------------------------------------
Bank of America Corp. 6,400 275,200
-----------------------------------------------------------------------------------------------------------------------
Bank of New York Co., Inc. (The) 1,500 69,750
-----------------------------------------------------------------------------------------------------------------------
Bank of Scotland 15,247 145,073
-----------------------------------------------------------------------------------------------------------------------
Bank One Corp. 3,500 92,969
-----------------------------------------------------------------------------------------------------------------------
Bipop-Carire SpA 30,000 236,966
-----------------------------------------------------------------------------------------------------------------------
BNP Paribas 1,800 173,928
-----------------------------------------------------------------------------------------------------------------------
Chase Manhattan Corp. 6,150 283,284
-----------------------------------------------------------------------------------------------------------------------
Credit Suisse Group 770 153,659
-----------------------------------------------------------------------------------------------------------------------
DePfa Deutsche Pfandbriefbank AG (DePfa-Bank) 2,200 221,647
-----------------------------------------------------------------------------------------------------------------------
First Union Corp. 4,700 116,619
-----------------------------------------------------------------------------------------------------------------------
Firstar Corp. 1,000 21,063
-----------------------------------------------------------------------------------------------------------------------
Fuji Bank Ltd. (The) 17,000 129,502
-----------------------------------------------------------------------------------------------------------------------
Lloyds TSB Group plc 16,450 155,399
-----------------------------------------------------------------------------------------------------------------------
Mellon Financial Corp. 8,400 306,075
-----------------------------------------------------------------------------------------------------------------------
Nordbanken Holding AB 28,000 209,358
-----------------------------------------------------------------------------------------------------------------------
Overseas Union Bank Ltd. 19,414 75,231
-----------------------------------------------------------------------------------------------------------------------
PNC Financial Services Group 5,200 243,750
-----------------------------------------------------------------------------------------------------------------------
Roslyn Bancorp, Inc. 1,600 26,575
-----------------------------------------------------------------------------------------------------------------------
Sanwa Bank Ltd. (The) 13,000 103,946
LifeSpan Capital Appreciation Portfolio 9
<PAGE>
Statement of Investments (Unaudited) (Continued)
Market Value
Shares Note 1
-----------------------------------------------------------------------------------------------------------------------
Bank (continued)
SunTrust Banks, Inc. 2,000 $ 91,375
-----------------------------------------------------------------------------------------------------------------------
UnionBanCal Corp. 4,700 87,244
-----------------------------------------------------------------------------------------------------------------------
Wachovia Corp. 900 48,825
-----------------------------------------------------------------------------------------------------------------------
Wells Fargo Co. 6,000 232,500
----------
3,799,040
-----------------------------------------------------------------------------------------------------------------------
Diversified Financial--4.4%
AMBAC Financial Group, Inc. 800 43,850
-----------------------------------------------------------------------------------------------------------------------
American Express Co. 2,700 140,738
-----------------------------------------------------------------------------------------------------------------------
Bear Stearns Cos., Inc. 500 20,813
-----------------------------------------------------------------------------------------------------------------------
Cattles plc 30,000 111,272
-----------------------------------------------------------------------------------------------------------------------
ChoicePoint, Inc.(1) 5,600 249,200
-----------------------------------------------------------------------------------------------------------------------
Citigroup, Inc. 7,600 457,900
-----------------------------------------------------------------------------------------------------------------------
Credit Saison Co. Ltd. 7,300 169,727
-----------------------------------------------------------------------------------------------------------------------
Fannie Mae 3,200 167,000
-----------------------------------------------------------------------------------------------------------------------
Franklin Resources, Inc. 1,000 30,375
-----------------------------------------------------------------------------------------------------------------------
Freddie Mac 800 32,400
-----------------------------------------------------------------------------------------------------------------------
Goldman Sachs Group, Inc. (The) 1,600 151,800
-----------------------------------------------------------------------------------------------------------------------
ING Groep NV 3,046 206,729
-----------------------------------------------------------------------------------------------------------------------
John Hancock Financial Services, Inc.(1) 2,500 59,219
-----------------------------------------------------------------------------------------------------------------------
Lend Lease Corp. Ltd. 12,000 153,520
-----------------------------------------------------------------------------------------------------------------------
Merrill Lynch & Co., Inc. 800 92,000
-----------------------------------------------------------------------------------------------------------------------
Metris Cos., Inc. 7,200 180,900
-----------------------------------------------------------------------------------------------------------------------
Morgan Stanley Dean Witter & Co. 2,600 216,450
-----------------------------------------------------------------------------------------------------------------------
Nationwide Financial Services, Inc., Cl. A 500 16,438
-----------------------------------------------------------------------------------------------------------------------
Nomura Securities Co. Ltd. 15,000 367,894
-----------------------------------------------------------------------------------------------------------------------
PaineWebber Group, Inc. 600 27,300
-----------------------------------------------------------------------------------------------------------------------
PMI Group, Inc. (The) 1,200 57,000
-----------------------------------------------------------------------------------------------------------------------
Promise Co. Ltd. 3,700 293,049
-----------------------------------------------------------------------------------------------------------------------
Reckson Associates Realty Corp., Cl. B 3,662 93,152
-----------------------------------------------------------------------------------------------------------------------
Senior Housing Properties Trust 920 6,728
-----------------------------------------------------------------------------------------------------------------------
Swire Pacific Ltd., Cl. B 210,000 171,065
----------
3,516,519
-----------------------------------------------------------------------------------------------------------------------
Insurance--3.7%
ACE Ltd. 3,100 86,800
-----------------------------------------------------------------------------------------------------------------------
Advance Paradigm, Inc.(1) 6,800 139,400
-----------------------------------------------------------------------------------------------------------------------
Aegon NV 4,596 163,733
-----------------------------------------------------------------------------------------------------------------------
Aegon NV 2,610 93,248
-----------------------------------------------------------------------------------------------------------------------
Allmerica Financial Corp. 600 31,425
-----------------------------------------------------------------------------------------------------------------------
Allstate Corp. 5,500 122,375
-----------------------------------------------------------------------------------------------------------------------
American General Corp. 2,200 134,200
-----------------------------------------------------------------------------------------------------------------------
American International Group, Inc. 1,200 141,000
-----------------------------------------------------------------------------------------------------------------------
AXA Financial, Inc. 1,400 47,600
-----------------------------------------------------------------------------------------------------------------------
AXA SA 1,400 221,437
10 LifeSpan Capital Appreciation Portfolio
<PAGE>
Statement of Investments (Unaudited) (Continued)
Market Value
Shares Note 1
-----------------------------------------------------------------------------------------------------------------------
Insurance (continued)
Chubb Corp. 2,300 $ 141,450
-----------------------------------------------------------------------------------------------------------------------
Cigna Corp. 2,000 187,000
-----------------------------------------------------------------------------------------------------------------------
HSB Group, Inc. 3,750 116,719
-----------------------------------------------------------------------------------------------------------------------
Irish Life & Permanent plc 9,127 77,255
-----------------------------------------------------------------------------------------------------------------------
Jefferson-Pilot Corp. 3,800 214,463
-----------------------------------------------------------------------------------------------------------------------
Lincoln National Corp. 6,400 231,200
-----------------------------------------------------------------------------------------------------------------------
Manulife Financial Corp. 2,800 49,875
-----------------------------------------------------------------------------------------------------------------------
Marsh & McLennan Cos., Inc. 1,100 114,881
-----------------------------------------------------------------------------------------------------------------------
MetLife, Inc.(1) 11,400 240,113
-----------------------------------------------------------------------------------------------------------------------
Radian Group, Inc. 1,200 62,100
-----------------------------------------------------------------------------------------------------------------------
St. Paul Cos., Inc. 250 8,531
-----------------------------------------------------------------------------------------------------------------------
XL Capital Ltd., Cl. A 6,600 357,225
----------
2,982,030
-----------------------------------------------------------------------------------------------------------------------
Real Estate Investment Trusts--0.6%
Camden Property Trust 7,200 211,500
-----------------------------------------------------------------------------------------------------------------------
Equity Office Properties Trust 4,855 133,816
-----------------------------------------------------------------------------------------------------------------------
Healthcare Realty Trust, Inc. 6,814 116,264
-----------------------------------------------------------------------------------------------------------------------
HRPT Properties Trust 9,200 56,350
----------
517,930
-----------------------------------------------------------------------------------------------------------------------
Savings & Loans--0.1%
Washington Mutual, Inc. 1,400 40,425
-----------------------------------------------------------------------------------------------------------------------
Healthcare--8.8%
-----------------------------------------------------------------------------------------------------------------------
Healthcare/Drugs--5.9%
Abbott Laboratories 3,900 173,794
-----------------------------------------------------------------------------------------------------------------------
American Home Products Corp. 2,700 158,625
-----------------------------------------------------------------------------------------------------------------------
Bristol-Myers Squibb Co. 3,000 174,750
-----------------------------------------------------------------------------------------------------------------------
Celgene Corp.(1) 12,000 706,500
-----------------------------------------------------------------------------------------------------------------------
Gedeon Richter Ltd., GDR(2) 2,400 129,600
-----------------------------------------------------------------------------------------------------------------------
Glaxo Wellcome plc 6,066 176,963
-----------------------------------------------------------------------------------------------------------------------
HCA-Healthcare Corp. (The) 3,800 115,425
-----------------------------------------------------------------------------------------------------------------------
Invitrogen Corp.(1) 2,300 172,967
-----------------------------------------------------------------------------------------------------------------------
Johnson & Johnson 1,800 183,375
-----------------------------------------------------------------------------------------------------------------------
Jones Pharma, Inc. 7,875 314,508
-----------------------------------------------------------------------------------------------------------------------
King Pharmaceuticals, Inc.(1) 11,475 503,466
-----------------------------------------------------------------------------------------------------------------------
Mallinckrodt, Inc. 4,100 178,094
-----------------------------------------------------------------------------------------------------------------------
Merck & Co., Inc. 3,400 260,525
-----------------------------------------------------------------------------------------------------------------------
Novartis AG 100 158,908
-----------------------------------------------------------------------------------------------------------------------
Noven Pharmaceuticals, Inc.(1) 8,300 249,519
-----------------------------------------------------------------------------------------------------------------------
Sanofi-Synthelabo SA 6,000 287,005
-----------------------------------------------------------------------------------------------------------------------
Schering AG 3,600 198,085
-----------------------------------------------------------------------------------------------------------------------
SmithKline Beecham plc 17,079 223,654
-----------------------------------------------------------------------------------------------------------------------
Takeda Chemical Industries Ltd. 3,000 197,344
-----------------------------------------------------------------------------------------------------------------------
UnitedHealth Group, Inc. 1,900 162,925
----------
4,726,032
LifeSpan Capital Appreciation Portfolio 11
<PAGE>
Statement of Investments (Unaudited) (Continued)
Market Value
Shares Note 1
-----------------------------------------------------------------------------------------------------------------------
Healthcare/Supplies & Services--2.9%
ArthroCare Corp.(1) 3,100 $ 165,075
-----------------------------------------------------------------------------------------------------------------------
Baxter International, Inc. 2,200 154,688
-----------------------------------------------------------------------------------------------------------------------
Cardinal Health, Inc. 2,400 177,600
-----------------------------------------------------------------------------------------------------------------------
Fresenius AG, Preference 900 208,783
-----------------------------------------------------------------------------------------------------------------------
Luxottica Group SpA, Sponsored ADR 24,000 292,500
-----------------------------------------------------------------------------------------------------------------------
Molecular Devices Corp.(1) 4,700 325,181
-----------------------------------------------------------------------------------------------------------------------
PacifiCare Health Systems, Inc.(1) 3,000 180,563
-----------------------------------------------------------------------------------------------------------------------
SSL International plc 14,000 151,541
-----------------------------------------------------------------------------------------------------------------------
Terumo Corp. 10,000 339,303
-----------------------------------------------------------------------------------------------------------------------
WellPoint Health Networks, Inc.(1) 2,200 159,363
-----------------------------------------------------------------------------------------------------------------------
Zoll Medical Corp.(1) 4,300 210,700
----------
2,365,297
-----------------------------------------------------------------------------------------------------------------------
Technology--14.8%
-----------------------------------------------------------------------------------------------------------------------
Computer Hardware--1.7%
Agilent Technologies, Inc.(1) 228 16,815
-----------------------------------------------------------------------------------------------------------------------
Apple Computer, Inc.(1) 3,800 199,025
-----------------------------------------------------------------------------------------------------------------------
Digital Lightwave, Inc.(1) 2,700 271,519
-----------------------------------------------------------------------------------------------------------------------
Hewlett-Packard Co. 1,400 174,825
-----------------------------------------------------------------------------------------------------------------------
International Business Machines Corp. 2,800 306,775
-----------------------------------------------------------------------------------------------------------------------
Lexmark International Group, Inc., Cl. A 700 47,075
-----------------------------------------------------------------------------------------------------------------------
SanDisk Corp.(1) 6,400 391,600
----------
1,407,634
-----------------------------------------------------------------------------------------------------------------------
Computer Services--1.6%
Diamond Technology Partners, Inc.(1) 5,600 492,800
-----------------------------------------------------------------------------------------------------------------------
First Data Corp. 3,500 173,688
-----------------------------------------------------------------------------------------------------------------------
Getronics NV 12,041 186,411
-----------------------------------------------------------------------------------------------------------------------
Intraware, Inc.(1) 4,600 73,888
-----------------------------------------------------------------------------------------------------------------------
MedQuist, Inc.(1) 2,842 96,628
-----------------------------------------------------------------------------------------------------------------------
Proxicom, Inc.(1) 2,300 110,113
-----------------------------------------------------------------------------------------------------------------------
WebTrends Corp.(1) 4,800 185,700
----------
1,319,228
-----------------------------------------------------------------------------------------------------------------------
Computer Software--3.6%
Actuate Corp.(1) 9,200 491,050
-----------------------------------------------------------------------------------------------------------------------
Advanced Digital Information Corp.(1) 9,400 149,813
-----------------------------------------------------------------------------------------------------------------------
Advent Software, Inc.(1) 7,700 496,650
-----------------------------------------------------------------------------------------------------------------------
Computer Associates International, Inc. 1,800 92,138
-----------------------------------------------------------------------------------------------------------------------
Great Plains Software, Inc.(1) 3,100 60,838
-----------------------------------------------------------------------------------------------------------------------
Logica plc 18,000 426,193
-----------------------------------------------------------------------------------------------------------------------
Mercury Interactive Corp.(1) 5,600 541,800
-----------------------------------------------------------------------------------------------------------------------
Micromuse, Inc.(1) 3,400 562,647
-----------------------------------------------------------------------------------------------------------------------
Symantec Corp.(1) 1,400 75,513
----------
2,896,642
12 LifeSpan Capital Appreciation Portfolio
<PAGE>
Statement of Investments (Unaudited) (Continued)
Market Value
Shares Note 1
-----------------------------------------------------------------------------------------------------------------------
Communications Equipment--2.4%
ADC Telecommunications, Inc.(1) 1,800 $ 150,975
-----------------------------------------------------------------------------------------------------------------------
Alcatel SA 2,500 164,640
-----------------------------------------------------------------------------------------------------------------------
Ditech Communications Corp.(1) 3,200 302,600
-----------------------------------------------------------------------------------------------------------------------
Extreme Networks, Inc.(1) 2,100 221,550
-----------------------------------------------------------------------------------------------------------------------
Polycom, Inc.(1) 3,700 348,147
-----------------------------------------------------------------------------------------------------------------------
Vodafone Group plc 187,929 759,630
----------
1,947,542
-----------------------------------------------------------------------------------------------------------------------
Electronics--5.5%
Advanced Energy Industries, Inc.(1) 4,700 277,006
-----------------------------------------------------------------------------------------------------------------------
Advanced Micro Devices, Inc.(1) 900 69,525
-----------------------------------------------------------------------------------------------------------------------
ANADIGICS, Inc.(1) 3,900 132,844
-----------------------------------------------------------------------------------------------------------------------
Anaren Microwave, Inc.(1) 7,350 964,573
-----------------------------------------------------------------------------------------------------------------------
Cymer, Inc.(1) 5,200 248,300
-----------------------------------------------------------------------------------------------------------------------
Cypress Semiconductor Corp.(1) 1,600 67,600
-----------------------------------------------------------------------------------------------------------------------
Dallas Semiconductor Corp. 3,000 122,250
-----------------------------------------------------------------------------------------------------------------------
Electrocomponents plc 23,000 235,033
-----------------------------------------------------------------------------------------------------------------------
Hoshiden Corp. 11,000 467,842
-----------------------------------------------------------------------------------------------------------------------
Hoya Corp. 4,000 359,151
-----------------------------------------------------------------------------------------------------------------------
Intel Corp. 1,000 133,688
-----------------------------------------------------------------------------------------------------------------------
Matsushita Electric Industrial Co.(1) 7,000 181,938
-----------------------------------------------------------------------------------------------------------------------
National Semiconductor Corp.(1) 2,800 158,900
-----------------------------------------------------------------------------------------------------------------------
Novellus Systems, Inc.(1) 1,900 107,469
-----------------------------------------------------------------------------------------------------------------------
Sony Corp. 3,200 299,419
-----------------------------------------------------------------------------------------------------------------------
Teradyne, Inc.(1) 1,300 95,550
-----------------------------------------------------------------------------------------------------------------------
TranSwitch Corp.(1) 5,550 428,391
-----------------------------------------------------------------------------------------------------------------------
Zebra Technologies Corp., Cl. A(1) 1,300 57,606
----------
4,407,085
-----------------------------------------------------------------------------------------------------------------------
Transportation--0.7%
-----------------------------------------------------------------------------------------------------------------------
Air Transportation--0.2%
Delta Air Lines, Inc. 1,100 55,619
-----------------------------------------------------------------------------------------------------------------------
Japan Airport Terminal Co. Ltd. 14,000 124,512
----------
180,131
-----------------------------------------------------------------------------------------------------------------------
Railroads & Truckers--0.5%
GATX Corp. 10,400 353,600
-----------------------------------------------------------------------------------------------------------------------
Union Pacific Corp. 1,500 55,781
----------
409,381
LifeSpan Capital Appreciation Portfolio 13
<PAGE>
Statement of Investments (Unaudited) (Continued)
Market Value
Shares Note 1
-----------------------------------------------------------------------------------------------------------------------
Utilities--5.2%
-----------------------------------------------------------------------------------------------------------------------
Electric Utilities--3.2%
CLP Holdings Ltd. 33,000 $ 153,670
-----------------------------------------------------------------------------------------------------------------------
Conectiv, Inc. 7,900 122,944
-----------------------------------------------------------------------------------------------------------------------
CP&L Energy, Inc. 2,100 67,069
-----------------------------------------------------------------------------------------------------------------------
Duke Energy Corp. 8,748 493,169
-----------------------------------------------------------------------------------------------------------------------
FPL Group, Inc. 6,700 331,650
-----------------------------------------------------------------------------------------------------------------------
Kansas City Power & Light Co. 6,600 148,500
-----------------------------------------------------------------------------------------------------------------------
Montana Power Co. 5,600 197,750
-----------------------------------------------------------------------------------------------------------------------
Peco Energy Co. 3,600 145,125
-----------------------------------------------------------------------------------------------------------------------
Potomac Electric Power Co. 2,200 55,000
-----------------------------------------------------------------------------------------------------------------------
Public Service Enterprise Group, Inc. 4,200 145,425
-----------------------------------------------------------------------------------------------------------------------
Reliant Energy, Inc. 8,900 263,106
-----------------------------------------------------------------------------------------------------------------------
Tokyo Electric Power Corp.(1) 5,000 122,159
-----------------------------------------------------------------------------------------------------------------------
TXU Corp. 3,600 106,200
-----------------------------------------------------------------------------------------------------------------------
Unicom Corp. 1,700 65,769
-----------------------------------------------------------------------------------------------------------------------
Vivendi (Ex-Generale des Eaux) 1,300 115,209
-----------------------------------------------------------------------------------------------------------------------
Western Resources, Inc. 5,200 80,600
-----------
2,613,345
-----------------------------------------------------------------------------------------------------------------------
Gas Utilities--2.0%
El Paso Energy Corp. 16,400 835,375
-----------------------------------------------------------------------------------------------------------------------
Hong Kong & China Gas Co. Ltd. 128,700 144,462
-----------------------------------------------------------------------------------------------------------------------
National Fuel Gas Co. 5,600 273,000
-----------------------------------------------------------------------------------------------------------------------
NICOR, Inc. 4,700 153,338
-----------------------------------------------------------------------------------------------------------------------
Questar Corp. 10,800 209,250
-----------
1,615,425
-----------
Total Common Stocks (Cost $47,025,879) 61,149,693
=======================================================================================================================
Preferred Stocks--0.1%
-----------------------------------------------------------------------------------------------------------------------
PRIMEDIA, Inc., 10% Cum., Series D, Non-Vtg.(3) (Cost $50,000) 500 48,125
Units
=======================================================================================================================
Rights, Warrants and Certificates--0.0%
-----------------------------------------------------------------------------------------------------------------------
Abraxas Petroleum Corp. Wts., Exp. 11/1/04(3) 2,980 2,980
-----------------------------------------------------------------------------------------------------------------------
Arcadia Financial Ltd. Wts., Exp. 3/15/07 75 --
-----------------------------------------------------------------------------------------------------------------------
Australis Holdings PTY Ltd./Australia Media Ltd. Wts., Exp. 10/30/01(3) 100 1
-----------------------------------------------------------------------------------------------------------------------
Diva Systems Corp. Wts., Exp. 3/1/08(3) 300 7,800
-----------------------------------------------------------------------------------------------------------------------
Mrs. Fields Holdings, Inc. Wts., Exp. 12/31/49 100 1,050
-----------
Total Rights, Warrants and Certificates (Cost $447) 11,831
14 LifeSpan Capital Appreciation Portfolio
<PAGE>
Statement of Investments (Unaudited) (Continued)
Principal Market Value
Amount Note 1
=======================================================================================================================
Asset-Backed Securities--0.2%
-----------------------------------------------------------------------------------------------------------------------
Arcadia Automobile Receivables Trust, Automobile Receivables-Backed Nts.,
Series 1998-B, Cl. A3, 5.95%, 11/15/02 $ 58,561 $ 58,269
-----------------------------------------------------------------------------------------------------------------------
IROQUOIS Trust, Asset-Backed Amortizing Nts., Series 1997-2, Cl. A, 6.752%, 6/25/07(3) 28,132 27,456
-----------------------------------------------------------------------------------------------------------------------
Olympic Automobile Receivables Trust, Automobile Receivables-Backed Nts.,
Series 1997-A, Cl. A-5, 6.80%, 2/15/05 50,000 49,617
----------
Total Asset-Backed Securities (Cost $136,626) 135,342
=======================================================================================================================
Mortgage-Backed Obligations--0.6%
-----------------------------------------------------------------------------------------------------------------------
Countrywide Funding Corp., Mtg. Pass-Through Certificates,
Series 1994-10, Cl. A3, 6%, 5/25/09 100,000 98,000
-----------------------------------------------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp., Gtd. Multiclass Mtg. Participation
Certificates, 6%, 3/1/09 9,792 9,457
-----------------------------------------------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp., Interest-Only Stripped Mtg.-Backed Security:
Series 1542, Cl. QC, 11.91%, 10/15/20(4) 249,916 21,475
Series 1583, Cl. IC, 12.83%, 1/15/20(4) 115,150 8,672
-----------------------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn.:
6%, 12/1/03 18,136 17,799
6.50%, 4/1/26 32,792 31,085
-----------------------------------------------------------------------------------------------------------------------
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 9,431 9,358
-----------------------------------------------------------------------------------------------------------------------
GE Capital Mortgage Services, Inc., Gtd. Real Estate Mtg. Investment Conduit
Pass-Through Certificates, Series 1994-7, Cl. A18, 6%, 2/25/09 99,442 90,585
-----------------------------------------------------------------------------------------------------------------------
IMC Home Equity Trust, Asset-Backed Home Equity Securities,
Series 1998-3, Cl. A5, 6.36%, 8/20/22(5) 125,000 121,563
-----------------------------------------------------------------------------------------------------------------------
Residential Accredit Loans, Inc., Mtg. Asset-Backed Pass-Through Certificates,
Series 1999-QS12, Cl. M1, 7%, 9/25/14 97,144 93,289
----------
Total Mortgage-Backed Obligations (Cost $510,492) 501,283
=======================================================================================================================
U.S. Government Obligations--6.1%
-----------------------------------------------------------------------------------------------------------------------
Federal Farm Credit Bank, Medium-Term Nts., 5.24%, 10/1/08 100,000 88,247
-----------------------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn. Nts., 5.125%, 2/13/04 300,000 281,577
-----------------------------------------------------------------------------------------------------------------------
U.S. Treasury Bonds:
6%, 2/15/26 400,000 391,125
7.50%, 11/15/16 660,000 743,532
STRIPS, 5.67%, 11/15/18(6) 700,000 225,240
-----------------------------------------------------------------------------------------------------------------------
U.S. Treasury Nts.:
5.625%, 2/15/06-5/15/08 350,000 338,836
6.125%, 8/15/07 2,200,000 2,187,625
6.50%, 8/15/05 625,000 631,836
----------
Total U.S. Government Obligations (Cost $4,904,172) 4,888,018
LifeSpan Capital Appreciation Portfolio 15
<PAGE>
Statement of Investments (Unaudited) (Continued)
Principal Market Value
Amount Note 1
=======================================================================================================================
Non-Convertible Corporate Bonds and Notes--13.0%
-----------------------------------------------------------------------------------------------------------------------
Basic Materials--1.4%
-----------------------------------------------------------------------------------------------------------------------
Chemicals--0.6%
Laroche Industries, Inc., 9.50% Sr. Sub. Nts., Series B, 9/15/07(1)(3)(7) $ 75,000 $ 16,125
-----------------------------------------------------------------------------------------------------------------------
Lyondell Chemical Co.:
9.875% Sec. Nts., Series B, 5/1/07 100,000 99,000
10.875% Sr. Sub. Nts., 5/1/09 100,000 99,750
-----------------------------------------------------------------------------------------------------------------------
PPG Industries, Inc., 9% Debs., 5/1/21 35,000 38,806
-----------------------------------------------------------------------------------------------------------------------
Rexene Corp., 11.75% Sr. Nts., 12/1/04(3) 50,000 51,000
-----------------------------------------------------------------------------------------------------------------------
Rohm & Haas Co., 7.85% Unsec. Debs., 7/15/29 75,000 76,033
-----------------------------------------------------------------------------------------------------------------------
Sterling Chemicals Holdings, Inc., 0%/13.50% Sr. Disc. Nts., 8/15/08(8) 75,000 30,375
-----------------------------------------------------------------------------------------------------------------------
Texas Petrochemical Corp., 11.125% Sr. Sub. Nts., Series B, 7/1/06 75,000 64,125
--------
475,214
-----------------------------------------------------------------------------------------------------------------------
Metals--0.3%
AK Steel Corp., 9.125% Sr. Nts., 12/15/06 150,000 144,750
-----------------------------------------------------------------------------------------------------------------------
Alcan Aluminium Ltd., 9.625% Debs., 7/15/19 10,000 9,999
-----------------------------------------------------------------------------------------------------------------------
Gulf States Steel, Inc. (Alabama), 13.50% First Mtg. Nts., Series B, 4/15/03(1)(7) 75,000 7,125
-----------------------------------------------------------------------------------------------------------------------
International Utility Structures, Inc., 10.75% Sr. Sub. Nts., 2/1/08 50,000 41,250
-----------------------------------------------------------------------------------------------------------------------
WCI Steel, Inc., 10% Sr. Nts., Series B, 12/1/04 75,000 70,125
--------
273,249
-----------------------------------------------------------------------------------------------------------------------
Paper--0.5%
Ainsworth Lumber, Inc., 12.50% Sr. Nts., 7/15/07(9) 75,000 74,812
-----------------------------------------------------------------------------------------------------------------------
Repap New Brunswick, Inc., 11.50% Sr. Sec. Nts., 6/1/04 150,000 151,500
-----------------------------------------------------------------------------------------------------------------------
Riverwood International Corp., 10.25% Sr. Nts., 4/1/06 200,000 193,000
--------
419,312
-----------------------------------------------------------------------------------------------------------------------
Capital Goods--1.2%
-----------------------------------------------------------------------------------------------------------------------
Industrial Services--0.9%
Advance Holding Corp., 0%/12.875% Sr. Disc. Nts., 4/15/09(8) 50,000 21,250
-----------------------------------------------------------------------------------------------------------------------
Advance Stores Co., Inc., 10.25% Sr. Unsec. Sub. Nts., Series B, 4/15/08 25,000 20,750
-----------------------------------------------------------------------------------------------------------------------
Applied Extrusion Technologies, Inc., 11.50% Sr. Nts., Series B, 4/1/02 125,000 125,937
-----------------------------------------------------------------------------------------------------------------------
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)(3)(7) 75,000 15,000
-----------------------------------------------------------------------------------------------------------------------
Flooring America, Inc., 9.25% Sr. Sub. Nts., Series B, 10/15/07(3) 37,000 21,275
-----------------------------------------------------------------------------------------------------------------------
KSL Recreation Group, Inc., 10.25% Sr. Sub. Nts., 5/1/07(3) 50,000 47,750
-----------------------------------------------------------------------------------------------------------------------
Mrs. Fields Holding Co., 0%/14% Sr. Sec. Disc. Nts., 12/1/05(2)(8) 100,000 43,500
-----------------------------------------------------------------------------------------------------------------------
Ocean Energy, Inc., 8.375% Sr. Unsec. Sub. Nts., Series B, 7/1/08 50,000 48,750
-----------------------------------------------------------------------------------------------------------------------
Production Resource Group LLC/PRG Finance Corp., 11.50% Sr. Unsec. Sub. Nts., 1/15/08 75,000 15,750
-----------------------------------------------------------------------------------------------------------------------
Scotia Pacific Co. LLC, Timber Collaterized Nts., Series B, Cl. A-1, 6.55%, 7/20/28 65,136 62,093
-----------------------------------------------------------------------------------------------------------------------
Simonds Industries, Inc., 10.25% Sr. Unsec. Sub. Nts., 7/1/08(3) 50,000 41,312
-----------------------------------------------------------------------------------------------------------------------
Sun Co., Inc., 7.95% Debs., 12/15/01 50,000 50,413
-----------------------------------------------------------------------------------------------------------------------
Thermadyne Holdings Corp., 0%/12.50% Sr. Disc. Debs., 6/1/08(3)(8) 75,000 27,375
-----------------------------------------------------------------------------------------------------------------------
Tyco International Group SA, 6.125% Unsec. Nts., 6/15/01 75,000 74,074
-----------------------------------------------------------------------------------------------------------------------
USI American Holdings, Inc., 7.25% Sr. Nts., Series B, 12/1/06 40,000 38,104
--------
704,145
16 LifeSpan Capital Appreciation Portfolio
<PAGE>
Statement of Investments (Unaudited) (Continued)
Principal Market Value
Amount Note 1
-----------------------------------------------------------------------------------------------------------------------
Manufacturing--0.3%
Federal-Mogul Corp., 7.50% Nts., 7/1/04 $ 75,000 $ 58,038
-----------------------------------------------------------------------------------------------------------------------
Jordan Industries, Inc., 10.375% Sr. Nts., Series B, 8/1/07(3) 75,000 69,000
-----------------------------------------------------------------------------------------------------------------------
Kimberly-Clark Corp., 7.875% Debs., 2/1/23 35,000 34,275
-----------------------------------------------------------------------------------------------------------------------
Portola Packaging, Inc., 10.75% Sr. Nts., 10/1/05 50,000 40,750
-----------------------------------------------------------------------------------------------------------------------
Titan Wheel International, Inc., 8.75% Sr. Sub. Nts., 4/1/07 50,000 31,250
----------
233,313
-----------------------------------------------------------------------------------------------------------------------
Communication Services--4.7%
-----------------------------------------------------------------------------------------------------------------------
Telecommunications: Long Distance--3.7%
360networks, Inc., 12% Sr. Unsec. Sub. Nts., 8/1/09 50,000 47,500
-----------------------------------------------------------------------------------------------------------------------
Coaxial Communications, Inc., 10% Sr. Unsec. Nts., 8/15/06 75,000 71,438
-----------------------------------------------------------------------------------------------------------------------
Covad Communications Group, Inc., 12% Sr. Nts., 2/15/10(2) 300,000 235,500
-----------------------------------------------------------------------------------------------------------------------
e.spire Communications, Inc., 0%/13% Sr. Disc. Nts., 11/1/05(3)(8) 100,000 47,500
-----------------------------------------------------------------------------------------------------------------------
Exodus Communications, Inc., 11.25% Sr. Nts., 7/1/08 75,000 74,625
-----------------------------------------------------------------------------------------------------------------------
Focal Communications Corp., 11.875% Sr. Nts., 1/15/10(2) 300,000 303,000
-----------------------------------------------------------------------------------------------------------------------
Galaxy Telecom LP, 12.375% Sr. Sub. Nts., 10/1/05 75,000 65,250
-----------------------------------------------------------------------------------------------------------------------
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) 75,000 25,875
-----------------------------------------------------------------------------------------------------------------------
Hermes Europe Railtel BV, 10.375% Sr. Unsec. Nts., 1/15/09 75,000 61,500
-----------------------------------------------------------------------------------------------------------------------
ICG Holdings, Inc., 0%/11.625% Sr. Disc. Nts., 3/15/07(3)(8) 100,000 69,125
-----------------------------------------------------------------------------------------------------------------------
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) 150,000 139,125
-----------------------------------------------------------------------------------------------------------------------
IXC Communications, Inc., 9% Sr. Sub. Nts., 4/15/08(3) 50,000 50,250
-----------------------------------------------------------------------------------------------------------------------
Level 3 Communications, Inc., 9.125% Sr. Unsec. Nts., 5/1/08 75,000 67,688
-----------------------------------------------------------------------------------------------------------------------
Logix Communications Enterprises, Inc., 12.25% Sr. Unsec. Nts., 6/15/08(3) 50,000 20,000
-----------------------------------------------------------------------------------------------------------------------
Metromedia Fiber Network, Inc., 10% Sr. Nts., 12/15/09 300,000 297,000
-----------------------------------------------------------------------------------------------------------------------
MGC Communications, Inc./Mpower Communications Corp., 13% Sr. Nts., 4/1/10(2) 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(2) 300,000 217,500
-----------------------------------------------------------------------------------------------------------------------
PSINet, Inc., 11.50% Sr. Unsec. Nts., 11/1/08 50,000 47,250
-----------------------------------------------------------------------------------------------------------------------
Qwest Communications International, Inc., 0%/9.47% Sr. Disc. Nts., 10/15/07(8) 75,000 63,117
-----------------------------------------------------------------------------------------------------------------------
RCN Corp., 10.125% Sr. Unsec. Nts., 1/15/10 200,000 167,500
-----------------------------------------------------------------------------------------------------------------------
RSL Communications plc, 9.125% Sr. Unsec. Nts., 3/1/08 50,000 32,750
-----------------------------------------------------------------------------------------------------------------------
Teligent, Inc., 11.50% Sr. Nts., 12/1/07 75,000 58,500
-----------------------------------------------------------------------------------------------------------------------
US West Capital Funding, Inc., 6.125% Nts., 7/15/02 75,000 73,410
-----------------------------------------------------------------------------------------------------------------------
Williams Cos., Inc. (The), 6.20% Nts., 8/1/02 75,000 73,480
----------
3,033,883
LifeSpan Capital Appreciation Portfolio 17
<PAGE>
Statement of Investments (Unaudited) (Continued)
Principal Market Value
Amount Note 1
-----------------------------------------------------------------------------------------------------------------------
Telecommunications: Wireless--1.0%
Microcell Telecommunications, Inc., 0%/14% Sr. Disc. Nts., Series B, 6/1/06(8) $ 50,000 $ 46,375
-----------------------------------------------------------------------------------------------------------------------
Nextel Communications, Inc.:
0%/9.95% Sr. Disc. Nts., 2/15/08(8) 150,000 110,625
9.375% Sr. Unsec. Nts., 11/15/09 200,000 192,000
-----------------------------------------------------------------------------------------------------------------------
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 75,000 80,753
-----------------------------------------------------------------------------------------------------------------------
VoiceStream Wireless Corp.:
10.375% Sr. Nts., 11/15/09(2) 200,000 208,000
10.50% Sr. Sub. Nts., 2/1/07(3) 50,000 51,250
--------
831,003
-----------------------------------------------------------------------------------------------------------------------
Consumer Cyclicals--1.6%
-----------------------------------------------------------------------------------------------------------------------
Autos & Housing--0.2%
Black & Decker Corp., 6.625% Nts., 11/15/00 15,000 14,975
-----------------------------------------------------------------------------------------------------------------------
Cambridge Industries, Inc., 10.25% Sr. Sub. Nts., Series B, 7/15/07 75,000 19,125
-----------------------------------------------------------------------------------------------------------------------
Collins & Aikman Floorcoverings, Inc., 10% Sr. Sub. Nts., Series B, 1/15/07(3) 50,000 48,875
-----------------------------------------------------------------------------------------------------------------------
Oxford Automotive, Inc., 10.125% Sr. Unsec. Sub. Nts., Series D, 6/15/07 75,000 65,625
--------
148,600
-----------------------------------------------------------------------------------------------------------------------
Leisure & Entertainment--0.8%
American Skiing Corp., 12% Sr. Sub. Nts., Series B, 7/15/06 50,000 42,250
-----------------------------------------------------------------------------------------------------------------------
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 75,000 68,250
-----------------------------------------------------------------------------------------------------------------------
Casino Magic of Louisiana Corp., 13% First Mtg. Nts., Series B, 8/15/03 50,000 53,250
-----------------------------------------------------------------------------------------------------------------------
Hard Rock Hotel, Inc., 9.25% Sr. Sub. Nts., 4/1/05 50,000 46,125
-----------------------------------------------------------------------------------------------------------------------
Harveys Casino Resorts, 10.625% Sr. Unsec. Sub. Nts., 6/1/06 50,000 51,250
-----------------------------------------------------------------------------------------------------------------------
HMH Properties, Inc., 7.875% Sr. Nts., Series A, 8/1/05 75,000 69,750
-----------------------------------------------------------------------------------------------------------------------
Horseshoe Gaming LLC, 9.375% Sr. Sub. Nts., 6/15/07 50,000 49,500
-----------------------------------------------------------------------------------------------------------------------
Isle of Capri Casinos, Inc., 8.75% Sr. Unsec. Nts., 4/15/09 50,000 46,500
-----------------------------------------------------------------------------------------------------------------------
Mohegan Tribal Gaming Authority, 8.75% Sr. Unsec. Sub. Nts., 1/1/09 50,000 47,750
-----------------------------------------------------------------------------------------------------------------------
Santa Fe Hotel, Inc., 11% Gtd. First Mtg. Nts., 12/15/00(3) 50,000 49,875
-----------------------------------------------------------------------------------------------------------------------
Station Casinos, Inc., 9.75% Sr. Sub. Nts., 4/15/07 75,000 75,375
--------
650,375
-----------------------------------------------------------------------------------------------------------------------
Media--0.3%
Hollinger International Publishing, Inc., 9.25% Gtd. Sr. Sub. Nts., 3/15/07 75,000 74,250
-----------------------------------------------------------------------------------------------------------------------
Lamar Advertising Co., 8.625% Sr. Sub. Nts., 9/15/07 75,000 72,375
-----------------------------------------------------------------------------------------------------------------------
MDC Communications Corp., 10.50% Sr. Sub. Nts., 12/1/06(3) 75,000 72,375
--------
219,000
-----------------------------------------------------------------------------------------------------------------------
Retail: General--0.1%
Federated Department Stores, Inc., 6.125% Cv. Sub. Nts., 9/1/01(5) 75,000 73,544
-----------------------------------------------------------------------------------------------------------------------
Retail: Specialty--0.1%
K Mart Corp., 7.75% Debs., 10/1/12 50,000 42,607
-----------------------------------------------------------------------------------------------------------------------
Textile/Apparel & Home Furnishings--0.1%
William Carter Co., 10.375% Sr. Sub. Nts., Series A, 12/1/06 75,000 72,000
18 LifeSpan Capital Appreciation Portfolio
<PAGE>
Statement of Investments (Unaudited) (Continued)
Principal Market Value
Amount Note 1
-----------------------------------------------------------------------------------------------------------------------
Consumer Staples--1.9%
-----------------------------------------------------------------------------------------------------------------------
Broadcasting--1.5%
Adelphia Communications Corp., 10.50% Sr. Unsec. Nts., Series B, 7/15/04 $ 75,000 $ 75,375
-----------------------------------------------------------------------------------------------------------------------
Allbritton Communications Co., 8.875% Sr. Sub. Nts., Series B, 2/1/08 75,000 69,469
-----------------------------------------------------------------------------------------------------------------------
Australis Holdings PTY Ltd., 0%/15% Sr. Sec. Disc. Nts., 11/1/02(1)(3)(7) 100,000 1,000
-----------------------------------------------------------------------------------------------------------------------
Century Communications Corp.:
9.75% Sr. Nts., 2/15/02 50,000 50,250
Zero Coupon Sr. Disc. Nts., Series B, 8.50%, 1/15/08(6) 50,000 20,750
-----------------------------------------------------------------------------------------------------------------------
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 75,000 66,281
10% Sr. Nts., 4/1/09(2) 300,000 291,000
-----------------------------------------------------------------------------------------------------------------------
Classic Cable, Inc., 9.375% Sr. Sub. Nts., Series B, 8/1/09 50,000 43,875
-----------------------------------------------------------------------------------------------------------------------
Comcast Corp., 9.125% Sr. Sub. Debs., 10/15/06 50,000 52,479
-----------------------------------------------------------------------------------------------------------------------
Comcast UK Cable Partner Ltd., 0%/11.20% Sr. Disc. Debs., 11/15/07(8) 50,000 46,875
-----------------------------------------------------------------------------------------------------------------------
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(3)(8) 75,000 57,563
-----------------------------------------------------------------------------------------------------------------------
Diva Systems Corp., 0%/12.625% Sr. Disc. Nts., Series B, 3/1/08(8) 100,000 53,500
-----------------------------------------------------------------------------------------------------------------------
EchoStar DBS Corp., 9.375% Sr. Unsec. Nts., 2/1/09 75,000 72,375
-----------------------------------------------------------------------------------------------------------------------
Interepublic National Radio Sales Corp., 10% Sr. Unsec. Sub. Nts., Series B, 7/1/08 50,000 44,500
-----------------------------------------------------------------------------------------------------------------------
James Cable Partners LP, 10.75% Sr. Nts., Series B, 8/15/04 50,000 48,250
-----------------------------------------------------------------------------------------------------------------------
Sinclair Broadcast Group, Inc., 10% Sr. Sub. Nts., 9/30/05 50,000 48,000
-----------------------------------------------------------------------------------------------------------------------
Telewest Communications plc:
0%/11% Sr. Disc. Debs., 10/1/07(8) 25,000 23,813
9.625% Sr. Debs., 10/1/06 25,000 23,500
-----------------------------------------------------------------------------------------------------------------------
United International Holdings, Inc., 0%/10.75% Sr. Disc. Nts., Series B, 2/15/08(8) 100,000 70,500
----------
1,239,105
-----------------------------------------------------------------------------------------------------------------------
Entertainment--0.1%
Tricon Global Restaurants, Inc., 7.45% Sr. Unsec. Nts., 5/15/05 75,000 70,379
-----------------------------------------------------------------------------------------------------------------------
Food--0.2%
AmeriServe Food Distribution, Inc., 8.875% Sr. Nts., 10/15/06(1)(7) 75,000 3,938
-----------------------------------------------------------------------------------------------------------------------
Dole Food Co., 6.75% Nts., 7/15/00 40,000 39,966
-----------------------------------------------------------------------------------------------------------------------
Grand Metro Inventory Corp., 7.125% Nts., 9/15/04 100,000 98,912
----------
142,816
-----------------------------------------------------------------------------------------------------------------------
Food & Drug Retailers--0.1%
Jitney-Jungle Stores of America, Inc., 10.375% Sr. Sub. Nts., 9/15/07(1)(3)(7) 50,000 1,000
-----------------------------------------------------------------------------------------------------------------------
Pantry, Inc. (The), 10.25% Sr. Sub. Nts., 10/15/07 75,000 71,250
-----------------------------------------------------------------------------------------------------------------------
Price/Costco Wholesale Corp., 7.125% Sr. Nts., 6/15/05 40,000 39,330
----------
111,580
-----------------------------------------------------------------------------------------------------------------------
Household Goods--0.0%
Revlon Consumer Products Corp., 8.625% Sr. Unsec. Sub. Nts., 2/1/08 75,000 38,250
LifeSpan Capital Appreciation Portfolio 19
<PAGE>
Statement of Investments (Unaudited) (Continued)
Principal Market Value
Amount Note 1
-----------------------------------------------------------------------------------------------------------------------
Energy--0.4%
-----------------------------------------------------------------------------------------------------------------------
Energy Services--0.3%
Coastal Corp., 8.125% Sr. Nts., 9/15/02 $ 15,000 $ 15,294
-----------------------------------------------------------------------------------------------------------------------
Gulf Canada Resources Ltd., 8.25% Sr. Nts., 3/15/17 50,000 46,250
-----------------------------------------------------------------------------------------------------------------------
Louisiana Land & Exploration Co., 7.65% Debs., 12/1/23 35,000 33,270
-----------------------------------------------------------------------------------------------------------------------
Petroleum Geo-Services ASA, 7.50% Nts., 3/31/07 50,000 47,719
-----------------------------------------------------------------------------------------------------------------------
RAM Energy, Inc., 11.50% Sr. Unsec. Nts., 2/15/08(3) 75,000 37,219
-----------------------------------------------------------------------------------------------------------------------
Southwest Royalties, Inc., 10.50% Sr. Nts., Series B, 10/15/04 75,000 48,375
-----------------------------------------------------------------------------------------------------------------------
Williams Holdings of Delaware, Inc., 6.25% Sr. Unsec. Debs., 2/1/06 25,000 23,235
--------
251,362
-----------------------------------------------------------------------------------------------------------------------
Oil: Domestic--0.1%
Norcen Energy Resources Ltd., 6.80% Debs., 7/2/02 50,000 49,113
-----------------------------------------------------------------------------------------------------------------------
Oil: International--0.0%
Abraxas Petroleum Corp./Canadian Abraxas Petroleum Ltd.,
11.50% Sr. Unsec. Nts., 11/1/04 35,000 29,575
-----------------------------------------------------------------------------------------------------------------------
Financial--0.8%
-----------------------------------------------------------------------------------------------------------------------
Banks--0.0%
Fleet Mtg./Norstar Group, Inc., 9.90% Sub. Nts., 6/15/01 15,000 15,340
-----------------------------------------------------------------------------------------------------------------------
Diversified Financial--0.5%
American General Institutional Capital, 8.125% Bonds, Series B, 3/15/46(2) 50,000 47,201
-----------------------------------------------------------------------------------------------------------------------
Capital One Financial Corp., 7.25% Nts., 12/1/03 40,000 39,084
-----------------------------------------------------------------------------------------------------------------------
Conseco Financing Trust III, 8.796% Bonds, 4/1/27 50,000 21,250
-----------------------------------------------------------------------------------------------------------------------
Countrywide Home Loans, Inc., 6.05% Medium-Term Nts., Series D, 3/1/01 90,000 89,393
-----------------------------------------------------------------------------------------------------------------------
General Electric Capital Corp., 5.77% Nts., Series A, 8/27/01 75,000 73,858
-----------------------------------------------------------------------------------------------------------------------
General Motors Acceptance Corp., 5.625% Nts., 2/15/01 25,000 24,781
-----------------------------------------------------------------------------------------------------------------------
Goldman Sachs Group, Inc. (The), 7.50% Sr. Unsec. Unsub. Nts., 1/28/05 75,000 74,723
-----------------------------------------------------------------------------------------------------------------------
GS Escrow Corp., 6.75% Sr. Unsec. Nts., 8/1/01 75,000 72,880
--------
443,170
-----------------------------------------------------------------------------------------------------------------------
Insurance--0.1%
Conseco, Inc., 6.40% Unsec. Mandatory Par Put Remarketed Securities, 6/15/01 75,000 59,625
-----------------------------------------------------------------------------------------------------------------------
Real Estate Investment Trusts--0.2%
Chelsea GCA Realty Partner, Inc., 7.75% Unsec. Nts., 1/26/01 80,000 79,930
-----------------------------------------------------------------------------------------------------------------------
First Industrial LP, 7.15% Bonds, 5/15/27 50,000 48,955
-----------------------------------------------------------------------------------------------------------------------
Simon DeBartolo Group LP, 6.625% Unsec. Nts., 6/15/03 75,000 71,782
--------
200,667
-----------------------------------------------------------------------------------------------------------------------
Healthcare--0.6%
-----------------------------------------------------------------------------------------------------------------------
Healthcare/Drugs--0.2%
ICN Pharmaceutical, Inc., 9.75% Sr. Nts., 11/15/08(2) 75,000 74,250
-----------------------------------------------------------------------------------------------------------------------
Tenet Healthcare Corp., 9.25% Sr. Nts., 9/1/10(2) 100,000 101,250
--------
175,500
20 LifeSpan Capital Appreciation Portfolio
<PAGE>
Statement of Investments (Unaudited) (Continued)
Principal Market Value
Amount Note 1
-----------------------------------------------------------------------------------------------------------------------
Healthcare/Supplies & Services--0.4%
Columbia/HCA Healthcare Corp., 6.875% Nts., 7/15/01 $ 30,000 $ 29,256
-----------------------------------------------------------------------------------------------------------------------
Dade International, Inc., 11.125% Sr. Sub. Nts., 5/1/06 25,000 11,875
-----------------------------------------------------------------------------------------------------------------------
Paracelsus Healthcare Corp., 10% Sr. Unsec. Sub. Nts., 8/15/06(1)(7) 50,000 11,250
-----------------------------------------------------------------------------------------------------------------------
Playtex Products, Inc., 8.875% Sr. Nts., 7/15/04 50,000 48,500
-----------------------------------------------------------------------------------------------------------------------
Tenet Healthcare Corp.:
8% Sr. Nts., 1/15/05 50,000 48,250
8.125% Sr. Unsec. Sub. Nts., Series B, 12/1/08 150,000 138,000
-----------
287,131
-----------------------------------------------------------------------------------------------------------------------
Transportation--0.2%
-----------------------------------------------------------------------------------------------------------------------
Air Transportation--0.0%
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 75,000 29,625
-----------
40,500
-----------------------------------------------------------------------------------------------------------------------
Railroads & Truckers--0.2%
CSX Corp., 7.05% Debs., 5/1/02 75,000 74,167
-----------------------------------------------------------------------------------------------------------------------
Norfolk Southern Corp., 7.35% Nts., 5/15/07 50,000 48,626
-----------
122,793
-----------------------------------------------------------------------------------------------------------------------
Utilities--0.2%
-----------------------------------------------------------------------------------------------------------------------
Electric Utilities--0.1%
AES Corp. (The), 8% Sr. Nts., 12/31/08 50,000 44,750
-----------------------------------------------------------------------------------------------------------------------
Gas Utilities--0.1%
Tennessee Gas Pipeline Co., 7.50% Bonds, 4/1/17 50,000 47,589
-----------
Total Non-Convertible Corporate Bonds and Notes (Cost $12,229,689) 10,545,490
=======================================================================================================================
Repurchase Agreements--4.3%
-----------------------------------------------------------------------------------------------------------------------
Repurchase agreement with Zion First National Bank, 6.55%, dated 6/30/00,
to be repurchased at $3,486,902 on 7/3/00, collateralized by U.S. Treasury Nts.,
5.625%, 2/15/06, with a value of $3,563,131 (Cost $3,485,000) 3,485,000 3,485,000
-----------------------------------------------------------------------------------------------------------------------
Total Investments, at Value (Cost $68,342,305) 99.9% 80,764,782
-----------------------------------------------------------------------------------------------------------------------
Other Assets Net of Liabilities 0.1 119,430
---------- -----------
Net Assets 100.0% $80,884,212
========== ===========
</TABLE>
1. Non-income-producing security.
2. Represents securities sold under Rule 144A, which are exempt from
registration under the Securities Act of 1933, as amended. These securities have
been determined to be liquid under guidelines established by the Board of
Directors. These securities amount to $1,745,301 or 2.16% of the Portfolio's net
assets as of June 30, 2000.
3. Identifies issues considered to be illiquid or restricted--See Note 6 of
Notes to Financial Statements.
4. Interest-Only Strips represent the right to receive the monthly interest
payments on an underlying pool of mortgage loans. These securities typically
decline in price as interest rates decline. Most other fixed income securities
increase in price when interest rates decline. The principal amount of the
underlying pool represents the notional amount on which current interest is
calculated. The price of these securities is typically more sensitive to changes
in prepayment rates than traditional mortgage-backed securities (for example,
GNMA pass-throughs). Interest rates disclosed represent current yields based
upon the current cost basis and estimated timing and amount of future cash
flows.
5. Represents the current interest rate for a variable 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 Capital Appreciation Portfolio 21
<PAGE>
Statement of Assets and Liabilities June 30, 2000 (Unaudited)
<TABLE>
<S> <C>
===========================================================================================
Assets
Investments, at value (cost $68,342,305)--see accompanying statement $80,764,782
-------------------------------------------------------------------------------------------
Cash 1,361
-------------------------------------------------------------------------------------------
Receivables and other assets:
Interest, dividends and principal paydowns 473,975
Investments sold 154,785
Other 1,228
-----------
Total assets 81,396,131
===========================================================================================
Liabilities
Payables and other liabilities:
Investments purchased 377,999
Shares of capital stock redeemed 116,091
Directors' compensation 778
Transfer and shareholder servicing agent fees 180
Other 16,871
-----------
Total liabilities 511,919
===========================================================================================
Net Assets $80,884,212
===========
===========================================================================================
Composition of Net Assets
Par value of shares of capital stock $ 55,501
-------------------------------------------------------------------------------------------
Additional paid-in capital 64,041,316
-------------------------------------------------------------------------------------------
Undistributed net investment income 793,595
-------------------------------------------------------------------------------------------
Accumulated net realized gain on investments and foreign currency transactions 3,515,876
-------------------------------------------------------------------------------------------
Net unrealized appreciation on investments and translation of
assets and liabilities denominated in foreign currencies 12,477,924
-----------
Net assets--applicable to 55,501,052 shares of capital stock outstanding $80,884,212
===========
===========================================================================================
Net Asset Value, Redemption Price Per Share and Offering Price Per Share $1.46
</TABLE>
See accompanying Notes to Financial Statements.
22 LifeSpan Capital Appreciation Portfolio
<PAGE>
Statement of Operations For the Six Months Ended June 30, 2000 (Unaudited)
<TABLE>
<S> <C>
============================================================================================
Investment Income
Interest $ 861,826
--------------------------------------------------------------------------------------------
Dividends (net of foreign withholding taxes of $11,456) 447,785
-----------
Total income 1,309,611
============================================================================================
Expenses
Management fees 338,823
--------------------------------------------------------------------------------------------
Custodian fees and expenses 10,877
--------------------------------------------------------------------------------------------
Accounting service fees 2,879
--------------------------------------------------------------------------------------------
Directors' compensation 1,288
--------------------------------------------------------------------------------------------
Transfer and shareholder servicing agent fees 1,046
--------------------------------------------------------------------------------------------
Other 15,146
-----------
Total expenses 370,059
Less expenses paid indirectly (2,718)
-----------
Net expenses 367,341
============================================================================================
Net Investment Income 942,270
============================================================================================
Realized and Unrealized Gain (Loss)
Net realized gain (loss) on:
Investments 3,824,624
Foreign currency transactions (84,257)
-----------
Net realized gain 3,740,367
--------------------------------------------------------------------------------------------
Net change in unrealized depreciation on:
Investments (2,606,289)
Translation of assets and liabilities denominated in foreign currencies (367,739)
-----------
Net change (2,974,028)
-----------
Net realized and unrealized gain 766,339
============================================================================================
Net Increase in Net Assets Resulting from Operations $ 1,708,609
===========
</TABLE>
See accompanying Notes to Financial Statements.
LifeSpan Capital Appreciation Portfolio 23
<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 $ 942,270 $ 1,561,073
-----------------------------------------------------------------------------------------------------------------
Net realized gain 3,740,367 8,446,691
-----------------------------------------------------------------------------------------------------------------
Net change in unrealized appreciation (depreciation) (2,974,028) 4,308,202
----------- -----------
Net increase in net assets resulting from operations 1,708,609 14,315,966
=================================================================================================================
Dividends and/or Distributions to Shareholders
Dividends from net investment income (1,847,507) (1,572,323)
-----------------------------------------------------------------------------------------------------------------
Distributions from net realized gain (7,341,945) --
=================================================================================================================
Capital Stock Transactions
Net increase (decrease) in net assets resulting from
capital stock transactions 7,802,157 (5,029,898)
=================================================================================================================
Net Assets
Total increase 321,314 7,713,745
-----------------------------------------------------------------------------------------------------------------
Beginning of period 80,562,898 72,849,153
----------- -----------
End of period (including undistributed net investment
income of $793,595 and $1,698,832, respectively) $80,884,212 $80,562,898
=========== ===========
</TABLE>
See accompanying Notes to Financial Statements.
24 LifeSpan Capital Appreciation 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 $1.60 $1.36 $1.35 $1.24 $1.06 $1.00
-----------------------------------------------------------------------------------------------------------------------------
Income from investment operations:
Net investment income .02 .03 .03 .03 .02 .01
Net realized and unrealized gain .03 .24 .06 .12 .17 .06
-----------------------------------------------------------------------------------------------------------------------------
Total income from investment operations .05 .27 .09 .15 .19 .07
-----------------------------------------------------------------------------------------------------------------------------
Dividends and/or distributions to shareholders:
Dividends from net investment income (.04) (.03) (.03) (.01) (.01) (.01)
Distributions from net realized gain (.15) -- (.05) (.03) -- --
-----------------------------------------------------------------------------------------------------------------------------
Total dividends and/or distributions
to shareholders (.19) (.03) (.08) (.04) (.01) (.01)
-----------------------------------------------------------------------------------------------------------------------------
Net asset value, end of period $1.46 $1.60 $1.36 $1.35 $1.24 $1.06
===== ===== ===== ===== ===== =====
=============================================================================================================================
Total Return, at Net Asset Value(3) 2.60% 20.34% 6.49% 12.53% 17.97% 6.65%
=============================================================================================================================
Ratios/Supplemental Data
Net assets, end of period (in thousands) $80,884 $80,563 $72,849 $61,379 $41,994 $26,768
-----------------------------------------------------------------------------------------------------------------------------
Average net assets (in thousands) $80,161 $72,433 $66,754 $51,473 $33,109 $25,460(4)
-----------------------------------------------------------------------------------------------------------------------------
Ratios to average net assets:(5)
Net investment income 2.36% 2.16% 2.41% 2.36% 1.92% 1.73%
Expenses 0.92% 0.93% 0.93%(6) 0.99%(6) 1.30%(6) 1.50%(6)
-----------------------------------------------------------------------------------------------------------------------------
Portfolio turnover rate 23% 87% 65% 66% 71% 39%
</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 Capital Appreciation Portfolio 25
<PAGE>
Notes to Financial Statements (Unaudited)
================================================================================
1. Significant Accounting Policies
LifeSpan Capital Appreciation 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 long-term capital appreciation
by investing in a strategically allocated portfolio consisting primarily of
stocks. Current income is not a primary consideration. 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 $66,313, representing 0.08% 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.
26 LifeSpan Capital Appreciation 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 250 million shares of $0.001 par value capital
stock. Transactions in shares of capital stock were as follows:
<TABLE>
<CAPTION>
Six Months Ended June 30, 2000 Year Ended December 31, 1999
-------------------------------- -------------------------------
Shares Amount Shares Amount
---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Sold 1,527,644 $ 2,269,357 2,992,840 $ 4,099,694
Dividends and/or distributions reinvested 6,167,418 9,189,452 1,209,480 1,572,323
Redeemed (2,414,167) (3,656,652) (7,744,976) (10,701,915)
---------- ----------- ---------- ------------
Net increase (decrease) 5,280,895 $ 7,802,157 (3,542,656) $ (5,029,898)
========== =========== ========== ============
</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
$19,411,262 and $16,412,651, respectively.
================================================================================
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.
LifeSpan Capital Appreciation Portfolio 27
<PAGE>
Notes to Financial Statements (Unaudited) (Continued)
================================================================================
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 Securities
As of June 30, 2000, investments in securities included issues that are
illiquid. A security may be considered illiquid if it lacks a readily available
market or if its valuation has not changed for a certain period of time. The
Portfolio intends to invest no more than 15% of its net assets (determined at
the time of purchase and reviewed periodically) in illiquid securities. The
aggregate value of illiquid securities subject to this limitation as of June 30,
2000, was $881,231, which represents 1.09% of the Portfolio's net assets.
Certain restricted securities, eligible for resale to qualified institutional
investors, are not subject to that limit.
28 LifeSpan Capital Appreciation Portfolio
<PAGE>
LifeSpan Capital Appreciation 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 Capital Appreciation 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, 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 Capital Appreciation Portfolio 29
