<PAGE>
The PRUDENTIAL [Logo]
Annual Report to Contract Owners
December 31, 1995
PRUCO LIFE'S
PRUSELECT I-Service Mark- AND
PRUSELECT II-Service Mark-
[Logo]
The Prudential Series Fund, Inc.
and
Pruco Life Variable Universal Account
<PAGE>
TABLE OF CONTENTS
PAGE
I. LETTER TO CONTRACT OWNERS
Summarizes the results of The Prudential Series Fund, Inc. and
provides an economic overview..................................... 4
II. THE PRUDENTIAL SERIES FUND, INC.
The Pruco Life Variable Universal Account is one of several
Accounts investing in The Prudential Series Fund, Inc.
1. FINANCIAL STATEMENTS............................................ A1
2. INVESTMENT OBJECTIVES........................................... B1
3. SCHEDULE OF INVESTMENTS
Lists the holdings in each of the investment options of The
Prudential Series Fund, Inc. ................................... B2
4. NOTES TO THE FINANCIAL STATEMENTS............................... C1
5. INDEPENDENT AUDITORS' REPORT.................................... D1
III. PRUCO LIFE VARIABLE UNIVERSAL ACCOUNT
1. FINANCIAL STATEMENTS
Provides financial data at the product level including
investment results net of certain product related charges....... E1
2. NOTES TO FINANCIAL STATEMENTS................................... F1
3. INDEPENDENT AUDITORS' REPORT.................................... G1
IV. APPENDIX
1. REPORT OF MANAGEMENT............................................ i
2. GLOSSARY........................................................ ii
3. BOARDS OF DIRECTORS............................................. iv
This Report may be used with the public only when preceded or accompanied by
current prospectuses for The Prudential Series Fund, the applicable variable
life or annuity product, and the current Performance Data Update for the
applicable product. The Performance Data Update shows historical investment
performance after the deduction of investment management fees,
investment-related expenses and the product's Mortality and Expense Risk Charge.
For the variable life insurance products, additional contract charges include
cost of insurance, administrative, sales and any applicable withdrawal or
surrender charges. These charges will reduce the rates of return shown on the
Performance Data Update. For the variable annuity products, the Performance Data
Update provides returns that are net of all contract charges, including
applicable surrender or withdrawal charges. The prospectuses contain more
information concerning charges and expenses, and should be read carefully before
you invest or send money.
Variable life and annuity products are offered by Pruco Securities Corp., a
subsidiary of The Prudential. The principal business address of Pruco Securities
is 1111 Durham Avenue, South Plainfield, NJ 07080.
<PAGE>
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THE PRUDENTIAL SERIES FUND, INC.
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YEAR ENDED DECEMBER 31, 1995
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DEAR CONTRACT OWNER:
IN 1995, U.S. STOCKS AND BONDS PRODUCED THE KINDS OF TOTAL RETURNS INVESTORS
USUALLY ONLY DREAM ABOUT. STOCKS RETURNED A STARTLING 37% FOR THE YEAR, AS
MEASURED BY THE STANDARD & POOR'S 500 STOCK INDEX, A BROAD MEASURE OF THE U.S.
STOCK MARKET. BONDS PRODUCED A TOTAL RETURN OF OVER 18%, AS MEASURED BY THE
LEHMAN BROTHERS AGGREGATE INDEX, A COMPOSITE INDEX OF CORPORATE AND GOVERNMENT
BONDS. IT WAS FAR FROM A NORMAL YEAR: SINCE 1926, STOCKS HAVE HAD ONLY SIX
BETTER YEARS, AND LONG-TERM GOVERNMENT BONDS HAVE PRODUCED SUCH HIGH RETURNS
ONLY ONCE BEFORE. THESE KINDS OF SUPERB MARKET GAINS WILL BE HARD TO BEAT IN OUR
LIFETIMES--CONGRATULATIONS ON BEING PART OF THIS HISTORIC BULL MARKET.
AND WHAT A DIFFERENCE FROM A YEAR EARLIER. IN 1994, WE REPORTED FLAT RETURNS FOR
STOCKS AND THE LARGEST LOSSES FOR LONG-TERM BONDS IN 75 YEARS. 1995'S RESULTS
REMIND US, ONCE AGAIN, THAT STAYING THE COURSE IS THE KEY TO LONG-TERM
INVESTING.
1995 WAS A BIG YEAR FOR THE SERIES FUND, TOO. IN MAY WE ADDED TWO NEW
PORTFOLIOS: THE GROWTH STOCK PORTFOLIO AND THE SMALL CAPITALIZATION STOCK
PORTFOLIO. AT YEAR-END, OUR TOTAL ASSETS EXCEEDED $17 BILLION, UP FROM JUST OVER
$13 BILLION AT THE BEGINNING OF THE YEAR.
FURTHER INTO THE REPORT, WE'LL DISCUSS OUR OUTLOOK FOR 1996'S MARKETS. IN SHORT:
WE LIKE U.S. BONDS (FOR THE WARY INVESTOR); WE LIKE GLOBAL STOCKS (FOR THE MORE
AGGRESSIVE INVESTOR); AND WE THINK U.S. STOCKS WILL BE VOLATILE THIS YEAR
(ALTHOUGH WE FEEL THEY'RE THE ONLY PLACE TO BE FOR THE LONG HAUL). BUT WE
WOULDN'T BE SURPRISED IF IT'S A BUMPY RIDE IN 1996. IT'S MORE IMPORTANT THAN
EVER TO UNDERSTAND THE RISKS AND REWARDS OF THE MARKET, DETERMINE YOUR TOLERANCE
FOR VOLATILITY, AND SET REALISTIC EXPECTATIONS REGARDING THE INVESTMENTS IN YOUR
CONTRACT.
CAN WE HELP?
AFTER THE TERRIFIC YEAR THE STOCK AND BOND MARKETS HAD IN 1995, IT'S IMPORTANT
TO REMEMBER HOW UNUSUALLY HIGH RETURNS WERE COMPARED TO THE HISTORICAL AVERAGES.
OVER THE LONG TERM, STOCKS HAVE AVERAGED RETURNS OF ABOUT 10.5% PER YEAR, WHILE
LONG TERM BONDS HAVE AVERAGED JUST UNDER 6%. RECOGNIZING JUST HOW HIGH THE
MARKETS WERE IN 1995 CAN HELP YOU BETTER MANAGE YOUR EXPECTATIONS FOR FUTURE
PERFORMANCE, WHICH WILL PROBABLY BE LOWER.
THIS MAY BE AN IDEAL TIME TO REEVALUATE THE ALLOCATION OF YOUR CONTRACT FUNDS
AMONG YOUR AVAILABLE INVESTMENT OPTIONS. YOUR PRUDENTIAL/PRUCO SECURITIES
REPRESENTATIVE STANDS READY TO DISCUSS YOUR CHANGING FINANCIAL SECURITY NEEDS,
AND TO ASSIST YOU IN ANY WAY HE OR SHE CAN. YOUR REPRESENTATIVE IS A VALUABLE
RESOURCE IN TODAY'S OFTEN VOLATILE FINANCIAL MARKETS.
ALL OF US AT THE PRUDENTIAL THANK YOU FOR YOUR BUSINESS AND LOOK FORWARD TO
HELPING YOU PROVIDE FOR YOUR FUTURE FINANCIAL SECURITY.
/s/ E. Michael Caulfield
E. MICHAEL CAULFIELD
PRESIDENT
THE PRUDENTIAL SERIES FUND, INC.
/s/ Mendel A. Melzer
MENDEL A. MELZER
CHAIRMAN
THE PRUDENTIAL SERIES FUND, INC.
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IMPORTANT NOTE:
THE RATES OF RETURN QUOTED ON THE FOLLOWING PAGES REFLECT DEDUCTION OF
INVESTMENT MANAGEMENT FEES AND INVESTMENT-RELATED EXPENSES BUT NOT PRODUCT
CHARGES. THEY REFLECT THE REINVESTMENT OF DIVIDEND AND CAPITAL GAIN
DISTRIBUTIONS. THEY ARE NOT AN ESTIMATE OR A GUARANTEE OF FUTURE PERFORMANCE.
CONTRACT UNIT VALUES INCREASE OR DECREASE BASED ON THE PERFORMANCE OF THE
PORTFOLIO. CHANGES IN CONTRACT VALUES DEPEND NOT ONLY ON THE INVESTMENT
PERFORMANCE OF THE PORTFOLIO, BUT ALSO ON THE INSURANCE AND ADMINISTRATIVE
CHARGES, APPLICABLE SALES CHARGES, AND THE MORTALITY AND EXPENSE RISK CHARGE
APPLICABLE UNDER THE CONTRACT. THESE CONTRACT CHARGES EFFECTIVELY REDUCE THE
DOLLAR AMOUNT OF ANY NET GAINS AND INCREASE THE DOLLAR AMOUNT OF ANY NET LOSSES.
YOUR PRUDENTIAL/PRUCO SECURITIES REPRESENTATIVE CAN PROVIDE YOU WITH ACTUAL
RATES OF RETURN FOR YOUR VARIABLE LIFE INSURANCE OR ANNUITY CONTRACT, AND SHOW
YOU A PERSONALIZED ILLUSTRATION OF HOW INSURANCE CHARGES AFFECT THE RETURNS YOU
EXPERIENCE.
1
<PAGE>
STOCK & BOND MARKETS
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REVIEW
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U.S. FINANCIAL MARKETS REVIEW
What a year. Throughout 1995, investors simply couldn't buy enough stocks and
bonds. Why the shopping spree? Moderate economic growth, a weak U.S. dollar and
improved efficiency in U.S. businesses allowed companies to earn healthy
profits. Combined with very low inflation and falling interest rates, that
created a robust environment for U.S. stocks and bonds.
While returns from U.S. financial instruments were spectacular, global stocks,
at 21% total return (in dollar terms), as measured by the Morgan Stanley World
Index, were very attractive.
Money market funds finished in last place again with a total return of 5.5%, as
measured by IBC-Donoghue. Money markets generally produce the lowest total
returns, although they attempt to preserve a constant share value.
Falling interest rates were responsible for much of the good market news last
year. Long-term interest rates, typically measured by the 30-year U.S. Treasury
bond, fell to 6.0% from about 7.9%--a drop that triggered many happy returns for
bond investors.
There are a lot of reasons interest rates fell. First of all, inflation was low
(about 2.5% at year end), and there are signs it might remain low. Furthermore,
the economy is growing more slowly. Investors anticipate the Federal Reserve
will reduce short-term rates further in early 1996 to stimulate economic
activity.
U.S. STOCKS
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REVIEW
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HOW HIGH IS HIGH?
The environment for America's companies could hardly have been better in 1995.
The result of this healthy economy: The Dow Jones Industrial Average, a narrow
but frequently cited market average, set new records of 4000 in February, 4500
in June, and 5000 in November. Those gains were driven largely by corporate
earnings, which grew at a healthy pace last year.
Productivity enhancements of the late 1980s and early 1990s, including staff
reductions and technology use, are finally beginning to bear fruit at many
companies, particularly at banks, airlines and automakers. And the weak dollar
made U.S. exports very competitive in the global marketplace. When the
U.S.dollar is weak, foreign consumers literally get more for
their money--after conversion to their
local currency.
- - TECHNOLOGY STOCKS, including computer hardware, software and
telecommunications companies, were the hands-down winners for much of the
year, although they experienced some setbacks in the fourth quarter.
Computers--and other forms of technology--are behind many of the efficiency
gains that are keeping wages low. And the rest of the world hasn't even begun
to use technology as much as we already do in the United States. As global
economies continue to grow and advance, companies and individuals are likely
to start looking to technology to make their lives easier (and sometimes more
fun, as well).
- - BANK, FINANCIAL SERVICES AND INSURANCE STOCKS were also good performers,
gaining on the strength of falling interest rates. Many of these companies
invest heavily in bonds, and they made money when bond prices rose in 1995.
Mergers were also a big part of this sector's success. The merger craze led to
higher prices, particularly for bank stocks, as investors sought to anticipate
which companies would combine.
WHAT DIDN'T FARE AS WELL?
- - COMPANIES like automakers and retailers had a difficult year. When the economy
slowed in the spring, consumers stopped splurging and started bargain-hunting.
The all-important holiday spending season was disappointing, as well.
U.S. BONDS
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REVIEW
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BONDS REBOUND STRONGLY.
In recent years, the bond market has been far from the sleepy asset class
investors traditionally expect. 1993 was terrific; 1994 was awful; 1995 was
terrific again, as moderate growth and low inflation drove bond prices higher.
When investors don't need as much in interest payments to compensate for
inflation, bond prices typically rise.
Long-term Treasury bonds were the asset class of choice in this kind of market.
They're very sensitive to interest rate changes; as rates fell, the average
30-year Treasury bond returned 29% last year. Corporate bonds also did well,
largely for the same reasons stocks were such good performers, with the Lehman
Corporate Bond Index up 22%. Although mortgage prepayments were not a factor in
1995, investors haven't quite forgotten the pain of 1993, when prepayments
soared and mortgage-backed securities fell dramatically. The Lehman Mortgage
Backed Index was up only 17% in 1995.
FOREIGN STOCKS
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REVIEW
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FOREIGN MARKETS TRAIL U.S.
FOR FIRST TIME IN TWO YEARS.
Foreign stock markets trailed the U.S. stock market in 1995, but even they
prospered in that year of terrific returns. By year-end, the Morgan Stanley
World Index had risen 21.3% in U.S. dollar terms. European stocks rose 22.1%,
and the Pacific Basin (excluding Japan), was up 13.4%. In 1995, Japan's stock
market stopped to catch its breath after producing high total returns--it was up
less than 1% last year.
You've heard the phrase "buy low, sell high"? That's why we like the global
markets right now. This time last year, the foreign stock markets were
struggling through currency turmoil, financial scandals and a general crisis of
confidence among global stock investors. For the rest of 1995, Mexico and South
America suffered from weakening currency and financial scandals, and investors
sold stocks in Asia in the last six months of the year. Most non-U.S. markets
produced lower returns than U.S.
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TURMOIL IN SOUTH AMERICA
AND THE PACIFIC BASIN.
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stocks as a result. We thought most of the worries plaguing the developed
foreign economies were unfounded and we continue to think so.
WHAT DO THEY SEE?
Since last April, more investors have been seeing things from our point of view.
- - Economic growth that is more robust in some foreign countries than in the U.S.
- - Corporate earnings overseas that, while they've generally exceeded
expectations, have only begun to be reflected in foreign stock prices.
While foreign markets may be fundamentally attractive, foreign investments are
subject to the risks of currency fluctuation and the impact of social, political
and economic change.
2
<PAGE>
HOW THE MARKETS COMPARED(1)
TOTAL RETURNS BY ASSET CLASS
[GRAPH]
AS YOU CAN SEE, STOCK AND BOND MARKET RETURNS CAN VARY CONSIDERABLY FROM YEAR TO
YEAR. AN INVESTMENT'S PAST PERFORMANCE SHOULD NEVER BE USED TO PREDICT FUTURE
RESULTS. THIS CHART COMPARES 1995'S TOTAL RETURN AND THE AVERAGE ANNUAL TOTAL
RETURN OVER 20 YEARS FOR VARIOUS CATEGORIES OF INVESTMENTS. THERE ARE DIFFERENT
RISKS ASSOCIATED WITH EACH INVESTMENT SECTOR, WHICH SHOULD BE CONSIDERED BEFORE
INVESTING.
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MONEY MARKET PORTFOLIO
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In the wake of slower economic growth and falling interest rates, the Money
Market Portfolio provided a total return of 5.8% for the year, according to
Lipper Analytical Services. At December 31, its 7-day yield had risen to 5.52%,
up only slightly from 5.47% on December 31, 1994. (SOURCE: THE PRUDENTIAL).
Our investment strategy is, by necessity, dependent upon anticipating Federal
Reserve policy. The Federal Reserve influences the nation's economy by lowering
or raising short-term interest rates to stimulate or dampen economic growth.
Since this Portfolio simply seeks to match short-term market interest rates,
correctly anticipating moves by the central bank is the key to preserving
competitive yields, regardless of whether short-term interest rates rise or
fall.
Credit research is a key part of this strategy. Our team of credit analysts help
us select securities that offer maximum yields with minimal default risk. This
enables us to keep the Portfolio's yield as high as possible while protecting
the $10 share value. We emphasize a conservative, quality-oriented investment
approach. Despite this, there can be no guarantee that the Portfolio will be
able to maintain a stable share value of $10.
CONTRACT FUNDS IN THE MONEY MARKET PORTFOLIO ARE NEITHER INSURED NOR GUARANTEED
BY THE U.S. GOVERNMENT.
INCEPTION DATE: 5/1/83
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INTEREST RATES DECLINED DURING 1995
HISTORICAL TREASURY YIELD CURVE
- --------------------------------------------------------------------------------
[GRAPH]
INTERMEDIATE-TERM INTEREST RATES,
AS MEASURED BY THE 10-YEAR TREASURY
RATE, FELL FROM 7.8% TO 5.6% DURING
1995.
SOURCE: BLOOMBERG, L.P.
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(1)SOURCE: THE PRUDENTIAL. For purposes of comparison only. U.S. stocks as
measured by the S&P 500 Index. Bonds as measured by the Lehman Brothers
Government/Corporate Aggregate. Global stocks as measured by the Morgan Stanley
Capital International-World Index. U.S. money markets as measured by Lipper
Money Market Average.
[PHOTO] Q&A
PORTFOLIO MANAGER
ROBERT FELICE
Q. HOW DID YOU PRESERVE YIELD LEVELS WHEN INTEREST RATES WERE FALLING IN 1995?
A. By extending the Portfolio's maturity before the central bank eased. Since
our last report to you in June, we've lengthened our weighted average maturity
and positioned the Portfolio longer than the average money fund tracked by
IBC/Donoghue.
Q. DO YOU BUY FIXED RATE SECURITIES?
A. When interest rates were falling, we bought fixed rate securities and pared
our percentage of variable rate holdings. Fixed rate securities pay the same
coupon until they mature, so their yields will stay at the same rates even if
interest rates fall. Variable rate securities, on the other hand, have coupons
that change periodically--their yields fall in tandem with market interest
rates.
Q. HOW MIGHT A CONTRACT OWNER BEST USE THE MONEY MARKET PORTFOLIO?
A. Ideally, the Portfolio should be used as a temporary or short-term
investment. The returns will normally be low, relative to other Portfolios, and
may not be suitable for the long-term. Of course, it's even more important that
a contract owner assess his or her own risk tolerance before making any
investment decisions.
3
<PAGE>
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BOND PORTFOLIO
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THE BOND PORTFOLIO delivered 20.7% in total return during 1995, as bond prices
rose sharply. This Portfolio placed sixth in a field of 39 BBB-rated corporate
bond funds in variable life/annuity products. (SOURCE: LIPPER ANALYTICAL
SERVICES).
The Bond Portfolio was in a good position to take advantage of 1995's bull
market. It can invest in many types of bonds, holding intermediate-and long-term
U.S. government and corporate bonds as well as mortgage-backed securities.
Nearly all types of bonds did well--with inflation flat, wages flat and economic
growth moderate, bond investors saw no reason to demand higher yields to
compensate them for inflation risk. As interest rates fell, coupons on new bonds
were lower so older bonds, with higher coupons, became more valuable.
Buying U.S. corporate bonds, at 56% of assets as of year end, was a good move.
Purchases like Rogers Cable and United Airlines not only provided healthy coupon
income, but also boosted the Portfolio's net asset value as their prices rose
more quickly than Treasury securities with similar maturities. We're always
looking for companies like these that we think are stronger than they appear to
the market at large.
In 1995, the Portfolio held an intermediate-term effective maturity ranging from
5 to 7.5 years. We believe bonds in this range offer most of the yield of
longer-term bonds without all the price volatility. That would become important
if interest rates reverse course.
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VALUE OF $10,000 INVESTED IN THE BOND PORTFOLIO VS. LEHMAN AGGREGATE INDEX AND
LIPPER VIP CORPORATE BOND AVERAGE OVER TEN YEARS(1)
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$25,079 LB Aggregate Index(2)
$24,512 Bond Portfolio
$24,065 Lipper VIP Corp BBB(3)
[GRAPH]
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AVERAGE ANNUAL RETURNS THROUGH DECEMBER 31, 1995
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[GRAPH]
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INCEPTION DATE: 5/1/83
(1)Past performance is not predictive of future performance. Portfolio
performance does not reflect Separate Account expenses or other product charges.
The Portfolio may invest in foreign securities. Foreign investments are subject
to the risks of currency fluctuation and the impact of social, political and
economic change.
(2)The Lehman Aggregate Index (LAI) is comprised of over 5,000 government and
corporate bonds. The LAI is an unmanaged index and includes the reinvestment of
all interest, but does not reflect the payment of transaction costs and advisory
fees associated with an investment in the Portfolio. The securities that
comprise the LAI may differ substantially from the securities in the Portfolio.
The LAI is not the only index that may be used to characterize performance of
income funds and other indices may portray different comparative performance.
(3)The Lipper Variable Insurance Products (VIP) Corporate BBB Average is
calculated by Lipper Analytical Services, Inc. and reflects the investment
return of certain portfolios underlying variable life and insurance products.
These returns are net of investment fees and fund expenses but not product
charges.
[PHOTO] DATA BANK
PORTFOLIO MANAGER
BARBARA KENWORTHY
- ----------------------------------------
THE PORTFOLIO CHANGES
AS WE FIND OPPORTUNITIES.
AS OF 12/31/95
Corporate 56%
Foreign (US$) 18
Treasury 14
Agency 6 [PIE GRAPH]
Mortgage 3
Asset-backed 1
Cash 2
LAST YEAR: AS OF 12/31/94
Corporate 29%
Foreign (US$) 20
Treasury 32
Agency 2 [PIE GRAPH]
Mortgage 13
Asset-backed 1
Cash 3
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CORPORATE:
Bonds issued by major corporations.
FOREIGN:
U.S.-Dollar-denominated bonds issued by foreign companies or governments.
TREASURY:
Backed by the full faith and credit of the U.S. government.
AGENCY:
Issued by U.S. government agencies, with implied U.S. government guarantee.
MORTGAGE:
Bonds backed by pools of home mortgages.
ASSET-BACKED:
Bonds backed by pools of collateralized loan receivables, such as credit card
and auto loans.
- --------------------------------------------------------------------------------
THE PORTFOLIO IS HIGH QUALITY.
How It Rated as of 12/31/95
U.S. Gov't 20%
AAA 5
AA 4
A 24
Baa 35
Ba 11
B 0
Non-Rated 0
Cash 1
4
<PAGE>
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GOVERNMENT SECURITIES PORTFOLIO
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The GOVERNMENT SECURITIES PORTFOLIO provided 19.5% in total return during 1995,
ranking third of 28 variable life/annuity U.S. government portfolios. (SOURCE:
LIPPER ANALYTICAL SERVICES) The Portfolio invests in intermediate- and long-term
bonds issued by the U.S. government and its agencies, including mortgage backed
securities. (NEITHER THE MARKET VALUE OF U.S. GOVERNMENT SECURITIES NOR THE
PORTFOLIO'S SHARES ARE GUARANTEED BY THE
U.S. GOVERNMENT.)
We reaped substantial gains in 1995 by lengthening maturities by the right
amount (to more than 5.3 years) at the right time (when interest rates were
falling this summer). The longer duration translated to an effective maturity of
6.7 years, longer than that of many other U.S. government funds measured by
Lipper. While this longer maturity range carried risk if interest rates rose, we
believed that rates would decline most of the year and we were right.
We also looked for price discrepancies among the different sectors of the U.S.
government bond market, buying inexpensive bonds and then selling them when
their prices rose. For instance, when mortgages suddenly looked very highly
priced earlier in the year, and we thought interest rates might drop quickly
(which hurts mortgage bond prices), we sold them and bought U.S. Treasurys.
- --------------------------------------------------------------------------------
VALUE OF $10,000 INVESTED IN THE GOVERNMENT SECURITIES PORTFOLIO VS. LEHMAN
GOVERNMENT INDEX AND LIPPER VIP U.S. GOVERNMENT AVERAGE SINCE INCEPTION(1)
- --------------------------------------------------------------------------------
[GRAPH]
$18,817 LB Government Index(2)
$18,600 Government Securities Portfolio
$18,000 Lipper VIP US Government Avg(3)
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AVERAGE ANNUAL RETURNS THROUGH DECEMBER 31, 1995
<TABLE>
<CAPTION>
One Rank Three Rank Five Rank Since
Year Years Years Inception*
<S> <C> <C> <C> <C> <C> <C> <C>
Gov't Sec. Portfolio 19.5% 3/28 8.5% 3/19 9.4% 2/14 9.5%
Lipper VIP US Gov't Avg(3) 17.0 7.4 9.1 9.3
Lehman Gov't Index(2) 18.3 8.2 9.4 9.7
</TABLE>
*INCEPTION DATE: 5/1/89
Some U.S. government securities are guaranteed as to timely payment of principal
and interest. The underlying securities in the Portfolio carry this guarantee;
not the Portfolio itself. Mortgage backed securities entail additional
prepayment and extension risk.
(1)Past performance is not predictive of future performance. Portfolio
performance does not reflect Separate Account expenses or other product charges.
*Lipper provides data on a monthly basis, so for comparative purposes, the
Lipper Average and Index since inception returns reflect the portfolio's first
full calendar month of performance.
(2)The Lehman Government Index is a weighted index comprised of securities
issued or backed by the U.S. government, its agencies and instrumentalities with
a remaining maturity of one to 30 years. The LGI is an unmanaged index and
includes the reinvestment of all interest, but does not reflect the payment of
transaction costs and advisory fees associated with an investment in the
Portfolio. The securities that comprise the LGI may differ substantially from
the securities in the Portfolio. The LGI is not the only index that may be used
to characterize performance of income funds and other indices may portray
different comparative performance.
(3)The Lipper Variable Insurance Products (VIP) U.S. Government Average is
calculated by Lipper Analytical Services, Inc. and reflects the investment
return of certain portfolios underlying variable life and insurance products.
These returns are net of investment fees and fund expenses but not product
charges.
[PHOTO] Q&A
PORTFOLIO MANAGER
BARBARA KENWORTHY
- --------------------------------------------------------------------------------
Q. BARBARA, WHAT ARE THE MAJOR FACTORS YOU'LL BE WATCHING IN THE BOND MARKET
THIS YEAR?
A. 1996 is a Presidential election year, which throws several unknowns into our
bond equations. We'll be watching the politicking closely for any signs that the
deficit-cutting ardor has cooled. We think a balanced federal budget can be key
to reassuring bond investors that inflation is whipped for the time being.
Q. WHAT ABOUT THE ON-AGAIN, OFF-AGAIN BUDGET DISCUSSIONS?
A. At the time of this writing, in late January, the Republicans have indicated
that, until a budget accord is reached, they will limit funding to existing
programs--a negative for economic growth. In addition, the Federal Reserve seems
likely to reduce interest rates at least one more time, although it is difficult
to anticipate when. The economy's health is still a bit unclear and it will
certainly be chilled by January's snowstorms--on top of the recent acceleration
in corporate layoffs. If the economy remains flat or dips into recession,
investors could see interest rates touching historical lows again this year--or
even moving lower.
Q. ARE THERE ANY NEGATIVE SIGNS ON THE HORIZON?
A. We have noticed some indications of an upturn in commodities prices,
especially in gold. Rising commodity prices are often a harbinger of future
inflation. A further upturn in commodity prices could stop any Federal
Reserve-induced rate reductions for this year.
5
<PAGE>
ZERO COUPON BOND PORTFOLIOS
(CURRENTLY ONLY AVAILABLE IN DISCOVERY LIFE PLUS AND PRUDENTIAL VARIABLE
APPRECIABLE LIFE POLICIES)
- --------------------------------------------------------------------------------
VALUE OF $10,000 INVESTED IN THE ZERO COUPON BOND 2000 PORTFOLIO VS. LEHMAN
GOVERNMENT INDEX AND LIPPER VIP TARGET MATURITY AVERAGE SINCE INCEPTION(1)
- --------------------------------------------------------------------------------
[GRAPH]
$29,482 Zero Coupon 2000 Portfolio
$26,995 Lipper VIP Target Mat Avg(3)
$23,433 LB Government Index(2)
- --------------------------------------------------------------------------------
AVERAGE ANNUAL RETURNS THROUGH DECEMBER 31, 1995
<TABLE>
<CAPTION>
One Rank Three Rank Five Rank Since
Year Years Years Inception*
<S> <C> <C> <C> <C> <C> <C> <C>
Zero Coupon 2000 Port 21.6% 8/15 9.4% 5/11 11.4% 5/11 10.3%
Lipper VIP Target Mat Avg(3) 25.4 10.6 12.1 10.3
Lehman Gov't Index(2) 18.3 8.2 9.4 9.1
</TABLE>
INCEPTION DATE: 2/12/86
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VALUE OF $10,000 INVESTED IN THE ZERO COUPON BOND 2005 PORTFOLIO VS. LEHMAN
GOVERNMENT INDEX AND LIPPER VIP TARGET MATURITY AVERAGE SINCE INCEPTION(1)
- --------------------------------------------------------------------------------
[GRAPH]
$22,115 Zero Coupon 2005 Portfolio
$21,656 Lipper VIP Target Mat(3)
$18,817 LB Government Index(2)
- --------------------------------------------------------------------------------
AVERAGE ANNUAL RETURNS THROUGH DECEMBER 31, 1995
<TABLE>
<CAPTION>
One Rank Three Rank Five Rank Since
Year Years Years Inception*
<S> <C> <C> <C> <C> <C> <C> <C>
Zero Coupon 2005 Port 31.9% 5/15 13.3% 4/11 14.1% 4/11 12.5%
Lipper VIP Target Mat Avg(3) 25.4 10.6 12.1 12.0
Lehman Gov't Index(2) 18.3 8.2 9.4 9.7
</TABLE>
INCEPTION DATE: 5/1/89
(1)Past performance is not predictive of future performance. Portfolio
performance does not reflect Separate Account expenses or other product charges.
*Lipper provides data on a monthly basis, so for comparative purposes, the
Lipper Average and Index since inception returns reflect the portfolio's first
full calendar month of performance.
(2)The Lehman Government Index is a weighted index comprised of securities
issued or backed by the U.S. government, its agencies and instrumentalities with
a remaining maturity of one to 30 years. The LGI is an unmanaged index and
includes the reinvestment of all interest, but does not reflect the payment of
transaction costs and advisory fees associated with an investment in the
Portfolio. The securities that comprise the LGI may differ substantially from
the securities in the Portfolio. The LGI is not the only index that may be used
to characterize performance of income funds and other indices may portray
different comparative performance.
(3)The Lipper Variable Insurance Products (VIP) Target Maturity Average is
calculated by Lipper Analytical Services, Inc. and reflects the investment
return of certain portfolios underlying variable life and insurance products.
These returns are net of investment fees and fund expenses but not product
charges.
PORTFOLIO NOTES
Last year's bond rally was very good for zero coupon bonds (and these
Portfolios), just as rising rates in 1994 hurt them(1). Remember: "zeros" are
issued at a deep discount to their face value. They mature at face value, with
the difference between the purchase price and face value becoming their return
to the investor. Since zero coupon Treasury bonds do not pay current income and
have virtually no credit risk, their prices purely reflect interest rate
changes. As a result, they can be extremely volatile prior to maturity, rising
and falling in value as interest rates change. Investors must hold these
securities until they mature to receive the face value and a predictable rate of
return.
ZERO COUPON BOND 2000 PORTFOLIO
The Zero Coupon Bond 2000 Portfolio posted a total return of 21.6% for the year
ended December 31. This Portfolio currently has an average maturity of
approximately five years, maturing on November 15, 2000. With this
intermediate-term maturity, the Portfolio increased in value more slowly than
the 2005 Portfolio. It will, however, lose value if interest rates change course
and begin to rise. Investors should be prepared for this volatility. If held
from year-end 1995 until the Portfolio's maturity, it is expected to yield
approximately 5%.
ZERO COUPON BOND 2005 PORTFOLIO
In 1995, the Zero Coupon Bond 2005 Portfolio had a total return of 31.9%. This
Portfolio currently has an average maturity of approximately 10 years. It
matures on November 15, 2005. Its longer maturity led it to perform better than
the other zero coupon bond portfolio last year as interest rates fell.
Investors should remember that 1995 was a very unusual year and the Portfolio
is unlikely to match, and might possibly lose, these gains in future years. If
held from year-end 1995 until the Portfolio's maturity, it is expected to yield
approximately 5.5%.
NOTE:
The Zero Coupon Bond 1995 Portfolio matured on November 15, 1995.
6
<PAGE>
CONSERVATIVELY / AGGRESSIVELY MANAGED FLEXIBLE PORTFOLIOS
- ------------------------------------------------------------------------------
VALUE OF $10,000 INVESTED IN THE CONSERVATIVELY MANAGED FLEXIBLE
PORTFOLIO AND THE AGGRESSIVELY MANAGED FLEXIBLE PORTFOLIO VS. S&P
500, LEHMAN AGGREGATE INDEX AND LIPPER VIP FLEX AVERAGE OVER TEN
YEARS(1)
[GRAPH]
$40,032 S&P 5002
$29,771 Aggressively Mgd Flex Portfolio
$29,392 Lipper VIP Flex Avg(4)
$26,106 Conservatively Mgd Flex Portfolio
$25,079 LB Aggregate Index(3)
- ------------------------------------------------------------------------------
AVERAGE ANNUAL RETURNS THROUGH DECEMBER 31, 1995
<TABLE>
<CAPTION>
One Rank Three Rank Five Rank Ten Rank
Year Years Years Year
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Conservatively Mgd Flex Port 17.3% 62/68 9.2% 46/58 10.7% 48/53 10.1% 11/13
Aggressively Mgd Flex Port 24.1 36/68 11.6 20/58 13.4 15/53 11.9 7/13
Lipper VIP Flex Avg(4) 24.2 10.9 13.0 11.4
S&P 500(2) 37.6 15.3 16.6 14.9
Lehman Aggregate Index(3) 18.5 8.1 9.5 9.6
</TABLE>
INCEPTION DATE: 5/1/83
- ------------------------------------------------------------------------------
ASSET MIX AS OF DECEMBER 31, 1995
<TABLE>
<CAPTION>
Large Co. Small Co. Bonds Money
Stocks Stocks Market
<S> <C> <C> <C> <C>
Conservatively Mgd Flex Port 40.5% 0.0% 34.9% 24.6%
Aggressively Mgd Flex Port 61.7 7.0 28.0 3.3
</TABLE>
(1)Past performance is not predictive of future performance. Portfolio
performance does not reflect Separate Account expenses or other product
charges. The Portfolios may invest in foreign securities. Foreign investments
are subject to the risks of currency fluctuation and the impact of social,
political and economic change.
(2)The S&P 500 is a capital-weighted index, representing the aggregate market
value of the common equity of 500 stocks primarily traded on the New York
Stock Exchange. The S&P 500 is an unmanaged index and includes the
reinvestment of all dividends, but does not reflect the payment of
transaction costs and advisory fees associated with an investment in the
Portfolios. The securities that comprise the S&P 500 may differ substantially
from the securities in the Portfolios. The S&P 500 is not the only index that
may be used to characterize performance of this Portfolios and other indexes
may portray different comparative performance.
(3)The Lehman Aggregate Index (LAI) is comprised of approximately 5,000
government and corporate bonds. The LAI is an unmanaged index and includes
the reinvestment of all interest, but does not reflect the payment of
transaction costs and advisory fees associated with an investment in the
Portfolios. The securities that comprise the LAI may differ substantially
from the securities in the Portfolios. The LAI is not the only index that may
be used to characterize performance of income funds and other indices may
portray different comparative performance.
(4)The Lipper Variable Insurance Products (VIP) Flex Average is calculated by
Lipper Analytical Services, Inc. and reflects the investment return of
certain portfolios underlying variable life and insurance products. These
returns are net of investment fees and fund expenses but not product charges.
[PHOTO]
PORTFOLIO MANAGER
MARK STUMPP
The Conservatively Managed Flexible Portfolio returned 17.3% for 1995,
ranking 62 of 68 flexible portfolios for variable life and annuity contracts.
The Aggressively Managed Flexible Portfolio returned 24.1%, ranking 36 out of
68 flexible portfolios. (SOURCE: LIPPER ANALYTICAL SERVICES)
Research has shown that the allocation to stocks is the primary determinant
of a portfolio's total return. The Aggressively Managed Flexible Portfolio,
for example, has a "normal" stock guideline of 60%, while the Conservatively
Managed Flexible has a 35% guideline. The remaining assets are allocated
between bonds and money market instruments. We attempt to add value through
timely shifts among these asset classes.
For example, in 1995 we boosted returns by holding more than the normal
proportion of assets in stocks -- a year in which stock returns outpaced the
corresponding returns on bonds.
Nevertheless, markets are difficult to predict and, over time, the normal
commitment to stocks will be the primary determinant of each Portfolio's
return. Because these Portfolios are diversified across both stocks and
bonds, they will tend to lag the stock market in bull markets, such as 1995.
However, by blending stocks with bonds, these Portfolios are better equipped
to weather stock market declines.The normal rule is that you can't earn
higher returns without taking on additional risk. Diversification, of course,
doesn't prevent losses, but it can dampen the severity of declines in the
stock market.
7
<PAGE>
HIGH YIELD BOND PORTFOLIO
In 1995, the HIGH YIELD BOND PORTFOLIO produced 17.6% in total return,
ranking 22 in a field of 37 high yield portfolios in variable life/annuity
products. (SOURCE: LIPPER ANALYTICAL SERVICES)
The Portfolio seeks a high total return by investing in a diversified
portfolio of non-investment grade, or junk bonds, rated BB or below. These
bonds pay higher yields to compensate investors for assuming more credit risk
than they would with better quality bonds.
Falling interest rates are generally a bond investor's friend, because they
push bond prices higher. But if interest rates fall too far too fast, high
yield bond investors become concerned, because it could be a sign the economy
is lackluster. They worry that if the economy is growing too slowly, some
corporations will find it difficult to honor their debt service commitments.
We upgraded the Portfolio's credit quality in 1995, anticipating that some
bonds issued three or four years ago might start showing signs of weakness.
We have been buying strong single-B rated bonds, generally yielding about
8.75% to 9.25%. This is lower than the yield on riskier high yield bonds but
still about three full percentage points over the 10-year U.S. Treasury bond.
Our focus on credit quality has not prevented us from purchasing bonds with
higher yields when we felt comfortable with their underlying businesses. For
example, we have bought securities issued by several companies that provide
local telephone service in direct competition with the Baby Bell telephone
companies.
- -------------------------------------------------------------------------------
VALUE OF $10,000 INVESTED IN THE HIGH YIELD BOND PORTFOLIO VS.
LEHMAN HIGH YIELD INDEX AND LIPPER VIP HIGH YIELD BOND AVERAGE
SINCE INCEPTION(1)
$23,684 LB High Yield Index(2)
$22,940 Lipper VIP High Yield Avg(3)
$20,621 High Yield Bond Portfolio
AVERAGE ANNUAL RETURNS THROUGH DECEMBER 31, 1995
<TABLE>
<CAPTION>
One Rank Three Rank Five Rank Since
Year Years Years Inception*
<S> <C> <C> <C> <C> <C> <C> <C>
High Yield Bond Portfolio 17.6% 22/37 10.9% 11/27 17.4% 10/25 8.5%
Lipper VIP High Yield Avg(3) 18.5 10.8 16.3 9.9
Lehman High Yield Index(2) 19.2 11.4 18.5 10.3
</TABLE>
INCEPTION DATE: 2/23/87
(1)Past performance is not predictive of future performance. Portfolio
performance does not reflect Separate Account expenses or other product
charges. The Portfolio may invest in foreign securities. Foreign investments
are subject to the risks of currency fluctuation and the impact of social,
political and economic change.
*Lipper provides data on a monthly basis, so for comparative purposes, the
Lipper Average and Index since inception returns reflect the portfolio's
first full calendar month of performance.
(2)The Lehman High Yield Index (LHYI) is comprised of over 700 noninvestment
grade bonds. The LHYI is an unmanaged index and includes the reinvestment of
all interest, but does not reflect the payment of transaction costs and
advisory fees associated with an investment in the Portfolio. The securities
that comprise the LHYI may differ substantially from the securities in the
Portfolio. The LHYI is not the only index that may be used to characterize
performance of income funds and other indices may portray different
comparative performance.
(3)The Lipper Variable Insurance Products (VIP) High Yield Average is
calculated by Lipper Analytical Services, Inc. and reflects the investment
return of certain portfolios underlying variable life and insurance products.
These returns are net of investment fees and fund expenses but not product
charges.
DATA
BANK
[PHOTO]
LARS BERKMAN
[PHOTO]
MIKE SNYDER
PORTFOLIO CO-MANAGERS
- ------------------------------------------------------------------------------
THE PORTFOLIO'S AVERAGE QUALITY IS BELOW INVESTMENT GRADE:
AS OF 12/31/95.
BBB 0%
BB 16
B 59 [GRAPH]
CCC or below 7
Non-Rated 13
Cash/Other 5
As of 12/31/94.
BBB 0%
BB 6
B 69 [GRAPH]
CCC or below 9
Non-Rated 11
Cash/Other 5
- ------------------------------------------------------------------------------
TOP FIVE HOLDINGS.
AS OF 12/3195
Continental Cablevision 2.3%
Tenet Healthcare 2.1
Comcast Corp 1.9
Cablevision Systems 1.7
American Telecasting 1.7
8
<PAGE>
STOCK INDEX PORTFOLIO
The STOCK INDEX PORTFOLIO gained 37.1% in 1995, in line with the 37.6% gain
of the S&P 500, the unmanaged stock market index this Portfolio mirrors.
Investment management fees and portfolio expenses account for the slight
difference in returns.
The Portfolio holds all 500 stocks included in the S&P 500 Index, and
attempts to duplicate its performance. The portfolio manager invests funds
received daily while trying to minimize transaction costs.
In 1995, the S & P 500 set new high after new high, closing out the year up
over 37%. That's one for the record books and not the kind of return we think
investors should get used to--historical averages are closer to about 11% per
annum.
STANDARD AND POOR'S NEITHER SPONSORS NOR ENDORSES THE STOCK INDEX PORTFOLIO.
INVESTORS CANNOT DIRECTLY INVEST IN THE S&P 500 STOCK INDEX.
- ------------------------------------------------------------------------------
VALUE OF $10,000 INVESTED IN THE STOCK INDEX PORTFOLIO VS. S&P
500 AND LIPPER VIP GROWTH AND INCOME AVERAGE SINCE INCEPTION(1)
[GRAPH]
$32,987 Stock Index Portfolio
$31,647 S&P 500(2)
$27,035 Lipper VIP Growth & Inc Avg(3)*
- -------------------------------------------------------------------------------
AVERAGE ANNUAL RETURNS THROUGH DECEMBER 31, 1995
<TABLE>
<CAPTION>
One Three Five Since
Year Years Years Inception*
<S> <C> <C> <C> <C>
Stock Index Portfolio 37.1% 14.9% 16.1% 14.6%
Lipper VIP Growth & Income Avg(3)* 32.4 13.8 15.8 14.1
S&P 500(2) 37.6 15.3 16.6 15.2
</TABLE>
Inception date: 10/19/87
(1)Past performance is not predictive of future performance. Portfolio
performance does not reflect Separate Account expenses or other
product charges.
*Lipper provides data on a monthly basis, so for comparative purposes, the
Lipper Average and Index since inception returns reflect the portfolio's
first full calendar month of performance.
*Lipper lists the Stock Index Portfolio in its S&P 500 Index Universe. For
purposes of the Contact owner Letter, we compared the Portfolio to Lipper's
Growth & Income Universe: therefore, no ranks are given.
(2)The S&P 500 is a capital-weighted index, representing the aggregate market
value of the common equity of 500 stocks primarily traded on the New York
Stock Exchange. The S&P 500 is an unmanaged index and includes the
reinvestment of all dividends, but does not reflect the payment of
transaction costs and advisory fees associated with an investment in the
Portfolio. The S&P 500 is not the only index that may be used to characterize
performance of this Portfolio and other indexes may portray different
comparative performance.
(3)The Lipper Variable Insurance Products (VIP) Growth Income Average is
calculated by Lipper Analytical Services, Inc. and reflects the investment
return of certain portfolios underlying variable life and insurance products.
These returns are net of investment fees and fund expenses but not product
charges.
DATA
BANK
[PHOTO]
PORTFOLIO MANAGER
JOHN MOSCHBERGER
- ------------------------------------------------------------------------------
THE S&P 500: WHAT'S IN IT?
AS OF 12/31/95
Consumer Growth 28%
Industrial 17
Utility 13
Technology 12
Financial 12
Energy 10
Consumer Cyclical 8
- ------------------------------------------------------------------------------
RETURNS BY SECTOR 1995.
Finance 53%
Technology 43
Consumer Growth 43
Utility 39
Energy 31
Industrial 30
Consumer Cyclical 13
- ------------------------------------------------------------------------------
RETURNS BY SECTOR 1994.
Finance -3%
Technology 20
Consumer Growth 8
Utility -8
Energy 4
Industrial -1
Consumer Cyclical -12
9
<PAGE>
HIGH DIVIDEND STOCK PORTFOLIO
The HIGH DIVIDEND STOCK PORTFOLIO was up 21.7% last year. While in a normal
year that would have been a good return, for 1995 it ranked 15 of 15 equity
income variable life/annuity portfolios. (SOURCE: LIPPER ANALYTICAL SERVICES)
That was very disappointing to us, even though our longer term record remains
very solid.
This Portfolio invests primarily in stocks that tend to pay
higher-than-average dividends. These are theoretically less volatile than
other stocks because their generous dividend payments can help cushion any
price losses in the stock themselves. Energy and utility stocks are
traditionally considered high dividend stocks.
Although 1995 was a banner year for stocks in general, high dividend stocks
weren't among the year's biggest gainers. High dividend stock investors
typically trade some total return potential for the cushion of
higher-than-average dividends. This means they'll probably underperform in a
year of sharply rising stock prices. In addition, the economy slowed faster
than we had expected, which hurt our holdings in stocks that benefit during
an economic expansion. Finally, we didn't hold banks, which were big winners
last year. As a result, the Portfolio's performance was below par for 1995.
Many of our decisions, however, did add value. Our decision to buy technology
stocks, including some defense and aerospace companies earlier this year (12%
of total net assets six months ago) and sell them at the end of the summer
was a good one. We picked up gains when technology stock prices were rising
during the spring, and avoided most of the technology downdraft in the third
quarter. When technology stocks fell to lower levels in December, we again
bought selected stocks in this sector, mainly aerospace companies (15% of
total net assets on 12/31/95).
- ------------------------------------------------------------------------------
VALUE OF $10,000 INVESTED IN THE HIGH DIVIDEND STOCK PORTFOLIO
VS. S&P 500 AND LIPPER VIP EQUITY INCOME AVERAGE SINCE INCEPTION(1)
[GRAPH]
$29,390 S&P 5002
$27,864 High Dividend Stock Portfolio
$25,345 Lipper VIP Equity Inc Avg(3)
- -------------------------------------------------------------------------------
AVERAGE ANNUAL RETURNS THROUGH DECEMBER 31, 1995
<TABLE>
<CAPTION>
One Rank Three Rank Five Rank Since
Year Years Years Inception*
<S> <C> <C> <C> <C> <C> <C> <C>
High Dividend Stock Portfolio 21.7% 15/15 14.7% 4/5 16.2% 2/5 13.7%
Lipper VIP Equity Income Avg(3) 32.5 15.6 16.6 13.2
S&P 5002 37.6 15.3 16.6 14.8
</TABLE>
INCEPTION DATE: 2/19/88
(1)Past performance is not predictive of future performance. Portfolio
performance does not reflect Separate Account expenses or other product
charges. The Portfolio may invest in foreign securities. Foreign investments
are subject to the risks of currency fluctuation and the impact of social,
political and economic change.
*Lipper provides data on a monthly basis, so for comparative purposes, the
Lipper Average and Index since inception returns reflect the portfolio's
first calendar month of performance.
(2)The S&P 500 is a capital weighted index, representing the aggregate market
value of the common equity of 500 stocks primarily traded on the New York
Stock Exchange. The S&P 500 is an unmanaged index and includes the
reinvestment of all dividends, but does not reflect the payment of
transaction costs and advisory fees associated with an investment in the
Portfolio. The securities that comprise the S&P 500 may differ substantially
from the securities in the Portfolio. The S&P 500 is not the only index that
may be used to characterize performance of this Portfolio and other indexes
may portray different comparative performance.
(3)The Lipper Variable Insurance Products (VIP) Equity Income Average is
calculated by Lipper Analytical Services, Inc. and reflects the investment
return of certain portfolios underlying variable life and insurance products.
These returns are net of investment fees and fund expenses but not product
charges.
Q&A
[PHOTO]
PORTFOLIO MANAGER
WARREN SPITZ
- ------------------------------------------------------------------------------
We talked with Portfolio Manager Warren Spitz about his strategy and why the
Portfolio did not do well in 1995:
"Our overall strategy is to buy inexpensive stocks issued by good companies.
We look for high dividends--whenever that won't conflict with our total
return objective too much. We think this is the best way to create a
Portfolio that will appreciate in value over time.
"The cyclical issues, such as USX-U.S. Steel Group and IBM, I favored earlier
this year--which usually do well in an expanding economy--have been weak
performers. That's because investors became pessimistic about the economy
before I did. It really hurt returns. I've stopped buying them, though I may
add some again when the U.S. and global economic picture becomes clearer.
"I've shifted course so far in 1996 to reflect some trends I see in the
financial marketplace.
"I see interest rates continuing to fall, so I've shifted a portion of the
Portfolio towards the kinds of stocks that typically benefit as rates
decline: insurance company stocks, which reap above-average investment
returns from bonds, and real estate investment trusts, which benefit as their
cost of financing falls."
- ------------------------------------------------------------------------------
TOP FIVE HOLDINGS.
AS OF 12/31/95
IBM 3.9%
Lehman Brothers 3.4
American Airlines 3.2
Chrysler 3.1
USX-U.S. Steel Group 2.6
10
<PAGE>
COMMON STOCK PORTFOLIO
In 1995, the COMMON STOCK PORTFOLIO climbed 31.3%, ranking it 59
among 98 variable life/annuity growth portfolios. (SOURCE: LIPPER
ANALYTICAL SERVICES)
Portfolio Manager Tom Jackson adheres to a "value" investment style: he looks
for stocks with prices that are low compared to the company's potential
earnings, cash flow and book value.
The "value" investment style was out of favor last year, and therefore the
Portfolio didn't keep pace with the S&P 500. Stocks of companies with
above-average earnings potential (favored by "growth" investors) fared better
in 1995 than the diamonds-in-the-rough we buy.
We began 1995 with only 11.2% in cash, our lowest cash position in several
years. Then, the economy slowed just enough to put inflation in the deep
freeze, which was good news for the stock market and some of the stocks we
owned, like Digital Equipment and Loews. Other areas didn't fare so
well--mostly the economically-sensitive stocks of automakers and retailers.
If the Federal Reserve continues to cut interest rates, the economy should
shake off its sluggishness, which should give consumers a boost in confidence
at the same time. Confident consumers buy cars and retail goods, they spend
money and use their credit cards--so we think these stocks will do well if
the economy eventually reaccelerates.
- ------------------------------------------------------------------------------
VALUE OF $10,000 INVESTED IN THE COMMON STOCK PORTFOLIO VS. S&P
500 AND LIPPER GROWTH AVERAGE OVER TEN YEARS(1)
$40,032 S&P 500(2)
$39,855 Common Stock Portfolio
$37,836 Lipper VIP Growth Avg(3)
- -------------------------------------------------------------------------------
AVERAGE ANNUAL RETURNS THROUGH DECEMBER 31, 1995
<TABLE>
<CAPTION>
One Rank Three Rank Five Rank Ten Rank
Year Years Years Year
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Common Stock Portfolio 31.3% 59/98 18.0% 5/58 18.8% 14/48 15.0% 9/27
Lipper VIP Growth Avg(3) 32.5 13.3 17.1 14.1
S&P 500(2) 37.6 15.3 16.6 14.9
</TABLE>
INCEPTION DATE: 5/1/83
(1) Past performance is not predictive of future performance. Portfolio
performance does not reflect Separate Account expenses or other product
charges. The Portfolio may invest in foreign securities. Foreign investments
are subject to the risks of currency fluctuation and the impact of social,
political and economic change.
(2) The S&P 500 is a capital-weighted index, representing the aggregate market
value of the common equity of 500 stocks primarily traded on the New York
Stock Exchange. The S&P 500 is an unmanaged index and includes the
reinvestment of all dividends, but does not reflect the payment of
transaction costs and advisory fees associated with an investment in the
Portfolio. The securities that comprise the S&P 500 may differ substantially
from the securities in the Portfolio. The S&P 500 is not the only index that
may be used to characterize performance of this Portfolio and other indexes
may portray different comparative performance.
(2) The Lipper Variable Insurance Products (VIP) Growth Average is calculated
by Lipper Analytical Services, Inc. and reflects the investment return of
certain portfolios underlying variable life and insurance products. These
returns are net of investment fees and fund expenses but not product charges.
Q&A
[PHOTO]
PORTFOLIO MANAGER
TOM JACKSON
- ------------------------------------------------------------------------------
Q. WHAT WORKED FOR YOU IN 1995?
A. Our large concentration in banks, financial services and insurance stocks
was a winning decision. Earnings increased significantly at companies like
American Express, Dean Witter Discover and Travelers. And, with bank mergers
making headlines daily, our emphasis on major money-center banks was a good
move. Both large and small banks went through a merger and consolidation
phase in 1995, leading to new levels of prosperity for the survivors. We
continue to hold many of these as we look for further gains.
Q. WHAT DIDN'T WORK IN 1995?
A. - As major industries continued to shrink employment rosters in reaction
to slowing U.S. economic growth rates, auto manufacturers and retailers
performed miserably. We owned a lot of them, which hurt performance.
- - Although we own as many technology stocks as the S & P 500, we didn't own
as many as some of our competitors, which hurt relative performance, as well.
- - In such a great year for stocks, the cash holdings, which eventually rose
to 20% of assets, were a drag on returns.
- ------------------------------------------------------------------------------
TOP FIVE HOLDINGS.
AS OF 12/31/95
Digital Equipment. 4.2%
Kimberly Clark 3.5
Chrysler 2.8
Loews 2.5
Baxter International 2.3
11
<PAGE>
GROWTH STOCK PORTFOLIO
The GROWTH STOCK PORTFOLIO returned 24.4% in the eight months since its
inception on May 1, 1995. (SOURCE: THE PRUDENTIAL) For the same period, the
Lipper Variable Product Growth Average rose 14.3% (SOURCE: LIPPER ANALYTICAL
SERVICES).
Lower interest rates and a low inflation rate, coupled with strong corporate
earnings, provided the backdrop for strong overall results. The positive
performance of the Portfolio can be attributed to particularly strong results
in three sectors: technology, consumer and financial services.
In technology, although recent performance has been disappointing, there are
a number of evolving trends which have, and should continue to have, both
positive earnings and stock price consequences for companies in the
Portfolio. Despite the short-term correction in many of these stocks, we
expect to see ongoing strength in the personal computer industry and related
software and peripherals, inter-networking, large scale database management
applications and wireless communications.
We remain optimistic about growth stocks in the current slow economic growth
environment, which is characterized by low inflation and low interest rates.
As always, growth stocks will be more volatile than the market overall, but
we believe they will continue to provide ample opportunities to provide
significant returns from companies with growing revenue and earnings.
- ------------------------------------------------------------------------------
VALUE OF $10,000 INVESTED IN THE GROWTH STOCK PORTFOLIO VS.
LIPPER VIP GROWTH AVERAGE AND S&P 500 SINCE INCEPTION, MAY 1,
1995.(1)
[GRAPH]
- ------------------------------------------------------------------------------
RETURNS THROUGH DECEMBER 31, 1995
Since
Inception*
Growth Stock Portfolio 24.4%
Lipper VIP Growth Avg. 14.3
S&P 500 21.8
*INCEPTION DATE: 5/1/95
SOURCE: THE PRUDENTIAL.
(1)Past performance is not predictive of future performance. Portfolio
performance does not reflect Separate Account expenses or other product
charges. The Portfolio may invest in foreign securities. Foreign investments
are subject to the risks of currency fluctuation and the impact of social,
political and economic change.
*Lipper provides data on a monthly basis, so for comparative purposes, the
Lipper Average and Index since inception returns reflect the portfolio's
first calendar month of performance.
(2)The S&P 500 is a capital-weighted index, representing the aggregate market
value of the common equity of 500 stocks primarily traded on the New York
Stock Exchange. The S&P 500 is an unmanaged index and includes the
reinvestment of all dividends, but does not reflect the payment of
transaction costs and advisory fees associated with an investment in the
Portfolio. The securities that comprise the S&P 500 may differ substantially
from the securities in the Portfolio. The S&P 500 is not the only index that
may be used to characterize performance of this Portfolio and other indexes
may portray different comparative performance.
(3)The Lipper Variable Insurance Products (VIP) Growth Average is calculated
by Lipper Analytical Services, Inc. and reflects the investment return of
certain portfolios underlying variable life and insurance products. These
returns are net of investment fees and fund expenses but not product charges.
DATA
BANK
[PHOTO]
PORTFOLIO MANAGER
DAVID POIESZ
- ------------------------------------------------------------------------------
PORTFOLIO COMPOSITION.**
Dec. June
1995 1995
Technology 37.2% 39.6%
Consumer Staples 18.5 19.9
Health Care 15.7 10.2
Int. Goods & Svcs. 10.8 14.7
Financial Services 6.6 7.8
Capital Spending 4.5 0.0
Basic Industry 1.0 6.6
Cash 5.7 1.2
- ------------------------------------------------------------------------------
TOP FIVE HOLDINGS.**
AS OF 12/31/95
Boeing 3.3%
Hewlett Packard 2.9
Intel 2.7
Federal National Mortgage 2.5
SmithKline Beecham 2.5
**SOURCE: JENNISON ASSOCIATES.
12
<PAGE>
SMALL CAPITALIZATION STOCK PORTFOLIO
The SMALL CAPITALIZATION STOCK PORTFOLIO gained 19.7% in the eight months
since its inception on May 1. (SOURCE: THE PRUDENTIAL) For the same period,
Small Company stocks returned 15.4%. (SOURCE: LIPPER ANALYTICAL SERVICES)
The Portfolio seeks long-term growth through investment in publicly-traded
companies with market values of generally less than $1 billion, by attempting
to mirror the performance of the S&P 600 SmallCap Index, a measure of small
company stocks. The stocks in which the Portfolio invests are more volatile
than the stocks of larger, more highly capitalized and established companies.
At year end, the Portfolio held all stocks in the S&P 600 SmallCap Index.
STANDARD AND POOR'S NEITHER SPONSORS NOR ENDORSES THE SMALL CAPITALIZATION
STOCK PORTFOLIO. INVESTORS CANNOT DIRECTLY INVEST IN THE S&P 600 SMALLCAP
INDEX.
- ------------------------------------------------------------------------------
VALUE OF $10,000 INVESTED IN THE SMALL CAPITALIZATION PORTFOLIO VS. LIPPER
VIP SMALL CO. GROWTH AVERAGE AND S&P 600 SINCE INCEPTION, MAY 1, 1995.(1)
[GRAPH]
- ------------------------------------------------------------------------------
RETURNS THROUGH DECEMBER 31, 1995
Since
Inception*
Small Cap. Stock Portfolio 19.7%
Lipper VIP Small Co. Growth Avg.(3) 15.4
S&P 600(2) 21.4
*INCEPTION DATE: 5/1/95
SOURCE: THE PRUDENTIAL.
(1)Past performance is not predictive of future performance. Portfolio
performance does not reflect Separate Account expenses or other product
charges.
*Lipper provides data on a monthly basis, so for comparative purposes, the
Lipper Average and S & P 600 since inception returns reflect the portfolio's
first calendar month of performance.
(2)The S&P Small Cap 600 Index is a capital-weighted index, representing the
aggregate market value of the common equity of 600 small company stocks. The
S&P 600 is an unmanaged index and includes the reinvestment of all dividends,
but does not reflect the payment of transaction costs and advisory fees
associated with an investment in the Portfolio. The S&P 600 is not the only
index that may be used to characterize performance of this Portfolio and
other indexes may portray different comparative performance.
(3)The Lipper Variable Insurance Products (VIP) Small Company Growth Average
is calculated by Lipper Analytical Services, Inc. and reflects the investment
return of certain portfolios underlying variable life and insurance products.
These returns are net of investment fees and fund expenses but not product
charges.
Q&A
[PHOTO]
PORTFOLIO MANAGER
WAI CHIANG
- ------------------------------------------------------------------------------
Q. How did small company stocks do compared to larger stocks during 1995?
A. Larger company stocks performed better for the full year. However, from
May 1 through the end of the year, the S&P 500 and S&P 600 returned just
about the same amount. That's not typical.
Stocks of smaller companies typically respond to economic changes differently
than stocks of larger companies-- sometimes providing higher returns than
larger company stocks, and sometimes lower. The Small Capitalization Stock
Portfolio provides contract owners with another choice among stock
portfolios, allowing for an additional level of diversification.
- ------------------------------------------------------------------------------
THE S & P 600 SMALL CAP INDEX
COMPOSITION BY SECTOR.**
Dec. June
1995 1995
------- --------
Capital Goods 4.9% 4.6%
Consumer Durables 4.9 4.9
Consumer Non-Durables 17.8 18.6
Energy 5.6 5.9
Finance 17.2 16.7
Materials & Service 23.0 20.5
Technology 19.6 21.4
Transportation 2.3 2.6
Utilities 4.7 4.8
**Source: Wilshire Associates.
13
<PAGE>
GLOBAL EQUITY PORTFOLIO
Last year, the GLOBAL EQUITY PORTFOLIO advanced 15.9%, ranking 15 of 32
variable life/annuity global equity portfolios. (SOURCE: LIPPER ANALYTICAL
SERVICES.) Few global equity portfolios surpassed the MSCI- World Index, up
21.3%.
The Portfolio seeks long-term capital appreciation by investing primarily in
common stocks and common stock equivalents of foreign and domestic
corporations.
In 1995, we bought stocks outside the U.S. where economic growth was strong.
- -In the Pacific Rim, we added to our holdings in Hong Kong, as we expect
companies there will be the prime beneficiaries of renewed growth in mainland
China.
We added slightly to our Japanese holdings (now 17% of total net assets, up
from 12%), where companies should benefit from both the weakening yen (which
makes exports more attractive to overseas consumers) and the government's
action to strengthen the banking sector.
- - Around Europe, we're buying luxury retailers, entertainment and leisure
companies. As the baby boomers age, we think they'll have more disposable
income to spend on the finer things in life.
- - In the U.S., we favored technology firms, mostly software manufacturers,
which should prosper as Americans load up on new computer applications for
work, home and play.
- -------------------------------------------------------------------------------
VALUE OF $10,000 INVESTED IN THE GLOBAL EQUITY PORTFOLIO VS.
MORGAN STANLEY WORLD INDEX AND LIPPER VIP GLOBAL AVERAGE SINCE
INCEPTION(1)
[GRAPH]
$20,773 Lipper VIP Global Avg(3)
$19,500 MSCI World Index(2)
$18,916 Global Equity Portfolio
- -------------------------------------------------------------------------------
AVERAGE ANNUAL RETURNS THROUGH DECEMBER 31, 1995
<TABLE>
<CAPTION>
One Rank Three Rank Five Rank Since
Year Years Years Inception*
<S> <C> <C> <C> <C> <C> <C> <C>
Global Equity Portfolio 15.9% 15/32 16.4% 6/19 11.2% 6/13 9.2%
Lipper VIP Global Avg(3) 15.9 14.0 11.2 10.3
Morgan Stanley World Index(2) 21.3 16.4 12.3 9.7
</TABLE>
INCEPTION DATE: 9/19/88
(1)Past performance is not predictive of future performance. Portfolio
performance does not reflect Separate Account expenses or other product
charges. Foreign investments are subject to the risks of currency fluctuation
and the impact of social, political and economic change.
*Lipper provides data on a monthly basis, so for comparative purposes, the
Lipper Average and Index since inception returns reflect the portfolio's
first calendar month of performance.
(2)The Morgan Stanley Index is a weighted index comprised of approximately
1500 companies listed on the stock exchanges of the U.S.A., Europe, Canada,
Australia, New Zealand and the Far East. The combined market capitalization
of these companies represents approximately 60% of the aggregate market value
of the stock exchanges in the countries comprising the World Index. The World
Index is an unmanaged index and includes the reinvestment of all dividends,
but does not reflect the payment of transaction costs and advisory fees
associated with an investment in the Portfolio. The securities that comprise
the World Index may differ substantially from the securities in the
Portfolio. The World Index is not the only index that may be used to
characterize performance of global funds and other indexes may portray
different comparative performance.
(3)The Lipper Variable Insurance Products (VIP) Global Average is calculated
by Lipper Analytical Services, Inc. and reflects the investment return of
certain portfolios underlying variable life and insurance products. These
returns are net of investment fees and fund expenses but not product charges.
Q&A
[PHOTO]
PORTFOLIO MANAGER
DAN DUANE
- -------------------------------------------------------------------------------
Q. Where are you investing in Europe?
A. Early in 1995, we took advantage of a broadening economic recovery in
Europe by shifting assets from companies that benefit early in the business
cycle to those that benefit later. So we sold basic materials stocks in the
chemical and steel industries (typical "early business cycle" stocks) and
bought consumer-oriented stocks in the retail, machinery, telecommunications
and technology sectors.
Q. Which companies produced good returns in 1995?
A. Nintendo was one of our biggest gainers in 1995 as investors realized the
company's new products would be strong enough to help it maintain its
leadership position in the computer industry. (We sold our Nintendo holdings
early in 1996 to lock in profits.)
- -------------------------------------------------------------------------------
INVESTMENTS BY COUNTRY.
AS OF 12/31/95
Continental Europe 23.2%
United States 21.0
Japan 17.3
Pacific Basin 17.1
United Kingdom 9.4
Australia 5.2
Mexico 1.2
- -------------------------------------------------------------------------------
TOP FIVE HOLDINGS.
AS OF 12/31/95
Nintendo (Japan) 2.4%
Mattel (U.S.) 2.2
Coca Cola Amatil (Australia) 2.1
Microsoft (U.S.) 2.1
Guoco Group (Hong Kong) 1.9
14
<PAGE>
NATURAL RESOURCES PORTFOLIO
The NATURAL RESOURCES PORTFOLIO was up 26.9% in 1995, ranking number 1 of 8
such portfolios (SOURCE: LIPPER ANALYTICAL SERVICES). The Portfolio is
consistently a top performer among its peers, and was in 1995 as well.
Notably, though, stocks of commodities companies did not perform well
compared to the broader stock market in 1995. The weak economy hurt their
perceived profit potential and their prices.
The Natural Resources Portfolio invests in companies that own, process or
provide goods and services in natural resources such as precious and base
metals, oil, natural gas and forest products.
Energy stocks continue to be the largest portion of the Portfolio, at 50% of
total net assets. We have seen excellent performance in drilling stocks such
as Reading & Bates, and natural gas providers, such as Anadarko Petroleum.
Given the limited supply of natural gas production, and surging U.S. demand,
we believe natural gas prices should be strong in 1996.
Fertilizer stocks, at 8% of holdings, were great performers in 1995; the
Portfolio's return benefitted from its large weighting here. Although we
still like the long-term prospects for the industry, we have reduced our
holdings since a lot of the "good news" for fertilizer is already reflected
in stock prices.
Precious metals stocks, which make up 20% of our holdings, finally began
showing signs of life. Surging worldwide demand for gold, combined with
stagnant gold mine output, could mean higher gold prices in the year ahead.
Stocks we especially like include Cambior, which continues to be one of our
biggest holdings.
- -------------------------------------------------------------------------------
VALUE OF $10,000 INVESTED IN THE NATURAL RESOURCES PORTFOLIO VS.
S&P 500 AND LIPPER VIP NATURAL RESOURCES AVERAGE SINCE INCEPTION(1)
[GRAPH]
$29,992 S&P 500(2)
$24,243 Natural Resources Portfolio
$15,822 Lipper VIP Nat. Res Avg(3)
- -------------------------------------------------------------------------------
AVERAGE ANNUAL RETURNS THROUGH DECEMBER 31, 1995
<TABLE>
<CAPTION>
One Rank Three Rank Five Rank Since
Year Years Years Inception*
<S> <C> <C> <C> <C> <C> <C> <C>
Natural Resources Portfolio 26.9% 1/8 14.2% 5/8 12.1% 1/8 12.4%
Lipper VIP Nat. Resources Avg(3) 12.0 14.7 8.6 5.6
S&P 500(2) 37.6 15.3 16.6 15.5
</TABLE>
INCEPTION DATE: 5/1/88
(1)Past performance is not predictive of future performance. Portfolio
performance does not reflect Separate Account expenses or other product
charges. The Portfolio may invest in foreign securities. Foreign investments
are subject to the risks of currency fluctuation and the impact of social,
political and economic change.
*Lipper provides data on a monthly basis, so for comparative purposes, the
Lipper Average and Index since inception returns reflect the portfolio's
first full calendar month of performance.
(2)The S&P 500 is a capital-weighted index, representing the aggregate market
value of the common equity of 500 stocks primarily traded on the New York
Stock Exchange. The S&P 500 is an unmanaged index and includes the
reinvestment of all dividends, but does not reflect the payment of
transaction costs and advisory fees associated with an investment in the
Portfolio. The securities that comprise the S&P 500 may differ substantially
from the securities in the Portfolio. The S&P 500 is not the only index that
may be used to characterize performance of this Portfolio and other indexes
may portray different comparative performance.
(3)The Lipper Variable Insurance Products (VIP) Natural Resources Average is
calculated by Lipper Analytical Services, Inc. and reflects the investment
return of certain portfolios underlying variable life and insurance products.
These returns are net of investment fees and fund expenses but not product
charges.
Q&A
[PHOTO]
PORTFOLIO MANAGER
LEIGH GOEHRING
- -------------------------------------------------------------------------------
Q: Are we seeing some new trends in the natural resources market?
A. Traditionally, natural resources have been viewed as an inflation hedge.
They often retain value when inflation is eroding the value of financial
instruments like stocks and bonds. In recent months, however, we have been
seeing a new scenario at work: Natural resource prices have moved fitfully
towards higher levels despite low inflation. That's partly because surging
economic growth in heavily-populated countries like China and India is
creating growing demand for many natural resources. Our strategy is to try
and buy stocks of companies that will see their revenues and profits increase
as a result of this surging demand for commodities.
- -------------------------------------------------------------------------------
TOP FIVE HOLDINGS.
AS OF 12/31/95
Aluminum Co. of America 3.2%
Potash 2.9
Noble Affiliates 2.3
Louisiana Pacific 2.2
Talisman Energy 2.2
15
<PAGE>
INVESTMENT ADVISOR'S OUTLOOK
THIS TIME OF YEAR WE USUALLY ANALYZE THE FINANCIAL INDICATORS, REVIEW LAST
YEAR'S MARKET ACTIVITY AND TRY TO FORECAST NEXT YEAR'S INVESTMENT
MARKETS--THE BEST SECTORS TO CHOOSE AND WHERE WE THINK THERE'S MONEY TO BE
MADE.
THIS YEAR, THERE'S STILL A LOT OF GOOD NEWS. INTEREST RATES ARE FALLING,
INFLATION IS LOW AND ECONOMIC GROWTH REMAINS POSITIVE--A COMBINATION THAT
CREATES A VERY HEALTHY ENVIRONMENT FOR STOCKS AND BONDS. BUT LOOKING BACK AT
1995, THE STOCK AND BOND MARKETS HAVE ALREADY PRODUCED RECORD-BREAKING TOTAL
RETURNS. HISTORY TELLS US THESE RETURNS ARE UNLIKELY TO BE REPEATED ANY TIME
SOON. OVERALL, THOUGH, WE ARE POSITIVE, ESPECIALLY ON BONDS AND NON-U.S.
STOCKS, BUT WE WANT TO MAKE SURE WE'RE NOT TAKING TOO MUCH RISK.
U.S. BONDS
Bonds look good to us. We believe interest rates will fall to 5.75% or even
5.5%--which could produce healthy price appreciation from this normally
sleepy asset class. Inflation in the U.S. remains low, which should allow
interest rates to fall further. We're very positive on Treasury securities
and investment grade corporate bonds. High yield bonds should benefit from
lower interest rates, but we're paying very close attention to credit quality.
GLOBAL STOCKS
Global stocks--the riskiest asset class--may be the big winner in 1996. These
stocks are trailing far behind their U.S. counterparts, while foreign
economic growth is generally higher than in the U.S. We think investors might
shake off their worries about currency fluctuations and financial scandals
and give the foreign markets another look in 1996.
U.S. STOCKS
The U.S. stock market is the toughest for us to call. Falling interest rates
are positive for the market; but we're concerned about slowing earnings
growth. Our best guess: modest positive returns by year end 1996, but expect
a sell-off sometime during the year.
One last word: judge your risk tolerance carefully this year. There could be
many ups--and some big downs--in 1996. We think long-term investors should be
prepared to weather some turmoil on their way to positive total returns. And
remember to review your financial security objectives with your Registered
Representative in case your needs have changed.
SHORT TAKES
TOM JACKSON,
COMMON STOCK PORTFOLIO:
"The challenge for 1996 is to determine when the prices of the economically
sensitive stocks offer sufficient value to compensate for the risk that
earnings will continue to disappoint if the economy weakens in the near term."
WARREN SPITZ,
HIGH DIVIDEND PORTFOLIO:
"Some of the weakest high dividend stocks of 1995--retailers and real estate
investment trusts--are my favorites heading into 1996. Most of them could
start to produce gains if interest rates continue to fall and economic growth
maintains a moderate pace."
DAVID POIESZ,
GROWTH STOCK PORTFOLIO:
"Lower interest rates and moderate economic growth should bode well for the
continued growth in the companies in our Portfolio. We expect the strength
they demonstrated in 1995 should continue next year, despite ups and downs in
market perceptions."
DAN DUANE,
GLOBAL EQUITY PORTFOLIO:
"The European and Asian stocks that lagged the U.S. market in 1995 should
begin to recover in 1996. Why? Most international investors are realizing
that worries about the U.S. economy's strength and the dollar's weakness
(which constrained the markets in 1995) have been overblown."
BARBARA KENWORTHY,
BOND PORTFOLIO:
"If 1996 weren't a Presidential election year, I'd expect to see really
stunning gains from the U.S. bond market, with long-term interest rates
dipping below 5.5%. But Presidential politicking will bring turmoil to the
bond market, so I believe we'll have a respectable year, with strong price
gains and rates testing their 1993 lows--a record level for investors."
LARS BERKMAN, HIGH YIELD PORTFOLIO:
"In 1996, credit quality will be the factor to watch in the high yield bond
market. I'll be watching the economy closely and avoiding the bonds of
companies that could falter if revenues and cash flow weaken. But high yield
bonds should provide good returns in 1996, on the strength of falling
interest rates alone."
S96-0023
16
<PAGE>
FINANCIAL STATEMENTS OF
THE PRUDENTIAL SERIES FUND, INC.
MONEY MARKET PORTFOLIO
<TABLE>
<CAPTION>
STATEMENT OF ASSETS AND LIABILITIES
December 31, 1995
<S> <C>
ASSETS
Investments................................ $ 610,184,940
Cash....................................... 1,689
Interest receivable........................ 3,877,634
--------------
Total Assets............................. 614,064,263
--------------
LIABILITIES
Accrued expenses........................... 115,780
Payable to investment adviser.............. 628,843
--------------
Total Liabilities........................ 744,623
--------------
NET ASSETS................................... $ 613,319,640
--------------
--------------
Net assets were comprised of:
Common stock, at $0.01 par value......... $ 613,320
Paid-in capital, in excess of par........ 612,706,320
--------------
Net assets, December 31, 1995.............. $ 613,319,640
--------------
--------------
Net asset value per share of 61,331,964
outstanding shares of common stock
(authorized 200,000,000 shares).......... $ 10.0000
--------------
--------------
</TABLE>
<TABLE>
<CAPTION>
STATEMENT OF OPERATIONS
Year Ended December 31, 1995
<S> <C>
INVESTMENT INCOME
Interest................................... $ 36,565,684
---------------
EXPENSES
Investment management fee.................. 2,399,559
Shareholders' reports...................... 137,786
Accounting fees............................ 66,340
Professional fees.......................... 30,370
Custodian expense -- net................... 10,710
Directors' expense......................... 2,988
Miscellaneous expenses..................... 928
S.E.C. fees................................ (3,240)
---------------
2,645,441
---------------
NET INVESTMENT INCOME........................ 33,920,243
---------------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS................................... $ 33,920,243
---------------
---------------
</TABLE>
<TABLE>
<CAPTION>
STATEMENTS OF CHANGES IN NET ASSETS
YEARS ENDED DECEMBER 31
---------------------------------------
1995 1994
------------------ -------------------
<S> <C> <C>
OPERATIONS:
Net investment income.................................................................. $ 33,920,243 $ 21,549,333
DIVIDENDS TO SHAREHOLDERS FROM:
Net investment income.................................................................. (33,920,243) (21,549,333)
CAPITAL TRANSACTIONS:
Capital stock sold [13,987,392 and 18,862,200 shares, respectively].................... 139,873,920 188,622,000
Reinvestment of dividend distributions [3,392,024 and 2,154,934 shares,
respectively]......................................................................... 33,920,243 21,549,333
Capital stock repurchased [(14,375,600) and (10,162,500) shares, respectively]......... (143,756,000) (101,625,000)
------------------ -------------------
NET INCREASE IN NET ASSETS RESULTING FROM CAPITAL TRANSACTIONS......................... 30,038,163 108,546,333
------------------ -------------------
TOTAL INCREASE IN NET ASSETS............................................................. 30,038,163 108,546,333
NET ASSETS:
Beginning of year...................................................................... 583,281,477 474,735,144
------------------ -------------------
End of year............................................................................ $ 613,319,640 $ 583,281,477
------------------ -------------------
------------------ -------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS ON PAGES C1 THROUGH C13.
A1
<PAGE>
FINANCIAL STATEMENTS OF
THE PRUDENTIAL SERIES FUND, INC.
BOND PORTFOLIO
<TABLE>
<CAPTION>
STATEMENT OF ASSETS AND LIABILITIES
December 31, 1995
<S> <C>
ASSETS
Investments, at value (cost:
$610,310,688)............................ $ 643,573,628
Cash....................................... 395
Interest receivable........................ 12,716,449
Receivable for portfolio shares sold....... 216,916
--------------
Total Assets............................. 656,507,388
--------------
LIABILITIES
Accrued expenses........................... 36,960
Payable to investment adviser.............. 634,002
--------------
Total Liabilities........................ 670,962
--------------
NET ASSETS................................... $ 655,836,426
--------------
--------------
Net assets were comprised of:
Common stock, at $0.01 par value......... $ 579,713
Paid-in capital, in excess of par........ 629,568,137
--------------
630,147,850
Undistributed net investment income........ 714,398
Accumulated net realized losses............ (8,288,762)
Net unrealized appreciation................ 33,262,940
--------------
Net assets, December 31, 1995.............. $ 655,836,426
--------------
--------------
Net asset value per share of 57,971,325
outstanding shares of common stock
(authorized 200,000,000 shares).......... $ 11.3131
--------------
--------------
</TABLE>
<TABLE>
<CAPTION>
STATEMENT OF OPERATIONS
Year Ended December 31, 1995
<S> <C>
INVESTMENT INCOME
Interest................................... $ 43,710,915
---------------
EXPENSES
Investment management fee.................. 2,337,700
Shareholders' reports...................... 147,832
Accounting fees............................ 56,490
Custodian expense -- net................... 42,968
Professional fees.......................... 19,278
Directors' expense......................... 2,862
Miscellaneous expenses..................... 863
S.E.C. fees................................ (3,513)
---------------
2,604,480
---------------
NET INVESTMENT INCOME........................ 41,106,435
---------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS
Net realized gain (loss) on investments --
Securities transactions.................. 3,993,423
Options written.......................... (48,047)
---------------
Net realized gain on investments........... 3,945,376
Net unrealized gain on investments......... 65,195,088
---------------
NET GAIN ON INVESTMENTS...................... 69,140,464
---------------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS................................... $ 110,246,899
---------------
---------------
</TABLE>
<TABLE>
<CAPTION>
STATEMENTS OF CHANGES IN NET ASSETS
YEARS ENDED DECEMBER 31
---------------------------------------
1995 1994
------------------ -------------------
<S> <C> <C>
OPERATIONS:
Net investment income.................................................................. $ 41,106,435 $ 36,112,155
Net realized gain (loss) on investments................................................ 3,945,376 (4,246,256)
Net unrealized gain (loss) on investments.............................................. 65,195,088 (50,839,016)
------------------ -------------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS........................ 110,246,899 (18,973,117)
------------------ -------------------
DIVIDENDS TO SHAREHOLDERS FROM:
Net investment income.................................................................. (40,773,047) (35,627,999)
Net realized gain from investment transactions......................................... (1,426,845) (1,267,553)
------------------ -------------------
TOTAL DIVIDENDS TO SHAREHOLDERS........................................................ (42,199,892) (36,895,552)
------------------ -------------------
CAPITAL TRANSACTIONS:
Capital stock sold [3,596,587 and 3,414,897 shares, respectively]...................... 39,971,262 36,662,212
Reinvestment of dividend distributions [3,793,654 and 3,610,015 shares,
respectively]......................................................................... 42,199,892 36,895,552
Capital stock repurchased [(3,376,822) and (4,963,909) shares, respectively]........... (36,030,334) (52,266,357)
------------------ -------------------
NET INCREASE IN NET ASSETS RESULTING FROM CAPITAL TRANSACTIONS......................... 46,140,820 21,291,407
------------------ -------------------
TOTAL INCREASE (DECREASE)
IN NET ASSETS............................................................................ 114,187,827 (34,577,262)
NET ASSETS:
Beginning of year...................................................................... 541,648,599 576,225,861
------------------ -------------------
End of year............................................................................ $ 655,836,426 $ 541,648,599
------------------ -------------------
------------------ -------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS ON PAGES C1 THROUGH C13.
A2
<PAGE>
FINANCIAL STATEMENTS OF
THE PRUDENTIAL SERIES FUND, INC.
GOVERNMENT SECURITIES PORTFOLIO
<TABLE>
<CAPTION>
STATEMENT OF ASSETS AND LIABILITIES
December 31, 1995
<S> <C>
ASSETS
Investments, at value (cost:
$457,607,665)............................ $ 495,028,292
Cash....................................... 648
Interest receivable........................ 7,178,766
Receivable for portfolio shares sold....... 57,123
Other Assets............................... 5,758
--------------
Total Assets............................. 502,270,587
--------------
LIABILITIES
Payable to investment adviser.............. 495,282
--------------
NET ASSETS................................... $ 501,775,305
--------------
--------------
Net assets were comprised of:
Common stock, at $0.01 par value......... $ 428,176
Paid-in capital, in excess of par........ 486,408,830
--------------
486,837,006
Undistributed net investment income........ 1,261,089
Accumulated net realized losses............ (23,743,417)
Net unrealized appreciation................ 37,420,627
--------------
Net assets, December 31, 1995.............. $ 501,775,305
--------------
--------------
Net asset value per share of 42,817,582
outstanding shares of common stock
(authorized 100,000,000 shares).......... $ 11.7189
--------------
--------------
</TABLE>
<TABLE>
<CAPTION>
STATEMENT OF OPERATIONS
Year Ended December 31, 1995
<S> <C>
INVESTMENT INCOME
Interest................................... $ 33,602,845
---------------
EXPENSES
Investment management fee.................. 1,913,517
Shareholders' reports...................... 122,340
Accounting fees............................ 68,428
Custodian expense -- net................... 32,925
Professional fees.......................... 9,933
Directors' expense......................... 2,908
Miscellaneous expenses..................... 774
S.E.C. fees................................ (11,433)
---------------
2,139,392
---------------
NET INVESTMENT INCOME........................ 31,463,453
---------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS
Net realized loss on investments........... (12,819,604)
Net unrealized gain on investments......... 66,364,196
---------------
NET GAIN ON INVESTMENTS...................... 53,544,592
---------------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS................................... $ 85,008,045
---------------
---------------
</TABLE>
<TABLE>
<CAPTION>
STATEMENTS OF CHANGES IN NET ASSETS
YEARS ENDED DECEMBER 31
---------------------------------------
1995 1994
------------------ -------------------
<S> <C> <C>
OPERATIONS:
Net investment income.................................................................. $ 31,463,453 $ 33,431,928
Net realized loss on investments....................................................... (12,819,604) (10,380,614)
Net unrealized gain (loss) on investments.............................................. 66,364,196 (52,690,952)
------------------ -------------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS........................ 85,008,045 (29,639,638)
------------------ -------------------
DIVIDENDS TO SHAREHOLDERS FROM:
Net investment income.................................................................. (31,133,859) (32,955,665)
------------------ -------------------
CAPITAL TRANSACTIONS:
Capital stock sold [863,496 and 3,591,224 shares, respectively]........................ 9,888,081 41,656,912
Reinvestment of dividend distributions [2,693,392 and 3,094,061 shares,
respectively]......................................................................... 31,133,859 32,955,665
Capital stock repurchased [(7,346,525) and (5,912,961) shares, respectively]........... (80,695,126) (64,569,681)
------------------ -------------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM CAPITAL TRANSACTIONS.............. (39,673,186) 10,042,896
------------------ -------------------
TOTAL INCREASE (DECREASE) IN NET ASSETS.................................................. 14,201,000 (52,552,407)
NET ASSETS:
Beginning of year...................................................................... 487,574,305 540,126,712
------------------ -------------------
End of year............................................................................ $ 501,775,305 $ 487,574,305
------------------ -------------------
------------------ -------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS ON PAGES C1 THROUGH C13.
A3
<PAGE>
FINANCIAL STATEMENTS OF
THE PRUDENTIAL SERIES FUND, INC.
ZERO COUPON BOND 1995 PORTFOLIO
<TABLE>
<CAPTION>
STATEMENT OF ASSETS AND LIABILITIES
December 31, 1995
<S> <C>
ASSETS
Total Assets............................. $ 0
--------------
LIABILITIES
Total Liabilities........................ $ 0
--------------
NET ASSETS
--------------
--------------
Net assets, December 31, 1995.............. $ 0
--------------
--------------
Net asset value per share of -0- outstanding
shares of common stock (authorized
25,000,000 shares)....................... $ 0
--------------
--------------
</TABLE>
<TABLE>
<CAPTION>
STATEMENT OF OPERATIONS
Year Ended December 31, 1995
<S> <C>
INVESTMENT INCOME
Interest................................... $ 717,426
---------------
EXPENSES
Investment management fee.................. 42,824
Accounting fees............................ 1,876
Custodian expense -- net................... 8,044
Shareholders' reports...................... 2,251
S.E.C...................................... (954)
Directors' expense......................... 2,374
Professional fees.......................... 3,487
Miscellaneous expenses..................... 27
---------------
59,929
---------------
NET INVESTMENT INCOME........................ 657,497
---------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS
Net realized gain on investments........... 170,059
Net unrealized loss on investments......... (36,893)
---------------
NET GAIN ON INVESTMENTS...................... 133,166
---------------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS................................... $ 790,663
---------------
---------------
</TABLE>
<TABLE>
<CAPTION>
STATEMENTS OF CHANGES IN NET ASSETS
YEARS ENDED DECEMBER 31
---------------------------------------
1995 1994
------------------ -------------------
<S> <C> <C>
OPERATIONS:
Net investment income.................................................................. $ 657,497 $ 1,027,426
Net realized gain on investments....................................................... 170,059 1,948
Net unrealized loss on investments..................................................... (36,893) (1,029,896)
------------------ -------------------
NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS........................ 790,663 (522)
------------------ -------------------
DIVIDENDS TO SHAREHOLDERS FROM:
Net investment income.................................................................. (684,785) (1,001,231)
Net realized gain from investment transactions......................................... (169,638) (3,573)
------------------ -------------------
TOTAL DIVIDENDS TO SHAREHOLDERS........................................................ (854,423) (1,004,804)
------------------ -------------------
CAPITAL TRANSACTIONS:
Capital stock sold [11,399 and 301,289 shares, respectively]........................... 123,131 3,295,000
Reinvestment of dividend distributions [81,330 and 94,042 shares, respectively]........ 854,423 1,004,804
Capital stock repurchased [(10,740) and (52,950) shares, respectively]................. (116,000) (592,000)
Initial capitalization repurchased [(680,487) and (18,027) shares, respectively]....... (7,346,506) (197,000)
Capital stock repurchased at liquidation date [(1,075,615) and 0 shares,
respectively]......................................................................... (11,184,920) 0
------------------ -------------------
NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM CAPITAL TRANSACTIONS.............. (17,669,872) 3,510,804
------------------ -------------------
TOTAL INCREASE/(DECREASE) IN NET ASSETS.................................................. (17,733,632) 2,505,478
NET ASSETS:
Beginning of year...................................................................... 17,733,632 15,228,154
------------------ -------------------
End of year............................................................................ $ 0 $ 17,733,632
------------------ -------------------
------------------ -------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS ON PAGES C1 THROUGH C13.
A4
<PAGE>
FINANCIAL STATEMENTS OF
THE PRUDENTIAL SERIES FUND, INC.
ZERO COUPON BOND 2000 PORTFOLIO
<TABLE>
<CAPTION>
STATEMENT OF ASSETS AND LIABILITIES
December 31, 1995
<S> <C>
ASSETS
Investments, at value (cost:
$22,164,986)............................. $ 25,287,653
Cash....................................... 311
Interest receivable........................ 200
--------------
Total Assets............................. 25,288,164
--------------
LIABILITIES
Accrued expenses and other liabilities..... 4,480
Payable to investment adviser.............. 24,865
--------------
Total Liabilities........................ 29,345
--------------
NET ASSETS................................... $ 25,258,819
--------------
--------------
Net assets were comprised of:
Common stock, at $0.01 par value......... $ 19,030
Paid-in capital, in excess of par........ 22,151,149
--------------
22,170,179
Distributions in excess of net investment
income................................... (34,156)
Accumulated net realized gains............. 129
Net unrealized appreciation................ 3,122,667
--------------
Net assets, December 31, 1995.............. $ 25,258,819
--------------
--------------
Net asset value per share of 1,903,021
outstanding shares of common stock
(authorized 25,000,000 shares)........... $ 13.2730
--------------
--------------
</TABLE>
<TABLE>
<CAPTION>
STATEMENT OF OPERATIONS
Year Ended December 31, 1995
<S> <C>
INVESTMENT INCOME
Interest................................... $ 1,156,958
---------------
EXPENSES
Investment management fee.................. 92,250
Accounting fees............................ 6,931
Shareholders' reports...................... 4,623
Custodian expense -- net................... 2,995
Directors' expense......................... 2,533
Professional fees.......................... 1,602
Miscellaneous expenses..................... 33
---------------
110,967
---------------
NET INVESTMENT INCOME........................ 1,045,991
---------------
NET REALIZED AND UNREALIZED GAIN ON
INVESTMENTS
Net realized gain on investments........... 945,638
Net unrealized gain on investments......... 2,457,617
---------------
NET GAIN ON INVESTMENTS...................... 3,403,255
---------------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS................................... $ 4,449,246
---------------
---------------
</TABLE>
<TABLE>
<CAPTION>
STATEMENTS OF CHANGES IN NET ASSETS
YEARS ENDED DECEMBER 31
---------------------------------------
1995 1994
------------------ -------------------
<S> <C> <C>
OPERATIONS:
Net investment income.................................................................. $ 1,045,991 $ 1,414,358
Net realized gain on investments....................................................... 945,638 38,776
Net unrealized gain(loss) on investments............................................... 2,457,617 (3,049,221)
------------------ -------------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS........................ 4,449,246 (1,596,087)
------------------ -------------------
DIVIDENDS TO SHAREHOLDERS FROM:
Net investment income.................................................................. (1,046,055) (1,398,377)
Net realized gain from investment transactions......................................... (945,910) (38,912)
------------------ -------------------
TOTAL DIVIDENDS TO SHAREHOLDERS........................................................ (1,991,965) (1,437,289)
------------------ -------------------
CAPITAL TRANSACTIONS:
Capital stock sold [111,200 and 102,167 shares, respectively].......................... 1,481,434 1,340,000
Reinvestment of dividend distributions [151,186 and 118,462 shares, respectively]...... 1,991,965 1,437,289
Capital stock repurchased [(89,987) and (60,345) shares, respectively]................. (1,195,434) (787,000)
Initial capitalization repurchased [(8,965) and (38,338) shares, respectively]......... (111,423) (507,000)
------------------ -------------------
NET INCREASE IN NET ASSETS RESULTING FROM CAPITAL TRANSACTIONS......................... 2,166,542 1,483,289
------------------ -------------------
TOTAL INCREASE (DECREASE) IN NET ASSETS.................................................. 4,623,823 (1,550,087)
NET ASSETS:
Beginning of year...................................................................... 20,634,996 22,185,083
------------------ -------------------
End of year............................................................................ $ 25,258,819 $ 20,634,996
------------------ -------------------
------------------ -------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS ON PAGES C1 THROUGH C13.
A5
<PAGE>
FINANCIAL STATEMENTS OF
THE PRUDENTIAL SERIES FUND, INC.
ZERO COUPON BOND 2005 PORTFOLIO
<TABLE>
<CAPTION>
STATEMENT OF ASSETS AND LIABILITIES
December 31, 1995
<S> <C>
ASSETS
Investments, at value (cost:
$19,934,260)............................. $ 23,588,178
Cash....................................... 915
Interest receivable........................ 605
Receivable for portfolio shares sold....... 85,000
--------------
Total Assets............................. 23,674,698
--------------
LIABILITIES
Accrued expenses........................... 5,550
Payable to investment adviser.............. 22,029
--------------
Total Liabilities........................ 27,579
--------------
NET ASSETS................................... $ 23,647,119
--------------
--------------
Net assets were comprised of:
Common stock, at $0.01 par value......... $ 17,928
Paid-in capital, in excess of par........ 19,955,995
--------------
19,973,923
Undistributed net investment income........ 19,278
Net unrealized appreciation................ 3,653,918
--------------
Net assets, December 31, 1995.............. $ 23,647,119
--------------
--------------
Net asset value per share of 1,792,815
outstanding shares of common stock
(authorized 50,000,000 shares)........... $ 13.1899
--------------
--------------
</TABLE>
<TABLE>
<CAPTION>
STATEMENT OF OPERATIONS
Year Ended December 31, 1995
<S> <C>
INVESTMENT INCOME
Interest................................... $ 1,122,819
---------------
EXPENSES
Investment management fee.................. 76,677
Accounting fees............................ 6,748
Shareholders' reports...................... 4,342
Custodian expense -- net................... 3,459
Directors' expense......................... 2,531
Professional fees.......................... 1,763
Miscellaneous expenses..................... 26
---------------
95,546
---------------
NET INVESTMENT INCOME........................ 1,027,273
---------------
NET REALIZED AND UNREALIZED GAIN ON
INVESTMENTS
Net realized gain on investments........... 471,329
Net unrealized gain on investments......... 3,840,819
---------------
NET GAIN ON INVESTMENTS...................... 4,312,148
---------------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS................................... $ 5,339,421
---------------
---------------
</TABLE>
<TABLE>
<CAPTION>
STATEMENTS OF CHANGES IN NET ASSETS
YEARS ENDED DECEMBER 31
---------------------------------------
1995 1994
------------------ -------------------
<S> <C> <C>
OPERATIONS:
Net investment income.................................................................. $ 1,027,273 $ 955,176
Net realized gain on investments....................................................... 471,329 0
Net unrealized gain(loss) on investments............................................... 3,840,819 (2,370,041)
------------------ -------------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS........................ 5,339,421 (1,414,865)
------------------ -------------------
DIVIDENDS TO SHAREHOLDERS FROM:
Net investment income.................................................................. (1,031,193) (938,283)
Net realized gain from investment transactions......................................... (471,329) (3,855)
------------------ -------------------
TOTAL DIVIDENDS TO SHAREHOLDERS........................................................ (1,502,522) (942,138)
------------------ -------------------
CAPITAL TRANSACTIONS:
Capital stock sold [292,895 and 461,883 shares, respectively].......................... 3,700,000 5,262,071
Reinvestment of dividend distributions [116,304 and 86,081 shares, respectively]....... 1,502,522 942,138
Capital stock repurchased [(152,641) and (31,239) shares, respectively]................ (1,898,000) (366,000)
Initial capitalization repurchased [-0- and (122,127) shares, respectively]............ 0 (1,448,071)
------------------ -------------------
NET INCREASE IN NET ASSETS RESULTING FROM CAPITAL TRANSACTIONS......................... 3,304,522 4,390,138
------------------ -------------------
TOTAL INCREASE IN NET ASSETS............................................................. 7,141,421 2,033,135
NET ASSETS:
Beginning of year...................................................................... 16,505,698 14,472,563
------------------ -------------------
End of year............................................................................ $ 23,647,119 $ 16,505,698
------------------ -------------------
------------------ -------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS ON PAGES C1 THROUGH C13.
A6
<PAGE>
FINANCIAL STATEMENTS OF
THE PRUDENTIAL SERIES FUND, INC.
CONSERVATIVELY MANAGED FLEXIBLE PORTFOLIO
<TABLE>
<CAPTION>
STATEMENT OF ASSETS AND LIABILITIES
December 31, 1995
<S> <C>
ASSETS
Investments, at value (cost:
$3,622,931,201).......................... $3,912,781,300
Cash....................................... 44,660
Interest and dividends receivable.......... 30,959,621
Receivable for securities sold............. 2,833,722
Receivable for portfolio shares sold....... 23,400
--------------
Total Assets............................. 3,946,642,703
--------------
LIABILITIES
Accrued expenses........................... 165,851
Payable for securities purchased........... 374,361
Payable to investment adviser.............. 5,328,226
--------------
Total Liabilities........................ 5,868,438
--------------
NET ASSETS................................... $3,940,774,265
--------------
--------------
Net assets were comprised of:
Common stock, at $0.01 par value......... $ 2,574,196
Paid-in capital, in excess of par........ 3,629,566,275
--------------
3,632,140,471
Distributions in excess of net investment
income................................... (2,286,857)
Accumulated net realized gains............. 21,070,552
Net unrealized appreciation................ 289,850,099
--------------
Net assets, December 31, 1995.............. $3,940,774,265
--------------
--------------
Net asset value per share of 257,419,587
outstanding shares of common stock
(authorized 300,000,000 shares).......... $ 15.3088
--------------
--------------
</TABLE>
<TABLE>
<CAPTION>
STATEMENT OF OPERATIONS
Year Ended December 31, 1995
<S> <C>
INVESTMENT INCOME
Dividends (net of $401,184 foreign
withholding tax)......................... $ 23,484,206
Interest................................... 153,295,065
---------------
176,779,271
---------------
EXPENSES
Investment management fee.................. 20,327,574
Shareholders' reports...................... 902,869
Accounting fees............................ 97,831
Custodian expense -- net................... 92,207
Professional fees.......................... 74,702
Miscellaneous expenses..................... 5,573
Directors' expense......................... 4,934
S.E.C. fees................................ (20,409)
---------------
21,485,281
---------------
NET INVESTMENT INCOME........................ 155,293,990
---------------
NET REALIZED AND UNREALIZED GAIN ON
INVESTMENTS
Net realized gain on investments........... 167,342,297
Net unrealized gain on investments......... 264,773,974
---------------
NET GAIN ON INVESTMENTS...................... 432,116,271
---------------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS................................... $ 587,410,261
---------------
---------------
</TABLE>
<TABLE>
<CAPTION>
STATEMENTS OF CHANGES IN NET ASSETS
YEARS ENDED DECEMBER 31
---------------------------------------
1995 1994
------------------ -------------------
<S> <C> <C>
OPERATIONS:
Net investment income.................................................................. $ 155,293,990 $ 122,670,711
Net realized gain on investments....................................................... 167,342,297 30,751,021
Net unrealized gain(loss) on investments............................................... 264,773,974 (184,854,002)
------------------ -------------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS........................ 587,410,261 (31,432,270)
------------------ -------------------
DIVIDENDS TO SHAREHOLDERS FROM:
Net investment income.................................................................. (154,987,434) (120,740,360)
Net realized gain from investment transactions......................................... (133,660,168) (37,214,012)
------------------ -------------------
TOTAL DIVIDENDS TO SHAREHOLDERS........................................................ (288,647,602) (157,954,372)
------------------ -------------------
CAPITAL TRANSACTIONS:
Capital stock sold [5,345,143 and 34,889,459 shares, respectively]..................... 81,026,772 514,344,688
Reinvestment of dividend distributions [19,023,739 and 11,198,868 shares,
respectively]......................................................................... 288,647,602 157,954,372
Capital stock repurchased [(15,343,313) and (5,887,371) shares, respectively].......... (228,767,054) (84,977,146)
------------------ -------------------
NET INCREASE IN NET ASSETS RESULTING FROM CAPITAL TRANSACTIONS......................... 140,907,320 587,321,914
------------------ -------------------
TOTAL INCREASE IN NET ASSETS............................................................. 439,669,979 397,935,272
NET ASSETS:
Beginning of year...................................................................... 3,501,104,286 3,103,169,014
------------------ -------------------
End of year............................................................................ $ 3,940,774,265 $ 3,501,104,286
------------------ -------------------
------------------ -------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS ON PAGES C1 THROUGH C13.
A7
<PAGE>
FINANCIAL STATEMENTS OF
THE PRUDENTIAL SERIES FUND, INC.
AGGRESSIVELY MANAGED FLEXIBLE PORTFOLIO
<TABLE>
<CAPTION>
STATEMENT OF ASSETS AND LIABILITIES
December 31, 1995
<S> <C>
ASSETS
Investments, at value (cost:
$3,687,627,278).......................... $4,228,358,720
Cash....................................... 626
Interest and dividends receivable.......... 25,934,506
Receivable for securities sold............. 59,091,478
Receivable for portfolio shares sold....... 42,700
--------------
Total Assets............................. 4,313,428,030
--------------
LIABILITIES
Accrued expenses........................... 178,423
Payable for securities purchased........... 45,774,778
Payable to investment adviser.............. 6,269,992
--------------
Total Liabilities........................ 52,223,193
--------------
NET ASSETS................................... $4,261,204,837
--------------
--------------
Net assets were comprised of:
Common stock, at $0.01 par value......... $ 2,385,984
Paid-in capital, in excess of par........ 3,657,681,610
--------------
3,660,067,594
Distributions in excess of net investment
income................................... (5,751,188)
Accumulated Net Realized Gains............. 66,155,086
Net unrealized appreciation
Securities............................... 540,731,442
Foreign currency translations............ 1,903
--------------
Net assets, December 31, 1995.............. $4,261,204,837
--------------
--------------
Net asset value per share of 238,598,423
outstanding shares of common stock
(authorized 300,000,000 shares).......... $ 17.8593
--------------
--------------
</TABLE>
<TABLE>
<CAPTION>
STATEMENT OF OPERATIONS
Year Ended December 31, 1995
<S> <C>
INVESTMENT INCOME
Dividends (net of $632,445 foreign
withholding tax)......................... $ 47,779,646
Interest................................... 103,109,112
---------------
150,888,758
---------------
EXPENSES
Investment management fee.................. 22,971,401
Shareholders' reports...................... 933,420
Custodian expense -- net................... 170,999
Professional fees.......................... 86,407
Accounting fees............................ 84,962
Miscellaneous expenses..................... 5,560
Directors' expense......................... 4,806
S.E.C. fees................................ (9,458)
---------------
24,248,097
---------------
NET INVESTMENT INCOME........................ 126,640,661
---------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS AND FOREIGN CURRENCIES
Net realized gain (loss) on investments and
foreign currencies--
Securities transactions.................. 291,714,860
Foreign currency transactions............ (1,080)
Futures contracts........................ 554,055
---------------
Net realized gain on investments and
foreign currencies....................... 292,267,835
---------------
Net unrealized gain on investments and
foreign currencies--
Securities............................... 410,037,562
Foreign currency translations............ 3,540
---------------
Net unrealized gain on investments and
foreign currencies....................... 410,041,102
---------------
NET GAIN ON INVESTMENTS AND FOREIGN
CURRENCIES................................... 702,308,937
---------------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS................................... $ 828,949,598
---------------
---------------
</TABLE>
<TABLE>
<CAPTION>
STATEMENTS OF CHANGES IN NET ASSETS
YEARS ENDED DECEMBER 31
---------------------------------------
1995 1994
------------------ -------------------
<S> <C> <C>
OPERATIONS:
Net investment income.................................................................. $ 126,640,661 $ 98,878,114
Net realized gain on investments and foreign currency transactions..................... 292,267,835 23,838,273
Net unrealized gain(loss) on investments and foreign currency translations............. 410,041,102 (230,571,359)
------------------ -------------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS........................ 828,949,598 (107,854,972)
------------------ -------------------
DIVIDENDS TO SHAREHOLDERS FROM:
Net investment income.................................................................. (124,621,227) (96,126,295)
Net realized gain from investment transactions......................................... (176,844,671) (98,311,584)
------------------ -------------------
TOTAL DIVIDENDS TO SHAREHOLDERS........................................................ (301,465,898) (194,437,879)
------------------ -------------------
CAPITAL TRANSACTIONS:
Capital stock sold [8,486,525 and 22,611,559 shares, respectively]..................... 146,641,074 370,947,414
Reinvestment of dividend distributions [17,050,711 and 12,531,550 shares,
respectively]......................................................................... 301,465,898 194,437,879
Capital stock repurchased [(11,612,102) and (4,617,224) shares, respectively].......... (195,926,134) (73,719,278)
------------------ -------------------
NET INCREASE IN NET ASSETS RESULTING FROM CAPITAL TRANSACTIONS......................... 252,180,838 491,666,015
------------------ -------------------
TOTAL INCREASE IN NET ASSETS............................................................. 779,664,538 189,373,164
NET ASSETS:
Beginning of year...................................................................... 3,481,540,299 3,292,167,135
------------------ -------------------
End of year............................................................................ $ 4,261,204,837 $ 3,481,540,299
------------------ -------------------
------------------ -------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS ON PAGES C1 THROUGH C13.
A8
<PAGE>
FINANCIAL STATEMENTS OF
THE PRUDENTIAL SERIES FUND, INC.
HIGH YIELD BOND PORTFOLIO
<TABLE>
<CAPTION>
STATEMENT OF ASSETS AND LIABILITIES
December 31, 1995
<S> <C>
ASSETS
Investments, at value (cost:
$354,568,957)............................ $ 361,288,048
Cash....................................... 632
Interest and dividends receivable.......... 5,586,015
Receivable for portfolio shares sold....... 1,576,000
--------------
Total Assets............................. 368,450,695
--------------
LIABILITIES
Accrued expenses........................... 51,477
Payable to investment adviser.............. 489,831
--------------
Total Liabilities........................ 541,308
--------------
NET ASSETS................................... $ 367,909,387
--------------
--------------
Net assets were comprised of:
Common stock, at $0.01 par value......... $ 471,654
Paid-in capital, in excess of par........ 384,457,545
--------------
384,929,199
Distributions in excess of net investment
income................................... (2,640,746)
Accumulated net realized losses............ (21,098,157)
Net unrealized appreciation................ 6,719,091
--------------
Net assets, December 31, 1995.............. $ 367,909,387
--------------
--------------
Net asset value per share of 47,165,429
outstanding shares of common stock
(authorized 100,000,000 shares).......... $ 7.8004
--------------
--------------
</TABLE>
<TABLE>
<CAPTION>
STATEMENT OF OPERATIONS
Year Ended December 31, 1995
<S> <C>
INVESTMENT INCOME
Dividends.................................. $ 704,709
Interest................................... 36,153,363
---------------
36,858,072
---------------
EXPENSES
Investment management fee.................. 1,845,783
Accounting fees............................ 103,280
Shareholders' reports...................... 78,409
Professional fees.......................... 17,800
Custodian expense -- net................... 7,782
Directors' expense......................... 2,729
Miscellaneous expenses..................... 488
S.E.C. fees................................ (106)
---------------
2,056,165
---------------
NET INVESTMENT INCOME........................ 34,801,907
---------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS
Net realized loss on investments........... (14,399,977)
Net unrealized gain on investments......... 33,692,744
---------------
NET GAIN ON INVESTMENTS...................... 19,292,767
---------------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS................................... $ 54,094,674
---------------
---------------
</TABLE>
<TABLE>
<CAPTION>
STATEMENTS OF CHANGES IN NET ASSETS
YEARS ENDED DECEMBER 31
---------------------------------------
1995 1994
------------------ -------------------
<S> <C> <C>
OPERATIONS:
Net investment income.................................................................. $ 34,801,907 $ 30,009,666
Net realized loss on investments....................................................... (14,399,977) (4,761,509)
Net unrealized gain(loss) on investments............................................... 33,692,744 (34,417,342)
------------------ -------------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS........................ 54,094,674 (9,169,185)
------------------ -------------------
DIVIDENDS TO SHAREHOLDERS FROM:
Net investment income.................................................................. (36,032,307) (30,650,298)
Net realized gain from investment transactions......................................... 0 (228)
------------------ -------------------
TOTAL DIVIDENDS TO SHAREHOLDERS........................................................ (36,032,307) (30,650,526)
------------------ -------------------
CAPITAL TRANSACTIONS:
Capital stock sold [4,596,182 and 7,836,280 shares, respectively]...................... 36,443,000 64,526,000
Reinvestment of dividend distributions [4,650,470 and 4,067,658 shares,
respectively]......................................................................... 36,032,307 30,650,526
Capital stock repurchased [(3,656,896) and (3,976,156) shares, respectively]........... (28,853,000) (31,985,000)
------------------ -------------------
NET INCREASE IN NET ASSETS RESULTING FROM CAPITAL TRANSACTIONS......................... 43,622,307 63,191,526
------------------ -------------------
TOTAL INCREASE IN NET ASSETS............................................................. 61,684,674 23,371,815
NET ASSETS:
Beginning of year...................................................................... 306,224,713 282,852,898
------------------ -------------------
End of year............................................................................ $ 367,909,387 $ 306,224,713
------------------ -------------------
------------------ -------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS ON PAGES C1 THROUGH C13.
A9
<PAGE>
FINANCIAL STATEMENTS OF
THE PRUDENTIAL SERIES FUND, INC.
STOCK INDEX PORTFOLIO
<TABLE>
<CAPTION>
STATEMENT OF ASSETS AND LIABILITIES
December 31, 1995
<S> <C>
ASSETS
Investments, at value (cost:
$726,828,799)............................ $1,034,546,771
Cash....................................... 388
Interest and dividends receivable.......... 2,009,493
Receivable for securities sold............. 104,888
Receivable for portfolio shares sold....... 593,387
Receivable for daily variation margin on
open futures contracts (see Note 2)...... 42,000
--------------
Total Assets............................. 1,037,296,927
--------------
LIABILITIES
Accrued expenses and other liabilities..... 17,953
Payable for securities purchased........... 5,143,518
Payable to investment adviser.............. 857,388
--------------
Total Liabilities........................ 6,018,859
--------------
NET ASSETS................................... $1,031,278,068
--------------
--------------
Net assets were comprised of:
Common stock, at $0.01 par value......... $ 516,774
Paid-in capital, in excess of par........ 720,145,607
--------------
720,662,381
Distributions in excess of net investment
income................................... (317,155)
Accumulated net realized gains............. 3,562,520
Net unrealized appreciation (depreciation)
Securities............................... 307,717,972
Futures contracts........................ (347,650)
--------------
Net assets, December 31, 1995.............. $1,031,278,068
--------------
--------------
Net asset value per share of 51,677,409
outstanding shares of common stock
(authorized 100,000,000 shares).......... $ 19.9561
--------------
--------------
</TABLE>
<TABLE>
<CAPTION>
STATEMENT OF OPERATIONS
Year Ended December 31, 1995
<S> <C>
INVESTMENT INCOME
Dividends (net of $107,942 foreign
withholding tax)......................... $ 20,346,508
Interest................................... 1,720,583
---------------
22,067,091
---------------
EXPENSES
Investment management fee.................. 2,904,883
Shareholders' reports...................... 187,848
Accounting fees............................ 71,353
Professional fees.......................... 17,219
Custodian expense -- net................... 15,898
Directors' expense......................... 3,279
Miscellaneous expenses..................... 1,233
---------------
3,201,713
---------------
NET INVESTMENT INCOME........................ 18,865,378
---------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS
Net realized gain on investments --
Securities transactions.................. 4,372,198
Futures contracts........................ 7,787,530
---------------
Net realized gain on investments........... 12,159,728
---------------
Net unrealized gain (loss) on investments
--
Securities............................... 226,745,682
Futures contracts........................ (862,800)
---------------
Net unrealized gain on investments......... 225,882,882
---------------
NET GAIN ON INVESTMENTS...................... 238,042,610
---------------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS................................... $ 256,907,988
---------------
---------------
</TABLE>
<TABLE>
<CAPTION>
STATEMENTS OF CHANGES IN NET ASSETS
YEARS ENDED DECEMBER 31
---------------------------------------
1995 1994
------------------ -------------------
<S> <C> <C>
OPERATIONS:
Net investment income.................................................................. $ 18,865,378 $ 15,899,579
Net realized gain (loss) on investments................................................ 12,159,728 (811,766)
Net unrealized gain(loss) on investments............................................... 225,882,882 (8,435,032)
------------------ -------------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS................................... 256,907,988 6,652,781
------------------ -------------------
DIVIDENDS TO SHAREHOLDERS FROM:
Net investment income.................................................................. (18,734,051) (15,754,398)
Net realized gain from investment transactions......................................... (7,293,493) (958,203)
------------------ -------------------
TOTAL DIVIDENDS TO SHAREHOLDERS........................................................ (26,027,544) (16,712,601)
------------------ -------------------
CAPITAL TRANSACTIONS:
Capital stock sold [7,147,197 and 4,553,644 shares, respectively]...................... 130,752,103 68,598,345
Reinvestment of dividend distributions [1,331,092 and 1,130,115 shares,
respectively]......................................................................... 26,027,544 16,712,601
Capital stock repurchased [(1,230,332) and (1,718,830) shares, respectively]........... (20,916,230) (25,854,984)
------------------ -------------------
NET INCREASE IN NET ASSETS RESULTING FROM CAPITAL TRANSACTIONS......................... 135,863,417 59,455,962
------------------ -------------------
TOTAL INCREASE IN NET ASSETS............................................................. 366,743,861 49,396,142
NET ASSETS:
Beginning of year...................................................................... 664,534,207 615,138,065
------------------ -------------------
End of year............................................................................ $ 1,031,278,068 $ 664,534,207
------------------ -------------------
------------------ -------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS ON PAGES C1 THROUGH C13.
A10
<PAGE>
FINANCIAL STATEMENTS OF
THE PRUDENTIAL SERIES FUND, INC.
HIGH DIVIDEND STOCK PORTFOLIO
<TABLE>
<CAPTION>
STATEMENT OF ASSETS AND LIABILITIES
December 31, 1995
<S> <C>
ASSETS
Investments, at value (cost:
$1,029,615,764).......................... $1,106,522,324
Cash....................................... 327
Interest and dividends receivable.......... 5,277,929
Receivable for securities sold............. 256,065
--------------
Total Assets............................. 1,112,056,645
--------------
LIABILITIES
Accrued expenses........................... 37,511
Payable for securities purchased........... 967,161
Payable to investment adviser.............. 1,088,778
--------------
Total Liabilities........................ 2,093,450
--------------
NET ASSETS................................... $1,109,963,195
--------------
--------------
Net assets were comprised of:
Common stock, at $0.01 par value......... $ 682,177
Paid-in capital, in excess of par........ 1,017,172,654
--------------
1,017,854,831
Undistributed net investment income........ 1,279,672
Accumulated net realized gains............. 13,922,132
Net unrealized appreciation................ 76,906,560
--------------
Net assets, December 31, 1995.............. $1,109,963,195
--------------
--------------
Net asset value per share of 68,217,704
outstanding shares of common stock
(authorized 100,000,000 shares).......... $ 16.2709
--------------
--------------
</TABLE>
<TABLE>
<CAPTION>
STATEMENT OF OPERATIONS
Year Ended December 31, 1995
<S> <C>
INVESTMENT INCOME
Dividends (net of $104,796 foreign
withholding tax)......................... $ 35,978,077
Interest................................... 8,258,536
---------------
44,236,613
---------------
EXPENSES
Investment management fee.................. 3,999,197
Shareholders' reports...................... 214,575
Accounting fees............................ 71,068
Custodian expense -- net................... 14,712
Professional fees.......................... 13,351
Directors' expense......................... 3,134
S.E.C. fees................................ 2,880
Miscellaneous expenses..................... 1,378
---------------
4,320,295
---------------
NET INVESTMENT INCOME........................ 39,916,318
---------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS
Net realized gain (loss) on investments --
Securities transactions.................. 61,983,178
Futures contracts........................ (716,385)
---------------
Net realized gain on investments........... 61,266,793
Net unrealized gain on investments......... 90,522,832
---------------
NET GAIN ON INVESTMENTS...................... 151,789,625
---------------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS................................... $ 191,705,943
---------------
---------------
</TABLE>
<TABLE>
<CAPTION>
STATEMENTS OF CHANGES IN NET ASSETS
YEARS ENDED DECEMBER 31
---------------------------------------
1995 1994
------------------ -------------------
<S> <C> <C>
OPERATIONS:
Net investment income.................................................................. $ 39,916,318 $ 29,929,976
Net realized gain on investments....................................................... 61,266,793 41,343,251
Net unrealized gain (loss) on investments.............................................. 90,522,832 (64,632,006)
------------------ -------------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS................................... 191,705,943 6,641,221
------------------ -------------------
DIVIDENDS TO SHAREHOLDERS FROM:
Net investment income.................................................................. (38,782,405) (29,421,933)
Net realized gain from investment transactions......................................... (46,564,566) (44,325,396)
------------------ -------------------
TOTAL DIVIDENDS TO SHAREHOLDERS........................................................ (85,346,971) (73,747,329)
------------------ -------------------
CAPITAL TRANSACTIONS:
Capital stock sold [4,803,598 and 16,514,586 shares, respectively]..................... 76,990,000 261,909,000
Reinvestment of dividend distributions [5,213,794 and 5,080,100 shares,
respectively]......................................................................... 85,346,971 73,747,329
Capital stock repurchased [(1,152,259) and (746,813) shares, respectively]............. (18,404,000) (11,659,000)
------------------ -------------------
NET INCREASE IN NET ASSETS RESULTING FROM CAPITAL TRANSACTIONS......................... 143,932,971 323,997,329
------------------ -------------------
TOTAL INCREASE IN NET ASSETS............................................................. 250,291,943 256,891,221
NET ASSETS:
Beginning of year...................................................................... 859,671,252 602,780,031
------------------ -------------------
End of year............................................................................ $ 1,109,963,195 $ 859,671,252
------------------ -------------------
------------------ -------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS ON PAGES C1 THROUGH C13.
A11
<PAGE>
FINANCIAL STATEMENTS OF
THE PRUDENTIAL SERIES FUND, INC.
COMMON STOCK PORTFOLIO
<TABLE>
<CAPTION>
STATEMENT OF ASSETS AND LIABILITIES
December 31, 1995
<S> <C>
ASSETS
Investments, at value (cost:
$3,003,199,288).......................... $3,802,800,150
Cash....................................... 114
Interest and dividends receivable.......... 7,563,838
Receivable for securities sold............. 8,368,268
Receivable for portfolio shares sold....... 1,112,768
--------------
Total Assets............................. 3,819,845,138
--------------
LIABILITIES
Accrued expenses........................... 111,877
Payable for securities purchased........... 1,777,024
Payable to investment adviser.............. 4,145,541
Unrealized depreciation on foreign exchange
contracts................................ 6,569
--------------
Total Liabilities........................ 6,041,011
--------------
NET ASSETS................................... $3,813,804,127
--------------
--------------
Net assets were comprised of:
Common stock, at $0.01 par value......... $ 1,487,452
Paid-in capital, in excess of par........ 2,910,528,030
--------------
2,912,015,482
Distributions in excess of net investment
income................................... (3,492,970)
Accumulated net realized gain.............. 105,687,322
Net unrealized appreciation on investments
and foreign currency translations........ 799,594,293
--------------
Net assets, December 31, 1995.............. $3,813,804,127
--------------
--------------
Net asset value per share of 148,745,174
outstanding shares of common stock
(authorized 200,000,000 shares).......... $ 25.6399
--------------
--------------
</TABLE>
<TABLE>
<CAPTION>
STATEMENT OF OPERATIONS
Year Ended December 31, 1995
<S> <C>
INVESTMENT INCOME
Dividends (net of $668,015 foreign
withholding tax)......................... $ 61,955,672
Interest................................... 27,142,094
---------------
89,097,766
---------------
EXPENSES
Investment management fee.................. 14,518,058
Shareholders' reports...................... 717,827
Accounting fees............................ 67,844
Professional fees.......................... 51,182
Custodian expense -- net................... 37,963
S.E.C. fees................................ 13,790
Directors' expense......................... 4,525
Miscellaneous expenses..................... 4,216
---------------
15,415,405
---------------
NET INVESTMENT INCOME........................ 73,682,361
---------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS AND FOREIGN CURRENCIES
Net realized gain on investments........... 234,571,951
Net unrealized gain (loss) on investments
and foreign currencies--
Securities............................... 553,129,317
Foreign currency translations............ (6,569)
---------------
Net unrealized gain on investments and
foreign currencies....................... 553,122,748
---------------
NET GAIN ON INVESTMENTS AND FOREIGN
CURRENCIES................................... 787,694,699
---------------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS................................... $ 861,377,060
---------------
---------------
</TABLE>
<TABLE>
<CAPTION>
STATEMENTS OF CHANGES IN NET ASSETS
YEARS ENDED DECEMBER 31
---------------------------------------
1995 1994
------------------ -------------------
<S> <C> <C>
OPERATIONS:
Net investment income.................................................................. $ 73,682,361 $ 57,699,769
Net realized gain on investments....................................................... 234,571,951 84,713,465
Net unrealized gain (loss) on investments and foreign currency translations............ 553,122,748 (76,779,978)
------------------ -------------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS................................... 861,377,060 65,633,256
------------------ -------------------
DIVIDENDS TO SHAREHOLDERS FROM:
Net investment income.................................................................. (71,456,482) (56,757,732)
Net realized gain from investment transactions......................................... (132,219,093) (106,046,594)
------------------ -------------------
TOTAL DIVIDENDS TO SHAREHOLDERS........................................................ (203,675,575) (162,804,326)
------------------ -------------------
CAPITAL TRANSACTIONS:
Capital stock sold [15,687,254 and 19,167,446 shares, respectively].................... 374,478,697 412,393,503
Reinvestment of dividend distributions [8,038,373 and 7,934,974 shares,
respectively]......................................................................... 203,675,575 162,804,326
Capital stock repurchased [(1,673,110) and (2,170,186) shares, respectively]........... (39,823,647) (46,752,467)
------------------ -------------------
NET INCREASE IN NET ASSETS RESULTING FROM CAPITAL TRANSACTIONS......................... 538,330,625 528,445,362
------------------ -------------------
TOTAL INCREASE IN NET ASSETS............................................................. 1,196,032,110 431,274,292
NET ASSETS:
Beginning of year...................................................................... 2,617,772,017 2,186,497,725
------------------ -------------------
End of year............................................................................ $ 3,813,804,127 $ 2,617,772,017
------------------ -------------------
------------------ -------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS ON PAGES C1 THROUGH C13.
A12
<PAGE>
FINANCIAL STATEMENTS OF
THE PRUDENTIAL SERIES FUND, INC.
GROWTH STOCK
<TABLE>
<CAPTION>
STATEMENT OF ASSETS AND LIABILITIES
December 31, 1995
<S> <C>
ASSETS
Investments, at value (cost:
$62,811,423)............................. $ 66,855,842
Cash....................................... 666
Interest and dividends receivable.......... 46,157
Receivable for securities sold............. 169,111
Receivable for portfolio shares sold....... 430,000
--------------
Total Assets............................. 67,501,776
--------------
LIABILITIES
Accrued expenses........................... 31,994
Payable for securities purchased........... 4,310,619
Payable to investment adviser.............. 68,593
--------------
Total Liabilities........................ 4,411,206
--------------
NET ASSETS................................... $ 63,090,570
--------------
--------------
Net assets were comprised of:
Common stock, at $0.01 par value......... $ 50,284
Paid-in capital, in excess of par........ 58,830,254
--------------
58,880,538
Undistributed net investment income........ 35,015
Accumulated net realized gains............. 130,598
Net unrealized appreciation................ 4,044,419
--------------
Net assets, December 31, 1995.............. $ 63,090,570
--------------
--------------
Net asset value per share of 5,028,425
outstanding shares of common stock
(authorized 50,000,000 shares)........... $ 12.5468
--------------
--------------
</TABLE>
<TABLE>
<CAPTION>
STATEMENT OF OPERATIONS
For the Period April 25, 1995
(Commencement of Business) to December 31, 1995
<S> <C>
INVESTMENT INCOME
Dividends (net of $1,840 foreign
withholding tax)......................... $ 129,428
Interest................................... 83,481
---------------
212,909
---------------
EXPENSES
Investment management fee.................. 118,016
Accounting fees............................ 20,964
Custodian expense -- net................... 18,469
Shareholders' reports...................... 7,755
Professional fees.......................... 3,530
Directors' expense......................... 1,622
---------------
170,356
---------------
NET INVESTMENT INCOME........................ 42,553
---------------
NET REALIZED AND UNREALIZED GAIN ON
INVESTMENTS
Net realized gain on investments........... 130,598
Net unrealized gain on investments......... 4,044,419
---------------
NET GAIN ON INVESTMENTS...................... 4,175,017
---------------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS................................... $ 4,217,570
---------------
---------------
</TABLE>
<TABLE>
<CAPTION>
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIOD
APRIL 25, 1995
(COMMENCEMENT OF BUSINESS)
TO DECEMBER 31, 1995
------------------------------
<S> <C>
OPERATIONS:
Net investment income........................................................................... $ 42,553
Net realized gain on investments................................................................ 130,598
Net unrealized gain on investments.............................................................. 4,044,419
-----------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS............................................ 4,217,570
-----------------
DIVIDENDS TO SHAREHOLDERS FROM:
Net investment income........................................................................... (7,538)
-----------------
CAPITAL TRANSACTIONS:
Initial capitalization [990,000 shares]......................................................... 9,900,000
Capital stock sold [4,215,890 shares]........................................................... 51,219,000
Reinvestment of dividend distributions [667 shares]............................................. 7,538
Capital stock repurchased [(188,132) shares].................................................... (2,346,000)
-----------------
NET INCREASE IN NET ASSETS RESULTING FROM CAPITAL TRANSACTIONS.................................. 58,780,538
-----------------
TOTAL INCREASE IN NET ASSETS...................................................................... 62,990,570
NET ASSETS:
Beginning of year............................................................................... *100,000
-----------------
End of year..................................................................................... $ 63,090,570
-----------------
-----------------
</TABLE>
*Prior to April 25, 1995 (commencement of business), the Portfolio issued 10,000
shares to The Prudential for $100,000.
SEE NOTES TO FINANCIAL STATEMENTS ON PAGES C1 THROUGH C13.
A13
<PAGE>
FINANCIAL STATEMENTS OF
THE PRUDENTIAL SERIES FUND, INC.
SMALL CAPITALIZATION STOCK
<TABLE>
<CAPTION>
STATEMENT OF ASSETS AND LIABILITIES
December 31, 1995
<S> <C>
ASSETS
Investments, at value (cost:
$47,793,195)............................. $ 50,390,130
Interest and dividends receivable.......... 36,959
Receivable for securities sold............. 340,996
Receivable for portfolio shares sold....... 151,000
Receivable for daily variation margin on
open futures contracts (see Note 2)...... 16,780
--------------
Total Assets............................. 50,935,865
--------------
LIABILITIES
Bank overdraft............................. 125
Accrued expenses........................... 10,003
Payable for securities purchased........... 3,420,232
Payable to investment adviser.............. 38,579
--------------
Total Liabilities........................ 3,468,939
--------------
NET ASSETS................................... $ 47,466,926
--------------
--------------
Net assets were comprised of:
Common stock, at $0.01 par value......... $ 40,113
Paid-in capital, in excess of par........ 44,389,420
--------------
44,429,533
Undistributed net investment income........ 32,633
Accumulated net realized gains............. 396,600
Net unrealized appreciation
Securities................................. 2,596,935
Futures contracts.......................... 11,225
--------------
Net assets, December 31, 1995.............. $ 47,466,926
--------------
--------------
Net asset value per share of 4,011,270
outstanding shares of common stock
(authorized 50,000,000 shares)........... $ 11.8334
--------------
--------------
</TABLE>
<TABLE>
<CAPTION>
STATEMENT OF OPERATIONS
For the Period April 25, 1995
(Commencement of Business) to December 31, 1995
<S> <C>
INVESTMENT INCOME
Dividends.................................. $ 173,046
Interest................................... 128,246
---------------
301,292
---------------
EXPENSES
Investment management fee.................. 72,904
Accounting fees............................ 24,836
Custodian expense -- net................... 22,778
Shareholders' reports...................... 2,875
Directors' expense......................... 1,622
Professional fees.......................... 758
---------------
125,773
---------------
NET INVESTMENT INCOME........................ 175,519
---------------
NET REALIZED AND UNREALIZED GAIN ON
INVESTMENTS
Net realized gain on investments --
Securities transactions.................. 735,017
Futures contracts........................ 66,230
---------------
Net realized gain on investments........... 801,247
---------------
Net unrealized gain on investments --
Securities............................... 2,596,935
Futures contracts........................ 11,225
---------------
Net unrealized gain on investments......... 2,608,160
---------------
NET GAIN ON INVESTMENTS...................... 3,409,407
---------------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS................................... $ 3,584,926
---------------
---------------
</TABLE>
<TABLE>
<CAPTION>
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIOD
APRIL 25, 1995
(COMMENCEMENT OF BUSINESS)
TO DECEMBER 31, 1995
------------------------------
<S> <C>
OPERATIONS:
Net investment income........................................................................... $ 175,519
Net realized gain on investments................................................................ 801,247
Net unrealized gain on investments.............................................................. 2,608,160
-----------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS............................................ 3,584,926
-----------------
DIVIDENDS TO SHAREHOLDERS FROM:
Net investment income........................................................................... (142,886)
Net realized gain from investment transactions.................................................. (404,647)
-----------------
TOTAL DIVIDENDS TO SHAREHOLDERS................................................................. (547,533)
-----------------
CAPITAL TRANSACTIONS:
Initial capitalization [990,000 shares]......................................................... 9,900,000
Capital stock sold [3,181,402 shares]........................................................... 36,389,000
Reinvestment of dividend distributions [46,817 shares].......................................... 547,533
Capital stock repurchased [(216,949) shares].................................................... (2,507,000)
-----------------
NET INCREASE IN NET ASSETS RESULTING FROM CAPITAL TRANSACTIONS.................................. 44,329,533
-----------------
TOTAL INCREASE IN NET ASSETS...................................................................... 47,366,926
NET ASSETS:
Beginning of year............................................................................... *100,000
-----------------
End of year..................................................................................... $ 47,466,926
-----------------
-----------------
</TABLE>
*Prior to April 25, 1995 (commencement of business), the Portfolio issued 10,000
shares to The Prudential for $100,000.
SEE NOTES TO FINANCIAL STATEMENTS ON PAGES C1 THROUGH C13.
A14
<PAGE>
FINANCIAL STATEMENTS OF
THE PRUDENTIAL SERIES FUND, INC.
GLOBAL EQUITY PORTFOLIO
<TABLE>
<CAPTION>
STATEMENT OF ASSETS AND LIABILITIES
December 31, 1995
<S> <C>
ASSETS
Investments, at value (cost:
$338,204,955)............................ $ 380,896,625
Foreign currency, at value (cost:
$13,535,659)............................. 13,526,107
Cash....................................... 6,836
Dividends and interest receivable.......... 358,772
Forward foreign exchange contracts
receivable............................... 3,237,470
Receivable for securities sold............. 6,143,019
Other assets............................... 217,575
--------------
Total Assets............................. 404,386,404
--------------
LIABILITIES
Accrued expenses........................... 1,099,231
Payable for securities purchased........... 2,424,949
Payable to investment adviser.............. 748,469
Payable for portfolio shares redeemed...... 14,221
--------------
Total Liabilities........................ 4,286,870
--------------
NET ASSETS................................... $ 400,099,534
--------------
--------------
Net assets were comprised of:
Common stock, at $0.01 par value......... $ 257,577
Paid-in capital, in excess of par........ 353,239,217
--------------
353,496,794
Distributions in excess of net investment
income................................... (4,668,585)
Accumulated net realized gains............. 5,349,172
Net unrealized appreciation on securities
and foreign currency transactions........ 45,922,153
--------------
Net assets, December 31, 1995.............. $ 400,099,534
--------------
--------------
Net asset value per share of 25,757,706
outstanding shares of common stock
(authorized 100,000,000 shares).......... $ 15.5332
--------------
--------------
</TABLE>
<TABLE>
<CAPTION>
STATEMENT OF OPERATIONS
December 31, 1995
<S> <C>
INVESTMENT INCOME
Dividends (net of $501,975 foreign
withholding tax)......................... $ 5,245,748
Interest................................... 314,961
---------------
5,560,709
---------------
EXPENSES
Investment management fee.................. 2,806,038
Custodian expense -- net................... 973,290
Accounting fees............................ 144,789
Shareholders' reports...................... 7,653
Miscellaneous expenses..................... 4,198
Directors' expense......................... 2,031
Professional fees.......................... 1,760
---------------
3,939,759
---------------
NET INVESTMENT INCOME........................ 1,620,950
---------------
NET REALIZED AND UNREALIZED GAIN ON
INVESTMENTS AND FOREIGN CURRENCIES
Net realized gain on investments and
foreign currency transactions............ 13,763,168
Net unrealized gain on investments and
foreign currency translations............ 39,034,318
---------------
NET GAIN ON INVESTMENTS AND FOREIGN
CURRENCIES................................... 52,797,486
---------------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS................................... $ 54,418,436
---------------
---------------
</TABLE>
<TABLE>
<CAPTION>
STATEMENTS OF CHANGES IN NET ASSETS
YEARS ENDED DECEMBER 31
---------------------------------------
1995 1994
------------------ -------------------
<S> <C> <C>
OPERATIONS:
Net investment income.................................................................. 1,620,950 474,722
Net realized gain (loss) on investments and foreign currency transactions.............. 13,763,168 (578,250)
Net unrealized gain (loss) on investments and foreign currency translations............ 39,034,318 (16,334,560)
------------------ -------------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS........................ 54,418,436 (16,438,088)
------------------ -------------------
DIVIDENDS TO SHAREHOLDERS FROM:
Net investment income.................................................................. (5,982,859) (499,141)
Net realized gain from investment transactions......................................... (7,583,630) (394,438)
------------------ -------------------
TOTAL DIVIDENDS TO SHAREHOLDERS........................................................ (13,566,489) (893,579)
------------------ -------------------
CAPITAL TRANSACTIONS:
Capital stock sold [2,817,622 and 17,513,960 shares, respectively]..................... 42,294,857 254,421,899
Reinvestment of dividend distributions [872,571 and 64,991 shares, respectively]....... 13,566,489 893,579
Capital stock repurchased [(2,794,423) and (751,122) shares, respectively]............. (41,558,737) (10,781,034)
Initial capitalization repurchased [ (48,679) and (735,674) shares, respectively]...... (789,000) (10,558,000)
------------------ -------------------
NET INCREASE IN NET ASSETS RESULTING FROM CAPITAL TRANSACTIONS......................... 13,513,609 233,976,444
------------------ -------------------
TOTAL INCREASE IN NET ASSETS............................................................. 54,365,556 216,644,777
NET ASSETS:
Beginning of year...................................................................... 345,733,978 129,089,201
------------------ -------------------
End of year............................................................................ $ 400,099,534 $ 345,733,978
------------------ -------------------
------------------ -------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS ON PAGES C1 THROUGH C13.
A15
<PAGE>
FINANCIAL STATEMENTS OF
THE PRUDENTIAL SERIES FUND, INC.
NATURAL RESOURCES PORTFOLIO
<TABLE>
<CAPTION>
STATEMENT OF ASSETS AND LIABILITIES
December 31, 1995
<S> <C>
ASSETS
Investments, at value (cost:
$251,010,642)............................ $ 293,115,218
Cash....................................... 330
Interest and dividends receivable.......... 528,400
--------------
Total Assets............................. 293,643,948
--------------
LIABILITIES
Accrued expenses........................... 24,887
Outstanding call options written, at value
(premiums received: $163,675)............ 132,000
Payable to investment adviser.............. 315,432
--------------
Total Liabilities........................ 472,319
--------------
NET ASSETS................................... $ 293,171,629
--------------
--------------
Net assets were comprised of:
Common stock, at $0.01 par value......... $ 169,740
Paid-in capital, in excess of par........ 243,474,453
--------------
243,644,193
Distributions in excess of net investment
income................................... (41,370)
Accumulated net realized gains............. 7,432,593
Net unrealized appreciation on investments
and foreign currency translations........ 42,136,213
--------------
Net assets, December 31, 1995.............. $ 293,171,629
--------------
--------------
Net asset value per share of 16,974,000
outstanding shares of common stock
(authorized 100,000,000 shares).......... $ 17.2718
--------------
--------------
</TABLE>
<TABLE>
<CAPTION>
STATEMENT OF OPERATIONS
Year Ended December 31, 1995
<S> <C>
INVESTMENT INCOME
Dividends (net of $92,277 foreign
withholding tax)......................... $ 3,977,254
Interest................................... 624,350
---------------
4,601,604
---------------
EXPENSES
Investment management fee.................. 1,183,826
Shareholders' reports...................... 58,258
Accounting fees............................ 52,795
Professional fees.......................... 7,376
Custodian expense -- net................... 3,554
Directors' expense......................... 2,668
S.E.C. fees................................ 777
Miscellaneous expenses..................... 363
---------------
1,309,617
---------------
NET INVESTMENT INCOME........................ 3,291,987
---------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS AND FOREIGN CURRENCIES
Net realized gain (loss) on investments and
foreign currencies--
Securities transactions.................. 19,566,210
Options written.......................... 191,132
Foreign currency transactions............ (22,895)
---------------
Net realized gain on investments and
foreign currencies....................... 19,734,447
---------------
Net unrealized gain (loss) on investments
and foreign currencies--
Securities............................... 39,030,629
Options written.......................... 31,675
Foreign currency translations............ (38)
---------------
Net unrealized gain on investments and
foreign currencies....................... 39,062,266
---------------
NET GAIN ON INVESTMENTS AND FOREIGN
CURRENCIES................................... 58,796,713
---------------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS................................... $ 62,088,700
---------------
---------------
</TABLE>
<TABLE>
<CAPTION>
STATEMENTS OF CHANGES IN NET ASSETS
YEARS ENDED DECEMBER 31
---------------------------------------
1995 1994
------------------ -------------------
<S> <C> <C>
OPERATIONS:
Net investment income.................................................................. $ 3,291,987 $ 2,229,099
Net realized gain on investments and foreign currency transactions..................... 19,734,447 4,072,054
Net unrealized gain(loss) on investments and foreign currency translations............. 39,062,266 (16,859,455)
------------------ -------------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS........................ 62,088,700 (10,558,302)
------------------ -------------------
DIVIDENDS TO SHAREHOLDERS FROM:
Net investment income.................................................................. (3,370,234) (2,145,214)
Net realized gain from investment transactions......................................... (13,348,694) (4,370,759)
------------------ -------------------
TOTAL DIVIDENDS TO SHAREHOLDERS........................................................ (16,718,928) (6,515,973)
------------------ -------------------
CAPITAL TRANSACTIONS:
Capital stock sold [1,205,152 and 5,475,055 shares, respectively]...................... 19,186,000 85,097,000
Reinvestment of dividend distributions [981,450 and 446,624 shares, respectively]...... 16,718,928 6,515,973
Capital stock repurchased [(948,328) and (393,177) shares, respectively]............... (15,377,000) (6,107,000)
------------------ -------------------
NET INCREASE IN NET ASSETS RESULTING FROM CAPITAL TRANSACTIONS......................... 20,527,928 85,505,973
------------------ -------------------
TOTAL INCREASE IN NET ASSETS............................................................. 65,897,700 68,431,698
NET ASSETS:
Beginning of year...................................................................... 227,273,929 158,842,231
------------------ -------------------
End of year............................................................................ $ 293,171,629 $ 227,273,929
------------------ -------------------
------------------ -------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS ON PAGES C1 THROUGH C13.
A16
<PAGE>
THE PRUDENTIAL SERIES FUND, INC.
INVESTMENT OBJECTIVES
(Schedule of Investments appear on the following pages)
- --------------------------------------------------------------------------------
FIXED INCOME PORTFOLIOS
MONEY MARKET Maximum current income, stability of capital and
maintenance of liquidity through investment in high
quality short-term debt instruments.
BOND A high level of income over the longer term, providing
reasonable safety of capital through investment in readily
marketable intermediate and long-term fixed income
securities.
GOVERNMENT High level of income, over the longer term, through
SECURITIES investment primarily in U.S. Government securities,
including intermediate and long-term Treasury bonds, and
other debt obligations issued by U.S. Government agencies
and instrumentalities.
ZERO COUPON BONDS; Highest predictable compound investment return consistent
MATURITIES OF 1995, with safety of capital, if held to maturity, through
2000, AND 2005 investment primarily in debt obligations of the U.S.
Treasury and investment grade corporations.
- --------------------------------------------------------------------------------
BALANCED PORTFOLIOS
CONSERVATIVELY A favorable total return through investment in a blend of
MANAGED FLEXIBLE money market instruments, fixed income securities and
common stocks managed towards a lower potential risk of
loss than the Aggressively Managed Flexible Portfolio and
correspondingly lower potential for appreciation.
AGGRESSIVELY MANAGED Higher total return through investment in a blend of money
FLEXIBLE market instruments, fixed income securities and common
stocks managed with a higher degree of risk of loss in
order to attain potentially higher results than the
Conservatively Managed Flexible Portfolio.
- --------------------------------------------------------------------------------
HIGH YIELD BOND PORTFOLIOS
HIGH YIELD BONDS Seeks a high total return through investment in a
diversified portfolio of low to medium quality (high
yield) fixed income securities. Such securities have
speculative characteristics, and generally involve greater
risks of loss than higher quality securities.
- --------------------------------------------------------------------------------
DIVERSIFIED STOCK PORTFOLIOS
STOCK INDEX Seeks results that correspond to the price and yield
performance of the broad, publicly-traded stock market by
trying to duplicate the performance of the Standard and
Poor's 500 Composite Stock Price Index.
HIGH DIVIDEND STOCK Seeks both current income and capital appreciation by
investing primarily in stocks and convertible securities
with prospects for income returns above those of the S&P
500 Index or New York Stock Exchange indices.
COMMON STOCK The Portfolio seeks capital appreciation through
investment primarily in stocks and convertible securities
of major, established corporations as well as stocks of
smaller companies. Income from dividends from the
Portfolio's investments will be incidental.
GROWTH STOCK Seeks long-term growth of capital through investment
primarily in common stock of established companies with
above average growth prospects. Dividend income from the
Portfolio's investments will be incidental.
SMALL CAPITALIZATION This Portfolio seeks to achieve long-term growth of
STOCK capital through investment primarily in common stocks of
publicly traded companies with smaller market
capitalization. Dividend income from the Portfolio's
investments will be incidental.
GLOBAL EQUITY Seeks long-term capital growth through investment
primarily in common stock and common stock equivalents of
foreign and domestic corporations.
- --------------------------------------------------------------------------------
SPECIALIZED PORTFOLIOS
NATURAL RESOURCES Seeks long term growth of capital by investing primarily
in stocks and convertible securities of companies that
operate within the natural resources sector of the
economy.
B1
<PAGE>
THE PRUDENTIAL SERIES FUND, INC.
SCHEDULE OF INVESTMENTS
MONEY MARKET PORTFOLIO
DECEMBER 31, 1995
<TABLE>
<CAPTION>
PRINCIPAL
SHORT-TERM INVESTMENTS -- 99.5% AMOUNT VALUE
------------- --------------
<S> <C> <C>
BANK-RELATED INSTRUMENTS -- 12.2%
Bank of Montreal, C.D.,
5.800%, 01/22/96.............................. $ 10,000,000 $ 10,000,000
Banque Nationale De Paris, C.D.,
5.770%, 01/29/96.............................. 5,000,000 4,999,815
5.780%, 01/17/96.............................. 2,000,000 1,999,978
5.800%, 02/02/96.............................. 7,000,000 7,000,000
Bayerische Hypotheken, C.D.,
5.780%, 01/16/96.............................. 4,000,000 3,999,931
5.800%, 01/16/96.............................. 5,000,000 4,999,987
5.820%, 01/16/96.............................. 15,000,000 15,000,058
Commerzbank, C.D.,
7.100%, 02/02/96.............................. 2,000,000 2,000,733
7.320%, 01/24/96.............................. 1,000,000 1,000,397
National Westminster Bank, C.D. PLC,
5.810%, 01/12/96.............................. 12,000,000 12,000,000
Societe Generale, C.D.,
5.800%, 02/01/96.............................. 12,000,000 12,000,000
--------------
75,000,899
--------------
COMMERCIAL PAPER -- 57.7%
American Express Credit Corp.,
5.600%, 02/09/96.............................. 5,000,000 4,970,444
5.650%, 02/09/96.............................. 1,315,000 1,307,157
American Honda Finance Corp.,
5.750%, 01/17/96.............................. 2,000,000 1,995,208
5.800%, 01/30/96-02/15/96..................... 6,000,000 5,960,044
5.850%, 01/22/96.............................. 1,000,000 996,750
Aristar, Inc.,
5.770%, 02/05/96.............................. 1,000,000 994,551
Associates Corp. of North America,
4.500%, 09/30/96, Tranche #TR0076............. 2,000,000 1,981,016
4.750%, 08/01/96.............................. 1,500,000 1,490,086
5.680%, 02/08/96.............................. 10,000,000 9,941,622
5.710%, 02/02/96.............................. 11,610,000 11,552,914
Barnett Banks, Inc.,
5.800%, 01/19/96.............................. 5,000,000 4,986,306
Bradford & Bingley Building Society,
5.520%, 03/05/96.............................. 4,000,000 3,961,360
5.740%, 01/17/96.............................. 2,000,000 1,995,217
Caterpillar Financial Services Corp.,
5.660%, 02/21/96.............................. 2,000,000 1,984,278
5.670%, 02/27/96.............................. 2,000,000 1,982,360
Chase Manhattan Corp.,
5.670%, 02/12/96.............................. 5,000,000 4,967,713
CIT Group Holdings, Inc.,
5.670%, 02/05/96.............................. 4,000,000 3,978,580
5.680%, 02/07/96.............................. 10,000,000 9,943,200
5.780%, 01/25/96.............................. 11,270,000 11,228,382
Countrywide Funding Corp.,
6.100%, 01/04/96-01/08/96..................... 17,585,000 17,570,230
Dean Witter Discover and Company,
5.700%, 02/08/96-02/14/96..................... 7,000,000 6,956,142
Duracell Inc.,
5.950%, 01/02/96.............................. 1,124,000 1,124,000
Finova Capital Corp.,
5.970%, 01/05/96-01/08/96..................... 8,000,000 7,994,030
6.000%, 01/12/96.............................. 5,640,000 5,630,600
First Union Corp.,
5.710%, 02/09/96.............................. 13,000,000 12,921,646
</TABLE>
DECEMBER 31, 1995
<TABLE>
<CAPTION>
PRINCIPAL
SHORT-TERM INVESTMENTS (CONTINUED) AMOUNT VALUE
------------- --------------
<S> <C> <C>
Ford Motor Credit Co.,
5.670%, 02/13/96.............................. $ 1,000,000 $ 993,385
5.680%, 02/08/96.............................. 15,000,000 14,912,433
5.710%, 02/01/96.............................. 2,305,000 2,294,032
Ford Motor Credit Corp.,
5.530%, 03/04/96.............................. 3,000,000 2,971,428
General Electric Capital Corp.,
5.580%, 04/09/96-04/11/96..................... 13,000,000 12,799,430
5.660%, 02/08/96.............................. 10,000,000 9,941,828
General Motors Acceptance Corp.,
5.730%, 02/06/96.............................. 7,919,000 7,874,885
5.750%, 02/09/96-02/20/96..................... 11,500,000 11,412,632
GTE Corp.,
5.950%, 01/30/96.............................. 2,000,000 1,990,744
Hanson Finance, PLC,
5.700%, 01/30/96-02/08/96..................... 15,000,000 14,924,792
Heinz (H.J.) Company,
5.580%, 02/12/96.............................. 7,000,000 6,955,515
Heller Financial, Inc.,
5.900%, 01/11/96.............................. 4,000,000 3,994,100
International Business Machines Credit, Corp.,
5.590%, 03/05/96.............................. 22,000,000 21,784,786
Merrill Lynch & Co. Inc,
5.760%, 01/31/96.............................. 1,000,000 995,360
5.600%, 03/29/96.............................. 2,000,000 1,972,933
5.640%, 02/29/96.............................. 10,000,000 9,909,133
5.720%, 01/31/96.............................. 3,000,000 2,986,177
Mitsubishi International Corp.,
5.600%, 02/27/96.............................. 1,500,000 1,486,933
5.780%, 01/31/96.............................. 1,700,000 1,692,085
%Money Market Auto Loan Trust
1990-1,
6.085%, 01/15/96.............................. 4,120,000 4,120,218
Morgan Stanley Group, Inc.,
5.750%, 01/25/96.............................. 11,000,000 10,959,590
National Westminster Bank, PLC,
5.800%, 01/31/96.............................. 10,000,000 10,000,000
NYNEX Corporation,
5.750%, 02/06/96.............................. 2,850,000 2,834,068
5.800%, 01/19/96.............................. 1,000,000 997,261
5.820%, 01/09/96-01/16/96..................... 5,000,000 4,992,078
PNC Funding Corp.,
5.730%, 02/08/96.............................. 2,000,000 1,988,222
5.710%, 03/01/96.............................. 2,000,000 1,981,284
Preferred Receivables Funding Corp.,
5.500%, 03/07/96.............................. 4,575,000 4,529,568
5.750%, 02/06/96.............................. 3,825,000 3,803,617
Riverwood Funding Corp.,
5.680%, 02/16/96.............................. 1,000,000 992,900
5.700%, 02/06/96.............................. 3,000,000 2,983,375
5.710%, 02/07/96.............................. 1,000,000 994,290
Robins (A.H.) Co., Inc.,
5.800%, 01/26/96.............................. 4,000,000 3,984,533
Sears Roebuck Acceptance Corp.,
5.720%, 02/26/96.............................. 2,000,000 1,982,522
5.700%, 02/06/96.............................. 4,000,000 3,977,833
Smith Barney,
5.740%, 01/30/96.............................. 5,000,000 4,977,678
Sumitomo Corp. of America,
5.900%, 01/22/96.............................. 3,175,000 3,164,593
</TABLE>
B2
<PAGE>
MONEY MARKET PORTFOLIO (CONTINUED)
DECEMBER 31, 1995
<TABLE>
<CAPTION>
PRINCIPAL
SHORT-TERM INVESTMENTS (CONTINUED) AMOUNT VALUE
------------- --------------
<S> <C> <C>
Transamerica Financial Corp.,
5.700%, 02/05/96.............................. $ 1,700,000 $ 1,690,848
WCP Funding, Inc.,
5.750%, 01/24/96.............................. 1,000,000 996,486
Whirlpool Financial Corp.,
5.710%, 03/04/96.............................. 9,000,000 8,911,495
5.800%, 01/29/96-01/30/96..................... 2,000,000 1,991,139
--------------
353,160,045
--------------
TERM NOTES -- 24.6%
American Express Centurion Bank,
%5.938%, 02/16/96, Tranche #TR00088........... 1,000,000 999,975
Associates Corp. of North America,
8.800%, 03/01/96.............................. 3,600,000 3,613,799
Bank of America,
5.79%, 01/16/96, Tranche #TR00034............. 2,000,000 1,999,992
Bank One Indianapolis N.A.,
7.180%, 02/05/96, Tranche #TR00002............ 1,000,000 1,000,365
Bayerische Hypotheken,
6.376%, 04/24/96, Tranche #TR00005............ 3,000,000 2,999,328
Beneficial Corp.,
5.25%, 01/23/96, Tranche #TR00776............. 3,000,000 2,999,532
BP America, Inc.,
10.150%, 03/15/96............................. 1,000,000 1,006,580
CIT Group Holdings, Inc.,
4.750%, 03/15/96.............................. 1,000,000 996,571
8.875%, 06/15/96.............................. 1,800,000 1,822,135
Federal National Mortgage Association,
5.755%, 09/27/96.............................. 10,000,000 10,000,000
First Union National Bank of North Carolina,
5.800%, 01/31/96, Tranche #TR00037............ 8,000,000 8,000,000
Ford Motor Credit Co.,
8.250%, 05/15/96.............................. 2,500,000 2,517,966
8.875%, 03/15/96.............................. 2,000,000 2,008,408
General Electric Capital Corp.,
6.950%, 03/01/96, Tranche #TR00649............ 4,000,000 4,001,974
General Motors Acceptance Corp.,
4.800%, 01/16/96, Tranche #TR00001............ 1,000,000 999,473
8.250%, 08/01/96.............................. 1,500,000 1,518,456
8.800%, 07/03/96, Tranche #TR00612............ 1,000,000 1,012,522
%5.975%, 02/21/96, Tranche #TR00407........... 1,000,000 1,000,146
6.300%, 02/02/96.............................. 2,000,000 2,000,418
8.650%, 05/29/96, Tranche #TR00579............ 5,500,000 5,557,531
Goldman Sachs Group, L.P.,
%5.813%, 01/25/97, Tranche #TR00023........... 2,000,000 2,000,000
%5.813%, 01/25/97, Tranche #TR00017........... 28,000,000 28,000,000
International Lease Finance Corp.,
6.625%, 06/01/96.............................. 1,000,000 1,002,359
International Lease Finance Corp.,
5.400%, 04/01/96, Tranche #TR00139............ 1,000,000 996,648
</TABLE>
DECEMBER 31, 1995
<TABLE>
<CAPTION>
PRINCIPAL
SHORT-TERM INVESTMENTS (CONTINUED) AMOUNT VALUE
------------- --------------
<S> <C> <C>
Merrill Lynch & Co., Inc.,
%5.977%, 10/02/96, Tranche #TR00195........... $ 11,000,000 $ 10,997,604
9.000%, 03/22/96.............................. 1,000,000 1,006,863
Morgan Stanley Group, Inc.,
%6.062%, 01/15/96, Tranche #TR00100........... 4,000,000 4,000,000
%6.070%, 02/14/96, Tranche #TR00102........... 7,000,000 7,000,000
NationsBank of Texas, N.A.,
7.000%, 02/06/96, Tranche #TR00050............ 8,000,000 8,000,146
7.300%, 01/26/96, Tranche #TR00043............ 5,000,000 5,001,365
7.550%, 01/09/96, Tranche #TR00037............ 3,000,000 3,000,456
SMM Trust 1995-Q,
%5.938%, 01/15/96............................. 19,000,000 18,998,189
Student Loan Marketing Association,
%5.700%, 05/14/96............................. 3,000,000 2,998,345
Westdeutsche Landesbank,
6.850%, 03/01/96, Tranche #TR00021............ 3,000,000 3,000,764
--------------
152,057,910
--------------
PROMISSORY NOTES -- 2.0%
75 State Street Capital Corp.,
6.000%, 01/19/96.............................. 5,000,000 4,985,833
Lehman Brothers Holdings, Inc.,
%6.142%, 05/29/96............................. 7,000,000 7,000,000
--------------
11,985,833
--------------
U. S. GOVERNMENT & AGENCY OBLIGATIONS -- 3.0%
Federal Home Loan Bank,
6.050%, 06/13/96.............................. 4,000,000 4,001,050
Federal Home Loan Mortgage Corp.,
5.645%, 08/15/96.............................. 10,000,000 9,984,266
Federal National Mortgage Association,
5.710%, 06/10/96.............................. 4,000,000 3,994,937
--------------
17,980,253
--------------
TOTAL SHORT-TERM INVESTMENTS..................................... 610,184,940
--------------
OTHER ASSETS -- 0.5%
(net of liabilities)........................................... 3,134,700
--------------
TOTAL NET ASSETS -- 100.0%....................................... $ 613,319,640
--------------
--------------
<FN>
The following abbreviations are used in portfolio descriptions:
C.D. Certificates of Deposit
PLC Public Limited Company (British Corporation)
%Indicates a variable rate security.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS ON PAGES C1 THROUGH C13.
B3
<PAGE>
BOND PORTFOLIO
DECEMBER 31, 1995
<TABLE>
<CAPTION>
PAR MARKET
LONG-TERM BONDS -- 95.0% VALUE VALUE
------------- --------------
<S> <C> <C>
FINANCIAL -- 18.7%
Advanta Mortgage Loan Trust, Series 1994-3
8.490%, 01/25/26.............................. $ 8,500,000 $ 8,930,313
Advanta National Bank, C.D.,
6.260%, 09/01/97.............................. 5,000,000 5,045,000
Allmerica Finance,
7.625%, 10/15/25.............................. 4,000,000 4,202,760
Aristar, Inc.,
5.750%, 07/15/98.............................. 2,000,000 2,004,940
7.500%, 07/01/99.............................. 2,000,000 2,105,140
Associates Corp. of North America,
8.375%, 01/15/98.............................. 500,000 526,905
%Baybanks, Inc.,
5.812%, 09/30/97.............................. 5,000,000 4,991,200
Chase Manhattan Corp.,
8.000%, 06/15/99.............................. 2,000,000 2,134,680
Chemical Bank,
6.625%, 08/15/05.............................. 2,000,000 2,046,960
Chrysler Financial Corp.,
9.500%, 12/15/99.............................. 5,000,000 5,619,400
Citicorp, M.T.N.
8.500%, 02/24/97, Tranche #TR00128............ 3,000,000 3,094,650
Enterprise Rent-A-Car USA Finance Co., M.T.N.,
**7.875%, 03/15/98, Tranche #TR00003.......... 5,000,000 5,188,125
**8.750%, 12/15/99, Tranche #TR00001.......... 3,000,000 3,260,700
**Equitable Life Assurance Society,
6.950%, 12/01/05.............................. 8,500,000 8,622,188
Ford Motor Credit Co.,
6.250%, 02/26/98.............................. 3,000,000 3,044,730
6.375%, 10/06/00.............................. 4,000,000 4,072,400
General Motors Acceptance Corp.,
8.400%, 10/15/99.............................. 3,700,000 4,018,570
General Motors Acceptance Corp., M.T.N.,
7.500%, 11/04/97, Tranche #TR00598............ 2,000,000 2,066,320
Los Angeles County, California, MBIA Insured,
Zero Coupon, 06/30/08......................... 15,000,000 6,565,500
Mellon Financial Co.,
6.500%, 12/01/97.............................. 2,000,000 2,032,140
**Nationwide CSN Trust,
9.875%, 02/15/25.............................. 5,000,000 5,782,950
Orion Capital Corp.,
9.125%, 09/01/02.............................. 8,844,000 9,989,740
**Potomac Capital Investment Corp., M.T.N.,
6.190%, 04/28/97, Series B.................... 3,500,000 3,519,688
**Principal Mutual Life Insurance,
7.875%, 03/01/24.............................. 5,000,000 5,101,750
Santander Financial Issuances, Inc.,
7.250%, 11/01/15.............................. 2,500,000 2,560,700
Sears Roebuck Acceptance Corp.,
6.750%, 09/15/05.............................. 10,000,000 10,371,200
Sears Roebuck Acceptance Corp., M.T.N.,
6.340%, 10/12/00, Tranche #TR00038............ 3,000,000 3,047,670
</TABLE>
DECEMBER 31, 1995
<TABLE>
<CAPTION>
PAR MARKET
LONG-TERM BONDS (CONTINUED) VALUE VALUE
------------- --------------
<S> <C> <C>
Union Bank of Finland, Ltd.,
5.250%, 06/15/96.............................. $ 3,000,000 $ 2,987,340
--------------
122,933,658
--------------
FOREIGN -- 12.9%
African Development Bank,
6.875%, 10/15/15.............................. 5,000,000 5,151,350
Australia & New Zealand Banking Group, Ltd.,
6.250%, 02/01/04.............................. 3,000,000 3,000,870
**Banco de Commercio Exterior de Columbia, SA,
M.T.N.,
8.625%, 06/02/00, Tranche #TR00001............ 2,000,000 2,056,000
**Banco Ganadero, SA, M.T.N.,
9.750%, 08/26/99, Tranche #TR00001............ 4,100,000 4,202,500
Banco Nacional de Comercio Exterior,
7.500%, 07/01/00.............................. 5,000,000 4,350,000
Central Puerto and Cent Neuquen, SA,
10.750%, 11/02/97............................. 3,000,000 3,052,500
**Compania Sud Americana de Vapores, SA,
7.375%, 12/08/03.............................. 3,000,000 2,955,000
**Financiera Energetica Nacional, SA, M.T.N.
9.000%, 11/08/99.............................. 1,750,000 1,835,312
Hydro-Quebec,
8.050%, 07/07/24.............................. 5,000,000 5,708,800
Kansallis-Osake Pankki, N.Y.,
**%8.650%, 12/29/49........................... 5,000,000 5,312,500
10.000%, 05/01/02............................. 5,000,000 5,982,200
National Australia Bank, Ltd.,
9.700%, 10/15/98.............................. 1,700,000 1,868,164
Nippon Telegraph & Telephone Corp.,
9.500%, 07/27/98.............................. 1,800,000 1,965,852
Nova Scotia, Province of Canada,
8.875%, 07/01/19.............................. 3,000,000 3,640,800
Ontario, Province of Canada,
15.750%, 03/15/12............................. 3,475,000 4,059,565
**%Petroleos Mexicanos,
6.812%, 03/08/99.............................. 2,500,000 2,212,500
**Petroliam Nasional Berhad,
7.125%, 08/15/05.............................. 5,000,000 5,284,600
Quebec, Province of Canada,
7.125%, 02/09/24.............................. 5,250,000 5,279,557
Republic of Columbia,
7.250%, 02/23/04.............................. 2,500,000 2,398,100
8.750%, 10/06/99.............................. 1,750,000 1,849,960
Republic of South Africa,
9.625%, 12/15/99.............................. 4,750,000 5,123,208
Saskatchewan, Province of Canada,
8.000%, 07/15/04.............................. 4,000,000 4,458,880
)United States of Mexico with Rights,
6.250%, 12/31/19, Series B.................... 4,000,000 2,620,000
--------------
84,368,218
--------------
</TABLE>
B4
<PAGE>
BOND PORTFOLIO (CONTINUED)
DECEMBER 31, 1995
<TABLE>
<CAPTION>
PAR MARKET
LONG-TERM BONDS (CONTINUED) VALUE VALUE
------------- --------------
<S> <C> <C>
INDUSTRIAL -- 40.1%
AMR Corp.,
9.000%, 08/01/12.............................. $ 9,000,000 $ 10,149,930
Arkla, Inc., M.T.N.,
9.320%, 12/18/00, Tranche #TR00043............ 2,000,000 2,180,960
9.380%, 03/15/96, Tranche #TR00018............ 1,300,000 1,306,851
Auburn Hills Trust,
12.000%, 05/01/20............................. 10,000,000 15,737,600
Boise Cascade Corp.,
9.875%, 02/15/01.............................. 1,000,000 1,103,070
Canadian Pacific Forest Products Ltd.,
10.250%, 01/15/03............................. 4,000,000 4,682,960
Columbia Gas Systems, Inc.,
7.620%, 11/28/25.............................. 6,500,000 6,616,935
Columbia/HCA Healthcare Corp.,
6.910%, 06/15/05.............................. 10,000,000 10,447,400
7.050%, 12/01/27.............................. 2,000,000 2,013,140
Comsat Corp.,
8.125%, 04/01/04.............................. 4,000,000 4,470,120
**Continental Cablevision, Inc.,
8.300%, 05/15/06.............................. 3,000,000 3,011,250
Crane Co.,
7.250%, 06/15/99.............................. 3,000,000 3,100,680
Delta Air Lines, Inc.,
9.250%, 03/15/22.............................. 9,000,000 10,631,250
9.875%, 05/15/00.............................. 6,000,000 6,783,960
Delta Air Lines, Inc., M.T.N.,
7.790%, 12/01/98.............................. 1,000,000 1,037,710
8.380%, 06/12/98, Tranche #TR00017............ 2,000,000 2,086,700
Federal Express Corp.,
9.650%, 06/15/12.............................. 3,000,000 3,702,390
Federated Dept Stores,
8.125%, 10/15/02.............................. 8,000,000 8,040,000
10.000%, 02/15/01............................. 3,000,000 3,240,000
Fleming Companies, Inc.,
10.625%, 12/15/01............................. 3,500,000 3,395,000
J.C. Penney Co., Inc.,
9.750%, 06/15/21.............................. 6,400,000 7,731,968
News America Holdings, Inc.,
7.500%, 03/01/00.............................. 6,000,000 6,310,500
Noble Affiliates, Inc.,
7.250%, 10/15/23.............................. 2,000,000 1,967,580
Occidental Petroleum Corp.,
10.125%, 11/15/01............................. 5,000,000 5,979,950
11.125%, 08/01/10............................. 5,000,000 6,896,500
Oryx Energy Co., M.T.N.,
6.050%, 02/01/96, Tranche #TR00013............ 3,000,000 2,999,100
Paramount Communications, Inc.,
7.500%, 01/15/02.............................. 5,000,000 5,184,000
Parker & Parsley Petroleum Co.,
8.250%, 08/15/07.............................. 4,000,000 4,324,880
PT Alatief Freeport Financial Co.,
9.750%, 04/15/01.............................. 5,750,000 6,444,542
RJR Nabisco, Inc.,
6.700%, 06/15/02.............................. 5,000,000 5,084,450
8.750%, 08/15/05.............................. 2,000,000 2,048,620
Rodamco NV,
7.300%, 05/15/05.............................. 5,000,000 5,376,750
</TABLE>
DECEMBER 31, 1995
<TABLE>
<CAPTION>
PAR MARKET
LONG-TERM BONDS (CONTINUED) VALUE VALUE
------------- --------------
<S> <C> <C>
Rogers Cablesystems Ltd.,
10.000%, 03/15/05, Series B................... $ 4,000,000 $ 4,300,000
Royal Caribbean Cruises Ltd.,
11.375%, 05/15/02............................. 5,000,000 5,450,000
TCI Communications, Inc.,
8.650%, 09/15/04.............................. 7,000,000 7,778,190
8.750%, 08/01/15.............................. 12,900,000 14,301,843
Time Warner Entertainment Co., L.P.,
8.375%, 03/15/23.............................. 9,000,000 9,688,590
Time Warner, Inc.,
7.750%, 06/15/05.............................. 5,000,000 5,205,150
Transco Energy Co.,
9.125%, 05/01/98.............................. 3,000,000 3,205,380
9.375%, 08/15/01.............................. 6,000,000 6,884,940
United Air Lines, Inc.,
9.125%, 01/15/12.............................. 7,700,000 8,604,750
11.210%, 05/01/14, Series B................... 4,250,000 5,625,513
USX Corp.,
9.800%, 07/01/01.............................. 4,900,000 5,644,261
Viacom, Inc.,
7.625%, 01/15/16.............................. 2,500,000 2,529,688
7.750%, 06/01/05.............................. 7,550,000 8,017,873
Westinghouse Electric Corp.,
8.375%, 06/15/02.............................. 2,000,000 2,062,800
Westvaco Corp.,
9.750%, 06/15/20.............................. 5,000,000 6,762,400
Whitman Corp.,
7.500%, 08/15/01.............................. 3,000,000 3,201,300
--------------
263,349,424
--------------
U.S. GOVERNMENT & AGENCY OBLIGATIONS -- 21.6%
Federal Farm Credit Bank,
8.650%, 10/01/99, Series A.................... 150,000 165,633
Federal Farm Credit Bank, M.T.N.,
7.900%, 03/01/96.............................. 2,800,000 2,808,988
Federal Home Loan Bank,
9.800%, 03/25/96.............................. 4,000,000 4,040,000
Federal Home Loan Mortgage Corp.,
6.820%, 06/29/05.............................. 10,000,000 10,310,900
Federal National Mortgage Association,
6.550%, 09/12/05.............................. 5,500,000 5,774,120
9.000%, 10/01/16-09/01/21..................... 713,710 759,332
Government National Mortgage Association,
7.500%, 05/20/02-12/15/09..................... 20,469,529 21,158,711
International Bank for Reconstruction and
Development,
12.375%, 10/15/02............................. 750,000 1,022,573
Resolution Funding Corp.,
Zero Coupon, 10/15/15......................... 17,100,000 4,936,086
8.125%, 10/15/19, Principle Only.............. 700,000 861,329
8.625%, 01/15/21.............................. 200,000 260,032
United States Treasury Bonds,
11.250%, 02/15/15............................. 5,000,000 8,003,900
12.000%, 08/15/13............................. 22,000,000 33,897,160
United States Treasury Notes,
5.500%, 02/28/99.............................. 3,000,000 3,020,610
5.875%, 08/15/98-11/15/05..................... 6,500,000 6,612,650
6.500%, 08/15/05.............................. 6,100,000 6,498,391
7.250%, 02/15/98.............................. 5,000,000 5,199,200
7.500%, 02/29/96.............................. 9,300,000 9,333,387
</TABLE>
B5
<PAGE>
BOND PORTFOLIO (CONTINUED)
DECEMBER 31, 1995
<TABLE>
<CAPTION>
PAR MARKET
LONG-TERM BONDS (CONTINUED) VALUE VALUE
------------- --------------
<S> <C> <C>
7.875%, 07/31/96.............................. $ 7,000,000 $ 7,102,830
9.250%, 01/15/96.............................. 10,000,000 10,014,100
--------------
141,779,931
--------------
UTILITIES -- 1.7%
Norsk Hydro A.S.,
7.750%, 06/15/23.............................. 5,000,000 5,588,250
Pennsylvania Power & Light Co.,
9.375%, 07/01/21.............................. 1,150,000 1,350,307
Texas Utilities Electric Co.,
5.875%, 04/01/98.............................. 4,000,000 4,013,840
--------------
10,952,397
--------------
TOTAL LONG-TERM BONDS
(Cost $590,122,688)............................................ 623,383,628
--------------
<CAPTION>
PRINCIPAL
SHORT-TERM INVESTMENTS -- 3.1% AMOUNT VALUE
------------- --------------
<S> <C> <C>
MEDIUM TERM NOTES -- 1.5%
%Salomon, Inc.,
6.725%, 02/14/96.............................. 10,000,000 10,002,000
--------------
REPURCHASE AGREEMENTS -- 1.6%
Joint Repurchase Agreement Account,
5.838%, 01/02/96 (see Note 4)................. 10,188,000 10,188,000
--------------
TOTAL SHORT-TERM INVESTMENTS..................................... 20,190,000
--------------
OTHER ASSETS -- 1.9%
(net of liabilities)........................................... 12,262,798
--------------
TOTAL NET ASSETS -- 100.0%....................................... $ 655,836,426
--------------
--------------
<FN>
The following abbreviations are used in portfolio descriptions:
M.T.N. Medium Term Note
SA Sociedad Anonima (Spanish Corporation) or Societe
Anonyme (French Corporation)
**Indicates a restricted security; the aggregate cost of the restricted
securities is $55,826,086. The aggregate value, $58,345,063 is
approximately 8.9% of net assets. (See Note 2)
%Indicates a variable rate security.
)These rights are indexed to the average price of Mexican crude oil exports
and will pay a rate of return, beginning on June 30, 1996, if certain
economic events occur.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS ON PAGES C1 THROUGH C13.
B6
<PAGE>
GOVERNMENT SECURITIES PORTFOLIO
DECEMBER 31, 1995
<TABLE>
<CAPTION>
PAR MARKET
LONG-TERM BONDS -- 94.7% VALUE VALUE
------------- --------------
<S> <C> <C>
FINANCIAL -- 3.1%
Chase Manhattan Credit Card Trust,
%6.067%, 08/15/01, Series 1995-2.............. $ 12,500,000 $ 12,496,000
Equicon Home Equity Loan Trust, CMO,
7.850%, 03/18/14, Series 1994-2............... 3,000,000 3,106,406
--------------
15,602,406
--------------
U.S. GOVERNMENT & AGENCY OBLIGATIONS -- 91.6%
Federal Home Loan Bank,
6.780%, 07/24/02.............................. 10,000,000 10,239,100
Federal Home Loan Mortgage Corp.,
6.710%, 06/11/02.............................. 5,000,000 5,150,800
6.820%, 06/29/05.............................. 5,000,000 5,155,450
%6.875%, 06/01/25............................. 17,120,560 17,644,877
6.970%, 06/16/05.............................. 15,000,000 15,506,250
Federal National Mortgage Association,
8.500%, 05/01/24-04/01/25..................... 40,501,200 42,273,127
9.000%, 02/01/25-04/01/25..................... 17,931,541 18,884,065
Federal National Mortgage Association
Debentures,
6.550%, 08/10/00.............................. 6,000,000 6,140,640
Government National Mortgage Association,
7.000%, 09/15/22-05/15/24..................... 28,079,102 28,423,397
8.000%, 09/15/23-10/15/25..................... 24,906,302 25,949,136
Main Place Funding,
%5.960%, 07/17/98............................. 10,000,000 10,025,000
Resolution Funding Corp.,
Zero Coupon, 07/15/20......................... 22,500,000 4,745,250
8.125%, 10/15/19, Principle Only Class A...... 4,200,000 5,167,974
Student Loan Market Association,
7.500%, 03/08/00.............................. 12,000,000 12,855,000
United States Treasury Bonds,
7.500%, 11/15/24.............................. 35,000,000 42,071,050
8.125%, 08/15/19.............................. 50,000,000 62,867,000
United States Treasury Notes,
5.000%, 01/31/99.............................. 16,000,000 15,880,000
7.500%, 11/15/01.............................. 15,000,000 16,521,150
7.750%, 12/31/99.............................. 57,000,000 61,854,120
7.875%, 11/15/04.............................. 45,000,000 52,087,500
--------------
459,440,886
--------------
TOTAL LONG-TERM BONDS
(Cost $437,622,665)............................................ 475,043,292
--------------
</TABLE>
DECEMBER 31, 1995
<TABLE>
<CAPTION>
PRINCIPAL
SHORT-TERM INVESTMENTS -- 4.0% AMOUNT VALUE
------------- --------------
<S> <C> <C>
REPURCHASE AGREEMENTS
Joint Repurchase Agreement Account,
5.838%, 01/02/96 (see Note 4)................. $ 19,985,000 $ 19,985,000
--------------
OTHER ASSETS -- 1.3%
(net of liabilities)........................................... 6,747,013
--------------
TOTAL NET ASSETS -- 100.0%....................................... $ 501,775,305
--------------
--------------
<FN>
The following abbreviations are used in portfolio descriptions:
CMO Collateralized Mortgage Obligations
%Indicates a variable rate security.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS ON PAGES C1 THROUGH C13.
B7
<PAGE>
ZERO COUPON BOND 2000 PORTFOLIO
DECEMBER 31, 1995
<TABLE>
<CAPTION>
PAR MARKET
LONG-TERM BONDS -- 98.9% VALUE VALUE
------------- --------------
<S> <C> <C>
U.S. GOVERNMENT & AGENCY OBLIGATIONS
United States Treasury Bonds, Stripped,
Zero Coupon, 02/15/00-02/15/02................ $ 33,250,000 $ 24,979,653
--------------
24,979,653
--------------
TOTAL LONG-TERM BONDS
(Cost $21,856,986)............................................. 24,979,653
--------------
<CAPTION>
PRINCIPAL
SHORT-TERM INVESTMENTS -- 1.2% AMOUNT VALUE
------------- --------------
<S> <C> <C>
REPURCHASE AGREEMENTS
Joint Repurchase Agreement Account,
5.838%, 01/02/96 (see Note 4)................. 308,000 308,000
--------------
LIABILITIES -- (0.1%)
(net of other assets).......................................... (28,834)
--------------
TOTAL NET ASSETS -- 100.0%....................................... $ 25,258,819
--------------
--------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS ON PAGES C1 THROUGH C13.
B8
<PAGE>
ZERO COUPON BOND 2005 PORTFOLIO
DECEMBER 31, 1995
<TABLE>
<CAPTION>
PAR MARKET
LONG-TERM BONDS -- 95.8% VALUE VALUE
------------- --------------
<S> <C> <C>
U.S. GOVERNMENT & AGENCY OBLIGATIONS
Financing Corp. Coupon Strips,
Zero Coupon, 03/07/04......................... $ 3,350,000 $ 2,079,278
Resolution Funding Corp., Stripped,
Zero Coupon, 07/15/07......................... 10,000,000 5,050,700
United States Treasury Bonds, Stripped, Interest
Only,
Zero Coupon, 11/15/05-05/15/06................ 18,000,000 10,060,130
United States Treasury Bonds, Stripped,
Principal Only,
Zero Coupon, 11/15/04......................... 9,000,000 5,465,070
--------------
TOTAL LONG-TERM BONDS
(Cost $19,001,260)............................................. 22,655,178
--------------
<CAPTION>
PRINCIPAL
SHORT-TERM INVESTMENTS -- 4.0% AMOUNT VALUE
------------- --------------
<S> <C> <C>
REPURCHASE AGREEMENTS
Joint Repurchase Agreement Account,
5.838%, 01/02/96 (see Note 4)................. 933,000 933,000
--------------
OTHER ASSETS -- 0.2%
(net of liabilities)........................................... 58,941
--------------
TOTAL NET ASSETS -- 100.0%....................................... $ 23,647,119
--------------
--------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS ON PAGES C1 THROUGH C13.
B9
<PAGE>
CONSERVATIVELY MANAGED FLEXIBLE PORTFOLIO
DECEMBER 31, 1995
<TABLE>
<CAPTION>
MARKET
COMMON STOCKS -- 39.6% SHARES VALUE
------------- --------------
<S> <C> <C>
AEROSPACE -- 0.8%
+Coltec Industries, Inc......................... 311,000 $ 3,615,375
GenCorp, Inc.................................... 676,800 8,290,800
Loral Corp...................................... 77,800 2,752,175
Rockwell International Corp..................... 253,100 13,382,661
+UNC, Inc....................................... 289,100 1,734,600
--------------
29,775,611
--------------
AIRLINES -- 0.3%
+AMR Corp....................................... 100,000 7,425,000
+USAir Group, Inc............................... 335,000 4,438,750
--------------
11,863,750
--------------
AUTOS - CARS & TRUCKS -- 3.1%
A.O. Smith Corp................................. 466,800 9,686,100
Chrysler Corp................................... 500,000 27,687,500
Ford Motor Co................................... 318,300 9,230,700
General Motors Corp............................. 500,000 26,437,500
General Motors Corp. (Class 'E' Stock).......... 243,900 12,682,800
General Motors Corp. (Class 'H' Stock).......... 465,900 22,887,337
Titan Wheel International, Inc.................. 748,350 12,160,686
--------------
120,772,623
--------------
BANKS AND SAVINGS & LOANS -- 1.8%
First Bank System, Inc.......................... 366,600 18,192,525
First Interstate Bancorp........................ 120,000 16,380,000
KeyCorp......................................... 502,800 18,226,500
Norwest Corp.................................... 570,400 18,823,200
--------------
71,622,225
--------------
CHEMICALS -- 1.2%
+FMC Corp....................................... 110,800 7,492,850
Imperial Chemical Industries, PLC, ADR.......... 371,300 17,358,275
OM Group, Inc................................... 308,400 10,215,750
W.R. Grace & Co................................. 218,800 12,936,550
--------------
48,003,425
--------------
CHEMICALS - SPECIALTY -- 0.7%
Ferro Corp...................................... 655,200 15,233,400
M.A. Hanna Co................................... 489,700 13,711,600
--------------
28,945,000
--------------
COMPUTER SERVICES -- 0.9%
+Amdahl Corp.................................... 900,000 7,650,000
National Data Corp.............................. 620,100 15,347,475
+Paxar Corp..................................... 1,022,928 13,553,794
--------------
36,551,269
--------------
CONSTRUCTION -- 0.2%
+J. Ray McDermott, SA........................... 500,000 8,937,500
--------------
CONTAINERS -- 0.2%
+Sealed Air Corp................................ 290,400 8,167,500
--------------
DIVERSIFIED GAS -- 0.6%
+Basin Exploration, Inc......................... 148,000 730,750
Sonat Offshore Drilling, Inc.................... 228,100 10,207,475
Tidewater, Inc.................................. 73,600 2,318,400
Weatherford Enterra, Inc........................ 321,353 9,279,066
Western Gas Resources, Inc...................... 162,100 2,613,863
--------------
25,149,554
--------------
DRUGS AND HOSPITAL SUPPLIES -- 0.2%
United States Surgical Corp..................... 365,500 7,812,563
--------------
</TABLE>
DECEMBER 31, 1995
<TABLE>
<CAPTION>
MARKET
COMMON STOCKS (CONTINUED) SHARES VALUE
------------- --------------
<S> <C> <C>
ELECTRICAL EQUIPMENT -- 0.5%
+Anixter International, Inc..................... 337,400 $ 6,284,075
Belden, Inc..................................... 524,300 13,500,725
--------------
19,784,800
--------------
ELECTRONICS -- 0.7%
+ADT Ltd........................................ 620,000 9,300,000
+Digital Equipment Corp......................... 200,000 12,825,000
+IMO Industries, Inc............................ 596,900 4,103,686
--------------
26,228,686
--------------
FINANCIAL SERVICES -- 2.2%
American Express Co............................. 319,000 13,198,625
Dean Witter Discover and Company................ 736,500 34,615,500
Lehman Brothers Holdings, Inc................... 400,000 8,500,000
Reinsurance Group of America, Inc............... 487,800 17,865,675
Salomon, Inc.................................... 300,000 10,650,000
--------------
84,829,800
--------------
FOODS -- 0.4%
Philip Morris Companies, Inc.................... 188,000 17,014,000
--------------
FOREST PRODUCTS -- 0.9%
Louisiana-Pacific Corp.......................... 700,000 16,975,000
Mead Corp....................................... 350,800 18,329,300
--------------
35,304,300
--------------
FURNITURE -- 0.2%
Leggett & Platt, Inc............................ 380,200 9,219,850
--------------
GAS PIPELINES -- 0.6%
Enron Oil & Gas Co.............................. 332,700 7,984,800
+Global Marine, Inc............................. 615,800 5,388,250
+Seagull Energy Corp............................ 387,200 8,615,200
--------------
21,988,250
--------------
HOSPITAL MANAGEMENT -- 0.6%
Columbia/HCA Healthcare Corp.................... 161,816 8,212,160
+Tenet Healthcare Corp.......................... 825,000 17,118,750
--------------
25,330,910
--------------
HOUSING RELATED -- 0.9%
+Giant Cement Holdings, Inc..................... 415,200 4,774,800
+Owens-Corning Fiberglas Corp................... 662,800 29,743,150
--------------
34,517,950
--------------
INSURANCE -- 2.9%
Allstate Corp................................... 129,599 5,329,758
Equitable of Iowa Companies..................... 372,700 11,972,987
Financial Security Assurance Holdings, Ltd...... 226,200 5,626,725
National Re Corp................................ 207,600 7,888,800
PennCorp Financial Group, Inc................... 638,400 18,753,000
Provident Companies, Inc........................ 177,200 6,002,650
TIG Holdings, Inc............................... 588,300 16,766,550
Trenwick Group, Inc............................. 276,200 15,536,250
W.R. Berkley Corp............................... 192,800 10,363,000
Western National Corp........................... 900,000 14,512,500
--------------
112,752,220
--------------
MACHINERY -- 1.2%
Case Corp....................................... 642,800 29,408,100
DT Industries, Inc.............................. 234,500 3,165,750
+Global Industrial Technologies, Inc............ 390,700 7,374,463
Parker-Hannifin Corp............................ 204,750 7,012,688
--------------
46,961,001
--------------
</TABLE>
B10
<PAGE>
CONSERVATIVELY MANAGED FLEXIBLE PORTFOLIO (CONTINUED)
DECEMBER 31, 1995
<TABLE>
<CAPTION>
MARKET
COMMON STOCKS (CONTINUED) SHARES VALUE
------------- --------------
<S> <C> <C>
MEDIA -- 2.3%
Central Newspapers, Inc. (Class 'A' Stock)...... 331,700 $ 10,407,088
Comcast Corp. (Class 'A' Stock)................. 362,500 6,389,063
Comcast Corp. (Special Class 'A' Stock)......... 9,600 174,600
+Cox Communications, Inc. (Class 'A' Stock)..... 246,115 4,799,243
Gannett Co., Inc................................ 200,000 12,275,000
Hollinger International, Inc.................... 161,400 1,694,700
Knight-Ridder, Inc.............................. 200,000 12,500,000
Lee Enterprises, Inc............................ 337,400 7,760,200
McGraw-Hill, Inc................................ 96,200 8,381,425
Media General, Inc. (Class 'A' Stock)........... 123,600 3,754,350
+Tele-Communications, Inc. (Series 'A' Stock)... 606,200 12,048,225
Times Mirror Co. (Class 'A' Stock).............. 280,276 9,494,350
--------------
89,678,244
--------------
MISCELLANEOUS - BASIC INDUSTRY -- 3.6%
BW/IP, Inc. (Class 'A' Stock)................... 379,200 6,256,800
Danaher Corp.................................... 455,600 14,465,300
Donaldson Company, Inc.......................... 400,400 10,060,050
+IDEX Corp...................................... 285,600 11,638,200
+Jan Bell Marketing, Inc........................ 1,000,000 2,500,000
+Litton Industries, Inc......................... 259,700 11,556,650
Mark IV Industries, Inc......................... 572,565 11,308,158
Mascotech, Inc.................................. 650,000 7,068,750
Pentair, Inc.................................... 472,950 23,529,263
+SPS Transaction Services, Inc.................. 192,800 5,711,700
Textron, Inc.................................... 96,400 6,507,000
Trinity Industries, Inc......................... 385,500 12,143,250
+Wolverine Tube, Inc............................ 279,500 10,481,250
York International Corp......................... 199,000 9,353,000
--------------
142,579,371
--------------
MISCELLANEOUS - CONSUMER GROWTH/STABLE -- 1.3%
Eastman Kodak Co................................ 372,300 24,944,100
Houghton Mifflin Co............................. 132,600 5,701,800
Whitman Corp.................................... 913,400 21,236,550
--------------
51,882,450
--------------
PETROLEUM -- 1.0%
Amerada Hess Corp............................... 100,000 5,300,000
Cabot Oil & Gas Corp. (Class 'A' Stock)......... 594,400 8,693,100
Elf Aquitaine, ADR.............................. 530,100 19,481,175
Parker & Parsley Petroleum Co................... 257,800 5,671,600
--------------
39,145,875
--------------
PETROLEUM SERVICES -- 2.5%
Baker Hughes, Inc............................... 300,000 7,312,500
Coflexip, ADR................................... 500,000 9,437,500
+ENSCO International, Inc....................... 600,000 12,450,000
+Hornbeck Offshore Services, Inc................ 208,000 4,082,000
ICO, Inc........................................ 500,000 2,437,500
+Marine Drilling Co., Inc....................... 1,000,000 5,125,000
+Mesa, Inc...................................... 1,008,400 3,781,500
Murphy Oil Corp................................. 190,800 7,918,200
Noble Affiliates, Inc........................... 200,000 5,975,000
+Noble Drilling Corp............................ 800,000 7,200,000
+Oryx Energy Co................................. 849,400 11,360,725
</TABLE>
DECEMBER 31, 1995
<TABLE>
<CAPTION>
MARKET
COMMON STOCKS (CONTINUED) SHARES VALUE
------------- --------------
<S> <C> <C>
+Pride Petroleum Services, Inc.................. 360,100 $ 3,826,063
+Rowan Companies, Inc........................... 269,400 2,660,325
+Western Atlas, Inc............................. 300,000 15,150,000
--------------
98,716,313
--------------
RAILROADS -- 0.9%
Burlington Northern, Inc........................ 259,000 20,202,000
Illinois Central Corp........................... 440,000 16,885,000
--------------
37,087,000
--------------
REAL ESTATE DEVELOPMENT -- 0.5%
Zeneca Group, PLC, ADR.......................... 357,400 20,863,225
--------------
RETAIL -- 1.7%
+Best Products Company, Inc..................... 1,094,500 5,198,875
+Burlington Coat Factory Warehouse.............. 244,600 2,507,150
Charming Shoppes, Inc........................... 2,000,000 5,750,000
Dillard Department Stores, Inc. (Class 'A'
Stock)........................................ 500,000 14,250,000
+Filene's Basement Corp......................... 160,000 370,000
K mart Corp..................................... 1,058,700 7,675,575
Rite Aid Corp................................... 6,000 205,500
Sears, Roebuck & Co............................. 139,800 5,452,200
TJX Companies, Inc.............................. 914,900 17,268,738
Woolworth Corp.................................. 600,000 7,800,000
--------------
66,478,038
--------------
RUBBER -- 0.3%
Goodyear Tire & Rubber Co....................... 269,800 12,242,175
--------------
STEEL -- 1.6%
+Bethlehem Steel Corp........................... 1,000,000 14,000,000
+LTV Corp....................................... 1,500,000 20,625,000
+Material Sciences Corp......................... 675,000 10,040,625
+National Steel Corp. (Class 'B' Stock)......... 300,000 3,862,500
USX-U.S. Steel Group............................ 450,000 13,837,500
--------------
62,365,625
--------------
TELECOMMUNICATIONS -- 1.2%
+Airtouch Communications, Inc................... 385,500 10,890,375
Century Telephone Enterprises, Inc.............. 337,300 10,709,275
Frontier Corp................................... 297,700 8,931,000
MCI Communications Corp......................... 331,100 8,649,988
+Nextel Communications, Inc. (Class 'A'
Stock)........................................ 495,400 7,307,150
--------------
46,487,788
--------------
TEXTILES -- 1.2%
+Farah, Inc..................................... 258,500 1,227,874
+Fieldcrest Cannon, Inc......................... 460,000 7,647,500
+Fruit of the Loom, Inc. (Class 'A' Stock)...... 500,000 12,187,500
+Owens-Illinois, Inc............................ 552,700 8,014,150
Phillips-Van Heusen Corp........................ 600,000 5,925,000
+Tultex Corp.................................... 579,000 2,388,375
V.F. Corp....................................... 154,600 8,155,149
--------------
45,545,549
--------------
TOBACCO -- 0.4%
RJR Nabisco Holdings Corp....................... 500,000 15,437,500
--------------
TOTAL COMMON STOCKS
(Cost $1,308,436,835).......................................... 1,560,041,940
--------------
</TABLE>
B11
<PAGE>
CONSERVATIVELY MANAGED FLEXIBLE PORTFOLIO (CONTINUED)
DECEMBER 31, 1995
<TABLE>
<CAPTION>
MARKET
PREFERRED STOCKS -- 0.1% SHARES VALUE
------------- --------------
<S> <C> <C>
MEDIA
Times Mirror Co. (Cum. Conv.), Series B......... 119,724 $ 3,090,376
--------------
(Cost $2,725,059)
<CAPTION>
PAR MARKET
LONG-TERM BONDS -- 33.2% VALUE VALUE
------------- --------------
<S> <C> <C>
FINANCIAL -- 10.0%
Advanta Corp Mid,
8.180%, 02/09/97, Tranche #TR00028............ $ 10,000,000 $ 10,271,700
Advanta Corp.,
5.125%, 11/15/96.............................. 12,535,000 12,464,303
Allmerica Finance,
7.625%, 10/15/25.............................. 7,200,000 7,564,968
Associates Corp. of North America,
8.375%, 01/15/98.............................. 1,100,000 1,159,191
Banc One Credit Card Master Trust, Series 94-B
7.750%, 12/15/99.............................. 5,100,000 5,292,831
Capital One Bank, M.T.N.,
6.660%, 08/17/98, Tranche #TR00055............ 10,050,000 10,237,734
6.740%, 05/31/99, Tranche #TR00038............ 22,250,000 22,756,410
8.125%, 02/27/98, Tranche #TR00032............ 6,500,000 6,788,860
Chrysler Financial Corp., M.T.N.,
5.390%, 08/27/96, Tranche #TR00041............ 7,300,000 7,287,079
CIGNA Mortgage Securities, Inc.,
Series 88-1
9.400%, 01/15/02.............................. 2,285,774 2,319,878
Discover Card Trust, Series 1991-C, Class B
7.875%, 04/16/98.............................. 10,000,000 10,050,000
**Equitable Life Assurance Society,
6.950%, 12/01/05.............................. 25,000,000 25,359,375
Federal Express Corp., M.T.N.,
10.010%, 06/01/98, Tranche #TR00067........... 3,000,000 3,255,300
10.050%, 06/15/99, Tranche #TR00068........... 500,000 557,650
First Union Corp.,
9.450%, 06/15/99.............................. 4,000,000 4,450,800
Ford Motor Credit Co.,
6.375%, 10/06/00.............................. 26,500,000 26,979,650
Ford Motor Credit, Co., M.T.N.,
6.137%, 10/04/99.............................. 23,750,000 23,808,188
6.850%, 08/15/00.............................. 8,500,000 8,823,255
General Motors Acceptance Corp.,
8.250%, 08/01/96.............................. 5,000,000 5,066,300
General Motors Acceptance Corp., M.T.N.,
6.300%, 09/10/97, Tranche #TR00532............ 5,000,000 5,058,300
6.700%, 04/30/97, Tranche #TR00319............ 11,000,000 11,158,840
7.375%, 07/20/98, Tranche #TR00667............ 4,650,000 4,837,070
7.850%, 03/05/97, Tranche #TR00187............ 3,300,000 3,384,744
</TABLE>
DECEMBER 31, 1995
<TABLE>
<CAPTION>
PAR MARKET
LONG-TERM BONDS (CONTINUED) VALUE VALUE
------------- --------------
<S> <C> <C>
%Marine Midland Bank N.A.,
5.812%, 09/27/96.............................. $ 6,500,000 $ 6,487,000
Mellon Financial Co.,
6.500%, 12/01/97.............................. 1,650,000 1,676,516
Okobank,
**%7.387%, 10/29/49........................... 3,500,000 3,539,375
%7.387%, 10/29/49............................. 9,000,000 9,101,250
%7.375%, 09/27/49............................. 18,750,000 19,341,563
Salomon Inc., M.T.N.,
5.440%, 01/13/97, Tranche #TR00641............ 5,000,000 4,972,000
5.470%, 08/29/97, Tranche #SR00492............ 10,500,000 10,446,660
5.320%, 09/16/96, Tranche #TR00572............ 10,400,000 10,347,168
5.470%, 09/22/97, Tranche #SR00504............ 12,525,000 12,377,706
Santander Financial Issuances, Inc.,
7.250%, 11/01/15.............................. 14,500,000 14,852,060
Sears Roebuck Acceptance Corp.,
6.750%, 09/15/05.............................. 35,050,000 36,351,056
Sears Roebuck Acceptance Corp., M.T.N.,
6.340%, 10/12/00, Tranche #TR00038............ 11,000,000 11,174,790
Standard Credit Card Master Trust,
5.950%, 03/07/96.............................. 4,650,000 4,612,196
Union Bank of Finland, Ltd.,
5.250%, 06/15/96.............................. 16,650,000 16,579,737
Westinghouse Credit Corp., M.T.N.,
8.750%, 06/03/96, Tranche #TR00248............ 2,600,000 2,616,276
--------------
383,407,779
--------------
FOREIGN -- 6.0%
**Banco de Commercio Exterior, SA, M.T.N.,
8.625%, 06/02/00, Tranche #TR00001............ 5,500,000 5,654,000
**Banco Ganadero, SA, M.T.N.,
9.750%, 08/26/99, Tranche #TR00001............ 7,300,000 7,482,500
**Cemex, SA, M.T.N.,
9.500%, 09/20/01, Tranche #TR00010............ 12,500,000 11,375,000
**Compania Sud Americana de Vapores, SA,
7.375%, 12/08/03.............................. 7,600,000 7,486,000
Controladora Commercial Mexicana, SA,
8.750%, 04/21/98.............................. 5,190,000 4,567,200
Empresa Columbia de Petroleos,
7.250%, 07/08/98.............................. 8,250,000 8,208,750
Financiera Energetica Nacional,
6.625%, 12/13/96.............................. 5,000,000 5,000,000
Financiera Energetica Nacional, SA, M.T.N.,
9.000%, 11/08/99.............................. 2,000,000 2,097,500
**9.000%, 11/08/99............................ 5,375,000 5,637,031
Fomento Economico Mexicano, SA,
9.500%, 07/22/97.............................. 5,150,000 5,104,938
**Grupo Condumex, SA, M.T.N.,
6.250%, 07/27/96.............................. 4,300,000 4,165,625
**Grupo Embotellador Mexicana,
10.750%, 11/19/97............................. 8,015,000 7,994,963
</TABLE>
B12
<PAGE>
CONSERVATIVELY MANAGED FLEXIBLE PORTFOLIO (CONTINUED)
DECEMBER 31, 1995
<TABLE>
<CAPTION>
PAR MARKET
LONG-TERM BONDS (CONTINUED) VALUE VALUE
------------- --------------
<S> <C> <C>
Grupo Televisa, SA,
10.000%, 11/09/97............................. $ 7,250,000 $ 7,105,000
Hydro-Quebec,
8.050%, 07/07/24.............................. 22,100,000 25,232,896
Kansallis-Osake Pankki, N.Y.,
**%8.650%, 12/29/49........................... 10,000,000 10,625,000
9.750%, 12/15/98.............................. 16,950,000 18,736,022
Kansallis-Osake Pankki, N.Y., C.D.,
6.125%, 05/15/98.............................. 6,160,000 6,227,375
Quebec, Province of Canada,
7.500%, 07/15/02.............................. 8,625,000 9,157,766
Republic of Columbia,
7.125%, 05/11/98.............................. 2,775,000 2,795,813
7.250%, 02/23/04.............................. 5,400,000 5,179,896
8.750%, 10/06/99.............................. 4,950,000 5,232,744
Republic of Italy,
6.875%, 09/27/23.............................. 15,000,000 14,648,250
Republic of South Africa,
9.625%, 12/15/99.............................. 22,221,000 23,966,904
**Telekom Malaysia,
7.875%, 08/01/25.............................. 22,000,000 24,159,520
United Mexican States,
5.820%, 06/28/01.............................. 1,375,000 990,000
6.970%, 08/12/00.............................. 2,300,000 1,840,000
8.500%, 09/15/02.............................. 6,850,000 5,959,500
--------------
236,630,193
--------------
INDUSTRIAL -- 13.0%
AMR Corp.,
10.000%, 04/15/21............................. 5,000,000 6,213,250
9.000%, 08/01/12.............................. 10,000,000 11,277,700
9.800%, 10/01/21.............................. 5,000,000 5,944,000
9.880%, 06/15/20.............................. 9,565,000 11,501,913
Arkla, Inc., M.T.N.,
9.250%, 12/18/97, Tranche #TR00027............ 3,000,000 3,151,590
Auburn Hills Trust,
12.000%, 05/01/20............................. 28,670,000 45,119,699
Coca-Cola Enterprises, Inc.,
6.500%, 11/15/97.............................. 3,750,000 3,808,875
Columbia Gas Systems, Inc.,
7.620%, 11/28/25.............................. 6,500,000 6,616,935
Columbia/HCA Healthcare Corp.,
7.050%, 12/01/27.............................. 32,200,000 32,411,554
7.580%, 09/15/25, M.T.N., Tranche #TR00015.... 16,000,000 17,157,120
Delta Air Lines, Inc.,
9.750%, 05/15/21.............................. 5,000,000 6,168,650
Federated Dept Stores,
8.125%, 10/15/02.............................. 10,500,000 10,552,500
Hanson Overseas Corp.,
5.500%, 01/15/96.............................. 2,000,000 1,999,840
Nabisco, Inc.,
6.850%, 06/15/05.............................. 20,000,000 20,312,000
News America Holdings, Inc.,
7.750%, 12/01/45.............................. 51,000,000 51,659,940
9.125%, 10/15/99.............................. 15,000,000 16,580,700
PT Alatief Freeport Financial Co.,
9.750%, 04/15/01.............................. 8,950,000 10,031,070
RJR Nabisco, Inc.,
8.750%, 08/15/05.............................. 4,000,000 4,097,240
Sears, Roebuck & Co., M.T.N.,
9.420%, 04/01/96.............................. 1,000,000 1,014,375
Sears, Roebuck Acceptance Corp.,
9.000%, 09/15/96.............................. 2,000,000 2,043,760
</TABLE>
DECEMBER 31, 1995
<TABLE>
<CAPTION>
PAR MARKET
LONG-TERM BONDS (CONTINUED) VALUE VALUE
------------- --------------
<S> <C> <C>
Service Corp. International,
7.000%, 06/01/15.............................. $ 2,500,000 $ 2,785,575
TCI Communications, Inc.,
8.750%, 08/01/15.............................. 27,175,000 30,128,107
Tele-Communications, Inc.,
7.875%, 08/01/13.............................. 5,250,000 5,399,678
9.250%, 04/15/02.............................. 5,000,000 5,680,900
9.800%, 02/01/12.............................. 18,000,000 21,585,060
Time Warner Entertainment Co., L.P.,
8.375%, 03/15/23-07/15/33..................... 33,740,000 36,131,467
9.625%, 05/01/02.............................. 14,140,000 16,379,352
Time Warner, Inc.,
7.750%, 06/15/05.............................. 10,000,000 10,410,300
United Air Lines, Inc.,
9.750%, 08/15/21.............................. 15,000,000 17,993,550
10.670%, 05/01/04............................. 21,750,000 26,236,590
11.210%, 05/01/14............................. 2,500,000 3,309,125
Viacom, Inc.,
7.625%, 01/15/16.............................. 16,000,000 16,190,000
7.750%, 06/01/05.............................. 45,175,000 47,974,494
Westinghouse Electric Corp., M.T.N.,
8.700%, 06/20/96, Tranche #TR00029............ 2,950,000 2,970,680
--------------
510,837,589
--------------
U.S. GOVERNMENT & AGENCY OBLIGATIONS -- 4.2%
Federal National Mortgage Association,
9.050%, 04/10/00.............................. 14,000,000 15,837,500
United States Treasury Bonds,
7.625%, 02/15/25.............................. 200,000 244,562
12.000%, 08/15/13............................. 5,400,000 8,320,212
United States Treasury Notes,
6.125%, 07/31/00.............................. 3,350,000 3,448,390
6.500%, 04/30/97.............................. 61,000,000 61,981,490
5.875%, 08/15/98-11/15/05..................... 32,200,000 32,850,580
6.125%, 09/30/00.............................. 13,500,000 13,905,000
6.375%, 08/15/02.............................. 26,500,000 27,787,635
6.500%, 05/15/05.............................. 2,900,000 3,085,339
--------------
167,460,708
--------------
TOTAL LONG-TERM BONDS
(Cost $1,260,456,592).......................................... 1,298,336,269
--------------
<CAPTION>
PRINCIPAL
SHORT-TERM INVESTMENTS -- 26.4% AMOUNT VALUE
------------- --------------
<S> <C> <C>
BANK-RELATED INSTRUMENTS -- 3.4%
Abbey National Treasury Services, C.D. PLC,
5.850%, 01/03/96.............................. 48,000,000 48,000,012
Advanta National Bank, C.D.
6.260%, 09/01/97.............................. 10,500,000 10,594,500
Bayerische Hypotheken, C.D.,
5.800%, 01/16/96.............................. 12,000,000 11,999,970
5.830%, 01/16/96.............................. 23,000,000 23,000,176
Berliner Handels, C.D.,
5.830%, 01/16/96.............................. 12,000,000 12,000,046
National Westminister Bank, C.D. PLC,
5.810%, 01/12/96.............................. 36,000,000 36,000,000
Societe Generale Bank, C.D.,
7.650%, 01/08/96.............................. 3,000,000 3,000,472
--------------
144,595,176
--------------
</TABLE>
B13
<PAGE>
CONSERVATIVELY MANAGED FLEXIBLE PORTFOLIO (CONTINUED)
DECEMBER 31, 1995
<TABLE>
<CAPTION>
PRINCIPAL
SHORT-TERM INVESTMENTS (CONTINUED) AMOUNT VALUE
------------- --------------
<S> <C> <C>
COMMERCIAL PAPER -- 16.1%
American Express Credit Corp.,
5.590%, 03/15/96.............................. $ 14,000,000 $ 13,841,306
American Home Products Corp.,
5.680%, 03/07/96.............................. 13,000,000 12,866,678
American Honda Finance Corp.,
5.750%, 02/08/96.............................. 6,000,000 5,964,542
5.850%, 01/12/96-01/22/96..................... 9,000,000 8,978,875
Aristar Inc.,
5.800%, 02/02/96.............................. 2,000,000 1,990,011
Asset Securitization Cooperative Corp.,
5.660%, 02/20/96.............................. 28,000,000 27,784,291
Associates Corp. of North America,
5.680%, 02/08/96-02/12/96..................... 43,300,000 43,026,208
Banque Nationale De Paris,
5.780%, 01/22/96.............................. 11,000,000 10,999,845
Bradford & Bingley Building Society,
5.680%, 02/06/96.............................. 22,000,000 21,878,511
Caterpillar Financial Services Corp.,
5.660%, 02/21/96.............................. 3,000,000 2,976,417
5.670%, 02/27/96.............................. 3,000,000 2,973,540
Chase Manhattan Corp.,
5.670%, 02/12/96.............................. 8,000,000 7,948,340
CIT Group Holdings, Inc.,
5.670%, 02/05/96.............................. 8,000,000 7,957,160
5.680%, 02/07/96.............................. 17,000,000 16,903,440
5.780%, 01/25/96.............................. 16,981,000 16,918,293
Cogentrix of Richmond, Inc.,
5.950%, 01/24/96.............................. 18,457,000 18,389,888
Corporate Receivables Corp.,
5.750%, 01/16/96-01/18/96..................... 8,000,000 7,980,514
Countrywide Funding Corp.,
5.830%, 01/16/96.............................. 2,000,000 1,995,466
5.840%, 01/18/96.............................. 8,000,000 7,979,236
5.870%, 01/22/96.............................. 3,000,000 2,990,217
6.000%, 01/22/96.............................. 8,000,000 7,973,333
Dean Witter Discover and Company,
5.700%, 02/14/96.............................. 4,000,000 3,972,767
Finova Capital Corp.,
5.970%, 01/05/96-01/25/96..................... 19,360,000 19,324,797
First Union Corp.,
5.710%, 02/09/96.............................. 15,000,000 14,909,592
Fleet Mortgage Group, Inc.,
5.800%, 01/16/96.............................. 6,000,000 5,986,467
Ford Motor Credit Co.,
5.530%, 03/04/96.............................. 20,800,000 20,601,903
6.070%, 01/05/96.............................. 14,300,000 14,292,767
General Electric Capital Corp.,
5.580%, 04/08/96-04/09/96..................... 10,000,000 9,848,565
5.660%, 02/08/96.............................. 36,000,000 35,790,580
General Motors Acceptance Corp.,
5.650%, 02/09/96.............................. 4,261,000 4,235,588
5.750%, 02/20/96.............................. 9,000,000 8,929,563
5.800%, 02/09/96.............................. 20,000,000 19,877,556
Goldman Sachs Group L.P,
6.050%, 01/11/96-01/12/96..................... 22,000,000 21,964,540
GTE Corp.,
5.870%, 01/19/96.............................. 4,000,000 3,988,912
5.950%, 01/29/96.............................. 4,544,000 4,523,722
5.970%, 01/30/96-01/31/96..................... 7,491,000 7,455,719
Hanson Finance, PLC,
5.650%, 02/29/96.............................. 8,000,000 7,927,178
5.700%, 01/26/96-02/08/96..................... 19,389,000 19,296,480
</TABLE>
DECEMBER 31, 1995
<TABLE>
<CAPTION>
PRINCIPAL
SHORT-TERM INVESTMENTS (CONTINUED) AMOUNT VALUE
------------- --------------
<S> <C> <C>
McKenna Triangle National Corp.,
5.750%, 01/16/96.............................. $ 3,831,000 $ 3,822,433
Merrill Lynch & Co., Inc.,
5.750%, 01/26/96.............................. 21,000,000 20,919,500
Mitsubishi International Corp.,
5.780%, 01/29/96.............................. 2,500,000 2,489,163
5.810%, 01/23/96.............................. 4,200,000 4,185,766
Morgan Stanley Group, Inc.,
5.750%, 01/25/96.............................. 34,000,000 33,875,097
NYNEX Corporation,
5.800%, 01/19/96.............................. 2,000,000 1,994,522
5.820%, 01/09/96-01/16/96..................... 6,000,000 5,990,947
PHH Corporation,
5.830%, 01/23/96.............................. 3,000,000 2,989,798
PNC Funding Corp,
5.730%, 02/08/96.............................. 2,000,000 1,988,222
Preferred Receivables Funding Corp.,
5.680%, 02/07/96.............................. 7,150,000 7,109,388
5.850%, 01/17/96.............................. 15,000,000 14,963,438
Riverwood Funding Corp.,
5.680%, 02/16/96.............................. 4,000,000 3,971,600
Sears Roebuck Acceptance Corp.,
5.720%, 02/26/96.............................. 11,000,000 10,903,872
Special Purpose A/R Cooperative Corp.,
5.750%, 01/24/96.............................. 4,000,000 3,985,944
5.780%, 01/24/96.............................. 3,000,000 2,989,403
Transamerica Corp.,
5.780%, 01/19/96.............................. 16,072,000 16,028,132
Whirlpool Corp.,
5.800%, 01/23/96.............................. 2,000,000 1,993,233
Whirlpool Financial Corp.,
5.710%, 03/04/96.............................. 18,972,000 18,785,431
5.800%, 02/02/96.............................. 1,300,000 1,293,507
--------------
633,522,203
--------------
TERM NOTES -- 5.6%
Associates Corp. of North America,
8.800%, 03/01/96.............................. 2,000,000 2,007,278
Bank of America,
5.79%, 01/16/96, Tranche #TR00034............. 2,000,000 1,999,992
Bank One Indianapolis N.A.,
7.180%, 02/05/96, Tranche #TR00002............ 6,000,000 6,002,187
Bayerische Hypotheken,
5.770%, 01/23/96.............................. 4,000,000 3,999,789
Beneficial Corp.,
5.25%, 01/23/96, Tranche #TR00776............. 5,000,000 4,999,220
Exxon Capital Corp.,
7.875%, 04/15/96.............................. 5,500,000 5,527,256
First Union National Bank of North Carolina,
5.800%, 01/31/96.............................. 13,000,000 13,000,000
Ford Motor Credit Co.,
5.000%, 03/25/96.............................. 4,000,000 3,991,407
8.900%, 04/08/96.............................. 4,300,000 4,332,346
9.850%, 02/27/96.............................. 5,000,000 5,024,368
General Motors Acceptance Corp.,
%5.70%, 10/20/97.............................. 8,000,000 7,996,425
6.300%, 02/02/96, Tranche #TR00646............ 2,000,000 2,000,418
8.250%, 08/01/96.............................. 2,000,000 2,024,935
</TABLE>
B14
<PAGE>
CONSERVATIVELY MANAGED FLEXIBLE PORTFOLIO (CONTINUED)
DECEMBER 31, 1995
<TABLE>
<CAPTION>
PRINCIPAL
SHORT-TERM INVESTMENTS (CONTINUED) AMOUNT VALUE
------------- --------------
<S> <C> <C>
%Merrill Lynch & Co., Inc.,
5.929%, 09/13/96, Tranche #TR00197............ $ 27,000,000 $ 26,994,526
NationsBank of Texas, N.A.,
7.000%, 02/06/96, Tranche #TR00037............ 40,000,000 40,002,205
7.300%, 01/26/96, Tranche #TR00043............ 4,000,000 4,001,092
7.550%, 01/09/96, Tranche #TR00050............ 8,500,000 8,501,291
%Norwest Corp.,
5.929%, 05/23/96, Tranche #TR00176............ 5,500,000 5,499,923
%Salomon, Inc.,
6.725%, 02/14/96.............................. 25,000,000 25,000,000
%SMM Trust,
5.937%, 12/16/96.............................. 27,000,000 26,997,556
Society National Bank,
6.000%, 04/25/96, Tranche #TR00010............ 1,940,000 1,940,000
Student Loan Marketing Association,
%5.20%, 08/09/96.............................. 7,650,000 7,641,227
%5.22%, 02/08/96.............................. 3,000,000 2,999,276
USX Corp.,
6.562%, 02/15/96.............................. 7,500,000 7,502,619
--------------
219,985,336
--------------
PROMISSORY NOTES -- 0.3%
%Lehman Brothers Holdings, Inc.,
6.142%, 05/29/96.............................. 10,000,000 10,000,000
--------------
REPURCHASE AGREEMENTS -- 1.0%
Joint Repurchase Agreement Account,
5.839%, 01/02/96.............................. 43,210,000 43,210,000
--------------
TOTAL SHORT-TERM INVESTMENTS..................................... 1,051,312,715
--------------
OTHER ASSETS -- 0.7%
(net of liabilities)........................................... 27,992,965
--------------
TOTAL NET ASSETS -- 100.0%....................................... $3,940,774,265
--------------
--------------
<FN>
The following abbreviations are used in portfolio descriptions:
ADR American Depository Receipt
C.D. Certificates of Deposit
L.P. Limited Partnership
M.T.N. Medium Term Note
PLC Public Limited Company (British Corporation)
SA Sociedad Anonima (Spanish Corporation) or Societe
Anonyme (French Corporation)
**Indicates a restricted security; the aggregate cost of the restricted
securities is $96,403,735. The aggregate value, $96,894,639 is
approximately 2.5% of net assets. (See Note 2)
+No dividend was paid on this security during the 12 months ending December
31, 1995.
%Indicates a variable rate security.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS ON PAGES C1 THROUGH C13.
B15
<PAGE>
AGGRESSIVELY MANAGED FLEXIBLE PORTFOLIO
DECEMBER 31, 1995
<TABLE>
<CAPTION>
MARKET
COMMON STOCKS -- 60.3% SHARES VALUE
------------- --------------
<S> <C> <C>
AEROSPACE -- 1.9%
Boeing Co....................................... 582,600 $ 45,661,275
+Coltec Industries, Inc......................... 503,800 5,856,675
United Technologies Corp........................ 300,000 28,462,500
--------------
79,980,450
--------------
AUTOS - CARS & TRUCKS -- 1.8%
Chrysler Corp................................... 870,000 48,176,250
General Motors Corp. (Class 'E' Stock).......... 542,400 28,204,800
--------------
76,381,050
--------------
BANKS AND SAVINGS & LOANS -- 3.9%
Bank of New York Company, Inc................... 1,000,000 48,750,000
J.P. Morgan & Co., Inc.......................... 550,000 44,137,500
NationsBank Corp................................ 568,800 39,602,700
Norwest Corp.................................... 997,800 32,927,400
UJB Financial Company........................... 120,200 4,297,150
--------------
169,714,750
--------------
CHEMICALS -- 2.4%
Agrium, Inc..................................... 907,300 40,828,500
Arcadian Corp................................... 694,200 13,450,125
E.I. Du Pont de Nemours & Co.................... 600,000 41,925,000
+McWhorter Technologies, Inc.................... 35,000 516,250
+Mississippi Chemical Corp...................... 324,700 7,549,275
--------------
104,269,150
--------------
CHEMICALS - SPECIALTY -- 0.7%
IMC Global, Inc................................. 703,500 28,755,563
--------------
COMMUNICATIONS -- 0.1%
Infinity Broadcasting Corp. (Class 'A' Stock)... 86,400 3,218,400
--------------
COMPUTER SERVICES -- 3.1%
Automatic Data Processing, Inc.................. 740,400 54,974,700
+Bay Networks, Inc.............................. 400,000 16,450,000
+Cisco Systems, Inc............................. 202,700 15,126,488
First Data Corp................................. 422,500 28,254,687
+Sun Microsystems, Inc.......................... 350,000 15,968,750
--------------
130,774,625
--------------
COSMETICS & SOAPS -- 0.6%
Procter & Gamble Co............................. 325,000 26,975,000
--------------
DIVERSIFIED GAS -- 0.4%
Cross Timbers Oil Co............................ 1,010,000 17,801,250
--------------
DIVERSIFIED OFFICE EQUIPMENT -- 0.6%
International Business Machines Corp............ 290,500 26,653,375
--------------
DRUGS AND HOSPITAL SUPPLIES -- 3.5%
American Home Products Corp..................... 448,100 43,465,700
Baxter International, Inc....................... 725,000 30,359,375
Genzyme Corp.................................... 168,700 10,522,664
Pharmacia & Upjohn, Inc......................... 1,100,000 42,625,000
Schering-Plough Corp............................ 400,000 21,900,000
--------------
148,872,739
--------------
ELECTRICAL EQUIPMENT -- 0.6%
Baldor Electric Co.............................. 602,460 12,124,508
Belden, Inc..................................... 519,900 13,387,425
--------------
25,511,933
--------------
ELECTRONICS -- 2.6%
+ADT Ltd........................................ 1,641,200 24,618,000
Emerson Electric Co............................. 600,000 49,050,000
</TABLE>
DECEMBER 31, 1995
<TABLE>
<CAPTION>
MARKET
COMMON STOCKS (CONTINUED) SHARES VALUE
------------- --------------
<S> <C> <C>
Hewlett-Packard Co.............................. 175,000 $ 14,656,250
Teleflex, Inc................................... 500,000 20,500,000
--------------
108,824,250
--------------
FINANCIAL SERVICES -- 3.6%
Dean Witter, Discover and Co.................... 800,000 37,600,000
Federal Home Loan Mortgage Corp................. 684,700 57,172,450
Manufactured Home Communities, Inc.............. 59,300 1,037,750
MBNA Corp....................................... 981,100 36,178,063
Morgan Stanley Group, Inc....................... 300,000 24,187,500
--------------
156,175,763
--------------
FOODS -- 2.8%
Nabisco Holdings Corporation (Class 'A'
Stock)........................................ 564,000 18,400,500
Philip Morris Companies, Inc.................... 600,000 54,300,000
Pioneer Hi-Bred International, Inc.............. 808,400 44,967,250
--------------
117,667,750
--------------
FOREST PRODUCTS -- 1.4%
Kimberly-Clark Corp............................. 277,800 22,987,950
Willamette Industries, Inc...................... 686,000 38,587,500
--------------
61,575,450
--------------
HEALTHCARE -- 0.3%
+Sybron International Corp...................... 520,400 12,359,500
--------------
HOSPITAL MANAGEMENT -- 1.7%
Columbia/HCA Healthcare Corp.................... 498,362 25,291,872
Guidant Corp.................................... 307,486 12,991,284
+Health Care and Retirement Corp................ 590,800 20,678,000
+Tenet Healthcare Corp.......................... 583,600 12,109,700
--------------
71,070,856
--------------
INSURANCE -- 4.2%
American International Group, Inc............... 657,700 60,837,250
CIGNA Corp...................................... 125,000 12,906,250
General Re Corp................................. 215,000 33,325,000
Mid Ocean Ltd Ordinary Shares................... 525,000 19,490,625
NAC Re Corp..................................... 277,400 9,986,400
TIG Holdings, Inc............................... 268,500 7,652,250
W.R. Berkley Corp............................... 610,000 32,787,500
--------------
176,985,275
--------------
LEISURE -- 2.3%
+Argosy Gaming Co............................... 30,500 232,563
+Bally Entertainment Corp....................... 1,946,000 27,244,000
Carnival Corp. (Class 'A' Stock)................ 1,100,000 26,812,500
Hasbro, Inc..................................... 500,000 15,500,000
+Mirage Resorts, Inc............................ 632,200 21,810,900
Royal Caribbean Cruise, Ltd..................... 233,800 5,143,600
--------------
96,743,563
--------------
MACHINERY -- 0.7%
+Thermo Fibertek, Inc........................... 149,350 3,379,044
+Varity Corp.................................... 658,400 24,443,100
--------------
27,822,144
--------------
MEDIA -- 2.8%
Comcast Corp. (Class 'A' Stock)................. 830,400 14,635,800
Shaw Communications, Inc. (Class 'B' Stock)..... 703,700 4,448,072
+Tele-Communications, Inc. (Series 'A' Stock)... 1,934,400 38,446,200
</TABLE>
B16
<PAGE>
AGGRESSIVELY MANAGED FLEXIBLE PORTFOLIO (CONTINUED)
DECEMBER 31, 1995
<TABLE>
<CAPTION>
MARKET
COMMON STOCKS (CONTINUED) SHARES VALUE
------------- --------------
<S> <C> <C>
Tele-Communications, Inc. (Series 'A' Stock).... 483,600 $ 12,996,750
+Viacom, Inc. (Class 'B' Stock)................. 994,500 47,114,438
--------------
117,641,260
--------------
MINERAL RESOURCES -- 2.3%
Pittston Services Group......................... 350,000 10,981,250
Potash Corp. of Saskatchewan, Inc............... 608,300 43,113,263
+Sante Fe Pacific Gold Corp..................... 974,000 11,809,750
Vigoro Corp..................................... 533,100 32,918,925
--------------
98,823,188
--------------
MISCELLANEOUS - BASIC INDUSTRY -- 4.2%
+American Business Information, Inc............. 510,150 9,884,156
General Electric Co............................. 327,300 23,565,600
Illinois Tool Works, Inc........................ 710,000 41,890,000
Libbey, Inc..................................... 521,700 11,738,250
Martin Marietta Materials, Inc.................. 647,600 13,356,750
Modine Manufacturing Co......................... 289,100 6,938,400
Pentair, Inc.................................... 263,200 13,094,200
TJ International, Inc........................... 539,700 9,984,450
Tyco International Ltd.......................... 687,600 24,495,750
York International Corp......................... 500,000 23,500,000
--------------
178,447,556
--------------
MISCELLANEOUS - CONSUMER GROWTH/STABLE -- 0.3%
+DeVRY, Inc..................................... 529,200 14,288,400
--------------
PETROLEUM -- 1.8%
Exxon Corp...................................... 410,000 32,851,250
Royal Dutch Petroleum Co., ADR.................. 300,000 42,337,500
--------------
75,188,750
--------------
PETROLEUM SERVICES -- 1.3%
Baker Hughes, Inc............................... 581,700 14,178,938
Halliburton Co.................................. 267,200 13,527,000
Total SA, ADR................................... 757,500 25,755,000
--------------
53,460,938
--------------
RAILROADS -- 1.6%
Illinois Central Corp........................... 682,000 26,171,750
Norfolk Southern Corp........................... 549,400 43,608,625
--------------
69,780,375
--------------
REAL ESTATE DEVELOPMENT -- 0.7%
Crescent Real Estate Equities, Inc.............. 492,600 16,809,975
Duke Realty Investments, Inc.................... 444,800 13,955,600
--------------
30,765,575
--------------
RETAIL -- 2.2%
Dollar General Corporation...................... 600,000 12,450,000
+Federated Department Stores, Inc............... 1,500,000 41,250,000
Harcourt General, Inc........................... 320,500 13,420,938
Nine West Group................................. 350,000 13,125,000
Office Depot, Inc............................... 700,000 13,825,000
--------------
94,070,938
--------------
TELECOMMUNICATIONS -- 2.5%
+Airtouch Communications, Inc................... 641,100 18,111,075
AT&T Corp....................................... 350,000 22,662,500
MCI Communications Corp......................... 1,000,000 26,125,000
SBC Communications, Inc......................... 475,000 27,312,500
TCA Cable TV, Inc............................... 494,300 13,655,038
--------------
107,866,113
--------------
TEXTILES -- 0.0%
Unifi, Inc...................................... 90,000 1,991,250
--------------
</TABLE>
DECEMBER 31, 1995
<TABLE>
<CAPTION>
MARKET
COMMON STOCKS (CONTINUED) SHARES VALUE
------------- --------------
<S> <C> <C>
TOBACCO -- 1.4%
RJR Nabisco Holdings Corp....................... 1,905,000 $ 58,816,875
--------------
TOTAL COMMON STOCKS
(Cost $2,074,306,562).......................................... 2,569,274,054
--------------
<CAPTION>
MARKET
PREFERRED STOCKS -- 0.7% SHARES VALUE
------------- --------------
<S> <C> <C>
LEISURE -- 0.2%
Bally Entertainment Corporation (Conv.)......... 600,000 8,175,000
--------------
MEDIA -- 0.5%
News Corp., Ltd., ADR........................... 1,140,000 21,945,000
--------------
TOTAL PREFERRED STOCKS
(Cost $24,005,010)............................................. 30,120,000
--------------
<CAPTION>
PAR MARKET
LONG-TERM BONDS -- 26.3% VALUE VALUE
------------- --------------
<S> <C> <C>
FINANCIAL -- 7.0%
Advanta Corp.,
5.125%, 11/15/96.............................. $ 9,000,000 $ 8,949,240
Advanta National Bank, CD,
6.140%, 02/28/97.............................. 17,000,000 17,174,760
Allmerica Financial Corp.,
7.625%, 10/15/25.............................. 7,200,000 7,564,968
Banc One Credit Card Master Trust,
7.750%, 12/15/99, Series 94-B Class B......... 5,000,000 5,189,050
Capital One Bank, M.T.N.,
6.740%, 05/31/99, Tranche #TR00038............ 22,250,000 22,756,410
8.125%, 02/27/98, Tranche #TR00032............ 6,500,000 6,788,860
Chase Manhattan Credit Card Master Trust,
7.400%, 05/15/00, Series 1992-1............... 5,000,000 5,096,850
Equitable Life Assurance Society,
**6.950%, 12/01/05............................ 10,000,000 10,143,750
First USA Bank, M.T.N.,
%6.237%, 10/16/97............................. 20,000,000 19,970,000
Ford Motor Credit Co.,
6.375%, 10/06/00.............................. 13,500,000 13,744,350
Ford Motor Credit, Co., M.T.N.,
6.137%, 10/04/99.............................. 6,250,000 6,265,313
6.850%, 08/15/00.............................. 8,500,000 8,823,255
General Motors Acceptance Corp., M.T.N.,
7.000%, 05/19/97, Tranche #TR00041............ 10,000,000 10,189,300
7.000%, 06/02/97, Tranche #TR00476............ 6,000,000 6,116,460
7.375%, 07/20/98, Tranche #TR00667............ 4,500,000 4,681,035
7.850%, 03/05/97, Tranche #TR00187............ 3,200,000 3,282,176
7.875%, 03/15/00.............................. 5,000,000 5,366,600
Marine Midland Bank N.A.,
%5.812%, 09/27/96............................. 6,500,000 6,487,000
MBNA Master Credit Card Trust,
%6.370%, 01/15/02, Series 1994-1 Class A...... 7,500,000 7,509,375
</TABLE>
B17
<PAGE>
AGGRESSIVELY MANAGED FLEXIBLE PORTFOLIO (CONTINUED)
DECEMBER 31, 1995
<TABLE>
<CAPTION>
PAR MARKET
LONG-TERM BONDS (CONTINUED) VALUE VALUE
------------- --------------
<S> <C> <C>
Okobank,
**%7.387%, 10/29/49........................... $ 3,500,000 $ 3,539,375
%7.387%, 10/29/49............................. 9,000,000 9,101,250
%7.375%, 09/27/49............................. 18,750,000 19,341,563
Salomon, Inc., M.T.N.,
5.470%, 09/22/97, Tranche #SR00504............ 15,000,000 14,823,600
5.790%, 11/26/97, Tranche #TR00571............ 6,700,000 6,647,338
5.880%, 07/29/97, Tranche #SR00456............ 5,650,000 5,626,101
Santander Financial Issuances, LTD.,
7.250%, 11/01/15.............................. 11,000,000 11,267,080
Sears Roebuck Acceptance Corp.,
6.750%, 09/15/05.............................. 34,950,000 36,247,344
Sears Roebuck Acceptance Corp., M.T.N.,
6.340%, 10/12/00, Tranche #TR00038............ 10,000,000 10,158,900
Standard Credit Card Master Trust,
5.950%, 10/07/04, Series 1993-2A.............. 4,500,000 4,463,415
Westinghouse Credit Corp., M.T.N.,
8.750%, 06/03/96, Tranche #TR00248............ 3,330,000 3,350,846
--------------
300,665,564
--------------
FOREIGN -- 5.1%
Banco de Commercio Exterior de Columbia, SA,
M.T.N.,
**8.625%, 06/02/00, Tranche #TR00001.......... 5,500,000 5,654,000
Banco Ganadero, SA, M.T.N.,
9.750%, 08/26/99.............................. 2,300,000 2,357,500
**9.750%, 08/26/99, Tranche #TR00001.......... 5,000,000 5,125,000
Banco Nacional de Comercio Exterior,
7.500%, 07/01/00.............................. 5,000,000 4,350,000
Cemex, SA, M.T.N.,
**9.500%, 09/20/01, Tranche #TR00010.......... 12,500,000 11,375,000
Compania Sud Americana de Vapores, SA,
**7.375%, 12/08/03............................ 5,650,000 5,565,250
Controladora Commercial Mexicana, SA,
8.750%, 04/21/98.............................. 15,100,000 13,288,000
Empresa Columbia de Petroleos,
7.250%, 07/08/98.............................. 8,250,000 8,208,750
Empresas La Moderna, SA,
10.250%, 11/12/97............................. 2,000,000 1,980,000
Financiera Energetica Nacional,
6.625%, 12/13/96.............................. 5,100,000 5,100,000
Financiera Energetica Nacional, M.T.N.,
9.000%, 11/08/99.............................. 2,000,000 2,097,500
**9.000%, 11/08/99............................ 5,375,000 5,637,031
Fomento Economico Mexicano, SA,
9.500%, 07/22/97.............................. 6,300,000 6,244,875
Grupo Embotellador Mexicana,
**10.750%, 11/19/97........................... 8,020,000 7,999,950
Grupo Televisa, SA,
10.000%, 11/09/97............................. 4,000,000 3,920,000
Hydro-Quebec,
8.050%, 07/07/24.............................. 17,100,000 19,524,096
</TABLE>
DECEMBER 31, 1995
<TABLE>
<CAPTION>
PAR MARKET
LONG-TERM BONDS (CONTINUED) VALUE VALUE
------------- --------------
<S> <C> <C>
Kansallis-Osake Pankki, N.Y.,
**%8.650%, 12/29/49........................... $ 9,000,000 $ 9,562,500
9.750%, 12/15/98.............................. 16,760,000 18,526,001
New Zealand Government,
9.875%, 01/15/11.............................. 7,300,000 9,746,814
Quebec, Province of Canada,
7.500%, 07/15/02.............................. 8,500,000 9,025,045
Republic of Columbia,
7.125%, 05/11/98.............................. 2,700,000 2,720,250
7.250%, 02/23/04.............................. 4,100,000 3,932,884
8.750%, 10/06/99.............................. 4,925,000 5,206,316
Republic of Italy,
6.875%, 09/27/23.............................. 15,000,000 14,648,250
Republic of South Africa,
9.625%, 12/15/99.............................. 21,750,000 23,458,898
Telekom Malaysia,
**7.875%, 08/01/25............................ 3,000,000 3,294,480
United Mexican States,
5.820%, 06/28/01.............................. 1,375,000 990,000
6.970%, 08/12/00.............................. 2,300,000 1,840,000
8.500%, 09/15/02.............................. 6,925,000 6,024,750
--------------
217,403,140
--------------
INDUSTRIAL -- 13.3%
AMR Corp.,
9.000%, 08/01/12.............................. 5,000,000 5,638,850
9.800%, 10/01/21.............................. 5,000,000 5,944,000
Auburn Hills Trust,
12.000%, 05/01/20............................. 26,300,000 41,389,888
Columbia Gas Systems,
7.620%, 11/28/25.............................. 6,500,000 6,616,935
Columbia/HCA Healthcare Corp.,
7.050%, 12/01/27.............................. 21,200,000 21,339,284
7.580%, 09/15/25, M.T.N., Tranche #TR00015.... 10,000,000 10,723,200
Comdisco, Inc.,
7.250%, 04/15/98.............................. 10,000,000 10,296,800
Continental Cablevision, Inc.,
**8.300%, 05/15/06............................ 5,000,000 5,018,750
Delta Air Lines, Inc.,
9.250%, 03/15/22.............................. 8,709,000 10,287,506
9.750%, 05/15/21.............................. 34,956,000 43,126,266
9.875%, 01/01/98.............................. 6,000,000 6,400,080
Federated Dept Stores,
8.125%, 10/15/02.............................. 30,600,000 30,753,000
Fleming Companies, Inc, M.T.N.,
9.125%, 02/27/98, Tranche #TR00018............ 6,000,000 6,259,800
9.240%, 02/28/00, Tranche #TR00019............ 5,000,000 5,367,700
Fleming Companies, Inc.,
10.625%, 12/15/01............................. 22,750,000 22,067,500
Nabisco, Inc.,
6.850%, 06/15/05.............................. 10,000,000 10,156,000
News America Holdings, Inc.,
7.750%, 12/01/45.............................. 53,000,000 53,685,820
9.125%, 10/15/99.............................. 5,000,000 5,526,900
Oryx Energy Co.,
9.300%, 05/01/96.............................. 2,350,000 2,372,866
Oryx Energy Co., M.T.N.,
6.050%, 02/01/96, Tranche #TR00013............ 10,500,000 10,496,850
PT Alatief Freeport Financial Co.,
9.750%, 04/15/01.............................. 7,600,000 8,518,004
</TABLE>
B18
<PAGE>
AGGRESSIVELY MANAGED FLEXIBLE PORTFOLIO (CONTINUED)
DECEMBER 31, 1995
<TABLE>
<CAPTION>
PAR MARKET
LONG-TERM BONDS (CONTINUED) VALUE VALUE
------------- --------------
<S> <C> <C>
RJR Nabisco, Inc.,
8.750%, 08/15/05.............................. $ 3,000,000 $ 3,072,930
Rogers Cablesystems Ltd.,
10.000%, 03/15/05, Series B................... 2,000,000 2,150,000
Service Corp. International,
7.000%, 06/01/15.............................. 2,500,000 2,785,575
TCI Communications, Inc.,
8.750%, 08/01/15.............................. 27,050,000 29,989,524
Tele-Communications, Inc.,
7.875%, 08/01/13.............................. 5,250,000 5,399,678
9.250%, 04/15/02.............................. 5,000,000 5,680,900
9.800%, 02/01/12.............................. 13,000,000 15,589,210
Time Warner Entertainment Co., L.P.,
8.375%, 03/15/23-07/15/33..................... 28,250,000 30,234,433
Time Warner Entertainment Co., L.P.,
9.625%, 05/01/02.............................. 14,140,000 16,379,352
Time Warner, Inc.,
7.750%, 06/15/05.............................. 10,000,000 10,410,300
Transco Energy Co.,
9.125%, 05/01/98.............................. 14,000,000 14,958,440
United Air Lines, Inc.,
9.750%, 08/15/21.............................. 13,000,000 15,594,410
10.670%, 05/01/04, Series A................... 21,750,000 26,236,590
11.210%, 05/01/14, Series B................... 2,500,000 3,309,125
Viacom, Inc.,
7.625%, 01/15/16.............................. 15,500,000 15,684,063
7.750%, 06/01/05.............................. 40,675,000 43,195,630
Woolworth Corp,
7.000%, 06/01/00.............................. 2,084,000 2,120,637
--------------
564,776,796
--------------
U.S. GOVERNMENT & AGENCY OBLIGATIONS -- 0.9%
Federal National Mortgage Association,
Zero Coupon, 10/09/19......................... 11,800,000 2,546,204
United States Treasury Notes,
5.875%, 08/15/98-11/15/05, Series Y 1998...... 14,200,000 14,445,580
6.125%, 09/30/00.............................. 3,500,000 3,605,000
6.375%, 08/15/02, Series 2002................. 17,000,000 17,826,030
6.500%, 05/15/05.............................. 1,450,000 1,542,670
--------------
39,965,484
--------------
TOTAL LONG-TERM BONDS
(Cost $1,083,162,024).......................................... 1,122,810,984
--------------
<CAPTION>
PRINCIPAL
SHORT-TERM INVESTMENTS -- 11.9% AMOUNT VALUE
------------- --------------
<S> <C> <C>
BANK-RELATED INSTRUMENTS -- 0.5%
Abbey National Treasury Services, C.D. PLC,
5.850%, 01/03/96.............................. $ 5,000,000 $ 5,000,001
Abn-Amro Bank North America, C.D.,
5.770%, 02/01/96.............................. 1,000,000 999,969
Banque Nationale De Paris, C.D.,
5.780%, 01/17/96.............................. 2,000,000 1,999,978
Barclays Bank PLC, C.D.,
5.700%, 02/13/96.............................. 1,000,000 999,872
Bayerische Hypotheken, C.D.,
5.780%, 01/16/96.............................. 1,000,000 999,983
5.800%, 01/16/96.............................. 2,000,000 1,999,995
5.830%, 01/16/96.............................. 3,000,000 3,000,023
</TABLE>
DECEMBER 31, 1995
<TABLE>
<CAPTION>
PRINCIPAL
SHORT-TERM INVESTMENTS (CONTINUED) AMOUNT VALUE
------------- --------------
<S> <C> <C>
Berliner Handels, C.D.,
5.830%, 01/16/96.............................. $ 2,000,000 $ 2,000,008
National Westminister Bank, C.D. PLC,
5.810%, 01/12/96.............................. 4,000,000 4,000,000
--------------
20,999,829
--------------
COMMERCIAL PAPER -- 1.8%
American Express Credit Corp.,
5.590%, 03/15/96.............................. 1,000,000 988,665
American Home Products Corp.,
5.680%, 03/07/96.............................. 2,000,000 1,979,489
American Honda Finance Corp.,
5.750%, 02/08/96.............................. 1,000,000 994,090
5.850%, 01/12/96.............................. 1,000,000 998,375
5.900%, 01/29/96.............................. 1,000,000 995,575
Aristar, Inc.,
5.770%, 02/05/96.............................. 1,000,000 994,551
Asset Securitization Cooperative Corp.,
5.660%, 02/20/96.............................. 3,000,000 2,976,888
Associates Corp. of North America,
5.680%, 02/12/96.............................. 1,700,000 1,689,003
Bradford & Bingley Building Society,
5.680%, 02/06/96.............................. 1,000,000 994,478
Caterpillar Financial Services Corp.,
5.670%, 02/27/96.............................. 1,000,000 991,180
Chase Manhattan Corp.,
5.670%, 02/12/96.............................. 1,000,000 993,543
CIT Group Holdings, Inc.,
5.670%, 02/05/96.............................. 4,000,000 3,978,580
5.780%, 01/25/96.............................. 2,019,000 2,011,544
Cogentrix of Richmond, Inc.,
5.950%, 01/24/96.............................. 1,869,000 1,862,204
Countrywide Funding Corp.,
5.870%, 01/22/96.............................. 1,000,000 996,739
6.000%, 01/22/96.............................. 1,182,000 1,178,060
Dean Witter Discover and Company,
5.700%, 02/14/96.............................. 1,000,000 993,192
Finova Capital Corp.,
5.970%, 01/25/96-01/26/96..................... 1,640,000 1,633,575
First Union Corp.,
5.710%, 02/09/96.............................. 2,000,000 1,987,946
Fleet Mortgage Group, Inc.,
5.800%, 01/16/96.............................. 1,000,000 997,744
Ford Motor Credit Corp.,
5.530%, 03/04/96.............................. 1,600,000 1,584,762
General Electric Capital Corp.,
5.580%, 04/08/96-04/09/96..................... 2,000,000 1,969,775
5.660%, 02/08/96.............................. 4,000,000 3,976,731
General Motors Acceptance Corp.,
5.650%, 02/09/96.............................. 1,232,000 1,224,652
5.750%, 02/20/96.............................. 1,000,000 992,174
5.800%, 02/09/96.............................. 2,000,000 1,987,756
Goldman Sachs Group L.P,
6.050%, 01/11/96-01/12/96..................... 2,000,000 1,996,807
GTE Corp.,
5.870%, 01/19/96.............................. 1,000,000 997,228
5.970%, 01/30/96.............................. 1,009,000 1,004,315
Hanson Finance, PLC,
5.650%, 02/29/96.............................. 1,565,000 1,550,754
5.700%, 01/26/96-02/08/96..................... 3,265,000 3,249,110
Merrill Lynch & Co. Inc,
5.760%, 01/31/96.............................. 2,000,000 1,990,720
</TABLE>
B19
<PAGE>
AGGRESSIVELY MANAGED FLEXIBLE PORTFOLIO (CONTINUED)
DECEMBER 31, 1995
<TABLE>
<CAPTION>
PRINCIPAL
SHORT-TERM INVESTMENTS (CONTINUED) AMOUNT VALUE
------------- --------------
<S> <C> <C>
Mitsubishi International Corp.,
5.780%, 01/31/96.............................. $ 1,000,000 $ 995,344
Morgan Stanley Group, Inc.,
5.750%, 01/25/96.............................. 5,000,000 4,981,632
National Westminister Bank, PLC,
5.800%, 01/31/96.............................. 1,000,000 1,000,000
Nynex Corp,
5.820%, 01/10/96-01/16/96..................... 1,847,000 1,843,790
PNC Funding Corp,
5.730%, 02/08/96.............................. 1,000,000 994,111
Preferred Receivables Funding Corp.,
5.650%, 02/06/96.............................. 5,000,000 4,972,535
5.700%, 02/12/96.............................. 1,650,000 1,639,289
Riverwoods Funding Corp,
5.750%, 02/15/96.............................. 1,000,000 992,972
Sears Roebuck Acceptance Corp.,
5.720%, 02/26/96.............................. 4,000,000 3,965,044
Special Purpose A/R Cooperative Corp,
5.750%, 01/24/96.............................. 1,000,000 996,486
Transamerica Finance Group, Inc.,
5.700%, 02/05/96.............................. 1,000,000 994,617
Whirlpool Corp.,
5.710%, 03/04/96.............................. 1,028,000 1,017,891
--------------
77,153,916
--------------
TERM NOTES -- 1.6%
Associates Corp. of North America,
4.500%, 02/15/96.............................. 3,200,000 3,191,504
8.800%, 03/01/96.............................. 2,000,000 2,007,278
Bank One Indianapolis N.A.,
7.180%, 02/05/96, Tranche #TR00002............ 1,000,000 1,000,365
First Union National Bank of North Carolina,
5.800%, 01/31/96, Tranche #TR00037............ 2,000,000 2,000,000
Ford Motor Credit Co.,
5.150%, 03/15/96, Tranche #TR00690............ 2,000,000 1,994,761
%6.082%, 06/17/96, Tranche #TR00826........... 1,000,000 1,001,128
8.250%, 05/15/96.............................. 2,300,000 2,320,274
General Motors Acceptance Corp.,
5.300%, 07/12/96, Tranche #TR00760............ 1,500,000 1,495,485
%5.700%, 10/20/97, Tranche #TR00065........... 1,000,000 999,553
Merrill Lynch & Co., Inc.,
%5.929%, 09/13/96, Tranche #TR00197........... 4,000,000 3,999,189
NationsBank of Texas N.A.,
7.000%, 02/06/96, Tranche #TR00050............ 9,000,000 9,000,391
Salomon, Inc.,
%6.725%, 02/14/96............................. 25,000,000 25,000,000
SMM Trust,
%5.937%, 12/16/96............................. 6,375,000 6,374,423
USX Corp.,
6.562%, 02/15/96.............................. 7,500,000 7,502,619
--------------
67,886,970
--------------
</TABLE>
DECEMBER 31, 1995
<TABLE>
<CAPTION>
PRINCIPAL
SHORT-TERM INVESTMENTS (CONTINUED) AMOUNT VALUE
------------- --------------
<S> <C> <C>
PROMISSORY NOTES -- 0.0%
Lehman Brothers Holdings, Inc.,
6.142%, 05/29/96.............................. $ 1,000,000 $ 1,000,000
--------------
REPURCHASE AGREEMENTS -- 7.9%
Joint Repurchase Agreement Account,
5.838%, 01/02/96 (See Note 4)................. 335,658,000 335,658,000
--------------
U. S. GOVERNMENT & AGENCY OBLIGATIONS -- 0.1%
Student Loan Marketing Association,
%5.400%, 03/20/96............................. 3,455,000 3,454,967
--------------
TOTAL SHORT-TERM INVESTMENTS..................................... 506,153,682
--------------
OTHER ASSETS -- 0.8%
(net of liabilities)........................................... 32,846,117
--------------
TOTAL NET ASSETS -- 100.0%....................................... $4,261,204,837
--------------
--------------
<FN>
The following abbreviations are used in portfolio descriptions:
ADR American Depository Receipt
C.D. Certificates of Deposit
L.P. Limited Partnership
M.T.N. Medium Term Note
PLC Public Limited Company (British Corporation)
SA Sociedad Anonima (Spanish Corporation) or Societe
Anonyme (French Corporation)
**Indicates a restricted security; the aggregate cost of the restricted
securities is $72,616,786. The aggregate value, $72,915,086 is
approximately 1.7% of net assets. (See Note 2)
+No dividend was paid on this security during the 12 months ending December
31, 1995.
%Indicates a variable rate security.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS ON PAGES C1 THROUGH C13.
B20
<PAGE>
HIGH YIELD BOND PORTFOLIO
DECEMBER 31, 1995
<TABLE>
<CAPTION>
MARKET
COMMON STOCKS -- 0.1% SHARES VALUE
------------- --------------
<S> <C> <C>
BEVERAGES -- 0.0%
**+Dr. Pepper Bottling Holdings, Inc. (Class
'B'Stock)..................................... 5,807 $ 20,325
--------------
CONTAINERS -- 0.0%
+Gaylord Container Corp. (Class 'A' Stock)...... 9,301 74,989
--------------
FINANCIAL SERVICES -- 0.0%
**+PM Holdings Corp............................. 1,103 0
--------------
MISCELLANEOUS - BASIC INDUSTRY -- 0.1%
**Sam Houston Race Park, Ltd., Equity........... 149 200,000
--------------
RETAIL -- 0.0%
**+Loehmann's Holdings, Inc..................... 19,708 24,635
--------------
TOTAL COMMON STOCKS
(Cost $513,891)................................................ 319,949
--------------
<CAPTION>
MARKET
PREFERRED STOCKS -- 1.2% SHARES VALUE
------------- --------------
<S> <C> <C>
BANKS AND SAVINGS & LOANS -- 0.5%
**Riggs National Corp., Series B................ 75,000 2,081,250
--------------
MISCELLANEOUS - BASIC INDUSTRY -- 0.7%
[Harvard Industries, Inc. (Cum. Ex.)............ 47,701 1,267,058
[PNP Prime Corp. (Cum. Ex.)..................... 82,384 0
[Supermarkets General Holdings Corp. (Ex.)...... 45,645 1,141,125
--------------
2,408,183
--------------
RETAIL -- 0.0%
Color Tile, Inc................................. 10,000 10,000
**[Grand Union Holdings Corp., Series C
(Cum.)........................................ 9,000 0
--------------
10,000
--------------
TOTAL PREFERRED STOCKS
(Cost $8,319,552).............................................. 4,499,433
--------------
<CAPTION>
MARKET
RIGHTS AND WARRANTS -- 0.1% SHARES VALUE
------------- --------------
<S> <C> <C>
COMMUNICATIONS -- 0.0%
**++American Telecasting (Warrants)............. 6,500 0
++Clearnet Communications, Inc. (Warrants)...... 6,732 0
**++Dial Call Communications, Inc. (Warrants)... 1,543 15
++Dial Call Communications, Inc. (Warrants)..... 2,250 22
--------------
37
--------------
HOUSING RELATED -- 0.0%
++Miles Homes, Inc. (Warrants).................. 15,000 150
--------------
LEISURE -- 0.0%
++Casino America, Inc. (Warrants)............... 6,526 20
**++Casino Magic Corp. (Warrants)............... 10,500 105
++Cellular Communications International Inc.
(Warrants).................................... 4,375 0
**++Fitzgeralds Gaming Corp. (Warrant).......... 500 5,000
**++Louisiana Casino Cruise, Inc. (Warrants).... 4,200 0
++President Casinos Inc. (Warrants)............. 15,000 7,500
++President Casinos, Inc. (Warrants)............ 22,075 11,038
++Sam Houston Race Park, Ltd. (Warrants)........ 4,000 20,000
--------------
43,663
--------------
MACHINERY -- 0.0%
**++Terex Corp. (Rights)........................ 8,000 0
--------------
</TABLE>
DECEMBER 31, 1995
<TABLE>
<CAPTION>
MARKET
RIGHTS AND WARRANTS (CONTINUED) SHARES VALUE
------------- --------------
<S> <C> <C>
MISCELLANEOUS - BASIC INDUSTRY -- 0.1%
++CellNet Data System, Inc. (Warrants).......... 17,000 $ 0
++Foamex - JPS Automotive, L.P. (Warrants)...... 2,000 10,000
++Gaylord Container (Warrants).................. 11,958 89,685
**++Pagemart Nationwide, Inc. (Warrants)........ 13,125 123,047
--------------
222,732
--------------
TELECOMMUNICATIONS -- 0.0%
++IntelCom Group, Inc. (Warrants)............... 20,790 103,950
**++Pagemart, Inc. (Warrants)................... 9,200 55,200
--------------
159,150
--------------
UTILITY - COMMUNICAITONS -- 0.0%
**++Intermedia Communications of Florida, Inc.
(Warrants).................................... 3,000 0
--------------
TOTAL RIGHTS AND WARRANTS
(Cost $61,218)................................................. 425,732
--------------
<CAPTION>
PAR MARKET
LONG-TERM BONDS -- 93.9% VALUE VALUE
------------- --------------
<S> <C> <C>
FINANCIAL -- 3.2%
Empress River Casino Finance Corp.,
10.750%, 04/01/02............................. $ 4,500,000 $ 4,646,250
Indah Kiat International Finance Co.,
12.500%, 06/15/06............................. 3,000,000 2,970,000
*PM Holdings Corp.,
Zero Coupon, 09/01/05, Series B............... 2,981,000 1,565,025
PSF Finance, L.P.,
12.250%, 06/15/04............................. 1,000,000 920,000
Reliance Group Holdings, Inc.,
9.750%, 11/15/03.............................. 1,500,000 1,545,000
--------------
11,646,275
--------------
FOREIGN -- 0.8%
*Diamond Cable Communications Co., PLC,
13.250%, 09/30/04............................. 2,000,000 1,410,000
*Videotron Holdings, PLC,
Zero Coupon, 07/01/04......................... 2,175,000 1,517,063
--------------
2,927,063
--------------
INDUSTRIAL -- 89.5%
*American Standard, Inc.,
Zero Coupon, 06/01/05......................... 5,000,000 4,287,500
American Telecasting,
*Zero Coupon, 06/15/04........................ 3,000,000 2,062,500
**Zero Coupon, 08/15/05....................... 6,500,000 4,103,125
*
'Anacomp, Inc.,
15.000%, 11/01/00............................. 3,118,000 2,182,600
*Apparel Retailers, Inc.,
Zero Coupon, 08/15/05, Series B............... 4,000,000 2,440,000
Applied Extrusion Technologies, Inc.,
11.500%, 04/01/02, Series B................... 1,700,000 1,827,500
Bally's Park Place Funding, Inc.,
9.250%, 03/15/04.............................. 5,500,000 5,596,250
Benedek Broadcasting Corp.,
11.875%, 03/01/05............................. 2,800,000 2,975,000
Big Flower Press, Inc.,
10.750%, 08/01/03............................. 1,334,000 1,420,710
Boyd Gaming Corp., Series B
10.750%, 09/01/03............................. 5,500,000 5,802,500
Bruno's Inc.,
10.500%, 08/01/05............................. 2,000,000 1,980,000
*Building Materials Corp. of America,
Zero Coupon, 07/01/04, Series B............... 5,000,000 3,400,000
</TABLE>
B21
<PAGE>
HIGH YIELD BOND PORTFOLIO (CONTINUED)
DECEMBER 31, 1995
<TABLE>
<CAPTION>
PAR MARKET
LONG-TERM BONDS (CONTINUED) VALUE VALUE
------------- --------------
<S> <C> <C>
Cablevision Systems Corp.,
9.250%, 11/01/05.............................. $ 3,575,000 $ 3,735,875
9.875%, 02/15/13.............................. 1,300,000 1,381,250
10.750%, 04/01/04............................. 1,000,000 1,055,000
CAI Wireless Systems Inc.,
12.250%, 09/15/02............................. 3,000,000 3,225,000
Casino America, Inc.,
11.500%, 11/15/01............................. 4,225,000 3,908,125
*CellNet Data System, Inc.,
Zero Coupon, 06/15/05......................... 4,250,000 2,550,000
*Cellular Communications International Inc.,
Zero Coupon, 08/15/00......................... 4,375,000 2,690,625
*Cencall Communications Corp.,
Zero Coupon, 01/15/04......................... 2,625,000 1,483,125
Centennial Cellular Corp.,
10.125%, 05/15/05............................. 4,500,000 4,736,250
Chancellor Broadcasting Co.,
12.500%, 10/01/04............................. 1,600,000 1,708,000
Clark R & M Holdings, Inc.,
Zero Coupon, 02/15/00......................... 1,500,000 995,625
**Clark USA Inc.,
10.875%, 12/01/05............................. 1,875,000 1,968,750
Clean Harbors, Inc.,
12.500%, 05/15/01............................. 200,000 90,000
*Clearnet Communications,
Zero Coupon, 12/15/05......................... 2,040,000 1,065,900
Comcast Cellular,
Zero Coupon, 03/05/00, Series B............... 4,000,000 3,080,000
Comcast Corp.,
9.125%, 10/15/06.............................. 1,500,000 1,563,750
9.375%, 05/15/05.............................. 5,000,000 5,287,500
*Comcast UK Cable,
Zero Coupon, 11/15/07......................... 2,500,000 1,462,500
Continental Cablevision, Inc.,
**8.300%, 05/15/06............................ 1,000,000 1,003,750
9.500%, 08/01/13.............................. 7,000,000 7,525,000
**+X+Del Monte Corp.,
12.250%, 09/01/02............................. 2,689,000 2,124,310
Dial Call Communications, Inc.,
*Zero Coupon, 04/15/04........................ 2,250,000 1,282,500
**Zero Coupon, 12/15/05, Series B............. 1,000,000 530,000
*
*Diamond Cable Communications Co., PLC,
Zero Coupon, 12/15/05......................... 3,500,000 2,056,250
Dictaphone Corp,
11.750%, 08/01/05............................. 3,350,000 3,316,500
Dominick's Finer Foods, Inc.,
10.875%, 05/01/05............................. 2,250,000 2,390,625
Exide Corp.,
*Zero Coupon, 12/15/04........................ 2,000,000 1,690,000
10.000%, 04/15/05............................. 2,750,000 2,983,750
Fairchild Industries, Inc.,
12.250%, 02/01/99............................. 2,340,000 2,480,400
Falcon Drilling Co. Inc.,
9.750%, 01/15/01, Series B.................... 1,500,000 1,541,250
12.500%, 03/15/05, Series B................... 2,500,000 2,737,500
+X+Falcon Holdings Group, L.P.,
11.000%, 09/15/03............................. 3,311,058 3,162,061
Foamex, L.P.,
11.250%, 10/01/02............................. 1,500,000 1,500,000
11.875%, 10/01/04............................. 500,000 490,000
*Foamex - JPS Automotive, L.P.,
Zero Coupon, 07/01/04, Series B............... 2,000,000 1,120,000
*Food 4 Less Inc.,
Zero Coupon, 07/15/05, Series B............... 1,900,000 902,500
Fresh Del Monte Produce,
10.000%, 05/01/03, Series B................... 3,000,000 2,700,000
G-I Holdings, Inc.,
Zero Coupon, 10/01/98, Series B............... 4,200,000 3,244,500
</TABLE>
DECEMBER 31, 1995
<TABLE>
<CAPTION>
PAR MARKET
LONG-TERM BONDS (CONTINUED) VALUE VALUE
------------- --------------
<S> <C> <C>
*Gaylord Container Corp.,
Zero Coupon, 05/15/05......................... $ 2,615,000 $ 2,562,700
11.500%, 05/15/01............................. 500,000 515,000
*Geotek Communication Inc.,
Zero Coupon, 07/15/05, Series B............... 3,000,000 1,425,000
Grand Casinos Inc.,
10.125%, 12/01/03............................. 2,800,000 2,936,500
**GST Telecommunications, Inc.,
*
Zero Coupon, 12/15/05......................... 4,860,000 2,308,500
Gulf Canada Resources, Ltd.,
9.625%, 07/01/05.............................. 4,000,000 4,220,000
Harvard Industries, Inc.,
11.125%, 08/01/05............................. 750,000 750,000
12.000%, 07/15/04............................. 1,125,000 1,184,063
Herff Jones Inc.,
11.000%, 08/15/05............................. 3,500,000 3,745,000
**HMC Acquisition Properties,
9.000%, 12/15/07.............................. 5,500,000 5,555,000
HMH Properties, Inc.,
9.500%, 05/15/05, Series B.................... 3,550,000 3,629,875
Hollywood Casino Corp.,
12.750%, 11/01/03............................. 1,500,000 1,361,250
Horsehead Industries, Inc.,
14.000%, 06/01/99............................. 2,000,000 2,093,400
Host Marriott Travel Plaza,
9.500%, 05/15/05, Series B.................... 5,000,000 4,950,000
Imo Industries, Inc.,
12.000%, 11/01/01............................. 1,500,000 1,530,000
*Indspec Chemical Corp.,
Zero Coupon, 12/01/03, Class B................ 2,500,000 2,087,500
*IntelCom Group (USA), Inc.,
Zero Coupon, 09/15/05......................... 6,300,000 3,654,000
Interlake Corp.,
12.000%, 11/15/01............................. 2,260,000 2,282,600
12.125%, 03/01/02............................. 1,865,000 1,771,750
Intermedia Communications of Florida, Inc.,
13.500%, 06/01/05, Series B................... 3,000,000 3,345,000
International Cabletel, Inc.,
*Zero Coupon, 04/15/05, Series A.............. 4,350,000 2,751,375
*Zero Coupon, 10/15/03........................ 1,500,000 1,080,000
Jones Intercable, Inc.,
10.500%, 03/01/08............................. 2,000,000 2,190,000
11.500%, 07/15/04............................. 1,250,000 1,387,500
JPS Automotive Products Corp.,
11.125%, 06/15/01............................. 2,250,000 2,238,750
K & F Industries, Inc.,
11.875%, 12/01/03............................. 1,500,000 1,612,500
13.750%, 08/01/01............................. 778,000 807,175
Kaiser Aluminum & Chemical Corp.,
9.875%, 02/15/02.............................. 4,190,000 4,305,225
Lenfest Communications Inc.,
8.375%, 11/01/05.............................. 3,000,000 3,011,250
Louisiana Casino Cruises, Inc.,
11.500%, 12/01/98............................. 1,400,000 1,309,000
*Marcus Cable Operating Co., L.P.,
Zero Coupon, 08/01/04......................... 5,750,000 4,326,875
*Maxxam Group, Inc.,
Zero Coupon, 08/01/03......................... 2,500,000 1,712,500
Metrocall Inc.,
10.375%, 10/01/07............................. 4,500,000 4,770,000
*MFS Communications Company, Inc.,
Zero Coupon, 01/15/04......................... 6,500,000 5,248,750
Miles Homes Services, Inc.,
12.000%, 04/01/01............................. 1,250,000 925,000
MobileMedia Corp.,
9.375%, 11/01/07.............................. 3,500,000 3,605,000
**Mohegan Tribal Gaming,
13.500%, 11/15/02............................. 2,000,000 2,160,000
</TABLE>
B22
<PAGE>
HIGH YIELD BOND PORTFOLIO (CONTINUED)
DECEMBER 31, 1995
<TABLE>
<CAPTION>
PAR MARKET
LONG-TERM BONDS (CONTINUED) VALUE VALUE
------------- --------------
<S> <C> <C>
Motor Wheel Corp.,
11.500%, 03/01/00, Series B................... $ 2,500,000 $ 2,200,000
NewCity Communications, Inc.,
11.375%, 11/01/03............................. 2,250,000 2,070,000
Newflo Corp.,
13.250%, 11/15/02............................. 1,500,000 1,560,000
*Nextel Communications, Inc.,
Zero Coupon, 09/01/03-08/15/04................ 3,525,000 2,144,187
*Pagemart Nationwide, Inc.,
Zero Coupon, 02/01/05......................... 6,500,000 4,257,500
*Pagemart, Inc.,
Zero Coupon, 11/01/03......................... 2,000,000 1,485,000
Paging Network, Inc.,
10.125%, 08/01/07............................. 5,250,000 5,683,125
Pathmark Stores, Inc.,
11.625%, 06/15/02............................. 2,500,000 2,506,250
Penn Traffic Co.,
10.375%, 10/01/04............................. 2,880,000 2,721,600
10.650%, 11/01/04............................. 3,150,000 3,008,250
Petroleum Heat & Power Company, Inc.,
9.375%, 02/01/06.............................. 2,000,000 1,920,000
12.250%, 02/01/05............................. 1,250,000 1,378,125
Pilgrim's Pride Corp.,
10.875%, 08/01/03............................. 1,835,000 1,623,975
*Pricecellular Wireless CRP,
Zero Coupon, 10/01/03......................... 4,490,000 3,468,525
Ralph's Grocery Co., Inc.,
10.450%, 06/15/04............................. 1,450,000 1,471,750
**Remington Arms Co.,
*
10.00%, 12/01/03.............................. 1,000,000 830,000
Repap New Brunswick, Inc.,
9.875%, 07/15/00.............................. 2,100,000 2,079,000
Republic Engineered Steel, Inc.,
9.875%, 12/15/01.............................. 2,000,000 1,800,000
Revlon Consumer Products Corp.,
9.375%, 04/01/01.............................. 3,000,000 3,037,500
Revlon Worldwide Corp.,
Zero Coupon, 03/15/98, Series B............... 3,500,000 2,598,750
Rogers Cablesystems Ltd.,
10.000%, 03/15/05-12/01/07, Series B.......... 5,250,000 5,646,250
++Sam Houston Race Park, Ltd.,
11.000%, 07/15/99............................. 504,736 200,000
Sinclair Broadcast Group,
10.000%, 09/30/05............................. 2,450,000 2,505,125
Specialty Retailers, Inc., Series B,
11.000%, 08/15/03............................. 1,500,000 1,365,000
SPX Corp.,
11.750%, 06/01/02............................. 2,500,000 2,650,000
Stone Consolidated Corp.,
10.250%, 12/15/00............................. 3,500,000 3,745,000
Stone Container Corp.,
10.750%, 10/01/02............................. 1,500,000 1,548,750
12.625%, 07/15/98............................. 1,500,000 1,582,500
*Talley Industries, Inc.,
Zero Coupon, 10/15/05......................... 2,500,000 1,843,750
*Telewest PLC,
Zero Coupon, 10/01/07......................... 9,025,000 5,448,843
Tenet Healthcare Corp.,
8.625%, 12/01/03.............................. 2,500,000 2,625,000
10.125%, 03/01/05............................. 4,500,000 5,006,250
**Terex Corp.,
13.750%, 05/15/02............................. 2,000,000 1,750,000
Terra Industries, Inc.,
10.500%, 06/15/05, Series B................... 2,500,000 2,756,250
Trism, Inc.,
10.750%, 12/15/00............................. 2,150,000 2,117,750
*Triton Energy Corp.,
Zero Coupon, 12/15/00......................... 2,000,000 1,885,000
</TABLE>
DECEMBER 31, 1995
<TABLE>
<CAPTION>
PAR MARKET
LONG-TERM BONDS (CONTINUED) VALUE VALUE
------------- --------------
<S> <C> <C>
+X+Trump Taj Mahal Funding, Inc.,
11.350%, 11/15/99, Series A................... $ 5,120,000 $ 4,928,000
United International Holdings, Inc.,
Zero Coupon, 11/15/99, Series B............... 1,750,000 1,093,750
United Stationer Supply,
12.750%, 05/01/05............................. 3,500,000 3,823,750
*Videotron Holdings PLC,
Zero Coupon, 08/15/05......................... 3,200,000 1,984,000
Waters Corp.,
12.750%, 09/30/04, Series B................... 1,715,000 1,920,800
Westpoint Stevens, Inc.,
9.375%, 12/15/05.............................. 1,500,000 1,481,250
**Winstar Communications, Inc.,
*
Zero Coupon, 10/15/05......................... 6,825,000 3,605,647
--------------
329,550,096
--------------
UTILITIES -- 0.4%
*California Energy Co., Inc.,
Zero Coupon, 01/15/04......................... 1,500,000 1,417,500
--------------
TOTAL LONG-TERM BONDS
(Cost $335,172,296)............................................ 345,540,934
--------------
<CAPTION>
PRINCIPAL
SHORT-TERM INVESTMENTS -- 2.9% AMOUNT VALUE
------------- --------------
<S> <C> <C>
REPURCHASE AGREEMENTS
Joint Repurchase Agreement Account,
5.839%, 01/02/96 (see Note 4)................. $ 10,502,000 10,502,000
--------------
OTHER ASSETS -- 1.8%
(net of liabilities)........................................... 6,621,339
--------------
TOTAL NET ASSETS -- 100.0%....................................... $ 367,909,387
--------------
--------------
<FN>
The following abbreviations are used in portfolio descriptions:
L.P. Limited Partnership
PLC Public Limited Company (British Corporation)
*Denotes deferred interest security that accrues no interest until a
predetermined date at which time a specified coupon rate becomes effective.
**Indicates a restricted security; the aggregate cost of the restricted
securities is $29,810,655. The aggregate value, $28,448,659 is
approximately 7.7% of net assets. (See Note 2)
+No dividend was paid on this security during the 12 months ending December
31, 1995.
++Non-income producing.
[Payment-in-kind preferred stock--dividend is paid in additional preferred
shares in lieu of cash.
+X+Payment-in-kind bonds--interest is paid in additional bonds in lieu of
cash.
'Bond is currently in default.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS ON PAGES C1 THROUGH C13.
B23
<PAGE>
STOCK INDEX PORTFOLIO
DECEMBER 31, 1995
<TABLE>
<CAPTION>
MARKET
COMMON STOCKS -- 96.1% SHARES VALUE
------------- --------------
<S> <C> <C>
AEROSPACE -- 2.3%
AlliedSignal, Inc............................... 60,600 $ 2,878,500
Boeing Co....................................... 74,150 5,811,506
General Dynamics Corp........................... 13,600 804,100
Lockheed Martin Corp............................ 42,849 3,385,071
Loral Corp...................................... 36,800 1,301,800
McDonnell Douglas Corp.......................... 24,100 2,217,200
Northrop Grumman Corp........................... 10,700 684,800
Raytheon Co..................................... 52,600 2,485,350
Rockwell International Corp..................... 46,200 2,442,825
United Technologies Corp........................ 26,700 2,533,163
--------------
24,544,315
--------------
AIRLINES -- 0.3%
+AMR Corp....................................... 16,800 1,247,400
Delta Air Lines, Inc............................ 11,000 812,625
Southwest Airlines Co........................... 30,700 713,775
+USAir Group, Inc............................... 16,100 213,325
--------------
2,987,125
--------------
ALUMINUM -- 0.4%
Alcan Aluminum, Ltd............................. 49,050 1,526,680
Aluminum Co. of America......................... 38,500 2,035,688
Reynolds Metals Co.............................. 13,300 753,113
--------------
4,315,481
--------------
AUTOS - CARS & TRUCKS -- 2.3%
Chrysler Corp................................... 82,100 4,546,288
Cummins Engine Co., Inc......................... 8,300 307,100
Dana Corp....................................... 21,500 628,875
Echlin, Inc..................................... 13,000 474,500
Ford Motor Co................................... 232,000 6,728,000
General Motors Corp............................. 161,200 8,523,450
Genuine Parts Co................................ 26,650 1,092,650
Johnson Controls, Inc........................... 8,700 598,125
+Navistar International Corp.................... 14,500 152,250
Safety Kleen Corp............................... 11,050 172,656
--------------
23,223,894
--------------
BANKS AND SAVINGS & LOANS -- 6.3%
Banc One Corp................................... 84,822 3,202,030
Bank of Boston Corp............................. 24,200 1,119,250
Bank of New York Company, Inc................... 43,000 2,096,250
BankAmerica Corp................................ 79,948 5,176,632
Bankers Trust NY Corp........................... 16,500 1,097,250
Barnett Banks, Inc.............................. 20,900 1,233,100
Boatmen's Bancshares, Inc....................... 28,800 1,177,200
Chase Manhattan Corp............................ 38,705 2,346,491
Chemical Banking Corp........................... 53,682 3,153,817
Citicorp........................................ 91,100 6,126,475
Comerica, Inc................................... 24,400 979,050
CoreStates Financial Corp....................... 30,200 1,143,825
First Bank System, Inc.......................... 28,900 1,434,162
First Chicago NBD Corp.......................... 68,115 2,690,543
First Fidelity Bancorp.......................... 17,500 1,319,063
First Interstate Bancorp........................ 16,300 2,224,950
First Union Corp................................ 36,700 2,041,438
Fleet Financial Group, Inc...................... 55,100 2,245,325
Golden West Financial Corp...................... 12,200 674,050
Great Western Financial Corp.................... 29,800 759,900
H.F. Ahmanson & Co.............................. 25,000 662,500
J.P. Morgan & Co., Inc.......................... 40,250 3,230,063
KeyCorp......................................... 51,000 1,848,750
Mellon Bank Corp................................ 31,350 1,685,063
NationsBank Corp................................ 58,139 4,047,928
Norwest Corp.................................... 75,100 2,478,300
</TABLE>
DECEMBER 31, 1995
<TABLE>
<CAPTION>
MARKET
COMMON STOCKS (CONTINUED) SHARES VALUE
------------- --------------
<S> <C> <C>
PNC Bank Corp................................... 50,100 $ 1,615,725
Suntrust Banks, Inc............................. 24,400 1,671,400
U.S. Bancorp.................................... 32,600 1,096,175
Wachovia Corp................................... 36,400 1,665,300
Wells Fargo & Co................................ 10,400 2,246,400
--------------
64,488,405
--------------
BEVERAGES -- 3.6%
Adolph Coors Co. (Class 'B' Stock).............. 9,500 210,187
Anheuser-Busch Companies, Inc................... 55,000 3,678,125
Brown-Forman Corp. (Class 'B' Stock)............ 15,300 558,450
Coca-Cola Co.................................... 270,500 20,084,625
PepsiCo, Inc.................................... 170,000 9,498,750
Seagram Co., Ltd................................ 79,900 2,766,538
--------------
36,796,675
--------------
CHEMICALS -- 2.4%
Air Products & Chemicals, Inc................... 23,900 1,260,725
Dow Chemical Co................................. 57,600 4,053,600
E.I. du Pont de Nemours & Co.................... 119,900 8,378,012
Eastman Chemical Co............................. 17,100 1,070,887
+FMC Corp....................................... 8,000 541,000
Hercules, Inc................................... 24,100 1,358,638
Mallinckrodt Group, Inc......................... 17,300 629,288
Monsanto Co..................................... 24,900 3,050,250
Nalco Chemical Co............................... 13,900 418,738
Rohm & Haas Co.................................. 14,600 939,875
Sigma-Aldrich Corp.............................. 10,600 524,700
Union Carbide Corp.............................. 29,900 1,121,250
W.R. Grace & Co................................. 20,400 1,206,150
--------------
24,553,113
--------------
CHEMICALS - SPECIALTY -- 0.4%
Engelhard Corp.................................. 31,375 682,406
Great Lakes Chemical Corp....................... 13,700 986,400
Morton International, Inc....................... 32,000 1,148,000
Praxair, Inc.................................... 29,000 975,125
Raychem Corp.................................... 9,500 540,313
--------------
4,332,244
--------------
COMMERCIAL SERVICES -- 0.5%
+CUC International, Inc......................... 38,350 1,308,694
Deluxe Corp..................................... 17,800 516,200
Dun & Bradstreet Corp........................... 36,160 2,341,360
John H. Harland Co.............................. 5,900 123,162
Moore Corp., Ltd................................ 22,800 424,650
Ogden Corp...................................... 11,000 235,125
--------------
4,949,191
--------------
COMPUTER SERVICES -- 3.8%
3Com Corp....................................... 24,000 1,119,000
+Amdahl Corp.................................... 23,300 198,050
Autodesk, Inc................................... 9,700 332,225
Automatic Data Processing, Inc.................. 31,200 2,316,600
+Cabletron Systems, Inc......................... 15,300 1,239,300
+Ceridian Corp.................................. 14,200 585,750
+Cisco Systems, Inc............................. 58,800 4,387,950
+COMPAQ Computer Corp........................... 57,100 2,740,800
Computer Associates International, Inc.......... 52,475 2,984,516
+Computer Sciences Corp......................... 11,900 835,975
First Data Corp................................. 48,000 3,210,000
+Intergraph Corp................................ 11,300 177,975
+Microsoft Corp................................. 128,300 11,258,325
+Novell, Inc.................................... 81,400 1,159,950
</TABLE>
B24
<PAGE>
STOCK INDEX PORTFOLIO (CONTINUED)
DECEMBER 31, 1995
<TABLE>
<CAPTION>
MARKET
COMMON STOCKS (CONTINUED) SHARES VALUE
------------- --------------
<S> <C> <C>
+Oracle Corp.................................... 94,050 $ 3,985,369
+Silicon Graphics, Inc.......................... 35,700 981,750
+Sun Microsystems, Inc.......................... 41,000 1,870,625
+Tandem Computers, Inc.......................... 24,900 264,562
--------------
39,648,722
--------------
CONSTRUCTION -- 0.2%
Fluor Corp...................................... 18,400 1,214,400
Foster Wheeler Corp............................. 9,000 382,500
Kaufman & Broad Home Corp....................... 6,366 94,694
Pulte Corp...................................... 5,900 198,388
--------------
1,889,982
--------------
CONTAINERS -- 0.1%
Ball Corp....................................... 6,300 173,250
Bemis Co., Inc.................................. 11,400 292,125
+Crown Cork & Seal Co., Inc..................... 20,200 843,350
--------------
1,308,725
--------------
COSMETICS & SOAPS -- 2.2%
Alberto Culver Co. (Class 'B' Stock)............ 5,700 195,937
Avon Products, Inc.............................. 14,400 1,085,400
Clorox Co....................................... 11,400 816,525
Colgate Palmolive Co............................ 31,300 2,198,825
Gillette Co..................................... 96,100 5,009,213
International Flavors & Fragrances, Inc......... 23,900 1,147,200
Procter & Gamble Co............................. 147,852 12,271,716
--------------
22,724,816
--------------
DIVERSIFIED GAS -- 0.2%
Ashland, Inc.................................... 13,400 470,675
Coastal Corp.................................... 22,400 834,400
Eastern Enterprises............................. 4,100 144,525
ENSERCH Corp.................................... 14,400 234,000
NICOR, Inc...................................... 10,300 283,250
ONEOK, Inc...................................... 6,400 146,400
--------------
2,113,250
--------------
DIVERSIFIED OFFICE EQUIPMENT -- 1.9%
Alco Standard Corp.............................. 23,776 1,084,780
Avery Dennison Corp............................. 11,500 576,438
Honeywell, Inc.................................. 27,700 1,346,912
International Business Machines Corp............ 122,800 11,266,900
Pitney Bowes, Inc............................... 32,500 1,527,500
+Unisys Corp.................................... 36,100 203,063
Xerox Corp...................................... 23,182 3,175,934
--------------
19,181,527
--------------
DRUGS AND HOSPITAL SUPPLIES -- 9.1%
Abbott Laboratories............................. 170,600 7,122,550
Allergan, Inc................................... 13,500 438,750
+ALZA Corp...................................... 17,000 420,750
American Home Products Corp..................... 67,700 6,566,900
+Amgen, Inc..................................... 58,800 3,491,250
Bausch & Lomb, Inc.............................. 12,300 487,387
Baxter International, Inc....................... 60,300 2,525,062
Becton, Dickinson & Co.......................... 14,000 1,050,000
+Biomet, Inc.................................... 26,100 466,537
+Boston Scientific Corp......................... 35,400 1,734,600
Bristol-Myers Squibb Co......................... 109,440 9,398,160
C.R. Bard, Inc.................................. 12,800 412,800
Eli Lilly & Co.................................. 118,800 6,682,500
Johnson & Johnson............................... 139,700 11,961,813
Medtronic, Inc.................................. 49,600 2,771,400
Merck & Co., Inc................................ 266,550 17,525,663
</TABLE>
DECEMBER 31, 1995
<TABLE>
<CAPTION>
MARKET
COMMON STOCKS (CONTINUED) SHARES VALUE
------------- --------------
<S> <C> <C>
Pfizer, Inc..................................... 137,000 $ 8,631,000
+Pharmacia & Upjohn, Inc........................ 108,525 4,205,344
Schering-Plough Corp............................ 80,000 4,380,000
St. Jude Medical, Inc........................... 15,000 645,000
United States Surgical Corp..................... 12,200 260,775
Warner-Lambert Co............................... 28,900 2,806,913
--------------
93,985,154
--------------
ELECTRICAL EQUIPMENT -- 0.3%
+Applied Materials, Inc......................... 38,300 1,508,063
W.W. Grainger, Inc.............................. 10,500 695,625
Westinghouse Electric Corp...................... 84,100 1,387,650
--------------
3,591,338
--------------
ELECTRONICS -- 4.2%
+Advanced Micro Devices, Inc.................... 21,800 359,700
AMP, Inc........................................ 47,344 1,816,826
Apple Computer, Inc............................. 26,000 828,750
+Cray Research, Inc............................. 4,700 116,325
+Data General Corp.............................. 9,000 123,750
+Digital Equipment Corp......................... 32,300 2,071,238
EG&G, Inc....................................... 11,800 286,150
Emerson Electric Co............................. 48,600 3,973,050
Harris Corp..................................... 8,100 442,462
Hewlett-Packard Co.............................. 110,300 9,237,625
Intel Corp...................................... 179,200 10,169,600
+LSI Logic Corp................................. 27,000 884,250
Micron Technology, Inc.......................... 44,400 1,759,350
Motorola, Inc................................... 127,000 7,239,000
+National Semiconductor Corp.................... 27,500 611,875
Perkin-Elmer Corp............................... 9,300 351,075
Tandy Corp...................................... 14,965 621,048
Tektronix, Inc.................................. 7,200 353,700
Texas Instruments, Inc.......................... 40,400 2,090,700
Thomas & Betts Corp............................. 4,000 295,000
--------------
43,631,474
--------------
ENVIRONMENTAL SERVICES -- 0.1%
Laidlaw, Inc. (Class 'B' Stock)................. 61,800 633,450
--------------
FINANCIAL SERVICES -- 2.7%
American Express Co............................. 104,000 4,303,000
Beneficial Corp................................. 11,300 526,862
Dean Witter Discover and Company................ 36,345 1,708,215
Federal Home Loan Mortgage Corp................. 39,250 3,277,375
Federal National Mortgage Association........... 58,900 7,310,962
H & R Block, Inc................................ 22,600 915,300
Household International , Inc................... 21,300 1,259,362
MBNA Corp....................................... 32,300 1,191,063
Merrill Lynch & Co., Inc........................ 38,100 1,943,100
Morgan Stanley Group, Inc....................... 16,500 1,330,313
National City Corp.............................. 32,400 1,073,250
Republic New York Corp.......................... 12,300 764,138
Salomon, Inc.................................... 22,800 809,400
Transamerica Corp............................... 14,800 1,078,550
--------------
27,490,890
--------------
FOODS -- 4.4%
Archer-Daniels-Midland Co....................... 115,722 2,082,996
Campbell Soup Co................................ 53,500 3,210,000
ConAgra, Inc.................................... 51,900 2,140,875
CPC International, Inc.......................... 31,400 2,154,825
Fleming Companies, Inc.......................... 7,400 152,625
General Mills, Inc.............................. 34,000 1,963,500
Giant Food, Inc. (Class 'A' Stock).............. 12,200 384,300
H.J. Heinz & Co................................. 78,650 2,605,281
</TABLE>
B25
<PAGE>
STOCK INDEX PORTFOLIO (CONTINUED)
DECEMBER 31, 1995
<TABLE>
<CAPTION>
MARKET
COMMON STOCKS (CONTINUED) SHARES VALUE
------------- --------------
<S> <C> <C>
Hershey Foods Corp.............................. 17,600 $ 1,144,000
Kellogg Co...................................... 47,100 3,638,475
Philip Morris Companies, Inc.................... 181,200 16,398,600
Pioneer Hi-Bred International, Inc.............. 18,300 1,017,937
Quaker Oats Co.................................. 28,400 979,800
Ralston-Ralston Purina Group.................... 22,940 1,430,883
Sara Lee Corp................................... 104,000 3,315,000
Sysco Corp...................................... 38,900 1,264,250
W. M. Wrigley, Jr. Co........................... 24,900 1,307,250
--------------
45,190,597
--------------
FOREST PRODUCTS -- 1.6%
Boise Cascade Corp.............................. 9,886 342,302
Champion International Corp..................... 21,100 886,200
Federal Paper Board Co., Inc.................... 10,400 539,500
Georgia-Pacific Corp............................ 19,300 1,324,462
International Paper Co.......................... 54,600 2,067,975
James River Corp. of Virginia................... 18,500 446,313
Kimberly-Clark Corp............................. 60,194 4,981,054
Louisiana-Pacific Corp.......................... 24,200 586,850
Mead Corp....................................... 11,700 611,325
Potlatch Corp................................... 5,800 232,000
Stone Container Corp............................ 21,566 310,011
Temple Inland, Inc.............................. 12,100 533,913
Union Camp Corp................................. 15,200 723,900
Westvaco Corp................................... 21,300 591,075
Weyerhaeuser Co................................. 43,700 1,890,025
Willamette Industries, Inc...................... 12,000 675,000
--------------
16,741,905
--------------
GAS PIPELINES -- 0.6%
+Columbia Gas System, Inc....................... 10,700 469,462
Consolidated Natural Gas Co..................... 19,900 902,962
Enron Corp...................................... 54,000 2,058,750
NorAm Energy Corp............................... 29,700 263,588
Panhandle Eastern Corp.......................... 33,190 925,171
Peoples Energy Corp............................. 7,900 250,825
Williams Companies, Inc......................... 22,100 969,638
--------------
5,840,396
--------------
HOSPITAL MANAGEMENT -- 0.8%
+Beverly Enterprises, Inc....................... 20,200 214,625
Columbia/HCA Healthcare Corp.................... 95,632 4,853,324
Community Psychiatric Centers................... 7,900 96,775
+Humana, Inc.................................... 34,400 941,700
Manor Care, Inc................................. 13,050 456,750
Service Corp. International..................... 22,900 1,007,600
Shared Medical Systems Corp..................... 4,700 255,563
+Tenet Healthcare Corp.......................... 43,500 902,625
--------------
8,728,962
--------------
HOUSING RELATED -- 0.5%
Armstrong World Industries, Inc................. 7,800 483,600
Centex Corp..................................... 6,000 208,500
Fleetwood Enterprises, Inc...................... 9,600 247,200
Lowe's Companies, Inc........................... 34,900 1,169,150
Masco Corp...................................... 34,300 1,076,163
Maytag Corp..................................... 23,000 465,750
+Owens-Corning Fiberglas Corp................... 11,800 529,525
Stanley Works................................... 9,500 489,250
Whirlpool Corp.................................. 16,400 873,300
--------------
5,542,438
--------------
INSURANCE -- 4.0%
Aetna Life & Casualty Co........................ 24,500 1,696,625
Alexander & Alexander Services, Inc............. 9,400 178,600
</TABLE>
DECEMBER 31, 1995
<TABLE>
<CAPTION>
MARKET
COMMON STOCKS (CONTINUED) SHARES VALUE
------------- --------------
<S> <C> <C>
Allstate Corp................................... 96,594 $ 3,972,428
American General Corp........................... 44,000 1,534,500
American International Group, Inc............... 102,437 9,475,422
Chubb Corp...................................... 19,000 1,838,250
CIGNA Corp...................................... 16,300 1,682,975
General Re Corp................................. 17,650 2,735,750
+ITT Hartford Group, Inc........................ 25,000 1,209,375
Jefferson-Pilot Corp............................ 15,375 714,938
Lincoln National Corp........................... 22,700 1,220,125
Marsh & McLennan Companies, Inc................. 15,600 1,384,500
Providian Corp.................................. 20,500 835,375
SAFECO Corp..................................... 26,800 924,600
St. Paul Companies, Inc......................... 18,300 1,017,938
Torchmark Corp.................................. 16,000 724,000
Travelers Group, Inc............................ 68,731 4,321,461
U.S. Healthcare, Inc............................ 32,600 1,515,900
United Healthcare Corp.......................... 37,700 2,469,350
UNUM Corp....................................... 15,300 841,500
USF&G Corp...................................... 23,800 401,625
USLIFE Corp..................................... 6,900 206,138
--------------
40,901,375
--------------
LEISURE -- 1.0%
+Bally Entertainment Corporation................ 10,200 142,800
Brunswick Corp.................................. 20,300 487,200
Handleman Co.................................... 5,850 33,638
+Harrah's Entertainment, Inc.................... 22,450 544,412
Hasbro, Inc..................................... 18,900 585,900
+King World Productions, Inc.................... 7,550 293,506
Mattel, Inc..................................... 47,445 1,458,934
Outboard Marine Corp............................ 3,900 79,463
Walt Disney Co.................................. 113,200 6,678,800
--------------
10,304,653
--------------
LODGING -- 0.4%
Hilton Hotels Corp.............................. 10,600 651,900
Loews Corp...................................... 25,200 1,975,050
Marriott International, Inc..................... 26,900 1,028,925
--------------
3,655,875
--------------
MACHINERY -- 1.0%
Briggs & Stratton Corp.......................... 6,300 273,262
Caterpillar, Inc................................ 42,200 2,479,250
Cincinnati Milacron, Inc........................ 6,900 181,125
Cooper Industries, Inc.......................... 23,000 845,250
Deere & Co...................................... 56,300 1,984,575
Dover Corp...................................... 24,600 907,125
Eaton Corp...................................... 18,200 975,975
Giddings & Lewis, Inc........................... 6,900 113,850
Harnischfeger Industries, Inc................... 9,500 315,875
Ingersoll-Rand Co............................... 22,900 804,363
PACCAR, Inc..................................... 8,630 363,539
Parker-Hannifin Corp............................ 16,150 553,138
Snap-On, Inc.................................... 9,000 407,250
Timken Co....................................... 6,400 244,800
+Varity Corp.................................... 8,810 327,071
--------------
10,776,448
--------------
MEDIA -- 2.5%
Capital Cities/ABC, Inc......................... 33,100 4,083,713
Comcast Corp. (Special Class 'A' Stock)......... 50,500 918,469
Dow Jones & Co., Inc............................ 21,500 857,313
Gannett Co., Inc................................ 30,000 1,841,250
Interpublic Group of Companies, Inc............. 17,400 754,725
Knight-Ridder, Inc.............................. 10,500 656,250
</TABLE>
B26
<PAGE>
STOCK INDEX PORTFOLIO (CONTINUED)
DECEMBER 31, 1995
<TABLE>
<CAPTION>
MARKET
COMMON STOCKS (CONTINUED) SHARES VALUE
------------- --------------
<S> <C> <C>
McGraw-Hill, Corporation, Inc................... 10,900 $ 949,663
Meredith Corp................................... 5,800 242,875
New York Times Co. (Class 'A' Stock)............ 21,300 631,013
R. R. Donnelley & Sons Co....................... 32,800 1,291,500
+Tele-Communications, Inc. (Series 'A' Stock)... 142,500 2,832,187
Time Warner, Inc................................ 82,840 3,137,565
Times Mirror Co. (Class 'A' Stock).............. 24,000 813,000
Tribune Co...................................... 13,700 837,412
+US West Media Group............................ 101,700 1,932,300
+Viacom, Inc. (Class 'B' Stock)................. 78,867 3,736,323
--------------
25,515,558
--------------
MINERAL RESOURCES -- 1.0%
ASARCO, Inc..................................... 8,700 278,400
Barrick Gold Corporation........................ 75,400 1,988,675
Burlington Resources, Inc....................... 27,700 1,087,225
Cyprus Amax Minerals Co......................... 20,800 543,400
Echo Bay Mines, Ltd............................. 26,400 273,900
Freeport-McMoRan Copper & Gold, Inc. (Class 'B'
Stock)........................................ 42,800 1,203,750
Homestake Mining Co............................. 28,800 450,000
Inco, Ltd....................................... 26,000 864,500
Newmont Mining Corp............................. 20,200 914,050
Phelps Dodge Corp............................... 15,200 946,200
Pittston Services Group......................... 8,600 269,825
Placer Dome, Inc................................ 50,900 1,227,962
Sante Fe Pacific Gold Corp...................... 34,916 423,357
--------------
10,471,244
--------------
MISCELLANEOUS - BASIC INDUSTRY -- 4.1%
Browning-Ferris Industries, Inc................. 46,200 1,362,900
Crane Co........................................ 6,600 243,375
Ecolab, Inc..................................... 13,400 402,000
General Electric Co............................. 361,500 26,028,000
General Signal Corp............................. 10,662 345,181
Illinois Tool Works, Inc........................ 25,100 1,480,900
ITT Corp........................................ 25,000 1,325,000
ITT Industries, Inc............................. 25,000 600,000
Millipore Corp.................................. 11,000 452,375
NACCO Industries, Inc. (Class 'A' Stock)........ 1,600 88,800
Pall Corp....................................... 25,100 674,563
PPG Industries Inc.............................. 43,200 1,976,400
Teledyne, Inc................................... 11,800 302,375
Textron, Inc.................................... 18,100 1,221,750
Trinova Corp.................................... 5,600 160,300
TRW, Inc........................................ 14,300 1,108,250
Tyco International, Ltd......................... 33,300 1,186,313
WMX Technologies, Inc........................... 104,100 3,109,988
--------------
42,068,470
--------------
MISCELLANEOUS - CONSUMER GROWTH/STABLE -- 2.1%
American Greetings Corp. (Class 'A' Stock)...... 16,300 450,288
Black & Decker Corp............................. 18,800 662,700
Corning, Inc.................................... 49,700 1,590,400
Dial Corp....................................... 20,900 619,163
Eastman Kodak Co................................ 74,100 4,964,700
Jostens, Inc.................................... 9,900 240,075
Minnesota Mining & Manufacturing Co............. 90,500 5,995,625
Polaroid Corp................................... 9,500 450,062
Premark International, Inc...................... 14,000 708,750
Rubbermaid, Inc................................. 33,300 849,150
</TABLE>
DECEMBER 31, 1995
<TABLE>
<CAPTION>
MARKET
COMMON STOCKS (CONTINUED) SHARES VALUE
------------- --------------
<S> <C> <C>
Unilever N.V., ADR.............................. 34,500 $ 4,855,875
Whitman Corp.................................... 21,700 504,525
--------------
21,891,313
--------------
PETROLEUM -- 8.0%
Amerada Hess Corp............................... 19,900 1,054,700
Amoco Corp...................................... 107,130 7,699,969
Atlantic Richfield Co........................... 34,485 3,819,213
Chevron Corp.................................... 141,500 7,428,750
Exxon Corp...................................... 267,900 21,465,487
Kerr-McGee Corp................................. 11,400 723,900
Louisiana Land & Exploration Co................. 7,600 325,850
Mobil Corp...................................... 85,400 9,564,800
Occidental Petroleum Corp....................... 68,400 1,462,050
Pennzoil Co..................................... 10,000 422,500
Phillips Petroleum Co........................... 56,800 1,938,300
Royal Dutch Petroleum Co........................ 115,600 16,314,050
+Santa Fe Energy Resources, Inc................. 17,970 172,961
Sun Co., Inc.................................... 19,000 520,125
Tenneco, Inc.................................... 39,100 1,940,338
Texaco, Inc..................................... 56,700 4,450,950
Unocal Corp..................................... 53,300 1,552,363
USX-Marathon Group.............................. 63,700 1,242,150
--------------
82,098,456
--------------
PETROLEUM SERVICES -- 0.8%
Baker Hughes, Inc............................... 30,200 736,125
Dresser Industries, Inc......................... 40,400 984,750
Halliburton Co.................................. 24,800 1,255,500
Helmerich & Payne, Inc.......................... 5,100 151,725
McDermott International, Inc.................... 10,900 239,800
+Oryx Energy Co................................. 21,500 287,563
+Rowan Companies, Inc........................... 15,200 150,100
Schlumberger, Ltd............................... 52,200 3,614,850
Sonat, Inc...................................... 18,400 655,500
+Western Atlas, Inc............................. 11,300 570,650
--------------
8,646,563
--------------
RAILROADS -- 1.0%
Burlington Northern Sante Fe, Inc............... 31,642 2,468,076
Conrail Inc..................................... 17,000 1,190,000
CSX Corp........................................ 45,112 2,058,235
Norfolk Southern Corp........................... 27,900 2,214,563
Union Pacific Corp.............................. 43,800 2,890,800
--------------
10,821,674
--------------
RESTAURANTS -- 0.8%
Darden Restaurants, Inc......................... 35,000 415,625
Luby's Cafeterias, Inc.......................... 4,550 101,238
McDonald's Corp................................. 149,200 6,732,650
+Ryan's Family Steak Houses, Inc................ 8,500 59,500
+Shoney's, Inc.................................. 7,900 80,975
Wendy's International, Inc...................... 21,900 465,375
--------------
7,855,363
--------------
RETAIL -- 4.8%
Albertson's, Inc................................ 54,600 1,794,975
American Stores Co.............................. 31,900 853,325
Brown Group, Inc................................ 3,000 42,750
Charming Shoppes, Inc........................... 18,300 52,613
Circuit City Stores, Inc........................ 21,500 593,938
Dayton-Hudson Corp.............................. 15,214 1,141,050
Dillard Department Stores, Inc. (Class 'A'
Stock)........................................ 24,850 708,225
+Federated Department Stores, Inc............... 43,500 1,196,250
Great Atlantic & Pacific Tea Co., Inc........... 9,100 209,300
</TABLE>
B27
<PAGE>
STOCK INDEX PORTFOLIO (CONTINUED)
DECEMBER 31, 1995
<TABLE>
<CAPTION>
MARKET
COMMON STOCKS (CONTINUED) SHARES VALUE
------------- --------------
<S> <C> <C>
Harcourt General, Inc........................... 15,406 $ 645,126
Home Depot, Inc................................. 103,949 4,976,558
J.C. Penney Co., Inc............................ 49,000 2,333,625
K mart Corp..................................... 95,000 688,750
+Kroger Co...................................... 26,600 997,500
Liz Claiborne, Inc.............................. 15,600 432,900
Longs Drug Stores, Inc.......................... 4,600 220,225
May Department Stores Co........................ 53,200 2,247,700
Melville Corp................................... 22,400 688,800
Mercantile Stores Co., Inc...................... 8,000 370,000
Newell Co....................................... 34,800 900,450
Nike, Inc. (Class 'B' Stock).................... 30,600 2,130,525
Nordstrom, Inc.................................. 17,200 696,600
Pep Boys-Manny, Moe & Jack...................... 13,200 338,250
+Price/Costco, Inc.............................. 42,566 649,131
Reebok International, Ltd....................... 16,700 471,775
Rite Aid Corp................................... 18,500 633,625
Sears, Roebuck & Co............................. 84,100 3,279,900
Sherwin-Williams Co............................. 18,300 745,725
Stride Rite Corp................................ 9,400 70,500
Supervalu, Inc.................................. 15,100 475,650
The Gap, Inc.................................... 30,500 1,281,000
The Limited, Inc................................ 76,600 1,330,925
TJX Companies, Inc.............................. 14,300 269,913
+Toys 'R' Us, Inc............................... 59,750 1,299,563
Wal-Mart Stores, Inc............................ 495,300 11,082,337
Walgreen Co..................................... 53,700 1,604,287
Winn Dixie Stores, Inc.......................... 32,600 1,202,125
Woolworth Corp.................................. 29,200 379,600
--------------
49,035,491
--------------
RUBBER -- 0.2%
B.F. Goodrich Co................................ 5,400 367,875
Cooper Tire & Rubber Co......................... 17,400 428,475
Goodyear Tire & Rubber Co....................... 33,100 1,501,913
--------------
2,298,263
--------------
STEEL -- 0.3%
+Armco, Inc..................................... 26,700 156,862
+Bethlehem Steel Corp........................... 23,600 330,400
Inland Steel Industries, Inc.................... 10,100 253,763
Nucor Corp...................................... 19,300 1,102,512
USX-U.S. Steel Group............................ 17,740 545,505
Worthington Industries, Inc..................... 19,100 397,519
--------------
2,786,561
--------------
TELECOMMUNICATIONS -- 5.1%
+Airtouch Communications, Inc................... 106,800 3,017,100
Alltel Corp..................................... 41,600 1,227,200
Ameritech Corp.................................. 119,100 7,026,900
+Andrew Corp.................................... 8,050 307,913
AT&T Corp....................................... 343,373 22,233,401
+DSC Communications Corp........................ 25,000 921,875
MCI Communications Corp......................... 148,200 3,871,725
Northern Telecom, Ltd........................... 55,300 2,377,900
SBC Communications, Inc......................... 131,600 7,567,000
Scientific-Atlanta, Inc......................... 16,500 247,500
Sprint Corp..................................... 74,800 2,982,650
+Tellabs, Inc................................... 18,500 684,500
--------------
52,465,664
--------------
TEXTILES -- 0.2%
+Fruit of the Loom, Inc. (Class 'A' Stock)...... 18,000 438,750
National Service Industries, Inc................ 11,000 356,125
Russell Corp.................................... 8,400 233,100
</TABLE>
DECEMBER 31, 1995
<TABLE>
<CAPTION>
MARKET
COMMON STOCKS (CONTINUED) SHARES VALUE
------------- --------------
<S> <C> <C>
Springs Industries, Inc......................... 4,200 $ 173,775
V.F. Corp....................................... 13,918 734,175
--------------
1,935,925
--------------
TOBACCO -- 0.3%
American Brands, Inc............................ 40,000 1,785,000
UST, Inc........................................ 41,600 1,388,400
--------------
3,173,400
--------------
TRUCKING/SHIPPING -- 0.2%
Consolidated Freightways, Inc................... 9,200 243,800
+Federal Express Corp........................... 12,000 886,500
Roadway Services, Inc........................... 8,400 410,550
Ryder System, Inc............................... 17,900 443,025
Yellow Corp..................................... 6,000 74,250
--------------
2,058,125
--------------
UTILITY - COMMUNICATIONS -- 3.5%
Bell Atlantic Corp.............................. 94,400 6,313,000
BellSouth Corp.................................. 214,000 9,309,000
GTE Corp........................................ 208,920 9,192,480
NYNEX Corp...................................... 92,100 4,973,400
Pacific Telesis Group........................... 92,600 3,113,675
U S West Communications, Inc.................... 101,900 3,642,925
--------------
36,544,480
--------------
UTILITY - ELECTRIC -- 3.6%
American Electric Power Co., Inc................ 39,700 1,607,850
Baltimore Gas & Electric Co..................... 32,450 924,825
Carolina Power & Light Co....................... 33,100 1,141,950
Central & South West Corp....................... 41,000 1,142,875
CINergy Corp.................................... 33,739 1,033,257
Consolidated Edison Co. of NY, Inc.............. 50,200 1,606,400
Detroit Edison Co............................... 31,000 1,069,500
Dominion Resources, Inc......................... 37,150 1,532,438
Duke Power Co................................... 44,000 2,084,500
Entergy Corp.................................... 48,500 1,418,625
FPL Group, Inc.................................. 40,000 1,855,000
General Public Utilities Corp................... 26,200 890,800
Houston Industries, Inc......................... 56,200 1,362,850
Niagara Mohawk Power Corp....................... 31,700 305,113
Northern States Power Co........................ 14,600 717,225
Ohio Edison Co.................................. 33,700 791,950
P P & L Resources, Inc.......................... 33,700 842,500
Pacific Enterprises............................. 19,100 539,575
Pacific Gas & Electric Co....................... 90,900 2,579,287
PacifiCorp...................................... 62,700 1,332,375
PECO Energy Co.................................. 48,500 1,461,062
Public Service Enterprise Group, Inc............ 53,000 1,623,125
SCEcorp......................................... 95,100 1,688,025
Southern Co..................................... 143,800 3,541,075
Texas Utilities Co.............................. 48,629 1,999,868
Unicom Corp..................................... 46,900 1,535,975
Union Electric Company.......................... 21,800 910,150
--------------
37,538,175
--------------
TOTAL COMMON STOCKS
(Cost $683,558,889)............................................ 991,277,137
--------------
<CAPTION>
MARKET
PREFERRED STOCKS -- 0.0% SHARES VALUE
------------- --------------
<S> <C> <C>
MISCELLANEOUS - BASIC INDUSTRY
Teledyne, Inc. (Cum.), Series E................. 442 6,354
--------------
(Cost $6,630)
</TABLE>
B28
<PAGE>
STOCK INDEX PORTFOLIO (CONTINUED)
DECEMBER 31, 1995
<TABLE>
<CAPTION>
PRINCIPAL
SHORT-TERM INVESTMENTS -- 4.2% AMOUNT VALUE
------------- --------------
<S> <C> <C>
REPURCHASE AGREEMENTS -- 4.1%
Joint Repurchase Agreement Account,
5.838%, 01/02/96 (see Note 4)................. $ 41,878,000 $ 41,878,000
--------------
U. S. GOVERNMENT & AGENCY OBLIGATIONS -- 0.1%
US Treasury Bills,
5.255%, 03/14/96.............................. 1,300,000 1,286,336
5.280%, 03/14/96.............................. 100,000 98,944
--------------
1,385,280
--------------
TOTAL SHORT-TERM INVESTMENTS..................................... 43,263,280
--------------
##
VARIATION MARGIN ON OPEN FUTURES CONTRACTS -- 0.0%...............
42,000
--------------
LIABILITIES -- (0.3%)
(net of other assets).......................................... (3,310,703)
--------------
TOTAL NET ASSETS -- 100.0%....................................... $1,031,278,068
--------------
--------------
<FN>
The following abbreviations are used in portfolio descriptions:
ADR American Depository Receipt
+No dividend was paid on this security during the 12 months ending December
31, 1995.
##Open futures contracts as of December 31, 1995 are as follows:
PAR VALUE
COVERED BY CONTRACT TYPE EXPIRATION DATE VALUE OF CONTRACTS
S&P 500 Index Futures
(120 contracts)
$37,454,650 Mar 96 $37,107,000
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS ON PAGES C1 THROUGH C13.
B29
<PAGE>
HIGH DIVIDEND STOCK PORTFOLIO
DECEMBER 31, 1995
<TABLE>
<CAPTION>
MARKET
COMMON STOCKS -- 78.7% SHARES VALUE
------------- --------------
<S> <C> <C>
AEROSPACE -- 4.0%
Northrop Grumman Corp........................... 388,600 $ 24,870,400
Thiokol Corp.................................... 606,100 20,531,638
--------------
45,402,038
--------------
AUTOS - CARS & TRUCKS -- 3.1%
Chrysler Corp................................... 624,017 34,554,941
--------------
CHEMICALS -- 1.8%
Dow Chemical Co................................. 278,800 19,620,550
--------------
COMMERCIAL SERVICES -- 1.2%
Dun & Bradstreet Corp........................... 195,600 12,665,100
John H. Harland Co.............................. 32,400 676,350
--------------
13,341,450
--------------
COMPUTER SERVICES -- 1.5%
+Amdahl Corp.................................... 800,000 6,800,000
+Intergraph Corp................................ 607,700 9,571,275
--------------
16,371,275
--------------
DIVERSIFIED GAS -- 0.5%
British Gas, PLC, ADR........................... 110,600 4,327,225
Yankee Energy System, Inc....................... 30,400 767,600
--------------
5,094,825
--------------
DIVERSIFIED OFFICE EQUIPMENT -- 4.0%
International Business Machines Corp............ 479,100 43,957,425
--------------
ELECTRICAL EQUIPMENT -- 3.1%
Kuhlman Corp.................................... 560,000 7,000,000
Westinghouse Electric Corp...................... 1,669,500 27,546,750
--------------
34,546,750
--------------
ELECTRONICS -- 7.0%
+Digital Equipment Corp......................... 319,100 20,462,287
+IMO Industries, Inc............................ 434,600 2,987,875
Micron Technology, Inc.......................... 451,000 17,870,875
+National Semiconductor Corp.................... 320,000 7,120,000
Newport Corp.................................... 300,500 2,441,563
Pacific Scientific Co........................... 185,700 4,596,075
Texas Instruments, Inc.......................... 429,000 22,200,750
--------------
77,679,425
--------------
FINANCIAL SERVICES -- 7.2%
A.G. Edwards, Inc............................... 211,000 5,037,625
Bear Stearns Companies, Inc..................... 413,380 8,215,928
Lehman Brothers Holdings, Inc................... 1,759,100 37,380,875
Manufactured Home Communities, Inc.............. 581,500 10,176,250
Salomon, Inc.................................... 560,000 19,880,000
--------------
80,690,678
--------------
FOODS -- 1.4%
Philip Morris Companies, Inc.................... 175,000 15,837,500
--------------
FOREST PRODUCTS -- 0.7%
Fletcher Challenge, Ltd., ADR................... 62,400 897,000
Louisiana-Pacific Corp.......................... 71,700 1,738,725
Rayonier, Inc................................... 149,900 5,002,912
--------------
7,638,637
--------------
GAS PIPELINES -- 1.9%
Nova Corp....................................... 927,000 7,416,000
Panhandle Eastern Corp.......................... 299,600 8,351,350
TransCanada Pipelines, Ltd...................... 389,600 5,357,000
--------------
21,124,350
--------------
</TABLE>
DECEMBER 31, 1995
<TABLE>
<CAPTION>
MARKET
COMMON STOCKS (CONTINUED) SHARES VALUE
------------- --------------
<S> <C> <C>
HOUSING RELATED -- 0.7%
Irvine Apartment Communities, Inc............... 400,000 $ 7,700,000
--------------
INSURANCE -- 6.4%
Alexander & Alexander Services, Inc............. 812,000 15,428,000
Fremont General Corp............................ 96,260 3,537,555
Marsh & McLennan Companies, Inc................. 243,800 21,637,250
Ohio Casualty Corp.............................. 314,900 12,202,374
SAFECO Corp..................................... 350,200 12,081,900
Selective Insurance Group, Inc.................. 198,800 7,057,400
--------------
71,944,479
--------------
MACHINERY -- 0.4%
+Esterline Technologies Corp.................... 188,700 4,458,038
--------------
MEDIA -- 0.7%
Gannett Co., Inc................................ 120,000 7,365,000
--------------
MINERAL RESOURCES -- 0.6%
Coeur D'Alene Mines Corp........................ 194,678 3,333,861
Echo Bay Mines, Ltd............................. 298,499 3,096,926
--------------
6,430,787
--------------
MISCELLANEOUS - BASIC INDUSTRY -- 0.5%
Morrison Knudsen Corp........................... 1,172,900 4,984,825
United Industrial Corp.......................... 31,700 182,275
--------------
5,167,100
--------------
PETROLEUM -- 3.1%
KN Energy, Inc.................................. 261,900 7,627,837
Mobil Corp...................................... 600 67,200
Petroleum Heat and Power Co., Inc. (Class 'A'
Stock)........................................ 47,300 384,313
Quaker State Corp............................... 544,400 6,873,050
Tenneco, Inc.................................... 227,700 11,299,613
USX-Marathon Group.............................. 430,600 8,396,700
--------------
34,648,713
--------------
PETROLEUM SERVICES -- 6.9%
Baker Hughes, Inc............................... 908,200 22,137,375
**+Crestar Energy, Inc.......................... 200,000 2,766,581
Dresser Industries, Inc......................... 577,600 14,079,000
McDermott International, Inc.................... 1,091,400 24,010,800
Sonat, Inc...................................... 206,300 7,349,438
+Varco International, Inc....................... 558,900 6,706,800
--------------
77,049,994
--------------
REAL ESTATE DEVELOPMENT -- 13.2%
Alexander Haagen Properties, Inc................ 420,000 5,145,000
Amli Residential Properties Trust............... 208,300 4,166,000
Avalon Properties, Inc.......................... 265,000 5,697,500
Beacon Properties Corp.......................... 184,800 4,250,400
Bradley Real Estate, Inc........................ 240,000 3,240,000
Carr Realty Corp................................ 26,500 645,937
Crescent Real Estate Equities, Inc.............. 597,000 20,372,625
Crown American Realty Trust..................... 675,100 5,316,413
Equity Residential Properties Trust............. 901,000 27,593,125
Essex Property Trust, Inc....................... 146,000 2,810,500
First Union Real Estate Investments............. 122,100 854,700
Gables Residential Trust........................ 435,800 9,968,925
Glimcher Realty Trust........................... 565,000 9,746,250
JDN Realty Corp................................. 293,200 6,560,350
JP Realty, Inc.................................. 84,000 1,837,500
Kimco Realty Corp............................... 56,250 1,532,813
Malan Realty Investors, Inc..................... 140,000 1,732,500
MGI Properties, Inc............................. 34,800 582,900
Patriot American Hospitality, Inc............... 181,900 4,683,925
</TABLE>
B30
<PAGE>
HIGH DIVIDEND STOCK PORTFOLIO (CONTINUED)
DECEMBER 31, 1995
<TABLE>
<CAPTION>
MARKET
COMMON STOCKS (CONTINUED) SHARES VALUE
------------- --------------
<S> <C> <C>
Pennsylvania Real Estate Investment Trust....... 50,100 $ 1,039,575
Security Capital Pacific Trust.................. 527,034 10,408,921
Simon Property Group, Inc....................... 214,300 5,223,562
Sunstone Hotel Investors, Inc................... 37,800 387,450
Vornado Realty Trust............................ 278,800 10,455,000
Weingarten Realty Investors..................... 62,500 2,375,000
--------------
146,626,871
--------------
RETAIL -- 2.2%
+Gibson Greetings, Inc.......................... 469,900 7,518,400
J.C. Penney Co., Inc............................ 309,800 14,754,225
K mart Corp..................................... 299,200 2,169,200
--------------
24,441,825
--------------
STEEL -- 2.7%
+LTV Corp....................................... 90,000 1,237,500
USX-U.S. Steel Group............................ 928,500 28,551,375
--------------
29,788,875
--------------
TELECOMMUNICATIONS -- 0.6%
Telefonos de Mexico (Class 'L' Stock), ADR SA... 198,000 6,311,250
--------------
TEXTILES -- 0.7%
Garan, Inc...................................... 2,900 48,938
Kellwood Co..................................... 338,900 6,905,087
Oxford Industries, Inc.......................... 34,500 577,875
--------------
7,531,900
--------------
TOBACCO -- 1.2%
RJR Nabisco Holdings Corp....................... 420,000 12,967,500
--------------
TRUCKING/SHIPPING -- 0.3%
Yellow Corp..................................... 259,700 3,213,788
--------------
UTILITY - ELECTRIC -- 1.1%
Centerior Energy Corporation.................... 46,600 413,575
Central Louisiana Electric Co................... 6,100 163,938
Entergy Corp.................................... 177,200 5,183,100
Pacific Gas & Electric Co....................... 240,000 6,810,000
--------------
12,570,613
--------------
TOTAL COMMON STOCKS
(Cost $798,340,265)............................................ 874,076,577
--------------
<CAPTION>
MARKET
PREFERRED STOCKS -- 9.7% SHARES VALUE
------------- --------------
<S> <C> <C>
ALUMINUM -- 1.0%
Kaiser Aluminum Corp. (Cum. Conv.).............. 319,900 4,118,712
Reynolds Metals Co. (Cum. Conv.)................ 146,900 7,436,812
--------------
11,555,524
--------------
DRUGS & HOSPITAL SUPPLIES -- 0.6%
U.S. Surgical Corp. (Cum. Conv.)................ 208,300 5,259,575
--------------
ELECTRICAL EQUIPMENT -- 2.1%
**Westinghouse Electric Corp. (Cum. Conv.),
Series C...................................... 1,457,000 22,492,438
--------------
FINANCIAL SERVICES -- 0.6%
**Parker & Parsley Capital, LLC (Cum. Conv.).... 118,800 5,613,300
--------------
</TABLE>
DECEMBER 31, 1995
<TABLE>
<CAPTION>
MARKET
PREFERRED STOCKS (CONTINUED) SHARES VALUE
------------- --------------
<S> <C> <C>
INSURANCE -- 0.6%
**Alexander & Alexander Services, Inc.
(Cum.Conv.), Series A......................... 100,000 $ 4,950,000
**Unocal Corp. (Cum. Conv.)..................... 30,800 1,697,850
USF&G Corp. (Conv. Ex.), Series A............... 10,900 558,625
--------------
7,206,475
--------------
MISCELLANEOUS - BASIC INDUSTRY -- 0.2%
Hecla Mining Co. (Cum. Conv.), Series B......... 60,000 2,400,000
--------------
PETROLEUM SERVICES -- 1.0%
**McDermott International, Inc. (Cum. Conv.),
Series C...................................... 88,000 3,575,000
Noble Drilling Corp. (Cum. Conv.)............... 88,200 2,271,150
Reading & Bates Corp. (Cum. Conv.).............. 128,100 5,764,500
--------------
11,610,650
--------------
REAL ESTATE DEVELOPMENT -- 0.1%
Security Capital Pacific Trust (Cum. Conv.),
Series A...................................... 54,500 1,335,250
--------------
STEEL -- 1.5%
**Bethlehem Steel Corp. (Cum. Conv.)............ 264,000 11,682,000
USX Corp. (Cum. Conv.).......................... 114,600 5,457,825
--------------
17,139,825
--------------
TEXTILES -- 0.3%
Fieldcrest Cannon, Inc. (Cum. Conv.), Series
A............................................. 85,000 3,782,500
--------------
TOBACCO -- 1.7%
RJR Nabisco Holdings Corp. (Conv.), Series C.... 2,955,000 18,838,125
--------------
TOTAL PREFERRED STOCKS
(Cost $108,249,201)............................................ 107,233,662
--------------
<CAPTION>
MARKET
RIGHTS AND WARRANTS -- 0.0% SHARES VALUE
------------- --------------
<S> <C> <C>
MACHINERY -- 0.0%
**+Terex Corp. (Rights)......................... 16,950 0
--------------
<CAPTION>
PAR MARKET
CONVERTIBLE BONDS -- 5.4% VALUE VALUE
------------- --------------
<S> <C> <C>
INDUSTRIAL -- 5.3%
AMR Corp.,
6.125%, 11/01/24.............................. $ 34,675,000 $ 35,888,625
Baker Hughes, Inc.,
Zero Coupon, 05/05/08......................... 5,940,000 3,801,600
Cross Timbers Oil Co.,
5.250%, 11/01/03.............................. 2,809,000 2,640,460
Malan Realty Investors, Inc.,
9.500%, 07/15/04.............................. 3,000,000 2,490,000
Noble Affiliates, Inc.,
4.250%, 11/01/03.............................. 11,701,000 11,701,000
Oryx Energy Co.,
7.500%, 05/15/14.............................. 1,760,000 1,566,400
--------------
58,088,085
--------------
</TABLE>
B31
<PAGE>
HIGH DIVIDEND STOCK PORTFOLIO (CONTINUED)
DECEMBER 31, 1995
<TABLE>
<CAPTION>
PAR MARKET
CONVERTIBLE BONDS (CONTINUED) VALUE VALUE
------------- --------------
<S> <C> <C>
REAL ESTATE DEVELOPMENT -- 0.1%
Alexander Haagen Properties, Inc.,
7.500%, 01/15/01.............................. $ 600,000 $ 507,000
7.500%, 01/15/01.............................. 1,000,000 835,000
--------------
1,342,000
--------------
TOTAL CONVERTIBLE BONDS
(Cost $57,244,298)............................................. 59,430,085
--------------
<CAPTION>
PRINCIPAL
SHORT-TERM INVESTMENTS -- 5.9% AMOUNT VALUE
------------- --------------
<S> <C> <C>
REPURCHASE AGREEMENTS
Joint Repurchase Agreement Account,
5.838%, 01/02/96 (see Note 4)................. 65,782,000 65,782,000
--------------
OTHER ASSETS -- 0.3%
(net of liabilities)........................................... 3,440,871
--------------
TOTAL NET ASSETS -- 100.0%....................................... $1,109,963,195
--------------
--------------
<FN>
The following abbreviations are used in portfolio descriptions:
ADR American Depository Receipt
PLC Public Limited Company (British Corporation)
SA Sociedad Anonima (Spanish Corporation) or Societe
Anonyme (French Corporation)
**Indicates a restricted security; the aggregate cost of the restricted
securities is $55,599,606. The aggregate value, $52,777,169 is
approximately 4.8% of net assets. (See Note 2)
+No dividend was paid on this security during the 12 months ending Decenber
31, 1995.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS ON PAGES C1 THROUGH C13.
B32
<PAGE>
COMMON STOCK PORTFOLIO
DECEMBER 31, 1995
<TABLE>
<CAPTION>
MARKET
COMMON STOCKS -- 78.9% SHARES VALUE
------------- --------------
<S> <C> <C>
AEROSPACE -- 2.3%
AAR Corp........................................ 650,000 $ 14,300,000
Lockheed Martin Corp............................ 70,300 5,553,700
Loral Corp...................................... 1,800,000 63,675,000
United Technologies Corp........................ 40,900 3,880,388
--------------
87,409,088
--------------
ALUMINUM -- 1.0%
+Alumax, Inc.................................... 267,500 8,192,188
Aluminum Co. of America......................... 600,000 31,725,000
--------------
39,917,188
--------------
AUTOS - CARS & TRUCKS -- 3.9%
Chrysler Corp................................... 1,963,910 108,751,515
General Motors Corp............................. 700,000 37,012,500
+Navistar International Corp.................... 395,200 4,149,600
--------------
149,913,615
--------------
BANKS AND SAVINGS & LOANS -- 7.5%
Bank of New York Company, Inc................... 900,000 43,875,000
BankAmerica Corp................................ 550,000 35,612,500
Chase Manhattan Corp............................ 600,000 36,375,000
Comerica, Inc................................... 1,000,000 40,125,000
First of America Bank Corp...................... 187,000 8,298,125
Great Western Financial Corp.................... 1,000,000 25,500,000
J.P. Morgan & Co., Inc.......................... 395,400 31,730,850
Mellon Bank Corp................................ 276,398 14,856,392
Mercantile Bankshares Corp...................... 279,600 7,793,850
NationsBank Corp................................ 600,000 41,775,000
--------------
285,941,717
--------------
CHEMICALS -- 0.8%
Eastman Chemical Co............................. 466,550 29,217,694
--------------
CHEMICALS - SPECIALTY -- 0.2%
Witco Corp...................................... 268,800 7,862,400
--------------
COMMERCIAL SERVICES -- 0.5%
Wellman, Inc.................................... 798,200 18,159,050
--------------
COMPUTER SERVICES -- 1.9%
+Amdahl Corp.................................... 4,000,000 34,000,000
Comdisco, Inc................................... 1,350,000 30,543,750
Gerber Scientific, Inc.......................... 419,800 6,821,750
+Harris Computer Systems Corp................... 15,000 202,500
--------------
71,568,000
--------------
DIVERSIFIED OFFICE EQUIPMENT -- 0.7%
International Business Machines Corp............ 300,000 27,525,000
--------------
DRUGS AND HOSPITAL SUPPLIES -- 2.3%
Baxter International, Inc....................... 2,100,000 87,937,500
--------------
ELECTRICAL EQUIPMENT -- 0.0%
+Rexel, Inc..................................... 107,199 1,447,187
--------------
ELECTRONICS -- 6.0%
+Digital Equipment Corp......................... 2,500,000 160,312,500
Harris Corp..................................... 300,000 16,387,500
Tandy Corp...................................... 1,218,000 50,547,000
Zero Corp....................................... 120,500 2,138,875
--------------
229,385,875
--------------
FINANCIAL SERVICES -- 7.3%
American Express Co............................. 2,100,000 86,887,500
Dean Witter Discover and Company................ 1,600,000 75,200,000
Lehman Brothers Holdings, Inc................... 900,000 19,125,000
Republic New York Corp.......................... 225,000 13,978,125
</TABLE>
DECEMBER 31, 1995
<TABLE>
<CAPTION>
MARKET
COMMON STOCKS (CONTINUED) SHARES VALUE
------------- --------------
<S> <C> <C>
Salomon, Inc.................................... 700,000 $ 24,850,000
Travelers Group, Inc............................ 900,000 56,587,500
--------------
276,628,125
--------------
FOREST PRODUCTS -- 6.6%
Crown Vantage, Inc.............................. 56,000 798,000
Georgia-Pacific Corp............................ 250,000 17,156,250
International Paper Co.......................... 1,325,400 50,199,525
James River Corp. of Virginia................... 560,000 13,510,000
Kimberly-Clark Corp............................. 1,610,676 133,283,438
Mead Corp....................................... 173,500 9,065,375
Rayonier, Inc................................... 125,000 4,171,875
Temple Inland, Inc.............................. 231,100 10,197,288
Willamette Industries, Inc...................... 214,100 12,043,125
--------------
250,424,876
--------------
GAS PIPELINES -- 0.3%
NorAm Energy Corp............................... 1,300,000 11,537,500
--------------
HEALTHCARE -- 1.7%
+Foundation Health Corp......................... 1,547,900 66,559,700
--------------
HOSPITAL MANAGEMENT -- 1.8%
+Tenet Healthcare Corp.......................... 3,237,832 67,185,014
--------------
HOUSING RELATED -- 0.5%
Centex Corp..................................... 600,000 20,850,000
--------------
INSURANCE -- 9.8%
Alexander & Alexander Services, Inc............. 1,050,000 19,950,000
American Financial Group, Inc................... 303,700 9,300,813
American General Corp........................... 1,000,000 34,875,000
Chubb Corp...................................... 700,000 67,725,000
Citizens Corp................................... 700,000 13,037,500
Equitable Companies, Inc........................ 1,800,000 43,200,000
First Colony Corp............................... 1,253,600 31,810,100
Old Republic International Corp................. 1,000,590 35,520,945
Providian Corp.................................. 340,500 13,875,375
SAFECO Corp..................................... 1,600,000 55,200,000
St. Paul Companies, Inc......................... 476,900 26,527,563
Transport Holdings, Inc. (Class 'A' Stock)...... 4,500 183,375
Western National Corp........................... 1,624,300 26,191,837
--------------
377,397,508
--------------
LODGING -- 2.5%
Loews Corp...................................... 1,200,000 94,050,000
--------------
MACHINERY -- 0.2%
+American Standard Companies.................... 273,900 7,669,200
--------------
MINERAL RESOURCES -- 1.1%
+Amax Gold, Inc................................. 131,342 952,230
Cyprus Amax Minerals Co......................... 1,533,200 40,054,850
+Nord Resources Corp............................ 130,500 293,625
--------------
41,300,705
--------------
MISCELLANEOUS - BASIC INDUSTRY -- 0.8%
American Water Works Co., Inc................... 135,000 5,248,125
TRW, Inc........................................ 309,000 23,947,500
+Worldtex, Inc.................................. 107,199 616,394
--------------
29,812,019
--------------
PETROLEUM -- 3.6%
Amerada Hess Corp............................... 325,000 17,225,000
Atlantic Richfield Co........................... 250,000 27,687,500
Elf Aquitaine, ADR.............................. 1,924,433 70,722,913
Occidental Petroleum Corp....................... 1,100,000 23,512,500
--------------
139,147,913
--------------
</TABLE>
B33
<PAGE>
COMMON STOCK PORTFOLIO (CONTINUED)
DECEMBER 31, 1995
<TABLE>
<CAPTION>
MARKET
COMMON STOCKS (CONTINUED) SHARES VALUE
------------- --------------
<S> <C> <C>
PETROLEUM SERVICES -- 1.9%
+B.J. Services Co............................... 500,000 $ 14,500,000
+Oryx Energy Co................................. 1,600,000 21,400,000
Total SA, ADR................................... 738,365 25,104,410
Union Texas Petroleum Holdings, Inc............. 504,500 9,774,688
--------------
70,779,098
--------------
RAILROADS -- 0.6%
Canadian National Railway....................... 192,300 2,884,500
+Southern Pacific Rail Corp..................... 809,810 19,435,440
--------------
22,319,940
--------------
RETAIL -- 6.6%
Dayton-Hudson Corp.............................. 119,600 8,970,000
Dillard Department Stores, Inc. (Class 'A'
Stock)........................................ 1,991,700 56,763,450
+Federated Department Stores, Inc............... 700,000 19,250,000
+Gibson Greetings, Inc.......................... 750,000 12,000,000
K mart Corp..................................... 6,000,000 43,500,000
Liz Claiborne, Inc.............................. 1,200,000 33,300,000
Petrie Stores Corp.............................. 540,000 1,485,000
TJX Companies, Inc.............................. 1,790,600 33,797,574
+Toys 'R' Us, Inc............................... 854,000 18,574,500
+Waban, Inc..................................... 1,300,000 24,375,000
--------------
252,015,524
--------------
STEEL -- 0.9%
+Bethlehem Steel Corp........................... 500,000 7,000,000
Birmingham Steel Corp........................... 1,468,400 21,842,450
Carpenter Technology Corp....................... 100,000 4,112,500
--------------
32,954,950
--------------
TELECOMMUNICATIONS -- 3.2%
Sprint Corp..................................... 1,700,000 67,787,500
Telefonica de Espana, SA, ADR................... 1,300,000 54,437,500
--------------
122,225,000
--------------
TOBACCO -- 1.3%
RJR Nabisco Holdings Corp....................... 1,600,000 49,400,000
--------------
TRUCKING/SHIPPING -- 0.5%
+OMI Corp....................................... 1,000,000 6,500,000
Overseas Shipholding Group, Inc................. 600,000 11,400,000
--------------
17,900,000
--------------
UTILITY - ELECTRIC -- 0.6%
American Electric Power Co., Inc................ 180,000 7,290,000
General Public Utilities Corp................... 500,000 17,000,000
--------------
24,290,000
--------------
TOTAL COMMON STOCKS
(Cost $2,210,630,913).......................................... 3,010,731,386
--------------
<CAPTION>
MARKET
PREFERRED STOCKS -- 0.7% SHARES VALUE
------------- --------------
<S> <C> <C>
TOBACCO
RJR Nabisco Holdings Corp. (Conv.).............. 4,000,000 25,500,000
--------------
(Cost $25,999,610)
<CAPTION>
PRINCIPAL
SHORT-TERM INVESTMENTS -- 20.1% AMOUNT VALUE
------------- --------------
<S> <C> <C>
PROMISSORY NOTES -- 0.0%
Federal Home Loan Banks,
5.430%, 03/20/96.............................. $ 1,550,000 1,531,764
--------------
</TABLE>
DECEMBER 31, 1995
<TABLE>
<CAPTION>
PRINCIPAL
SHORT-TERM INVESTMENTS (CONTINUED) AMOUNT VALUE
------------- --------------
<S> <C> <C>
REPURCHASE AGREEMENTS -- 20.1%
Joint Repurchase Agreement Account,
5.838%, 01/02/96 (see Note 4)................. $ 765,037,000 $ 765,037,000
--------------
TOTAL SHORT-TERM INVESTMENTS..................................... 766,568,764
--------------
- -C-UNREALIZED DEPRECIATION ON FORWARD FOREIGN EXCHANGE
CONTRACTS...................................................... (6,569)
--------------
OTHER ASSETS -- 0.3%
(net of liabilities)........................................... 11,010,546
--------------
TOTAL NET ASSETS -- 100.0%....................................... $3,813,804,127
--------------
--------------
<FN>
The following abbreviations are used in portfolio descriptions:
ADR American Depository Receipt
SA Sociedad Anonima (Spanish Corporation) or Societe
Anonyme (French Corporation)
+No dividend was paid on this security during the 12 months ending December
31, 1995.
- -C- Forward Foreign Exchange Contracts as of December 31, 1995 were as
follows:
FOREIGN
CURRENCY EXPIRATION UNREALIZED
PURCHASED DATE (DEPRECIATION)
C$ 2,067,225 March 1996 $(6,569)
Total (US $ Commitment -
$1,521,305) $(6,569)
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS ON PAGES C1 THROUGH C13.
B34
<PAGE>
GROWTH STOCK
DECEMBER 31, 1995
<TABLE>
<CAPTION>
<S> <C> <C>
MARKET
COMMON STOCKS -- 94.0% SHARES VALUE
<CAPTION>
------------- --------------
<S> <C> <C>
AEROSPACE -- 3.3%
Boeing Co....................................... 26,400 $ 2,069,100
--------------
AIRLINES -- 1.6%
+AMR Corp....................................... 13,200 980,100
--------------
AUTOS - CARS & TRUCKS -- 0.6%
General Motors Corp. (Class 'E' Stock).......... 7,300 379,600
--------------
BEVERAGES -- 3.0%
Coca-Cola Co.................................... 9,700 720,225
PepsiCo, Inc.................................... 20,600 1,151,025
--------------
1,871,250
--------------
COMMERCIAL SERVICES -- 1.4%
+CUC International, Inc......................... 25,400 866,775
--------------
COMMUNICATIONS -- 1.6%
+Clear Channel Communications, Inc.............. 22,800 1,006,050
--------------
COMPUTER SERVICES -- 18.9%
+3Com Corp...................................... 24,600 1,146,975
Adobe Systems, Inc.............................. 15,400 954,800
+America Online, Inc............................ 19,000 712,500
Autodesk, Inc................................... 21,800 746,650
Bay Networks, Inc............................... 15,750 647,718
+Broderbund Software, Inc....................... 7,900 479,925
+Cisco Systems, Inc............................. 19,600 1,462,650
Computer Associates International, Inc.......... 22,600 1,285,375
First Data Corp................................. 16,174 1,081,630
+Intuit, Inc.................................... 11,900 928,200
+Microsoft Corp................................. 11,300 991,575
**SAP AG, ADR................................... 18,400 936,100
+Silicon Graphics, Inc.......................... 19,900 547,250
--------------
11,921,348
--------------
COSMETICS & SOAPS -- 1.5%
Gillette Co..................................... 18,000 938,250
--------------
DIVERSIFIED OFFICE EQUIPMENT -- 1.4%
+COMPAQ Computer Corp........................... 19,000 912,000
--------------
DRUGS AND HOSPITAL SUPPLIES -- 12.3%
Astra AB (ADR A)................................ 38,000 1,501,000
+Chiron Corporation............................. 8,700 961,350
Eli Lilly & Co.................................. 22,700 1,276,875
Johnson & Johnson............................... 8,700 744,937
Merck & Co., Inc................................ 13,200 867,900
Pfizer, Inc..................................... 13,400 844,200
Smithkline Beecham PLC, ADR, UTS................ 28,600 1,587,300
--------------
7,783,562
--------------
ELECTRICAL EQUIPMENT -- 1.4%
+Applied Materials, Inc......................... 21,700 854,437
--------------
ELECTRONICS -- 16.4%
Duracell International, Inc..................... 17,300 895,275
Hewlett-Packard Co.............................. 22,000 1,842,500
Intel Corp...................................... 30,100 1,708,175
+International Rectifier Corp................... 41,200 1,030,000
+LSI Logic Corp................................. 35,200 1,152,800
</TABLE>
DECEMBER 31, 1995
<TABLE>
<CAPTION>
MARKET
COMMON STOCKS (CONTINUED) SHARES VALUE
------------- --------------
<S> <C> <C>
+Macromedia Inc................................. 15,200 $ 794,200
Motorola, Inc................................... 12,300 701,100
Nokia AB Corp. (ADR A).......................... 16,900 656,988
+Symbol Technologies, Inc....................... 24,500 967,750
Texas Instruments, Inc.......................... 12,200 631,350
--------------
10,380,138
--------------
FINANCIAL SERVICES -- 2.5%
Federal National Mortgage Association........... 12,900 1,601,213
--------------
HOSPITAL MANAGEMENT -- 1.0%
+PhyCor, Inc.................................... 12,300 621,919
--------------
INSURANCE -- 6.3%
CIGNA Corp...................................... 6,400 660,800
ITT Hartford Group, Inc......................... 6,000 290,250
MGIC Investment Corp............................ 16,500 895,125
Mutual Risk Management, Ltd..................... 15,200 695,400
United Healthcare Corp.......................... 22,800 1,493,400
--------------
4,034,975
--------------
LEISURE -- 3.0%
+Harrah's Entertainment, Inc.................... 17,800 431,650
Walt Disney Co.................................. 24,700 1,457,300
--------------
1,888,950
--------------
MACHINERY -- 1.2%
Harnischfeger Industries, Inc................... 23,400 778,050
--------------
MEDIA -- 3.5%
Omnicom Group, Inc.............................. 33,400 1,244,150
Reuters Holdings PLC, ADR....................... 18,000 992,250
--------------
2,236,400
--------------
MINERAL RESOURCES -- 1.0%
Minerals Technologies, Inc...................... 16,500 602,250
--------------
MISCELLANEOUS - BASIC INDUSTRY -- 2.9%
+ITT Corp....................................... 13,700 726,100
+Scholastic Corp................................ 14,000 1,088,500
--------------
1,814,600
--------------
RESTAURANTS -- 0.2%
McDonald's Corp................................. 2,100 94,763
--------------
RETAIL -- 6.2%
+AutoZone, Inc.................................. 36,400 1,051,050
Dollar General Corporation...................... 12,500 259,375
Home Depot, Inc................................. 21,100 1,010,162
+Kohl's Corp.................................... 17,300 908,250
+Micro Warehouse, Inc........................... 16,000 692,000
--------------
3,920,837
--------------
TELECOMMUNICATIONS -- 2.8%
+Tellabs, Inc................................... 24,700 913,900
Vodafone Group PLC, ADR......................... 23,500 828,375
--------------
1,742,275
--------------
TOTAL COMMON STOCKS
(Cost $55,254,423)............................................. 59,298,842
--------------
</TABLE>
B35
<PAGE>
GROWTH STOCK (CONTINUED)
DECEMBER 31, 1995
<TABLE>
<CAPTION>
PRINCIPAL
SHORT-TERM INVESTMENTS -- 12.0% AMOUNT VALUE
------------- --------------
<S> <C> <C>
REPURCHASE AGREEMENTS
Joint Repurchase Agreement Account,
5.838%, 01/02/96 (see Note 4)................. $ 7,557,000 $ 7,557,000
--------------
LIABILITIES -- (6.0%)
(net of other assets).......................................... (3,765,272)
--------------
TOTAL NET ASSETS -- 100.0%....................................... $ 63,090,570
--------------
--------------
<FN>
The following abbreviations are used in portfolio descriptions:
ADR American Depository Receipt
PLC Public Limited Company (British Corporation)
UTS Unit Trust Shares
**Indicates a restricted security; the aggregate cost of the restricted
securities is $920,661. The aggregate value, $936,100 is approximately
1.48% of net assets. (See Note 2)
+No dividend was paid on this security during the 12 months ending December
31, 1995.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS ON PAGES C1 THROUGH C13.
B36
<PAGE>
SMALL CAPITALIZATION STOCK
DECEMBER 31, 1995
<TABLE>
<CAPTION>
MARKET
COMMON STOCKS -- 91.1% SHARES VALUE
------------- --------------
<S> <C> <C>
AEROSPACE -- 0.6%
AAR Corp........................................ 2,900 $ 63,800
+BE Aerospace, Inc.............................. 2,900 30,813
Kaman Corp. (Class 'A' Stock)................... 3,200 35,600
+Orbital Sciences Corp.......................... 5,100 65,025
+UNC, Inc....................................... 3,100 18,600
Watkins-Johnson Co.............................. 1,500 65,625
--------------
279,463
--------------
AIRLINES -- 0.4%
Comair Holdings, Inc............................ 5,550 149,156
+Mesa Airlines, Inc............................. 400 3,600
SkyWest, Inc.................................... 1,900 24,463
--------------
177,219
--------------
ALUMINUM -- 0.1%
+IMCO Recycling, Inc............................ 2,200 53,900
--------------
AUTOS - CARS & TRUCKS -- 0.9%
A.O. Smith Corp................................. 3,900 80,925
+Custom Chrome, Inc............................. 1,000 23,125
Myers Industries, Inc........................... 3,120 51,090
Simpson Industries, Inc......................... 3,300 29,700
Spartan Motors, Inc............................. 2,400 26,400
Standard Motor Products, Inc.................... 2,500 37,500
Standard Products Co............................ 3,100 54,638
+TBC Corp....................................... 4,000 34,500
Wabash National Corp............................ 3,500 77,875
Wynn's International, Inc....................... 1,000 29,625
--------------
445,378
--------------
BANKS AND SAVINGS & LOANS -- 8.4%
+Astoria Financial Corp......................... 2,200 100,375
Bell Bancorp, Inc............................... 1,400 50,050
+California Federal Bank (Class 'A' Stock)...... 9,100 143,325
CCB Financial Corp.............................. 2,500 138,750
Center Financial Corp........................... 2,200 38,500
Centura Banks, Inc.............................. 4,000 140,500
+Coast Savings Financial, Inc................... 3,400 117,725
Collective Bancorp, Inc......................... 3,500 88,812
+Commercial Federal Corp........................ 2,400 90,600
Cullen/Frost Bankers, Inc....................... 1,900 95,000
Deposit Guaranty Corp........................... 3,200 142,400
Downey Financial Corp........................... 3,230 70,656
First Commercial Corp........................... 4,787 157,971
First Financial Corp............................ 5,200 119,600
First Michigan Bank Corp........................ 3,430 95,182
+FirstBank Puerto Rico.......................... 2,700 60,413
Firstmerit Corp................................. 6,100 183,000
JSB Financial, Inc.............................. 2,000 63,250
Keystone Financial, Inc......................... 4,200 126,000
Liberty Bancorp, Inc............................ 1,600 59,600
Loyola Capital Corp............................. 1,300 49,237
Magna Group, Inc................................ 4,500 106,875
Mark Twain Bancshares, Inc...................... 2,600 100,750
N.S. Bancorp, Inc............................... 1,000 38,750
North American Mortgage Co...................... 2,600 55,250
ONBANcorp, Inc.................................. 2,700 90,113
+Premier Bancorp, Inc........................... 4,900 114,537
Provident Bancorp, Inc.......................... 3,000 141,000
RCSB Financial, Inc............................. 2,500 59,375
+Riggs National Corp............................ 5,000 65,000
Roosevelt Financial Group, Inc.................. 7,200 139,500
Sovereign Bancorp, Inc.......................... 8,500 86,063
St. Paul Bancorp, Inc........................... 3,500 89,250
</TABLE>
DECEMBER 31, 1995
<TABLE>
<CAPTION>
MARKET
COMMON STOCKS (CONTINUED) SHARES VALUE
------------- --------------
<S> <C> <C>
Summit Bancorp.................................. 6,000 $ 189,000
Union Planters Corp............................. 7,500 239,063
Whitney Holding Corp............................ 2,500 77,500
Zions Bancorp................................... 2,700 216,675
--------------
3,939,647
--------------
BEVERAGES -- 0.1%
Coca Cola Bottling Co........................... 1,600 56,000
--------------
CHEMICALS -- 1.1%
Chemed Corp..................................... 1,900 73,863
+Cytec Industries, Inc.......................... 3,100 193,362
+Hauser Chemical Research, Inc.................. 1,700 7,650
Lilly Industries, Inc. (Class 'A' Stock)........ 3,800 48,450
+McWhorter Technologies, Inc.................... 2,100 30,975
+Mycogen Corp................................... 3,100 52,700
Quaker Chemical Corp............................ 1,400 18,900
+Scotts Co. (Class 'A' Stock)................... 3,200 63,600
WD-40 Co........................................ 1,200 49,200
--------------
538,700
--------------
CHEMICALS - SPECIALTY -- 0.3%
First Mississippi Corp.......................... 3,800 100,700
Penwest, Ltd.................................... 1,100 27,225
--------------
127,925
--------------
COMMERCIAL SERVICES -- 2.1%
ABM Industries, Inc............................. 1,800 49,950
ADVO, Inc....................................... 3,900 101,400
Bowne & Company, Inc............................ 3,200 64,000
+CDI Corp....................................... 3,700 66,600
+Corrections Corp. of America................... 5,500 204,187
+Franklin Quest Co.............................. 4,100 79,950
+Insurance Auto Auction, Inc.................... 1,900 20,425
+Interim Services, Inc.......................... 2,000 69,500
LSB Industries, Inc............................. 2,200 9,625
Merrill Corp.................................... 1,200 19,200
+NFO Research, Inc.............................. 900 23,850
+Pharmaceutical Marketing Services, Inc......... 2,100 31,763
Plenum Publishing Corp.......................... 700 27,300
+Primark Corp................................... 4,300 129,000
Thomas Nelson, Inc.............................. 3,000 39,000
True North Communications, Inc.................. 4,400 81,400
--------------
1,017,150
--------------
COMPUTER SERVICES -- 9.3%
+Acxiom Corp.................................... 3,900 106,763
+America Online, Inc............................ 15,100 566,250
+American Management Systems, Inc............... 4,100 123,000
Amtech Corp..................................... 2,800 14,350
+Auspex Systems, Inc............................ 1,200 21,900
+BancTec, Inc................................... 3,300 61,050
+Banyan Systems, Inc............................ 3,100 31,775
+BBN Corp....................................... 3,200 131,600
+BISYS Group, Inc............................... 3,700 113,775
+Broderbund Software, Inc....................... 3,900 236,925
+Cerner Corp.................................... 6,100 125,050
+Chips & Technologies, Inc...................... 3,800 34,200
+Comverse Technology, Inc....................... 4,000 80,000
+Continuum Inc.................................. 3,500 138,250
+Control Data Systems, Inc...................... 2,400 47,100
+FileNet Corp................................... 2,400 112,800
Gerber Scientific, Inc.......................... 4,400 71,500
+Hyperion Software Corp......................... 2,800 59,500
+Keane, Inc..................................... 2,600 57,524
</TABLE>
B37
<PAGE>
SMALL CAPITALIZATION STOCK (CONTINUED)
DECEMBER 31, 1995
<TABLE>
<CAPTION>
MARKET
COMMON STOCKS (CONTINUED) SHARES VALUE
------------- --------------
<S> <C> <C>
+Komag, Inc..................................... 4,800 $ 221,400
National Data Corp.............................. 4,000 99,000
+Network General Corp........................... 3,900 130,163
+Norand Corp.................................... 1,200 15,000
+Paxar Corp..................................... 4,050 53,663
+Platinum Software Corp......................... 2,500 14,063
+PLATINUM Technology, Inc....................... 8,400 154,350
+Progress Software Corp......................... 2,200 82,500
+Read-Rite Corp................................. 8,500 197,625
+Standard Microsystems Corp..................... 2,500 41,250
+Sterling Software, Inc......................... 4,900 305,637
+SunGard Data Systems, Inc...................... 7,200 205,200
System Software Associates, Inc................. 7,300 158,775
+Tech Data Corp................................. 7,200 108,000
Telxon Corp..................................... 2,700 61,087
+Tricord Systems, Inc........................... 2,200 6,600
+Viewlogic Systems, Inc......................... 3,100 31,000
+Wall Data, Inc................................. 1,700 28,050
+Xircom, Inc.................................... 3,600 44,550
+Zebra Technologies Corp. (Class 'A' Stock)..... 4,200 142,800
+Zilog, Inc..................................... 3,600 131,850
--------------
4,365,875
--------------
CONSTRUCTION -- 0.7%
+BMC West Corp.................................. 1,500 22,125
+Insituform Technologies, Inc. (Class 'A'
Stock)........................................ 5,100 59,287
+Kasler Holding Co.............................. 5,100 33,150
M.D.C. Holdings, Inc............................ 3,200 22,800
Ply-Gem Industries, Inc......................... 2,800 45,500
Republic Group, Inc............................. 1,900 26,600
+Southern Energy Homes, Inc..................... 1,575 27,563
Stone & Webster, Inc............................ 2,700 96,863
--------------
333,888
--------------
CONTAINERS -- 0.1%
+Shorewood Packaging Corp....................... 3,100 44,175
--------------
COSMETICS & SOAPS -- 0.2%
Helene Curtis Industries, Inc................... 1,900 60,088
Nature's Sunshine Products, Inc................. 2,000 50,500
--------------
110,588
--------------
DIVERSIFIED GAS -- 4.6%
Atmos Energy Corp............................... 2,900 66,700
+Barrett Resources Corp......................... 4,710 138,356
+Benton Oil & Gas Co............................ 4,700 70,500
+Box Energy Corp. (Class 'B' Stock)............. 3,700 31,913
Cascade Natural Gas Corp........................ 1,722 27,766
Connecticut Energy Corp......................... 1,700 37,825
Cross Timbers Oil Co............................ 3,300 58,163
Daniel Industries............................... 2,200 31,350
Devon Energy Corp............................... 4,200 107,100
Energen Corp.................................... 2,000 48,250
+Gerrity Oil & Gas Corp......................... 2,600 10,400
+HS Resources, Inc.............................. 2,000 25,750
KCS Energy, Inc................................. 2,100 31,500
New Jersey Resources Corp....................... 3,200 96,400
Northwest Natural Gas Co........................ 2,600 85,800
+Oceaneering International, Inc................. 4,400 56,650
Pennsylvania Enterprises, Inc................... 1,000 37,875
Phoenix Resource Companies, Inc................. 2,800 48,300
+Plains Resources, Inc.......................... 2,800 25,200
Pogo Producing Co............................... 6,100 172,325
</TABLE>
DECEMBER 31, 1995
<TABLE>
<CAPTION>
MARKET
COMMON STOCKS (CONTINUED) SHARES VALUE
------------- --------------
<S> <C> <C>
Public Service Company of North Carolina,
Inc........................................... 3,400 $ 60,775
Snyder Oil Corp................................. 5,700 69,113
Sonat Offshore Drilling, Inc.................... 5,100 228,225
Southwest Gas Corp.............................. 4,500 79,313
Southwestern Energy Co.......................... 4,600 58,650
St. Mary Land & Exploration Co.................. 1,400 19,600
+Tuboscope Vetco International, Inc............. 3,400 19,337
United Cities Gas Co............................ 2,200 41,250
+United Meridian Corp........................... 5,200 90,350
Vintage Petroleum, Inc.......................... 3,600 81,000
Washington Energy Co............................ 4,400 81,950
WICOR, Inc...................................... 3,400 109,650
Wiser Oil Co.................................... 1,700 20,400
--------------
2,167,736
--------------
DIVERSIFIED OFFICE EQUIPMENT -- 0.2%
Nashua Corp..................................... 1,200 16,350
New England Business Service, Inc............... 2,700 59,063
--------------
75,413
--------------
DRUGS AND HOSPITAL SUPPLIES -- 7.4%
ADAC Laboratories............................... 3,100 37,588
+Advanced Tissue Sciences, Inc.................. 6,400 64,800
+Alliance Pharmaceutical Corp................... 4,700 64,038
Alpharma Inc. (Class 'A' Stock)................. 3,900 101,887
+American Medical Response, Inc................. 3,500 113,750
+Amsco International, Inc....................... 6,000 89,250
Ballard Medical Products........................ 5,000 89,375
+Calgene, Inc................................... 5,400 24,975
+CellPro, Inc................................... 2,700 43,200
+Cephalon, Inc.................................. 4,200 171,150
+Circon Corp.................................... 2,300 46,575
Collagen Corp................................... 1,500 31,687
+COR Therapeutics, Inc.......................... 3,100 25,963
+Cygnus, Inc.................................... 3,400 76,075
+CytRx Corp..................................... 5,000 5,625
+Enzo Biochem, Inc.............................. 4,070 78,347
+Heart Technology, Inc.......................... 2,700 88,763
+IDEXX Laboratories, Inc........................ 5,700 267,900
+ImmuLogic Pharmaceutical Corp.................. 3,300 63,525
Invacare Corp................................... 5,500 138,875
+Liposome Company, Inc.......................... 5,300 106,000
+Medimmune, Inc................................. 2,600 52,000
+Molecular Biosystems, Inc...................... 2,200 15,125
+NBTY, Inc...................................... 3,100 14,725
+North American Vaccine, Inc.................... 5,500 77,687
+Noven Pharmaceuticals, Inc..................... 3,000 33,750
Omnicare, Inc................................... 4,900 219,275
Owens & Minor, Inc.............................. 5,800 73,950
+Patterson Dental Co............................ 3,000 81,000
+Perseptive Biosystems, Inc..................... 2,500 21,250
+Pharmaceutical Resources, Inc.................. 3,200 24,000
+Protein Design Labs, Inc....................... 2,900 67,063
+Regeneron Pharmaceuticals, Inc................. 3,800 48,450
+Resound Corp................................... 2,600 18,850
+Respironics, Inc............................... 3,200 67,200
+Roberts Pharmaceutical Corp.................... 3,500 62,125
+SciClone Pharmaceuticals, Inc.................. 2,700 13,837
+Sequus Pharmaceuticals, Inc.................... 4,700 66,975
+SpaceLabs Medical, Inc......................... 1,700 48,875
+STERIS Corp.................................... 3,400 109,650
+Summit Technology, Inc......................... 5,400 182,250
+Sunrise Medical, Inc........................... 3,400 62,900
+Syncor International Corp...................... 1,700 11,475
</TABLE>
B38
<PAGE>
SMALL CAPITALIZATION STOCK (CONTINUED)
DECEMBER 31, 1995
<TABLE>
<CAPTION>
MARKET
COMMON STOCKS (CONTINUED) SHARES VALUE
------------- --------------
<S> <C> <C>
+TECNOL Medical Products, Inc................... 3,800 $ 68,400
+The Immune Response Corp....................... 3,200 17,800
+TheraTech, Inc................................. 2,100 37,800
+U.S. Bioscience, Inc........................... 7,300 33,763
+Vertex Pharmaceuticals, Inc.................... 3,100 82,150
+VISX, Inc...................................... 2,700 105,300
Vital Signs, Inc................................ 2,300 60,662
+Zoll Medical Corp.............................. 1,000 9,000
--------------
3,516,635
--------------
ELECTRICAL EQUIPMENT -- 2.1%
Augat, Inc...................................... 3,500 59,937
Baldor Electric Co.............................. 5,150 103,644
Fluke Corp...................................... 1,500 56,625
+KEMET Corp..................................... 7,200 171,900
+Kent Electronics Corp.......................... 2,200 128,425
Kuhlman Corp.................................... 2,500 31,250
+Microchip Technology, Inc...................... 5,800 211,700
+Rexel, Inc..................................... 4,400 59,400
+Valence Technology, Inc........................ 4,100 18,450
+Vicor Corp..................................... 8,000 160,000
--------------
1,001,331
--------------
ELECTRONICS -- 7.0%
Allen Group, Inc................................ 4,900 109,638
Bell Industries, Inc............................ 1,320 29,700
+Benchmark Electronics, Inc..................... 800 22,000
BMC Industries, Inc............................. 5,100 118,575
+C-COR Electronics, Inc......................... 600 14,100
Core Industries, Inc............................ 1,800 23,175
+Cyrix Corp..................................... 3,500 80,500
Dallas Semiconductor Corp....................... 4,900 101,675
+Dionex Corp.................................... 1,100 62,425
+Dynatech Corp.................................. 2,800 47,600
+IMO Industries, Inc............................ 3,100 21,313
+Input/Output, Inc.............................. 3,800 219,450
+Integrated Circuit Systems, Inc................ 2,000 24,750
+Intermagnetics General Corp.................... 2,218 46,577
+International Rectifier Corp................... 9,300 232,500
+Itron, Inc..................................... 2,000 67,500
+Lattice Semiconductor Corp..................... 3,900 127,238
+Marshall Industries............................ 3,300 106,013
+Maxim Integrated Products, Inc................. 10,000 385,000
+Oak Industries, Inc............................ 3,300 61,875
Pacific Scientific Co........................... 2,000 49,500
Pioneer Standard Electronics, Inc............... 3,900 51,675
+Plexus Corp.................................... 1,000 16,625
+S3, Inc........................................ 8,700 153,337
+Sanmina Corp................................... 1,200 62,250
+SCI Systems, Inc............................... 5,600 173,600
+StrataCom, Inc................................. 6,900 507,150
+Three-Five Systems, Inc........................ 1,500 25,312
Tseng Laboratories, Inc......................... 3,500 32,812
+Video Lottery Technologies, Inc................ 2,000 9,500
+VLSI Technology, Inc........................... 8,800 159,500
Wyle Electronics................................ 2,300 80,787
X-Rite, Inc..................................... 3,600 50,850
Zero Corp....................................... 3,000 53,250
--------------
3,327,752
--------------
ENVIRONMENTAL SERVICES -- 1.8%
+Addington Resources, Inc....................... 2,700 39,487
+Allwaste, Inc.................................. 7,400 35,150
Dames & Moore, Inc.............................. 4,200 50,925
+Groundwater Technology, Inc.................... 1,200 16,800
</TABLE>
DECEMBER 31, 1995
<TABLE>
<CAPTION>
MARKET
COMMON STOCKS (CONTINUED) SHARES VALUE
------------- --------------
<S> <C> <C>
+Ionics, Inc.................................... 2,600 $ 113,100
+OHM Corp....................................... 4,900 36,137
+Omega Environmental, Inc....................... 5,500 18,563
+Pure Technology International, Inc............. 4,700 11,456
+Sanifill, Inc.................................. 3,300 110,138
+TETRA Technologies, Inc........................ 2,200 38,225
+U.S.A. Waste Services, Inc..................... 10,575 199,603
+United States Filter Corp...................... 4,800 127,800
+Western Waste Industries....................... 2,700 73,913
--------------
871,297
--------------
FINANCIAL SERVICES -- 3.3%
Alex Brown, Inc................................. 2,900 121,800
+AMRESCO, Inc................................... 4,400 56,100
Charter One Financial, Inc...................... 8,240 252,350
Eaton Vance Corp................................ 1,600 45,200
+Envoy Corporation.............................. 2,100 36,356
Inter-Regional Financial Group, Inc............. 2,100 53,025
+Investors Financial Services Corp.............. 69 1,432
Legg Mason, Inc................................. 2,500 68,750
+Medaphis Corp.................................. 2,400 88,800
+National Auto Credit, Inc...................... 4,700 76,375
Pioneer Group, Inc.............................. 4,700 128,075
Piper Jaffray Companies, Inc.................... 3,000 41,250
Quick & Reilly Group, Inc....................... 4,725 96,863
Raymond James Financial, Inc.................... 3,900 82,388
SEI Corp........................................ 3,500 76,125
TCF Financial Corp.............................. 6,500 215,313
United States Trust Corp........................ 1,600 79,600
Waterhouse Investor Services, Inc............... 1,975 48,880
--------------
1,568,682
--------------
FOODS -- 1.5%
Chiquita Brands International, Inc.............. 10,100 138,875
Dekalb Genetics Corp. (Class 'B' Stock)......... 800 36,100
GoodMark Foods, Inc............................. 1,300 23,075
Interstate Bakeries Corp........................ 6,800 152,150
+J & J Snack Foods Corp......................... 1,500 16,500
Nash-Finch Co................................... 1,900 34,675
Richfood Holdings, Inc.......................... 4,900 131,075
Rykoff-Sexton, Inc.............................. 2,700 47,250
+Smithfield Foods, Inc.......................... 2,600 82,550
Super Food Services, Inc........................ 2,100 27,300
--------------
689,550
--------------
FOREST PRODUCTS -- 0.4%
Caraustar Industries, Inc....................... 4,600 92,000
Mosinee Paper Corp.............................. 1,300 33,475
Pope & Talbot, Inc.............................. 2,400 31,800
Universal Forest Products, Inc.................. 2,900 26,825
--------------
184,100
--------------
FURNITURE -- 0.6%
+Ethan Allen Interiors, Inc..................... 2,700 55,013
Interface, Inc. (Class 'A' Stock)............... 2,900 49,300
Juno Lighting, Inc.............................. 3,200 51,200
La-Z-Boy Chair Co............................... 3,400 104,975
Thomas Industries, Inc.......................... 1,900 44,650
--------------
305,138
--------------
HEALTHCARE -- 0.7%
+Coventry Corp.................................. 6,100 125,813
+Sybron International Corp...................... 8,200 194,750
--------------
320,563
--------------
</TABLE>
B39
<PAGE>
SMALL CAPITALIZATION STOCK (CONTINUED)
DECEMBER 31, 1995
<TABLE>
<CAPTION>
MARKET
COMMON STOCKS (CONTINUED) SHARES VALUE
------------- --------------
<S> <C> <C>
HOSPITAL MANAGEMENT -- 4.2%
+Community Health Systems, Inc.................. 3,500 $ 124,688
+Express Scripts, Inc. (Class 'A' Stock)........ 2,100 107,100
+Genesis Health Ventures, Inc................... 2,700 98,550
+GranCare, Inc.................................. 4,300 62,350
Integrated Health Services, Inc................. 3,900 97,500
+Lincare Holdings, Inc.......................... 5,100 127,500
+Living Centers of America, Inc................. 3,700 129,500
+Magellan Health Services, Inc.................. 5,300 127,200
+Mariner Health Group, Inc...................... 3,600 60,300
+PhyCor, Inc.................................... 6,550 331,184
+Quantum Health Resources, Inc.................. 2,800 27,475
+Universal Health Services, Inc. (Class 'B'
Stock)........................................ 2,500 110,937
+Vencor, Inc.................................... 13,388 435,110
+Vivra, Inc..................................... 6,800 170,850
--------------
2,010,244
--------------
HOUSING RELATED -- 0.9%
+Champion Enterprises, Inc...................... 2,700 83,363
Continental Homes Holding Corp.................. 1,200 29,550
Fedders Corp.................................... 7,100 40,825
Oakwood Homes Corp.............................. 4,200 161,175
Ryland Group, Inc............................... 2,800 39,200
Skyline Corp.................................... 1,900 39,425
Standard-Pacific Corp........................... 5,700 35,625
--------------
429,163
--------------
INSURANCE -- 4.3%
Arthur J. Gallagher and Co...................... 2,800 104,300
Allied Group, Inc............................... 1,500 54,000
American Bankers Insurance Group, Inc........... 3,400 132,600
Capital Re Corp................................. 2,700 83,026
Capitol American Financial Corp................. 3,100 70,137
CMAC Investment Corp............................ 2,000 88,000
Enhance Financial Services Group, Inc........... 3,300 87,863
Fidelity National Financial, Inc................ 1,900 35,387
First American Financial Corp................... 2,100 56,175
Fremont General Corp............................ 3,080 113,190
Frontier Insurance Group, Inc................... 2,300 73,600
Hilb, Rogal and Hamilton Co..................... 2,700 36,113
Integon Corp.................................... 2,900 59,812
Life Partners Group, Inc........................ 5,200 70,850
Life Re Corp.................................... 2,700 67,500
Mutual Risk Management, Ltd..................... 2,400 109,800
National Re Corp................................ 3,100 117,800
Orion Capital Corp.............................. 2,700 117,112
Protective Life Corp............................ 5,100 159,375
Selective Insurance Group, Inc.................. 2,700 95,850
+Sierra Health Services, Inc.................... 3,300 104,775
Trenwick Group, Inc............................. 1,000 56,250
Washington National Corp........................ 2,300 63,537
Zenith National Insurance Corp.................. 3,200 68,400
--------------
2,025,452
--------------
LEISURE -- 2.4%
Anthony Industries, Inc......................... 2,100 48,300
Arctco, Inc..................................... 5,600 72,800
+Aztar Corp..................................... 7,000 56,000
+Bally Gaming International, Inc................ 1,500 12,187
+Bell Sports Corp............................... 2,700 21,600
+Boomtown, Inc.................................. 1,700 8,500
</TABLE>
DECEMBER 31, 1995
<TABLE>
<CAPTION>
MARKET
COMMON STOCKS (CONTINUED) SHARES VALUE
------------- --------------
<S> <C> <C>
+Carmike Cinemas, Inc. (Class 'A' Stock)........ 2,000 $ 45,000
+Casino Magic Corp.............................. 6,300 19,687
+Cineplex Odeon Corp............................ 20,300 30,450
+Cobra Golf, Inc................................ 3,400 121,125
+Grand Casinos, Inc............................. 7,650 177,863
+Hollywood Park, Inc............................ 3,500 35,218
Huffy Corp...................................... 2,500 25,312
+International Lottery & Totalizator Systems,
Inc........................................... 3,200 4,400
+Players International, Inc..................... 5,400 57,713
+Regal Cinemas, Inc............................. 3,350 99,663
+Roadmaster Industries, Inc..................... 9,200 21,850
+Score Board, Inc............................... 1,900 8,313
Showboat, Inc................................... 2,800 73,850
Sturm Ruger & Company, Inc...................... 2,400 65,700
Thor Industries, Inc............................ 1,600 31,000
Winnebago Industries, Inc....................... 4,600 35,650
+WMS Industries, Inc............................ 4,600 75,325
--------------
1,147,506
--------------
LODGING -- 0.3%
Marcus Corp..................................... 3,550 97,181
+Prime Hospitality Corp......................... 5,500 55,000
--------------
152,181
--------------
MACHINERY -- 2.3%
AGCO Corp....................................... 4,200 214,200
+Astec Industries, Inc.......................... 1,900 18,762
+Cognex Corp.................................... 6,800 236,300
+Global Industrial Technologies, Inc............ 4,300 81,162
Kysor Industrial Corp........................... 1,100 26,675
+Lindsay Manufacturing Co....................... 700 26,950
Manitowoc Company, Inc.......................... 1,500 45,937
+Novellus Systems, Inc.......................... 3,100 167,400
Regal Beloit Corp............................... 3,700 80,475
Roper Industries, Inc........................... 2,300 84,525
+Royal Appliance Manufacturing Co............... 4,400 11,000
SPX Corp........................................ 2,300 36,513
Toro Co......................................... 2,300 75,613
--------------
1,105,512
--------------
MEDIA -- 0.6%
+Catalina Marketing Corp........................ 1,700 106,675
+International Family Entertainment, Inc. (Class
'B' Stock).................................... 6,800 111,350
+NTN Communications, Inc........................ 4,100 18,706
+Westcott Communications, Inc................... 3,700 50,875
--------------
287,606
--------------
METALS - DIVERSIFIED -- 1.0%
Amcast Industrial Corp.......................... 1,600 29,200
AMCOL International Corp........................ 3,600 51,300
Brenco, Inc..................................... 1,700 17,425
+Castech Aluminum Group, Inc.................... 2,400 32,400
Glamis Gold, Ltd................................ 5,000 31,250
Handy & Harman.................................. 2,700 44,550
+Hecla Mining Co................................ 8,600 59,125
+Magma Copper Co................................ 8,100 225,788
--------------
491,038
--------------
MINERAL RESOURCES -- 0.3%
Coeur D'Alene Mines Corp........................ 3,400 58,225
Dravo Corp...................................... 2,800 33,600
+Sunshine Mining and Refining Co................ 34,200 47,025
--------------
138,850
--------------
</TABLE>
B40
<PAGE>
SMALL CAPITALIZATION STOCK (CONTINUED)
DECEMBER 31, 1995
<TABLE>
<CAPTION>
MARKET
COMMON STOCKS (CONTINUED) SHARES VALUE
------------- --------------
<S> <C> <C>
MISCELLANEOUS - BASIC INDUSTRY -- 4.9%
Air Express International Corp.................. 2,900 $ 66,700
+Alliant Techsystems, Inc....................... 2,300 116,438
AMTROL, Inc..................................... 1,300 19,825
Apogee Enterprises, Inc......................... 2,600 44,200
Aquarion Co..................................... 1,200 30,600
Bassett Furniture Industries, Inc............... 2,700 62,775
Butler Manufacturing Co......................... 1,400 54,950
BW/IP, Inc. (Class 'A' Stock)................... 4,200 69,300
Clarcor, Inc.................................... 2,700 55,013
Consumers Water Co.............................. 1,300 23,725
+Cyrk International, Inc........................ 2,000 19,500
+Fibreboard Corp................................ 1,600 35,800
+Figgie International, Inc. (Class 'A' Stock)... 3,000 31,125
Fisher Scientific International, Inc............ 3,000 100,125
+Flow International Corp........................ 2,800 26,250
+Gentex Corp.................................... 2,700 59,400
Greenfield Industries, Inc...................... 2,900 90,625
+Griffon Corp................................... 5,400 48,600
Harmon Industries, Inc.......................... 1,200 18,900
Hayes Wheels International, Inc................. 3,200 82,000
Insteel Industries, Inc......................... 1,600 11,000
+Intermet Corp.................................. 4,400 46,200
+Jan Bell Marketing, Inc........................ 4,500 11,250
Justin Industries, Inc.......................... 4,900 53,900
K-Swiss, Inc. (Class 'A' Stock)................. 1,100 11,962
+L.A. Gear, Inc................................. 3,900 6,825
+Lydall, Inc.................................... 3,300 75,075
Medusa Corp..................................... 3,000 79,500
+Mohawk Industries, Inc......................... 6,000 93,750
+Mueller Industries, Inc........................ 3,100 90,675
O'Sullivan Corp................................. 3,000 31,125
+Paragon Trade Brands, Inc...................... 2,100 49,088
+SPS Technologies, Inc.......................... 1,000 53,375
Standex International Corp...................... 2,600 85,150
Texas Industries, Inc........................... 2,100 111,300
+Timberland Co. (Class 'A' Stock)............... 2,000 39,750
TJ International, Inc........................... 3,200 59,200
Tredegar Industries, Inc........................ 1,500 48,750
Valmont Industries, Inc......................... 2,300 56,924
Walbro Corp..................................... 1,600 28,800
+Whittaker Corp................................. 1,500 32,625
+Wolverine Tube, Inc............................ 2,600 97,500
Wolverine World Wide, Inc....................... 3,350 105,525
--------------
2,335,100
--------------
MISCELLANEOUS - CONSUMER GROWTH/STABLE -- 0.9%
+DeVRY, Inc..................................... 3,000 81,000
Hughes Supply, Inc.............................. 1,100 31,075
Ideon Group, Inc................................ 5,200 52,650
+Mail Boxes, Etc................................ 2,000 25,000
+Merisel, Inc................................... 5,600 24,500
Philadelphia Suburban Corp...................... 2,200 45,650
Southern California Water Co.................... 1,500 30,375
+Valassis Communications, Inc................... 8,200 143,500
--------------
433,750
--------------
PETROLEUM -- 0.4%
Cabot Oil & Gas Corp. (Class 'A' Stock)......... 4,200 61,425
KN Energy, Inc.................................. 5,100 148,538
--------------
209,963
--------------
</TABLE>
DECEMBER 31, 1995
<TABLE>
<CAPTION>
MARKET
COMMON STOCKS (CONTINUED) SHARES VALUE
------------- --------------
<S> <C> <C>
PETROLEUM SERVICES -- 1.8%
Camco International, Inc........................ 4,600 $ 128,800
+Hornbeck Offshore Services, Inc................ 2,200 43,175
+Landmark Graphics Corp......................... 2,700 62,775
+Mesa, Inc...................................... 11,900 44,625
+Newfield Exploration Co........................ 3,100 83,700
+Noble Drilling Corp............................ 15,200 136,800
+Offshore Logistics, Inc........................ 3,700 46,713
Piedmont Natural Gas Company, Inc............... 5,200 120,900
+Pool Energy Services Co........................ 2,400 22,800
+Pride Petroleum Services, Inc.................. 4,600 48,875
Production Operators Corp....................... 1,600 52,800
+Seitel, Inc.................................... 1,722 60,915
--------------
852,878
--------------
RAILROADS -- 0.1%
+RailTex, Inc................................... 1,600 33,600
--------------
REAL ESTATE DEVELOPMENT -- 0.3%
+Toll Brothers, Inc............................. 6,300 144,900
--------------
RESTAURANTS -- 1.0%
Applebee's International, Inc................... 5,700 129,675
+Au Bon Pain, Inc. (Class 'A' Stock)............ 2,200 18,150
+Bertucci's, Inc................................ 1,500 7,500
+Checkers Drive-In Restaurants, Inc............. 9,700 10,003
+Cheesecake Factory............................. 1,700 36,550
+Flagstar Companies, Inc........................ 7,700 24,063
+Foodmaker, Inc................................. 5,700 33,487
+Fresh Choice, Inc.............................. 1,000 6,250
+IHOP Corp...................................... 1,700 44,200
+Showbiz Pizza Time, Inc........................ 2,300 27,888
+Sonic Corp..................................... 2,350 44,650
+Taco Cabana (Class 'A' Stock).................. 800 4,000
TCBY Enterprises, Inc........................... 4,600 18,400
+TPI Enterprises, Inc........................... 3,600 11,250
+Triarc Companies, Inc. (Class 'A' Stock)....... 5,500 60,500
--------------
476,566
--------------
RETAIL -- 3.4%
Arbor Drugs, Inc................................ 4,650 97,650
Big B, Inc...................................... 3,100 31,000
+Bombay Company, Inc............................ 6,900 43,987
+Books-A-Million, Inc........................... 3,300 42,488
Casey's General Stores, Inc..................... 4,500 98,438
Cash America International, Inc................. 5,000 27,500
Cato Corp. (Class 'A' Stock).................... 4,600 35,650
+CompUSA, Inc................................... 3,900 121,387
+Damark International, Inc...................... 1,400 10,500
+Designs, Inc................................... 2,900 20,300
+Dress Barn, Inc................................ 3,900 38,513
+Eagle Hardware & Garden, Inc................... 4,300 32,250
Fabri-Centers of America (Class 'A' Stock)...... 3,500 46,375
Fay's, Inc...................................... 3,800 28,500
+Filene's Basement Corp......................... 3,600 8,325
+Forschner Group, Inc........................... 1,400 17,325
+Gottschalks, Inc............................... 1,900 9,975
Hechinger Co. (Class 'A' Stock)................. 8,000 35,000
+Hi-Lo Automotive, Inc.......................... 1,800 9,225
J. Baker, Inc................................... 2,600 14,950
+Lechters, Inc.................................. 900 5,794
+Levitz Furniture, Inc.......................... 5,600 18,900
Lillian Vernon Corp............................. 1,800 24,075
+Michaels Stores, Inc........................... 4,000 55,000
</TABLE>
B41
<PAGE>
SMALL CAPITALIZATION STOCK (CONTINUED)
DECEMBER 31, 1995
<TABLE>
<CAPTION>
MARKET
COMMON STOCKS (CONTINUED) SHARES VALUE
------------- --------------
<S> <C> <C>
+MicroAge, Inc.................................. 2,700 $ 21,937
+Musicland Stores Corp.......................... 6,400 27,200
Oshkosh B' Gosh, Inc. (Class 'A' Stock)......... 2,200 38,500
+Payless Cashways, Inc.......................... 7,200 30,600
Pier 1 Imports, Inc............................. 7,300 83,037
+Proffitt's, Inc................................ 1,800 47,250
Ross Stores, Inc................................ 4,700 89,887
Russ Berrie & Company, Inc...................... 4,000 50,500
+Shoe Carnival, Inc............................. 2,300 8,625
Shopko Stores, Inc.............................. 6,000 67,500
+Sports & Recreation, Inc....................... 3,700 26,363
+Stein Mart, Inc................................ 4,000 44,000
Strawbridge & Clothier (Class 'A' Stock)........ 1,700 40,800
+Tyco Toys, Inc................................. 6,400 28,800
Venture Stores, Inc............................. 3,200 10,800
+Whole Foods Market, Inc........................ 2,500 34,687
+Williams-Sonoma, Inc........................... 4,600 85,100
--------------
1,608,693
--------------
STEEL -- 0.8%
+Acme Metals, Inc............................... 2,100 29,925
Birmingham Steel Corp........................... 5,400 80,325
Commercial Metals Co............................ 2,900 71,775
+Material Sciences Corp......................... 2,900 43,138
+Northwestern Steel and Wire Co................. 4,500 36,563
+NS Group, Inc.................................. 2,600 6,500
Quanex Corp..................................... 2,400 46,500
Steel Technologies, Inc......................... 2,300 19,837
+WHX Corp....................................... 4,800 52,200
--------------
386,763
--------------
TELECOMMUNICATIONS -- 2.2%
+Aspect Telecommunications Corp................. 3,900 130,650
+BroadBand Technologies, Inc.................... 2,400 39,000
+California Microwave, Inc...................... 2,800 46,550
+Cellular Communications, Inc. (Class 'A'
Stock)........................................ 2,300 114,425
+Centigram Communications Corp.................. 1,200 23,700
+CommNet Cellular, Inc.......................... 2,500 72,187
+Compression Labs, Inc.......................... 2,900 18,125
+Digi International, Inc........................ 2,600 49,400
+Digital Microwave Corp......................... 3,000 30,000
+Geotek Communications, Inc..................... 9,500 59,968
+InterVoice, Inc................................ 3,000 57,000
+Network Equipment Technologies, Inc............ 3,600 98,550
+Picturetel Corp................................ 5,800 250,125
+Symmetricom, Inc............................... 2,800 38,500
--------------
1,028,180
--------------
TEXTILES -- 1.9%
+Ashworth, Inc.................................. 2,200 11,275
Authentic Fitness Corp.......................... 3,700 76,775
+Cone Mills Corp................................ 5,100 57,375
Delta Woodside Industries, Inc.................. 4,600 30,475
Dixie Yarns, Inc................................ 1,700 6,587
+Fieldcrest Cannon, Inc......................... 1,600 26,600
G & K Services, Inc. (Class 'A' Stock).......... 3,300 84,150
</TABLE>
DECEMBER 31, 1995
<TABLE>
<CAPTION>
MARKET
COMMON STOCKS (CONTINUED) SHARES VALUE
------------- --------------
<S> <C> <C>
+Galey & Lord, Inc.............................. 2,100 $ 22,575
Guilford Mills, Inc............................. 2,600 52,975
Haggar Corp..................................... 1,600 28,800
+Hartmarx Corp.................................. 6,100 26,687
Johnston Industries, Inc........................ 1,800 14,400
Kellwood Co..................................... 3,800 77,425
+Nautica Enterprises, Inc....................... 3,750 164,063
Oxford Industries, Inc.......................... 1,600 26,800
Phillips-Van Heusen Corp........................ 5,000 49,375
+Pillowtex Corp................................. 1,900 22,087
St. John Knits, Inc............................. 1,600 85,000
+Tultex Corp.................................... 5,500 22,688
--------------
886,112
--------------
TOBACCO -- 0.3%
Dimon, Inc...................................... 6,800 119,850
--------------
TRUCKING/SHIPPING -- 1.3%
+American Freightways, Inc...................... 5,800 60,175
Arkansas Best Corp.............................. 3,400 26,775
Frozen Food Express Industries, Inc............. 2,800 24,500
+Heartland Express, Inc......................... 3,233 63,852
+Kirby Corp..................................... 5,100 82,875
+Landstar Systems, Inc.......................... 2,300 61,525
+M.S. Carriers, Inc............................. 1,900 38,000
Rollins Truck Leasing Corp...................... 8,300 92,337
TNT Freightways Corp............................ 3,900 78,487
Werner Enterprises, Inc......................... 4,600 93,150
--------------
621,676
--------------
UTILITY - ELECTRIC -- 1.6%
Bangor Hydro-Electric Co........................ 1,200 13,800
Central Hudson Gas & Electric Corp.............. 3,300 101,888
Central Vermont Public Service Corp............. 2,200 29,425
Commonwealth Energy System...................... 2,000 89,500
Eastern Utilities Associates.................... 3,800 89,775
Green Mountain Power Corp....................... 900 24,975
Interstate Power Co............................. 1,800 59,850
Orange & Rockland Utilities, Inc................ 2,500 89,375
Sierra Pacific Resources........................ 5,400 126,225
TNP Enterprises, Inc............................ 2,000 37,500
United Illuminating Co.......................... 2,600 97,175
--------------
759,488
--------------
TOTAL COMMON STOCKS
(Cost $40,606,241)............................................. 43,203,176
--------------
<CAPTION>
PRINCIPAL
SHORT-TERM INVESTMENTS -- 15.1% AMOUNT VALUE
------------- --------------
<S> <C> <C>
REPURCHASE AGREEMENTS -- 14.9%
Joint Repurchase Agreement Account,
5.839%, 01/02/96 (see Note 4)................. $ 7,088,000 $ 7,088,000
--------------
U. S. GOVERNMENT & AGENCY OBLIGATIONS -- 0.2%
US Treasury Bills,
5.230%, 03/14/96.............................. 100,000 98,954
--------------
TOTAL SHORT-TERM INVESTMENTS..................................... $ 7,186,954
--------------
</TABLE>
B42
<PAGE>
SMALL CAPITALIZATION STOCK (CONTINUED)
DECEMBER 31, 1995
<TABLE>
<S> <C> <C>
##
VARIATION MARGIN ON OPEN FUTURES CONTRACTS -- 0.0%...............
$ 16,780
--------------
LIABILITIES -- (6.2%)
(net of other assets).......................................... (2,939,984)
--------------
TOTAL NET ASSETS -- 100.0%....................................... $ 47,466,926
--------------
--------------
+No dividend was paid on this security during the 12 months ending December 31,
1995.
##Open futures contracts as of December 31, 1995 are as follows:
PAR VALUE
COVERED BY CONTRACT TYPE EXPIRATION DATE VALUE OF CONTRACTS
MIDCAP 400 Index Futures
(30 contracts)
$3,257,100 Mar 96 $3,270,750
S&P 500 Index Futures
(3 contracts)
$930,100 Mar 96 $927,675
$4,187,200 $4,198,425
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS ON PAGES C1 THROUGH C13.
B43
<PAGE>
GLOBAL EQUITY PORTFOLIO
DECEMBER 31, 1995
<TABLE>
<CAPTION>
MARKET
COMMON STOCKS -- 93.4% SHARES VALUE
------------- --------------
<S> <C> <C>
AUSTRALIA -- 4.9%
Brambles Industries, Ltd.
(Miscellaneous - Basic Industry).............. 393,500 $ 4,382,900
Broken Hill Proprietary Co., Ltd.
(Metals - Diversified)........................ 428,331 6,043,085
Coca-Cola Amatil, Ltd.
(Foods)....................................... 1,060,632 8,450,649
Publishing and Broadcasting, Ltd.
(Media)....................................... 152,400 530,742
Qantas Airways, Ltd.
(Airlines).................................... 317,000 527,270
--------------
19,934,646
--------------
BELGIUM -- 1.0%
Bekaert, SA
(Miscellaneous - Basic Industry).............. 4,900 4,036,694
--------------
FEDERAL REPUBLIC OF GERMANY -- 2.4%
Linde, AG
(Machinery)................................... 8,040 4,684,636
Siemens, AG
(Electrical Equipment)........................ 9,000 4,918,204
--------------
9,602,840
--------------
FINLAND -- 0.7%
Nokia Corp. (Class 'A' Stock)
(Telecommunications).......................... 71,900 2,772,427
--------------
FRANCE -- 5.7%
Carrefour Supermarche, SA
(Retail)...................................... 9,400 5,691,919
Imetal
(Mineral Resources)........................... 29,552 3,523,473
**Lafarge, SA
(Construction)................................ 1,210 77,806
Lafarge, SA
(Construction)................................ 62,491 4,018,325
Legrand, SA
(Electrical Equipment)........................ 26,900 4,144,788
Plastic Omnium
(Autos - Cars & Trucks)....................... 7,265 497,511
Valeo, SA
(Autos - Cars & Trucks)....................... 105,785 4,889,848
--------------
22,843,670
--------------
HONG KONG -- 8.3%
CDL Hotels International, Ltd.
(Real Estate Development)..................... 4,950,145 2,528,687
Citic Pacific, Ltd.
(Miscellaneous - Basic Industry).............. 1,870,000 6,396,573
Guoco Group, Ltd.
(Financial Services).......................... 1,553,000 7,531,523
Henderson Land Development
(Real Estate Development)..................... 677,000 4,079,948
Hung Hing Printing Group, Ltd.
(Miscellaneous - Basic Industry).............. 3,452,000 830,355
Hutchison Whampoa, Ltd.
(Miscellaneous - Basic Industry).............. 1,051,000 6,388,231
New World Development Co., Ltd.
(Real Estate Development)..................... 1,210,000 5,257,808
--------------
33,013,125
--------------
</TABLE>
DECEMBER 31, 1995
<TABLE>
<CAPTION>
MARKET
COMMON STOCKS (CONTINUED) SHARES VALUE
------------- --------------
<S> <C> <C>
INDONESIA -- 1.0%
PT Kabelmetal Indonesia (Foreign)
(Telecommunications).......................... 943,400 $ 773,616
Sampoerna H.M. (Foreign)
(Tobacco)..................................... 313,000 3,257,993
--------------
4,031,609
--------------
ITALY -- 1.2%
Telecom Italia Mobile SpA
(Telecommunications).......................... 2,700,000 4,750,548
--------------
JAPAN -- 16.9%
Aiwa, Co.
(Electronics)................................. 127,000 2,970,904
Daibiru Corp.
(Real Estate Development)..................... 177,000 2,001,837
DDI Corp.
(Telecommunications).......................... 540 4,175,930
Keyence Corp.
(Electrical Equipment)........................ 31,800 3,657,999
Mitsubishi Bank
(Banks and Savings & Loans)................... 81,000 1,902,658
Mitsui Fudosan
(Real Estate Development)..................... 400,000 4,910,585
Nichiei Co., Ltd.
(Financial Services).......................... 96,000 7,145,481
Nintendo Corp. Ltd.
(Other Technology)............................ 129,000 9,788,787
Nippon Television Network
(Media)....................................... 20,500 5,469,309
Nissen Co., Ltd.
(Retail)...................................... 1,420 33,218
Nomura Securities Co., Ltd
(Financial Services).......................... 200,000 4,349,928
Omron Corp.
(Electronics)................................. 178,000 4,095,118
Onward Kashiyama Co., Ltd.
(Textiles).................................... 100,000 1,623,973
Rohm Co.
(Electronics)................................. 88,000 4,959,304
Sanwa Bank, Ltd.
(Banks and Savings & Loans)................... 102,000 2,070,565
Sony Music Entertainment, Inc.
(Leisure)..................................... 117,600 6,138,618
Sumitomo Bank
(Banks and Savings & Loans)................... 102,000 2,159,304
--------------
67,453,518
--------------
MALAYSIA -- 2.2%
I.J.M. Corp. Berhad
(Construction)................................ 3,250,000 5,171,328
Renong Berhad
(Miscellaneous - Basic Industry).............. 2,428,000 3,595,620
--------------
8,766,948
--------------
MEXICO -- 1.2%
Apasco, SA de CV
(Miscellaneous - Basic Industry).............. 469,700 1,926,349
Cifra, SA de CV (Class 'B' Stock)
(Retail)...................................... 1,387,800 1,444,537
Fomento Economico Mexicano, SA de CV (Class 'B'
Stock)
(Miscellaneous - Basic Industry).............. 665,100 1,496,799
--------------
4,867,685
--------------
</TABLE>
B44
<PAGE>
GLOBAL EQUITY PORTFOLIO (CONTINUED)
DECEMBER 31, 1995
<TABLE>
<CAPTION>
MARKET
COMMON STOCKS (CONTINUED) SHARES VALUE
------------- --------------
<S> <C> <C>
NETHERLANDS -- 2.5%
Heineken, N.V.
(Beverages)................................... 34,225 $ 6,060,762
Royal Dutch Petroleum
(Petroleum)................................... 29,500 4,113,902
--------------
10,174,664
--------------
NEW ZEALAND -- 0.4%
Fletcher Challenge Forestry Division
(Forest Products)............................. 279,204 397,640
Fletcher Challenge, Ltd.
(Forest Products)............................. 453,800 1,046,531
--------------
1,444,171
--------------
REPUBLIC OF KOREA -- 0.9%
Samsung Electronics (New Common 3)
(Electronics)................................. 587 106,315
Samsung Electronics Co.
(Electronics)................................. 13,830 2,513,735
Samsung Electronics Co. (New)
(Electronics)................................. 5,810 1,048,534
--------------
3,668,584
--------------
SINGAPORE -- 3.9%
Overseas Chinese Banking Corp., Ltd. (Foreign)
(Banks and Savings & Loans)................... 330,000 4,129,958
Overseas Union Bank, Ltd. (Foreign)
(Banks and Savings & Loans)................... 925,000 6,376,830
Sembawang Maritime, Ltd.
(Trucking/Shipping)........................... 883,500 2,811,107
Wing Tai Holdings, Ltd.
(Miscellaneous - Basic Industry).............. 1,070,250 2,186,964
--------------
15,504,859
--------------
SPAIN -- 2.2%
Banco Popular Espanol, SA
(Banks and Savings & Loans)................... 23,800 4,377,573
Centros Commerciales Pryca, SA
(Retail)...................................... 116,762 2,443,317
Dragados Y Construcciones, SA
(Construction)................................ 141,500 1,855,699
--------------
8,676,589
--------------
SWEDEN -- 4.3%
Astra, AB (Series 'B' Free)
(Drugs and Hospital Supplies)................. 181,350 7,173,439
Autoliv, AB (Free)
(Autos - Cars & Trucks)....................... 60,000 3,501,363
Hennes & Mauritz (Series 'B' Free)
(Retail)...................................... 71,000 3,951,065
Mo Och Domsjo, AB (Series 'B' Free)
(Forest Products)............................. 64,700 2,753,879
--------------
17,379,746
--------------
THAILAND -- 0.0%
Land & House Public Co., Ltd. (Foreign)
(Construction)................................ 7,500 123,263
--------------
UNITED KINGDOM -- 10.7%
Bank of Ireland
(Banks and Savings & Loans)................... 700,000 5,108,712
Barclays, PLC
(Banks and Savings & Loans)................... 294,000 3,369,141
</TABLE>
DECEMBER 31, 1995
<TABLE>
<CAPTION>
MARKET
COMMON STOCKS (CONTINUED) SHARES VALUE
------------- --------------
<S> <C> <C>
Britannic Assurance, PLC
(Insurance)................................... 28,000 $ 333,914
British Sky Broadcasting Group, PLC
(Media)....................................... 738,900 4,664,033
Carlton Communications
(Communications).............................. 229,300 3,437,730
Commercial Union, PLC
(Insurance)................................... 324,000 3,159,513
Guest Kean & Nettlefolds, PLC
(Autos - Cars & Trucks)....................... 536,170 6,485,678
**Guest Kean & Nettlefolds, PLC
(Autos - Cars & Trucks)....................... 22,870 276,643
J. Sainsbury, PLC
(Retail)...................................... 356,700 2,173,994
Siebe, PLC
(Machinery)................................... 596,340 7,347,784
Vodafone Group, PLC
(Telecommunications).......................... 1,790,700 6,423,183
--------------
42,780,325
--------------
UNITED STATES -- 23.0%
Gucci Group
(Textiles).................................... 106,900 4,155,738
Mattel, Inc.
(Leisure)..................................... 280,887 8,637,275
McDonald's Corp.
(Restaurants)................................. 125,100 5,645,138
MCI Communications Corp.
(Telecommunications).......................... 251,800 6,578,275
+Microsoft Corp.
(Computer Services)........................... 95,700 8,397,675
+Mirage Resorts, Inc.
(Leisure)..................................... 157,000 5,416,500
Mobil Corp.
(Petroleum)................................... 63,700 7,134,400
Norwest Corp.
(Banks and Savings & Loans)................... 203,600 6,718,800
+Oracle Corp.
(Computer Services)........................... 132,000 5,593,500
**Qantas Airways, Ltd., ADR
(Airlines).................................... 51,300 853,278
SGS Thomson Microelectronics, N.V.
(Electronics)................................. 76,000 3,059,000
+Silicon Graphics, Inc.
(Computer Services)........................... 252,000 6,930,000
Texas Instruments, Inc.
(Electronics)................................. 88,000 4,554,000
Tiffany & Co.
(Retail)...................................... 72,000 3,627,000
Time Warner, Inc.
(Media)....................................... 135,800 5,143,425
+Viacom, Inc. (Class 'A' Stock)
(Media)....................................... 115,000 5,275,625
Walt Disney Co.
(Leisure)..................................... 72,500 4,277,500
--------------
91,997,129
--------------
TOTAL COMMON STOCKS
(Cost $331,329,354)............................................ 373,823,040
--------------
</TABLE>
B45
<PAGE>
GLOBAL EQUITY PORTFOLIO (CONTINUED)
DECEMBER 31, 1995
<TABLE>
<CAPTION>
MARKET
RIGHTS AND WARRANTS -- 1.0% SHARES VALUE
------------- --------------
<S> <C> <C>
FRANCE -- 0.0%
**Lafarge (Warrants), Expire 04/01/96,
(Construction)................................ 1,000 $ 428
--------------
SINGAPORE -- 0.5%
United Overseas Bank Ltd. (Warrants), Expire
06/17/97,
(Banks and Savings & Loans)................... 510,800 2,058,658
--------------
SWITZERLAND -- 0.1%
\Nitori Co., Ltd. (Warrants), Expire 02/06/98,
(Furniture)................................... 2,232 216,624
--------------
UNITED STATES -- 0.4%
#Onward Kashiyama Co., Ltd. (Warrants), Expire
03/26/96,
(Textiles).................................... 580 1,634,875
--------------
TOTAL RIGHTS AND WARRANTS
(Cost $3,712,601).............................................. 3,910,585
--------------
<CAPTION>
PRINCIPAL
SHORT-TERM INVESTMENTS -- 0.8% AMOUNT VALUE
------------- --------------
<S> <C> <C>
UNITED STATES
)Triparty Repo,
5.900%, 1/2/96................................ $ 3,163,000 $ 3,163,000
--------------
OTHER ASSETS -- 4.8%
(net of liabilities)........................................... 19,202,909
--------------
TOTAL NET ASSETS -- 100.0%....................................... $ 400,099,534
--------------
--------------
<FN>
The following abbreviations are used in portfolio descriptions:
AB Akiteboiag (Swedish Stock Company)
ADR American Depository Receipt
AG Aktiengesellschaft (West German Stock Company)
N.V. Naamloze Vennootschap (Dutch Corporation)
PLC Public Limited Company (British Corporation)
SA Sociedad Anonima (Spanish Corporation) or Societe
Anonyme (French Corporation)
#These are American warrants with an underlying Japanese security.
\These are Swiss warrants with an underlying Japanese security.
**Indicates a restricted security; the aggregate cost of the restricted
securities is $1,003,876. The aggregate value, $1,208,155 is approximately
.30% of net assets. (See Note 2)
+No dividend was paid on this security during the 12 months ending December
31, 1995.
)Triparty Repo, 5.900%, entered 12/29/95; maturing 01/02/96 in the amount of
$3,163,000; Collateralized by $3,174,000 United States Treasury Notes,
6.1250%, 05/31/97.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS ON PAGES C1 THROUGH C13.
B46
<PAGE>
NATURAL RESOURCES PORTFOLIO
DECEMBER 31, 1995
<TABLE>
<CAPTION>
MARKET
COMMON STOCKS -- 92.9% SHARES VALUE
------------- --------------
<S> <C> <C>
ALUMINUM -- 4.4%
Aluminum Co. of America......................... 175,000 $ 9,253,125
Comalco, Ltd., ADR.............................. 134,900 3,617,532
--------------
12,870,657
--------------
CHEMICALS -- 2.7%
Arcadian Corp................................... 171,800 3,328,625
+Sherritt, Inc.................................. 365,000 4,714,639
--------------
8,043,264
--------------
CHEMICALS - SPECIALTY -- 1.4%
First Mississippi Corp.......................... 155,000 4,107,500
--------------
CONSTRUCTION -- 1.4%
+J. Ray McDermott, SA........................... 226,100 4,041,538
--------------
DIVERSIFIED GAS -- 11.3%
Arethusa (Off-Shore) Ltd........................ 142,500 3,990,000
+Beau Canada Exploration, Ltd. (Class 'A'
Stock)........................................ 810,900 968,682
Cross Timbers Oil Co............................ 220,200 3,881,025
+Rigel Energy Corp.............................. 318,600 2,807,663
Sonat Offshore Drilling, Inc.................... 132,700 5,938,325
+Talisman Energy, Inc........................... 316,500 6,407,704
USX-Delhi Group................................. 139,200 1,444,200
Weatherford Enterra, Inc........................ 103,174 2,979,149
Western Gas Resources, Inc...................... 294,400 4,747,200
--------------
33,163,948
--------------
ENVIRONMENTAL SERVICES -- 0.3%
+Core Laboratories N.V.......................... 80,600 967,200
--------------
FOREST PRODUCTS -- 8.1%
+Asia Pacific Resource International Holdings
Ltd........................................... 441,700 2,098,075
Fletcher Challenge, Ltd., ADR................... 431,200 6,198,500
Louisiana-Pacific Corp.......................... 270,000 6,547,500
Rayonier, Inc................................... 188,200 6,281,175
Timberwest Forest, Ltd.......................... 244,700 2,555,497
--------------
23,680,747
--------------
GAS PIPELINES -- 4.7%
Enron Oil & Gas Co.............................. 98,900 2,373,600
+Reading & Bates Offshore Drilling Co........... 253,500 3,802,500
+Seagull Energy Corp............................ 161,900 3,602,275
+Tejas Gas Corp................................. 73,645 3,893,979
--------------
13,672,354
--------------
METALS - DIVERSIFIED -- 8.2%
Cambior, Inc.................................... 160,000 1,744,228
Cambior, Inc.................................... 380,000 4,132,500
Cameco Corporation.............................. 166,300 6,185,214
+Firstmiss Gold, Inc............................ 177,211 3,942,945
Kloof Gold Mining Company Ltd., ADR............. 257,900 2,433,931
+Stillwater Mining Co........................... 290,800 5,597,900
--------------
24,036,718
--------------
MINERAL RESOURCES -- 26.1%
Agnico-Eagle Mines, Ltd......................... 464,500 5,864,313
Barrick Gold Corporation........................ 229,953 6,065,010
+Barrington Petroleum Ltd....................... 398,400 1,153,301
Battle Mountain Gold Co......................... 154,200 1,291,425
+Chancellor Energy Resources, Inc............... 1,285,000 517,955
+Chancellor Energy Resources, Inc............... 1,423,100 573,620
Coeur D'Alene Mines Corp........................ 90,525 1,550,241
CRA Limited, ADR................................ 65,700 3,858,935
</TABLE>
DECEMBER 31, 1995
<TABLE>
<CAPTION>
MARKET
COMMON STOCKS (CONTINUED) SHARES VALUE
------------- --------------
<S> <C> <C>
+Falcon Drilling Company, Inc................... 184,300 $ 2,764,500
Freeport-McMoRan Copper & Gold, Inc. (Class 'A'
Stock)........................................ 147,200 4,103,200
Inco, Ltd....................................... 134,000 4,455,500
Newmont Mining Corp............................. 120,007 5,430,317
Pegasus Gold, Inc............................... 163,400 2,267,175
Placer Dome, Inc................................ 189,700 4,576,513
Potash Corp. of Saskatchewan, Inc............... 119,400 8,462,475
+Rio Alto Exploration Ltd....................... 343,200 1,351,923
Sante Fe Pacific Gold Corp...................... 443,300 5,375,013
+Seacor Holdings................................ 88,300 2,384,100
+Tesco Corporation.............................. 293,800 1,426,474
+Tom Brown, Inc................................. 300,000 4,387,500
+TVX Gold, Inc.................................. 570,000 4,061,250
Western Mining Corp. Holdings, Ltd., ADR........ 178,100 4,652,863
--------------
76,573,603
--------------
MISCELLANEOUS - BASIC INDUSTRY -- 0.8%
TJ International, Inc........................... 131,400 2,430,900
--------------
PETROLEUM -- 6.8%
Anadarko Petroleum Corp......................... 90,300 4,887,488
NGC Corp........................................ 496,788 4,408,994
+Northstar Energy Corp.......................... 548,400 5,626,676
Parker & Parsley Petroleum Co................... 137,800 3,031,600
+Stolt Comex Seaway, SA......................... 209,000 1,776,500
--------------
19,731,258
--------------
PETROLEUM SERVICES -- 16.7%
Abacan Resource Corp............................ 522,600 1,404,488
+Cairn Energy USA, Inc.......................... 252,500 3,535,000
Camco International, Inc........................ 125,000 3,500,000
Coflexip, ADR................................... 270,299 5,101,894
+Crestar Energy, Inc............................ 19,000 262,825
**+Crestar Energy, Inc.......................... 209,000 2,891,077
+Dreco Energy Services, Ltd. (Class 'A'
Stock)........................................ 83,700 1,485,675
+ENSCO International, Inc....................... 175,800 3,647,850
+Hornbeck Offshore Services, Inc................ 147,800 2,900,575
ICO, Inc........................................ 182,700 890,663
+Marine Drilling Co., Inc....................... 1,147,900 5,882,988
+Newfield Exploration Co........................ 164,200 4,433,400
Noble Affiliates, Inc........................... 228,300 6,820,463
+Noble Drilling Corp............................ 133,600 1,202,400
+PetroCorp, Inc................................. 206,600 1,497,850
+Pride Petroleum Services, Inc.................. 227,000 2,411,875
+Varco International, Inc....................... 69,300 831,600
--------------
48,700,623
--------------
TOTAL COMMON STOCKS
(Cost $230,530,554)............................................ 272,020,310
--------------
<CAPTION>
MARKET
PREFERRED STOCKS -- 4.2% SHARES VALUE
------------- --------------
<S> <C> <C>
MINERAL RESOURCES -- 1.3%
Amax Gold, Inc. (Conv.), Series B............... 47,500 2,588,750
Freeport - McMoRan Copper & Gold, Inc........... 57,000 1,204,125
--------------
3,792,875
--------------
MISCELLANEOUS - BASIC INDUSTRY -- 1.1%
Hecla Mining Co. (Cum. Conv.), Series B......... 82,700 3,308,000
--------------
</TABLE>
B47
<PAGE>
NATURAL RESOURCES PORTFOLIO (CONTINUED)
DECEMBER 31, 1995
<TABLE>
<CAPTION>
MARKET
PREFERRED STOCKS (CONTINUED) SHARES VALUE
------------- --------------
<S> <C> <C>
PETROLEUM SERVICES -- 1.8%
Noble Drilling Corp. (Cum. Conv.)............... 142,500 $ 3,669,375
Reading & Bates Corp. (Cum. Conv.).............. 37,900 1,705,500
--------------
5,374,875
--------------
TOTAL PREFERRED STOCKS
(Cost $12,008,616)............................................. 12,475,750
--------------
<CAPTION>
MARKET
RIGHTS AND WARRANTS -- 0.1% SHARES VALUE
------------- --------------
<S> <C> <C>
PETROLEUM SERVICES
BJ Services Company (Warrants).................. 32,440 247,355
--------------
(Cost $56,770)
<CAPTION>
PAR MARKET
CONVERTIBLE BONDS -- 1.3% VALUE VALUE
------------- --------------
<S> <C> <C>
INDUSTRIAL
Coeur d'Alene Mines Corp.,
6.375%, 01/31/04.............................. $ 4,099,000 3,883,803
--------------
(Cost $3,926,702)
<CAPTION>
PRINCIPAL
SHORT-TERM INVESTMENTS -- 1.4% AMOUNT VALUE
------------- --------------
<S> <C> <C>
REPURCHASE AGREEMENTS
Joint Repurchase Agreement Account,
5.839%, 01/02/96 (see Note 4)................. 4,488,000 4,488,000
--------------
CALL OPTIONS WRITTEN -- .1%
PAR STRIKE EXPIRATION
VALUE ISSUE PRICE DATE PREMIUMS PAID
Potash Corp. of
Saskatchewan, Inc.
44,000 70 Jan. 20, (132,000)
1996
Total Options Written (Premiums Received - $163,675) (132,000)
OTHER ASSETS -- 0.0%
(net of liabilities)............................................ 188,411
--------------
TOTAL NET ASSETS -- 100.0%....................................... $ 293,171,629
--------------
--------------
<FN>
The following abbreviations are used in portfolio descriptions:
ADR American Depository Receipt
SA Sociedad Anonima (Spanish Corporation) or Societe
Anonyme (French Corporation)
**Indicates a restricted security; the aggregate cost of the restricted
securities is $2,649,951. The aggregate value, 2,891,077 is approximately
1% of net assets. (See Note 2)
+No dividend was paid on this security during the 12 months ending December
31, 1995.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS ON PAGES C1 THROUGH C13.
B48
<PAGE>
NOTES TO THE FINANCIAL STATEMENTS OF
THE PRUDENTIAL SERIES FUND, INC.
FOR THE YEARS ENDED DECEMBER 31, 1995 AND DECEMBER 31, 1994
NOTE 1: GENERAL
The Prudential Series Fund, Inc. ("Series Fund"), a Maryland corporation,
organized on November 15, 1982, is a diversified open-end management investment
company registered under the Investment Company Act of 1940, as amended. The
Series Fund is composed of sixteen Portfolios, each with a separate series of
capital stock. Shares in the Series Fund are currently sold only to certain
separate accounts of The Prudential Insurance Company of America ("The
Prudential"), Pruco Life Insurance Company and Pruco Life Insurance Company of
New Jersey (together referred to as the "Companies") to fund benefits under
certain variable life insurance and variable annuity contracts issued by the
Companies.
The Zero Coupon Bond Portfolio 1995 was liquidated on November 15, 1995. On that
date, all shares held were redeemed and unless otherwise directed, the
redemption proceeds were transferred to the Money Market Portfolio in accordance
with the prospectus.
The shareholders of Pruco Life Series Fund, Inc. ("Pruco Fund") and the Series
Fund approved the merger of the Pruco Fund into the Series Fund as of November
1, 1986. The merger combined five portfolios with identical investment
strategies (Money Market, Bond, Common Stock, Aggressively Managed Flexible and
Conservatively Managed Flexible) of the Pruco Fund with their counterpart in the
Series Fund. The merger was effected by converting the net assets of the Pruco
Fund at the merger date into shares of the Series Fund at the share price of
that day and was accounted for as a pooling of interest.
NOTE 2: SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
SECURITIES VALUATION: Equity securities are valued at market. Securities traded
on a national securities exchange are valued at the last sales price on such
exchange as of the close of the New York Stock Exchange or, in the absence of
recorded sales, at the mean between the most recently quoted bid and asked
prices. For any securities not traded on a national securities exchange but
traded in the over-the-counter market, the securities are valued at the mean
between the most recently quoted bid and asked prices, except that securities
for which quotations are furnished through a nationwide automated quotation
system approved by the National Association of Securities Dealers, Inc.
("NASDAQ") are valued at the last sales price or if there was no sale on such
day, at the mean between the most recently quoted bid and asked prices.
Convertible debt securities are valued at the mean between the most recently
quoted bid and asked prices provided by principal market makers. High yield
bonds are valued either by quotes received from principal market makers or by an
independent pricing service which determines prices by analysis of quality,
coupon, maturity and other adjustment factors. Long-term bonds are valued at
market, based on valuation prices by an independent pricing service which
determines prices by analysis of quality, coupon, maturity and other adjustment
factors. Short-term investments are valued at amortized cost, which with accrued
interest approximates market value. Amortized cost is computed using the cost on
the date of purchase adjusted for constant amortization of discount or premium
to maturity. The interest rates shown for Commercial Paper, Promissory Notes,
and certain U.S. Government Agency Obligations on the Schedules of Investments
are the discount rates paid at the time of purchase. Any security for which a
quotation is unavailable is valued at fair value as determined in good faith by
or under the direction of the Series Fund's Board of Directors.
The ability of issuers of debt securities held by specific Portfolios of the
Series Fund to meet their obligations may be affected by economic developments
in a specific country or industry.
Each portfolio, other than the Money Market Portfolio, may invest up to 15% of
its net assets in securities which are subject to legal or contractual
restrictions on resale or for which no readily available market exists
("restricted securities"). The Money Market Portfolio may invest up to 10% of
its net assets in restricted securities. Restricted securities are valued
pursuant to the valuation procedures noted above.
ACCOUNTING ESTIMATES: 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 revenues and expenses
during the reporting period. Actual results could differ from those estimates.
C1
<PAGE>
DERIVATIVE FINANCIAL INSTRUMENTS: The Series Fund may engage in various
portfolio strategies to seek increased returns by hedging the portfolios against
adverse movements in the equity, debt, and currency markets. Losses may arise
due to changes in the value of the contract or if the counterparty does not
perform under the contract.
OPTION WRITING: When the Series Fund sells an option, an amount equal to the
premium received is recorded as a liability and is subsequently adjusted to the
current market value of the option written. Premiums received from writing
options which expire unexercised are treated on the expiration date as gains
from the sale of securities. As to options which are closed, the difference
between the premium and the amount paid on effecting a closing purchase
transaction, including brokerage commissions, is also treated as a gain, or if
the premium received is less than the amount paid for the closing purchase
transaction, as a loss. If a call option is exercised, the premium is added to
the proceeds from the sale in determining whether a gain or loss has been
realized.
The Series Fund's use of written options involves, to varying degrees, elements
of market risk in excess of the amount recognized in the statement of assets and
liabilities. The contract or notional amounts reflect the extent of the Series
Fund's involvement in these financial instruments. Risks arise from the possible
movements in foreign exchange rates and securities values underlying these
instruments.
STOCK INDEX FUTURES: Portfolios of the Fund may attempt to reduce the risk of
investment in equity securities by hedging a portion of their equity portfolios
through the use of stock index futures traded on a commodities exchange or board
of trade. A stock index futures contract is an agreement in which the seller of
the contract agrees to deliver to the buyer an amount of cash equal to a
specific dollar amount times the difference between the value of a specific
stock index at the close of the last trading day of the contract and the price
at which the agreement was made. Upon entering into a futures contract, a
Portfolio is required to pledge to the broker liquid assets equal to the minimum
"initial margin," approximately 5% of the contract amount. The Portfolio further
agrees to receive or pay to the broker an amount of cash equal to the futures
contract's daily fluctuation in value. These receipts or payments are known as
the "variation margin" and are recorded as unrealized gains or losses. When a
futures contract is closed, the Portfolio records a realized gain or loss equal
to the difference between the value of the contract at the time it was opened
and the value at the time it was closed.
FOREIGN CURRENCY TRANSACTIONS: The books and records of the Series Fund are
maintained in U.S. dollars. Foreign currency amounts are translated into U.S.
dollars on the following basis:
(i) market value of investment securities, other assets and liabilities at the
mid daily rate of exchange as reported by a major New York City bank;
(ii) purchases and sales of investment securities, income and expenses at the
rate of exchange prevailing on the respective dates of such transactions.
Since the net assets of the Series Fund are presented at the foreign exchange
rates and market values at the close of the fiscal period, it is not practical
to isolate that portion of the results of operations arising as a result of
changes in the foreign exchange rates from the fluctuations arising from change
in the market prices of securities held at the end of the fiscal period.
Similarly, it is not practical to isolate the effect of changes in foreign
exchange rates from the fluctuations arising from changes in the market prices
of equities sold during the fiscal year.
Foreign security and currency transactions may involve certain considerations
and risks not typically associated with those of domestic origin as a result of,
among other factors, the possibility of political and economic instability and
the level of government supervision and regulation of foreign security markets.
The Global Equity Portfolio may invest up to 100% of its total assets in common
stock and convertible securities denominated in a foreign currency and issued by
foreign or domestic issuers. The Bond and High Yield Bond Portfolios may each
invest up to 20% of their assets in United States currency denominated debt
securities issued outside the United States by foreign or domestic issuers. In
addition, the bond components of the Conservatively Managed Flexible and
Aggressively Managed Flexible Portfolios may each invest up to 20% of their
assets in such securities. [Further, the High Dividend Stock and Aggressively
Managed Flexible Portfolios may invest up to 30% of their total assets in debt
and equity securities denominated in a foreign currency and issued by foreign or
domestic issuers. In addition, Common Stock and Natural Resources Portfolios may
invest up to 30% of their total assets in non-United States currency denominated
common stock and fixed-income securities convertible into common stock of
foreign and U.S. issuers.]
C2
<PAGE>
Net realized gains and losses on foreign currency transactions represent net
foreign exchange gains and losses from holding of foreign currencies; currency
gains or losses realized between the trade and settlement dates on security
transactions; and the difference between the amounts of the dividends and
foreign taxes recorded on the Series Fund's books and the U.S. dollar equivalent
amounts actually received or paid. Net currency gains and losses from valuing
foreign currency denominated assets and liabilities at fiscal period end
exchange rates are reflected as a component of unrealized loss on foreign
currencies.
FORWARD FOREIGN EXCHANGE CONTRACTS: The Series Fund is authorized to enter into
forward foreign exchange contracts as a hedge against either specific
transactions or portfolio positions. Such contracts are not entered on the
Series Fund's records. However, the effect on operations is recorded from the
date the Series Fund enters into such contracts. Premium or discount is
amortized over the life of the contracts.
SECURITIES TRANSACTIONS AND INVESTMENT INCOME: Dividend income is recorded on
the ex-dividend date. Interest income is accrued daily on both long-term bonds
and short-term investments. Interest income also includes net amortization from
the purchase of fixed-income securities. Long-term security and option
transactions are recorded on the first business day following the trade date,
except that transactions on the last business day of the reporting cycle are
recorded on that date. Short-term security and futures transactions are recorded
on trade date. Realized gains and losses from security transactions are
determined and accounted for on the basis of identified cost.
DISTRIBUTIONS AND TAXES: The Portfolios of the Series Fund intend to continue
to qualify for and elect the special tax treatment afforded regulated investment
companies under Subchapter M of the Internal Revenue Code, thereby relieving the
Series Fund of Federal income taxes. To so qualify, the Series Fund intends to
distribute substantially all of its net investment income and net realized
capital gains, if any, less any available capital loss carry forward. As of
December 31, 1995, (based on an October 31 measurement period) the High Yield
Bond Portfolio had a net capital loss carry forward of $20,939,951 ($3,756,791
expiring in 1999, $1,384,431 expiring in 2002, and $15,798,729 expiring in
2003). The Government Securities Portfolio had a net capital loss carry forward
of $22,539,329 ($6,229,349 expiring in 2002, $16,310,043 expiring in 2003).
Finally, the Growth Stock Portfolio had a net capital loss carry forward of
$102,752 (expiring in 2003). These amounts will be available to offset any
future taxable gains.
The Money Market Portfolio declares dividends of net investment income
(including realized and unrealized gains and losses on Portfolio securities) on
each business day. These dividends are reinvested in additional full and
fractional shares of the Portfolio. This policy enables the Money Market
Portfolio to maintain a net asset value of $10.00 per share. Dividends from
investment income of the other Portfolios will normally be declared and
reinvested in additional full and fractional shares four times annually.
Dividends from net realized capital gains are declared and reinvested in
additional full and fractional shares twice a year.
EXPENSES: Each Portfolio pays for certain expenses incurred in its individual
operation, and also pays a portion of the Series Fund's general administrative
expenses allocated on the basis of the asset size of the respective Portfolios.
The Series Fund has an arrangement with Chemical Banking Corporation, a
custodian bank. On a daily basis, cash funds which are not invested earn a
credit which is used to offset custody charges on a Portfolio basis, exclusive
of the Global Equity Portfolio, for which Brown Brothers Harriman & Co. is the
custodian bank. For the year ended December 31, 1995, the total of the credits
used was:
<TABLE>
<S> <C>
Money Market Portfolio........................................ $ 18,025
High Yield Bond Portfolio..................................... 15,358
Aggressively Managed Flexible Portfolio....................... 3,202
Government Securities Portfolio............................... 1,612
Zero Coupon Bond 2000 Portfolio............................... 1,218
Zero Coupon Bond 2005 Portfolio............................... 637
Natural Resources Portfolio................................... 380
Stock Index Portfolio......................................... 170
</TABLE>
NOTE 3: INVESTMENT MANAGEMENT FEE AND OTHER TRANSACTIONS WITH AFFILIATES
INVESTMENT MANAGEMENT AND ACCOUNTING FEES: Pursuant to an investment advisory
agreement (the "Agreement"), The Prudential receives an investment management
fee, calculated daily, at an effective annual rate of 0.35% of the average daily
net assets of the Stock Index Portfolio: 0.40% of the average daily net assets
of the Money Market, Bond, Government Securities, Zero Coupon Bond 1995, Zero
Coupon Bond 2000, Zero
C3
<PAGE>
Coupon Bond 2005, High Dividend Stock, and Small Capitalization Stock
Portfolios; 0.45% of average daily net assets of the Common Stock and Natural
Resources Portfolios; 0.55% of the average daily net assets of the
Conservatively Managed Flexible and the High Yield Bond Portfolios; 0.60% of the
average daily net assets of the Aggressively Managed Flexible and Growth Stock
Portfolios; and 0.75% of the average daily net assets of the Global Equity
Portfolio. Under the Agreement, The Prudential has agreed to refund to a
portfolio (other than the Global Equity Portfolio), the portion of the
management fee for that Portfolio equal to the amount that the aggregate annual
ordinary operating expenses (excluding interest, taxes and brokerage
commissions) exceeds 0.75% of the Portfolio's average daily net assets.
DIRECTORS' EXPENSES: The Series Fund pays for the fees and expenses of those
members of the Series Fund's Board of Directors who are not officers or
employees of The Prudential or its affiliates.
BROKERAGE COMMISSIONS: For the year ended December 31, 1995, Prudential
Securities Inc., an indirect, wholly-owned subsidiary of The Prudential, earned
$899,739 in brokerage commissions from Portfolio transactions executed on behalf
of the Series Fund.
OTHER TRANSACTIONS WITH AFFILIATES: As of December 31, 1995, The Prudential had
investments of $12,553,119 in the Growth Stock Portfolio; $11,995,545 in the
Small Capitalization Stock Portfolio; and $560,555 in the Global Equity
Portfolio.
NOTE 4: JOINT REPURCHASE AGREEMENT ACCOUNT
The Portfolios of the Series Fund transfer uninvested cash balances into a
single joint account, the daily aggregate balance of which is invested in one or
more repurchase agreements collateralized by U.S. Government obligations. The
Series Fund's undivided investment in the joint repurchase agreement account
represented, in principal, $1,312,614,000 as of December 31, 1995. The
Portfolios of the Series Fund with cash invested in the joint account had the
following percentage participation in the account:
<TABLE>
<S> <C>
Common Stock Portfolio........................................ 58.28%
Aggressively Managed Flexible Portfolio....................... 25.57%
High Dividend Stock Portfolio................................. 5.01%
Conservatively Managed Flexible Portfolio..................... 3.29%
Stock Index Portfolio......................................... 3.19%
Government Securities Portfolio............................... 1.52%
High Yield Bond Portfolio..................................... .80%
Bond Portfolio................................................ .78%
Growth Stock Portfolio........................................ .58%
Small Capitalization Stock Portfolio.......................... .54%
Natural Resources Portfolio................................... .34%
Zero Coupon Bond 2005 Portfolio............................... .07%
Zero Coupon Bond 2000 Portfolio............................... .03%
----------
100.00%
</TABLE>
Bear Stearns Repurchase Agreement, dated 12/29/95, in the principal amount of
$43,000,000, repurchase price $43,027,710, due 1/2/96; collateralized by
$5,190,000 U.S. Treasury Notes, 6.25%, due 8/31/00; $38,036,000 U.S. Treasury
Notes, 5.50%, due 4/30/96.
Goldman Sachs Repurchase Agreement, dated 12/29/95, in the principal amount of
$418,000,000, repurchase price $418,270,770, due 1/2/96; collateralized by
$339,980,000 U.S. Treasury Bonds, 7.875%, due 2/15/21.
J.P. Morgan Securities Repurchase Agreement, dated 12/29/95, in the principal
amount of $300,000,000, repurchase price $300,193,333, due 1/2/96;
collateralized by $50,000,000 U.S. Treasury Notes, 7.625%, due 4/30/96;
$53,212,000 U.S. Treasury Notes, 7.0%, due 4/15/99; $51,060,000 U.S. Treasury
Notes, 5.125%, due 11/30/98; $49,755,000 U.S. Treasury Notes, 6.875%, due
7/31/99; $37,947,000 U.S. Treasury Notes, 6.125%, due 5/31/00; $52,695,000 U.S.
Treasury Notes, 6.0%, due 8/31/97.
Morgan Stanley and Company Repurchase Agreement, dated 12/29/95, in the
principal amount of $418,000,000, repurchase price $418,273,552, due 1/2/96;
collateralized by $300,000,000 U.S. Treasury Notes, 6.75%, due 4/30/00;
$108,300,000 U.S. Treasury Notes, 5.125%, due 11/30/98.
C4
<PAGE>
Salomon Brothers Repurchase Agreement, dated 12/29/95, in the principal amount
of $75,000,000, repurchase price $75,048,748, due 1/2/96; collateralized by
$8,717,000 U.S. Treasury Notes, 7.25%, due 11/30/96; $26,000,000 U.S. Treasury
Notes, 6.125%, due 5/15/98; $40,000,000 U.S. Treasury Notes, 5.75%, due 9/30/97.
Smith Barney Repurchase Agreement, dated 12/29/95, in the principal amount of
$58,614,000, repurchase price $58,651,447, due 1/2/96; collateralized by
$62,440,000 U.S. Treasury Bills, 5.75%, due 10/17/96.
NOTE 5: PURCHASE AND SALE OF SECURITIES
The aggregate cost of purchase and the proceeds from the sales of securities
(excluding short-term issues) for the year ended December 31, 1995 were as
follows:
Cost of Purchases:
<TABLE>
<CAPTION>
ZERO ZERO ZERO CONSERVATIVELY AGGRESSIVELY HIGH
GOVERNMENT COUPON COUPON COUPON MANAGED MANAGED YIELD
BOND SECURITIES 1995 2000 2005 FLEXIBLE FLEXIBLE BOND
------------ ------------ ------------ ----------- ----------- -------------- -------------- ------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Debt Securities... $1,152,659,582 $885,113,323 $ 0 $16,200,140 $14,191,504 $4,882,722,531 $4,212,735,834 $473,648,052
Equity
Securities...... $ 0 $ 0 $ 0 $ 0 $ 0 $ 480,812,048 $1,827,087,395 $ 4,647,944
</TABLE>
<TABLE>
<CAPTION>
HIGH SMALL
STOCK DIVIDEND COMMON GROWTH CAPITALIZATION GLOBAL NATURAL
INDEX STOCK STOCK STOCK STOCK EQUITY RESOURCES
------------ ------------ ------------ ----------- ----------- -------------- --------------
<S> <C> <C> <C> <C> <C> <C> <C>
Debt Securities... $ 0 $120,205,175 $ 0 $ 0 $ 0 $ 0 $ 0
Equity
Securities...... $131,109,105 $579,685,171 $486,698,253 $66,053,630 $47,690,639 $ 224,358,200 $ 128,563,575
</TABLE>
Proceeds From Sales:
<TABLE>
<CAPTION>
ZERO ZERO ZERO CONSERVATIVELY AGGRESSIVELY HIGH
GOVERNMENT COUPON COUPON COUPON MANAGED MANAGED YIELD
BOND SECURITIES 1995 2000 2005 FLEXIBLE FLEXIBLE BOND
------------ ------------ ------------ ----------- ----------- -------------- -------------- ------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Debt Securities... $1,109,474,697 $888,238,284 $ 18,395,935 $16,435,388 $12,825,478 $4,679,687,138 $4,084,931,841 $425,797,501
Equity
Securities...... $ 0 $ 0 $ 0 $ 0 $ 0 $ 428,286,138 $1,842,532,499 $ 12,914,791
</TABLE>
<TABLE>
<CAPTION>
HIGH SMALL
STOCK DIVIDEND COMMON GROWTH CAPITALIZATION GLOBAL NATURAL
INDEX STOCK STOCK STOCK STOCK EQUITY RESOURCES
------------ ------------ ------------ ----------- ----------- -------------- --------------
<S> <C> <C> <C> <C> <C> <C> <C>
Debt Securities... $ 0 $134,773,213 $ 0 $ 0 $ 0 $ 0 $ 1,752,580
Equity
Securities...... $ 9,292,175 $460,810,015 $560,871,071 $10,929,805 $ 7,819,414 $ 209,264,836 $ 116,657,662
</TABLE>
Transactions in call options during the six months ended December 31, 1995 were
as follows:
<TABLE>
<CAPTION>
BOND BOND NATURAL RESOURCES
------------------------ ------------------------ ------------------------
CALL OPTIONS WRITTEN PUT OPTIONS WRITTEN CALL OPTIONS WRITTEN
------------------------ ------------------------ ------------------------
NUMBER OF PREMIUMS NUMBER OF PREMIUMS NUMBER OF PREMIUMS
CONTRACTS RECEIVED CONTRACTS RECEIVED CONTRACTS RECEIVED
----------- ----------- ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
Options outstanding at
December 31, 1994....... 0 $ 0 0 $ 0 0 $ 0
Options written........... 1,500 99,609 1,500 45,703 1,280 388,647
Options terminated in
closing purchase
transactions............ (1,500) (99,609) (1,500) (45,703) (840) (224,972)
----------- ----------- ----------- ----------- ----------- -----------
Options outstanding at
December 31, 1995....... 0 $ 0 0 $ 0 440 $ 163,675
----------- ----------- ----------- ----------- ----------- -----------
----------- ----------- ----------- ----------- ----------- -----------
</TABLE>
The federal income tax basis and unrealized appreciation/depreciation of the
Fund's investments as of December 31, 1995 were as follows:
<TABLE>
<CAPTION>
ZERO ZERO ZERO
MONEY GOVERNMENT COUPON COUPON COUPON
MARKET BOND SECURITIES 1995 2000 2005
------------- ------------- ------------- ------------- ------------- -------------
<S> <C> <C> <C> <C> <C> <C>
Gross Unrealized Appreciation... $ 0 $ 34,614,448 $ 37,434,616 $ 0 $ 3,122,667 $ 3,653,918
Gross Unrealized Depreciation... 0 (1,351,508) (13,989) 0 0 0
Total Net Unrealized............ 0 33,262,940 37,420,627 0 3,122,667 3,653,918
Tax Basis....................... $610,184,940 $ 610,310,688 $457,607,665 $ 0 $22,164,986 $19,934,260
<CAPTION>
HIGH HIGH SMALL
YIELD STOCK DIVIDEND COMMON GROWTH CAPITALIZATION
BOND INDEX STOCK STOCK STOCK STOCK
------------- ------------- ------------- ------------- ------------- -------------
<S> <C> <C> <C> <C> <C> <C>
Gross Unrealized Appreciation... $16,024,184 $ 319,972,806 $119,718,028 $895,616,406 $ 5,890,547 $ 4,726,512
Gross Unrealized Depreciation... (9,488,623) (12,254,834) (42,811,468) (96,015,544) (1,846,128) (2,129,577)
Total Net Unrealized............ 6,535,561 307,717,972 76,906,560 799,600,862 4,044,419 2,596,935
Tax Basis....................... $354,752,487 $ 726,828,799 1$,029,615,764 3$,003,199,288 $62,811,423 $47,793,195
<CAPTION>
CONSERVATIVELY AGGRESSIVELY
MANAGED MANAGED
FLEXIBLE FLEXIBLE
--------------- ---------------
<S> <C> <C>
Gross Unrealized Appreciation... $ 378,149,704 $ 568,373,680
Gross Unrealized Depreciation... (88,299,605) (27,642,238)
Total Net Unrealized............ 289,850,099 540,731,442
Tax Basis....................... $3,622,931,201 $3,687,627,278
GLOBAL NATURAL
EQUITY RESOURCES
--------------- ---------------
<S> <C> <C>
Gross Unrealized Appreciation... $ 52,646,874 $ 53,158,550
Gross Unrealized Depreciation... (9,955,204) (11,053,974)
Total Net Unrealized............ 42,691,670 42,104,576
Tax Basis....................... $ 338,204,955 $ 251,010,642
</TABLE>
C5
<PAGE>
NOTE 6: FINANCIAL HIGHLIGHTS
The following average per share data, ratios and supplemental information by
Portfolio have been derived from information provided in the financial
statements.
<TABLE>
<CAPTION>
MONEY MARKET
-------------------------------------------------------------------------------------------------------
01/01/95 01/01/94 01/01/93 01/01/92 01/01/91 01/01/90 01/01/89 01/01/88 01/01/87 01/01/86
TO TO TO TO TO TO TO TO TO TO
12/31/95 12/31/94 12/31/93 12/31/92 12/31/91 12/31/90 12/31/89 12/31/88 12/31/87 12/31/86*
-------- -------- -------- -------- -------- -------- -------- -------- --------- ---------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Net Asset Value at
beginning of year...... $10.000 $10.000 $10.000 $10.000 $10.000 $10.000 $10.000 $10.000 $ 10.000 $ 1.000
-------- -------- -------- -------- -------- -------- -------- -------- --------- ---------
Income From Investment
Operations:
Net investment income.... 0.564 0.402 0.290 0.372 0.596 0.778 0.877 0.717 0.630 0.062
Net realized gains
(losses) and unrealized
appreciation
(depreciation) on
investments............ 0 0 0 0 0 0 0 0 0 0
-------- -------- -------- -------- -------- -------- -------- -------- --------- ---------
Total from investment
operations........... 0.564 0.402 0.290 0.372 0.596 0.778 0.877 0.717 0.630 0.062
Distributions to
Shareholders:
Distributions from net
investment income...... (0.564) (0.402) (0.290) (0.372) (0.596) (0.778) (0.877) (0.717) (0.630) (0.062)
Distributions from
realized gains......... 0 0 0 0 0 0 0 0 0 0
-------- -------- -------- -------- -------- -------- -------- -------- --------- ---------
Total
distributions........ (0.563) (0.402) (0.290) (0.372) (0.596) (0.778) (0.877) (0.717) (0.630) (0.062)
Reverse stock split (10
to 1).................. -- -- -- -- -- -- -- -- -- 9.000
Net increase (decrease)
in Net Asset Value..... 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 9.000
-------- -------- -------- -------- -------- -------- -------- -------- --------- ---------
Net Asset Value at end of
year................... $10.000 $10.000 $10.000 $10.000 $10.000 $10.000 $10.000 $10.000 $ 10.000 $ 10.000
-------- -------- -------- -------- -------- -------- -------- -------- --------- ---------
-------- -------- -------- -------- -------- -------- -------- -------- --------- ---------
Total Investment Rate of
Return:**.............. 5.80 % 4.05 % 2.95 % 3.79 % 6.16 % 8.16 % 9.25 % 7.35 % 6.52 % 6.54 %
Ratios/Supplemental Data:
Net assets at end of year
(in millions).......... $613.3 $583.3 $474.7 $528.7 $529.6 $434.2 $236.1 $155.9 $107.2 $52.5
Ratio of expenses net of
reimbursement to
average net assets..... 0.44 % 0.47 % 0.45 % 0.47 % 0.46 % 0.50 % 0.55 % 0.57 % 0.53 % 0.55 %
Ratio of net investment
income to average net
assets................. 5.64 % 4.02 % 2.90 % 3.72 % 5.96 % 7.80 % 8.77 % 7.17 % 6.30 % 6.16 %
Portfolio turnover
rate................... -- -- -- -- -- -- -- -- -- --
Number of shares
outstanding at end of
period (in millions)... 61.3 58.3 47.5 52.9 53.0 43.4 23.6 15.6 10.7 5.2
</TABLE>
<TABLE>
<CAPTION>
BOND
-------------------------------------------------------------------------------------------------------
01/01/95 01/01/94 01/01/93 01/01/92 01/01/91 01/01/90 01/01/89 01/01/88 01/01/87 01/01/86
TO TO TO TO TO TO TO TO TO TO
12/31/95 12/31/94 12/31/93 12/31/92 12/31/91 12/31/90 12/31/89 12/31/88 12/31/87 12/31/86*
-------- -------- -------- -------- -------- -------- -------- -------- --------- ---------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Net Asset Value at
beginning of year...... $10.038 $11.103 $10.829 $11.002 $10.332 $10.321 $ 9.942 $10.038 $ 11.048 $ 10.967
-------- -------- -------- -------- -------- -------- -------- -------- --------- ---------
Income From Investment
Operations:
Net investment income.... 0.763 0.682 0.686 0.761 0.797 0.825 0.886 0.875 0.859 0.904
Net realized gains
(losses) and unrealized
appreciation
(depreciation) on
investments............ 1.293 (1.040) 0.398 0.013 0.842 (0.004) 0.424 (0.069) (0.821) 0.607
-------- -------- -------- -------- -------- -------- -------- -------- --------- ---------
Total from investment
operations........... 2.056 (0.358) 1.084 0.774 1.639 0.821 1.310 0.806 0.038 1.511
-------- -------- -------- -------- -------- -------- -------- -------- --------- ---------
Distributions to
Shareholders:
Distributions from net
investment income...... (0.755) (0.683) (0.657) (0.728) (0.779) (0.810) (0.854) (0.902) (0.990) (0.909)
Distributions from net
realized gains......... (0.026) (0.024) (0.153) (0.219) (0.190) 0 (0.077) 0 (0.058) (0.521)
-------- -------- -------- -------- -------- -------- -------- -------- --------- ---------
Total
distributions........ (0.781) (0.707) (0.810) (0.947) (0.969) (0.810) (0.931) (0.902) (1.048) (1.430)
-------- -------- -------- -------- -------- -------- -------- -------- --------- ---------
Net increase (decrease)
in Net Asset Value..... 1.275 (1.065) 0.274 (0.173) 0.670 0.011 0.379 (0.096) (1.010) 0.081
-------- -------- -------- -------- -------- -------- -------- -------- --------- ---------
Net Asset Value at end of
year................... $11.313 $10.038 $11.103 $10.829 $11.002 $10.332 $10.321 $ 9.942 $ 10.038 $ 11.048
-------- -------- -------- -------- -------- -------- -------- -------- --------- ---------
-------- -------- -------- -------- -------- -------- -------- -------- --------- ---------
Total Investment Rate of
Return:**.............. 20.73 % (3.23 %) 10.13 % 7.19 % 16.44 % 8.32 % 13.49 % 8.19 % 0.29 % 14.45 %
Ratios/Supplemental Data:
Net assets at end of year
(in millions).......... $655.8 $541.6 $576.2 $428.8 $318.7 $227.7 $191.1 $148.8 $139.5 $110.1
Ratio of expenses net of
reimbursement to
average net assets..... 0.44 % 0.45 % 0.46 % 0.47 % 0.49 % 0.47 % 0.53 % 0.53 % 0.53 % 0.51 %
Ratio of net investment
income to average net
assets................. 7.00 % 6.41 % 6.05 % 6.89 % 7.43 % 8.06 % 8.56 % 8.52 % 8.15 % 8.11 %
Portfolio turnover
rate................... 199.09 % 31.57 % 41.12 % 60.53 % 131.01 % 42.10 % 272.85 % 222.20 % 238.41 % 246.82 %
Number of shares
outstanding at end of
period (in millions)... 58.0 54.0 51.9 39.6 29.0 22.0 18.5 15.0 13.9 10.0
</TABLE>
All calculations are based on average month-end shares outstanding, where
applicable.
*The per share information of the Portfolios of The Prudential Series Fund,
Inc. has not been restated to reflect the operations of the Pruco Life Series
Fund, Inc. prior to the November 1, 1986 merger.
**Total investment returns are at the portfolio level and exclude contract
specific charges which would reduce returns.
C6
<PAGE>
NOTE 6: FINANCIAL HIGHLIGHTS (CONTINUED)
<TABLE>
<CAPTION>
GOVERNMENT SECURITIES
-----------------------------------------------------------------------
01/01/95 01/01/94 01/01/93 01/01/92 01/01/91 01/01/90 05/01/89
TO TO TO TO TO TO TO
12/31/95 12/31/94 12/31/93 12/31/92 12/31/91 12/31/90 12/31/89
-------- -------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C>
Net Asset Value at
beginning of year...... $10.461 $11.784 $11.094 $11.133 $10.146 $10.324 $10.017
-------- -------- -------- -------- -------- -------- --------
Income From Investment
Operations:
Net investment income.... 0.741 0.703 0.700 0.731 0.736 0.791 0.545
Net realized gains
(losses) and unrealized
appreciation
(depreciation) on
investments............ 1.275 (1.311) 0.678 (0.092) 0.847 (0.177) 0.613
-------- -------- -------- -------- -------- -------- --------
Total from investment
operations........... 2.016 (0.608) 1.378 0.639 1.583 0.614 1.158
-------- -------- -------- -------- -------- -------- --------
Distributions to
Shareholders:
Distributions from net
investment income...... (0.758) (0.723) (0.642) (0.593) (0.596) (0.769) (0.489)
Distributions from net
realized gains......... 0.000 0.008 (0.046) (0.085) 0.000 (0.023) (0.362)
-------- -------- -------- -------- -------- -------- --------
Total
distributions........ (0.758) (0.715) (0.688) (0.678) (0.596) (0.792) (0.851)
-------- -------- -------- -------- -------- -------- --------
Net increase (decrease)
in Net Asset Value..... 1.258 (1.323) 0.690 (0.039) 0.987 (0.178) 0.307
-------- -------- -------- -------- -------- -------- --------
Net Asset Value at end of
year................... $11.719 $10.461 $11.784 $11.094 $11.133 $10.146 $10.324
-------- -------- -------- -------- -------- -------- --------
-------- -------- -------- -------- -------- -------- --------
Total Investment Rate of
Return:**.............. 19.48 % (5.16 %) 12.56 % 5.85 % 16.11 % 6.34 % 11.60 %
Ratios/Supplemental Data:
Net assets at end of year
(in millions).......... $501.8 $487.6 $540.1 $315.5 $95.0 $23.7 $17.0
Ratio of expenses net of
reimbursement to
average net assets..... 0.45 % 0.45 % 0.46 % 0.53 % 0.58 % 0.74 % 0.50 %
Ratio of net investment
income to average net
assets................. 6.55 % 6.30 % 5.91 % 6.58 % 6.97 % 7.86 % 5.06 %
Portfolio turnover
rate................... 195.49 % 34.19 % 18.59 % 80.71 % 127.18 % 379.45 % 208.86 %
Number of shares
outstanding at end of
period (in millions)... 42.8 46.6 45.8 28.3 8.5 2.3 1.6
</TABLE>
<TABLE>
<CAPTION>
ZERO COUPON BOND 1995
-------------------------------------------------------------------------------------------------------
01/01/95 01/01/94 01/01/93 01/01/92 01/01/91 01/01/90 01/01/89 01/01/88 01/01/87 02/12/86
TO TO TO TO TO TO TO TO TO TO
11/15/95 12/31/94 12/31/93 12/31/92 12/31/91 12/31/90 12/31/89 12/31/88 12/31/87 12/31/86
-------- -------- -------- -------- -------- -------- -------- -------- --------- ---------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Net Asset Value at
beginning of period.... $10.593 $11.282 $11.174 $11.250 $10.380 $11.094 $10.331 $10.270 $ 11.724 $ 10.156
-------- -------- -------- -------- -------- -------- -------- -------- --------- ---------
Income From Investment
Operations:
Net investment income.... 0.538 0.800 0.761 0.802 0.844 1.447 0.889 0.888 0.893 0.791
Net realized gains
(losses) and unrealized
appreciation
(depreciation) on
investments............ 0.109 (0.808) 0.107 (0.010) 0.874 (0.670) 0.766 0.027 (1.263) 1.437
-------- -------- -------- -------- -------- -------- -------- -------- --------- ---------
Total from investment
operations........... 0.647 (0.008) 0.868 0.792 1.718 0.777 1.655 0.915 (0.370) 2.228
-------- -------- -------- -------- -------- -------- -------- -------- --------- ---------
Distributions to
Shareholders:
Distributions from net
investment income...... (0.676) (0.679) (0.760) (0.798) (0.845) (1.491) (0.892) (0.854) (1.084) (0.660)
Distributions from net
realized gains......... (0.165) (0.002) 0.000 (0.070) (0.003) 0.000 0.000 0.000 0.000 0.000
Distributions of net
assets at liquidation
date................... (10.399) 0 0 0 0 0 0 0 0 0
-------- -------- -------- -------- -------- -------- -------- -------- --------- ---------
Total
distributions........ (11.240) (0.681) (0.760) (0.868) (0.848) (1.491) (0.892) (0.854) (1.084) (0.660)
-------- -------- -------- -------- -------- -------- -------- -------- --------- ---------
Net increase (decrease)
in Net Asset Value..... (10.593) (0.689) 0.108 (0.076) 0.870 (0.714) 0.763 0.061 (1.454) 1.568
-------- -------- -------- -------- -------- -------- -------- -------- --------- ---------
Net Asset Value at end of
period................. $ 0.000 $10.593 $11.282 $11.174 $11.250 $10.380 $11.094 $10.331 $ 10.270 $ 11.724
-------- -------- -------- -------- -------- -------- -------- -------- --------- ---------
-------- -------- -------- -------- -------- -------- -------- -------- --------- ---------
Total Investment Rate of
Return:**.............. 6.20 % (0.03 %) 7.87 % 7.19 % 17.20 % 7.95 % 16.41 % 9.01 % (3.25 %) 21.96 %
Ratios/Supplemental Data:
Net assets at end of
period (in millions)... $0.0 $17.7 $15.2 $13.6 $13.0 $11.0 $10.0 $9.0 $7.5 $7.2
Ratio of expenses net of
reimbursement to
average net assets..... 0.49 % 0.60 % 0.63 % 0.69 % 0.71 % 0.75 % 0.75 % 0.75 % 0.69 % 0.42 %
Ratio of net investment
income to average net
assets................. 5.39 % 6.72 % 6.61 % 7.12 % 7.86 % 13.80 % 8.13 % 8.34 % 8.17 % 6.89 %
Portfolio turnover
rate................... 0.00 % 4.38 % 5.84 % 34.80 % 0.77 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 %
Number of shares
outstanding at end of
period (in millions)... 0.0 1.7 1.3 1.2 1.2 1.1 0.9 0.9 0.7 0.6
</TABLE>
All calculations are based on average month-end shares outstanding, where
applicable.
**Total investment returns are at the portfolio level and exclude contract
specific charges which would reduce returns.
C7
<PAGE>
NOTE 6: FINANCIAL HIGHLIGHTS (CONTINUED)
<TABLE>
<CAPTION>
ZERO COUPON BOND 2000
-------------------------------------------------------------------------------------------------------
01/01/95 01/01/94 01/01/93 01/01/92 01/01/91 01/01/90 01/01/89 01/01/88 01/01/87 02/12/86
TO TO TO TO TO TO TO TO TO TO
12/31/95 12/31/94 12/31/93 12/31/92 12/31/91 12/31/90 12/31/89 12/31/88 12/31/87 12/31/86
-------- -------- -------- -------- -------- -------- -------- -------- --------- ---------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Net Asset Value at
beginning of year...... $11.862 $13.715 $12.550 $12.402 $11.279 $11.883 $11.004 $10.685 $ 12.476 $ 10.267
-------- -------- -------- -------- -------- -------- -------- -------- --------- ---------
Income From Investment
Operations:
Net investment income.... 0.592 0.927 0.850 0.892 0.908 1.114 0.919 0.919 0.934 0.807
Net realized gains
(losses) and unrealized
appreciation
(depreciation) on
investments............ 1.944 (1.907) 1.157 0.140 1.308 (0.593) 1.277 0.292 (1.623) 2.087
-------- -------- -------- -------- -------- -------- -------- -------- --------- ---------
Total from investment
operations........... 2.536 (0.980) 2.007 1.032 2.216 0.521 2.196 1.211 (0.689) 2.894
-------- -------- -------- -------- -------- -------- -------- -------- --------- ---------
Distributions to
Shareholders:
Distributions from net
investment income...... (0.593) (0.850) (0.837) (0.884) (0.944) (1.125) (0.915) (0.892) (1.102) (0.685)
Distributions from net
realized gains......... (0.532) (0.023) (0.005) 0.000 (0.149) 0.000 (0.402) 0.000 0.000 0.000
-------- -------- -------- -------- -------- -------- -------- -------- --------- ---------
Total
distributions........ (1.125) (0.873) (0.842) (0.884) (1.093) (1.125) (1.317) (0.892) (1.102) (0.685)
-------- -------- -------- -------- -------- -------- -------- -------- --------- ---------
Net increase (decrease)
in Net Asset Value..... 1.411 (1.853) 1.165 0.148 1.123 (0.604) 0.879 0.319 (1.791) 2.209
-------- -------- -------- -------- -------- -------- -------- -------- --------- ---------
Net Asset Value at end of
year................... $13.273 $11.862 $13.715 $12.550 $12.402 $11.279 $11.883 $11.004 $ 10.685 $ 12.476
-------- -------- -------- -------- -------- -------- -------- -------- --------- ---------
-------- -------- -------- -------- -------- -------- -------- -------- --------- ---------
Total Investment Rate of
Return:**.............. 21.56 % (7.18 %) 16.15 % 8.59 % 20.71 % 5.11 % 20.38 % 11.56 % (5.51 %) 28.62 %
Ratios/Supplemental Data:
Net assets at end of year
(in millions).......... $25.3 $20.6 $22.2 $16.7 $14.6 $13.9 $13.1 $10.9 $9.0 $8.1
Ratio of expenses net of
reimbursement to
average net assets..... 0.48 % 0.51 % 0.62 % 0.66 % 0.68 % 0.75 % 0.75 % 0.75 % 0.64 % 0.40 %
Ratio of net investment
income to average net
assets................. 4.53 % 6.69 % 6.21 % 7.24 % 7.77 % 9.99 % 7.73 % 8.24 % 8.19 % 6.61 %
Portfolio turnover
rate................... 70.68 % 9.41 % 0.53 % 0.00 % 0.00 % 0.00 % 38.62 % 0.00 % 0.00 % 0.00 %
Number of shares
outstanding at end of
period (in millions)... 1.9 1.7 1.6 1.3 1.2 1.2 1.1 1.0 0.8 0.7
</TABLE>
<TABLE>
<CAPTION>
ZERO COUPON BOND 2005
-----------------------------------------------------------------------
01/01/95 01/01/94 01/01/93 01/01/92 01/01/91 01/01/90 05/01/89
TO TO TO TO TO TO TO
12/31/95 12/31/94 12/31/93 12/31/92 12/31/91 12/31/90 12/31/89
-------- -------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C>
Net Asset Value at
beginning of year...... $10.744 $12.677 $11.029 $10.874 $ 9.798 $10.457 $10.017
-------- -------- -------- -------- -------- -------- --------
Income From Investment
Operations:
Net investment income.... 0.655 0.752 0.768 0.804 0.820 0.850 0.561
Net realized gains
(losses) and unrealized
appreciation
(depreciation) on
investments............ 2.733 (1.967) 1.623 0.207 1.143 (0.649) 0.598
-------- -------- -------- -------- -------- -------- --------
Total from investment
operations........... 3.388 (1.215) 2.391 1.011 1.963 0.201 1.159
-------- -------- -------- -------- -------- -------- --------
Distributions to
Shareholders:
Distributions from net
investment income...... (0.656) (0.715) (0.741) (0.792) (0.827) (0.860) (0.531)
Distributions from net
realized gains......... (0.286) (0.003) (0.002) (0.064) (0.060) 0.000 (0.188)
-------- -------- -------- -------- -------- -------- --------
Total
distributions........ (0.942) (0.718) (0.743) (0.856) (0.887) (0.860) (0.719)
-------- -------- -------- -------- -------- -------- --------
Net increase (decrease)
in Net Asset Value..... 2.446 (1.933) 1.648 0.155 1.076 (0.659) 0.440
-------- -------- -------- -------- -------- -------- --------
Net Asset Value at end of
year................... $13.190 $10.744 $12.677 $11.029 $10.874 $ 9.798 $10.457
-------- -------- -------- -------- -------- -------- --------
-------- -------- -------- -------- -------- -------- --------
Total Investment Rate of
Return:**.............. 31.85 % (9.61 %) 21.94 % 9.66 % 21.16 % 2.56 % 11.67 %
Ratios/Supplemental Data:
Net assets at end of year
(in millions).......... $23.6 $16.5 $14.5 $9.8 $8.7 $7.3 $7.2
Ratio of expenses net of
reimbursement to
average net assets..... 0.49 % 0.60 % 0.66 % 0.75 % 0.75 % 0.75 % 0.49 %
Ratio of net investment
income to average net
assets................. 5.32 % 6.53 % 6.17 % 7.46 % 8.08 % 8.83 % 5.25 %
Portfolio turnover
rate................... 69.15 % 5.94 % 3.62 % 11.48 % 5.76 % 4.36 % 59.90 %
Number of shares
outstanding at end of
period (in millions)... 1.8 1.5 1.1 0.9 0.8 0.7 0.7
</TABLE>
All calculations are based on average month-end shares outstanding, where
applicable.
**Total investment returns are at the portfolio level and exclude contract
specific charges which would reduce returns.
C8
<PAGE>
NOTE 6: FINANCIAL HIGHLIGHTS (CONTINUED)
<TABLE>
<CAPTION>
CONSERVATIVELY MANAGED FLEXIBLE
-----------------------------------------------------------------------------------------------------
01/01/95 01/01/94 01/01/93 01/01/92 01/01/91 01/01/90 01/01/89 01/01/88 01/01/87 01/01/86
TO TO TO TO TO TO TO TO TO TO
12/31/95 12/31/94 12/31/93 12/31/92 12/31/91 12/31/90 12/31/89 12/31/88 12/31/87 12/31/86*
-------- -------- -------- -------- -------- -------- -------- -------- --------- ---------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Net Asset Value at
beginning of year...... $14.095 $14.905 $14.243 $14.318 $13.060 $13.361 $12.295 $11.889 $ 12.571 $ 12.173
-------- -------- -------- -------- -------- -------- -------- -------- --------- ---------
Income From Investment
Operations:
Net investment income.... 0.635 0.528 0.486 0.558 0.687 0.821 0.891 0.773 0.656 0.652
Net realized gains
(losses) and unrealized
appreciation
(depreciation) on
investmentss........... 1.775 (0.679) 1.229 0.410 1.738 (0.143) 1.155 0.424 (0.399) 1.046
-------- -------- -------- -------- -------- -------- -------- -------- --------- ---------
Total from investment
operations........... 2.410 (0.151) 1.715 0.968 2.425 0.678 2.046 1.197 0.257 1.698
-------- -------- -------- -------- -------- -------- -------- -------- --------- ---------
Distributions to
Shareholders:
Distributions from net
investment income...... (0.643) (0.505) (0.468) (0.533) (0.668) (0.812) (0.887) (0.791) (0.709) (0.517)
Distributions from net
realized gains......... (0.553) (0.154) (0.585) (0.510) (0.499) (0.167) (0.093) 0.000 (0.230) (0.783)
-------- -------- -------- -------- -------- -------- -------- -------- --------- ---------
Total
distributions........ (1.196) (0.659) (1.053) (1.043) (1.167) (0.979) (0.980) (0.791) (0.939) (1.300)
-------- -------- -------- -------- -------- -------- -------- -------- --------- ---------
Net increase (decrease)
in Net Asset Value..... 1.214 (0.810) 0.662 (0.075) 1.258 (0.301) 1.066 0.406 (0.682) 0.398
-------- -------- -------- -------- -------- -------- -------- -------- --------- ---------
Net Asset Value at end of
year................... $15.309 $14.095 $14.905 $14.243 $14.318 $13.060 $13.361 $12.295 $ 11.889 $ 12.571
-------- -------- -------- -------- -------- -------- -------- -------- --------- ---------
-------- -------- -------- -------- -------- -------- -------- -------- --------- ---------
Total Investment Rate of
Return:**.............. 17.27 % (0.97 %) 12.20 % 6.95 % 19.07 % 5.27 % 16.99 % 10.19 % 1.54 % 14.17 %
Ratios/Supplemental Data:
Net assets at end of year
(in millions).......... $3,940.8 $3,501.1 $3,103.2 $2,114.0 $1,500.0 $1,100.2 $976.0 $815.6 $803.9 $375.4
Ratio of expenses net of
reimbursement to
average net assets..... 0.58 % 0.61 % 0.60 % 0.62 % 0.63 % 0.65 % 0.64 % 0.65 % 0.66 % 0.64 %
Ratio of net investment
income to average net
assets................. 4.19 % 3.61 % 3.22 % 3.88 % 4.89 % 6.21 % 6.81 % 6.22 % 5.05 % 5.10 %
Portfolio turnover
rate................... 200.68 % 125.18 % 79.46 % 62.07 % 115.35 % 44.04 % 153.92 % 110.67 % 140.69 % 207.78 %
Number of shares
outstanding at end of
period (in millions)... 257.4 248.4 208.2 148.4 104.8 84.2 73.0 66.3 67.6 29.9
<CAPTION>
AGGRESSIVELY MANAGED FLEXIBLE
-----------------------------------------------------------------------------------------------------
01/01/95 01/01/94 01/01/93 01/01/92 01/01/91 01/01/90 01/01/89 01/01/88 01/01/87 01/01/86
TO TO TO TO TO TO TO TO TO TO
12/31/95 12/31/94 12/31/93 12/31/92 12/31/91 12/31/90 12/31/89 12/31/88 12/31/87 12/31/86*
-------- -------- -------- -------- -------- -------- -------- -------- --------- ---------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Net Asset Value at
beginning of year...... $15.496 $16.957 $16.005 $16.288 $13.996 $14.446 $13.123 $12.326 $ 13.555 $ 12.810
-------- -------- -------- -------- -------- -------- -------- -------- --------- ---------
Income From Investment
Operations:
Net investment income.... 0.564 0.473 0.566 0.583 0.650 0.715 0.813 0.724 0.577 0.611
Net realized gains
(losses) and unrealized
appreciation
(depreciation) on
investments............ 3.149 (1.021) 1.882 0.607 2.809 (0.466) 1.989 0.840 (0.753) 1.342
-------- -------- -------- -------- -------- -------- -------- -------- --------- ---------
Total from investment
operations........... 3.713 (0.548) 2.448 1.190 3.459 0.249 2.802 1.564 (0.176) 1.953
-------- -------- -------- -------- -------- -------- -------- -------- --------- ---------
Distributions to
Shareholders:
Distributions from net
investment income...... (0.560) (0.451) (0.567) (0.559) (0.654) (0.699) (0.813) (0.767) (0.673) (0.456)
Distributions from net
realized gains......... (0.790) (0.462) (0.929) (0.914) (0.513) 0.000 (0.666) 0.000 (0.380) (0.752)
-------- -------- -------- -------- -------- -------- -------- -------- --------- ---------
Total
distributions........ (1.350) (0.913) (1.496) (1.473) (1.167) (0.699) (1.479) (0.767) (1.053) (1.208)
-------- -------- -------- -------- -------- -------- -------- -------- --------- ---------
Net increase (decrease)
in Net Asset Value..... 2.363 (1.461) 0.952 (0.283) 2.292 (0.450) 1.323 0.797 (1.229) 0.745
-------- -------- -------- -------- -------- -------- -------- -------- --------- ---------
Net Asset Value at end of
year................... $17.859 $15.496 $16.957 $16.005 $16.288 $13.996 $14.446 $13.123 $ 12.326 $ 13.555
-------- -------- -------- -------- -------- -------- -------- -------- --------- ---------
-------- -------- -------- -------- -------- -------- -------- -------- --------- ---------
Total Investment Rate of
Return:**.............. 24.13 % (3.16 %) 15.58 % 7.61 % 25.43 % 1.91 % 21.77 % 12.83 % (1.83 %) 15.48 %
Ratios/Supplemental Data:
Net assets at end of year
(in millions).......... $4,261.2 $3,481.5 $3,292.2 $2,435.6 $1,990.7 $1,507.8 $1,386.5 $1,103.9 $1,062.4 $593.6
Ratio of expenses net of
reimbursement to
average net assets..... 0.63 % 0.66 % 0.66 % 0.67 % 0.67 % 0.69 % 0.69 % 0.70 % 0.71 % 0.67 %
Ratio of net investment
income to average net
assets................. 3.30 % 2.90 % 3.30 % 3.63 % 4.23 % 5.13 % 5.66 % 5.52 % 4.09 % 4.43 %
Portfolio turnover
rate................... 173.30 % 123.63 % 62.99 % 59.03 % 93.13 % 51.87 % 141.04 % 128.45 % 123.83 % 133.76 %
Number of shares
outstanding at end of
period (in millions)... 238.6 224.7 194.1 152.2 122.2 107.7 96.0 84.1 86.2 43.8
</TABLE>
All calculations are based on average month-end shares outstanding, where
applicable.
*The per share information of the Portfolios of The Prudential Series Fund,
Inc. has not been restated to reflect the operations of the Pruco Life Series
Fund, Inc. prior to the November 1, 1986 merger.
**Total investment returns are at the portfolio level and exclude contract
specific charges which would reduce returns.
C9
<PAGE>
NOTE 6: FINANCIAL HIGHLIGHTS (CONTINUED)
<TABLE>
<CAPTION>
HIGH YIELD BOND
-------------------------------------------------------------------------------------------
01/01/95 01/01/94 01/01/93 01/01/92 01/01/91 01/01/90 01/01/89 01/01/88 02/23/87
TO TO TO TO TO TO TO TO TO
12/31/95 12/31/94 12/31/93 12/31/92 12/31/91 12/31/90 12/31/89 12/31/88 12/31/87
-------- -------- -------- -------- -------- -------- -------- -------- ---------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Net Asset Value at
beginning of year...... $ 7.366 $ 8.406 $ 7.719 $ 7.212 $ 5.838 $ 7.673 $ 8.904 $ 8.742 $ 10.000
-------- -------- -------- -------- -------- -------- -------- -------- ---------
Income From Investment
Operations:
Net investment income.... 0.812 0.869 0.822 0.824 0.836 0.936 1.071 1.066 0.968
Net realized gains
(losses) and unrealized
appreciation
(depreciation) on
investments............ 0.460 (1.102) 0.632 0.415 1.397 (1.792) (1.223) 0.065 (1.428)
-------- -------- -------- -------- -------- -------- -------- -------- ---------
Total from investment
operations........... 1.272 (0.233) 1.454 1.239 2.233 (0.856) (0.152) 1.131 (0.460)
-------- -------- -------- -------- -------- -------- -------- -------- ---------
Distributions to
Shareholders:
Distributions from net
investment income...... (0.838) (0.807) (0.767) (0.732) (0.859) (0.979) (1.079) (0.969) (0.798)
Distributions from net
realized gains......... 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000
-------- -------- -------- -------- -------- -------- -------- -------- ---------
Total
distributions........ (0.838) (0.807) (0.767) (0.732) (0.859) (0.979) (1.079) (0.969) (0.798)
-------- -------- -------- -------- -------- -------- -------- -------- ---------
Net increase (decrease)
in Net Asset Value..... 0.434 (1.040) 0.687 0.507 1.374 (1.835) (1.231) 0.162 (1.258)
-------- -------- -------- -------- -------- -------- -------- -------- ---------
Net Asset Value at end of
year................... $ 7.800 $ 7.366 $ 8.406 $ 7.719 $ 7.212 $ 5.838 $ 7.673 $ 8.904 $ 8.742
-------- -------- -------- -------- -------- -------- -------- -------- ---------
-------- -------- -------- -------- -------- -------- -------- -------- ---------
Total Investment Rate of
Return:**.............. 17.56 % (2.72 %) 19.27 % 17.54 % 39.71 % (11.84 %) (2.05 %) 13.17 % (4.91 %)
Ratios/Supplemental Data:
Net assets at end of year
(in millions).......... $367.9 $306.2 $282.9 $153.7 $78.7 $49.8 $60.0 $65.8 $40.4
Ratio of expenses net of
reimbursement to
average net assets..... 0.61 % 0.65 % 0.65 % 0.70 % 0.75 % 0.75 % 0.71 % 0.75 % 0.73 %
Ratio of net investment
income to average net
assets................. 10.34 % 9.88 % 9.91 % 10.67 % 12.05 % 13.42 % 12.29 % 11.60 % 10.13 %
Portfolio turnover
rate................... 139.34 % 68.67 % 95.52 % 75.04 % 57.21 % 34.66 % 60.59 % 70.73 % 16.58 %
Number of shares
outstanding at end of
period (in millions)... 47.2 41.6 33.6 19.9 10.9 8.5 7.8 7.4 4.6
<CAPTION>
STOCK INDEX
-------------------------------------------------------------------------------------------
01/01/95 01/01/94 01/01/93 01/01/92 01/01/91 01/01/90 01/01/89 01/01/88 10/19/87
TO TO TO TO TO TO TO TO TO
12/31/95 12/31/94 12/31/93 12/31/92 12/31/91 12/31/90 12/31/89 12/31/88 12/31/87
-------- -------- -------- -------- -------- -------- -------- -------- ---------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Net Asset Value at
beginning of year...... $14.957 $15.202 $14.218 $13.605 $10.760 $11.732 $ 9.454 $ 8.531 $ 8.071
-------- -------- -------- -------- -------- -------- -------- -------- ---------
Income From Investment
Operations:
Net investment income.... 0.403 0.377 0.361 0.350 0.351 0.357 0.326 0.357 0.047
Net realized gains
(losses) and unrealized
appreciation
(depreciation) on
investments............ 5.126 (0.231) 1.002 0.600 2.814 (0.792) 2.570 0.951 0.548
-------- -------- -------- -------- -------- -------- -------- -------- ---------
Total from investment
operations........... 5.529 0.146 1.363 0.950 3.165 (0.435) 2.896 1.308 0.595
-------- -------- -------- -------- -------- -------- -------- -------- ---------
Distributions to
Shareholders:
Distributions from net
investment income...... (0.384) (0.368) (0.346) (0.329) (0.307) (0.309) (0.354) (0.385) (0.135)
Distributions from net
realized gains......... (0.146) (0.023) (0.033) (0.008) (0.013) (0.228) (0.264) 0.000 0.000
-------- -------- -------- -------- -------- -------- -------- -------- ---------
Total
distributions........ (0.530) (0.391) (0.379) (0.337) (0.320) (0.537) (0.618) (0.385) (0.135)
-------- -------- -------- -------- -------- -------- -------- -------- ---------
Net increase (decrease)
in Net Asset Value..... 4.999 (0.245) 0.984 0.613 2.845 (0.972) 2.278 0.923 0.460
-------- -------- -------- -------- -------- -------- -------- -------- ---------
Net Asset Value at end of
year................... $19.956 $14.957 $15.202 $14.218 $13.605 $10.760 $11.732 $ 9.454 $ 8.531
-------- -------- -------- -------- -------- -------- -------- -------- ---------
-------- -------- -------- -------- -------- -------- -------- -------- ---------
Total Investment Rate of
Return:**.............. 37.06 % 1.01 % 9.66 % 7.13 % 29.72 % (3.63 %) 30.93 % 15.44 % 7.35 %
Ratios/Supplemental Data:
Net assets at end of year
(in millions).......... $1,031.3 $664.5 $615.1 $433.5 $236.9 $104.5 $53.8 $36.0 $24.5
Ratio of expenses net of
reimbursement to
average net assets..... 0.38 % 0.42 % 0.42 % 0.46 % 0.47 % 0.60 % 0.69 % 0.78 % 0.45 %
Ratio of net investment
income to average net
assets................. 2.27 % 2.50 % 2.43 % 2.56 % 2.82 % 3.23 % 2.95 % 3.87 % 0.53 %
Portfolio turnover
rate................... 1.16 % 1.74 % 0.60 % 0.43 % 1.10 % 17.80 % 14.54 % 15.62 % 0.47 %
Number of shares
outstanding at end of
period (in millions)... 51.7 44.4 40.5 30.5 17.4 9.7 4.6 3.8 2.9
</TABLE>
All calculations are based on average month-end shares outstanding, where
applicable.
**Total investment returns are at the portfolio level and exclude contract
specific charges which would reduce returns.
C10
<PAGE>
NOTE 6: FINANCIAL HIGHLIGHTS (CONTINUED)
<TABLE>
<CAPTION>
HIGH DIVIDEND STOCK
---------------------------------------------------------------------------------
01/01/95 01/01/94 01/01/93 01/01/92 01/01/91 01/01/90 01/01/89 02/19/88
TO TO TO TO TO TO TO TO
12/31/95 12/31/94 12/31/93 12/31/92 12/31/91 12/31/90 12/31/89 12/31/88
-------- -------- -------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Net Asset Value at
beginning of year $14.484 $15.655 $13.673 $13.209 $11.241 $12.254 $10.621 $10.132
-------- -------- -------- -------- -------- -------- -------- --------
Income From Investment
Operations:
Net investment income.... 0.644 0.664 0.551 0.582 0.578 0.509 0.539 0.452
Net realized gains
(losses) and unrealized
appreciation
(depreciation) on
investments............ 2.495 (0.453) 2.459 0.723 2.430 (0.980) 1.841 0.684
-------- -------- -------- -------- -------- -------- -------- --------
Total from investment
operations 3.139 0.211 3.010 1.305 3.008 (0.471) 2.380 1.136
-------- -------- -------- -------- -------- -------- -------- --------
Distributions to
Shareholders:
Distributions from net
investment income...... (0.618) (0.562) (0.501) (0.515) (0.542) (0.461) (0.462) (0.420)
Distributions from net
realized gains......... (0.734) (0.820) (0.527) (0.326) (0.498) (0.081) (0.285) (0.227)
-------- -------- -------- -------- -------- -------- -------- --------
Total
distributions........ (1.352) (1.382) (1.028) (0.841) (1.040) (0.542) (0.747) (0.647)
-------- -------- -------- -------- -------- -------- -------- --------
Net increase (decrease)
in Net Asset Value..... 1.787 (1.171) 1.982 0.464 1.968 (1.013) 1.633 0.489
-------- -------- -------- -------- -------- -------- -------- --------
Net Asset Value at end of
year................... $16.271 $14.484 $15.655 $13.673 $13.209 $11.241 $12.254 $10.621
-------- -------- -------- -------- -------- -------- -------- --------
-------- -------- -------- -------- -------- -------- -------- --------
Total Investment Rate of
Return:**.............. 21.70 % 1.44 % 22.28 % 10.14 % 27.50 % (3.73 %) 22.67 % 11.31 %
Ratios/Supplemental Data:
Net assets at end of year
(in millions).......... $1,110.0 $859.7 $602.8 $234.4 $106.9 $55.5 $34.9 $11.3
Ratio of expenses net of
reimbursement to
average net assets..... 0.43 % 0.52 % 0.54 % 0.57 % 0.57 % 0.60 % 0.74 % 0.64 %
Ratio of net investment
income to average net
assets................. 4.00 % 3.92 % 3.56 % 4.32 % 4.53 % 4.53 % 4.48 % 4.08 %
Portfolio turnover
rate................... 63.55 % 62.66 % 41.43 % 39.98 % 60.12 % 54.79 % 56.65 % 61.31 %
Number of shares
outstanding at end of
period (in millions)... 68.2 59.4 38.5 17.1 8.1 4.9 2.9 1.1
</TABLE>
<TABLE>
<CAPTION>
COMMON STOCK
-----------------------------------------------------------------------------------------------------
01/01/95 01/01/94 01/01/93 01/01/92 01/01/91 01/01/90 01/01/89 01/01/88 01/01/87 01/01/86
TO TO TO TO TO TO TO TO TO TO
12/31/95 12/31/94 12/31/93 12/31/92 12/31/91 12/31/90 12/31/89 12/31/88 12/31/87 12/31/86*
-------- -------- -------- -------- -------- -------- -------- -------- --------- ---------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Net Asset Value at
beginning of year...... $20.662 $21.487 $18.903 $17.905 $15.449 $18.539 $15.463 $13.620 $ 14.815 $ 14.634
-------- -------- -------- -------- -------- -------- -------- -------- --------- ---------
Income From Investment
Operations:
Net investment income.... 0.546 0.512 0.417 0.444 0.482 0.577 0.474 0.402 0.393 0.448
Net realized gains
(losses) and unrealized
appreciation
(depreciation) on
investments............ 5.891 0.054 3.666 2.050 3.414 (1.573) 4.064 1.909 (0.065) 1.765
-------- -------- -------- -------- -------- -------- -------- -------- --------- ---------
Total from investment
operations........... 6.437 0.566 4.083 2.494 3.896 (0.996) 4.538 2.311 0.328 2.213
Distributions to
Shareholders:
Distributions from net
investment income...... (0.515) (0.487) (0.404) (0.439) (0.478) (0.563) (0.503) (0.468) (0.496) (0.275)
Distributions from net
realized gains......... (0.944) (0.904) (1.095) (1.057) (0.962) (1.531) (0.959) 0.000 (1.027) (1.757)
-------- -------- -------- -------- -------- -------- -------- -------- --------- ---------
Total
distributions........ (1.459) (1.391) (1.499) (1.496) (1.440) (2.094) (1.462) (0.468) (1.523) (2.032)
-------- -------- -------- -------- -------- -------- -------- -------- --------- ---------
Net increase (decrease)
in Net Asset Value..... 4.978 (0.825) 2.584 0.998 2.456 (3.090) 3.076 1.843 (1.195) 0.181
-------- -------- -------- -------- -------- -------- -------- -------- --------- ---------
Net Asset Value at end of
year................... $25.640 $20.662 $21.487 $18.903 $17.905 $15.449 $18.539 $15.463 $ 13.620 $ 14.815
-------- -------- -------- -------- -------- -------- -------- -------- --------- ---------
-------- -------- -------- -------- -------- -------- -------- -------- --------- ---------
Total Investment Rate of
Return:**.............. 31.29 % 2.78 % 21.87 % 14.17 % 26.01 % (5.21 %) 29.73 % 17.05 % 1.67 % 15.10 %
Ratios/Supplemental Data:
Net assets at end of year
(in millions).......... $3,813.8 $2,617.8 $2,186.5 $1,416.6 $1,032.8 $700.5 $675.5 $500.1 $451.0 $247.9
Ratio of expenses net of
reimbursement to
average net assets..... 0.48 % 0.55 % 0.53 % 0.53 % 0.51 % 0.56 % 0.56 % 0.57 % 0.51 % 0.52 %
Ratio of net investment
income to average net
assets................. 2.28 % 2.39 % 1.99 % 2.33 % 2.66 % 3.37 % 2.66 % 2.67 % 2.34 % 2.90 %
Portfolio turnover
rate................... 17.65 % 6.90 % 12.95 % 15.70 % 20.85 % 84.84 % 73.54 % 62.35 % 79.91 % 117.15 %
Number of shares
outstanding at end of
period (in millions)... 148.7 126.7 101.8 74.9 57.7 45.3 36.4 32.3 33.1 16.7
</TABLE>
All calculations are based on average month-end shares outstanding, where
applicable.
*The per share information of the Portfolios of The Prudential Series Fund,
Inc. has not been restated to reflect the operations of the Pruco Life Series
Fund, Inc. prior to the November 1, 1986 merger.
**Total investment returns are at the portfolio level and exclude contract
specific charges which would reduce returns.
C11
<PAGE>
NOTE 6: FINANCIAL HIGHLIGHTS (CONTINUED)
<TABLE>
<CAPTION>
GROWTH
STOCK
--------
04/25/95*
TO
12/31/95
--------
<S> <C>
Net Asset Value at
beginning of period $10.000
--------
Income From Investment
Operations:
Net investment income.... 0.018
Net realized gains
(losses) and unrealized
appreciation
(depreciation) on
investments............ 2.535
--------
Total from investment
operations........... 2.553
--------
Distributions to
Shareholders:
Distributions from net
investment income...... (0.006)
Distributions from net
realized gains......... 0.000
--------
Total
distributions........ (0.006)
--------
Net increase (decrease)
in Net Asset Value..... 2.547
--------
Net Asset Value at end of
year................... $12.547
--------
--------
Total Investment Rate of
Return:**.............. 24.42 %
Ratios/Supplemental Data:
Net assets at end of year
(in millions).......... $63.1
Ratio of expenses net of
reimbursement to
average net assets..... 0.79 %
Ratio of net investment
income to average net
assets................. 0.15 %
Portfolio turnover
rate................... 37.45 %
Number of shares
outstanding at end of
period (in millions)... 5.0
<CAPTION>
SMALL
CAPITALIZATION
STOCK
--------
04/25/95*
TO
12/31/95
--------
<S> <C>
Net Asset Value at
beginning of period.... $10.000
--------
Income From Investment
Operations:
Net investment income.... 0.077
Net realized gains
(losses) and unrealized
appreciation
(depreciation) on
investments............ 1.916
--------
Total from investment
operations........... 1.993
--------
Distributions to
Shareholders:
Distributions from net
investment income...... (0.044)
Distributions from net
realized gains......... (0.116)
--------
Total
distributions........ (0.160)
--------
Net increase (decrease)
in Net Asset Value..... 1.833
--------
Net Asset Value at end of
year................... $11.833
--------
--------
Total Investment Rate of
Return:**.............. 19.74 %
Ratios/Supplemental Data:
Net assets at end of year
(in millions).......... $47.5
Ratio of expenses net of
reimbursement to
average net assets..... 0.60 %
Ratio of net investment
income to average net
assets................. 0.68 %
Portfolio turnover
rate................... 31.79 %
Number of shares
outstanding at end of
period (in millions)... 4.0
</TABLE>
All calculations are based on average month-end shares outstanding, where
applicable.
*Commencement of business.
**Total investment returns are at the portfolio level and exclude contract
specific charges which would reduce returns.
C12
<PAGE>
NOTE 6: FINANCIAL HIGHLIGHTS (CONTINUED)
<TABLE>
<CAPTION>
GLOBAL EQUITY
---------------------------------------------------------------------------------
01/01/95 01/01/94 01/01/93 01/01/92 01/01/91 01/01/90 01/01/89 09/19/88
TO TO TO TO TO TO TO TO
12/31/95 12/31/94 12/31/93 12/31/92 12/31/91 12/31/90 12/31/89 12/31/88
-------- -------- -------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Net Asset Value at
beginning of year $13.879 $14.639 $10.368 $10.792 $ 9.866 $11.547 $10.508 $ 9.818
-------- -------- -------- -------- -------- -------- -------- --------
Income From Investment
Operations:
Net investment income.... 0.065 0.028 0.023 0.051 0.096 0.203 0.079 0.052
Net realized gains
(losses) and unrealized
appreciation
(depreciation) on
investments............ 2.138 (0.744) 4.433 (0.419) 1.020 (1.802) 1.806 0.787
-------- -------- -------- -------- -------- -------- -------- --------
Total from investment
operations........... 2.203 (0.716) 4.456 (0.368) 1.116 (1.599) 1.885 0.839
-------- -------- -------- -------- -------- -------- -------- --------
Distributions to
Shareholders:
Distributions from net
investment income...... (0.242) (0.019) (0.079) (0.056) (0.100) (0.067) (0.073) (0.149)
Distributions from net
realized gains......... (0.307) (0.025) (0.106) 0.000 (0.090) (0.015) (0.773) 0.000
-------- -------- -------- -------- -------- -------- -------- --------
Total
distributions........ (0.549) (0.044) (0.185) (0.056) (0.190) (0.082) (0.846) (0.149)
-------- -------- -------- -------- -------- -------- -------- --------
Net increase (decrease)
in Net Asset Value..... 1.654 (0.760) 4.271 (0.424) 0.926 (1.681) 1.039 0.690
-------- -------- -------- -------- -------- -------- -------- --------
Net Asset Value at end of
year................... $15.533 $13.879 $14.639 $10.368 $10.792 $ 9.866 $11.547 $10.508
-------- -------- -------- -------- -------- -------- -------- --------
-------- -------- -------- -------- -------- -------- -------- --------
Total Investment Rate of
Return:**.............. 15.88 % (4.89 %) 43.14 % (3.42 %) 11.39 % (12.91 %) 18.82 % 8.57 %
Ratios/Supplemental Data:
Net assets at end of year
(in millions).......... $400.1 $345.7 $129.1 $34.0 $34.3 $26.2 $29.4 $26.9
Ratio of expenses net of
reimbursement to
average net assets..... 1.06 % 1.23 % 1.44 % 1.87 % 1.62 % 1.67 % 1.47 % 0.42 %
Ratio of net investment
income to average net
assets................. 0.44 % 0.20 % 0.18 % 0.49 % 0.92 % 1.92 % 0.70 % 0.51 %
Portfolio turnover
rate................... 58.52 % 37.46 % 54.54 % 78.16 % 136.21 % 43.12 % 47.95 % 6.40 %
Number of shares
outstanding at end of
period (in millions)... 25.7 24.9 8.8 3.3 3.2 2.7 2.5 2.6
<CAPTION>
NATURAL RESOURCES
---------------------------------------------------------------------------------
01/01/95 01/01/94 01/01/93 01/01/92 01/01/91 01/01/90 01/01/89 05/01/88
TO TO TO TO TO TO TO TO
12/31/95 12/31/94 12/31/93 12/31/92 12/31/91 12/31/90 12/31/89 12/31/88
-------- -------- -------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Net Asset Value at
beginning of year...... $14.443 $15.562 $12.949 $12.450 $11.622 $12.705 $10.141 $ 9.910
-------- -------- -------- -------- -------- -------- -------- --------
Income From Investment
Operations:
Net investment income.... 0.204 0.183 0.227 0.319 0.368 0.417 0.364 0.254
Net realized gains
(losses) and unrealized
appreciation
(depreciation) on
investments............ 3.662 (0.850) 3.004 0.588 0.821 (1.143) 3.216 0.274
-------- -------- -------- -------- -------- -------- -------- --------
Total from investment
operations........... 3.866 (0.667) 3.231 0.907 1.189 (0.726) 3.580 0.528
-------- -------- -------- -------- -------- -------- -------- --------
Distributions to
Shareholders:
Distributions from net
investment income...... (0.209) (0.150) (0.207) (0.309) (0.361) (0.336) (0.358) (0.252)
Distributions from net
realized gains......... (0.828) (0.302) (0.411) (0.099) 0.000 (0.021) (0.658) (0.045)
-------- -------- -------- -------- -------- -------- -------- --------
Total
distributions........ (1.037) (0.452) (0.618) (0.408) (0.361) (0.357) (1.016) (0.297)
-------- -------- -------- -------- -------- -------- -------- --------
Net increase (decrease)
in Net Asset Value..... 2.829 (1.119) 2.613 0.499 0.828 (1.083) 2.564 0.231
-------- -------- -------- -------- -------- -------- -------- --------
Net Asset Value at end of
year................... $17.272 $14.443 $15.562 $12.949 $12.450 $11.622 $12.705 $10.141
-------- -------- -------- -------- -------- -------- -------- --------
-------- -------- -------- -------- -------- -------- -------- --------
Total Investment Rate of
Return:**.............. 26.92 % (4.30 %) 25.15 % 7.30 % 10.30 % (5.76 %) 35.64 % 5.42 %
Ratios/Supplemental Data:
Net assets at end of year
(in millions).......... $293.2 $227.3 $158.8 $77.5 $62.6 $50.6 $17.9 $9.5
Ratio of expenses net of
reimbursement to
average net assets..... 0.50 % 0.61 % 0.60 % 0.72 % 0.68 % 0.75 % 0.86 % 0.58 %
Ratio of net investment
income to average net
assets................. 1.25 % 1.09 % 1.50 % 2.44 % 2.97 % 3.45 % 3.04 % 2.46 %
Portfolio turnover
rate................... 46.11 % 18.10 % 19.64 % 29.20 % 21.33 % 42.18 % 49.17 % 59.33 %
Number of shares
outstanding at end of
period (in millions)... 17.0 15.7 10.2 6.0 5.0 4.4 1.4 0.9
</TABLE>
All calculations are based on average month-end shares outstanding, where
applicable.
**Total investment returns are at the portfolio level and exclude contract
specific charges which would reduce returns.
C13
<PAGE>
INDEPENDENT AUDITORS' REPORT
The Shareholders and Board of Directors of The Prudential Series Fund, Inc.:
We have audited the accompanying statements of assets and liabilities, including
the schedules of investments, of the Money Market, Bond, Common Stock,
Aggressively Managed Flexible, Conservatively Managed Flexible, Zero Coupon Bond
1995, Zero Coupon Bond 2000, Zero Coupon Bond 2005, High Yield Bond, Stock
Index, High Dividend Stock, Natural Resources, Government Securities and Global
Equity Portfolios of The Prudential Series Fund, Inc. as of December 31, 1995,
the related statements of operations for the year then ended and the statements
of changes in net assets for each of the two years in the period then ended. We
also have audited the accompanying statements of assets and liabilities,
including the schedules of investments, of Small Capitalization Stock and Growth
Stock Portfolios of The Prudential Series Fund, Inc. as of December 31, 1995,
the related statements of operations and changes in net assets for the period
April 25, 1995 (commencement of business) to December 31, 1995. These financial
statements are the responsibility of the Fund's management. Our responsibility
is to express an opinion on these financial statements based on our audits.
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 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, 1995 by correspondence with
the custodians and brokers; where replies 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 present fairly, in all material
respects, the financial position of each of the respective portfolios of The
Prudential Series Fund, Inc. as of December 31, 1995, the results of their
operations and the changes in their net assets for the respective stated periods
in conformity with generally accepted accounting principles.
Deloitte & Touche LLP
Parsippany, New Jersey
February 15, 1996
<PAGE>
FINANCIAL STATEMENTS OF
PRUCO LIFE VARIABLE UNIVERSAL ACCOUNT
STATEMENTS OF NET ASSETS
December 31, 1995
<TABLE>
<CAPTION>
SUBACCOUNTS
--------------------------------------------------------------
AGGRESSIVELY
MONEY COMMON MANAGED
TOTAL MARKET BOND STOCK FLEXIBLE
-------------- -------------- -------------- -------------- --------------
<S> <C> <C> <C> <C> <C>
ASSETS
Investment in shares of The Prudential Series
Fund, Inc.
Portfolios at net asset value [Note 2]........ $ 196,301,867 $ 8,924,149 $ 35,589,342 $ 31,431,181 $ 21,306,979
Receivable from Related Separate Account........ 1,088,575 0 0 0 552,690
-------------- -------------- -------------- -------------- --------------
Total Assets.................................. $ 197,390,442 $ 8,924,149 $ 35,589,342 $ 31,431,181 $ 21,859,669
-------------- -------------- -------------- -------------- --------------
-------------- -------------- -------------- -------------- --------------
LIABILITIES
Payable to Related Separate Account............. 85,740 54,286 25,089 0 0
-------------- -------------- -------------- -------------- --------------
NET ASSETS........................................ $ 197,304,702 $ 8,869,863 $ 35,564,253 $ 31,431,181 $ 21,859,669
-------------- -------------- -------------- -------------- --------------
-------------- -------------- -------------- -------------- --------------
NET ASSETS, representing:
Equity of Contract owners....................... $ 194,293,506 $ 6,609,354 $ 35,522,745 $ 31,342,009 $ 21,859,669
Equity of Pruco Life Insurance Company.......... 3,011,196 2,260,509 41,508 89,172 0
-------------- -------------- -------------- -------------- --------------
$ 197,304,702 $ 8,869,863 $ 35,564,253 $ 31,431,181 $ 21,859,669
-------------- -------------- -------------- -------------- --------------
-------------- -------------- -------------- -------------- --------------
</TABLE>
STATEMENTS OF OPERATIONS
For the year ended December 31, 1995
<TABLE>
<CAPTION>
SUBACCOUNTS
--------------------------------------------------------------
AGGRESSIVELY
MONEY COMMON MANAGED
TOTAL MARKET BOND STOCK FLEXIBLE
-------------- -------------- -------------- -------------- --------------
<S> <C> <C> <C> <C> <C>
INVESTMENT INCOME
Dividend distributions received................. $ 6,657,676 $ 520,617 $ 1,952,978 $ 547,379 $ 581,209
EXPENSES
Charges to Contract owners for assuming
mortality risk and expense risk [Note 3A]..... 912,810 51,483 142,925 134,114 114,363
Reimbursement for excess expenses [Note 3C]..... (7,013) 0 0 0 0
-------------- -------------- -------------- -------------- --------------
NET EXPENSES...................................... 905,797 51,483 142,925 134,114 114,363
-------------- -------------- -------------- -------------- --------------
NET INVESTMENT INCOME (LOSS)...................... 5,751,879 469,134 1,810,053 413,265 466,846
-------------- -------------- -------------- -------------- --------------
NET REALIZED AND UNREALIZED GAIN (LOSS)
ON INVESTMENTS
Capital gains distributions received............ 4,305,511 0 75,332 1,044,826 853,956
Realized gain (loss) on shares redeemed
[average cost basis].......................... 1,091,047 0 28,004 73,478 570,360
Net unrealized gain on investments.............. 19,262,162 0 2,492,319 4,223,477 1,861,363
-------------- -------------- -------------- -------------- --------------
NET GAIN (LOSS) ON INVESTMENTS.................... 24,658,720 0 2,595,655 5,341,781 3,285,679
-------------- -------------- -------------- -------------- --------------
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS....................... $ 30,410,599 $ 469,134 $ 4,405,708 $ 5,755,046 $ 3,752,525
-------------- -------------- -------------- -------------- --------------
-------------- -------------- -------------- -------------- --------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS ON PAGES F1 AND F2.
E1
<PAGE>
STATEMENTS OF NET ASSETS (CONTINUED)
December 31, 1995
<TABLE>
<CAPTION>
SUBACCOUNTS (CONTINUED)
------------------------------------------------------------------------------
ZERO ZERO
CONSERVATIVELY COUPON COUPON HIGH
MANAGED BOND BOND YIELD STOCK
FLEXIBLE 1995 2000 BOND INDEX
-------------- -------------- -------------- -------------- --------------
<S> <C> <C> <C> <C> <C>
ASSETS
Investment in shares of The Prudential Series
Fund, Inc.
Portfolios at net asset value [Note 2]........ $ 34,493,958 $ 0 $ 536,740 $ 865,605 $ 34,174,963
Receivable from Related Separate Account........ 535,885 0 0 0 0
-------------- -------------- -------------- -------------- --------------
Total Assets.................................. $ 35,029,843 $ 0 $ 536,740 $ 865,605 $ 34,174,963
-------------- -------------- -------------- -------------- --------------
-------------- -------------- -------------- -------------- --------------
LIABILITIES
Payable to Related Separate Account............. 0 0 0 0 0
-------------- -------------- -------------- -------------- --------------
NET ASSETS........................................ $ 35,029,843 $ 0 $ 536,740 $ 865,605 $ 34,174,963
-------------- -------------- -------------- -------------- --------------
-------------- -------------- -------------- -------------- --------------
NET ASSETS, representing:
Equity of Contract owners....................... $ 35,029,843 $ 0 $ 149,377 $ 846,421 $ 34,123,464
Equity of Pruco Life Insurance Company.......... 0 0 387,363 19,184 51,499
-------------- -------------- -------------- -------------- --------------
$ 35,029,843 $ 0 $ 536,740 $ 865,605 $ 34,174,963
-------------- -------------- -------------- -------------- --------------
-------------- -------------- -------------- -------------- --------------
<CAPTION>
HIGH
DIVIDEND NATURAL GLOBAL
STOCK RESOURCES EQUITY
-------------- -------------- --------------
<S> <C> <C> <C>
ASSETS
Investment in shares of The Prudential Series
Fund, Inc.
Portfolios at net asset value [Note 2]........ $ 16,435,787 $ 765,224 $ 8,044,183
Receivable from Related Separate Account........ 0 0 0
-------------- -------------- --------------
Total Assets.................................. $ 16,435,787 $ 765,224 $ 8,044,183
-------------- -------------- --------------
-------------- -------------- --------------
LIABILITIES
Payable to Related Separate Account............. 0 0 0
-------------- -------------- --------------
NET ASSETS........................................ $ 16,435,787 $ 765,224 $ 8,044,183
-------------- -------------- --------------
-------------- -------------- --------------
NET ASSETS, representing:
Equity of Contract owners....................... $ 16,406,512 $ 746,091 $ 8,009,107
Equity of Pruco Life Insurance Company.......... 29,275 19,133 35,076
-------------- -------------- --------------
$ 16,435,787 $ 765,224 $ 8,044,183
-------------- -------------- --------------
-------------- -------------- --------------
</TABLE>
STATEMENTS OF OPERATIONS (CONTINUED)
For the year ended December 31, 1995
<TABLE>
<CAPTION>
SUBACCOUNTS (CONTINUED)
------------------------------------------------------------------------------
ZERO ZERO
CONSERVATIVELY COUPON COUPON HIGH
MANAGED BOND BOND YIELD STOCK
FLEXIBLE 1995 2000 BOND INDEX
-------------- -------------- -------------- -------------- --------------
<S> <C> <C> <C> <C> <C>
INVESTMENT INCOME
Dividend distributions received................. $ 1,301,092 $ 196,484 $ 36,060 $ 91,067 $ 579,979
EXPENSES
Charges to Contract owners for assuming
mortality risk and expense risk [Note 3A]..... 178,304 14,936 1,391 5,015 142,397
Reimbursement for excess expenses [Note 3C]..... 0 (6,589) (251) 0 0
-------------- -------------- -------------- -------------- --------------
NET EXPENSES...................................... 178,304 8,347 1,140 5,015 142,397
-------------- -------------- -------------- -------------- --------------
NET INVESTMENT INCOME (LOSS)...................... 1,122,788 188,137 34,920 86,052 437,582
-------------- -------------- -------------- -------------- --------------
NET REALIZED AND UNREALIZED GAIN (LOSS)
ON INVESTMENTS
Capital gains distributions received............ 1,136,745 48,674 32,030 0 232,361
Realized gain (loss) on shares redeemed
[average cost basis].......................... 252,185 (153,431) (6,499) 14,691 228,489
Net unrealized gain on investments.............. 2,076,040 94,086 3,706 33,141 6,328,106
-------------- -------------- -------------- -------------- --------------
NET GAIN (LOSS) ON INVESTMENTS.................... 3,464,970 (10,671) 29,237 47,832 6,788,956
-------------- -------------- -------------- -------------- --------------
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS....................... $ 4,587,758 $ 177,466 $ 64,157 $ 133,884 $ 7,226,538
-------------- -------------- -------------- -------------- --------------
-------------- -------------- -------------- -------------- --------------
<CAPTION>
HIGH
DIVIDEND NATURAL GLOBAL
STOCK RESOURCES EQUITY
-------------- -------------- --------------
<S> <C> <C> <C>
INVESTMENT INCOME
Dividend distributions received................. $ 546,563 $ 10,302 $ 112,681
EXPENSES
Charges to Contract owners for assuming
mortality risk and expense risk [Note 3A]..... 78,311 4,251 30,228
Reimbursement for excess expenses [Note 3C]..... 0 (3) 0
-------------- -------------- --------------
NET EXPENSES...................................... 78,311 4,248 30,228
-------------- -------------- --------------
NET INVESTMENT INCOME (LOSS)...................... 468,252 6,054 82,453
-------------- -------------- --------------
NET REALIZED AND UNREALIZED GAIN (LOSS)
ON INVESTMENTS
Capital gains distributions received............ 680,332 35,173 147,906
Realized gain (loss) on shares redeemed
[average cost basis].......................... 11,573 53,167 4,237
Net unrealized gain on investments.............. 1,305,180 118,192 433,961
-------------- -------------- --------------
NET GAIN (LOSS) ON INVESTMENTS.................... 1,997,085 206,532 586,104
-------------- -------------- --------------
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS....................... $ 2,465,337 $ 212,586 $ 668,557
-------------- -------------- --------------
-------------- -------------- --------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS ON PAGES F1 AND F2.
E2
<PAGE>
STATEMENTS OF NET ASSETS (CONTINUED)
December 31, 1995
<TABLE>
<CAPTION>
SUBACCOUNTS
--------------------------------------------------------------
ZERO
COUPON SMALL
GOVERNMENT BOND GROWTH CAPITALIZATION
SECURITIES 2005 STOCK STOCK
-------------- -------------- -------------- --------------
<S> <C> <C> <C> <C>
ASSETS
Investment in shares of The Prudential Series
Fund, Inc.
Portfolios at net asset value [Note 2]........ $ 2,345,009 $ 891,932 $ 37,493 $ 459,322
Receivable from Related Separate Account........ 0 0 0 0
-------------- -------------- -------------- --------------
Total Assets.................................. $ 2,345,009 $ 891,932 $ 37,493 $ 459,322
-------------- -------------- -------------- --------------
-------------- -------------- -------------- --------------
LIABILITIES
Payable to Related Separate Account............. 0 0 6,365 0
-------------- -------------- -------------- --------------
NET ASSETS........................................ $ 2,345,009 $ 891,932 $ 31,128 $ 459,322
-------------- -------------- -------------- --------------
-------------- -------------- -------------- --------------
NET ASSETS, representing:
Equity of Contract owners....................... $ 2,322,183 $ 876,292 $ 14,122 $ 436,317
Equity of Pruco Life Insurance Company.......... 22,826 15,640 17,006 23,005
-------------- -------------- -------------- --------------
$ 2,345,009 $ 891,932 $ 31,128 $ 459,322
-------------- -------------- -------------- --------------
-------------- -------------- -------------- --------------
</TABLE>
STATEMENTS OF OPERATIONS (CONTINUED)
For the year ended December 31, 1995
<TABLE>
<CAPTION>
SUBACCOUNTS
--------------------------------------------------------------
ZERO
COUPON SMALL
GOVERNMENT BOND GROWTH CAPITALIZATION
SECURITIES 2005 STOCK* STOCK*
-------------- -------------- -------------- --------------
<S> <C> <C> <C> <C>
INVESTMENT INCOME
Dividend distributions received................. $ 152,111 $ 29,111 $ 6 $ 37
EXPENSES
Charges to Contract owners for assuming
mortality risk and expense risk [Note 3A]..... 12,463 2,523 14 92
Reimbursement for excess expenses [Note 3C]..... 0 (170) 0 0
-------------- -------------- -------------- --------------
NET EXPENSES...................................... 12,463 2,353 14 92
-------------- -------------- -------------- --------------
NET INVESTMENT INCOME (LOSS)...................... 139,648 26,758 (8) (55)
-------------- -------------- -------------- --------------
NET REALIZED AND UNREALIZED GAIN (LOSS)
ON INVESTMENTS
Capital gains distributions received............ 0 18,081 0 95
Realized gain (loss) on shares redeemed
[average cost basis].......................... 11,506 718 1,471 1,098
Net unrealized gain on investments.............. 220,405 68,079 1,016 3,091
-------------- -------------- -------------- --------------
NET GAIN (LOSS) ON INVESTMENTS.................... 231,911 86,878 2,487 4,284
-------------- -------------- -------------- --------------
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS....................... $ 371,559 $ 113,636 $ 2,479 $ 4,229
-------------- -------------- -------------- --------------
-------------- -------------- -------------- --------------
*Commenced
Business
on 5/1/95
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS ON PAGES F1 AND F2.
E3
<PAGE>
(This page intentionally left blank.)
E4
<PAGE>
FINANCIAL STATEMENTS OF
PRUCO LIFE VARIABLE UNIVERSAL ACCOUNT
STATEMENTS OF CHANGES IN NET ASSETS
For the years ended December 31, 1995 and 1994
<TABLE>
<CAPTION>
SUBACCOUNTS
--------------------------------------------------------------
MONEY
TOTAL MARKET BOND
------------------------------ ------------------------------ ------------------------------
1995 1994 1995 1994 1995 1994
-------------- -------------- -------------- -------------- -------------- --------------
<S> <C> <C> <C> <C> <C> <C>
OPERATIONS:
Net investment income (loss)..... $ 5,751,879 $ 2,976,084 $ 469,134 $ 112,867 $ 1,810,053 $ 958,552
Capital gains distributions
received....................... 4,305,511 1,785,621 0 0 75,332 27,552
Realized gain (loss) on shares
redeemed
[average cost basis]........... 1,091,047 (792,206) 0 0 28,004 (45,805)
Net unrealized gain (loss) on
investments.................... 19,262,162 (5,480,393) 0 0 2,492,319 (1,407,374)
-------------- -------------- -------------- -------------- -------------- --------------
NET INCREASE (DECREASE) IN NET
ASSETS
RESULTING FROM OPERATIONS........ 30,410,599 (1,510,894) 469,134 112,867 4,405,708 (467,075)
-------------- -------------- -------------- -------------- -------------- --------------
NET INCREASE (DECREASE) IN NET
ASSETS
RESULTING FROM PREMIUM PAYMENTS
AND OTHER OPERATING TRANSFERS.... 45,591,174 48,595,038 (6,161,870) 9,294,783 12,271,219 8,748,753
-------------- -------------- -------------- -------------- -------------- --------------
NET INCREASE (DECREASE) IN NET
ASSETS
RESULTING FROM SURPLUS
TRANSFERS........................ 2,462,368 251,763 1,824,330 335,632 7,946 (39,503)
-------------- -------------- -------------- -------------- -------------- --------------
TOTAL INCREASE (DECREASE)
IN NET ASSETS.................... 78,464,141 47,335,907 (3,868,406) 9,743,282 16,684,873 8,242,175
NET ASSETS:
Beginning of year................ 118,840,561 71,504,654 12,738,269 2,994,987 18,879,380 10,637,205
-------------- -------------- -------------- -------------- -------------- --------------
End of year...................... $ 197,304,702 $ 118,840,561 $ 8,869,863 $ 12,738,269 $ 35,564,253 $ 18,879,380
-------------- -------------- -------------- -------------- -------------- --------------
-------------- -------------- -------------- -------------- -------------- --------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS ON PAGES F1 AND F2.
E5
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
For the years ended December 31, 1995 and 1994
<TABLE>
<CAPTION>
SUBACCOUNTS (CONTINUED)
--------------------------------------------------------------
AGGRESSIVELY
COMMON MANAGED
STOCK FLEXIBLE
------------------------------ ------------------------------
1995 1994 1995 1994
-------------- -------------- -------------- --------------
<S> <C> <C> <C> <C>
OPERATIONS:
Net investment income (loss)..... $ 413,265 $ 220,739 $ 466,846 $ 277,404
Capital gains distributions
received....................... 1,044,826 546,810 853,956 398,988
Realized gain (loss) on shares
redeemed
[average cost basis]........... 73,478 146,569 570,360 (975,042)
Net unrealized gain (loss) on
investments.................... 4,223,477 (636,156) 1,861,363 (548,106)
-------------- -------------- -------------- --------------
NET INCREASE (DECREASE) IN NET
ASSETS
RESULTING FROM OPERATIONS........ 5,755,046 277,962 3,752,525 (846,756)
-------------- -------------- -------------- --------------
NET INCREASE (DECREASE) IN NET
ASSETS
RESULTING FROM PREMIUM PAYMENTS
AND OTHER OPERATING TRANSFERS.... 10,673,446 7,320,351 5,268,603 (2,324,709)
-------------- -------------- -------------- --------------
NET INCREASE (DECREASE) IN NET
ASSETS
RESULTING FROM SURPLUS
TRANSFERS........................ 118,454 (22,963) 108,448 207,468
-------------- -------------- -------------- --------------
TOTAL INCREASE (DECREASE)
IN NET ASSETS.................... 16,546,946 7,575,350 9,129,576 (2,963,997)
NET ASSETS:
Beginning of year................ 14,884,235 7,308,885 12,730,093 15,694,090
-------------- -------------- -------------- --------------
End of year...................... $ 31,431,181 $ 14,884,235 $ 21,859,669 $ 12,730,093
-------------- -------------- -------------- --------------
-------------- -------------- -------------- --------------
<CAPTION>
ZERO
CONSERVATIVELY COUPON
MANAGED BOND
FLEXIBLE 1995
------------------------------ ------------------------------
1995 1994 1995 1994
-------------- -------------- -------------- --------------
<S> <C> <C> <C> <C>
OPERATIONS:
Net investment income (loss)..... $ 1,122,788 $ 646,637 $ 188,137 $ 97,929
Capital gains distributions
received....................... 1,136,745 241,697 48,674 399
Realized gain (loss) on shares
redeemed
[average cost basis]........... 252,185 (3,152) (153,431) (761)
Net unrealized gain (loss) on
investments.................... 2,076,040 (1,182,101) 94,086 (93,305)
-------------- -------------- -------------- --------------
NET INCREASE (DECREASE) IN NET
ASSETS
RESULTING FROM OPERATIONS........ 4,587,758 (296,919) 177,466 4,262
-------------- -------------- -------------- --------------
NET INCREASE (DECREASE) IN NET
ASSETS
RESULTING FROM PREMIUM PAYMENTS
AND OTHER OPERATING TRANSFERS.... 6,371,894 4,738,275 (3,120,154) 2,947,721
-------------- -------------- -------------- --------------
NET INCREASE (DECREASE) IN NET
ASSETS
RESULTING FROM SURPLUS
TRANSFERS........................ (10,793) (93,449) (17,762) (30,982)
-------------- -------------- -------------- --------------
TOTAL INCREASE (DECREASE)
IN NET ASSETS.................... 10,948,859 4,347,907 (2,960,450) 2,921,001
NET ASSETS:
Beginning of year................ 24,080,984 19,733,077 2,960,450 39,449
-------------- -------------- -------------- --------------
End of year...................... $ 35,029,843 $ 24,080,984 $ 0 $ 2,960,450
-------------- -------------- -------------- --------------
-------------- -------------- -------------- --------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS ON PAGES F1 AND F2.
E6
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
For the years ended December 31, 1995 and 1994
<TABLE>
<CAPTION>
SUBACCOUNTS
----------------------------------------------------------------------------------------------
ZERO
COUPON HIGH
BOND YIELD STOCK
2000 BOND INDEX
------------------------------ ------------------------------ ------------------------------
1995 1994 1995 1994 1995 1994
-------------- -------------- -------------- -------------- -------------- --------------
<S> <C> <C> <C> <C> <C> <C>
OPERATIONS:
Net investment income (loss)..... $ 34,920 $ 5,274 $ 86,052 $ 27,776 $ 437,582 $ 269,539
Capital gains distributions
received....................... 32,030 169 0 0 232,361 18,420
Realized gain (loss) on shares
redeemed
[average cost basis]........... (6,499) (3,957) 14,691 159 228,489 27,972
Net unrealized gain (loss) on
investments.................... 3,706 (10,721) 33,141 (37,669) 6,328,106 (190,892)
-------------- -------------- -------------- -------------- -------------- --------------
NET INCREASE (DECREASE) IN NET
ASSETS
RESULTING FROM OPERATIONS........ 64,157 (9,235) 133,884 (9,734) 7,226,538 125,039
-------------- -------------- -------------- -------------- -------------- --------------
NET INCREASE (DECREASE) IN NET
ASSETS
RESULTING FROM PREMIUM PAYMENTS
AND OTHER OPERATING TRANSFERS.... 26,150 10,930 306,768 258,867 10,570,564 6,121,839
-------------- -------------- -------------- -------------- -------------- --------------
NET INCREASE (DECREASE) IN NET
ASSETS
RESULTING FROM SURPLUS
TRANSFERS........................ 344,989 (5,495) 8,247 (2,404) 25,718 (26,394)
-------------- -------------- -------------- -------------- -------------- --------------
TOTAL INCREASE (DECREASE)
IN NET ASSETS.................... 435,296 (3,800) 448,899 246,729 17,822,820 6,220,484
NET ASSETS:
Beginning of year................ 101,444 105,244 416,706 169,977 16,352,143 10,131,659
-------------- -------------- -------------- -------------- -------------- --------------
End of year...................... $ 536,740 $ 101,444 $ 865,605 $ 416,706 $ 34,174,963 $ 16,352,143
-------------- -------------- -------------- -------------- -------------- --------------
-------------- -------------- -------------- -------------- -------------- --------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS ON PAGES F1 AND F2.
E7
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
For the years ended December 31, 1995 and 1994
<TABLE>
<CAPTION>
SUBACCOUNTS (CONTINUED)
----------------------------------------------------------------------------------------------
HIGH
DIVIDEND NATURAL GLOBAL
STOCK RESOURCES EQUITY**
------------------------------ ------------------------------ ------------------------------
1995 1994 1995 1994 1995 1994
-------------- -------------- -------------- -------------- -------------- --------------
<S> <C> <C> <C> <C> <C> <C>
OPERATIONS:
Net investment income (loss)..... $ 468,252 $ 272,094 $ 6,054 $ 3,103 $ 82,453 $ 2,488
Capital gains distributions
received....................... 680,332 535,607 35,173 15,956 147,906 17
Realized gain (loss) on shares
redeemed
[average cost basis]........... 11,573 58,664 53,167 3,779 4,237 0
Net unrealized gain (loss) on
investments.................... 1,305,180 (959,390) 118,192 (77,634) 433,961 (171,640)
-------------- -------------- -------------- -------------- -------------- --------------
NET INCREASE (DECREASE) IN NET
ASSETS
RESULTING FROM OPERATIONS........ 2,465,337 (93,025) 212,586 (54,796) 668,557 (169,135)
-------------- -------------- -------------- -------------- -------------- --------------
NET INCREASE (DECREASE) IN NET
ASSETS
RESULTING FROM PREMIUM PAYMENTS
AND OTHER OPERATING TRANSFERS.... 3,428,318 7,837,695 (355,647) 456,694 4,563,976 3,004,706
-------------- -------------- -------------- -------------- -------------- --------------
NET INCREASE (DECREASE) IN NET
ASSETS
RESULTING FROM SURPLUS
TRANSFERS........................ (20,008) (33,915) (4,104) (25,105) (15,748) (8,173)
-------------- -------------- -------------- -------------- -------------- --------------
TOTAL INCREASE (DECREASE)
IN NET ASSETS.................... 5,873,647 7,710,755 (147,165) 376,793 5,216,785 2,827,398
NET ASSETS:
Beginning of year................ 10,562,140 2,851,385 912,389 535,596 2,827,398 0
-------------- -------------- -------------- -------------- -------------- --------------
End of year...................... $ 16,435,787 $ 10,562,140 $ 765,224 $ 912,389 $ 8,044,183 $ 2,827,398
-------------- -------------- -------------- -------------- -------------- --------------
-------------- -------------- -------------- -------------- -------------- --------------
**Commenced
Business
on 5/1/94
<CAPTION>
GOVERNMENT
SECURITIES
------------------------------
1995 1994
-------------- --------------
<S> <C> <C>
OPERATIONS:
Net investment income (loss)..... $ 139,648 $ 79,939
Capital gains distributions
received....................... 0 0
Realized gain (loss) on shares
redeemed
[average cost basis]........... 11,506 (445)
Net unrealized gain (loss) on
investments.................... 220,405 (161,326)
-------------- --------------
NET INCREASE (DECREASE) IN NET
ASSETS
RESULTING FROM OPERATIONS........ 371,559 (81,832)
-------------- --------------
NET INCREASE (DECREASE) IN NET
ASSETS
RESULTING FROM PREMIUM PAYMENTS
AND OTHER OPERATING TRANSFERS.... 575,758 156,323
-------------- --------------
NET INCREASE (DECREASE) IN NET
ASSETS
RESULTING FROM SURPLUS
TRANSFERS........................ 40,705 (220)
-------------- --------------
TOTAL INCREASE (DECREASE)
IN NET ASSETS.................... 988,022 74,271
NET ASSETS:
Beginning of year................ 1,356,987 1,282,716
-------------- --------------
End of year...................... $ 2,345,009 $ 1,356,987
-------------- --------------
-------------- --------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS ON PAGES F1 AND F2.
E8
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
For the years ended December 31, 1995 and 1994
<TABLE>
<CAPTION>
SUBACCOUNTS
--------------------------------------------------------------
ZERO
COUPON SMALL
BOND GROWTH CAPITALIZATION
2005 STOCK* STOCK*
------------------------------ -------------- --------------
1995 1994 1995 1995
-------------- -------------- -------------- --------------
<S> <C> <C> <C> <C>
OPERATIONS:
Net investment income (loss)..... $ 26,758 $ 1,743 $ (8) $ (55)
Capital gains distributions
received....................... 18,081 6 0 95
Realized gain (loss) on shares
redeemed
[average cost basis]........... 718 (187) 1,471 1,098
Net unrealized gain (loss) on
investments.................... 68,079 (4,079) 1,016 3,091
-------------- -------------- -------------- --------------
NET INCREASE (DECREASE) IN NET
ASSETS
RESULTING FROM OPERATIONS........ 113,636 (2,517) 2,479 4,229
-------------- -------------- -------------- --------------
NET INCREASE (DECREASE) IN NET
ASSETS
RESULTING FROM PREMIUM PAYMENTS
AND OTHER OPERATING TRANSFERS.... 733,842 22,810 13,987 424,320
-------------- -------------- -------------- --------------
NET INCREASE (DECREASE) IN NET
ASSETS
RESULTING FROM SURPLUS
TRANSFERS........................ 6,511 (2,734) 14,662 30,773
-------------- -------------- -------------- --------------
TOTAL INCREASE (DECREASE)
IN NET ASSETS.................... 853,989 17,559 31,128 459,322
NET ASSETS:
Beginning of year................ 37,943 20,384 0 0
-------------- -------------- -------------- --------------
End of year...................... $ 891,932 $ 37,943 $ 31,128 $ 459,322
-------------- -------------- -------------- --------------
-------------- -------------- -------------- --------------
*Commenced
Business
on 5/1/95
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS ON PAGES F1 AND F2.
E9
<PAGE>
NOTES TO FINANCIAL STATEMENTS OF
PRUCO LIFE VARIABLE UNIVERSAL ACCOUNT
FOR THE YEARS ENDED DECEMBER 31, 1995 AND DECEMBER 31, 1994
NOTE 1: GENERAL
Pruco Life Variable Universal Account (the "Account") was established on April
17, 1989 under Arizona law as a separate investment account of Pruco Life
Insurance Company ("Pruco Life") which is a wholly-owned subsidiary of The
Prudential Insurance Company of America ("The Prudential"). The assets of the
Account are segregated from Pruco Life's other assets. The two products that
invest in the Account are Pruselect I and Pruselect II.
The Account is registered under the Investment Company Act of 1940, as amended,
as a unit investment trust. There are sixteen subaccounts within the Account,
each of which invests only in a corresponding portfolio of The Prudential Series
Fund, Inc. (the "Series Fund"). The Series Fund is a diversified open-end
management investment company, and is managed by The Prudential.
The Zero Coupon Bond 1995 subaccount was liquidated on November 15, 1995. On
that date, all shares held in the corresponding portfolio of the Series Fund
were redeemed and the redemption proceeds were transferred to the Money Market
subaccount, unless otherwise directed, in accordance with the prospectus.
NOTE 2: INVESTMENT INFORMATION FOR THE PRUDENTIAL SERIES FUND, INC.
PORTFOLIOS
The net asset value per share for each portfolio of the Series Fund, the number
of shares of each portfolio held by the subaccounts of the Account and the
aggregate cost of investments in such shares at December 31, 1995 were as
follows:
<TABLE>
<CAPTION>
PORTFOLIOS
--------------------------------------------------------------------------
AGGRESSIVELY CONSERVATIVELY
PORTFOLIO MONEY COMMON MANAGED MANAGED
INFORMATION MARKET BOND STOCK FLEXIBLE FLEXIBLE
- -------------------------- ------------ ------------- ------------- ------------- ---------------
<S> <C> <C> <C> <C> <C>
Number of shares: 892,415 3,145,847 1,225,872 1,193,045 2,253,217
Net asset value per share: $ 10.0000 $ 11.3131 $ 25.6399 $ 17.8593 $ 15.3088
Cost: $ 8,924,149 $ 34,403,248 $ 27,633,826 $ 20,291,299 $ 32,989,572
<CAPTION>
PORTFOLIOS (CONTINUED)
--------------------------------------------------------------------------
ZERO ZERO
COUPON COUPON HIGH HIGH
PORTFOLIO BOND BOND YIELD STOCK DIVIDEND
INFORMATION 1995 2000 BOND INDEX STOCK
- -------------------------- ------------ ------------- ------------- ------------- ---------------
<S> <C> <C> <C> <C> <C>
Number of shares: 0 40,438 110,969 1,712,510 1,010,134
Net asset value per share: $ 0.0000 $ 13.2730 $ 7.8004 $ 19.9561 $ 16.2709
Cost: $ 0 $ 545,508 $ 863,111 $ 26,969,182 $ 15,979,206
</TABLE>
<TABLE>
<CAPTION>
PORTFOLIOS (CONTINUED)
-----------------------------------------------------------------------------------------
ZERO SMALL
PORTFOLIO NATURAL GOVERNMENT COUPON GROWTH CAPITALIZATION
INFORMATION RESOURCES GLOBAL EQUITY SECURITIES BOND 2005 STOCK STOCK
- -------------------------- ------------ ------------- ------------- ------------- --------------- -------------
<S> <C> <C> <C> <C> <C> <C>
Number of shares: 44,305 517,870 200,105 67,622 2,988 38,816
Net asset value per share: $ 17.2718 $ 15.5332 $ 11.7189 $ 13.1899 $ 12.5468 $ 11.8334
Cost: $ 705,323 $ 7,781,862 $ 2,226,367 $ 826,742 $ 36,476 $ 456,230
</TABLE>
NOTE 3: CHARGES AND EXPENSES
A. Mortality and Expense Risk Charges
The mortality risk and expense risk charges at an effective annual rate of
up to 0.90% may be applied daily against the net assets representing equity
of Contract owners held in each subaccount. Pruco Life currently intends to
charge only 0.60% on these Contracts, but reserves the right to make the
full 0.90% charge.
F1
<PAGE>
B. Partial Withdrawal Charge
A $15 charge is imposed in connection with partial withdrawals of the cash
surrender value from certain variable life insurance contracts.
C. Expense Reimbursement
The Account is reimbursed by Pruco Life, on a non-guaranteed basis, for
expenses incurred by the Series Fund in excess of the effective rate of
0.40% for all Zero Coupon Bond Portfolios and for the Stock Index Portfolio,
0.50% for the High Dividend Stock Portfolio, 0.55% for the Natural Resources
Portfolio, and 0.65% for the High Yield Bond Portfolio of the average daily
net assets of these portfolios.
NOTE 4: TAXES
The operations of the subaccounts form a part of, and are taxed with, the
operations of Pruco Life. Under the Internal Revenue Code, all ordinary income
and capital gains allocated to the Contract owners are not taxed to Pruco Life.
As a result, the net asset values of the subaccounts are not affected by federal
income taxes on distributions received by the subaccounts.
NOTE 5: NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM SURPLUS TRANSFERS
The increase (decrease) in net assets resulting from surplus transfers
represents the net contributions (withdrawals) of Pruco Life to the Account.
F2
<PAGE>
INDEPENDENT AUDITORS' REPORT
To the Contract Owners of
Pruco Life Variable Universal
Account and the Board of Directors
of Pruco Life Insurance Company
Newark, New Jersey
We have audited the accompanying statements of net assets of Pruco Life Variable
Universal Account of Pruco Life Insurance Company (comprising, respectively, the
Money Market, Bond, Common Stock, Aggressively Managed Flexible, Conservatively
Managed Flexible, Zero Coupon Bond 1995, Zero Coupon Bond 2000, High Yield Bond,
Stock Index, High Dividend Stock, Natural Resources, Global Equity, Government
Securities, Zero Coupon Bond 2005, Growth Stock, and Small Capitalization Stock
subaccounts) as of December 31, 1995, the related statements of operations for
the periods presented in the year then ended, and the statements of changes in
net assets for each of the periods presented in the two years then ended. These
financial statements are the responsibility of the Company's management. Our
responsibility is to express an opinion on these financial statements based on
our audits.
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 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, 1995. 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 present fairly, in all material
respects, the financial position of each of the respective subaccounts
constituting the Pruco Life Variable Universal Account as of December 31, 1995,
the results of their operations, and the changes in their net assets for the
respective stated periods in conformity with generally accepted accounting
principles.
Deloitte & Touche LLP
Parsippany, New Jersey
February 15, 1996
G1
<PAGE>
REPORT OF MANAGEMENT
The accompanying financial statements and all information in the annual
report are the responsibility of management of Pruco Life Insurance Company (the
Company) and The Prudential Series Fund, Inc. (the Series Fund). They have been
prepared in conformity with generally accepted accounting principles. The
statements necessarily include amounts based on management's best estimates and
judgments. Information presented in one section of the annual report is
consistent with information dealing with the same or substantially similar
subject matter presented elsewhere in the annual report.
The systems of internal controls for the Series Fund and the Company's
Variable Insurance and Annuity Accounts underlying Variable Life Insurance and
Variable Annuity products are integral parts of those for the Company. As such,
management depends upon the Company's systems of internal controls in meeting
its responsibilities for reliable financial statements. These systems are
designed to provide reasonable assurance that assets are safeguarded and that
transactions are properly recorded and executed in accordance with management's
authorization. The concept of reasonable assurance is based on the premise that
the cost of internal controls should not exceed the benefits derived. The
control environment is enhanced by the selection and training of competent
management, a business ethics policy demanding the highest standards of conduct
by employees in carrying out the Company's affairs, organizational arrangements
that provide for segregation of duties and delegation of authority, and the
communication of accounting and operating policies and procedures throughout the
organization. In addition, the Company uses the services of The Prudential's
professional staff of internal auditors who monitor the control structure
through periodic reviews and tests of the control aspects of accounting,
financial and operating activities. The internal auditors coordinate their
program with that of the independent certified public accountants.
The financial statements have been audited by Deloitte & Touche, independent
auditors. The independent auditors' reports, which appear in this annual report,
each express an independent professional opinion on the fairness of presentation
of management's financial statements. The auditors review the financial
accounting controls and conduct such tests and procedures as they deem necessary
under generally accepted auditing standards.
The Company's Board of Directors, and the Series Fund's Board of Directors
monitor management's fulfillment of its responsibilities for accurate
accounting, statement preparation and protection of assets. The Series Fund's
Board of Directors has a majority of outside directors and these outside
directors constitute an informal auditing committee. They meet with the
independent certified public accountants, management and internal auditors
periodically to evaluate the discharge by each of their respective
responsibilities, and each has free and separate access to the Series Fund's
Board of Directors to discuss accounting, financial reporting, internal control
and auditing matters.
<TABLE>
<S> <C>
Mendel A. Melzer Stephen P. Tooley
Chairman Vice President and Comptroller
The Prudential Series Fund, Inc. Pruco Life Insurance Company
</TABLE>
I
<PAGE>
GLOSSARY OF TERMS FOR THE REPORT TO CONTRACT OWNERS
(NOTE: ADDITIONAL EXPLANATIONS WILL BE FOUND IN NOTES TO FINANCIAL STATEMENTS)
ACCUMULATION UNIT -- The measure for determining the Contract owner's share in
the separate account of a deferred variable annuity during the accumulation
period before annuity benefits begin to be paid. Contract owner transactions
such as purchase payments, transfers, and withdrawals result in changes to the
number of accumulation units credited to the Contract owner. Investment results
and daily charges affect the value of the accumulation unit.
ANNUITY UNIT -- The measure of the fixed number of benefit units purchased by
the accumulation units when annuitizing via a variable payout annuity.
AMERICAN DEPOSITORY RECEIPT (ADR) -- A certificate issued by an American bank to
evidence ownership of a block of foreign shares. The certificate can be traded
like a share of stock.
BOND -- A debt security which obligates the issuer to pay interest at specific
intervals and to redeem the bond for a specified amount on the maturity date. A
bond can be categorized based on the time interval between issue date and
maturity date. Short-term bond: 2 years or less; medium-term bond: 2 - 10 years;
long-term bond: 10 years or more.
CERTIFICATE OF DEPOSIT (CD) -- A short-term, interest-bearing bond issued by a
bank or a savings and loan.
COMMERCIAL PAPER -- A short-term, unsecured promissory note issued by either a
corporation or bank.
COMMON STOCK -- The basic unit of ownership of a public corporation which
entitles stockholders to dividend payments, although amount and frequency of
dividends are not guaranteed. (see also Stock)
CONVERTIBLE BOND -- A bond that is exchangeable for another type of security
(usually common stock).
COUPON RATE -- The annual rate of interest the issuer of a bond will pay
bondholders.
DEFAULTED SECURITY -- A bond which fails to make interest payments in a timely
manner.
FUTURES CONTRACT -- A contract calling for the delivery of a specified quantity
of cash, a financial security or a commodity. The contract includes a specific
price and future time at which the exchange may take place.
LOAN PARTICIPATION -- A loan to a corporation which is sold by a bank in the
form of a short-term, unsecured promissory note.
NET ASSETS -- The term used to designate the total value of securities owned,
cash, receivables, and other assets less any liabilities.
MARKET VALUE -- The dollar value of a security on a given day, usually based on
the last sales price of that given day.
OPTION CONTRACT -- A contract giving the investor the right to buy or sell an
underlying security at a fixed price before the expiration date. An option which
grants the investor the right to buy the underlying security is a Call Option; a
Put Option gives the investor the right to sell the underlying security.
PIK BOND/STOCK (PAY IN KIND) -- A security which has the option to pay interest
or dividends in the form of either additional bonds or shares of stock.
PREFERRED STOCK -- A high quality unit of ownership of a public corporation
which entitles the holder to preference over common stock holders in the payment
of dividends. (see also Stock)
PORTFOLIO TURNOVER -- A measure of portfolio trading activity.
REALIZED GAIN/LOSS -- The amount of profit or loss from the sale of securities.
Calculated as the sale price minus the purchase price.
II
<PAGE>
REPURCHASE AGREEMENT -- An agreement where an investor loans cash to a bank in
exchange for a Treasury security held as collateral and interest on the loan.
The agreement indicates that the cash and collateral are exchanged back the
following day. These securities are used to invest idle cash.
RESTRICTED SECURITY -- A security which is sold privately because it is not
registered with the SEC.
RIGHT -- Privilege granted to stockholders of a company to buy shares of a new
issue of common stock (at a price below the public offering price) before it is
offered to the public.
STOCK -- Unit of ownership in a public corporation. The value of a share of
stock varies, according to how buyers and sellers of the stock view the
corporation's future success. Shareholders generally receive dividend payments,
which are their part of the corporation's earnings. (see also Common Stock;
Preferred Stock)
TIME DEPOSIT (TD) -- A non-negotiable short-term, interest bearing bond issued
by a bank or savings & loan. The maturity period can be from 1 day to 6 months.
UNREALIZED GAIN/LOSS -- The increase or decrease in the value of a security,
based on its daily market price and its original purchase price. A gain or loss
is "unrealized" until the sale of the security.
VARIATION MARGIN -- A term used in the daily valuation of futures contracts. It
refers to the difference between the current and previous day's settling price.
WARRANT -- A security which entitles the holder to buy additional shares of
common stock at a specified price (usually higher than the market price at the
time of issuance), over a period of years.
III
<PAGE>
BOARD OF
DIRECTORS THE PRUDENTIAL SERIES FUND, INC.
MENDEL A. MELZER W. SCOTT McDONALD, JR., E. MICHAEL CAULFIELD
CHAIRMAN, PhD. CEO,
THE PRUDENTIAL SERIES EXECUTIVE VICE PRUDENTIAL PREFERRED
FUND, INC. PRESIDENT, FINANCIAL SERVICES;
FAIRLEIGH DICKINSON PRESIDENT, SERIES FUND
UNIVERSITY
SAUL K. FENSTER, PhD. JOSEPH WEBER, PhD.
PRESIDENT, NEW JERSEY VICE PRESIDENT,
INSTITUTE OF TECHNOLOGY INTERCLASS
(INTERNATIONAL
CORPORATE LEARNING)
- --------------------------------------------------------------------------------
BOARD OF
DIRECTORS PRUCO LIFE INSURANCE COMPANY
E. MICHAEL CAULFIELD GARNETT L. KEITH, JR. I. EDWARD PRICE
CEO, VICE CHAIRMAN, CEO,
PRUDENTIAL PREFERRED THE PRUDENTIAL PRUDENTIAL
FINANCIAL SERVICES INSURANCE COMPANY OF INTERNATIONAL INSURANCE
AMERICA WILLIAM F. YELVERTON
IRA J. KLEINMAN CEO,
PRESIDENT, INDIVIDUAL INSURANCE
PRUDENTIAL SELECT GROUP
MARKETING COMPANY
ESTHER H. MILNES
SENIOR VICE PRESIDENT,
PRUDENTIAL INSURANCE
AND
FINANCIAL SERVICES;
PRESIDENT, PRUCO LIFE
AND
PRUCO LIFE OF NEW
JERSEY
IV
<PAGE>
Graph 1: (Money Market Portfolio)
How Money Markets Fared Compared With Other Asset Classes.
Graph represents comparison of markets for 1-year total return and 20-year
average annual return for year ending 12/31/95. Investment Total Returns for
the one year ending 12/31/95: U.S. Bonds - 18.5%; U.S. Stocks - 37.6%; Global
Stocks - 21.3%; U.S. Money Markets - 5.4%. Investment Total Returns for the
twenty-years ending 12/31/95: U.S. Bonds - 10.1%; U.S. Stocks - 14.6%; Global
Stocks - 14.2%; U.S. Money Markets - 7.7%.
Graph 2: (Money Market Portfolio)
Graph represents Money Market rates and the historical yield curve for the
years ending 12/31/94 and 12/31/95. For year ending 12/31/94, the 3 month
yield was approximately 5.7%, curving upward to the 30 year yield of
approximately 7.7%, then leveling out. For the year ending 12/31/95, the 3
month yield was approximately 5.2%, curving upward to the 30 year yield of
approximately 6.0%, then leveling out.
Graph 3: (Bond Portfolio)
Graph represents the growth of $10,000 invested in the Bond Portfolio
compared with the Lehman Aggregate Index and the Lipper VIP Corporate Bond
Average. In the ten years ended 12/31/95, an investment of $10,000 would have
a value of $24,512, $25,079, and $24,065 respectively.
Graph 4: (Government Securities Portfolio)
Graph represents the growth of $10,000 invested in the Government Securities
Portfolio compared with the Lehman Government Index and the Lipper VIP U.S.
Government Average. In the seven years ended 12/31/95, an investment of $10,000
would have a value of $18,600, $18,817, and $18,000 respectively.
Graph 5: (Zero Coupon Bond 2000 Portfolio)
Graph represents the growth of $10,000 invested in the Zero Coupon Bond 2000
Portfolio compared with the Lehman Government Index and the Lipper VIP Target
Maturity Average. In the ten years ended 12/31/95, an investment of $10,000
would have a value of $29,482, $23,433, and $26,995 respectively.
<PAGE>
Graph 6: (Zero Coupon Bond 2005 Portfolio)
Graph represents the growth of $10,000 invested in the Zero Coupon Bond 2005
Portfolio compared with the Lehman Government Index and the Lipper VIP Target
Maturity Average. In the seven years ended 12/31/95, an investment of $10,000
would have a value of $22,115, $18,817, and $21,656 respectively.
Graph 7: (Conservatively / Aggressively Managed Flexible Portfolio)
Graph represents the growth of $10,000 invested in the Conservatively Managed
Flexible Portfolio and the growth of $10,000 invested in the Aggressively
Managed Flexible Portfolio compared with the S&P 500, Lehman Aggregate Index,
and the Lipper VIP Flexible Average. In the ten years ended 12/31/95, an
investment of $10,000 would have a value of $26,106, $29,771, $40,032,
$25,079, and $29,392 respectively.
Graph 8: (High Yield Bond Portfolio)
Graph represents the growth of $10,000 invested in the High Yield Bond
Portfolio compared with Lehman High Yield Index, and the Lipper VIP High
Yield Average. In the nine years ended 12/31/95, an investment of $10,000
would have a value of $20,621, $23,684, and $22,940 respectively.
Graph 9: (Stock Index Portfolio)
Graph represents the growth of $10,000 invested in the Stock Index Portfolio
compared with the S&P 500 and Lipper VIP Growth and Income Average. In the
nine years ended 12/31/95, an investment of $10,000 would have a value of
$32,987, $31,647, and $27,035 respectively.
Graph 10: (High Dividend Stock Portfolio)
Graph represents the growth of $10,000 invested in the High Dividend Stock
Portfolio compared with the S&P 500 and Lipper VIP Equity Income Average. In
the eight years ended 12/31/95, an investment of $10,000 would have a
value of $27,864, $29,390, and $25,345 respectively.
<PAGE>
Graph 11: (Common Stock Portfolio)
Graph represents the growth of $10,000 invested in the Common Stock Portfolio
compared with the S&P 500 and Lipper Growth Average. In the ten years ended
12/31/95, an investment of $10,000 would have a value of $39,855, $40,032,
and $37,836 respectively.
Graph 12: (Growth Stock Portfolio)
Graph represents the growth of $10,000 invested in the Growth Stock Portfolio
compared with the S&P 500 and Lipper VIP Growth Average. Since inception of
5/1/95, and through the year ended 12/31/95, an investment of $10,000 would
have a value of $12,440, $12,180, and $11,430 respectively.
Graph 13: (Small Capitalization Stock Portfolio)
Graph represents the growth of $10,000 invested in the Small Capitalization
Stock Portfolio compared with the S&P 500 and Lipper VIP Small Co. Growth
Average. Since inception of 5/1/95, and through the year ended 12/31/95, an
investment of $10,000 would have a value of $11,970, $12,140, and $11,540
respectively.
Graph 14: (Global Equity Portfolio)
Graph represents the growth of $10,000 invested in the Global Equity
Portfolio compared with the Morgan Stanley World Index and Lipper VIP Global
Average. In the seven years ended 12/31/95, an investment of $10,000 would
have a value of $18,916, $19,500, and $20,773 respectively.
Graph 15: (Natural Resources Portfolio)
Graph represents the growth of $10,000 invested in the Natural Resources
Portfolio compared with the S&P 500 and Lipper VIP Natural Resources Average.
In the seven years ended 12/31/95, an investment of $10,000 would have a
value of $24,243, $29,992, and $15,822 respectively.
