Annual Report December 31, 1999
================================================================================
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.
- --------------------------------------------------------------------------------
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.
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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
During the first half of the year, although the environment continued to
demonstrate strong domestic growth and low inflation, the markets seemed to be
caught in a holding pattern, with the stock market trading in a narrow range and
30-year Treasury yields stabilized around 6%. This was due to a number of
concerns: the burgeoning trade deficit, Federal Reserve decisions to raise
interest rates, and the movement of funds out of traditional industries into the
fast moving Technology sector. However, in October the stock market rallied in
response to signs of recovery in Europe and Asia.
In light of these circumstances, we actively managed the Portfolios'
allocation to improve returns and reduce risk. In our opinion, recoveries in
Asia and Europe could potentially boost U.S. exports in the coming months, but
there was also the possibility of increased inflation risk, should import prices
for consumers start to rise. As a result we took action within each asset class,
raising our stock appropriation within the specifics of each Fund, and
refocusing bond allocations on shorter maturities, of 1-5 years and 5-10 years.
A second important event in the third quarter, was the release of
revised data by the U.S. Government, which revealed that for the last several
years the growth figures for Gross Domestic Product (GDP) had been understated
by a full point. The effect on the market was profound, because it confirmed the
belief of many economists that not only was the U.S. economic growth alive and
well, but even better than previously believed. With the U.S. economy now
surging, in addition to signs of growth overseas, we were well positioned to
take advantage of the broadest market gains seen since the beginning of 1999.
At year end, except for the recent rise in long-term bond yields, the
fundamentals of the economy appear very positive. Inflation remains low,
employment levels strong, and profits relatively brisk. Furthermore, we believe
the revised GDP numbers reflect growth in productivity, which bodes well in a
tight employment market. However, we believe that even this sure-footed economy
is destined to slow down. With two thirds of the U.S. economy powered by
consumers, a great many of whom use their stock market gains to increase
spending, any sluggishness in the stock market suggests that consumer spending
is likely to weaken. For all these reasons we believe that the strength of the
U.S. economy will continue, but at a slower pace in the New Year.
Looking forward, we believe our disciplined strategy of allocating
assets between stocks and bonds in a broad range of sectors, both international
and domestic, will continue to improve the performance of all three Panorama
LifeSpan Portfolios.
2 LifeSpan Capital Appreciation Portfolio
<PAGE>
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Panorama Series Fund, Inc.--LifeSpan Portfolios
- --------------------------------------------------------------------------------
================================================================================
Management's discussion of performance
Panorama LifeSpan Capital Appreciation Portfolio
Panorama LifeSpan Capital Appreciation Portfolio performed well for the fiscal
year that ended December 31, 1999. Although stock market indices produced
attractive returns over the period, the market's rise was fueled by a relatively
small number of stocks. During the period, we increased our allocation to the
technology sector while decreasing our allocation to corporate bonds. The
balance of the portfolio was diversified across various asset classes, as set
forth in the portfolio's investment strategy. Collectively, international
investments represented one of our largest allocations, as well as one of the
best contributors to performance. However, the portfolio's performance was
constrained by an extremely challenging U.S. bond market. The portfolio
holdings, allocations and strategies are subject to change.
- --------------------------------------------------------------------------------
Comparing the Portfolio's performance to the market. The graph that follows
shows the performance of a hypothetical $10,000 investment in the Portfolio held
until December 31, 1999. Performance information does not reflect charges that
apply to separate accounts investing in the Portfolio. If these charges were
taken into account, performance would be lower.
LifeSpan Capital Appreciation Portfolio's performance is compared to
the performance of the S&P 500 Index and the Wilshire 5000 Index. The S&P 500
Index is a broad-based index of equity securities widely regarded as a general
measurement of the performance of the U.S. equity securities market. The
Wilshire 5000 Index measures the performance of all U.S. headquartered equity
securities with readily available price data. Approximately 6500 capitalization
weighted security returns are used to adjust the index. The index is an
approximator of dollar changes in the U.S. equity market. The Wilshire 5000
capitalization is about 82% NYSE, 2% AMEX and 16% OTC.
Index performance reflects the reinvestment of income but does not
consider the effect of transaction costs, and none of the data that follows
shows the effect of taxes. The Portfolio's performance reflects the effects of
the Portfolio's business and operating expenses. While index comparisons may be
useful to provide a benchmark for the Portfolio's performance, it must be noted
that the Portfolio's investments are not limited to the investments in the
indices.
[Begin Line Chart]
Comparison of Change in Value of $10,000 Hypothetical Investments in:
Panorama Series Fund, Inc.--LifeSpan Capital Appreciation Portfolio,
S&P 500 Index and Wilshire 5000 Index
<TABLE>
<CAPTION>
Panorama Series Fund, Inc.--
LifeSpan Capital Appreciation Portfolio S&P 500 Index Wilshire 5000 Index
<S> <C> <C> <C>
9.1.95 10000 10000 10000
12.31.95 10665 11049 10812
12.31.96 12582 13581 12849
12.31.97 14159 18109 16597
12.31.98 15077 22285 20201
12.31.99 18143 28180 24655
</TABLE>
[End Line Chart]
Average Annual Total Return of the Portfolio at 12/31/99
1-Year 20.34% Life 14.74%
Prior to 12/31/99, portions of the Fund's portfolio were managed by sub-advisors
and OppenheimerFunds, Inc. Effective 1/1/2000, OppenheimerFunds, Inc. manages
all of the Fund's portfolio. Because the stock market can be volatile, the
Fund's performance may be subject to substantial short-term changes. For updates
on the Fund's performance, please call us at 1.800.981.2871. This performance
was achieved in part during periods of rapidly rising markets, and there is no
assurance that the Fund will continue to achieve those gains in the future.
The performance information in the graph for both indices begins on 8/31/95. The
inception date of the Portfolio is 9/1/95.
Total returns and the ending account value in the graph show change in share
value and include reinvestment of all dividends and capital gains distributions.
Past performance is not predictive of future performance.
LifeSpan Capital Appreciation Portfolio 3
<PAGE>
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Panorama Series Fund, Inc.--LifeSpan Portfolios
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================================================================================
Management's discussion of performance (continued)
Panorama LifeSpan Balanced Portfolio
The fiscal year that ended December 31, 1999, was one of the worst years for the
bond market in recent history. As Panorama LifeSpan Balanced Portfolio holds a
significant amount of fixed-income securities, performance of the Portfolio was
constrained. While bond yields rose to record highs during the year, we
responded by reducing our bond exposure--particularly high yield corporate
bonds--and increasing our stock allocations. These increases focused mainly on
the technology and capital goods sectors. The portfolio holdings, allocations
and strategies are subject to change.
- --------------------------------------------------------------------------------
Comparing the Portfolio's performance to the market. The graph that follows
shows the performance of a hypothetical $10,000 investment in the Portfolio held
until December 31, 1999. Performance information does not reflect charges that
apply to separate accounts investing in the Portfolio. If these charges were
taken into account, performance would be lower.
LifeSpan Balanced Portfolio's performance is compared to the
performance of the Lehman Brothers Corporate and Government Bond Index and the
S&P 500 Index. The Lehman Brothers Corporate and Government Bond Index is
comprised of the Government and Corporate Bond Indices, which include U.S.
Treasury and government agency securities, corporate, and Yankee bonds. The S&P
500 Index is a broad-based index of equity securities widely regarded as a
general measurement of the performance of the U.S. equity securities market.
Index performance reflects the reinvestment of income but does not
consider the effect of transaction costs, and none of the data that follows
shows the effect of taxes. The Portfolio's performance reflects the effects of
the Portfolio's business and operating expenses. While index comparisons may be
useful to provide a benchmark for the Portfolio's performance, it must be noted
that the Portfolio's investments are not limited to the investments in the
indices.
[Begin Line Chart]
Comparison of Change in Value of $10,000 Hypothetical Investments in:
Panorama Series Fund, Inc.--LifeSpan Balanced Portfolio, S&P 500 Index and
Lehman Brothers Corporate/Government Bond Index
<TABLE>
<CAPTION>
Panorama Series Fund, Inc.-- Lehman Brothers Corporate/
LifeSpan Balanced Portfolio S&P 500 Index Government Bond Index
<S> <C> <C> <C>
9.1.95 10000 10000 10000
12.31.95 10608 11049 10572
12.31.96 12027 13581 10879
12.31.97 13495 18109 11941
12.31.98 14328 22285 13072
12.31.99 16635 28180 12791
</TABLE>
Average Annual Total Return of the Portfolio at 12/31/99
1-Year 16.11% Life 12.46%
[End Line Chart]
Prior to 12/31/99, portions of the Fund's portfolio were managed by sub-advisors
and OppenheimerFunds, Inc. Effective 1/1/2000, OppenheimerFunds, Inc. manages
all of the Fund's portfolio. Because the stock market can be volatile, the
Fund's performance may be subject to substantial short-term changes. For updates
on the Fund's performance, please call us at 1.800.981.2871.
The performance information in the graph for both indices begins on 8/31/95. The
inception date of the Portfolio is 9/1/95.
Total returns and the ending account value in the graph show change in share
value and include reinvestment of all dividends and capital gains distributions.
Past performance is not predictive of future performance.
4 LifeSpan Capital Appreciation Portfolio
<PAGE>
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Panorama Series Fund, Inc.--LifeSpan Portfolios
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================================================================================
Panorama LifeSpan Diversified Income Portfolio
Panorama LifeSpan Diversified Income Portfolio's performance for the fiscal year
that ended December 31, 1999, reflects the challenges of investing during one of
the worst bond markets in recent history. While absolute performance was
constrained, the different segments of the Portfolio performed well relative to
their respective benchmarks. The short duration of these investments helped to
support performance as interest rates rose throughout the year. In addition, the
returns from corporate and mortgage-backed securities contributed positively to
performance. The portfolio's emphasis on income generating stocks was a
significant factor that detracted from performance. Income generating equities
were hurt during the period, as investors favored large growth stocks. The
portfolio holdings, allocations and strategies are subject to change.
- --------------------------------------------------------------------------------
Comparing the Portfolio's performance to the market. The graph that follows
shows the performance of a hypothetical $10,000 investment in the Portfolio held
until December 31, 1999. Performance information does not reflect charges that
apply to separate accounts investing in the Portfolio. If these charges were
taken into account, performance would be lower.
LifeSpan Diversified Income Portfolio's performance is compared to the
performance of the Lehman Brothers Intermediate Government and Corporate Bond
Index, which includes fixed rate debt issues rated investment grade or higher by
Moody's, S&P or Fitch, in that order.
Index performance reflects the reinvestment of income but does not
consider the effect of transaction costs, and none of the data that follows
shows the effect of taxes. The Portfolio's performance reflects the effects of
the Portfolio's business and operating expenses. While index comparisons may be
useful to provide a benchmark for the Portfolio's performance, it must be noted
that the Portfolio's investments are not limited to the investments in the
index.
[Begin Line Chart]
Comparison of Change in Value of $10,000 Hypothetical Investments in:
Panorama Series Fund, Inc.--LifeSpan Diversified Income Portfolio and Lehman
Brothers Intermediate Government/Corporate Bond Index
<TABLE>
<CAPTION>
Panorama Series Fund, Inc.--LifeSpan Lehman Brothers Intermediate
Diversified Income Portfolio Government/Corporate Bond Index
<S> <C> <C>
9.1.95 10000 10000
12.31.95 10569 10427
12.31.96 11301 10849
12.31.97 12715 11702
12.31.98 13335 12690
12.31.99 13222 12738
</TABLE>
Average Annual Total Return of the Portfolio at 12/31/99
1-Year -0.85% Life 6.66%
[End Line Chart]
Prior to 12/31/99, portions of the Fund's portfolio were managed by sub-advisors
and OppenheimerFunds, Inc. Effective 1/1/2000, OppenheimerFunds, Inc. manages
all of the Fund's portfolio. The Portfolio's performance may from time to time
be subject to substantial short-term changes, particularly during periods of
market or interest rate volatility. For updates on the Fund's performance,
please call us at 1.800.981.2871.
The performance information in the graph for the Lehman Brothers Intermediate
Government/Corporate Bond Index begins on 8/31/95. The inception date of the
Portfolio is 9/1/95.
Total returns and the ending account value in the graph show change in share
value and include reinvestment of all dividends and capital gains distributions.
Past performance is not predictive of future performance.
LifeSpan Capital Appreciation Portfolio 5
<PAGE>
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Statement of Investments December 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market Value
Shares Note 1
<S> <C> <C>
==============================================================================
Common Stocks--77.8%
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Basic Materials--2.1%
- ------------------------------------------------------------------------------
Chemicals--0.9%
Dexter Corp. 6,000 $238,500
- ------------------------------------------------------------------------------
Dow Chemical Co. 1,300 173,712
- ------------------------------------------------------------------------------
Ethyl Corp. 16,200 63,787
- ------------------------------------------------------------------------------
Fuji Photo Film Co. 4,000 145,945
- ------------------------------------------------------------------------------
IMC Global, Inc. 2,834 46,407
- ------------------------------------------------------------------------------
Rohm & Haas Co. 2,300 93,581
--------
761,932
- ------------------------------------------------------------------------------
Metals--0.4%
Broken Hill Proprietary Co. Ltd.(1) 15,000 197,110
- ------------------------------------------------------------------------------
Carpenter Technology Corp. 4,300 117,981
--------
315,091
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Paper--0.8%
Buhrmann NV 10,000 150,457
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Georgia Pacific Group 1,600 81,200
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Georgia Pacific Group/Timber Group 2,300 56,637
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Louisiana-Pacific Corp. 2,800 39,900
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Weyerhaeuser Co. 4,700 337,519
--------
665,713
- ------------------------------------------------------------------------------
Capital Goods--10.1%
- ------------------------------------------------------------------------------
Aerospace/Defense--1.0%
General Dynamics Corp. 11,700 617,175
- ------------------------------------------------------------------------------
Northrop Grumman Corp. 3,200 173,000
--------
790,175
- ------------------------------------------------------------------------------
Electrical Equipment--1.1%
Amphenol Corp., Cl. A(1) 2,400 159,750
- ------------------------------------------------------------------------------
Integrated Device Technology, Inc.(1) 1,500 43,500
- ------------------------------------------------------------------------------
Kemet Corp.(1) 4,500 202,781
- ------------------------------------------------------------------------------
Power Integrations, Inc.(1) 4,600 220,512
- ------------------------------------------------------------------------------
Rockwell International Corp. 800 38,300
- ------------------------------------------------------------------------------
SPX Corp.(1) 2,400 193,950
--------
858,793
</TABLE>
6 LifeSpan Capital Appreciation Portfolio
<PAGE>
- --------------------------------------------------------------------------------
Statement of Investments (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market Value
Shares Note 1
<S> <C> <C>
- --------------------------------------------------------------------------------
Industrial Services--3.5%
Capita Group plc 16,000 $ 290,790
- --------------------------------------------------------------------------------
Forrester Research, Inc.(1) 3,700 254,837
- --------------------------------------------------------------------------------
Hays plc 19,000 302,648
- --------------------------------------------------------------------------------
Mobile Mini, Inc.(1) 5,400 116,100
- --------------------------------------------------------------------------------
New England Business Service, Inc. 6,300 153,956
- --------------------------------------------------------------------------------
Professional Detailing, Inc.(1) 4,500 134,719
- --------------------------------------------------------------------------------
Quanta Services, Inc.(1) 3,400 96,050
- --------------------------------------------------------------------------------
Secom Co. Ltd. 4,000 440,184
- --------------------------------------------------------------------------------
Securitas AB, B Shares 8,950 161,953
- --------------------------------------------------------------------------------
Source Information Management Co. (The)(1) 6,700 112,225
- --------------------------------------------------------------------------------
Tetra Tech, Inc.(1) 8,143 125,199
- --------------------------------------------------------------------------------
United Rentals, Inc.(1) 5,300 90,762
- --------------------------------------------------------------------------------
Valassis Communications, Inc.(1) 1,200 50,700
- --------------------------------------------------------------------------------
Waste Connections, Inc.(1) 6,000 86,625
- --------------------------------------------------------------------------------
Whittman-Hart, Inc.(1) 4,400 235,950
- --------------------------------------------------------------------------------
Zomax, Inc.(1) 4,200 190,050
----------
2,842,748
- --------------------------------------------------------------------------------
Manufacturing--4.5%
Asyst Technologies, Inc.(1) 5,000 327,812
- --------------------------------------------------------------------------------
Atlas Copco AB, B Shares 5,142 146,215
- --------------------------------------------------------------------------------
Avery-Dennison Corp. 800 58,300
- --------------------------------------------------------------------------------
Ball Corp. 1,100 43,312
- --------------------------------------------------------------------------------
BBA Group plc 21,000 169,628
- --------------------------------------------------------------------------------
Brambles Industries Ltd. 6,000 166,049
- --------------------------------------------------------------------------------
Briggs & Stratton Corp. 1,900 101,887
- --------------------------------------------------------------------------------
Cooper Industries, Inc. 1,900 76,831
- --------------------------------------------------------------------------------
Crane Co. 2,300 45,712
- --------------------------------------------------------------------------------
Dover Corp. 2,700 122,512
- --------------------------------------------------------------------------------
Eaton Corp. 500 36,312
- --------------------------------------------------------------------------------
Honeywell International, Inc. 4,525 261,036
- --------------------------------------------------------------------------------
Mannesmann AG 2,000 487,097
- --------------------------------------------------------------------------------
Miller (Herman), Inc. 1,800 41,400
- --------------------------------------------------------------------------------
Minnesota Mining & Manufacturing Co. 3,900 381,712
- --------------------------------------------------------------------------------
NetOptix Corp.(1) 4,000 267,000
- --------------------------------------------------------------------------------
Parker-Hannifin Corp. 1,600 82,100
- --------------------------------------------------------------------------------
PRI Automation, Inc.(1) 4,300 288,637
- --------------------------------------------------------------------------------
RadiSys Corp.(1) 4,500 229,500
- --------------------------------------------------------------------------------
ROHN Industries, Inc.(1) 12,000 34,500
- --------------------------------------------------------------------------------
Textron, Inc. 900 69,019
- --------------------------------------------------------------------------------
United Technologies Corp. 3,300 214,500
----------
3,651,071
</TABLE>
LifeSpan Capital Appreciation Portfolio 7
<PAGE>
- --------------------------------------------------------------------------------
Statement of Investments (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market Value
Shares Note 1
<S> <C> <C>
- --------------------------------------------------------------------------------
Communication Services--7.2%
- --------------------------------------------------------------------------------
Telecommunications: Long Distance--4.6%
ADC Telecommunications, Inc.(1) 1,200 $ 87,075
- --------------------------------------------------------------------------------
ALLTELL Corp. 8,400 694,575
- --------------------------------------------------------------------------------
Asia Satellite Telecommunications Holdings Ltd. 64,000 202,123
- --------------------------------------------------------------------------------
AT&T Corp. 4,900 248,675
- --------------------------------------------------------------------------------
China Telecom (Hong Kong) Ltd.(1) 52,000 325,105
- --------------------------------------------------------------------------------
e.spire Communications, Inc.(1) 1,416 8,230
- --------------------------------------------------------------------------------
Ericsson LM, B Shares 7,000 449,915
- --------------------------------------------------------------------------------
KPN NV 3,000 292,560
- --------------------------------------------------------------------------------
L-3 Communications Holdings, Inc.(1) 1,400 58,275
- --------------------------------------------------------------------------------
Matsushita Communication Industrial Co. 2,000 528,221
- --------------------------------------------------------------------------------
Microcell Telecommunications, Inc., Cl. B(1) 429 14,103
- --------------------------------------------------------------------------------
Nippon Comsys Corp. 9,000 186,638
- --------------------------------------------------------------------------------
Nokia Oyj 2,400 434,765
- --------------------------------------------------------------------------------
Tut Systems, Inc.(1) 3,000 160,875
----------
3,691,135
- --------------------------------------------------------------------------------
Telephone Utilities--1.4%
BellSouth Corp. 6,600 308,962
- --------------------------------------------------------------------------------
Energis plc(1) 5,000 240,225
- --------------------------------------------------------------------------------
Hellenic Telecommunication Organization SA 6,900 163,970
- --------------------------------------------------------------------------------
Telefonica SA(1) 15,627 390,030
----------
1,103,187
- --------------------------------------------------------------------------------
Telecommunications: Wireless--1.2%
NTT Mobile Communications Network, Inc. 12 461,313
- --------------------------------------------------------------------------------
Price Communications Corp. 6,731 187,206
- --------------------------------------------------------------------------------
Proxim, Inc.(1) 2,700 297,000
----------
945,519
- --------------------------------------------------------------------------------
Consumer Cyclicals--7.2%
- --------------------------------------------------------------------------------
Autos & Housing--1.6%
Bridgestone Corp. 7,000 154,064
- --------------------------------------------------------------------------------
Cheung Kong (Holdings) Ltd.(1) 12,000 152,441
- --------------------------------------------------------------------------------
Cooper Tire & Rubber Co. 2,000 31,125
- --------------------------------------------------------------------------------
Ethan Allen Interiors, Inc. 1,600 51,300
- --------------------------------------------------------------------------------
Fortune Brands, Inc. 1,300 42,981
- --------------------------------------------------------------------------------
Genuine Parts Co. 5,800 143,912
- --------------------------------------------------------------------------------
Lafarge SA 1,700 197,778
- --------------------------------------------------------------------------------
Masco Corp. 3,200 81,200
- --------------------------------------------------------------------------------
Overseas Union Enterprise Ltd. 20,000 67,247
- --------------------------------------------------------------------------------
Stanley Works (The) 7,500 225,937
- --------------------------------------------------------------------------------
USG Corp. 1,100 51,837
- --------------------------------------------------------------------------------
Vulcan Materials Co. 1,500 59,906
----------
1,259,728
</TABLE>
8 LifeSpan Capital Appreciation Portfolio
<PAGE>
- --------------------------------------------------------------------------------
Statement of Investments (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market Value
Shares Note 1
<S> <C> <C>
- --------------------------------------------------------------------------------
Consumer Services--0.1%
Harte-Hanks, Inc. 1,300 $ 28,275
- --------------------------------------------------------------------------------
Young & Rubicam, Inc. 1,200 84,900
----------
113,175
- --------------------------------------------------------------------------------
Leisure & Entertainment--0.2%
MGM Grand, Inc. 1,100 55,344
- --------------------------------------------------------------------------------
Mirage Resorts, Inc.(1) 4,600 70,437
----------
125,781
- --------------------------------------------------------------------------------
Media--1.5%
Central Newspapers, Inc., Cl. A 900 35,437
- --------------------------------------------------------------------------------
Deluxe Corp. 5,300 145,419
- --------------------------------------------------------------------------------
Gannett Co., Inc. 2,500 203,906
- --------------------------------------------------------------------------------
Knight-Ridder, Inc. 1,500 89,250
- --------------------------------------------------------------------------------
Modern Times Group, Cl. B(1) 4,000 198,343
- --------------------------------------------------------------------------------
Tweeter Home Entertainment Group, Inc. 7,400 262,700
- --------------------------------------------------------------------------------
VNU-Verenigde Nederlandse
Uitgeverbedrijven Verenigd Bezit 5,000 262,570
----------
1,197,625
- --------------------------------------------------------------------------------
Retail: General--0.9%
Family Dollar Stores, Inc. 2,100 34,256
- --------------------------------------------------------------------------------
Federated Department Stores, Inc.(1) 2,800 141,575
- --------------------------------------------------------------------------------
Ito-Yokado Co. Ltd. 2,000 217,157
- --------------------------------------------------------------------------------
May Department Stores Co. 1,600 51,600
- --------------------------------------------------------------------------------
Nordstrom, Inc. 2,000 52,375
- --------------------------------------------------------------------------------
Pinault-Printemps-Redoute SA 1,000 263,677
----------
760,640
- --------------------------------------------------------------------------------
Retail: Specialty--2.4%
Ann Taylor Stores Corp.(1) 3,200 110,200
- --------------------------------------------------------------------------------
Brown Shoe Co., Inc. 9,700 137,012
- --------------------------------------------------------------------------------
Circuit City Stores-Circuit City Group 2,400 108,150
- --------------------------------------------------------------------------------
Gap, Inc. 3,400 156,400
- --------------------------------------------------------------------------------
Insight Enterprises, Inc.(1) 6,950 282,344
- --------------------------------------------------------------------------------
Kingfisher plc 15,000 166,477
- --------------------------------------------------------------------------------
Pacific Sunware of California, Inc.(1) 4,200 133,875
- --------------------------------------------------------------------------------
PC Connection, Inc.(1) 7,100 244,950
- --------------------------------------------------------------------------------
Ross Stores, Inc. 1,800 32,287
- --------------------------------------------------------------------------------
Sherwin-Williams Co. 8,500 178,500
- --------------------------------------------------------------------------------
TJX Cos., Inc. 1,100 22,481
- --------------------------------------------------------------------------------
Urban Outfitters, Inc.(1) 5,600 163,100
- --------------------------------------------------------------------------------
Whitehall Jewellers, Inc. 5,700 210,187
----------
1,945,963
</TABLE>
LifeSpan Capital Appreciation Portfolio 9
<PAGE>
- --------------------------------------------------------------------------------
Statement of Investments (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market Value
Shares Note 1
<S> <C> <C>
- --------------------------------------------------------------------------------
Textile/Apparel & Home Furnishings--0.5%
bebe stores, inc.(1) 4,700 $126,900
- --------------------------------------------------------------------------------
Jones Apparel Group, Inc.(1) 3,300 89,512
- --------------------------------------------------------------------------------
Liz Claiborne, Inc. 1,200 45,150
- --------------------------------------------------------------------------------
Shaw Industries, Inc. 5,000 77,187
- --------------------------------------------------------------------------------
WestPoint Stevens, Inc. 1,600 28,000
--------
366,749
- --------------------------------------------------------------------------------
Consumer Staples--3.8%
- --------------------------------------------------------------------------------
Beverages--0.3%
Adolph Coors Co., Cl. B 1,100 57,750
- --------------------------------------------------------------------------------
Anheuser-Busch Cos., Inc. 2,700 191,362
--------
249,112
- --------------------------------------------------------------------------------
Broadcasting--0.3%
Citadel Communications Corp.(1) 3,800 246,525
- --------------------------------------------------------------------------------
Entertainment--0.5%
Brinker International, Inc.(1) 1,500 36,000
- --------------------------------------------------------------------------------
Darden Restaurants, Inc. 1,400 25,375
- --------------------------------------------------------------------------------
P.F. Chang's China Bistro, Inc.(1) 7,100 176,612
- --------------------------------------------------------------------------------
Piccadilly Cafeterias, Inc. 9,300 37,200
- --------------------------------------------------------------------------------
Shaw Brothers (Hong Kong) Ltd. 76,000 88,480
--------
363,667
- --------------------------------------------------------------------------------
Food--0.7%
Flowers Industries, Inc. 3,300 52,594
- --------------------------------------------------------------------------------
Heinz (H.J.) Co. 1,600 63,700
- --------------------------------------------------------------------------------
Hormel Foods Corp. 400 16,250
- --------------------------------------------------------------------------------
IBP, Inc. 4,200 75,600
- --------------------------------------------------------------------------------
International Home Foods, Inc.(1) 2,700 46,912
- --------------------------------------------------------------------------------
Keebler Foods Co.(1) 1,400 39,375
- --------------------------------------------------------------------------------
Kerry Group plc, Cl. A 10,000 119,762
- --------------------------------------------------------------------------------
Sara Lee Corp. 5,200 114,725
--------
528,918
- --------------------------------------------------------------------------------
Food & Drug Retailers--1.0%
Albertson's, Inc. 1,300 41,925
- --------------------------------------------------------------------------------
Colruyt NV 3,000 172,094
- --------------------------------------------------------------------------------
Express Scripts, Inc., Cl. A(1) 2,700 172,800
- --------------------------------------------------------------------------------
Koninklijke Ahold NV 6,000 177,469
- --------------------------------------------------------------------------------
SUPERVALU, Inc. 6,000 120,000
- --------------------------------------------------------------------------------
William Morrison Supermarkets plc 68,000 146,106
--------
830,394
</TABLE>
10 LifeSpan Capital Appreciation Portfolio
<PAGE>
- --------------------------------------------------------------------------------
Statement of Investments (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market Value
Shares Note 1
<S> <C> <C>
- --------------------------------------------------------------------------------
Household Goods--0.8%
Blyth Industries, Inc.(1) 4,100 $ 100,706
- --------------------------------------------------------------------------------
Kimberly-Clark Corp. 6,400 417,600
- --------------------------------------------------------------------------------
L'OREAL 200 160,319
----------
678,625
- --------------------------------------------------------------------------------
Tobacco--0.2%
UST, Inc. 5,100 128,456
- --------------------------------------------------------------------------------
Energy--4.5%
- --------------------------------------------------------------------------------
Energy Services--0.2%
Anadarko Petroleum Corp. 1,000 34,125
- --------------------------------------------------------------------------------
ENSCO International, Inc. 2,500 57,187
- --------------------------------------------------------------------------------
Global Marine, Inc.(1) 3,000 49,875
----------
141,187
- --------------------------------------------------------------------------------
Oil: Domestic--2.7%
Apache Corp. 1,200 44,325
- --------------------------------------------------------------------------------
Atlantic Richfield Co. 3,700 320,050
- --------------------------------------------------------------------------------
Burlington Resources, Inc. 1,000 33,062
- --------------------------------------------------------------------------------
Chevron Corp. 3,300 285,862
- --------------------------------------------------------------------------------
Conoco, Inc., Cl. A 2,500 61,875
- --------------------------------------------------------------------------------
Exxon Mobil Corp. 11,520 928,080
- --------------------------------------------------------------------------------
Murphy Oil Corp. 3,700 212,288
- --------------------------------------------------------------------------------
Occidental Petroleum Corp. 6,200 134,075
- --------------------------------------------------------------------------------
Texaco, Inc. 2,300 124,919
----------
2,144,536
- --------------------------------------------------------------------------------
Oil: International--1.6%
Abraxas Petroleum Corp.(1) 2,980 2,794
- --------------------------------------------------------------------------------
BP Amoco plc, ADR 9,228 547,336
- --------------------------------------------------------------------------------
Royal Dutch Petroleum Co., NY Shares 2,600 157,138
- --------------------------------------------------------------------------------
Shell Transport & Trading Co. plc 30,000 249,353
- --------------------------------------------------------------------------------
Total Fina SA, Sponsored ADR 1,100 76,175
- --------------------------------------------------------------------------------
Total SA, B Shares 1,800 240,026
----------
1,272,822
</TABLE>
LifeSpan Capital Appreciation Portfolio 11
<PAGE>
- --------------------------------------------------------------------------------
Statement of Investments (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market Value
Shares Note 1
<S> <C> <C>
- --------------------------------------------------------------------------------
Financial--10.8%
- --------------------------------------------------------------------------------
Banks--3.3%
Argentaria SA 6,000 $ 140,876
- --------------------------------------------------------------------------------
Banca Poplare di Brescia 3,000 265,237
- --------------------------------------------------------------------------------
Banco Popular Espanol SA 2,400 156,395
- --------------------------------------------------------------------------------
Bank of Scotland 15,000 174,232
- --------------------------------------------------------------------------------
Banque Nationale de Paris 1,800 165,935
- --------------------------------------------------------------------------------
Chase Manhattan Corp. 2,700 209,756
- --------------------------------------------------------------------------------
DePfa Deutsche Pfandbriefbank AG (DePfa-Bank) 2,200 162,203
- --------------------------------------------------------------------------------
First Union Corp. 1,500 49,219
- --------------------------------------------------------------------------------
Fuji Bank Ltd. (The) 17,000 165,128
- --------------------------------------------------------------------------------
Lloyds TSB Group plc 16,000 200,193
- --------------------------------------------------------------------------------
Nordbanken Holding AB(1) 28,000 159,212
- --------------------------------------------------------------------------------
Overseas Union Bank Ltd. 19,414 113,651
- --------------------------------------------------------------------------------
Roslyn Bancorp, Inc. 1,600 29,600
- --------------------------------------------------------------------------------
Sanwa Bank Ltd. (The) 13,000 158,065
- --------------------------------------------------------------------------------
UnionBanCal Corp. 5,200 205,075
- --------------------------------------------------------------------------------
Wachovia Corp. 1,900 129,200
- --------------------------------------------------------------------------------
Wells Fargo Co. 4,700 190,056
----------
2,674,033
- --------------------------------------------------------------------------------
Diversified Financial--2.7%
AMBAC Financial Group, Inc. 1,600 83,500
- --------------------------------------------------------------------------------
Cattles plc 30,000 158,481
- --------------------------------------------------------------------------------
Citigroup, Inc. 6,300 350,044
- --------------------------------------------------------------------------------
Credit Saison Co. Ltd. 7,300 127,106
- --------------------------------------------------------------------------------
Goldman Sachs Group, Inc. (The) 600 56,513
- --------------------------------------------------------------------------------
ING Groep NV 3,000 180,971
- --------------------------------------------------------------------------------
Lend Lease Corp. Ltd. 12,000 168,245
- --------------------------------------------------------------------------------
Morgan Stanley Dean Witter & Co. 700 99,925
- --------------------------------------------------------------------------------
Nationwide Financial Services, Inc., Cl. A 2,100 58,669
- --------------------------------------------------------------------------------
NCO Group, Inc.(1) 4,200 126,525
- --------------------------------------------------------------------------------
Nomura Securities Co. Ltd.(1) 15,000 270,713
- --------------------------------------------------------------------------------
PMI Group, Inc. (The) 1,200 58,575
- --------------------------------------------------------------------------------
Promise Co. Ltd. 3,700 188,203
- --------------------------------------------------------------------------------
Reckson Associates Realty Corp., Cl. B 3,662 83,311
- --------------------------------------------------------------------------------
Senior Housing Properties Trust 920 11,443
- --------------------------------------------------------------------------------
Swire Pacific Ltd., Cl. B 210,000 185,052
----------
2,207,276
</TABLE>
12 LifeSpan Capital Appreciation Portfolio
<PAGE>
- --------------------------------------------------------------------------------
Statement of Investments (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market Value
Shares Note 1
<S> <C> <C>
- --------------------------------------------------------------------------------
Insurance--4.1%
ACE Ltd. 3,100 $ 51,731
- --------------------------------------------------------------------------------
Advance Paradigm, Inc.(1) 6,800 146,625
- --------------------------------------------------------------------------------
Aegon NV 2,298 219,459
- --------------------------------------------------------------------------------
AEGON NV 1,800 173,725
- --------------------------------------------------------------------------------
Allstate Corp. 2,800 67,200
- --------------------------------------------------------------------------------
American General Corp. 3,500 265,563
- --------------------------------------------------------------------------------
American International Group, Inc. 1,125 121,641
- --------------------------------------------------------------------------------
AXA Financial, Inc. 5,400 182,925
- --------------------------------------------------------------------------------
AXA SA 1,400 195,000
- --------------------------------------------------------------------------------
Chubb Corp. 2,600 146,413
- --------------------------------------------------------------------------------
Cigna Corp. 2,000 161,125
- --------------------------------------------------------------------------------
Conseco, Inc. 2,500 44,688
- --------------------------------------------------------------------------------
Hartford Life, Inc., Cl. A 1,000 44,000
- --------------------------------------------------------------------------------
HSB Group, Inc. 3,750 126,797
- --------------------------------------------------------------------------------
Irish Life & Permanent plc 9,127 86,343
- --------------------------------------------------------------------------------
Jefferson-Pilot Corp. 4,600 313,950
- --------------------------------------------------------------------------------
Lincoln National Corp. 8,400 336,000
- --------------------------------------------------------------------------------
Manulife Financial Corp.(1) 2,800 35,525
- --------------------------------------------------------------------------------
Marsh & McLennan Cos., Inc. 400 38,275
- --------------------------------------------------------------------------------
Radian Group, Inc. 1,200 57,300
- --------------------------------------------------------------------------------
St. Paul Cos., Inc. 2,600 87,588
- --------------------------------------------------------------------------------
Travelers Property Casualty Corp., Cl. A 2,650 90,763
- --------------------------------------------------------------------------------
XL Capital Ltd., Cl. A 6,600 342,375
----------
3,335,011
- --------------------------------------------------------------------------------
Real Estate Investment Trusts--0.7%
Camden Property Trust 7,200 197,100
- --------------------------------------------------------------------------------
Cornerstone Properties, Inc. 11,400 166,725
- --------------------------------------------------------------------------------
Healthcare Realty Trust, Inc. 6,814 106,469
- --------------------------------------------------------------------------------
HRPT Properties Trust 9,200 82,800
- --------------------------------------------------------------------------------
Meditrust Corp., Paired Stock 5,407 29,739
----------
582,833
- --------------------------------------------------------------------------------
Savings & Loans--0.0%
Greenpoint Financial Corp. 1,500 35,719
</TABLE>
LifeSpan Capital Appreciation Portfolio 13
<PAGE>
- --------------------------------------------------------------------------------
Statement of Investments (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market Value
Shares Note 1
<S> <C> <C>
- --------------------------------------------------------------------------------
Healthcare--5.4%
- --------------------------------------------------------------------------------
Healthcare/Drugs--3.3%
Celgene Corp.(1) 4,000 $ 280,000
- --------------------------------------------------------------------------------
Fresenius AG, Preference 900 164,848
- --------------------------------------------------------------------------------
Gedeon Richter Ltd., GDR(3) 2,400 157,200
- --------------------------------------------------------------------------------
Glaxo Wellcome plc 6,000 169,628
- --------------------------------------------------------------------------------
Invitrogen Corp.(1) 2,300 138,000
- --------------------------------------------------------------------------------
Jones Pharma, Inc. 5,250 228,047
- --------------------------------------------------------------------------------
King Pharmaceuticals, Inc.(1) 7,650 428,878
- --------------------------------------------------------------------------------
Novartis AG 100 147,016
- --------------------------------------------------------------------------------
Noven Pharmaceuticals, Inc.(1) 8,300 150,438
- --------------------------------------------------------------------------------
Sanofi-Synthelabo SA(1) 6,000 249,627
- --------------------------------------------------------------------------------
Schering AG 1,200 145,948
- --------------------------------------------------------------------------------
SmithKline Beecham plc 17,000 216,962
- --------------------------------------------------------------------------------
Takeda Chemical Industries Ltd. 3,000 148,195
----------
2,624,787
- --------------------------------------------------------------------------------
Healthcare/Supplies & Services--2.1%
ArthroCare Corp.(1) 6,300 384,300
- --------------------------------------------------------------------------------
Luxottica Group SpA, Sponsored ADR 12,000 210,750
- --------------------------------------------------------------------------------
Molecular Devices Corp.(1) 4,700 244,400
- --------------------------------------------------------------------------------
Seton School Healthcare Group plc 14,000 177,374
- --------------------------------------------------------------------------------
Terumo Corp. 10,000 267,045
- --------------------------------------------------------------------------------
United Healthcare Corp. 1,900 100,938
- --------------------------------------------------------------------------------
WellPoint Health Networks, Inc.(1) 1,600 105,500
- --------------------------------------------------------------------------------
Zoll Medical Corp.(1) 4,300 164,206
----------
1,654,513
- --------------------------------------------------------------------------------
Technology--21.3%
- --------------------------------------------------------------------------------
Computer Hardware--1.8%
Apple Computer, Inc.(1) 1,900 195,344
- --------------------------------------------------------------------------------
Digital Lightwave, Inc.(1) 2,700 172,800
- --------------------------------------------------------------------------------
Hewlett-Packard Co. 600 68,363
- --------------------------------------------------------------------------------
International Business Machines Corp. 2,300 248,400
- --------------------------------------------------------------------------------
Lexmark International Group, Inc., Cl. A(1) 3,000 271,500
- --------------------------------------------------------------------------------
SanDisk Corp.(1) 3,200 308,000
- --------------------------------------------------------------------------------
Silicon Storage Technology, Inc.(1) 5,300 218,625
----------
1,483,032
</TABLE>
14 LifeSpan Capital Appreciation Portfolio
<PAGE>
- --------------------------------------------------------------------------------
Statement of Investments (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market Value
Shares Note 1
<S> <C> <C>
- --------------------------------------------------------------------------------
Computer Services--4.6%
Applied Micro Circuits Corp.(1) 1,900 $ 241,775
- --------------------------------------------------------------------------------
Crossroads Systems, Inc.(1) 1,300 109,850
- --------------------------------------------------------------------------------
Diamond Technology Partners, Inc.(1) 5,600 481,250
- --------------------------------------------------------------------------------
Emulex Corp.(1) 3,000 337,500
- --------------------------------------------------------------------------------
First Data Corp. 3,500 172,594
- --------------------------------------------------------------------------------
Getronics NV 4,000 318,827
- --------------------------------------------------------------------------------
Intraware, Inc.(1) 4,600 367,713
- --------------------------------------------------------------------------------
MedQuist, Inc.(1) 5,200 134,225
- --------------------------------------------------------------------------------
Proxicom, Inc.(1) 2,500 310,781
- --------------------------------------------------------------------------------
QRS Corp.(1) 2,250 236,250
- --------------------------------------------------------------------------------
Titan Corp. (The)(1) 4,200 197,925
- --------------------------------------------------------------------------------
USinternetworking, Inc.(1) 3,150 220,106
- --------------------------------------------------------------------------------
USWeb Corp.(1) 2,900 128,869
- --------------------------------------------------------------------------------
Viant Corp.(1) 2,600 257,400
- --------------------------------------------------------------------------------
WebTrends Corp.(1) 2,400 194,400
----------
3,709,465
- --------------------------------------------------------------------------------
Computer Software--5.6%
Actuate Corp.(1) 9,200 394,450
- --------------------------------------------------------------------------------
Advanced Digital Information Corp.(1) 4,700 228,538
- --------------------------------------------------------------------------------
Advent Software, Inc.(1) 3,850 248,084
- --------------------------------------------------------------------------------
Allaire Corp.(1) 1,700 248,731
- --------------------------------------------------------------------------------
Bluestone Software, Inc.(1) 1,800 207,000
- --------------------------------------------------------------------------------
Brio Technology, Inc.(1) 2,400 100,800
- --------------------------------------------------------------------------------
Broadbase Software, Inc.(1) 1,700 191,250
- --------------------------------------------------------------------------------
Cysive, Inc.(1) 2,900 208,981
- --------------------------------------------------------------------------------
Dendrite International, Inc.(1) 12,600 426,825
- --------------------------------------------------------------------------------
Exchange Applications, Inc.(1) 4,300 240,263
- --------------------------------------------------------------------------------
Great Plains Software, Inc.(1) 3,100 231,725
- --------------------------------------------------------------------------------
Logica plc 18,000 464,392
- --------------------------------------------------------------------------------
Macromedia, Inc.(1) 3,000 219,375
- --------------------------------------------------------------------------------
Mercury Interactive Corp.(1) 2,800 302,225
- --------------------------------------------------------------------------------
Micromuse, Inc.(1) 1,700 289,000
- --------------------------------------------------------------------------------
PC-Tel, Inc.(1) 3,200 168,000
- --------------------------------------------------------------------------------
Rare Medium Group, Inc.(1) 3,400 116,025
- --------------------------------------------------------------------------------
RAVISENT Technologies, Inc.(1) 3,600 138,375
- --------------------------------------------------------------------------------
Synopsys, Inc.(1) 1,000 66,750
----------
4,490,789
</TABLE>
LifeSpan Capital Appreciation Portfolio 15
<PAGE>
- --------------------------------------------------------------------------------
Statement of Investments (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market Value
Shares Note 1
<S> <C> <C>
- --------------------------------------------------------------------------------
Communications Equipment--1.5%
Audiocodes Ltd.(1) 2,900 $ 266,800
- --------------------------------------------------------------------------------
BISYS Group, Inc. (The)(1) 1,000 65,250
- --------------------------------------------------------------------------------
Ditech Communications Corp.(1) 1,600 149,600
- --------------------------------------------------------------------------------
Extreme Networks, Inc.(1) 2,100 175,350
- --------------------------------------------------------------------------------
Polycom, Inc.(1) 3,700 235,644
- --------------------------------------------------------------------------------
Vodafone Group plc 70,000 346,888
----------
1,239,532
- --------------------------------------------------------------------------------
Electronics--7.8%
ACT Manufacturing, Inc.(1) 4,500 168,750
- --------------------------------------------------------------------------------
Advanced Energy Industries, Inc.(1) 4,700 231,475
- --------------------------------------------------------------------------------
ANADIGICS, Inc.(1) 5,200 245,375
- --------------------------------------------------------------------------------
Anaren Microwave, Inc.(1) 4,900 265,213
- --------------------------------------------------------------------------------
Bowthorpe plc 21,000 369,110
- --------------------------------------------------------------------------------
Cognex Corp.(1) 5,400 210,600
- --------------------------------------------------------------------------------
Credence Systems Corp.(1) 3,700 320,050
- --------------------------------------------------------------------------------
Cree, Inc.(1) 4,600 392,725
- --------------------------------------------------------------------------------
CTS Corp. 2,600 195,975
- --------------------------------------------------------------------------------
Cymer, Inc.(1) 5,200 239,200
- --------------------------------------------------------------------------------
Cypress Semiconductor Corp.(1) 4,400 142,450
- --------------------------------------------------------------------------------
Dallas Semiconductor Corp. 1,500 96,656
- --------------------------------------------------------------------------------
DSP Group(1) 3,600 334,800
- --------------------------------------------------------------------------------
Electrocomponents plc 23,000 254,708
- --------------------------------------------------------------------------------
Hoshiden Corp. 11,000 705,859
- --------------------------------------------------------------------------------
Hoya Corp. 4,000 314,976
- --------------------------------------------------------------------------------
Intel Corp. 1,000 82,313
- --------------------------------------------------------------------------------
MKS Instruments, Inc.(1) 4,000 144,500
- --------------------------------------------------------------------------------
National Semiconductor Corp.(1) 3,200 137,000
- --------------------------------------------------------------------------------
NVIDIA Corp.(1) 4,400 206,525
- --------------------------------------------------------------------------------
RF Micro Devices, Inc.(1) 4,900 335,344
- --------------------------------------------------------------------------------
Sony Corp. 1,600 474,225
- --------------------------------------------------------------------------------
Teradyne, Inc.(1) 2,800 184,800
- --------------------------------------------------------------------------------
TranSwitch Corp.(1) 3,700 268,481
----------
6,321,110
- --------------------------------------------------------------------------------
Transportation--0.9%
- --------------------------------------------------------------------------------
Air Transportation--0.4%
AHL Services, Inc.(1) 6,200 129,425
- --------------------------------------------------------------------------------
Delta Air Lines, Inc. 1,100 54,794
- --------------------------------------------------------------------------------
Japan Airport Terminal Co. Ltd. 14,000 130,099
----------
314,318
- --------------------------------------------------------------------------------
Railroads & Truckers--0.5%
GATX Corp. 10,400 351,000
- --------------------------------------------------------------------------------
Union Pacific Corp. 1,500 65,438
----------
416,438
</TABLE>
16 LifeSpan Capital Appreciation Portfolio
<PAGE>
Statement of Investments (Continued)
<TABLE>
<CAPTION>
Market Value
Shares Note 1
<S> <C> <C>
- --------------------------------------------------------------------------------
Utilities--4.5%
- --------------------------------------------------------------------------------
Electric Utilities--2.9%
Carolina Power & Light Co. 2,100 $ 63,919
- --------------------------------------------------------------------------------
CLP Holdings Ltd. 33,000 151,978
- --------------------------------------------------------------------------------
Conectiv, Inc. 7,900 132,819
- --------------------------------------------------------------------------------
Duke Energy Corp. 8,748 438,494
- --------------------------------------------------------------------------------
FPL Group, Inc. 6,700 286,844
- --------------------------------------------------------------------------------
Kansas City Power & Light Co. 6,600 145,613
- --------------------------------------------------------------------------------
Montana Power Co. 8,000 288,500
- --------------------------------------------------------------------------------
Peco Energy Co. 3,600 125,100
- --------------------------------------------------------------------------------
Potomac Electric Power Co. 3,100 71,106
- --------------------------------------------------------------------------------
Public Service Enterprise Group, Inc. 4,200 146,213
- --------------------------------------------------------------------------------
Reliant Energy, Inc. 8,900 203,588
- --------------------------------------------------------------------------------
Texas Utilities Co. 3,800 135,138
- --------------------------------------------------------------------------------
Unicom Corp. 1,700 56,950
- --------------------------------------------------------------------------------
Western Resources, Inc. 5,200 88,400
-----------
2,334,662
- --------------------------------------------------------------------------------
Gas Utilities--1.6%
El Paso Energy Corp. 16,400 636,526
- --------------------------------------------------------------------------------
Hong Kong & China Gas Co. Ltd. 117,000 160,295
- --------------------------------------------------------------------------------
National Fuel Gas Co. 5,600 260,400
- --------------------------------------------------------------------------------
NICOR, Inc. 1,700 55,250
- --------------------------------------------------------------------------------
Questar Corp. 10,800 162,000
-----------
1,274,471
-----------
Total Common Stocks (Cost $46,135,160) 62,677,256
================================================================================
Preferred Stocks--0.0%
- --------------------------------------------------------------------------------
PRIMEDIA, Inc., 10% Cum., Series D, Non-Vtg.(2)
(Cost $50,000) 500 48,625
<CAPTION>
Units
================================================================================
<S> <C> <C>
Rights, Warrants and Certificates--0.0%
- --------------------------------------------------------------------------------
Abraxas Petroleum Corp. Wts., Exp. 11/1/04 2,980 447
- --------------------------------------------------------------------------------
Australis Holdings PTY Ltd./Australia Media Ltd. Wts.,
Exp. 10/30/01(2) 100 1
- --------------------------------------------------------------------------------
Diva Systems Corp. Wts., Exp. 3/1/08(2) 300 2,400
- --------------------------------------------------------------------------------
Primestar, Inc., Share APP Rts., Exp. 5/30/00(2) 390 1,953
-----------
Total Rights, Warrants and Certificates (Cost $447) 4,801
<CAPTION>
Principal
Amount
================================================================================
<S> <C> <C>
Asset-Backed Securities--0.2%
- --------------------------------------------------------------------------------
Arcadia Automobile Receivables Trust, Automobile
Receivables-Backed Nts., Series 1998-B,
Cl. A3, 5.95%, 11/15/02 $75,000 74,531
- --------------------------------------------------------------------------------
IROQUOIS Trust, Asset-Backed Amortizing Nts.,
Series 1997-2, Cl. A, 6.752%, 6/25/07(2) 34,530 33,837
- --------------------------------------------------------------------------------
Olympic Automobile Receivables Trust, Automobile
Receivables-Backed Nts., Series 1997-A, Cl. A-5,
6.80%, 2/15/05 50,000 49,734
-----------
Total Asset-Backed Securities (Cost $159,449) 158,102
</TABLE>
LifeSpan Capital Appreciation Portfolio 17
<PAGE>
- --------------------------------------------------------------------------------
Statement of Investments (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Market Value
Amount Note 1
<S> <C> <C>
============================================================================================================
Mortgage-Backed Obligations--0.7%
- ------------------------------------------------------------------------------------------------------------
Countrywide Funding Corp., Mtg. Pass-Through Certificates, Series 1994-10,
Cl. A3, 6%, 5/25/09 $100,000 $ 97,500
- ------------------------------------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp., Gtd. Multiclass Mtg. Participation Certificates:
6%, 3/1/09 10,700 10,312
Series 1843, Cl. VB, 7%, 4/15/03 15,000 15,000
Series 1849, Cl. VA, 6%, 12/15/10 15,052 14,879
- ------------------------------------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp., Interest-Only Stripped Mtg.-Backed Security:
Series 1542, Cl. QC, 10.90%, 10/15/20(4) 294,150 28,403
Series 1583, Cl. IC, 11.374%, 1/15/20(4) 146,750 12,336
- ------------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn.:
6%, 12/1/03 22,019 21,609
6.50%, 4/1/26 34,534 32,754
7%, 4/1/00 4,527 4,521
- ------------------------------------------------------------------------------------------------------------
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 15,559 15,433
- ------------------------------------------------------------------------------------------------------------
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 87,665
- ------------------------------------------------------------------------------------------------------------
IMC Home Equity Trust, Asset-Backed Home Equity Securities, Series 1998-3,
Cl. A5, 6.36%, 8/20/22(5) 125,000 121,855
- ------------------------------------------------------------------------------------------------------------
Residential Accredit Loans, Inc., Mtg. Asset-Backed Pass-Through Certificates,
Series 1999-QS12, Cl. M1, 7%, 9/25/14 99,080 94,034
----------
Total Mortgage-Backed Obligations (Cost $571,202) 556,301
============================================================================================================
U.S. Government Obligations--3.5%
- ------------------------------------------------------------------------------------------------------------
Federal Farm Credit Bank, Medium-Term Nts., 5.24%, 10/1/08 100,000 88,037
- ------------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn., 5.125%, 2/13/04 300,000 282,048
- ------------------------------------------------------------------------------------------------------------
U.S. Treasury Bonds:
6%, 2/15/26 400,000 366,000
7.50%, 11/15/16 660,000 706,200
STRIPS, 2.67%, 11/15/18(6) 700,000 195,025
- ------------------------------------------------------------------------------------------------------------
U.S. Treasury Nts.:
5.625%, 2/15/06-5/15/08 350,000 332,984
6.125%, 8/15/07 200,000 195,000
6.50%, 8/15/05 625,000 625,196
----------
Total U.S. Government Obligations (Cost $2,974,397) 2,790,490
============================================================================================================
Non-Convertible Corporate Bonds and Notes--9.7%
- ------------------------------------------------------------------------------------------------------------
Basic Materials--0.7%
- ------------------------------------------------------------------------------------------------------------
Chemicals--0.3%
Laroche Industries, Inc., 9.50% Sr. Sub. Nts., Series B, 9/15/07 75,000 20,625
- ------------------------------------------------------------------------------------------------------------
PPG Industries, Inc., 9% Debs., 5/1/21 35,000 39,201
- ------------------------------------------------------------------------------------------------------------
Rexene Corp., 11.75% Sr. Nts., 12/1/04 50,000 52,500
- ------------------------------------------------------------------------------------------------------------
Rohm & Haas Co., 7.85% Unsec. Debs., 7/15/29 75,000 75,593
- ------------------------------------------------------------------------------------------------------------
Sterling Chemicals Holdings, Inc., 0%/13.50% Sr. Disc. Nts., 8/15/08(7) 75,000 19,312
- ------------------------------------------------------------------------------------------------------------
Texas Petrochemical Corp., 11.125% Sr. Sub. Nts., Series B, 7/1/06 75,000 66,375
----------
273,606
</TABLE>
18 LifeSpan Capital Appreciation Portfolio
<PAGE>
- --------------------------------------------------------------------------------
Statement of Investments (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Market Value
Amount Note 1
<S> <C> <C>
- --------------------------------------------------------------------------------------------------------
Metals--0.2%
Alcan Aluminum Ltd., 9.625% Debs., 7/15/19(2) $ 10,000 $ 10,100
- --------------------------------------------------------------------------------------------------------
Gulf States Steel, Inc. (Alabama), 13.50% First Mtg. Nts.,
Series B, 4/15/03(1)(10) 75,000 7,875
- --------------------------------------------------------------------------------------------------------
International Utility Structures, Inc., 10.75% Sr. Sub. Nts., 2/1/08 50,000 42,250
- --------------------------------------------------------------------------------------------------------
WCI Steel, Inc., 10% Sr. Nts., Series B, 12/1/04 75,000 76,500
--------
136,725
- --------------------------------------------------------------------------------------------------------
Paper--0.2%
Ainsworth Lumber, Inc., 12.50% Sr. Nts., 7/15/07(8) 75,000 82,500
- --------------------------------------------------------------------------------------------------------
Stone Container Corp., 9.875% Sr. Nts., 2/1/01 50,000 50,375
--------
132,875
- --------------------------------------------------------------------------------------------------------
Capital Goods--1.5%
- --------------------------------------------------------------------------------------------------------
Industrial Services--1.2%
Advance Holding Corp., 0%/12.875% Sr. Disc. Nts., 4/15/09(7) 50,000 26,500
- --------------------------------------------------------------------------------------------------------
Advance Stores Co., Inc., 10.25% Sr. Unsec. Sub. Nts., Series B, 4/15/08 25,000 21,875
- --------------------------------------------------------------------------------------------------------
Applied Extrusion Technologies, Inc., 11.50% Sr. Nts., Series B, 4/1/02 125,000 128,750
- --------------------------------------------------------------------------------------------------------
Coinstar, Inc., 13% Sr. Disc. Nts., 10/1/06 50,000 50,312
- --------------------------------------------------------------------------------------------------------
Employee Solutions, Inc., 10% Sr. Unsec. Nts., Series B, 10/15/04 75,000 45,375
- --------------------------------------------------------------------------------------------------------
Jordan Telecommunication Products, Inc., 9.875% Sr. Nts., Series B, 8/1/07(2) 50,000 54,250
- --------------------------------------------------------------------------------------------------------
KSL Recreation Group, Inc., 10.25% Sr. Sub. Nts., 5/1/07(2) 50,000 49,250
- --------------------------------------------------------------------------------------------------------
Logix Communications Enterprises, Inc., 12.25% Sr. Unsec. Nts., 6/15/08(2) 50,000 36,250
- --------------------------------------------------------------------------------------------------------
Maxim Group, Inc. (The), 9.25% Sr. Sub. Nts., Series B, 10/15/07(2) 50,000 40,125
- --------------------------------------------------------------------------------------------------------
Mrs. Fields Holding Co., Units (each unit consists of $1,000 principal amount
of 0%/14% sr. sec. disc. nts., 12/1/05 and warrants to purchase shares of
common stock)(2)(7)(9) 100,000 56,500
- --------------------------------------------------------------------------------------------------------
Ocean Energy, Inc., 8.375% Sr. Unsec. Sub. Nts., Series B, 7/1/08 50,000 48,250
- --------------------------------------------------------------------------------------------------------
Production Resource Group LLC/PRG Finance Corp., 11.50% Sr.
Unsec. Sub. Nts., 1/15/08 75,000 67,125
- --------------------------------------------------------------------------------------------------------
Scotia Pacific Co. LLC, 6.55% Timber Collaterized Nts.,
Series B, Cl. A-1, 1/20/07 71,179 67,104
- --------------------------------------------------------------------------------------------------------
Simonds Industries, Inc., 10.25% Sr. Unsec. Sub. Nts., 7/1/08 50,000 40,250
- --------------------------------------------------------------------------------------------------------
Sun Co., Inc., 7.95% Debs., 12/15/01 50,000 50,486
- --------------------------------------------------------------------------------------------------------
Thermadyne Holdings Corp., 0%/12.50% Sr. Disc. Debs., 6/1/08(7) 75,000 34,687
- --------------------------------------------------------------------------------------------------------
Tyco International Group SA, 6.125% Unsec. Nts., 6/15/01 75,000 73,734
- --------------------------------------------------------------------------------------------------------
USI American Holdings, Inc., 7.25% Sr. Nts., Series B, 12/1/06 40,000 37,767
- --------------------------------------------------------------------------------------------------------
928,590
- --------------------------------------------------------------------------------------------------------
Manufacturing--0.3%
Federal-Mogul Corp., 7.50% Nts., 7/1/04 75,000 71,072
- --------------------------------------------------------------------------------------------------------
Jordan Industries, Inc., 10.375% Sr. Nts., Series B, 8/1/07(2) 75,000 75,375
- --------------------------------------------------------------------------------------------------------
Portola Packaging, Inc., 10.75% Sr. Nts., 10/1/05 50,000 50,250
- --------------------------------------------------------------------------------------------------------
Titan Wheel International, Inc., 8.75% Sr. Sub. Nts., 4/1/07 50,000 41,312
--------
238,009
</TABLE>
LifeSpan Capital Appreciation Portfolio 19
<PAGE>
- --------------------------------------------------------------------------------
Statement of Investments (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Market Value
Amount Note 1
<S> <C> <C>
- --------------------------------------------------------------------------------------------------------
Communication Services--2.0%
- --------------------------------------------------------------------------------------------------------
Telecommunications: Long Distance--1.7%
AT&T Capital Corp., 6.25% Medium-Term Nts., Series F, 5/15/01 $ 75,000 $ 74,237
- --------------------------------------------------------------------------------------------------------
Coaxial Communications, Inc., 10% Sr. Unsec. Nts., 8/15/06 75,000 73,875
- --------------------------------------------------------------------------------------------------------
Comcast UK Cable Partner Ltd., 0%/11.20% Sr. Disc. Debs., 11/15/07(7) 50,000 47,875
- --------------------------------------------------------------------------------------------------------
Diamond Cable Communications plc, 0%/10.75% Sr. Disc. Nts., 2/15/07(7) 75,000 61,875
- --------------------------------------------------------------------------------------------------------
e.spire Communications, Inc., 0%/13% Sr. Disc. Nts., 11/1/05(7) 100,000 53,625
- --------------------------------------------------------------------------------------------------------
Exodus Communications, Inc., 11.25% Sr. Nts., 7/1/08 75,000 77,812
- --------------------------------------------------------------------------------------------------------
Galaxy Telecom LP, 12.375% Sr. Sub. Nts., 10/1/05 75,000 79,875
- --------------------------------------------------------------------------------------------------------
GST USA, Inc., 0%/13.875% Gtd. Sr. Disc. Nts., 12/15/05(7) 75,000 55,875
- --------------------------------------------------------------------------------------------------------
Hermes Europe Railtel BV, 10.375% Sr. Unsec. Nts., 1/15/09 75,000 74,437
- --------------------------------------------------------------------------------------------------------
ICG Holdings, Inc., 0%/11.625% Sr. Disc. Nts., 3/15/07(7) 100,000 65,500
- --------------------------------------------------------------------------------------------------------
International CableTel, Inc., 0%/11.50% Sr. Deferred Coupon Nts.,
Series B, 2/1/06(7) 150,000 136,500
- --------------------------------------------------------------------------------------------------------
IXC Communications, Inc., 9% Sr. Sub. Nts., 4/15/08(2) 50,000 50,750
- --------------------------------------------------------------------------------------------------------
Level 3 Communications, Inc., 9.125% Sr. Unsec. Nts., 5/1/08 75,000 71,062
- --------------------------------------------------------------------------------------------------------
PSINet, Inc., 11.50% Sr. Unsec. Nts., 11/1/08 50,000 52,500
- --------------------------------------------------------------------------------------------------------
Qwest Communications International, Inc., 0%/9.47% Sr. Disc. Nts., 10/15/07(7) 75,000 61,125
- --------------------------------------------------------------------------------------------------------
RSL Communications plc, 9.125% Sr. Unsec. Nts., 3/1/08 50,000 44,000
- --------------------------------------------------------------------------------------------------------
Telewest Communications plc:
0%/11% Sr. Disc. Debs., 10/1/07(7) 25,000 23,437
9.625% Sr. Debs., 10/1/06 25,000 25,375
- --------------------------------------------------------------------------------------------------------
Teligent, Inc., 11.50% Sr. Nts., 12/1/07 75,000 72,750
- --------------------------------------------------------------------------------------------------------
US West Capital Funding, Inc., 6.125% Nts., 7/15/02 75,000 73,149
- --------------------------------------------------------------------------------------------------------
Winstar Communications, Inc., 0%/14% Sr. Disc. Nts., 10/15/05(7) 50,000 48,750
- --------------------------------------------------------------------------------------------------------
Worldwide Fiber, Inc., 12% Sr. Nts., 8/1/09(3) 50,000 51,750
----------
1,376,134
- --------------------------------------------------------------------------------------------------------
Telecommunications: Wireless--0.3%
Microcell Telecommunications, Inc., 0%/14% Sr. Disc. Nts., Series B, 6/1/06(7) 50,000 44,375
- --------------------------------------------------------------------------------------------------------
Nextel Communications, Inc., 9.75% Sr. Disc. Nts., 8/15/04 50,000 51,750
- --------------------------------------------------------------------------------------------------------
Sprint Spectrum LP/Sprint Spectrum Finance Corp., 11% Sr. Nts., 8/15/06 75,000 82,923
- --------------------------------------------------------------------------------------------------------
Western Wireless Corp., 10.50% Sr. Sub. Nts., 2/1/07 50,000 52,750
----------
231,798
- --------------------------------------------------------------------------------------------------------
Consumer Cyclicals--1.8%
- --------------------------------------------------------------------------------------------------------
Autos & Housing--0.2%
Black & Decker Corp., 6.625% Nts., 11/15/00 15,000 14,964
- --------------------------------------------------------------------------------------------------------
Cambridge Industries, Inc., 10.25% Sr. Sub. Nts., Series B, 7/15/07 75,000 29,437
- --------------------------------------------------------------------------------------------------------
Collins & Aikman Floorcoverings, Inc., 10% Sr. Sub. Nts., Series B, 1/15/07 50,000 49,250
- --------------------------------------------------------------------------------------------------------
Oxford Automotive, Inc., 10.125% Sr. Unsec. Sub. Nts., Series D, 6/15/07(2) 75,000 70,875
----------
164,526
</TABLE>
20 LifeSpan Capital Appreciation Portfolio
<PAGE>
- --------------------------------------------------------------------------------
Statement of Investments (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Market Value
Amount Note 1
<S> <C> <C>
- ------------------------------------------------------------------------------------------------------------
Leisure & Entertainment--1.0%
American Skiing Corp., 12% Sr. Sub. Nts., Series B, 7/15/06 $50,000 $ 45,875
- -----------------------------------------------------------------------------------------------------------
Ameristar Casinos, Inc., 10.50% Sr. Sub. Nts., Series B, 8/1/04 50,000 51,000
- -----------------------------------------------------------------------------------------------------------
Bally Total Fitness Holding Corp., 9.875% Sr. Unsec. Sub. Nts., Series D, 10/15/07 75,000 73,125
- -----------------------------------------------------------------------------------------------------------
Casino Magic of Louisiana Corp., 13% First Mtg. Nts., Series B, 8/15/03 50,000 56,687
- -----------------------------------------------------------------------------------------------------------
Colorado Gaming & Entertainment Co., 12% Sr. Sec. Nts., 6/1/03 75,000 52,875
- -----------------------------------------------------------------------------------------------------------
Hard Rock Hotel, Inc., 9.25% Sr. Sub. Nts., 4/1/05 50,000 35,750
- -----------------------------------------------------------------------------------------------------------
Harveys Casino Resorts, 10.625% Sr. Unsec. Sub. Nts., 6/1/06 50,000 51,875
- -----------------------------------------------------------------------------------------------------------
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 50,000
- -----------------------------------------------------------------------------------------------------------
Isle of Capri Casinos, Inc., 8.75% Sr. Unsec. Nts., 4/15/09 50,000 46,250
- -----------------------------------------------------------------------------------------------------------
Mohegan Tribal Gaming Authority, 8.75% Sr. Unsec. Sub. Nts., 1/1/09 50,000 49,500
- -----------------------------------------------------------------------------------------------------------
Park Place Entertainment Corp., 8.50% Sr. Nts., 11/15/06 50,000 49,359
- -----------------------------------------------------------------------------------------------------------
Players International, Inc., 10.875% Sr. Nts., 4/15/05(2) 75,000 79,125
- -----------------------------------------------------------------------------------------------------------
Santa Fe Hotel, Inc., 11% Gtd. First Mtg. Nts., 12/15/00 50,000 48,750
- -----------------------------------------------------------------------------------------------------------
Station Casinos, Inc., 9.75% Sr. Sub. Nts., 4/15/07 75,000 75,750
--------
835,671
- -----------------------------------------------------------------------------------------------------------
Media--0.3%
Hollinger International Publishing, Inc., 9.25% Gtd. Sr. Sub. Nts., 3/15/07 75,000 74,625
- -----------------------------------------------------------------------------------------------------------
Lamar Advertising Co., 8.625% Sr. Sub. Nts., 9/15/07(2) 75,000 73,875
- -----------------------------------------------------------------------------------------------------------
MDC Communications Corp., 10.50% Sr. Sub. Nts., 12/1/06(2) 75,000 74,437
--------
222,937
- -----------------------------------------------------------------------------------------------------------
Retail: General--0.1%
Federated Department Stores, Inc., 6.125% Cv. Sub. Nts., 9/1/01(5) 75,000 73,498
- -----------------------------------------------------------------------------------------------------------
Price/Costco Cos., Inc., 7.125% Sr. Nts., 6/15/05 40,000 39,657
--------
113,155
- -----------------------------------------------------------------------------------------------------------
Retail: Specialty--0.1%
K Mart Corp., 7.75% Debs., 10/1/12 50,000 44,489
- -----------------------------------------------------------------------------------------------------------
Pantry, Inc. (The), 10.25% Sr. Sub. Nts., 10/15/07 75,000 73,125
--------
117,614
- -----------------------------------------------------------------------------------------------------------
Textile/Apparel & Home Furnishings--0.1%
William Carter Co., 10.375% Sr. Sub. Nts., Series A, 12/1/06 75,000 67,875
</TABLE>
LifeSpan Capital Appreciation Portfolio 21
<PAGE>
- --------------------------------------------------------------------------------
Statement of Investments (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Market Value
Amount Note 1
<S> <C> <C>
- ---------------------------------------------------------------------------------------------------------------------------
Consumer Staples--1.5%
- ---------------------------------------------------------------------------------------------------------------------------
Broadcasting--1.1%
Adelphia Communications Corp., 10.50% Sr. Unsec. Nts., Series B, 7/15/04 $ 75,000 $ 78,187
- ---------------------------------------------------------------------------------------------------------------------------
Allbritton Communications Co., 8.875% Sr. Sub. Nts., Series B, 2/1/08 75,000 72,375
- ---------------------------------------------------------------------------------------------------------------------------
Australis Holdings PTY Ltd., 0%/15% Sr. Sec. Disc. Nts., 11/1/02(2)(7) 100,000 1,000
- ---------------------------------------------------------------------------------------------------------------------------
Century Communications Corp.:
9.75% Sr. Nts., 2/15/02 50,000 50,500
Zero Coupon Sr. Disc. Nts., Series B, 8.50%, 1/15/08(6) 50,000 22,188
- ---------------------------------------------------------------------------------------------------------------------------
Charter Communication Holdings LLC/Charter Communication Holdings Capital Corp.:
0%/9.92% Sr. Unsec. Disc. Nts., 4/1/11(7) 50,000 29,563
8.625% Sr. Unsec. Nts., 4/1/09 75,000 69,656
- ---------------------------------------------------------------------------------------------------------------------------
Classic Cable, Inc., 9.375% Sr. Sub. Nts., Series B, 8/1/09 50,000 49,375
- ---------------------------------------------------------------------------------------------------------------------------
Comcast Corp., 9.125% Sr. Sub. Debs., 10/15/06 50,000 52,188
- ---------------------------------------------------------------------------------------------------------------------------
CSC Holdings, Inc., 9.875% Sr. Sub. Nts., 5/15/06 50,000 53,000
- ---------------------------------------------------------------------------------------------------------------------------
Diva Systems Corp., 0%/12.625% Sr. Disc. Nts., Series B, 3/1/08(7) 100,000 39,500
- ---------------------------------------------------------------------------------------------------------------------------
EchoStar DBS Corp., 9.375% Sr. Unsec. Nts., 2/1/09 75,000 75,750
- ---------------------------------------------------------------------------------------------------------------------------
Falcon Holding Group LP, 0%/9.285% Sr. Disc. Debs., Series B, 4/15/10(7) 100,000 75,375
- ---------------------------------------------------------------------------------------------------------------------------
Interepublic National Radio Sales Corp., 10% Sr. Unsec. Sub. Nts.,
Series B, 7/1/08 50,000 48,125
- ---------------------------------------------------------------------------------------------------------------------------
James Cable Partners LP, 10.75% Sr. Nts., Series B, 8/15/04 50,000 50,875
- ---------------------------------------------------------------------------------------------------------------------------
Sinclair Broadcast Group, Inc., 10% Sr. Sub. Nts., 9/30/05 50,000 49,750
- ---------------------------------------------------------------------------------------------------------------------------
United International Holdings, Inc., 0%/10.75% Sr. Disc. Nts.,
Series B, 2/15/08(7) 100,000 64,500
--------
881,907
- ---------------------------------------------------------------------------------------------------------------------------
Entertainment--0.1%
Tricon Global Restaurants, Inc., 7.45% Sr. Unsec. Nts., 5/15/05 75,000 72,190
- ---------------------------------------------------------------------------------------------------------------------------
Food--0.2%
AmeriServe Food Distribution, Inc., 8.875% Sr. Nts., 10/15/06 75,000 41,625
- ---------------------------------------------------------------------------------------------------------------------------
Dole Food Co., 6.75% Nts., 7/15/00 40,000 39,766
- ---------------------------------------------------------------------------------------------------------------------------
Grand Metro Inventory Corp., 7.125% Nts., 9/15/04 100,000 99,609
--------
181,000
- ---------------------------------------------------------------------------------------------------------------------------
Food & Drug Retailers--0.0%
Jitney-Jungle Stores of America, Inc., 10.375% Sr. Sub. Nts., 9/15/07(2)(10) 50,000 500
- ---------------------------------------------------------------------------------------------------------------------------
Household Goods--0.1%
Kimberly-Clark Corp., 7.875% Debs., 2/1/23 35,000 34,395
- ---------------------------------------------------------------------------------------------------------------------------
Revlon Consumer Products Corp., 8.625% Sr. Unsec. Sub. Nts., 2/1/08 75,000 37,875
--------
72,270
- ---------------------------------------------------------------------------------------------------------------------------
Energy--0.4%
- ---------------------------------------------------------------------------------------------------------------------------
Energy Services--0.3%
Coastal Corp., 8.125% Sr. Nts., 9/15/02 15,000 15,355
- ---------------------------------------------------------------------------------------------------------------------------
Gulf Canada Resources Ltd., 8.25% Sr. Nts., 3/15/17 50,000 43,650
- ---------------------------------------------------------------------------------------------------------------------------
Louisiana Land & Exploration Co., 7.65% Debs., 12/1/23 35,000 33,051
- ---------------------------------------------------------------------------------------------------------------------------
Petroleum Geo-Services ASA, 7.50% Nts., 3/31/07 50,000 48,878
- ---------------------------------------------------------------------------------------------------------------------------
RAM Energy, Inc., 11.50% Sr. Unsec. Nts., 2/15/08 75,000 34,875
- ---------------------------------------------------------------------------------------------------------------------------
Southwest Royalties, Inc., 10.50% Sr. Nts., Series B, 10/15/04 75,000 42,375
- ---------------------------------------------------------------------------------------------------------------------------
Williams Holdings of Delaware, Inc., 6.25% Sr. Unsec. Debs., 2/1/06 25,000 23,254
--------
241,438
</TABLE>
22 LifeSpan Capital Appreciation Portfolio
<PAGE>
- --------------------------------------------------------------------------------
Statement of Investments (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Market Value
Amount Note 1
<S> <C> <C>
- -------------------------------------------------------------------------------------------------------
Oil: Domestic--0.1%
Norcen Energy Resources Ltd., 6.80% Debs., 7/2/02 $50,000 $ 48,613
- -------------------------------------------------------------------------------------------------------
Oil: International--0.0%
Abraxas Petroleum Corp./Canadian Abraxas Petroleum Ltd., 11.50% Sr.
Unsec. Nts., 11/1/04 35,000 32,025
- -------------------------------------------------------------------------------------------------------
Financial--0.9%
- -------------------------------------------------------------------------------------------------------
Banks--0.0%
Fleet Mtg./Norstar Group, Inc., 9.90% Sub. Nts., 6/15/01 15,000 15,572
- -------------------------------------------------------------------------------------------------------
Integra Financial Corp., 6.50% Sub. Nts., 4/15/00 15,000 15,003
--------
30,575
- -------------------------------------------------------------------------------------------------------
Diversified Financial--0.6%
American General Institutional Capital B, 8.125% Bonds, Series B, 3/15/46(3) 50,000 50,069
- -------------------------------------------------------------------------------------------------------
Capital One Financial Corp., 7.25% Nts., 12/1/03 40,000 39,151
- -------------------------------------------------------------------------------------------------------
Conseco Financing Trust III, 8.796% Bonds, 4/1/27 50,000 45,408
- -------------------------------------------------------------------------------------------------------
Countrywide Home Loans, Inc., 6.05% Medium-Term Nts., Series D, 3/1/01 90,000 89,071
- -------------------------------------------------------------------------------------------------------
General Electric Capital Corp., 5.77% Nts., Series A, 8/27/01 75,000 73,928
- -------------------------------------------------------------------------------------------------------
General Motors Acceptance Corp., 5.625% Nts., 2/15/01 25,000 24,658
- -------------------------------------------------------------------------------------------------------
GS Escrow Corp., 6.75% Sr. Unsec. Nts., 8/1/01 75,000 72,314
- -------------------------------------------------------------------------------------------------------
Olympic Financial Ltd., Units (each unit consists of $1,000 principal
amount of 11.50% sr. nts., 3/15/07 and one warrant to purchase 6.84 shares
of common stock)(2)(9) 75,000 78,000
--------
472,599
- -------------------------------------------------------------------------------------------------------
Insurance--0.1%
Conseco, Inc., 6.40% Nts., 6/15/01 75,000 73,166
- -------------------------------------------------------------------------------------------------------
Real Estate Investment Trusts--0.2%
Chelsea GCA Realty Partner, Inc., 7.75% Unsec. Nts., 1/26/01 80,000 80,167
- -------------------------------------------------------------------------------------------------------
First Industrial LP, 7.15% Bonds, 5/15/27 50,000 49,053
- -------------------------------------------------------------------------------------------------------
Simon DeBartolo Group LP, 6.625% Unsec. Nts., 6/15/03 75,000 71,609
--------
200,829
- -------------------------------------------------------------------------------------------------------
Healthcare--0.3%
- -------------------------------------------------------------------------------------------------------
Healthcare/Supplies & Services--0.3%
- -------------------------------------------------------------------------------------------------------
Columbia/HCA Healthcare Corp., 6.875% Nts., 7/15/01 30,000 29,211
- -------------------------------------------------------------------------------------------------------
Dade International, Inc., 11.125% Sr. Sub. Nts., 5/1/06 25,000 24,500
- -------------------------------------------------------------------------------------------------------
ICN Pharmaceutical, Inc., 8.75% Sr. Nts., 11/15/08(3) 75,000 72,000
- -------------------------------------------------------------------------------------------------------
Paracelsus Healthcare Corp., 10% Sr. Unsec. Sub. Nts., 8/15/06 50,000 27,750
- -------------------------------------------------------------------------------------------------------
Playtex Products, Inc., 8.875% Sr. Nts., 7/15/04 50,000 50,375
- -------------------------------------------------------------------------------------------------------
Tenet Healthcare Corp., 8% Sr. Nts., 1/15/05 50,000 48,125
--------
251,961
</TABLE>
LifeSpan Capital Appreciation Portfolio 23
<PAGE>
- --------------------------------------------------------------------------------
Statement of Investments (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Market Value
Amount Note 1
<S> <C> <C>
- ---------------------------------------------------------------------------------------------------
Transportation--0.3%
- ---------------------------------------------------------------------------------------------------
Air Transportation--0.1%
Canadian Airlines Corp., 12.25% Sr. Nts., 8/1/06 $ 75,000 $ 40,875
- ---------------------------------------------------------------------------------------------------
Trans World Airlines, Inc., 11.375% Unsec. Nts., 3/1/06 75,000 30,750
-----------
71,625
- ---------------------------------------------------------------------------------------------------
Railroads & Truckers--0.2%
CSX Corp., 7.05% Debs., 5/1/02 75,000 74,653
- ---------------------------------------------------------------------------------------------------
Norfolk Southern Corp., 7.35% Nts., 5/15/07 50,000 48,952
- ---------------------------------------------------------------------------------------------------
Union Pacific Corp., 7% Nts., 6/15/00 15,000 15,048
-----------
138,653
- ---------------------------------------------------------------------------------------------------
Utilities--0.3%
- ---------------------------------------------------------------------------------------------------
Electric Utilities--0.1%
AES Corp. (The), 8% Sr. Nts., 12/31/08 50,000 46,000
- ---------------------------------------------------------------------------------------------------
Gas Utilities--0.2%
Northern Illinois Gas Co., 6.45% First Mtg. Bonds, 8/1/01 50,000 49,508
- ---------------------------------------------------------------------------------------------------
Tennessee Gas Pipeline Co., 7.50% Bonds, 4/1/17 50,000 47,262
- ---------------------------------------------------------------------------------------------------
Williams Cos., Inc. (The), 6.20% Nts., 8/1/02 75,000 73,180
-----------
169,950
-----------
Total Non-Convertible Corporate Bonds and Notes (Cost $8,772,625) 7,824,816
===================================================================================================
Repurchase Agreements--7.5%
- ---------------------------------------------------------------------------------------------------
Repurchase agreement with Zion First National Bank, 3%, dated
12/31/99, to be repurchased at $6,038,509 on 1/3/00, collateralized
by U.S. Treasury Nts., 7.25%, 8/15/04, with a value of $6,161,387
(Cost $6,037,000) 6,037,000 6,037,000
- ---------------------------------------------------------------------------------------------------
Total Investments, at Value (Cost $64,700,280) 99.4% 80,097,391
- ---------------------------------------------------------------------------------------------------
Other Assets Net of Liabilities 0.6 465,507
--------- -----------
Net Assets 100.0% $80,562,898
========= ===========
</TABLE>
1. Non-income producing security.
2. Identifies issues considered to be illiquid or restricted--See Note 6 of
Notes to Financial Statements.
3. Represents securities sold under Rule 144A, which are exempt from
registration under the Securities Act of 1933, as amended. These securities have
been determined to be liquid under guidelines established by the Board of
Directors. These securities amount to $331,019 or 0.41% of the Fund's net assets
as of December 31, 1999.
4. Interest-Only Strips represent the right to receive the monthly interest
payments on an underlying pool of mortgage loans. These securities typically
decline in price as interest rates decline. Most other fixed income securities
increase in price when interest rates decline. The principal amount of the
underlying pool represents the notional amount on which current interest is
calculated. The price of these securities is typically more sensitive to changes
in prepayment rates than traditional mortgage-backed securities (for example,
GNMA pass-throughs). Interest rates disclosed represent current yields based
upon the current cost basis and estimated timing and amount of future cash
flows.
5. Represents the current interest rate for a variable or increasing rate
security.
6. For zero coupon bonds, the interest rate shown is the effective yield on the
date of purchase.
7. Denotes a step bond: a zero coupon bond that converts to a fixed or variable
interest rate at a designated future date.
8. Interest or dividend is paid in kind.
9. Units may be comprised of several components, such as debt and equity and/or
warrants to purchase equity at some point in the future. For units which
represent debt securities, principal amount disclosed represents total
underlying principal.
10. Issuer is in default.
See accompanying Notes to Financial Statements.
24 LifeSpan Capital Appreciation Portfolio
<PAGE>
- --------------------------------------------------------------------------------
Statement of Assets and Liabilities December 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
===================================================================================================
Assets
Investments, at value (cost $64,700,280)--see accompanying statement $80,097,391
- ---------------------------------------------------------------------------------------------------
Cash 151,482
- ---------------------------------------------------------------------------------------------------
Receivables and other assets:
Investments sold 497,036
Interest, dividends and principal paydowns 309,176
Other 2,368
-----------
Total assets 81,057,453
===================================================================================================
Liabilities
Payables and other liabilities:
Shares of capital stock redeemed 439,871
Investments purchased 26,685
Shareholder reports 15,338
Directors' compensation 262
Transfer and shareholder servicing agent fees 185
Other 12,214
-----------
Total liabilities 494,555
===================================================================================================
Net Assets $80,562,898
===========
===================================================================================================
Composition of Net Assets
Par value of shares of capital stock $ 50,220
- ---------------------------------------------------------------------------------------------------
Additional paid-in capital 56,244,440
- ---------------------------------------------------------------------------------------------------
Undistributed net investment income 1,698,832
- ---------------------------------------------------------------------------------------------------
Accumulated net realized gain on investments and foreign currency transactions 7,117,454
- ---------------------------------------------------------------------------------------------------
Net unrealized appreciation on investments and translation of assets and liabilities
denominated in foreign currencies 15,451,952
-----------
Net assets--applicable to 50,220,157 shares of capital stock outstanding $80,562,898
===========
===================================================================================================
Net Asset Value, Redemption Price Per Share and Offering Price Per Share $1.60
</TABLE>
See accompanying Notes to Financial Statements.
LifeSpan Capital Appreciation Portfolio 25
<PAGE>
- --------------------------------------------------------------------------------
Statement of Operations For the Year Ended December 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
=======================================================================================
Investment Income
Interest $ 1,431,088
- ---------------------------------------------------------------------------------------
Dividends (net of foreign withholding taxes of $16,037) 798,930
-----------
Total income 2,230,018
=======================================================================================
Expenses
Management fees 615,493
- ---------------------------------------------------------------------------------------
Accounting service fees 15,000
- ---------------------------------------------------------------------------------------
Custodian fees and expenses 10,276
- ---------------------------------------------------------------------------------------
Directors' compensation 2,804
- ---------------------------------------------------------------------------------------
Transfer and shareholder servicing agent fees 2,103
- ---------------------------------------------------------------------------------------
Other 26,029
-----------
Total expenses 671,705
Less expenses paid indirectly (2,760)
-----------
Net expenses 668,945
=======================================================================================
Net Investment Income 1,561,073
=======================================================================================
Realized and Unrealized Gain (Loss)
Net realized gain (loss) on:
Investments 8,498,370
Foreign currency transactions (51,679)
-----------
Net realized gain 8,446,691
- ---------------------------------------------------------------------------------------
Net change in unrealized appreciation or depreciation on:
Investments 4,563,358
Translation of assets and liabilities denominated in foreign currencies (255,156)
-----------
Net change 4,308,202
-----------
Net realized and unrealized gain 12,754,893
=======================================================================================
Net Increase in Net Assets Resulting from Operations $14,315,966
===========
</TABLE>
See accompanying Notes to Financial Statements.
26 LifeSpan Capital Appreciation Portfolio
<PAGE>
- --------------------------------------------------------------------------------
Statement of Changes in Net Assets
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Year Ended December 31,
1999 1998
<S> <C> <C>
======================================================================================
Operations
Net investment income $ 1,561,073 $ 1,606,354
- --------------------------------------------------------------------------------------
Net realized gain (loss) 8,446,691 (1,177,781)
- --------------------------------------------------------------------------------------
Net change in unrealized appreciation or depreciation 4,308,202 3,371,596
----------- -----------
Net increase in net assets resulting from operations 14,315,966 3,800,169
======================================================================================
Dividends and/or Distributions to Shareholders
Dividends from net investment income (1,572,323) (1,183,734)
- --------------------------------------------------------------------------------------
Distributions from net realized gain -- (2,498,475)
======================================================================================
Capital Stock Transactions
Net increase (decrease) in net assets resulting from
capital stock transactions (5,029,898) 11,351,711
======================================================================================
Net Assets
Total increase 7,713,745 11,469,671
- --------------------------------------------------------------------------------------
Beginning of period 72,849,153 61,379,482
----------- -----------
End of period (including undistributed net investment
income of $1,698,832 and $1,570,493, respectively) $80,562,898 $72,849,153
=========== ===========
</TABLE>
See accompanying Notes to Financial Statements.
LifeSpan Capital Appreciation Portfolio 27
<PAGE>
- --------------------------------------------------------------------------------
Financial Highlights
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Year Ended December 31,
1999 1998 1997 1996(1) 1995(2)
<S> <C> <C> <C> <C> <C>
============================================================================================================================
Per Share Operating Data
Net asset value, beginning of period $1.36 $1.35 $1.24 $1.06 $1.00
- ----------------------------------------------------------------------------------------------------------------------------
Income from investment operations:
Net investment income .03 .03 .03 .02 .01
Net realized and unrealized gain .24 .06 .12 .17 .06
- ----------------------------------------------------------------------------------------------------------------------------
Total income from investment operations .27 .09 .15 .19 .07
- ----------------------------------------------------------------------------------------------------------------------------
Dividends and/or distributions to shareholders:
Dividends from net investment income (.03) (.03) (.01) (.01) (.01)
Distributions from net realized gain -- (.05) (.03) -- --
- ----------------------------------------------------------------------------------------------------------------------------
Total dividends and/or distributions
to shareholders (.03) (.08) (.04) (.01) (.01)
- ----------------------------------------------------------------------------------------------------------------------------
Net asset value, end of period $1.60 $1.36 $1.35 $1.24 $1.06
===== ===== ===== ===== =====
============================================================================================================================
Total Return, at Net Asset Value(3) 20.34% 6.49% 12.53% 17.97% 6.65%
============================================================================================================================
Ratios/Supplemental Data
Net assets, end of period (in thousands) $80,563 $72,849 $61,379 $41,994 $26,768
- ----------------------------------------------------------------------------------------------------------------------------
Average net assets (in thousands) $72,433 $66,754 $51,473 $33,109 $25,460(4)
- ----------------------------------------------------------------------------------------------------------------------------
Ratios to average net assets: (5)
Net investment income 2.16% 2.41% 2.36% 1.92% 1.73%
Expenses 0.93% 0.93%(6) 0.99%(6) 1.30%(6) 1.50%(6)
- ----------------------------------------------------------------------------------------------------------------------------
Portfolio turnover rate(7) 87% 65% 66% 71% 39%
</TABLE>
1. On March 1, 1996, OppenheimerFunds, Inc. became the investment advisor to the
Fund.
2. For the period from September 1, 1995 (commencement of operations) to
December 31, 1995.
3. Assumes a $1,000 hypothetical initial investment on the business day before
the first day of the fiscal period, (or commencement of operations), with all
dividends and distributions reinvested in additional shares on the reinvestment
date, and redemption at the net asset value calculated on the last business day
of the fiscal period. Total returns are not annualized for periods less than one
full year. Total return information does not reflect expenses that apply at the
separate account level or to related insurance products. Inclusion of these
charges would reduce the total return figures for all periods shown.
4. This information is not covered by the auditors' opinion.
5. Annualized for periods less than one full year.
6. Expense ratio has not been grossed up to reflect the effect of expenses paid
indirectly.
7. The lesser of purchases or sales of portfolio securities for a period,
divided by the monthly average of the market value of portfolio securities owned
during the period. Securities with a maturity or expiration date at the time of
acquisition of one year or less are excluded from the calculation. Purchases and
sales of investment securities (excluding short-term securities) for the period
ended December 31, 1999, were $57,710,279 and $60,781,231, respectively.
See accompanying Notes to Financial Statements.
28 LifeSpan Capital Appreciation Portfolio
<PAGE>
- --------------------------------------------------------------------------------
Notes to Financial Statements
- --------------------------------------------------------------------------------
================================================================================
1. Significant Accounting Policies
LifeSpan Capital Appreciation Portfolio (the Fund) is a series of Panorama
Series Fund, Inc. (the Company) which is registered under the Investment Company
Act of 1940, as amended, as a diversified, open-end management investment
company. The Fund's investment objective is to seek long-term capital
appreciation by investing in a strategically allocated portfolio consisting
primarily of stocks. The Fund's investment advisor is OppenheimerFunds, Inc.
(the Manager). Shares of the Fund are sold only to separate accounts of life
insurance companies, a majority of such shares are held by separate accounts of
Massachusetts Mutual Life Insurance Co., an affiliate of the investment advisor.
The following is a summary of significant accounting policies consistently
followed by the Fund.
- --------------------------------------------------------------------------------
Securities Valuation. Portfolio securities are valued at the close of the New
York Stock Exchange on each trading day. Listed and unlisted securities for
which such information is regularly reported are valued at the last sale price
of the day or, in the absence of sales, at values based on the closing bid or
the last sale price on the prior trading day. Long-term and short-term
"non-money market" debt securities are valued by a portfolio pricing service
approved by the Board of Directors. Such securities which cannot be valued by an
approved portfolio pricing service are valued using dealer-supplied valuations
provided the Manager is satisfied that the firm rendering the quotes is reliable
and that the quotes reflect current market value, or are valued under
consistently applied procedures established by the Board of Directors to
determine fair value in good faith. Short-term "money market type" debt
securities having a remaining maturity of 60 days or less are valued at cost (or
last determined market value) adjusted for amortization to maturity of any
premium or discount. Foreign currency exchange contracts are valued based on the
closing prices of the foreign currency contract rates in the London foreign
exchange markets on a daily basis as provided by a reliable bank or dealer.
Options are valued based upon the last sale price on the principal exchange on
which the option is traded or, in the absence of any transactions that day, the
value is based upon the last sale price on the prior trading date if it is
within the spread between the closing bid and asked prices. If the last sale
price is outside the spread, the closing bid is used.
- --------------------------------------------------------------------------------
Security Credit Risk. The Fund invests in high yield securities, which may be
subject to a greater degree of credit risk, greater market fluctuations and risk
of loss of income and principal, and may be more sensitive to economic
conditions than lower yielding, higher rated fixed income securities. The Fund
may acquire securities in default, and is not obligated to dispose of securities
whose issuers subsequently default. As of December 31, 1999, securities with an
aggregate market value of $8,375, representing 0.01% of the Fund's net assets,
were in default.
- --------------------------------------------------------------------------------
Foreign Currency Translation. The accounting records of the Fund are maintained
in U.S. dollars. Prices of securities denominated in foreign currencies are
translated into U.S. dollars at the closing rates of exchange. Amounts related
to the purchase and sale of foreign securities and investment income are
translated at the rates of exchange prevailing on the respective dates of such
transactions.
The effect of changes in foreign currency exchange rates on investments
is separately identified from the fluctuations arising from changes in market
values of securities held and reported with all other foreign currency gains and
losses in the Fund's Statement of Operations.
- --------------------------------------------------------------------------------
Repurchase Agreements. The Fund requires the custodian to take possession, to
have legally segregated in the Federal Reserve Book Entry System or to have
segregated within the custodian's vault, all securities held as collateral for
repurchase agreements. The market value of the underlying securities is required
to be at least 102% of the resale price at the time of purchase. If the seller
of the agreement defaults and the value of the collateral declines, or if the
seller enters an insolvency proceeding, realization of the value of the
collateral by the Fund may be delayed or limited.
- --------------------------------------------------------------------------------
Federal Taxes. The Fund intends to continue to comply with provisions of the
Internal Revenue Code applicable to regulated investment companies and to
distribute all of its taxable income, including any net realized gain on
investments not offset by loss carryovers to shareholders.
LifeSpan Capital Appreciation Portfolio 29
<PAGE>
- --------------------------------------------------------------------------------
Notes to Financial Statements (Continued)
- --------------------------------------------------------------------------------
================================================================================
1. Significant Accounting Policies (continued)
Dividend and Distributions to Shareholders. Dividends and distributions to
shareholders, which are determined in accordance with income tax regulations,
are recorded on the ex-dividend date.
- --------------------------------------------------------------------------------
Classification of Distributions to Shareholders. Net investment income (loss)
and net realized gain (loss) may differ for financial statement and tax purposes
primarily because of paydown gains and losses and the recognition of certain
foreign currency gains (losses) as ordinary income (loss) for tax purposes. The
character of distributions made during the year from net investment income or
net realized gains may differ from its ultimate characterization for federal
income tax purposes. Also, due to timing of dividend distributions, the fiscal
year in which amounts are distributed may differ from the fiscal year in which
the income or realized gain was recorded by the Fund.
The Fund adjusts the classification of distributions to shareholders to
reflect the differences between financial statement amounts and distributions
determined in accordance with income tax regulations. Accordingly, during the
year ended December 31, 1999, amounts have been reclassified to reflect an
increase in undistributed net investment income of $139,589. Accumulated net
realized gain on investments was decreased by the same amount.
- --------------------------------------------------------------------------------
Expense Offset Arrangements. Expenses paid indirectly represent a reduction of
custodian fees for earnings on cash balances maintained by the Fund.
- --------------------------------------------------------------------------------
Other. Investment transactions are accounted for as of trade date and dividend
income is recorded on the ex-dividend date. Certain dividends from foreign
securities will be recorded as soon as the Fund is informed of the dividend if
such information is obtained subsequent to the ex-dividend date. Realized gains
and losses on investments and unrealized appreciation and depreciation are
determined on an identified cost basis, which is the same basis used for federal
income tax purposes.
The preparation of financial statements in conformity with generally
accepted accounting principles requires management to make estimates and
assumptions that affect the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements and the reported amounts of income and expenses during the reporting
period. Actual results could differ from those estimates.
================================================================================
2. Shares of Capital Stock
The Fund has authorized 250 million shares of $0.001 par value capital stock.
Transactions in shares of capital stock were as follows:
<TABLE>
<CAPTION>
Year Ended December 31, 1999 Year Ended December 31, 1998
---------------------------- ----------------------------
Shares Amount Shares Amount
- ----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Sold 2,992,840 $ 4,099,694 8,700,602 $11,570,097
Dividends and/or distributions reinvested 1,209,480 1,572,323 2,668,268 3,682,209
Redeemed (7,744,976) (10,701,915) (2,957,241) (3,900,595)
---------- ------------ ---------- -----------
Net increase (decrease) (3,542,656) $ (5,029,898) 8,411,629 $11,351,711
========== ============ ========== ===========
</TABLE>
================================================================================
3. Unrealized Gains and Losses on Securities
As of December 31, 1999, net unrealized appreciation on securities of
$15,397,111 was composed of gross appreciation of $19,540,595, and gross
depreciation of $4,143,484.
================================================================================
4. Management Fees and Other Transactions with Affiliates
Management Fees. Management fees paid to the Manager were in accordance with the
investment advisory agreement with the Fund. The annual fees are 0.85% of the
Fund's first $250 million of average daily net assets and 0.75% on average daily
net assets over $250 million. The Fund's management fee for the year ended
December 31, 1999, was 0.85% of the average annual net assets for the Fund.
30 LifeSpan Capital Appreciation Portfolio
<PAGE>
- --------------------------------------------------------------------------------
Notes to Financial Statements (Continued)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Accounting Fees. The Manager acts as the accounting agent for the Fund at an
annual fee of $15,000, plus out-of-pocket costs and expenses reasonably
incurred.
- --------------------------------------------------------------------------------
Transfer Agent Fees. OppenheimerFunds Services (OFS), a division of the Manager,
is the transfer agent for the Fund and is responsible for maintaining the
shareholder registry and shareholder accounting records for the Fund. OFS
provides these services for cost.
================================================================================
5. Foreign Currency Contracts
A foreign currency contract is a commitment to purchase or sell a foreign
currency at a future date, at a negotiated rate. The Fund may enter into foreign
currency contracts for operational purposes and to seek to protect against
adverse exchange rate fluctuations. Risks to the Fund include the potential
inability of the counterparty to meet the terms of the contract.
The net U.S. dollar value of foreign currency underlying all
contractual commitments held by the Fund and the resulting unrealized
appreciation or depreciation are determined using foreign currency exchange
rates as provided by a reliable bank, dealer or pricing service. Unrealized
appreciation and depreciation on foreign currency contracts are reported in the
Statement of Assets and Liabilities.
The Fund may realize a gain or loss upon the closing or settlement of
the foreign currency transactions. Realized gains and losses are reported with
all other foreign currency gains and losses in the Statement of Operations.
Securities denominated in foreign currency to cover net exposure on
outstanding foreign currency contracts are noted in the Statement of Investments
where applicable.
================================================================================
6. Illiquid or Restricted Securities
As of December 31, 1999, investments in securities included issues that are
illiquid or restricted. Restricted securities are often purchased in private
placement transactions, are not registered under the Securities Act of 1933, may
have contractual restrictions on resale, and are valued under methods approved
by the Board of Directors as reflecting fair value. A security may also be
considered illiquid if it lacks a readily available market or if its valuation
has not changed for a certain period of time. The Fund intends to invest no more
than 15% of its net assets (determined at the time of purchase and reviewed
periodically) in illiquid or restricted securities. Certain restricted
securities, eligible for resale to qualified institutional investors, are not
subject to that limitation. The aggregate value of illiquid or restricted
securities subject to this limitation as of December 31, 1999, was $837,228,
which represents 1.04% of the Fund's net assets.
LifeSpan Capital Appreciation Portfolio 31
<PAGE>
- --------------------------------------------------------------------------------
Independent Auditors' Report
- --------------------------------------------------------------------------------
================================================================================
To the Board of Directors and Shareholders of LifeSpan Capital Appreciation
Portfolio:
We have audited the accompanying statement of assets and liabilities, including
the statement of investments, of LifeSpan Capital Appreciation Portfolio (which
is a series of Panorama Series Fund, Inc.) as of December 31, 1999, the related
statement of operations for the year then ended, the statements of changes in
net assets for the years ended December 31, 1999 and 1998, and the financial
highlights for the period January 1, 1996 to December 31, 1999. These financial
statements and financial highlights are the responsibility of the Fund's
management. Our responsibility is to express an opinion on these financial
statements and financial highlights based on our audits. The financial
highlights for the period September 1, 1995 to December 31, 1995, were audited
by other auditors whose report dated February 15, 1996, expressed an unqualified
opinion on this information.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of securities owned as of
December 31, 1999, by correspondence with the custodian and brokers; where
confirmations were not received from brokers, we performed other auditing
procedures. An audit also includes assessing the accounting principles used and
significant estimates made by management, as well as evaluating the overall
financial statement presentation. We believe that our audits provide a
reasonable basis for our opinion.
In our opinion, such financial statements and financial highlights
present fairly, in all material respects, the financial position of LifeSpan
Capital Appreciation Portfolio as of December 31, 1999, the results of its
operations, the changes in its net assets, and the financial highlights for the
respective stated periods, in conformity with generally accepted accounting
principles.
Deloitte & Touche LLP
Denver, Colorado
January 24, 2000
32 LifeSpan Capital Appreciation Portfolio
<PAGE>
- --------------------------------------------------------------------------------
Federal Income Tax Information (Unaudited)
- --------------------------------------------------------------------------------
================================================================================
In early 2000 shareholders will receive information regarding all dividends and
distributions paid to them by the Fund during calendar year 1999. Regulations of
the U.S. Treasury Department require the Fund to report this information to the
Internal Revenue Service.
Dividends paid by the Fund during the fiscal year ended December 31,
1999, which are not designated as capital gain distributions should be
multiplied by 11.63% to arrive at the net amount eligible for the corporate
dividend-received deduction.
The foregoing information is presented to assist shareholders in
reporting distributions received from the Fund to the Internal Revenue Service.
Because of the complexity of the federal regulations which may affect your
individual tax return and the many variations in state and local tax
regulations, we recommend that you consult your tax advisor for specific
guidance.
LifeSpan Capital Appreciation Portfolio 33
<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 H. Armstrong, Director
Robert G. Avis, Director
William A. Baker, Director
Jon S. Fossel, Director
Sam Freedman, Director
Raymond J. Kalinowski, Director
C. Howard Kast, Director
Robert M. Kirchner, Director
Ned M. Steel, Director
Peter M. Antos, Vice President
George Evans, Vice President
Alan Gilston, Vice President
John 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 G. Zack, Assistant Secretary
Robert J. Bishop, Assistant Treasurer
Scott T. Farrar, Assistant Treasurer
=======================================================================================================
Investment Advisor OppenheimerFunds, Inc.
=======================================================================================================
Transfer Agent OppenheimerFunds Services
=======================================================================================================
Custodian of Portfolio Securities The Bank of New York
=======================================================================================================
Independent Auditors Deloitte & Touche LLP
=======================================================================================================
Legal Counsel Myer, Swanson, Adams & Wolf, P.C.
This is a copy of a report to shareholders of
LifeSpan Capital Appreciation Portfolio. This
report must be preceded or accompanied by a
Prospectus of LifeSpan Capital Appreciation
Portfolio. For material information concerning the
Fund, see the Prospectus.
Shares of Oppenheimer funds are not deposits or
obligations of any bank, are not guaranteed by any
bank, are not insured by the FDIC or any other
agency, and involve investment risks, including
the possible loss of the principal amount
invested.
</TABLE>
34 LifeSpan Capital Appreciation Portfolio
