<PAGE>
The
Prudential
Series Fund, Inc.
[PICTURE APPEARS HERE]
Semiannual Report to
Contract Owners
June 30, 1999
VARIABLE LIFE INSURANCE
Prudential's Variable Appreciable Life(R)
Pruco Life's Variable Appreciable Life(R)
Pruco Life of New Jersey's Variable
Appreciable Life(R)
Prudential's Custom VAL(SM)
Pruco Life's Discovery(R) Life Plus
Pruco Life of New Jersey's
Discovery(R) Life Plus
Pruco Life's Variable Life Insurance
Pruco Life of New Jersey's
Variable Life Insurance
Prudential Survivorship Preferred(R)
Variable annuities
Prudential's Discovery(R) Plus
Pruco Life's Discovery(R) Plus
Pruco Life of New Jersey's Discovery(R) Plus
Pruco Life's Discovery Preferred(R)
Prudential's Variable Investment Plan(R)
Prudential's Qualified Variable Investment Plan
[PRUDENTIAL LOGO APPEARS HERE]
The Prudential Insurance
Company of America
751 Broad Street
Newark, NJ 07102-3777
Pruco Life Insurance Company
213 Washington Street
Newark, NJ 07102-2992
IFS-19990722-A044615
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The Prudential Series Fund, Inc.
Average Annual Total Return as of June 30, 1999/1/
Since Incep-
Six One Three Five Ten Incep- tion
Months Year Years Years Years tion Date
Fixed-Income Portfolios
Money Market/2/ 2.28% 5.00% 5.25% 5.31% 5.36% 6.34% 5/83
Diversified Bond -1.64 0.92 6.65 7.73 8.03 8.84 5/83
Government Income/3/ -2.62 2.20 6.87 7.41 7.53 8.14 5/89
Zero Coupon Bond 2000 0.61 4.98 6.51 7.41 8.27 9.75 2/86
Zero Coupon Bond 2005 -5.06 2.14 8.02 9.26 9.18 9.84 5/89
Balanced Portfolios
Conservative Balanced 4.04% 7.62% 12.24% 12.05% 10.83% 10.78% 5/83
Flexible Managed 6.55 7.19 14.42 14.89 12.56 12.11 5/83
High Yield Bond
Portfolio
High Yield Bond 3.50% -3.94% 6.92% 8.17% 8.96% 8.22% 2/87
Diversified Stock
Portfolios
Stock Index 12.09% 22.54% 28.70% 27.46% 18.31% 19.11% 10/87
Equity Income 18.27 5.06 21.50 19.09 15.43 15.91 2/88
Equity 15.47 12.26 20.24 20.75 16.74 15.67 5/83
Prudential Jennison 15.27 31.22 30.47 N/A N/A 30.03 4/95
Small Capitalization
Stock 5.19 -1.39 12.39 N/A N/A 16.26 4/95
Global 9.74 15.02 16.82 15.05 11.41 11.88 9/88
Specialized Portfolio
Natural Resources 33.25% 16.07% 2.28% 9.74% 9.69% 10.66% 5/88
/1/ "Average Annual Total Return" is an average rate of return based on growth
or decline in the amounts invested plus the reinvestment of all dividends
over the periods ended 6/30/99. Source: Prudential. Six-month returns are
not annualized.
/2/ An investment in the Prudential Series Fund Money Market Portfolio is
neither insured nor guaranteed by the Federal Deposit Insurance Corporation
or any other government agency. Although the Portfolio seeks to preserve the
value of your investment at $10.00 per share, it is possible to lose money
by investing in the Portfolio.
/3/ The guarantee on U.S. government securities applies only to the underlying
securities of the Portfolio and not to the value of the Portfolio's shares.
The rates of return quoted above and on the following pages reflect the
deduction of investment management fees and investment-related expenses, but not
product charges. They reflect the reinvestment of dividend and capital gains
distributions. They are not an estimate or a guarantee of future performance.
Variable life insurance and variable annuities are offered by Pruco Securities
Corporation, Prudential Investment Management Services and Prudential Securities
Incorporated, all subsidiaries of Prudential. The principal business address of
Pruco Securities Corporation and Prudential Investment Management Services is
751 Broad Street, Newark, NJ 07102-3777. Prudential Securities Incorporated is
located at One Seaport Plaza, New York, NY 10292.
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Table of Contents
Letter to Contract Owners..............................2
Market Commentary......................................4
Investment Outlook.....................................6
ThePrudential Series Fund, Inc. Portfolios
Money Market Portfolio
Diversified Bond Portfolio
Government Income Portfolio
Zero Coupon Bond 2000 Portfolio
Zero Coupon Bond 2005 Portfolio
Conservative Balanced Portfolio
Flexible Managed Portfolio
High Yield Bond Portfolio
Stock Index Portfolio
Equity Income Portfolio
Equity Portfolio
Prudential Jennison Portfolio
Small Capitalization Stock Portfolio
Global Portfolio
Natural Resources Portfolio
Financial Reports
Financial Statements...............................A1
Schedule of Investments............................B1
Notes to Financial Statements......................C1
Financial Highlights...............................D1
This report may be used with the public only when preceded or accompanied by
current prospectuses for The Prudential Series Fund, Inc., and the applicable
variable life or variable 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
charges. For the variable life insurance products, additional contract charges
include the 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
complete information concerning charges and expenses, including hypothetical
performance illustrations that show the effects of performance on various
assumptions, and should be read carefully before you invest or send money.
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Six Months Ended June 30, 1999
LETTER
To Contract Owners
[PHOTO OF JOHN R. STRANGFELD APPEARS HERE]
John R. Strangfeld
Chairman
"The winds of change in the equity market and the recent turbulence in the bond
market not only highlight the value of professional portfolio management, but
they illustrate why investors should have a well-diversified asset allocation
strategy".
Dear Contract Owner:
This Semiannual Report presents the investment performance of the portfolios
within your Prudential variable life or variable annuity contract.
In the last couple of years, the recurring possibility of a global economic
crisis caused investors to focus on securities they thought to be safe. In the
equity market, they focused on the stocks of a handful of very large companies
that were perceived to be well-buffeted from an economic slowdown. These stocks
became very expensive--out of proportion to their earnings expectations. As a
result, there was a substantial disparity in value between large and small
companies and between growth and value stocks.
Since earlier this year, however, that gap has narrowed significantly amid news
of strong U.S. economic growth and faster-than-expected global stability. While
the long-term prospects of U.S. growth stocks are still very good, many of the
stocks of smaller and economically sensitive companies favored by our value
managers are now posting very attractive returns.
In the bond market, U.S. Treasuries and select European government bonds were
the major beneficiaries of the flight to quality that occurred last year. When
this trend reversed itself toward the end of 1998, other sectors of the bond
market rebounded. However, with a strong U.S. economy comes the threat of higher
inflation, which erodes the value of bonds' fixed interest payments. The recent
inflation concerns jolted the bond market toward the end of the reporting period
and helped send long-term interest rates to a 19-month high. Fortunately, the
Federal Reserve appears committed to keeping inflation from threatening the
economy's growth.
How did the Prudential Series Fund Portfolios perform?
Reflecting investors' renewed interest in value stocks--which include cyclical
stocks that do well when the economy thrives--our value-oriented Equity and
Equity Income Portfolios generated the highest returns--up 15.47% and 18.27%,
respectively--through the first half of the year. Our large-cap growth
portfolio--Prudential Jennison--also continues to post attractive returns. It
was up 15.27% for the six-month period ended June 30, 1999.
2
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Diversification: Protection against market turbulence
The winds of change in the equity market and the recent turbulence in the bond
market not only highlight the value of professional portfolio management, but
they illustrate why investors should have a well-diversified asset allocation
strategy. It is also a good practice to revisit your strategy regularly and,
when necessary, rebalance your holdings to keep your asset allocation consistent
with your long-term objectives and risk tolerance.
Since most people buy variable life and variable annuity products for long-term
financial planning, our goal for the Prudential Series Fund Portfolios is to
achieve above-average investment performance over time. Therefore, when you are
considering how to allocate either new or existing assets among our available
investment options, we encourage you to think about your time horizon and risk
tolerance. As always, remember that past performance is not indicative of future
results. Please consult your prospectus for complete details with regard to
these products.
Your Prudential professional will be happy to help you review and structure a
program to meet your long-term financial needs. All of us at Prudential thank
you for your business and look forward to helping you plan for your future
financial security.
Sincerely,
/s/ John R. Strangfeld
John R. Strangfeld
Chairman,
The Prudential Series Fund, Inc.
July 30, 1999
Important Note The rates of return quoted on the following pages reflect the
deduction of investment management fees and investment-related expenses, but not
product charges. They reflect the re-investment of dividend and capital gains
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 and, when redeemed, may be worth more or less than their original
cost. 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 Representative/Pruco Securities Registered Representative can
provide you with actual rates of return for your type of variable life insurance
or annuity contract and show you a personalized illustration of how insurance
charges affect the returns you experience.
3
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Market Commentary
Market Overview
Investors move out into a safer world
It started in the first quarter of the year, but investors were too risk averse
to believe it. By April, however, it could no longer be denied: the world was
becoming a safer place to invest. Japan was showing signs that its economy had
bottomed and was poised to start growing again; Germany was also hinting at
improved economic conditions, and cheaper currencies and lower interest rates
were helping to fuel several emerging market economies.
This encouraging economic news prompted many equity investors to look beyond the
domestic large-capitalization growth stocks that have played such a big part in
driving the market's returns over the past several years. What they found in the
United States was stocks of small-cap companies that were ignored for so long
they had become bargain priced. Investors also found relatively inexpensive
value stocks among the large-cap companies. These stocks included many
cyclicals--stocks that typically do well when the economy thrives. Outside the
United States, investors found stocks in Asia and emerging markets that were
also bargain priced.
Many bond investors responded to a safer global econo-mic environment by pulling
out of U.S. Treasury securities and taking advantage of attractive opportunities
in higher-yielding markets. Treasuries also fell out of favor because investors
expected the Federal Reserve to raise rates in an effort to cool U.S. economic
growth before it led to higher inflation. (Higher inflation erodes the fixed
value of bond interest payments.) The Federal Reserve finally moved on June 30,
when it raised its key short-term interest rate by a quarter of a percentage
point to 5%.
The World
What's causing the global rebound?
Asia--the region that sparked a global financial crisis two years ago--could
actually be credited with helping the world economies get back on course.
Corporate restructuring in many parts of Asia, including Japan and Korea, has
accelerated sharply in the last several months. This has helped companies with
inexpensive valuations greatly improve their prospects for strong earnings
growth. The Asian recovery, in turn, has increased the global demand for
commodities, which has helped the commodity exporters in Russia and Latin
America. The corporate environment in many parts of Europe is also showing signs
of improvement after a disappointing first half of 1999. Company fundamentals
remain strong in Europe, and the weaker euro is helping the export sector.
How the Markets Compared/1/
Return Over Average Return Over
Past 12 Months Past 20 Years (Annualized)
-------------- --------------------------
Money Markets 4.8% 6.4%
Bonds 2.7% 9.7%
Foreign Stocks 15.7% 14.5%
U.S. Stocks 22.8% 17.9%
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This chart compares the 12-month return as of 6/30/99 for various categories of
investments with the average annual total return over 20 years for the same
investment. As you can see, stock and bond market returns can vary considerably
from year to year. Unlike stocks, bonds generally offer a fixed rate of return
and principal if held to maturity. An investment's past performance should never
be used to predict future results. There are different risks associated with
each investment sector, which should be carefully considered before investing.
/1/ Source: Lipper, Inc. For purposes of comparison only. U.S. money markets as
measured by Lipper Money Market Average (VA). Bonds as measured by the Lehman
Brothers Gov't. Corp. Index. Foreign stocks as measured by the Morgan Stanley
Capital International World Index. U.S. stocks as measured by the S&P 500
Composite Stock Price Index.
The views expressed are as of July 30, 1999 and are subject to change based on
market and other conditions.
4
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S&P 500 Index--Total Return
by Sector
YTD 1999
----------
Technology 24.8%
Basic Materials 22.2
Energy 19.4
Capital Goods 18.5
Communication Services 17.1
Financials 12.8
Consumer Cyclicals 12.3
Transportation 11.4
Utilities 1.2
Health Care -0.4
Consumer Staples -2.2
S&P 500 Index 12.4
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Source: Standard & Poor's as of 6/30/99. The S&P 500 Composite Stock Price
Index is an unmanaged index of stocks that provide an indication of stock price
movements. Past performance is not indicative of future results. Investors
cannot invest directly in an index.
Stock Market
No longer narrowly focused
When the first half of 1999 drew to a close, it had become obvious that a
broader group of stocks was now benefiting from this accelerated global growth.
The Russell 2000 Index of small-company stocks outperformed the other major
stock indexes. The stock market had placed exceptionally high capitalizations
(the total price of a corporation's outstanding stock) on a few popular
companies.
These "mega-caps" had absorbed a lot of investors' funds, while smaller
companies were much lower priced. So, when investors sold some of their shares
of the mega-caps, enough money was released to have a very large impact on the
prices of small-company stocks. They surged. In many cases, merger and
acquisition activity was a catalyst for a bargain-priced company's gains.
Bond Market
Caught off-guard by strong global economic growth
Treasury prices fell early in the second quarter as investors sold these govern-
ment securities to participate in both the wealth of corporate debt offerings
and in the strong stock market. Occasional economic reports that hinted at
inflation also caused temporary "hiccups" in the debt market that started to
become almost routine until mid-May. That's when April's much-higher-than-
expected Consumer Price Index report was released, which was soon followed by
the Federal Reserve's announcement that it was more inclined to raise interest
rates.
These events prompted a major sell-off in the bond market. The yield on the
benchmark 30-year Treasury bond--which moves in the opposite direction of its
price--rose from 5.63% on March 31 to a high of 6.19% on June 24, a level not
seen since November 1997.
As it turned out, this sharp sell-off was unwarranted in light of the fact that
the Federal Reserve increased short-term interest rates by only a quarter of a
percentage point.
In anticipation of an increase in short-term interest rates, investors drove
prices lower in almost all sectors of the U.S. fixed-income market during the
second half of the quarter and spreads (the difference in yield between
corporate bonds and Treasuries) also widened in both the high-grade and high-
yield (junk) bond markets.
Surprisingly, the spread between yields of Treasuries and some better-quality
corporates (A-rated and AA-rated) widened more than the spread between
Treasuries and lower-rated corporates. This is due, in part, to the large supply
of new investment-grade corporate issues, which came to market during this
period.
5
<PAGE>
1999
Investment Outlook
Economic Outlook
Fed to tread slowly
Investors are expected to pay very close attention to world economies during the
second half of the year, and the United States economy will probably be the most
closely scrutinized of all. We expect to see strong U.S. growth coupled with a
moderate increase in inflation.
As we enter the second half of the year, we still think that Y2K preparations
(particularly inventory building), combined with the underlying healthy pace of
growth, will push overall economic readings back up to around the 4% level. With
oil and commodity prices now no longer declining and substantially smaller
declines being registered for other non-oil import prices, the Consumer Price
Index inflation rate should move slightly higher. When Alan Greenspan and the
Federal Reserve meet in August, these trends could prompt them to announce that
they are more inclined to raise interest rates. It usually takes six months for
interest rate moves to be felt in the economy. We think the Federal Reserve will
probably be reluctant to actually raise rates in August, because the move would
be felt early next year when the economy quite possibly may slow down anyway in
response to Y2K factors.
Just what those factors might be remains to be seen. Since Y2K is a unique event
the impact of which cannot be gauged by previous experience, all forecasts are
subject to greater risk than usual over the next three quarters.
Stock Market Outlook
Rally to continue to broaden
As the U.S. economy continues to grow and it becomes more apparent that the
world is a safer place for investing, we expect investors to still be attracted
to U.S. small-company stocks and value stocks, both of which remain relatively
inexpensive compared to large-cap growth stocks.
However, the recent move out of growth stocks and into small-company and value
stocks happened so quickly it will not be surprising if this new trend pauses
from time to time to digest the value gains.
International markets are expected to become more attractive to investors as
well. Since stocks in Europe are not as expensive as those in the S&P 500--
international markets could perform better than the S&P 500 over the next 12
to 18 months. In Japan, corporate restructurings are helping to improve earnings
and should eventually bring about economic growth.
A word of caution, however: Asian and Latin American countries have rebounded so
quickly from such depressed levels that it wouldn't be unusual to see those
markets pause as some investors take their profits.
6
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Safer world helps commodities stage a comeback
With global growth accelerating, the economies of many developing nations
may have the wind at their backs for the first time in a while. This could prove
beneficial to most of the world's commodity producers, since global inventories
of resources such as aluminum and nickel are low and there is little excess
production capacity.
The Asian economic and financial crisis caused large inventory liquidations of
many commodities from Far Eastern consumers. With the world beginning to
recover, not only will demand increase but depleted inventories will have to be
rebuilt.
While prices of commodity company stocks
are up significantly in 1999, they have considerable room to go higher.
Long-term supply and demand trends are turning very positive. Soon the strengths
we see in oil will spill over into other commodity markets.
Bond Market Outlook
Looking for good value
Given expectations for strong U.S. economic growth, we have increased our range
for the yield on the 30-year Treasury bond from 5.25% to 6.25%. In the current
environment, high-yield corporate bonds represent good value.
High expectations for high-yield sector
Because of their low correlation to other financial products, high-yield
corporate bonds (also known as "junk bonds") are an attractive way for suitable
investors to diversify a portfolio. While Treasuries performed poorly during the
first half of the year, high-yield corporates generated a positive return
despite a couple of rough months.
The Federal Reserve's decision to increase short-term rates only slightly and
remove its tightening bias is particularly encouraging to the high-yield sector.
Treasury yields have risen since the beginning of the year; therefore, spreads
(the difference in yield between high-yield bonds and Treasuries) are not as
wide as they were in January. However, they are still wide based on historical
levels.
Default rates, which rose during the first half of the year, shouldn't
increase dramatically from current levels, because economic growth continues to
be strong. Since interest rates are not expected to move significantly between
now and the end of the year, high-yield bonds should earn their coupons and even
realize a little capital appreciation.
7
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Prudential
Money Market Portfolio
Performance Summary.
Money market participants spent much of the first half of 1999 agonizing over
whether increases in the Federal funds rate (the rate U.S. banks charge each
other for overnight loans) were imminent, or even warranted. The Federal Reserve
raised the key rate by a quarter of a percentage point to 5.00% on June 30,
1999, to keep the U.S. economy from overheating.
In anticipation of this move, investors drove money market yields higher. We
took advantage of the rise in money market yields early on by purchasing
one-year securities. These transactions helped the Prudential Series Fund Money
Market Portfolio maintain a higher-than-average yield. The Portfolio returned
2.28% for the first half of the year, beating the 2.21% reported by the average
money market fund as tracked by Lipper, Inc. On June 25, 1999, the Portfolio's
seven-day yield was 4.58%.
(An investment in the Prudential Series Fund Money Market Portfolio is neither
insured nor guaranteed by the Federal Deposit Insurance Corporation or any other
government agency. Although the Portfolio seeks to preserve the value of your
investment at $10.00 per share, it is possible to lose money by investing in the
Portfolio.)
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Average Annual Returns Through June 30, 1999
Six One Three Five Ten
Months Year Years Years Years
- --------------------------------------------------------------------------------
Money Market Portfolio/1/ 2.28% 5.00% 5.25% 5.31% 5.36%
Lipper (VIP) Money Market Avg./2/ 2.21% 4.77% 5.02% 5.06% 5.01%
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Money Market Portfolio inception date: 5/13/83.
[LINE GRAPH APPEARS HERE]
Weekly seven-day current net yields of the Money Market Portfolio and the IBC
Taxable General Purpose, First and Second Tier Money Market Fund.
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/1/Past performance is not predictive of future performance. Portfolio
performance is net of investment fees and fund expenses but not product charges.
Source: Prudential. Six-month returns not annualized.
/2/The Lipper Variable Insurance Products (VIP) Money Market Average is
calculated by Lipper, Inc., and reflects the investment returns of certain
portfolios underlying variable life and annuity products. These returns are net
of investment fees and fund expenses but not product charges.
/3/Source: IBC Financial Data, Inc. As of 6/29/99, based on 306 funds in the IBC
Taxable General Purpose, First and Second Tier Money Market Fund.
- -----------------------
Fixed Income Low Risk
- -----------------------
Balanced
- -----------------------
High Yield Bond
- -----------------------
Diversified Stock
- -----------------------
Specialized High Risk
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Investment Goal
Current income, stability of capital and maintenance of liquidity.
Types of Investments
Short-term money market securities that generally mature in 13 months or less.
These securities primarily consist of Certificates of Deposit (CDs), Commercial
Paper and Bankers' Acceptances, U.S. Treasury bills (T-bills) and other
instruments issued by or guaranteed by the U.S. government or its agencies.
Performance Review.
Portfolio provided a competitive yield. At the beginning of 1999, we believed
the Federal Reserve would be reluctant to raise the Federal funds rate because
inflation remained subdued in the United States, and Brazil was in the midst of
a financial crisis.
As a result of strong U.S. economic growth that rekindled inflation fears, money
market yields, in general, climbed in February and early March.
The Prudential Series Fund Money Market Portfolio benefited from this rise in
money market yields because we bought securities maturing in 12 months that
carried attractive yields.
These purchases, along with others made in the spring, enabled the Portfolio to
provide a competitive yield during the six-month period.
10
<PAGE>
Strategy Session.
Rise in money market yields created buying opportunities. The U.S. economy raced
along at a brisk clip in the first six months of 1999. Such strong economic
growth might eventually ignite higher inflation which, if left unchecked, could
derail the economic expansion. As a result, many investors began to fear that
the Federal Reserve would raise the Federal funds rate to cool down the economy.
Expectations of an increase in the Federal funds rate led investors to push up
money market yields. For example, the 12-month London Interbank Offered Rate
(LIBOR) climbed from approximately 5.00% at the beginning of February 1999 to
roughly 5.40% in early March. Because we did not believe a change in monetary
policy was imminent, we viewed this trend as a buying opportunity and locked in
solid yields on debt securities of banks and corporations maturing in one year.
In early spring, a spate of benign inflation data and moderate gains in
employment allayed fears of a tighter monetary policy, and money market yields
turned lower. But this proved to be a temporary reprieve. The unrelenting
strength of the U.S. economy, higher oil prices and a larger-than-expected
increase in a key U.S. inflation barometer that was reported in May reawakened
concerns that the U.S. central bank would increase the Federal funds rate.
Moreover, a statement released after Federal Reserve policy makers met in
mid-May said they were leaning toward increasing short-term rates due to a
potential buildup in inflationary pressures.
The long-awaited Federal funds rate increase finally occurred. Not surprisingly,
money market yields began to climb again. We bought shorter-term securities such
as commercial paper maturing in three months or less and allowed the Portfolio's
weighted average maturity (WAM) to shorten. WAM takes into account the maturity
level of each security held by a fund. WAM is a measurement tool that determines
a fund's sensitivity to changes in interest rates.
Having a shorter WAM would allow us quicker access to cash so we could take
advantage of any higher-yielding money market securities that became available
after an increase in the Federal funds rate. We did not have long to wait. On
June 30, 1999, the change in monetary policy occurred, marking the first time
since March 25, 1997, that the U.S. central bank had raised the Federal funds
rate.
Outlook
Portfolio Manager
Manolita Brasil
Fed may move again in 1999.
"We believe the Federal Reserve may raise the Federal funds rate a second time
during the summer or early fall if the economy continues to grow at a very rapid
pace. However, we believe the likelihood of another rate increase later in the
year dwindles due to the U.S. central bank's concerns about the potential year
2000 computer problem."
[PHOTO OF MANOLITA BRASIL APPEARS HERE]
Portfolio Manager
Manolita Brasil
Portfolio Composition
as of 6/30/99
-------------
Other Commercial Paper 59.6%
Other Corporate Obligations 18.9%
Certificates of Deposit-Yankee 7.9%
Bank Notes 7.9%
Loan Participations 3.8%
Certificates of Deposit-Eurodollar 1.8%
Certificates of Deposit-Domestic 0.2%
- -----------------------------------------------------
Source: Prudential. 28.1% of the portfolio holdings are adjustable rate
securities. Holdings are subject to change.
<PAGE>
Diversified Bond Portfolio
Performance Summary.
The Prudential Series Fund Diversified Bond Portfolio followed the bond market
with a softer first six months of 1999. This disappointing period was primarily
due to inflation fears, along with the resurgence of the global economy, sending
interest rates higher.
Anticipating that the Federal Reserve would have to raise the Federal funds rate
to slow the U.S. economy and quell inflation fears, investors drove yields of
many debt securities higher and their prices, which move in the opposite
direction, lower. Among the debt securities affected were U.S. Treasuries and
investment-grade corporate bonds. The Federal funds rate was indeed increased,
on June 30, 1999, by 25 basis points (0.25%).
By the end of the six-month period, the Portfolio's decline of 1.64% still
outperformed the 2.03% drop on the Lipper (VIP) Corporate Debt BBB Average.
Average Annual Returns Through June 30, 1999
Six One Three Five Ten
Months Year Years Years Years
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Diversified Bond Portfolio/1/ -1.64% 0.92% 6.65% 7.73% 8.03%
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Lipper (VIP) Corp. Debt BBB Avg./2/ -2.03% 1.27% 7.02% 7.74% 7.89%
- --------------------------------------------------------------------------------
Lehman Aggregate Bond Index/3/ -1.37% 3.15% 7.23% 7.83% 8.15%
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Diversified Bond Portfolio inception date: 5/13/83.
$10,000 Invested Over Ten Years
[LINE GRAPH APPEARS HERE]
Lehman Aggregate Diversified Lipper (VIP) Corp.
Bond Index/3/ Bond Portfolio/1/ Debt BBB Avg./2/
---------------- ----------------- ------------------
1989 10,000 10,000 10,000
1999 21,894 21,641 21,447
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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.
/1/Past performance is not predictive of future performance. Portfolio
performance is net of investment fees and fund expenses but not product charges.
Source: Prudential. Six-month returns not annualized.
/2/The Lipper Variable Insurance Products (VIP) Corporate Debt BBB Average is
calculated by Lipper, Inc., and reflects the investment returns of certain
portfolios underlying variable life and annuity products. These returns are net
of investment fees and fund expenses but not product charges.
/3/The Lehman Aggregate Bond Index (LAI) is comprised of more than 5,000
government and corporate bonds. The LAI is an unmanaged index that 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 indexes may portray different comparative
performance.
- -----------------------
Fixed Income Low Risk
- -----------------------
Balanced
- -----------------------
High Yield Bond
- -----------------------
Diversified Stock
- -----------------------
Specialized High Risk
- -----------------------
Investment Goal
High level of income over the long term while providing reasonable safety of
capital.
Types of Investments
U.S. government securities, mortgage-backed bonds, both investment-grade and
high yield ("junk bond") corporate debt, and foreign securities (dollar and
non-dollar denominated).
Investment Style
This Portfolio seeks the highest yield while maintaining safety of capital, by
strategically allocating Portfolio assets among the above classes of bonds.
Performance Review.
A shorter duration won.
The Portfolio's performance was affected by its fairly large exposure to
investment-grade corporate bonds, particularly early in the year, and the
sell-off in U.S. Treasuries.
The corporate bond market had supply problems during most of the first six
months of 1999 with its new issue calendar consistently being very high.
As a result, as we moved closer to June, the market became softer and prices of
long-term, investment-grade corporate bonds, which we mostly held, fell further
than those with a shorter duration stance.
The Lehman Government/Corporate Bond Index fell 2.28% overall in the last six
months, with only a 0.58% decline in intermediate-term securities but a 5.95%
drop in long-term securities.
<PAGE>
Strategy Session.
A tough time for bonds. The U.S. economy continued its strong growth cycle into
1999, and the global economy sustained its rebound throughout the first six
months of the year. Under this scenario, inflation fears grew, and investors
drove the yields on many fixed-income securities higher and their prices lower.
Lower-rated fixed-income securities that offer large incremental yield over U.S.
Treasuries, such as high-yield corporate bonds and emerging market bonds, fared
somewhat better in this market environment. By contrast, the general safety of
investment-grade corporate bonds and U.S. Treasuries, which the Portfolio mostly
holds, was not sought after by investors, and these sectors performed poorly.
We began the year holding more corporate bonds than our competitive universe.
Furthermore, the corporate bonds we held had longer-than-average maturities than
that of the average bond portfolio. This helped performance in the first
quarter. As the year progressed, investors decided the world was now a safer
place to invest their money and sold out of U.S. Treasuries and investment-grade
corporate bonds. By doing this, they drove the prices of these securities lower
and their yields higher. The prices of securities that had a longer-than-average
duration fell substantially compared to those with a shorter duration. Duration
is a measure of sensitivity to interest rate changes. We did cut back on our
investment-grade corporate bond holdings in April, especially longer-maturity
issues, to realize spread profits (the outperformance of corporate securities
versus Treasuries) from purchases in late 1998. At the same time, we also moved
to pull the Portfolio's duration closer to a neutral stance.
After selling our longer-duration, investment-grade corporate bonds to cut our
duration stance and help performance, we bought U.S. Treasuries that mostly had
shorter-term maturities. We did this to position the Portfolio for an
anticipated interest rate hike by the Federal Reserve. The Fed did raise the
Federal funds rate (the rate that banks charge each other for overnight loans)
25 basis points, or 0.25%, on June 30, 1999. By using this strategy, we were
able to find good bargains in Treasuries since they were fairly cheap, and bring
more safety and liquidity into the Portfolio. Furthermore, the overall corporate
bond market, became soft due to the continued heavy new-issue calendar it had as
the year progressed.
Bolstered by Asia's continued economic turnaround, emerging market fixed-income
securities began to perform very well in February, as their countries'
economic fundamentals strengthened. Many of the countries in this sector
(Malaysia, Mexico, Bulgaria, and Brazil) had their bonds upgraded. Therefore, we
were able to add emerging market, dollar-denominated bonds to the Portfolio at
cheap levels. This brought our exposure to these bonds up and helped returns of
the Portfolio.
Outlook
PORTFOLIO MANAGER
Barbara Kenworthy
Treasury yields should moderate.
"Although economic activity year-to-date is higher than expected, we still don't
expect to see significantly higher Treasury yields. We also believe the U.S.
economic expansion could moderate in the second half of the year. If the economy
behaves as expected, the 30-year Treasury bond yield should fluctuate in a range
of 5.25% to 6.25%."
[PHOTO OF BARBARA KENWORTHY APPEARS HERE]
Portfolio Manager
Barbara Kenworthy
Portfolio Composition
as of 6/30/99
-------------
Corporate Bonds 74.9%
U.S. Treasuries 14.1%
Cash/Other 6.0%
U.S. Government Agencies 1.8%
Mortgages 1.7%
Asset-Backed 1.5%
- ------------------------------------------------------
Source: Prudential. Holdings are subject to change.
Credit Quality
as of 6/30/99
-------------
U.S. Government 15.9%
AAA 7.6%
AA 8.5%
A 19.0%
BBB 33.5%
BB 9.5%
Short-Term/Cash/Other 6.0%
Average Credit Quality A
Duration 5.40 years
Average Maturity 9.60 years
- ------------------------------------------------------
Source: Prudential. Holdings are subject to change.
<PAGE>
Prudential
Government Income Portfolio
Performance Summary.
The Prudential Series Fund Government Income Portfolio had a disappointing first
six months of 1999 as inflation fears sent interest rates higher. Anticipating
that the Federal Reserve would have to raise the Federal funds rate to slow the
U.S. economy and quell inflation fears, investors drove yields of many debt
securities higher and their prices, which move in the opposite direction, lower.
Among the debt securities affected were U.S. Treasuries and government agency
bonds. The Federal funds rate was indeed increased on June 30, 1999, by 25 basis
points (0.25%). By the end of the six-month period, the Portfolio declined
2.62%, trailing the 2.35% drop of the Lipper (VIP) General U.S. Government
Average.
The guarantee on U.S. Treasuries applies only to the underlying securities of
the Portfolio and not to the value of the Portfolio's shares. Mortgage-backed
securities entail additional prepayment and extension risks.
Average Annual Returns Through June 30, 1999
Six One Three Five Ten
Months Year Years Years Years
- --------------------------------------------------------------------------------
Government Income Portfolio/1/ -2.62% 2.20% 6.87% 7.41% 7.53%
- --------------------------------------------------------------------------------
Lipper (VIP) Gen. U.S. Gov't. Avg./2/ -2.35% 2.26% 6.39% 6.94% 7.52%
- --------------------------------------------------------------------------------
Lehman Gov't. Bond Index/3/ -2.27% 3.05% 7.18% 7.59% 7.96%
- --------------------------------------------------------------------------------
Government Income Portfolio inception date: 5/1/89.
$10,000 Invested Over Ten Years
[LINE GRAPH APPEARS HERE]
Lehman Gov't. Government Income Lipper (VIP) General
Bond Index/3/ Portfolio/1/ U.S. Gov't. Avg./2/
------------- ----------------- --------------------
1989 10,000 10,000 10,000
1999 21,516 20,672 20,654
- --------------------------------------------------------------------------------
The Portfolio may invest in foreign securities. Foreign investments are subject
to the risk of currency fluctuation and the impact of social, political and
economic change.
/1/Past performance is not predictive of future performance. Portfolio
performance is net of investment fees and fund expenses but not product charges.
Source: Prudential. Six-month returns not annualized.
/2/The Lipper Variable Insurance Products (VIP) General U.S. Government Average
is calculated by Lipper, Inc., and reflects the investment returns of certain
portfolios underlying variable life and annuity products. These returns are net
of investment fees and fund expenses but not product charges.
/3/The Lehman Government Bond Index (LGI) 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 that 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
indexes may portray different comparative performance.
- -----------------------
Fixed Income Low Risk
- -----------------------
Balanced
- -----------------------
High Yield Bond
- -----------------------
Diversified Stock
- -----------------------
Specialized High Risk
- -----------------------
Investment Goal
High level of income over the long term consistent with the preservation of
capital.
Types of Investments
Primarily intermediate and longer-term U.S. government bonds, including U.S.
Treasuries and agencies and mortgage-backed securities such as GNMA, FNMA and
FHLMC bonds and foreign government securities.
Investment Style
The Portfolio seeks high current return by selecting bonds that offer an
attractive combination of current income and price appreciation. The Portfolio
Manager's goal is to select bonds believed to offer the best value in a given
market climate.
Performance Review.
A shorter duration won.
The Portfolio's performance was hurt by its longer-than-average duration stance
in its holdings, especially U.S. Treasuries and U.S. government agencies.
Prices of long-term securities fell more than prices of short- or intermediate-
term securities during the first half of 1999.
The Lehman U.S. Treasury Index fell 0.90% overall during the first six months of
1999, with a 0.18% decline for intermediate-term securities and a 2.48% drop for
long-term securities.
Furthermore, the Lehman Agency Bond Index has declined 0.67% in 1999 to date,
0.27% for intermediate-term securities and 2.63% for long-term securities.
<PAGE>
Strategy Session.
Bonds struggled during the first half of the year. The U.S. economy continued
its strong growth cycle into 1999, and the global economy sustained its rebound
throughout the first six months of the year. Under this scenario, inflation
fears grew, and investors drove the yields on many fixed-income securities
higher and their prices lower.
Early in the year, mortgage-backed securities performed better than Treasuries
as investors had less fear of having their premium coupon holdings refinanced
early in a higher-rate environment. By contrast, the general safety of U.S.
Treasuries and government agency bonds--major components of this Portfolio was
not sought after by investors, and these sectors performed poorly.
We began the year holding more U.S. Treasuries in expectation that there could
be further problems in the emerging market arena. Furthermore, we did not
anticipate the big jump in global economic growth that we saw during the first
half of the year. We, therefore, did not cut back our duration stance as quickly
as our competitive universe, hurting relative performance. (Duration is a
measure of sensitivity to interest rate changes.)
We did cut back on our Treasury holdings in February and March, and also
lightened our exposure to government agency bonds, resulting in the Portfolio's
duration stance moving closer to neutral in relation to similar bond portfolios.
Although this move modestly helped performance, we should have trimmed our
duration stance earlier in the year, which would have benefited the Portfolio.
Moreover, the Portfolio would have benefited from holding inflation-index bonds,
which perform well in a sensitive inflationary environment as well as give the
Portfolio a shorter duration.
Outlook
Portfolio Manager
Barbara Kenworthy
Treasury yields should moderate.
"Although economic activity year-to-date is higher than expected, we still don't
expect to see significantly higher Treasury yields. We also believe the U.S.
economic expansion could moderate in the second half of the year. If the economy
behaves as expected, the 30-year Treasury bond yield should fluctuate in a range
of 5.25% to 6.25%."
[PHOTO OF BARBARA KENWORTHY APPEARS HERE]
Portfolio Manager
Barbara Kenworthy
Portfolio Composition
as of 6/30/99
-------------
U.S. Government Agencies 43.8%
U.S. Treasuries 32.1%
Mortgages 17.2%
Asset-Backed 4.1%
Corporate Bonds 2.1%
Short-Term/Cash 0.7%
- ---------------------------------------------------
Source: Prudential. Holdings are subject to change.
Credit Quality
as of 6/30/99
-------------
U.S. Government 75.9%
AAA 20.8%
AA 2.6%
Short-Term/Cash 0.7%
Average Credit Quality AAA
Duration 5.63 years
Average Maturity 8.70 years
- ---------------------------------------------------
Source: Prudential. Holdings are subject to change.
<PAGE>
Prudential
Zero Coupon Bond 2000 Portfolio*
Performance Summary.
Prices of U.S. Treasuries fell throughout the first six months of 1999 as there
was less concern about a global financial crisis in Brazil and other emerging
market countries. Investors became more inclined to return to higher-yielding
securities. Despite this trend, the Prudential Series Fund Zero Coupon Bond 2000
Portfolio gained 0.61% for the first half of 1999--outperforming the negative
2.78% return of the Lipper (VIP) Target Maturity Average.
The Portfolio is to be liquidated on November 15, 2000. On the liquidation date,
all of the securities held by the Portfolio will be sold, and all outstanding
shares will be redeemed. The redemption proceeds will--except as otherwise
directed by Contract Owners--be used to purchase shares of the Prudential Series
Fund Money Market Portfolio.
- --------------------------------------------------------------------------------
Average Annual Returns Through June 30, 1999
Six One Three Five Ten
Months Year Years Years Years
- ---------------------------------------------------------------------------
Zero Coupon Bond 2000 Portfolio/1/ 0.61% 4.98% 6.51% 7.41% 8.27%
- ---------------------------------------------------------------------------
Lipper (VIP) Target Mat. Avg./2/ -2.78% 2.84% 7.74% 8.81% 8.87%
- ---------------------------------------------------------------------------
Lehman Gov't. Bond Index/3/ -2.27% 3.05% 7.18% 7.59% 7.96%
- ---------------------------------------------------------------------------
Zero Coupon Bond 2000 Portfolio inception date: 2/12/86.
- --------------------------------------------------------------------------------
$10,000 Invested Over Ten Years
[LINE GRAPH APPEARS HERE]
1989 1999
------- -------
Lipper (VIP) Target Mat. Avg./2/ $10,000 $23,444
Zero Coupon Bond 2000 Portfolio/1/ $10,000 $22,136
Lehman Gov't. Bond Index/3/ $10,000 $21,516
- --------------------------------------------------------------------------------
* Not available in all contracts.
/1/ Past performance is not predictive of future performance. Portfolio
performance is net of investment fees and fund expenses but not product
charges. Source: Prudential. Six-month returns not annualized.
/2/ The Lipper Variable Insurance Products (VIP) Target Maturity Average is
calculated by Lipper, Inc., and reflects the investment return of certain
portfolios underlying variable life and annuity products. These returns are
net of investment fees and fund expenses but not product charges.
/3/ The Lehman Government Bond Index (LGI) 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 indexes may portray different comparative performance.
- --------------------------------------------------------------------------------
- ------------------------
Fixed Income Low Risk
- ------------------------
Balanced
- ------------------------
High Yield Bond
- ------------------------
Diversified Stock
- ------------------------
Specialized High Risk
- ------------------------
Investment Goal
Highest predictable compound investment return consistent with safety of
capital, if held to maturity.
Types Of Investments
Primarily the debt obligations of the U.S. Treasury and investment-grade
corporations that have been issued without interest coupons or have been
stripped of interest coupons.
Investment Style
The Portfolio will allocate assets among U.S. Treasury and agency securities or
zero coupon issues sold by corporations to find the highest yield available in
bonds maturing in 2000.
Performance Review.
Shorter maturities fared well. Debt securities with short- and intermediate-term
maturities fared better than those with longer maturities in fixed-income
markets over the past six months.
The difference between returns on various maturities of U.S. Treasuries and
federal government agency securities was reflected in the Lehman Government Bond
Index.
Overall, the index fell 2.27% during the first six months of 1999: a 1.15% gain
for the one- to three-year securities, a 0.47% decline for the intermediate-term
securities and a 6.61% drop for the longer-term securities.
Since the Prudential Series Fund Zero Coupon Bond 2000 Portfolio holds very
short-term securities, its return is most comparable to the index for securities
maturing in one to three years.
<PAGE>
Prudential
Zero Coupon Bond 2005 Portfolio*
Performance Summary.
With fears that strong economic growth and low unemployment would lead to higher
inflation, investors drove U.S. Treasury prices lower during the first six
months of the year. Treasury yields, therefore, which move in the opposite
direction of prices, rose as concern about a global financial crisis faded and
made investors less inclined to hold "safe haven" securities.
The Prudential Series Fund Zero Coupon Bond 2005 Portfolio declined because it
mostly holds five- and six-year bonds whose prices fell more rapidly than
shorter-maturity instruments as inflation fears mounted.
The Portfolio declined 5.06% during the first six months of 1999 and trailed the
2.78% decline of the Lipper (VIP) Target Maturity Average.
- --------------------------------------------------------------------------------
Average Annual Returns Through June 30, 1999
Six One Three Five Ten
Months Year Years Years Years
- ---------------------------------------------------------------------------
Zero Coupon Bond 2005 Portfolio/1/ -5.06% 2.14% 8.02% 9.26% 9.18%
- ---------------------------------------------------------------------------
Lipper (VIP) Target Mat. Avg./2/ -2.78% 2.84% 7.74% 8.81% 8.87%
- ---------------------------------------------------------------------------
Lehman Gov't. Bond Index/3/ -2.27% 3.05% 7.18% 7.59% 7.96%
- ---------------------------------------------------------------------------
Zero Coupon Bond 2005 Portfolio inception date: 5/1/89.
- --------------------------------------------------------------------------------
$10,000 Invested Over Ten Years
[LINE GRAPH APPEARS HERE]
1989 1999
------- -------
Zero Coupon Bond 2005 Portfolio/1/ $10,000 $24,063
Lipper (VIP) Target Mat. Avg./2/ $10,000 $23,444
Lehman Gov't. Bond Index/3/ $10,000 $21,516
- --------------------------------------------------------------------------------
* Not available in all contracts.
/1/ Past performance is not predictive of future performance. Portfolio
performance is net of investment fees and fund expenses but not product
charges. Source: Prudential. Six-month returns not annualized.
/2/ The Lipper Variable Insurance Products (VIP) Target Maturity Average is
calculated by Lipper, Inc., and reflects the investment return of certain
portfolios underlying variable life and annuity products. These returns are
net of investment fees and fund expenses but not product charges.
/3/ The Lehman Government Bond Index (LGI) 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 that 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 indexes may portray different comparative performance.
- --------------------------------------------------------------------------------
- ------------------------
Fixed Income Low Risk
- ------------------------
Balanced
- ------------------------
High Yield Bond
- ------------------------
Diversified Stock
- ------------------------
Specialized High Risk
- ------------------------
Investment Goal
Highest predictable compound investment return consistent with safety of
capital, if held to maturity.
Types Of Investments
Primarily the debt obligations of the U.S. Treasury and investment-grade
corporations that have been issued without interest coupons or have been
stripped of interest coupons.
Investment Style
The Portfolio will allocate assets among U.S. Treasury and agency securities or
zero coupon issues sold by corporations to find the highest yield available in
bonds maturing in 2005.
Performance Review.
Shorter maturities fared well. While the sell-off in U.S. Treasuries negatively
affected most fixed-income markets, prices of debt securities with longer
maturities fell more than those with shorter maturities.
What helped the Prudential Series Fund Zero Coupon Bond 2005 Portfolio in
1998--when Treasuries rallied amid a global financial crisis--hurt the Portfolio
in the first half of 1999, as the world became a safer place for investors to
put their money.
The safety of Treasuries did not continue to appeal to investors, since they
felt strong economic conditions made it safe to return to higher-yielding debt
securities.
<PAGE>
Prudential
Conservative Balanced Portfolio
Performance Summary.
The Prudential Series Fund Conservative Balanced Portfolio returned 4.04% for
the first half of 1999, between the market's 12.4% gain on U.S. stocks and the
2.28% loss on the Lehman Government/Corporate Bond Index. This Portfolio--which
invests in a conservative mix of stocks, bonds, and money market
securities--returned less than the average Balanced (VIP) Portfolio tracked by
Lipper, Inc., because the Portfolio's conservative mandate is consistent with
having a smaller proportion of stocks in the asset allocation. Unfortunately,
bond market participants interpreted signs of a strengthening economy as an
early warning of renewed inflation. These inflationary concerns caused bond
prices to slide.
- --------------------------------------------------------------------------------
Average Annual Returns Through June 30, 1999
Six One Three Five Ten
Months Year Years Years Years
- ------------------------------------------------------------------------------
Conservative Balanced Portfolio/1/ 4.04% 7.62% 12.24% 12.05% 10.83%
- ------------------------------------------------------------------------------
Lipper (VIP) Balanced Avg./2/ 6.12% 10.86% 16.21% 15.63% 11.93%
- ------------------------------------------------------------------------------
S&P 500 Index/3/ 12.38% 22.76% 29.11% 27.86% 18.76%
- ------------------------------------------------------------------------------
Lehman Gov't./Corp. Bond Index4 -2.28% 2.70% 7.19% 7.76% 8.12%
- ------------------------------------------------------------------------------
Conservative Balanced Portfolio inception date: 5/13/83.
- --------------------------------------------------------------------------------
$10,000 Invested Over Ten Years
1989 1999
------- -------
S&P 500 Index/3/ $10,000 $55,806
Lipper (VIP) Balanced Avg./2/ $10,000 $30,960
Conservative Balanced Portfolio/1/ $10,000 $27,963
Lehman Gov't./Corp. Bond Index/4/ $10,000 $21,838
- --------------------------------------------------------------------------------
The Portfolio may invest in foreign securities. Foreign investments are subject
to the risk of currency fluctuation and the impact of social, political and
economic change.
/1/ Past performance is not predictive of future performance. Portfolio
performance is net of investment fees and fund expenses but not product
charges. Source: Prudential. Six-month returns not annualized.
/2/ The Lipper Variable Insurance Products (VIP) Balanced Average is calculated
by Lipper, Inc., and reflects the investment return of certain portfolios
underlying variable life and annuity products. These returns are net of
investment fees and fund expenses but not product charges.
/3/ The S&P 500 Composite Stock Price Index 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 that 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.
/4/ The Lehman Government/Corporate Bond Index is comprised of government and
corporate bonds. The index is an unmanaged index that 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 index may differ substantially from the
securities in the Portfolio. The Lehman Gov't./Corp. Bond Index is not the
only index that may be used to characterize performance of income funds, and
other indexes may portray different comparative performance.
- --------------------------------------------------------------------------------
- ------------------------
Fixed Income Low Risk
- ------------------------
Balanced
- ------------------------
High Yield Bond
- ------------------------
Diversified Stock
- ------------------------
Specialized High Risk
- ------------------------
Investment Goal
Favorable total return consistent with a more conservatively managed diversified
portfolio.
Types Of Investments
Money market instruments, bonds and common stocks of both established and
smaller companies.
Investment Style
The Portfolio management team holds a baseline allocation of 35% stocks, 65%
debt obligations and money market securities.
Performance Review.
Value stocks move ahead.
Solid stock returns led our performance. Approximately 20% of our stocks are
invested using a value style, which returned to favor in the second quarter of
1999. The sharp rise in these stocks helped support the Portfolio's gains for
the half year. The rest of the stock alloca-tion is invested to mirror the
return of the S&P 500 Index. Their gains continued the exceptional performance
of the S&P 500, well above the historical average return.
Bonds constituted most of the Portfolio's investments. As the U.S. economy
accelerated, interest rates rose and prices of existing bonds declined.
Asset allocation had a mixed impact on the Portfolio. We held about 40% stocks--
about 5% more than our norm. On the other hand, we held about one-third of the
assets in intermediate-term bonds instead of money-market instruments. Although
this strategy has historically added value, it hurt performance so far this
year.
<PAGE>
Strategy Session.
Poised to capitalize with value stocks. Approximately 20% of our equities are
managed using a strategy that emphasizes attractively priced stocks. That value
approach worked quite well as investors became more confident about economic
growth and began to search more broadly for inexpensive opportunities. We found
many among companies with market capitalizations (the total price of a company's
outstanding stock) smaller than those on the S&P 500.
A significant proportion of our value portfolio was invested in these small and
mid-sized companies (more than 40% of the portfolio has a market capitalization
below $3 billion, compared with less than 2% of the S&P 500). Most of the value
stock gains were in process-oriented industries including paper, forest
products, and aluminum. Value stocks had a substantial lead over the S&P 500
Index for the half year.
The remaining portion of the portfolio's stock allocation is invested in a
strategy that attempts to mirror the performance of the S&P 500 Index, which
also had an exceptional rise by historical standards. The performance of this
index-based component is less sensitive to changes in investors' style
preference but typically will lag the average equity fund whenever smaller
stocks outperform their larger counterparts.
Good corporate bond buying opportunity anticipated. Our bond holdings had a
focus on corporate bonds, because the additional yield they commanded over
Treasury bonds was attractive. We benefited when that premium shrank and began
to scale back this focus in April. Because many companies are issuing debt now
to avoid the need to come to the market near the year 2000, we expect the supply
of corporate bonds to be high during the summer and early fall, providing a good
buying opportunity.
Outlook
PORTFOLIO MANAGER
Mark Stumpp
Expensive And Rising?
"We believe that, after an unprecedented stretch of rapidly rising stock prices,
the average stock is quite expensive even if earnings should continue to grow at
moderate rates. Nonetheless, we are not inclined to reduce our allocation to
stocks substantially because it already is at quite conservative levels. We also
intend to continue to hold intermediate-term bonds instead of money market
instruments, because we think the long-term prospects for bonds are better than
those for shorter-maturity instruments."
PORTFOLIO MANAGERS
[PHOTO OF MARK STUMPP APPEARS HERE]
Mark Stumpp
[PHOTO OF WARREN E. SPITZ APPEARS HERE]
Warren E. Spitz
[PHOTO OF JOHN W. MOSCHBERGER APPEARS HERE]
John W. Moschberger
Portfolio Composition
(Long-Term)
as of 6/30/99
-------------
Bonds 57.2%
Stocks 42.8%
- ---------------------------------------------------
Source: Prudential. Holdings are subject to change.
Sector Breakdown - Stock
as of 6/30/99
-------------
Consumer Growth & Staples 22.7%
Technology 18.5%
Financial Services 16.3%
Industrial 16.0%
Consumer Cyclicals 9.9%
Utilities 8.9%
Energy 6.9%
Miscellaneous 0.8%
Sector Breakdown - Bond
as of 6/30/99
-------------
Corporate Bonds 76.2%
U.S. Treasuries 14.0%
Asset-Backed 7.4%
Miscellaneous 2.4%
- ---------------------------------------------------
Source: Prudential. Holdings are subject to change.
<PAGE>
Prudential
Flexible Managed Portfolio
Performance Summary.
The Prudential Series Fund Flexible Managed Portfolio returned 6.55% for the
first half of 1999, between the market's 12.4% gain on U.S. stocks and the 2.28%
loss on the Lehman Government/Corporate Bond Index. This Portfolio outperformed
the average Flexible (VIP) Portfolio tracked by Lipper, Inc., because of its
strong stock returns.
Approximately one-half of our stocks are managed with a focus on shares trading
at attractive values; these beat the S&P 500 Index due to the strong second
quarter for small and mid-sized companies. The value style benefited when
investors interest moved from expensive investments toward more attractively
priced stocks. Unfortunately, bond market participants interpreted signs of a
strengthening economy as an early warning of renewed inflation. These
inflationary concerns caused bond prices to slide over the half year.
- --------------------------------------------------------------------------------
Average Annual Returns Through June 30, 1999
Six One Three Five Ten
Months Year Years Years Years
- ---------------------------------------------------------------------------
Flexible Managed Portfolio/1/ 6.55% 7.19% 14.42% 14.89% 12.56%
- ---------------------------------------------------------------------------
Lipper (VIP) Flexible Avg./2/ 5.89% 9.34% 15.70% 15.96% 13.19%
- ---------------------------------------------------------------------------
S&P 500 Index/3/ 12.38% 22.76% 29.11% 27.86% 18.76%
- ---------------------------------------------------------------------------
Lehman Gov't./Corp. Bond Index/4/ -2.28% 2.70% 7.19% 7.76% 8.12%
- ---------------------------------------------------------------------------
Flexible Managed Portfolio inception date: 5/13/83.
- --------------------------------------------------------------------------------
$10,000 Invested Over Ten Years
[LINE GRAPH APPEARS HERE]
1989 1999
------- -------
S&P 500 Index/3/ $10,000 $55,806
Lipper (VIP) Flexible Avg./2/ $10,000 $35,070
Flexible Managed Portfolio/1/ $10,000 $32,646
Lehman Gov't./Corp. Bond Index/4/ $10,000 $21,838
- --------------------------------------------------------------------------------
The Portfolio may invest in foreign securities. Foreign investments are subject
to the risk of currency fluctuation and the impact of social, political and
economic change.
/1/ Past performance is not predictive of future performance. Portfolio
performance is net of investment fees and fund expenses but not product
charges. Source: Prudential. Six-month returns not annualized.
/2/ The Lipper Variable Insurance Products (VIP) Flexible Average is calculated
by Lipper, Inc., and reflects the investment return of certain portfolios
underlying variable life and annuity products. These returns are net of
investment fees and fund expenses but not product charges.
/3/ The S&P 500 Composite Stock Price Index 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 that 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.
/4/ The Lehman Government/Corporate Bond Index is comprised of government and
corporate bonds. The index is an unmanaged index that 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 index may differ substantially from the
securities in the Portfolio. The Lehman Gov't./Corp. Bond Index is not the
only index that may be used to characterize performance of income funds, and
other indexes may portray different comparative performance.
- --------------------------------------------------------------------------------
- ------------------------
Fixed Income Low Risk
- ------------------------
Balanced
- ------------------------
High Yield Bond
- ------------------------
Diversified Stock
- ------------------------
Specialized High Risk
Investment Goal
High total return consistent with a more aggressively managed diversified
portfolio.
Types of Investments
Money market instruments, bonds and common stocks of both established and
smaller companies.
Investment Style
The Portfolio management team holds a baseline allocation of 60% stocks and 40%
bonds.
Performance Review.
Value stocks move ahead. Solid stock returns led our performance. Approximately
half of our stocks are invested using a value style, which returned to favor in
the second quarter of 1999. The sharp rise in these stocks helped support the
Portfolio's gains for the half year. The rest of the stock allocation is
invested to mirror the return of the S&P 500 Index. Their 12.4% gain continued
the exceptional performance of S&P 500 stocks, well above the historical average
return.
On the other hand, we held our stock exposure below normal as stock prices rose
through most of the half. Our models suggested that stocks were poorer values
than bonds. We ended the quarter with slightly more than 60% invested in stocks.
We held about one-third of the Portfolio's assets in intermediate-term bonds
instead of money market instruments. Although this strategy has historically
added value, it has hurt performance so far this year.
<PAGE>
Strategy Session.
Poised to capitalize with value stocks. Approximately half of our equities are
managed using a strategy that emphasizes attractively priced stocks. That value
approach worked quite well as investors became more confident about economic
growth and began to search more broadly for inexpensive opportunities. We found
many among companies with market capitalizations (the total price of a company's
outstanding stock) smaller than those on the S&P 500.
A significant proportion of our value portfolio was invested in these small and
mid-sized companies (more than 40% of the portfolio has a market capitalization
below $3 billion, compared with less than 2% of the S&P 500). Most of the value
stock gains were in process-oriented industries including paper, forest products
and aluminum. Value stocks had a substantial lead over the S&P 500 Index for the
half year.
The remaining portion of the portfolio's stock allocation is invested in a
strategy that attempts to mirror the performance of the S&P 500 Index, which
also had an exceptional rise by historical standards. The performance of this
index-based component is less sensitive to changes in investors' style
preference but typically will lag the average equity fund whenever smaller
stocks outperform their larger counterparts.
Good corporate bond buying opportunity anticipated. Our bond holdings had a
focus on corporate bonds, because the additional yield they commanded over
Treasury bonds was attractive. We benefited when that premium shrank and began
to scale back this focus in April. Because many companies are issuing debt now
to avoid the need to come to the market near the year 2000, we expect the supply
of corporate bonds to grow rapidly during the summer and early fall, providing a
good buying opportunity.
Outlook
Portfolio Manager
Mark Stumpp
Expensive and rising?
"We believe that, after an unprecedented stretch of rapidly rising stock prices,
the average stock is quite expensive even if earnings should continue to grow at
moderate rates. Nonetheless, we are not inclined to reduce our allocation to
stocks substantially more because we already are below our norm. We also intend
to continue to hold intermediate-term bonds instead of money market instruments
because we think the long-term prospects for bonds are better than those for
shorter-maturity instruments".
PORTFOLIO MANAGERS
[PHOTO OF MARK STUMPP APPEARS HERE]
Mark Stumpp
[PHOTO OF WARREN E. SPITZ APPEARS HERE]
Warren E. Spitz
[PHOTO OF JOHN W. MOSCHBERGER APPEARS HERE]
John W. Moschberger
<TABLE>
<CAPTION>
======================================================
Portfolio Composition
(Long-Term)
<S> <C>
as of 6/30/99
-------------
Stocks 62.4%
Bonds 37.6%
- ------------------------------------------------------
Source: Prudential. Holdings are subject to change.
<CAPTION>
======================================================
Sector Breakdown - Stock
<S> <C>
as of 6/30/99
-------------
Industrial 22.5%
Consumer Growth & Staples 19.3%
Financial Services 17.4%
Consumer Cyclicals 13.2%
Technology 13.0%
Energy 7.5%
Utilities 6.6%
Miscellaneous 0.5%
Sector Breakdown - Bond
as of 6/30/99
-------------
Corporate Bonds 77.2%
U.S. Treasuries 17.4%
Miscellaneous 4.1%
Asset-Backed 1.1%
U.S. Government Agencies 0.2%
- ------------------------------------------------------
Source: Prudential. Holdings are subject to change.
</TABLE>
<PAGE>
Prudential
High Yield Bond Portfolio
Performance Summary.
As the first half of 1999 drew to a close, the Federal Reserve increased the
Federal funds rate (the rate U.S. banks charge each other for overnight loans)
by a quarter of a percentage point, to 5.00%. It raised the key rate to keep the
powerful U.S. economy from overheating. Investors had pushed some bond yields
higher and their prices lower in anticipation of this move by the U.S. central
bank.
Under these challenging market conditions, high-yield bonds (commonly referred
to as "junk bonds") performed better than other U.S. debt markets for the six
months, according to Lehman Brothers indexes. The Prudential Series Fund High
Yield Bond Portfolio benefited from its exposure to certain U.S.
telecommunications firms and its modest exposure to bonds of foreign
corporations. The High Yield Bond Portfolio returned 3.50% for the half year,
beating the 2.95% gain on the average high current yield fund as tracked by
Lipper, Inc.
===============================================================================
Average Annual Returns Through June 30, 1999
Six One Three Five Ten
Months Year Years Years Years
- -------------------------------------------------------------------------------
High Yield Bold Porrtfolio/1/ 3.50% -3.94% 6.92% 8.17% 8.96%
- -------------------------------------------------------------------------------
Lipper (VIP) High Current Yield Avg./2/ 2.95% -1.49% 8.26% 9.15% 9.61%
- -------------------------------------------------------------------------------
Lehman High Yield Bond Index/3/ 2.20% -0.38% 8.11% 9.55% 10.26%
- -------------------------------------------------------------------------------
High Yield Bond Portfolio inception date: 2/23/87.
===============================================================================
[LINE GRAPH APPEARS HERE]
$10,000 Invested Over Ten Years
1989 1999
------- -------
Lehman High Yield Bond Index/3/ $10,000 $26,561
Lipper (VIP) High Current Yield Avg./2/ 10,000 25,223
High Yield Bond Portfolio/1/ 10,000 23,584
- -------------------------------------------------------------------------------
The Portfolio may invest in foreign securities. Foreign investments are subject
to the risk of currency fluctuation and the impact of social, political and
economic change.
1 Past performance is not predictive of future performance. Portfolio
performance is net of investment fees and fund expenses but not product charges.
Source: Prudential. Six-month returns not annualized.
2 The Lipper Variable Insurance Products (VIP) High Current Yield Average is
calculated by Lipper, Inc., and reflects the investment return of certain
portfolios underlying variable life and annuity products. These returns are net
of investment fees and fund expenses but not product charges.
3 The Lehman High Yield Bond Index (LHYI) is comprised of over 700
noninvestment-grade bonds. The LHYI is an unmanaged index that 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 indexes may portray
different comparative performance.
===============================================================================
- -----------------
Fixed Income Low Risk
- -----------------
Balanced
- -----------------
High Yield Bond
- -----------------
Diversified Stock
- -----------------
Specialized High Risk
- -----------------
- -------------------------------------------------------------------------------
Investment Goal
High total return.
Types of Investments
Primarily noninvestment-grade bonds. These bonds have characteristics and are
subject to greater credit and market risk than higher-quality securities.
Investment Style
Concentrates primarily on junk bonds that appear to offer an attractive
combination of high current income and attractive total return.
Performance Review.
Portfolio remained well diversified. Although the robust U.S. economy helped to
ignite the bond market sell-off, we believe that ultimately, continued solid
economic growth is positive for the earnings outlook of companies that issue
high-yield bonds.
Therefore, the Prudential Series Fund High Yield Bond Portfolio's holdings
remained diversified among a wide array of industries such as securities.
Foreign investments are subject industries such as telecommunications, cable,
media and energy.
<PAGE>
Strategy Session.
Inflation fears pressured bond markets. During the first six months of 1999, the
U.S. economy grew at a brisk pace that risked sparking higher inflation, which
could eventually pose a serious threat to the economic expansion. This concern
led the Federal Reserve to increase the Federal funds rate on June 30, 1999, in
order to check U.S. economic growth. Because this change in monetary policy was
widely expected by midspring, investors had repeatedly driven some bond yields
higher and their prices lower, including those of high-yield bonds.
Besides inflation fears, a continued rise in the junk bond default rate also
caused investors to demand higher yields on junk bonds. Nevertheless, high-yield
bonds still performed better than other U.S. debt markets, returning 2.20% for
the six months.
Shifts in asset allocation helped Portfolio returns. Throughout this difficult
period, we adjusted the Portfolio's asset allocation. We decreased its exposure
to health care bonds out of concern that regulatory changes in the United States
might hurt that industry's profitability. By contrast, telecommunications bonds
comprised 18.7% of the Portfolio's total investments at the end of June 1999--
its largest exposure.
Although some telecommunications companies experienced severe financial
difficulties in 1999, the industry generally has solid potential for earnings
growth, and more companies will likely become takeover targets. We owned bonds
of Nextel Communications, Inc., a wireless phone company. Their prices ended the
six months higher, helped by news that software giant Microsoft had invested
$600 million in the company and by expectations that Nextel would increase its
customer base by a larger amount than originally thought during the second
quarter of 1999.
The Portfolio's performance was also enhanced by its modest exposure to emerging
market bonds. We owned bonds of South Korea's Pohang Iron & Steel Co., Ltd.
(Posco) that rallied sharply. Standard & Poor's upgraded Posco's long-term
foreign currency rating to BBB-minus from BB, citing several factors--including
the company's satisfactory financial performance despite a severe economic
recession in South Korea.
Outlook
PORTFOLIO MANAGER
George W. Edwards, CFA
We expect high-yield bonds to perform well on a relative basis.
"We believe high-yield bonds still represent a good investment opportunity for
investors looking to diversify their portfolios with securities that have a low
correlation to trends in other debt and equity markets. If the economic
expansion remains on track and interest rates move neither sharply higher nor
lower, we believe high-yield bonds could continue to be among the
best-performing fixed-income markets in the United States."
[PHOTO OF GEORGE W. EDWARDS APPEARS HERE]
PORTFOLIO MANAGER
George W. Edwards, CFA
===============================================================================
Top Industries
as of 6/30/99
-------------
Telecommunications 18.7%
Cable 8.6%
Energy 6.4%
Broadcasting & Other Media 6.4%
Top Issuers
as of 6/30/99
-------------
Allied Waste Industries 1.3%
Adelphia Communications 1.2%
Intermedia Communications 1.1%
Maxxam Group 1.0%
Waste Systems International 0.9%
- -------------------------------------------------------------------------------
Source: Prudential. Holdings are subject to change.
===============================================================================
Credit Quality
as of 6/30/99
-------------
Baa 1.0%
Ba 8.1%
B 52.1%
Caa 13.3%
Ca 0.6%
Non-rated 13.1%
Equity/Other 8.0%
Cash 3.8%
- -------------------------------------------------------------------------------
Source: Prudential. Holdings are subject to change.
<PAGE>
Stock Index Portfolio
Performance Summary.
In a continuation of the remarkable rise in the S&P 500 Index in recent years,
the Prudential Series Fund Stock Index Portfolio returned 12.09% for the six
months ended June 30, 1999--in line with the 12.38% return for the index.
Investor confidence was fueled by low inflation, a very strong U.S. economy,
signs of recovery in Asia and surprisingly limited fallout in Latin America from
a financial crisis in Brazil.
This period was distinguished by signs of change in market leadership. While
technology issues topped the performance list again, their volatility continued:
were it not for a significant rally in June, they would have been eclipsed by
stocks in a number of sectors that have lagged until recently, including energy
and basic materials.
The Standard & Poor's 500 Index is an unmanaged index. Standard & Poor's neither
sponsors nor endorses the Stock Index Portfolio. Investors cannot directly
invest in any index, including the S&P 500 Index.
===============================================================================
Average Annual Returns Through June 30, 1999
Six One Three Five Ten
Months Year Years Years Years
- -------------------------------------------------------------------------------
Stock Index Portfolio/1/ 12.09% 22.54% 28.70% 27.46% 18.31%
- -------------------------------------------------------------------------------
Lipper (VIP) S&P 500 Index Avg./2/ 12.10% 22.48% 28.66% 27.37% 18.27%
- -------------------------------------------------------------------------------
S&P 500 Index/3/ 12.38% 22.76% 29.11% 27.86% 18.76%
- -------------------------------------------------------------------------------
Stock Index Portfolio inception date: 10/19/87.
===============================================================================
[LINE GRAPH APPEARS HERE]
$10,000 Invested Over Ten Years
1989 1999
------- -------
S&P 500 Index/3/ $10,000 $55,806
Stock Index Portfolio/1/ 10,000 53,720
Lipper (VIP) S&P 500 Index Avg./2/ 10,000 53,559
- -------------------------------------------------------------------------------
/1/ Past performance is not predictive of future performance. Portfolio
performance is net of investment fees and fund expenses but not product charges.
Source: Prudential. Six-month returns not annualized.
/2/ The Lipper Variable Insurance Products (VIP) S&P 500 Index Average is
calculated by Lipper, Inc., and reflects the investment return of certain
portfolios underlying variable life and annuity products. These returns are net
of investment fees and fund expenses but not product charges.
/3/ The S&P 500 Composite Stock Price Index 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 that 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.
[GRAPH APPEARS HERE]
===============================================================================
- -----------------
Fixed Low Risk
- -----------------
Balanced
- -----------------
High Yield Bond
- -----------------
Diversified Stock
- -----------------
Specialized High Risk
- -----------------
- -------------------------------------------------------------------------------
Investment Goal
Seeks results that correspond to the price and yield performance of the S&P 500
Index./3/
Types of Investments
Primarily stocks in the S&P 500 Index.
Investment Style
The Portfolio attempts to hold the same stocks as the S&P 500 Index, in
approximately the same proportions. The Portfolio thus tends to reflect the
general trends of the overall U.S. equity market.
===============================================================================
S&P 500 Index--Total Return
by Sector
YTD 1999
--------
Technology 24.8%
Basic Materials 22.2%
Energy 19.4%
Capital Goods 18.5%
Communication Services 17.1%
Financials 12.8%
Consumer Cyclicals 12.3%
Transportation 11.4%
Utilities 1.2%
Health Care -0.4%
Consumer Staples -2.2%
S&P 500 Index 12.4%
- -------------------------------------------------------------------------------
Source: Standard & Poor's.
<PAGE>
Performance Review.
The Stock Index Portfolio attempts to hold all 500 stocks included in the S&P
500 Index and to duplicate its performance. Portfolio Manager John W.
Moschberger manages the Portfolio by investing funds received while trying to
minimize commissions and transaction costs.
A return to basics. In recent periods basic materials, capital goods, and
energy stocks have done poorly as sectors such as technology and communications
commanded investor attention. The latter issues continued to do well as good
news about inflation and modest action by the Federal Reserve encouraged
investors in Internet and other technology-related stocks late in the period.
This helped technology remain the best-performing sector, gaining nearly 25% in
the period. Communications Services posted a 17% gain, driven up by merger
activity aimed at "bundling" new services with more traditional offerings.
The good economic news, however, was joined by evidence of growing commodities
demand and cuts in oil production. Energy stocks rose 19%, primarily because
OPEC nations announced production cutbacks just as signs appeared of a pickup in
Asian demand.
Basic materials stocks grew 22%, driven by a 29% gain by DuPont, which
represents one-fifth of the entire sector. The sector was helped by a 66% rise
in ALCOA, a dominant aluminum company, and by consolidation and improved
earnings in paper industries. Capital goods stocks moved ahead over 18%,
supported by a healthy 11% gain in industry giant General Electric and boosted
by 40% gains or better in Allied Signal, Honeywell, Corning, and other
companies.
Questioning earlier leaders. Health Care stocks, whose prices increased 44%
last year, lost 0.4% in this period as investors began to reconsider the outlook
for earnings growth at major drug manufacturers. Although the technology sector
as a whole advanced impressively, some earlier stars "fell closer to earth." By
June 30, America Online--whose stock has contributed much of the gain in the S&P
500 in the past year--had dropped by more than a third from its high in April.
PORTFOLIO MANAGER
John W. Moschberger
Managing expectation and diversification.
"Once again, technology stocks provided the best overall returns in the first
half of 1999. While investors have begun to reward a broader spectrum of stocks,
they have apparently not lost their appetite for companies whose ultimate profit
potential remains unknown.
"By maintaining their exposure to all sectors of the large-cap universe,
investors in the Stock Index Portfolio can be less concerned about shifts in
market leadership. Whether the improvement in other sectors spells the beginning
of a significant market change, however, or merely indicates a pause in the
superior performance of technology stocks, it remains clear that share prices
for many stocks continue to outpace earnings expectations. We still believe this
trend cannot continue indefinitely."
[PHOTO OF JOHN W. MOSCHBERGER APPEARS HERE]
PORTFOLIO MANAGER
John W. Moschberger
===============================================================================
S&P 500 Index Composition
as of 6/30/99
-------------
Technology 21.6%
Financials 15.8%
Consumer Staples 12.7%
Health Care 10.7%
Consumer Cyclicals 9.2%
Capital Goods 8.5%
Communication Services 8.4%
Energy 6.0%
Basic Materials 3.3%
Utilities 2.8%
Transportation 1.0%
- -------------------------------------------------------------------------------
Source: Standard & Poor's. Holdings are subject to change.
===============================================================================
Top Ten Holdings
as of 6/30/99
-------------
Microsoft Corp. 4.0%
General Electric Co. 3.2%
IBM 2.0%
Wal-Mart Stores 1.9%
Cisco Systems, Inc. 1.8%
Lucent Technologies, Inc. 1.8%
Intel Corp. 1.7%
Exxon Corp. 1.6%
AT&T Corp. 1.5%
Merck & Co. 1.5%
- -------------------------------------------------------------------------------
Source: Prudential. Holdings are subject to change.
<PAGE>
Prudential
Equity Income Portfolio
Performance Summary.
After a difficult period for all but the largest stocks, and a tough time for
value investors generally, the Prudential Series Fund Equity Income Portfolio
had a very solid 18.27% return in the first half of 1999, beating the Lipper
Average by nearly eight percentage points.
Gains were concentrated in the second quarter as a number of our long-term
holdings rebounded significantly. This reflects our perseverance and stock
selection in a number of sectors, and the increased willingness of investors to
broaden their outlook as economic news turned more favorable.
Average Annual Returns Through June 30, 1999
Six One Three Five Ten
Months Year Years Years Years
- --------------------------------------------------------------------------------
Equity Income Portfolio/1/ 18.27% 5.06% 21.50% 19.09% 15.43%
- --------------------------------------------------------------------------------
Lipper (VIP) Equity Income Avg./2/ 10.75% 15.82% 21.79% 21.49% 15.20%
- --------------------------------------------------------------------------------
S&P 500 Index/3/ 12.38% 22.76% 29.11% 27.86% 18.76%
- --------------------------------------------------------------------------------
Equity Income Portfolio inception date: 2/19/88.
$10,000 Invested Over Ten Years
[LINE GRAPH APPEARS HERE]
1989 1999
------- -------
S&P 500 Index $10,000 $55,806
Equity Income Portfolio $10,000 $41,987
Lipper (VIP) Equity Income Avg. $10,000 $41,277
- --------------------------------------------------------------------------------
The Portfolio may invest in foreign securities. Foreign investments are
subject to the risk of currency fluctuation and the impact of social,
political and economic change.
/1/ Past performance is not predictive of future performance. Portfolio
performance is net of investment fees and fund expenses but not product
charges. Source: Prudential. Six-month returns not annualized.
/2/ The Lipper Variable Insurance Products (VIP) Equity Income Average is
calculated by Lipper, Inc., and reflects the investment return of certain
portfolios underlying variable life and annuity products. These returns and
rankings are net of investment fees and fund expenses but not product
charges.
/3/ The S&P 500 Composite Stock Price Index 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 that 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.
- ---------------------
Fixed Income Low Risk
- ---------------------
Balanced
- ---------------------
High Yield Bond
- ---------------------
Diversified Stock
- ---------------------
Specialized High Risk
- ---------------------
Investment Goal
Current income and capital
appreciation.
Types of Investments
Primarily stocks and convertible securities with prospects for income returns
above those of the S&P 500 Index.3 Investment Style
The Portfolio uses a "value" investment approach to companies that are
attractively priced relative to book value, earnings, discretionary cash flow,
sales and other measures of value.
Investment Style
The portfolio uses a "value" investment approach to companies that are
attractively priced relative to book value, earnings, discretionary cash flow,
sales and other measures of value.
Performance Review.
Good news. Strong economic news in the U.S. and abroad lifted stocks that had
suffered in recent periods. We did best in a number of sectors where we had
maintained our confidence through short-term declines: we outperformed the
market with most of our energy, financial, industrial, retail, housing and
forest products picks.
The strength of industry. From steel mills to packaging
companies, our commitment to industrial-related stocks--which investors had
punished when economic chaos in Asia seemed to threaten earnings--served us
especially well in the period. Standouts include ALCOA (up 67%), and Dow
Chemical (up 42%). Other large investments that beat their sector averages
included PaineWebber, up 22%, and AMR Corp., which gained 15%. While we owned
fewer stocks than some comparable funds did in telecommunications and utilities,
those companies we did own generally performed better than average, in some
cases dramatically so.
<PAGE>
Strategy Session.
REITs rebound. Market participants are coming to reevaluate real estate
investment trusts (REITs), which they had avoided out of fears--in our view
unwarranted--about potential legislation affecting them. In this period, our
real estate stocks gained 12% overall.
Waiting to exhale. Despite gains in many industries, we continue to suffer from
our tobacco companies, whose stocks remain beset by concerns over litigation.
Although Philip Morris recaptured some lost ground late in the period, it lost
23% overall; Nabisco Group declined 32%. We still think both stocks are
underpriced for their substantial non-tobacco holdings, and consider it a matter
of time before markets reflect their value.
Sticking to fundamentals. The Portfolio also suffered from our underweighting in
the technology sector, where we believe investors continued to pay far too much
for Internet businesses with questionable futures. In the current reporting
period, technology stocks rose and fell dramatically, while many stocks that
investors had neglected in times of economic uncertainty rose more steadily. By
maintaining our value investment discipline we hope to realize further gains
from companies with sound earnings prospects that are still bargain priced.
Outlook
PORTFOLIO MANAGER
Warren E. Spitz
Perseverance starts to pay off.
"Value- and growth-style investing have tended to alternate in periods
of superior performance. In April, we saw signs that a five-year pro-growth
environment might be coming to an end. Among S&P 500 stocks over the five years
ending March 31, 1999, growth stocks returned an average of 9.4 percentage
points more a year than value stocks (according to the S&P/-Barra Growth and
Value Indexes). That was a very hostile environment for a value manager. In the
second quarter, those indexes reversed, with value stocks returning 7 percentage
points more than growth. Moreover, the small and mid-sized companies that make
up a sizable part of our Portfolio beneath the top holdings reversed a similar
gap. Although we've had some very strong returns in the past five years, we
achieved them while "fighting a head wind." We look forward to having the wind
at our back. "In the past few years, investors have shunned parts of the market
out of concern about financial and economic health around the world. In the
Portfolio Composition second quarter of 1999, signs emerged that these fears may
have been overblown, and many of the stocks we bought at very favorable prices
started to rise. While some still seem prepared to make huge bets on Internet
stocks, we think more and more market participants will be drawn back to sound
companies that are inexpensively priced by traditional measures. These are the
companies we try to buy and will continue to seek in the future
[PHOTO OF WARREN E. SPITZ APPEARS HERE]
PORTFOLIO MANAGER
Warren E. Spitz
Portfolio Composition
as of 6/30/99
-------------
Industrial 33.6%
Financials 23.7%
Consumer Cyclicals 17.2%
Consumer Growth and Staples 10.4%
Energy 10.3%
Utilities 3.7%
Technology 0.6%
Cash 0.5%
- ------------------------------------------------------
Source: Prudential. Holdings are subject to change.
Top Ten Holdings
as of 6/30/99
-------------
ALCOA, Inc. 5.8%
Dow Chemical Co. 4.5%
Lehman Brothers
Holdings, Inc. 4.4%
Hanson, PLC, ADR (UK) 4.0%
McDermott International, Inc. 3.7%
Equity Residential Properties
Trust 3.2%
AMR Corp. 2.9%
Reynolds Metals Co. 2.9%
PaineWebber Group, Inc. 2.7%
The Limited, Inc. 2.7%
- ------------------------------------------------------
Source: Prudential. Holdings are subject to change.
<PAGE>
Prudential
Equity Portfolio
Performance Summary.
The Prudential Series Fund Equity Portfolio returned 15.47% in the first half of
1999, beating the Lipper (VIP) Growth Fund Average of 12.62% for the period and
the S&P 500 Index of 12.38%.
Investors finally feeling more confident about economic growth, turned away from
overpriced stocks toward value stocks. Although cyclical stocks (companies that
do well in a business expansion), both consumer and industrial, made
particularly substantial contributions to our return, value stocks in many
sectors had excellent returns.
The value advantage showed up mostly in the second quarter, after the global
financial markets digested a Brazilian currency devaluation with barely a
hiccup. This increased investor confidence in the stability of world markets.
Average Annual Returns Through June 30, 1999
Six One Three Five Ten
Months Year Years Years Year
- --------------------------------------------------------------------------------
Equity Portfolio/1/ 15.47% 12.26% 20.24% 20.75% 16.74%
Lipper (VIP) Growth Fund Avg./2/ 12.62% 20.49% 24.12% 24.20% 17.56%
S&P 500 Index/3/ 12.38% 22.76% 29.11% 27.86% 18.76%
- --------------------------------------------------------------------------------
Equity Portfolio inception date: 5/13/83.
$10,000 Invested Over Ten Years
1989 1999
------- -------
S&P 500 Index/3/ $10,000 $55,806
Lipper (VIP) Growth Fund Avg./2/ $10,000 $51,348
Equity Protfolio/1/ $10,000 $47,016
- ----------------------------------------------------------
The Portfolio may invest in foreign securities. Foreign investments are
subject to the risk of currency fluctuation and the impact of social,
political and economic change.
/1/ Past performance is not predictive of future performance. Portfolio
performance is net of investment fees and fund expenses but not product
charges. Source: Prudential. Six-month returns not annualized.
/2/ The Lipper Variable Insurance Products (VIP) Growth Fund Average is
calculated by Lipper, Inc., and reflects the investment return of certain
portfolios underlying variable life and annuity products. These returns are
net of investment fees and fund expenses but not product charges.
/3/ The S&P 500 Composite Stock Price Index 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 that 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.
- ---------------------
Fixed Income Low Risk
- ---------------------
Balanced
- ---------------------
High Yield Bond
- ---------------------
Diversified Stock
- ---------------------
Specialized High Risk
- ---------------------
Investment Goal
Capital appreciation.
Types of Investments
Primarily stocks of major, established companies.
Investment Style
The Portfolio uses a "deep value" investment approach to invest in stocks
believed to be temporarily undervalued relative to the companies' sales,
earnings, book value and cash flow.
Performance Review.
Value stocks move ahead. Industries that traditionally do well in the early
stages of an economic expansion had very good returns as investors became
convinced that the global economy was sound.
Among our retailers, particularly strong contributions came from Tandy and Nine
West, which was acquired by Jones Apparel Group. Among industrials, we had
substantial contributions from ALCOA (up 67%), our paper companies (particularly
Georgia Pacific and Mead) and our energy companies. We had mixed results in our
relatively small technology holdings: Hewlett Packard bounced back from a
lethargic period in which it was undervalued, but Compaq and Seagate both
declined over the half year because of poor earnings. Although our hospital
management companies averaged a negative return, two of our health maintenance
organizations (HMOs), United Healthcare and Foundation Healthcare, had large
gains.
<PAGE>
Strategy Session.
The world is a safer place. We have a large commitment to cyclicals--companies
that do best in an expanding economy. These stocks became quite inexpensive
because we have had several years of economic anxiety, heightened by financial
crises in Asia, Russia, and Brazil. Now, there are signs that Asia's economy has
bottomed, Latin America has survived Brazil's crisis and should benefit from
Asia's recovery, and the U.S. economy continues to grow. Investors are moving to
the cyclicals, which still are bargain priced.
Among industrial cyclicals, paper companies are our largest commitment. Asia
used to be a major importer of forest products, and we expect demand to rebound.
The continued strength of the U.S. market provides a high base line. Moreover,
this industry is restructuring, separating land ownership from processing. These
all bode well for earnings.
Financials also benefit from a growing economy. Our focus on financial
companies, including insurance companies, banks and financial service companies,
is benefiting from the strong stock market, low interest rates, low inflation
and economic growth that is not too fast to continue for a long time.
Outlook
PORTFOLIO MANAGER
Thomas R. Jackson
A shift in the wind.
"Growth and value investing styles tend to perform well in different
environments. Three factors make the greatest difference in which will
perform better, and now all three favor our value investing style:
1. The difference in price between value stocks and growth stocks with
similar earnings. Value stocks have been trailing
for an exceptionally long period and are now as inexpensive, compared with
growth stocks, as at any time in the last quarter century.
2. Interest rates. Falling interest rates favor growth stocks because
capital for expansion is less expensive and because investors are willing to
wait longer to see earnings increase when interest rates are low. Whereas the
Federal Reserve dropped interest rates in 1998 because of the economic
uncertainty, they raised rates in June 1999. This favors value stocks.
3. Corporate profit growth. When profits are uncertain, investors are
willing to pay much more for the few companies with consistent earnings
growth, even if their stocks become quite expensive. This was the
climate in 1998. But because recent earnings reports are very strong
across a wide range of companies, investors have no need to pay as large
a premium for the most popular. This also favors value stocks. The
investing climate has been difficult for value investors, such as
myself, for quite a while, but it appears to be changing. Certainly, our
return for the first half of 1999 looks better. We are looking forward
to the rest of the year".
[PHOTO OF THOMAS R. JACKSON APPEARS HERE]
PORTFOLIO MANAGER
Thomas R. Jackson
Portfolio Composition
as of 6/30/99
-------------
Consumer Growth & Staples 22.4%
Financials 20.3%
Industrial 19.1%
Consumer Cyclicals 12.8%
Technology 8.6%
Energy 5.8%
Utilities 5.7%
Cash 5.3%
- ---------------------------------------------------------------
Source: Prudential. Holdings are subject to change.
Top Ten Holdings
as of 6/30/99
-------------
Tandy Corp. 4.1%
Eastman Kodak Co. 3.0%
Wellpoint Health 2.8%
Elf Aquitaine ADR 2.7%
Darden Restaurants 2.6%
Georgia Pacific Corp. 2.4%
Chubb Corp. 2.3%
Loews Corp. 2.1%
Columbia HCA Healthcare 2.0%
Bank of America Corp. 2.0%
- ----------------------------------------------------------------
Source: Prudential. Holdings are subject to change.
<PAGE>
Prudential
Prudential Jennison Portfolio
Performance Summary.
The Prudential Series Fund Prudential Jennison Portfolio returned 15.27% for the
first half of 1999, a comfortable margin above the Lipper (VIP) Growth Average
of 12.62%.
The advantage came primarily in the first quarter, as investors
continued to focus narrowly on the stocks with strong growth records that we
favor.
Although in April and May investors focused on stocks that had become bargain
priced, in June, after the value inequalities were somewhat eroded, our solid
gains resumed. Our best-performing sectors were technology, financials and
communication services.
Average Annual Returns Through June 30, 1999
Six One Three Since
Months Year Years Inception*
- --------------------------------------------------------------------------------
Prudential Jennison Portfolio/1/ 15.27% 31.22% 30.47% 30.03%
- --------------------------------------------------------------------------------
Lipper (VIP) Growth Avg./2/ 12.62% 20.49% 24.12% 25.23%
- --------------------------------------------------------------------------------
S&P 500 Index/3/ 12.38% 22.76% 29.11% 28.93%
- --------------------------------------------------------------------------------
Prudential Jennison Portfolio inception date: 4/25/95.
$10,000 Invested Since Inception*
[LINE GRAPH APPEARS HERE]
1989 1999
-------- --------
Prudential Jennison Portfolio/1/ $ 10,000 $ 29,972
S&P 500 Index/3/ $ 10,000 $ 28,849
Lipper (VIP) Growth Avg./2/ $ 10,000 $ 25,918
- --------------------------------------------------------------------------------
* Lipper provides data on a monthly basis, so for comparative purposes the
Lipper Average and S&P 500 Index since inception returns reflect the
Portfolio's closest calendar month-end performance of 4/30/95.
/1/ Past performance is not predictive of future performance. Portfolio
performance is net of investment fees and fund expenses but not product
charges. Source: Prudential. Six-month returns not annualized.
/2/ The Lipper Variable Insurance Products (VIP) Growth Average is calculated by
Lipper, Inc., and reflects the investment return of certain portfolios
underlying variable life and annuity products. These returns are net of
investment fees and fund expenses but not product charges.
/3/ The S&P 500 Composite Stock Price Index 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 that 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.
- -------------------
Fixed Income Low Risk
- -------------------
Balanced
- -------------------
High Yield Bond
- -------------------
Diversified Stock
- -------------------
Specialized High Risk
- -------------------
Investment Goal
Long-term growth of capital.
Types of Investments
Primarily common stocks of established companies with above-average growth
prospects.
Investment Style
The Portfolio uses a "growth" investment style to invest in the common stocks of
both mid-sized and large companies.
Performance Review.
Telecoms continue to grow.
Communications services, financial companies and other technology firms led our
returns for the half year. The world is rapidly increasing its use of
communications services as technological improvements, the accelerating pace of
commerce and the need for communication outgrow our old infrastructure. MCI
Worldcom and Vodafone were our best performers.
Financial companies rebounded from last year's concerns about ex-posure to
emerging market turmoil. Our holdings in Citigroup and Charles Schwab made
particularly strong contributions. Other technology firms--Microsoft, Texas
Instruments, Cisco and IBM--were among our winners this half year.
The health-care sector and our holdings in it trailed as uncertainty developed
about future government regulation. McKesson and Eli Lilly had a negative impact
on our return. We sold the former.
<PAGE>
Strategy Session.
The world needs to communicate. About a third of our holdings are in technology
stocks, which we believe are driving the current cycle of economic growth.
Telecommunications and Internet-related stocks are growing particularly well,
including our largest holding, MCI Worldcom, Inc., a long distance and cable
service company.
We also have large commitments to Cisco Systems, Inc. (networking equipment),
Microsoft Corp.,(software) and Texas Instruments, Inc. (semiconductor chips).
CBS Corp., although a media company, also benefited from the Internet craze
because Internet companies have been advertising heavily on radio, television
and billboards.
We recently added Allegiance Telecom, which offers local exchange services to
metropolitan area small and midsized businesses in competition with the regional
Bells and Univision Communications, the largest Spanish-language television
network in the United States.
Our second-largest commitment is to financial firms, which benefit from the
great increase in personal investing and the long economic expansion. Our
financial holdings, have included Chase Manhattan Corp. and Citigroup, Inc.
Outlook
Portfolio Managers
Jim Kannry, Kathleen McCarragher, Spiros Segalas
Market may be led by earnings momentum.
"We feel the historical link between growth and inflation--
rapid economic growth causes shortages and so prices rise--has been severed in
this economic cycle because superb productivity gains have created strong growth
together with overcapacity in many industries. However, the June increase in
interest rates by the Federal Reserve serves to reinforce
a natural slowing of U.S. growth. It encouraged a shift of investor psychology
away from cyclical companies that lack earnings power toward companies with real
earnings growth potential.
"We believe that stock market performance in the second half of 1999 will be led
by companies with earnings momentum. We are pleased with the relationship
between the market prices of our Portfolio and its potential for superior
earnings results".
[PHOTO OF JIM KANNRY APPEARS HERE]
Jim Kannry
[PHOTO OF KATHLEEN MCCARRAGHER APPEARS HERE]
Kathleen McCarragher
[PHOTO OF SPIROS SEGELAS]
Spiros Segalas
- --------------------------------------------------------------------------------
Portfolio Composition
as of 6/30/99
-------------
Technology 34.6%
Financial Services 16.1%
Health Care 10.7%
Consumer Staples 10.5%
Consumer Cyclicals 10.3%
Communication Services 9.1%
Capital Goods 4.7%
Cash 4.0%
- --------------------------------------------------------------------------------
Source: Prudential. Holdings are subject to change.
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Top Ten Holdings
as of 6/30/99
-------------
MCI Worldcom, Inc. 4.2%
Cisco Systems, Inc. 3.9%
Microsoft Corp. 3.8%
Chase Manhattan Corp. 3.7%
Texas Instruments, Inc. 3.4%
Citigroup, Inc. 3.3%
CBS Corp. 3.2%
International Business
Machine Corp. 3.1%
General Electric Co. 3.0%
The Home Depot, Inc. 2.6%
- --------------------------------------------------------------------------------
Source: Prudential. Holdings are subject to change.
<PAGE>
Prudential
Small Capitalization Stock Portfolio
Performance Summary.
The first half of 1999 witnessed a reversal of fortune for smaller-company
stocks. As represented by the S&P SmallCap 600 Index, the market in the first
quarter had a negative return, but then rebounded sharply in the second quarter
to post large gains.
The Prudential Series Fund Small Capitalization Stock Portfolio, after being
down 8.74% in the first quarter, was up 15.13% in the second. Overall for the
half year, the Portfolio was up 5.19%, almost matching the benchmark S&P
SmallCap 600 Index's 5.04%.
The Standard & Poor's SmallCapitalization 600 Index is an unmanaged index.
Standard & Poor's neither sponsors nor endorses the Small Capitalization Stock
Portfolio. Investors cannot invest directly in any index, including the S&P
SmallCap 600 Index.
- --------------------------------------------------------------------------------
Average Annual Returns Through June 30, 1999
Six One Three Since
Months Year Years Inception*
Small Capitalization Stock Portfolio /1/ 5.19% -1.39% 12.39% 16.26%
- --------------------------------------------------------------------------------
Lipper (VIP) Small Cap. Avg. /2/ 9.90% 4.60% 11.56% 16.79%
- --------------------------------------------------------------------------------
S&P SmallCap 600 Index /3/ 5.04% -2.30% 12.40% 16.89%
- --------------------------------------------------------------------------------
Small Capitalization Stock Portfolio inception date: 4/25/95.
- --------------------------------------------------------------------------------
$10,000 Invested Since Inception*
1995 1999
-------- --------
Lipper (VIP) Small Cap Avg /2/ $ 10,000 $ 19,731
S&P SmallCap 600 Index /3/ $ 10,000 $ 19,171
Small Capitalization Stock Portfolio /1/ $ 10,000 $ 18,739
- --------------------------------------------------------------------------------
* Lipper provides data on a monthly basis, so for comparative purposes the
Lipper Average and the S&P SmallCap 600 Index since inception returns reflect
the Portfolio's closest calendar month-end performance of 4/30/95. Small
Capitalization Stock Portfolio inception date: 4/25/95.
/1/Past performance is not predictive of future performance. Portfolio
performance is net of investment fees and fund expenses but not product charges.
Source: Prudential. Six-month returns not annualized.
/2/The Lipper Variable Insurance Products (VIP) Small Cap Average is calculated
by Lipper, Inc., and reflects the investment return of certain portfolios
underlying variable life and annuity products. These returns are net of
investment fees and fund expenses but not product charges.
/3/The S&P Small Capitalization 600 Index is a capital-weighted index
representing the aggregate market value of the common equity of 600 small-
company stocks. The S&P SmallCap 600 Index is an unmanaged index that 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 SmallCap 600 Index is not the only index that may be used to
characterize performance of this Portfolio, and other indexes may portray
different comparative performance.
- --------------------------------------------------------------------------------
Fixed Income Low Risk
- -----------------------
Balanced
- -----------------------
High Yield Bond
- -----------------------
Diversified Stock
- -----------------------
Specialized High Risk
- -----------------------
- --------------------------------------------------------------------------------
Investment Goal
Seeks long-term growth of capital that corresponds to the price and yield
performance of the S&P SmallCap 600 Index.3
Types of Investments
Primarily stocks of the S&P SmallCap 600 Index.
Investment Style
The Portfolio attempts to hold stocks comprising the S&P SmallCap 600 Index in
approximately the same proportions. The S&P SmallCap 600 Index contains stocks
of small companies with market capitalizations generally less than $1.2 billion.
- --------------------------------------------------------------------------------
S&P SmallCap 600 Index--Total
Return by Sector
YTD 1999
--------
Energy 34.1%
Transportation 15.1%
Capital Goods 12.5%
Technology 7.8%
Basic Materials 5.3%
Financials 4.4%
Utilities 1.4%
Consumer Cyclicals 0.6%
Health Care -0.7%
Consumer Staples -3.4%
Communication Services -14.5%
S&P SmallCap 600 Index 5.0% Source:
- --------------------------------------------------------------------------------
Standard & Poor's.
<PAGE>
Performance Review.
The Small Capitalization Stock Portfolio attempts to hold the 600 stocks
included in the S&P SmallCap 600 Index and to duplicate its performance. These
are stocks of companies with an average market value of over $1 billion.
Such stocks are more volatile than the shares of large, more-established
companies. Portfolio manager Wai C. Chiang manages the Portfolio by investing
funds received while trying to minimize commission and transaction costs.
Regaining lost ground. The second quarter of 1999 showed signs of a broad
rebound for small-cap stocks: they gained more than twice as much as large-cap
stocks, with strongly positive returns in every sector. Poor performance in the
first quarter, however, held back small caps for the period as a whole.
Energy stands out. In the first half of 1999, small-cap energy stocks did
particularly well, advancing 34%. The oil producing and exporting nations (OPEC)
announced cutbacks just as signs of increased demand began to surface in Asia.
This prompted a sudden change of heart in investors, who for some time had
punished many small-cap energy stocks because of both their sector and size. The
rebound in the sector was accordingly magnified for smaller stocks, whose prices
had been doubly depressed.
Other sectors gain too. Small caps benefited in other long-suffering sectors,
with transportation and capital goods up 15% and 12% for the half year,
respectively. Small-cap technology stocks rose a very healthy 8%. For basic
materials, financial and consumer cyclical stocks, striking returns in the
second quarter translated into modest gains for the whole semiannual period
ended June 30.
A long way back. Double-digit improvement in the second quarter could not bring
health care, utilities or consumer staples stocks into positive territory for
the period as a whole. The worst-performing sector, communications services,
regained much lost ground in the second quarter but remained down more than 14%
for the half year--a sign of how far down these stocks had been pushed in the
first quarter.
Outlook
Portfolio Manager
Wai C. Chiang
Recognizing economic health and investment value.
"After being pummeled in the long wake of the financial crisis
in Asia, most smaller stocks remain cheap, by certain financial measures,
relative to the big stocks that are in many cases household names. If investors
continue to recognize an overall improvement in the health of the global
economy, we would look for the second quarter's favorable gains in small-cap
stocks to continue".
[PHOTO OF WAI C. CHIANG APPEARS HERE]
Portfolio Manager
Wai C. Chiang
- --------------------------------------------------------------------------------
S&P SmallCap 600 Index Composition
as of 6/30/99
-------------
Consumer Cyclicals 20.7%
Technology 17.9%
Financials 14.9%
Capital Goods 12.5%
Consumer Staples 9.6%
Health Care 9.1%
Utilities 4.5%
Basic Materials 4.3%
Energy 3.3%
Transportation 2.7%
Communication Services 0.5%
- --------------------------------------------------------------------------------
Source: Standard & Poor's. Holdings are subject to change.
- --------------------------------------------------------------------------------
Top Ten Holdings
as of 6/30/99
-------------
Novellus Systems, Inc. 0.7%
First Merit Corp. 0.7%
American Bankers Ins. Group 0.6%
Legg Mason, Inc. 0.6%
Valassis Communications, Inc. 0.6%
Express Scripts, Inc. 0.5%
Gentex Corp. 0.5%
Acxiom Corp. 0.5%
Williams-Sonoma, Inc. 0.5%
US Trust Corp. 0.5%
- --------------------------------------------------------------------------------
Source: Prudential. Holdings are subject to change.
<PAGE>
Prudential
Global Portfolio
Performance Summary.
A Brazilian currency devaluation hung over the global markets early in 1999,
dampening investors' enthusiasm. Global stocks, generally, including this
Portfolio, got off to a sluggish start, but both accelerated as it became clear
that the impact of Brazil's crisis would be localized. The Prudential Series
Fund Global Portfolio returned a strong 9.74% over the first six months, 7.44%
in the second quarter alone.
Although we trailed the Lipper (VIP) Global Average for the half year, we were
ahead of the MSCI World Index (a commonly used unmanaged benchmark of stocks).
Over the past 12 months we performed in line with the MSCI Index and almost
three percentage points ahead of the Lipper (VIP) Global Average.
The Portfolio may invest in foreign securities. Foreign investments are subject
to the risks of currency fluctuation, political and social risks and
illiquidity.
- --------------------------------------------------------------------------------
Average Annual Returns Through June 30, 1999
Six One Three Five Ten
Months Year Years Years Years
- --------------------------------------------------------------------------------
Global Portfolio /1/ 9.74% 15.02% 16.82% 15.05% 11.41%
- --------------------------------------------------------------------------------
Lipper (VIP) Global Avg. /2/ 11.47% 12.26% 15.07% 14.84% 11.28%
- --------------------------------------------------------------------------------
Morgan Stanley World Index /3/ 8.51% 15.67% 18.29% 16.75% 11.48%
- --------------------------------------------------------------------------------
Global Portfolio inception date: 9/19/88.
- --------------------------------------------------------------------------------
$10,000 Invested Over Ten Years
1989 1999
-------- --------
Morgan Stanley World Index /3/ $ 10,000 $ 29,641
Lipper (VIP) Global Avg /2/ $ 10,000 $ 29,496
Global Portfolio /1/ $ 10,000 $ 29,459
- --------------------------------------------------------------------------------
/1/Past performance is not predictive of future performance. Portfolio
performance is net of investment fees and fund expenses but not product charges.
Source: Prudential. Six-month returns not annualized.
/2/The Lipper Variable Insurance Products (VIP) Global Average is calculated by
Lipper, Inc., and reflects the investment return of certain portfolios
underlying variable life and annuity products. These returns are net of
investment fees and fund expenses but not product charges.
/3/The Morgan Stanley World Index is a weighted index comprised of approximately
1,500 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 that 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.
- --------------------------------------------------------------------------------
Fixed Income Low Risk
- -----------------------
Balanced
- -----------------------
High Yield Bond
- -----------------------
Diversified Stock
- -----------------------
Specialized High Risk
- -----------------------
- --------------------------------------------------------------------------------
Investment Goal
Long-term growth of capital.
Types of Investments
Primarily common stock and common stock equivalents of U.S. and foreign
corporations.
Investment Style
The Portfolio uses a "growth" investment approach, coupled with a theme-oriented
view of the markets, to identify companies that seem best positioned to take
advantage of global changes.
Performance Review.
In Japan, excellent stock selection. The pace of the Japanese recovery surprised
us. Although we were slightly below our benchmark weighting, all but one of our
Japanese stocks had returns well above the high Japan average. Our Japanese
stocks have done very well, but we would have benefited had we held more of
them.
Telecommunications are a global growth industry. In addition to the Japanese
stocks, we had strong gains on the Finnish firm Nokia, which is the global
leader in mobile phone equipment, and the U.K. firm Vodafone.
Our financials were weak. Our European consumer banks, including Unicredito
Italiano and Bank of Ireland, had relatively poor performance. Confidence had
not yet returned to the European markets and these banks suffered from the
reduced interest in investing.
<PAGE>
Strategy Session.
Japan may be awakening. The pace of economic activity in the Pacific is
quickening. In Japan, we are now seeing increasing signs of corporate
restructuring, consumers becoming less pessimistic and Internet-related
commerce. We increased our holdings of companies that should benefit from the
Pacific recovery by adding Singapore Air, Qantas (the Australian airline) and
Broken Hill Proprietary (a mining and mineral commodities company). We have been
cautious in increasing our exposure in the Pacific, but we are looking for
investment opportunities.
We're out of drugs, for now. We were underweighted in the poor-performing health
and personal care companies compared with our benchmark. We did own shares of
Glaxo Wellcome and Pfizer, which had a negative impact on our performance. We
sold both, and continue to be cautious, because we believe they are undermined
by uncertainties about government regulation of drug prices. With the prospect
that an even larger share of global drug consumption will be paid for by
governments, the future of drug companies will not be clear until the pricing
system is settled.
We continue to favor sectors with long-term growth. The long-term prospects of
growth companies are still very good--particularly the telecommunications,
outsourcing, consumer banks and technology companies we have favored. Our
holdings include Mannesmann, a German company that has moved strongly into
telecommunications. Its return for the period reflected that strength.
We also did well with Hays, which we bought as a paradigm of our outsourcing
theme. It offers an array of business services in the U.K. and on the European
continent, including the delivery of industrial products and the provision of
both permanent and temporary technical staff.
The U.S. technology firms PMC-Sierra and Texas Instruments each had very large
gains for the half year. We took some profits on each, but they are still among
our largest holdings. Solectron, the largest contract manufacturer for the
electronics industry, also was a strong performer for us.
Portfolio Managers
Daniel J. Duane, Ingrid Holm, Michelle Picker
Long-term U.S. growth prospects look solid.
"After several years of superior performance, some growth stocks had become too
expensive, but 1999's reversal between cyclical and growth stocks may now create
good buying opportunities. We are trimming our exposure to the very largest U.S.
companies in favor of slightly smaller companies with more room for earnings
growth and more reasonable share prices. The long-term prospects of U.S. growth
companies are still very good, particularly the telecommunications, outsourcing
and technology companies we have favored".
Outlook
Portfolio Managers
[PHOTO OF DANIEL J. DUANE APPEARS HERE]
Daniel J. Duane
[PHOTO OF INGRID HOLM APPEARS HERE]
Ingrid Holm
[PHOTO OF MICHELLE PICKER APPEARS HERE]
Michelle Picker
- --------------------------------------------------------------------------------
Geographic Allocation
as of 6/30/99
-------------
United States 41.5%
Continental Europe 25.9%
United Kingdom 9.8%
Japan 8.8%
Cash 7.1%
Australia 5.8%
Pacific Basin 1.1%
- --------------------------------------------------------------------------------
Source: Prudential. Holdings are subject to change.
- --------------------------------------------------------------------------------
Top Ten Holdings
as of 6/30/99
-------------
Time Warner, Inc. 3.0%
PMC-Sierra, Inc. 2.9%
Vodafone AirTouch PLC 2.7%
Nokia Corp. 2.5%
Solectron Corp. 2.4%
Texas Instruments, Inc. 2.2%
Hennes & Mauritz 2.1%
Microsoft Corp. 2.1%
Qantas Airways Ltd. 2.0%
MCI Worldcom, Inc. 1.9%
- --------------------------------------------------------------------------------
Source: Prudential. Holdings are subject to change.
<PAGE>
Prudential
Natural Resources Portfolio
Performance Summary.
Reflecting rising demand for a wide range of commodities, natural resources
stocks rose strongly in the second quarter. A leader in its category, the
Prudential Series Fund Natural Resources Portfolio returned 24.94% for the
quarter-- bringing its half-year return to 33.25%. Our five largest holdings had
gains between 18% and 88% in the half year.
Uncertainty about Russian platinum deliveries produced extraordinary gains in
non-Russian suppliers. We had substantial holdings in the two largest. We also
have a large commitment to energy companies, and OPEC's announcement of
production cutbacks gave a strong boost to these stocks. The suggestions of
increased consumption in the Pacific provided a framework for longer-term price
increases for energy and many other commodities.
Sector investing carries higher risks than investing in a broadly diversified
portfolio.
- --------------------------------------------------------------------------------
Average Annual Returns Through June 30, 1999
Six One Three Five Ten
Months Year Years Years Years
- --------------------------------------------------------------------------------
Natural Resources Portfolio /1/ 33.25% 16.07% 2.28% 9.75% 9.69%
- --------------------------------------------------------------------------------
Lipper (VIP) Nat. Res. Avg. /2/ 21.49% 4.45% -1.65% 3.05% 4.33%
- --------------------------------------------------------------------------------
S&P 500 Index /3/ 12.38% 22.76% 29.11% 27.86% 18.76%
- --------------------------------------------------------------------------------
Natural Resources Portfolio inception date: 5/1/88.
- --------------------------------------------------------------------------------
$10,000 Invested Over Ten Years
1989 1999
-------- --------
S&P 500 Index /3/ $ 10,000 $ 55,806
Natural Resources Portfolio /1/ $ 10,000 $ 25,217
Lipper (VIP) Nat.Res.Avg /2/ $ 10,000 $ 16,216
- --------------------------------------------------------------------------------
The Portfolio may invest in foreign securities. Foreign investments are subject
to the risk of currency fluctuation and the impact of social, political and
economic change.
/1/Past performance is not predictive of future performance. Portfolio
performance is net of investment fees and fund expenses but not product charges.
Source: Prudential. Six-month returns not annualized.
/2/The Lipper Variable Insurance Products (VIP) Natural Resources Average is
calculated by Lipper, Inc., and reflects the investment return of certain
portfolios underlying variable life and annuity products. These returns are net
of investment fees and fund expenses but not product charges.
/3/The S&P 500 Composite Stock Price Index 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 that 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.
- --------------------------------------------------------------------------------
Fixed Income Low Risk
- -----------------------
Balanced
- -----------------------
High Yield Bond
- -----------------------
Diversified Stock
- -----------------------
Specialized High Risk
- -----------------------
- --------------------------------------------------------------------------------
Investment Goal
Long-term growth of capital.
Types of Investments
Primarily stocks of companies that operate within, or do business with, the
natural resources sector of the economy.
Investment Style
The Portfolio uses a "contrarian" investment approach to invest in out-of-favor
sectors of natural resource markets throughout the world. It hopes to capture
growth from companies that discover and develop new natural resources.
Performance Review.
Strong movements in metals and energy. Our platinum and palladium stocks
continued to lead our performance, with two of our largest holdings, Impala and
Anglo American Platinum, returning 88% and 73%, respectively.
In a shift from recent quarters, however, they were joined by outstanding gains
in energy-related stocks: our oil service companies were up 40%, our exploration
and production companies gained 33% and our natural gas stocks rose 30%.
Our forest products companies did very well, too--up 39%--as demand increased
and consolidation picked up in the paper industry.
<PAGE>
Strategy Session.
A broad market rise. The 1990s saw a tremendous increase of commodity
supply from two sources: Russia--which sold a range of commodities after the
collapse of the Soviet Union in 1989, and nations across Asia--which dumped
commodities during the economic crisis there in 1997 and 1998.
World appetites have grown to absorb the new supply, however. Now Asia and Latin
America appear poised for increases in demand as well, creating the potential
for a dramatic change in the supply/demand balance.
Positioned for balanced growth. We are increasing our energy holdings,
particularly of natural gas and oil service companies. We moved some money into
the sector from our forest products holdings this year: while paper and pulp
companies helped our return in this reporting period, gaining an average of 10%,
we see greater near-term opportunities from energy stocks.
We also think there is considerable room for further growth in platinum and
palladium stocks. To help maintain balance in the portfolio, however, we took
some profits on Impala, which had expanded to over 7% of holdings.
New supplies of gold. Gold stocks continued to detract from performance, mostly
because central banks in Europe unexpectedly announced further sales from their
reserves. The increased amount of gold on the market further suppressed the
metal's price--driving down whatever profits were left in the gold mining
industry.
We reduced our holdings of gold stocks considerably in this period and were able
to take significant profits from several gold companies that we sold after
shares rose on news of corporate mergers.
Outlook
Portfolio Manager
Leigh R. Goehring
A potentially massive shift in commodities markets.
"The collapse of the Soviet Union and the massive downturn in Asia combined to
suppress commodities prices in historic proportions. The gains of the past six
months could signal a major turnaround as supply and demand come closer to
balance, resulting in higher prices across the board. We look for gains to
continue for a variety of resources as incipient economic recoveries in Asia and
Latin America join the sustained strength of the United States in pushing demand
higher".
[PHOTO OF LEIGH R. GOEHRING APPEARS HERE]
Portfolio Manager
Leigh R. Goehring
- --------------------------------------------------------------------------------
Portfolio Composition
as of 6/30/99
-------------
Precious Metals 38.4%
Energy 33.2%
Forest Products 10.3%
Miscellaneous 10.0%
Base Metals 4.6%
Other Diversified Resources 2.2%
Cash 1.3%
- --------------------------------------------------------------------------------
Source: Prudential. Holdings are subject to change.
- --------------------------------------------------------------------------------
Top Ten Holdings
as of 6/30/99
-------------
Stillwater Mining Co. 10.8%
Impala Platinum Holdings, Ltd. 7.4%
Anglo American Platinum, Ltd. 5.1%
Newmont Mining Corp. 4.2%
Alberta Energy Co., Ltd. 4.2%
Newfield Exploration Co. 4.0%
Smith International, Inc. 3.9%
Western Gas Resources, Inc. 3.6%
Boise Cascade Corp. 3.5%
BJ Services Co. 3.0%
- --------------------------------------------------------------------------------
Source: Prudential. Holdings are subject to change.
<PAGE>
FINANCIAL STATEMENTS OF
THE PRUDENTIAL SERIES FUND, INC.
MONEY MARKET PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
(UNAUDITED)
June 30, 1999
ASSETS
Investments (amortized cost
$1,192,361,962).......................... $1,192,361,962
Cash....................................... 77,795
Interest receivable........................ 3,869,226
Receivable for capital stock sold.......... 304,591
--------------
Total Assets............................. 1,196,613,574
--------------
LIABILITIES
Payable for capital stock repurchased...... 2,545,412
Payable to investment adviser.............. 978,533
Accrued expenses........................... 94,514
--------------
Total Liabilities........................ 3,618,459
--------------
NET ASSETS................................... $1,192,995,115
==============
Net assets were comprised of:
Common stock, at $0.01 par value......... $ 1,192,995
Paid-in capital, in excess of par........ 1,191,802,120
--------------
Net assets, June 30, 1999.................. $1,192,995,115
==============
Net asset value and redemption price per
share, 119,299,512 outstanding shares of
common stock (authorized 170,000,000
shares).................................. $ 10.00
==============
STATEMENT OF OPERATIONS
(UNAUDITED)
Six Months Ended June 30, 1999
INVESTMENT INCOME
Interest................................... $ 23,801,082
--------------
EXPENSES
Investment advisory fee.................... 1,872,426
Shareholders' reports...................... 51,000
Accounting fees............................ 38,000
Custodian expense.......................... 16,000
Audit fees and expenses.................... 5,000
Transfer agent's fees and expenses......... 3,500
Legal fees................................. 1,000
Directors' fees............................ 1,500
Miscellaneous expenses..................... 1,114
--------------
Total expenses........................... 1,989,540
Less: custodian fee credit................. (6,405)
--------------
Net expenses............................. 1,983,135
--------------
NET INVESTMENT INCOME...................... 21,817,947
--------------
NET REALIZED GAIN ON INVESTMENTS............. 11,562
--------------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS................................... $ 21,829,509
==============
<TABLE>
<CAPTION>
STATEMENTS OF CHANGES IN NET ASSETS
(UNAUDITED)
SIX MONTHS ENDED YEAR ENDED
JUNE 30, 1999 DECEMBER 31, 1998
------------------ -------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income.................................................................. $ 21,817,947 $ 42,343,388
Net realized gain on investments....................................................... 11,562 16,489
------------------ -------------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS................................... 21,829,509 42,359,877
------------------ -------------------
DIVIDENDS AND DISTRIBUTIONS:
Dividends from net investment income................................................... (21,817,947) (42,343,388)
Distributions from net realized capital gains.......................................... (11,562) (16,489)
------------------ -------------------
TOTAL DIVIDENDS AND DISTRIBUTIONS...................................................... (21,829,509) (42,359,877)
------------------ -------------------
CAPITAL STOCK TRANSACTIONS:
Capital stock sold [72,605,793 and 76,618,636 shares, respectively].................... 726,057,931 766,186,419
Capital stock issued in reinvestment of dividends and distributions [2,177,730 and
4,235,993 shares, respectively]....................................................... 21,777,304 42,359,877
Capital stock repurchased [(47,503,211) and (54,581,645) shares, respectively]......... (475,032,108) (545,816,448)
------------------ -------------------
NET INCREASE IN NET ASSETS RESULTING FROM CAPITAL STOCK TRANSACTIONS................... 272,803,127 262,729,848
------------------ -------------------
TOTAL INCREASE IN NET ASSETS............................................................. 272,803,127 262,729,848
NET ASSETS:
Beginning of period.................................................................... 920,191,988 657,462,140
------------------ -------------------
End of period.......................................................................... $ 1,192,995,115 $ 920,191,988
================== ===================
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
A1
<PAGE>
FINANCIAL STATEMENTS OF
THE PRUDENTIAL SERIES FUND, INC.
DIVERSIFIED BOND PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
(UNAUDITED)
June 30, 1999
ASSETS
Investments, at value (cost:
$1,271,896,943).......................... $1,244,599,784
Cash....................................... 22,392
Receivable for investments sold............ 19,267,742
Interest receivable........................ 18,239,272
Receivable for capital stock sold.......... 1,231,884
--------------
Total Assets............................. 1,283,361,074
--------------
LIABILITIES
Payable for investments purchased.......... 38,845,679
Payable to investment adviser.............. 1,219,062
Accrued expenses and other liabilities..... 103,767
Due to broker -- variation margin.......... 74,531
Payable for capital stock repurchased...... 484,505
--------------
Total Liabilities........................ 40,727,544
--------------
NET ASSETS................................... $1,242,633,530
==============
Net assets were comprised of:
Common stock, at $0.01 par value......... $ 1,145,658
Paid-in capital, in excess of par........ 1,249,092,217
--------------
1,250,237,875
Undistributed net investment income........ 36,259,340
Accumulated net realized loss on
investments.............................. (15,753,635)
Net unrealized depreciation on
investments.............................. (28,110,050)
--------------
Net assets, June 30, 1999.................. $1,242,633,530
==============
Net asset value and redemption price per
share, 114,565,789 outstanding shares of
common stock (authorized 170,000,000
shares).................................. $ 10.85
==============
STATEMENT OF OPERATIONS
(UNAUDITED)
Six Months Ended June 30, 1999
INVESTMENT INCOME
Interest................................... $ 38,736,021
--------------
EXPENSES
Investment advisory fee.................... 2,356,444
Shareholders' reports...................... 63,000
Accounting fees............................ 38,000
Custodian expense.......................... 32,000
Audit fees and expenses.................... 6,000
Transfer agent's fees and expenses......... 4,000
Directors' fees............................ 1,500
Legal fees................................. 1,000
Miscellaneous expenses..................... 2,234
--------------
Total expenses........................... 2,504,178
Less: custodian fee credit................. (27,497)
--------------
Net expenses............................. 2,476,681
--------------
NET INVESTMENT INCOME........................ 36,259,340
--------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS
Net realized gain (loss) on:
Investments.............................. (15,060,936)
Futures.................................. 1,282,883
--------------
(13,778,053)
--------------
Net change in unrealized depreciation on:
Investments.............................. (41,718,270)
Futures.................................. (812,890)
--------------
(42,531,160)
--------------
NET LOSS ON INVESTMENTS...................... (56,309,213)
--------------
NET DECREASE IN NET ASSETS RESULTING FROM
OPERATIONS................................... $ (20,049,873)
==============
<TABLE>
<CAPTION>
STATEMENTS OF CHANGES IN NET ASSETS
(UNAUDITED)
SIX MONTHS ENDED YEAR ENDED
JUNE 30, 1999 DECEMBER 31, 1998
------------------ -------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income.................................................................. $ 36,259,340 $ 60,710,670
Net realized gain (loss) on investments................................................ (13,778,053) 1,484,118
Net change in unrealized appreciation (depreciation) on investments.................... (42,531,160) 2,237,978
------------------ -------------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS........................ (20,049,873) 64,432,766
------------------ -------------------
DIVIDENDS AND DISTRIBUTIONS
Dividends from net investment income................................................... -- (60,939,829)
Distributions from net realized capital gains.......................................... (3,302,269) (3,466,261)
------------------ -------------------
TOTAL DIVIDENDS AND DISTRIBUTIONS...................................................... (3,302,269) (64,406,090)
------------------ -------------------
CAPITAL STOCK TRANSACTIONS:
Capital stock sold [19,458,708 and 29,994,210 shares, respectively].................... 213,869,979 334,707,738
Capital stock issued in reinvestment of dividends and distributions 298,578 and
5,809,428 shares, respectively]....................................................... 3,302,269 64,406,090
Capital stock repurchased [(6,732,821) and (8,361,173) shares, respectively]........... (73,760,279) (93,273,532)
------------------ -------------------
NET INCREASE IN NET ASSETS RESULTING FROM CAPITAL STOCK TRANSACTIONS................... 143,411,969 305,840,296
------------------ -------------------
TOTAL INCREASE IN NET ASSETS............................................................. 120,059,827 305,866,972
NET ASSETS:
Beginning of period.................................................................... 1,122,573,703 816,706,731
------------------ -------------------
End of period(a)....................................................................... $ 1,242,633,530 $ 1,122,573,703
================== ===================
(a) Includes undistributed net investment income of:................................... $ 36,259,340 $ --
------------------ -------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
A2
<PAGE>
FINANCIAL STATEMENTS OF
THE PRUDENTIAL SERIES FUND, INC.
GOVERNMENT INCOME PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
(UNAUDITED)
June 30, 1999
ASSETS
Investments, at value (cost:
$415,178,066)............................ $ 409,717,011
Cash....................................... 861
Interest receivable........................ 5,306,569
Receivable for capital stock sold.......... 4,292
Receivable for securities lending, net..... 54
--------------
Total Assets............................. 415,028,787
--------------
LIABILITIES
Payable for investments purchased.......... 29,932,559
Payable for capital stock repurchased...... 462,009
Payable to investment adviser.............. 399,185
Accrued expenses........................... 62,465
Due to broker -- variation margin.......... 33,125
--------------
Total Liabilities........................ 30,889,343
--------------
NET ASSETS................................... $ 384,139,444
==============
Net assets were comprised of:
Common stock, at $0.01 par value......... $ 332,196
Paid-in capital, in excess of par........ 375,958,644
--------------
376,290,840
Undistributed net investment income........ 11,485,320
Accumulated net realized gain on
investments.............................. 2,018,246
Net unrealized depreciation on
investments.............................. (5,654,962)
--------------
Net assets, June 30, 1999.................. $ 384,139,444
==============
Net asset value and redemption price per
share, 33,219,641 outstanding shares of
common stock (authorized 65,000,000
shares).................................. $ 11.56
==============
STATEMENT OF OPERATIONS
(UNAUDITED)
Six Months Ended June 30, 1999
INVESTMENT INCOME
Interest................................... $ 12,391,232
Income from securities loaned, net......... 3,347
--------------
12,394,579
--------------
EXPENSES
Investment advisory fee.................... 822,802
Accounting fees............................ 38,000
Shareholders' reports...................... 25,000
Custodian expense.......................... 17,000
Audit fees and expenses.................... 3,000
Transfer agent's fees and expenses......... 2,600
Directors' fees............................ 1,500
Legal fees................................. 500
Miscellaneous expenses..................... 455
--------------
Total expenses........................... 910,857
Less: custodian fee credit................. (1,598)
--------------
Net expenses............................. 909,259
--------------
NET INVESTMENT INCOME........................ 11,485,320
--------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS
Net realized gain on:
Investments.............................. 1,745,103
Futures.................................. 330,664
--------------
2,075,767
--------------
Net change in unrealized appreciation
(depreciation) on:
Investments.............................. (24,050,221)
Futures.................................. (193,907)
--------------
(24,244,128)
--------------
NET LOSS ON INVESTMENTS...................... (22,168,361)
--------------
NET DECREASE IN NET ASSETS RESULTING FROM
OPERATIONS................................... $ (10,683,041)
==============
<TABLE>
<CAPTION>
STATEMENTS OF CHANGES IN NET ASSETS
(UNAUDITED)
SIX MONTHS ENDED YEAR ENDED
JUNE 30, 1999 DECEMBER 31, 1998
------------------ -------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income.................................................................. $ 11,485,320 $ 24,850,570
Net realized gain on investments....................................................... 2,075,767 7,136,992
Net change in unrealized appreciation (depreciation) on investments.................... (24,244,128) 5,393,840
------------------ -------------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS........................ (10,683,041) 37,381,402
------------------ -------------------
DIVIDENDS
Dividends from net investment income................................................... -- (24,927,823)
Distributions in excess of net investment income....................................... -- (64,303)
------------------ -------------------
TOTAL DIVIDENDS AND DISTRIBUTIONS...................................................... -- (24,992,126)
------------------ -------------------
CAPITAL STOCK TRANSACTIONS:
Capital stock sold [1,012,598 and 3,555,442 shares, respectively]...................... 11,857,650 42,216,640
Capital stock issued in reinvestment of dividends and distributions [-0- and 2,122,659
shares, respectively]................................................................. 0 24,992,126
Capital stock repurchased [(5,147,118) and (5,610,053) shares, respectively]........... (60,247,119) (66,029,147)
------------------ -------------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM CAPITAL STOCK TRANSACTIONS........ (48,389,469) 1,179,619
------------------ -------------------
TOTAL INCREASE (DECREASE) IN NET ASSETS.................................................. (59,072,510) 13,568,895
NET ASSETS:
Beginning of period.................................................................... 443,211,954 429,643,059
------------------ -------------------
End of period(a)....................................................................... $ 384,139,444 $ 443,211,954
================== ===================
(a) Includes undistributed net investment income of:................................... $ 11,485,320 $ --
------------------ -------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
A3
<PAGE>
FINANCIAL STATEMENTS OF
THE PRUDENTIAL SERIES FUND, INC.
ZERO COUPON BOND 2000 PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
(UNAUDITED)
June 30, 1999
ASSETS
Investments, at value (cost:
$38,266,138)............................. $ 39,320,794
Cash....................................... 599
Interest receivable........................ 6
Receivable for capital stock sold.......... 606
--------------
Total Assets............................. 39,322,005
--------------
LIABILITIES
Payable to investment adviser.............. 39,446
Accrued expenses........................... 32,873
Payable for capital stock repurchased...... 2,289
--------------
Total Liabilities........................ 74,608
--------------
NET ASSETS................................... $ 39,247,397
==============
Net assets were comprised of:
Common stock, at $0.01 par value......... $ 30,695
Paid-in capital, in excess of par........ 37,064,346
--------------
37,095,041
Undistributed net investment income........ 1,045,960
Accumulated net realized gain on
investments.............................. 51,740
Net unrealized appreciation on
investments.............................. 1,054,656
--------------
Net assets, June 30, 1999.................. $ 39,247,397
==============
Net asset value and redemption price per
share, 3,069,528 outstanding shares of
common stock (authorized 10,000,000
shares).................................. $ 12.79
==============
STATEMENT OF OPERATIONS
(UNAUDITED)
Six Months Ended June 30, 1999
INVESTMENT INCOME
Interest................................... $ 1,167,489
--------------
EXPENSES
Investment advisory fee.................... 78,888
Accounting fees............................ 37,000
Shareholders' reports...................... 2,000
Directors' fees............................ 1,500
Transfer agent's fees and expenses......... 800
Audit fees and expenses.................... 500
Legal fees................................. 500
Miscellaneous expenses..................... 361
--------------
Total expenses........................... 121,549
Less: custodian fee credit................. (20)
--------------
Net expenses............................. 121,529
--------------
NET INVESTMENT INCOME........................ 1,045,960
--------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS
Net realized gain on investments........... 51,740
Net change in unrealized depreciation on
investments.............................. (873,214)
--------------
NET LOSS ON INVESTMENTS...................... (821,474)
--------------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS................................... $ 224,486
==============
<TABLE>
<CAPTION>
STATEMENTS OF CHANGES IN NET ASSETS
(UNAUDITED)
SIX MONTHS ENDED YEAR ENDED
JUNE 30, 1999 DECEMBER 31, 1998
------------------ -------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income.................................................................. $ 1,045,960 $ 1,938,449
Net realized gain on investments....................................................... 51,740 613,189
Net change in unrealized appreciation (depreciation) on investments.................... (873,214) 344,539
------------------ -------------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS................................... 224,486 2,896,177
------------------ -------------------
DIVIDENDS AND DISTRIBUTIONS
Dividends from net investment income................................................... -- (1,944,693)
Distributions from net realized capital gains.......................................... (74,885) (538,304)
------------------ -------------------
TOTAL DIVIDENDS AND DISTRIBUTIONS...................................................... (74,885) (2,482,997)
------------------ -------------------
CAPITAL STOCK TRANSACTIONS:
Capital stock sold [45,017 and 585,974 shares, respectively]........................... 573,025 7,538,056
Capital stock issued in reinvestment of dividends and distributions 5,864 and 193,959
shares, respectively]................................................................. 74,885 2,482,997
Capital stock repurchased [(135,840) and (898,800) shares, respectively]............... (1,729,757) (11,521,310)
------------------ -------------------
NET DECREASE IN NET ASSETS RESULTING FROM CAPITAL STOCK TRANSACTIONS................... (1,081,847) (1,500,257)
------------------ -------------------
TOTAL DECREASE IN NET ASSETS............................................................. (932,246) (1,087,077)
NET ASSETS:
Beginning of period.................................................................... 40,179,643 41,266,720
------------------ -------------------
End of period(a)....................................................................... $ 39,247,397 $ 40,179,643
================== ===================
(a) Includes undistributed net investment income of:................................... $ 1,045,960 $ --
------------------ -------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
A4
<PAGE>
FINANCIAL STATEMENTS OF
THE PRUDENTIAL SERIES FUND, INC.
ZERO COUPON BOND 2005 PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES (UNAUDITED)
June 30, 1999
ASSETS
Investments, at value (cost:
$42,901,548)............................. $ 43,969,706
Cash....................................... 809
Receivable for capital stock sold.......... 39,218
Interest receivable........................ 19
--------------
Total Assets............................. 44,009,752
--------------
LIABILITIES
Payable to investment adviser.............. 44,445
Accrued expenses........................... 26,551
Payable for capital stock repurchased...... 1,899
--------------
Total Liabilities........................ 72,895
--------------
NET ASSETS................................... $ 43,936,857
==============
Net assets were comprised of:
Common stock, at $0.01 par value......... $ 34,447
Paid-in capital, in excess of par........ 40,750,663
--------------
40,785,110
Undistributed net investment income........ 1,160,769
Accumulated net realized gain on
investments.............................. 922,820
Net unrealized appreciation on
investments.............................. 1,068,158
--------------
Net assets, June 30, 1999.................. $ 43,936,857
==============
Net asset value and redemption price per
share, 3,444,654 outstanding shares of
common stock (authorized 10,000,000
shares).................................. $ 12.76
==============
STATEMENT OF OPERATIONS
(UNAUDITED)
Six Months Ended June 30, 1999
INVESTMENT INCOME
Interest................................... $ 1,291,835
--------------
EXPENSES
Investment advisory fee.................... 88,823
Accounting fees............................ 38,000
Shareholders' reports...................... 2,500
Directors' fees............................ 1,500
Transfer agent's fees and expenses......... 1,000
Miscellaneous expenses..................... 197
--------------
Total expenses........................... 132,020
Less: custodian fee credit................. (954)
--------------
Net expenses............................. 131,066
--------------
NET INVESTMENT INCOME........................ 1,160,769
--------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS
Net realized gain on investments........... 922,820
Net change in unrealized appreciation on
investments.............................. (4,445,452)
--------------
NET LOSS ON INVESTMENTS...................... (3,522,632)
--------------
NET DECREASE IN NET ASSETS RESULTING FROM
OPERATIONS................................... $ (2,361,863)
==============
<TABLE>
<CAPTION>
STATEMENTS OF CHANGES IN NET ASSETS
(UNAUDITED)
SIX MONTHS ENDED YEAR ENDED
JUNE 30, 1999 DECEMBER 31, 1998
------------------ -------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income.................................................................. $ 1,160,769 $ 2,014,406
Net realized gain on investments....................................................... 922,820 --
Net change in unrealized appreciation on investments................................... (4,445,452) 2,497,521
------------------ -------------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS........................ (2,361,863) 4,511,927
------------------ -------------------
DIVIDENDS AND DISTRIBUTIONS:
Dividends from net investment income................................................... -- (2,019,716)
Distributions from net realized capital gains.......................................... -- (38,745)
------------------ -------------------
TOTAL DIVIDENDS AND DISTRIBUTIONS...................................................... -- (2,058,461)
------------------ -------------------
CAPITAL STOCK TRANSACTIONS:
Capital stock sold [302,297 and 960,834 shares, respectively].......................... 3,964,489 12,526,521
Capital stock issued in reinvestment of dividends and distributions [-0- and 156,052
shares, respectively]................................................................. -- 2,058,461
Capital stock repurchased [(243,006) and (177,614) shares, respectively]............... (3,169,203) (2,345,896)
------------------ -------------------
NET INCREASE IN NET ASSETS RESULTING FROM CAPITAL STOCK TRANSACTIONS................... 795,286 12,239,086
------------------ -------------------
TOTAL INCREASE (DECREASE) IN NET ASSETS.................................................. (1,566,577) 14,692,552
NET ASSETS:
Beginning of period.................................................................... 45,503,434 30,810,882
------------------ -------------------
End of period (a)...................................................................... $ 43,936,857 $ 45,503,434
================== ===================
(a) Includes undistributed net investment income of:................................... $ 1,160,769 $ --
------------------ -------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
A5
<PAGE>
FINANCIAL STATEMENTS OF
THE PRUDENTIAL SERIES FUND, INC.
CONSERVATIVE BALANCED PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
(UNAUDITED)
June 30, 1999
ASSETS
Investments, at value (cost:
$4,767,897,708).......................... $5,114,815,929
Interest and dividends receivable.......... 40,660,377
Receivable for investments sold............ 39,664,609
Receivable for securities lending, net..... 1,156,016
Due from broker -- variation margin........ 1,088,075
Receivable for capital stock sold.......... 7,898
--------------
Total Assets............................. 5,197,392,904
--------------
LIABILITIES
Bank overdraft............................. 45,825
Collateral for securities on loan.......... 500,998,202
Payable for investments purchased.......... 43,839,552
Payable to investment adviser.............. 6,443,716
Payable for capital stock repurchased...... 3,061,124
Securities lending rebate payable.......... 2,359,240
Accrued expenses and other liabilities..... 347,746
--------------
Total Liabilities........................ 557,095,405
--------------
NET ASSETS................................... $4,640,297,499
==============
Net assets were comprised of:
Common stock, at $0.01 par value......... $ 2,999,597
Paid-in capital, in excess of par........ 4,230,768,766
--------------
4,233,768,363
Undistributed net investment income........ 47,567,932
Accumulated net realized gains on
investments.............................. 12,720,477
Net unrealized appreciation on
investments.............................. 346,240,727
--------------
Net assets, June 30, 1999.................. $4,640,297,499
==============
Net asset value and redemption price per
share, 299,959,725 outstanding shares of
common stock (authorized 370,000,000
shares).................................. $ 15.47
==============
STATEMENT OF OPERATIONS
(UNAUDITED)
Six Months Ended June 30, 1999
INVESTMENT INCOME
Dividends (net of $236,012 foreign
withholding tax)......................... $ 14,402,988
Interest................................... 92,320,057
Income from securities loaned, net......... 1,030,240
--------------
107,753,285
--------------
EXPENSES
Investment advisory fee.................... 12,917,161
Shareholders' reports...................... 267,000
Custodian expense.......................... 119,000
Accounting fees............................ 75,000
Audit fees and expenses.................... 28,000
Legal fees................................. 3,000
Transfer agent's fees and expenses......... 3,500
Directors' fees............................ 1,500
Miscellaneous expenses..................... 16,451
--------------
Total expenses........................... 13,430,612
Less: custodian fee credit................. (64,064)
--------------
Net expenses............................. 13,366,548
--------------
NET INVESTMENT INCOME........................ 94,386,737
--------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS
Net realized gain on:
Investments.............................. 15,896,485
Futures.................................. 951,307
--------------
16,847,792
--------------
Net change in unrealized appreciation
(depreciation) on:
Investments.............................. 80,501,883
Futures.................................. (3,157,207)
--------------
77,344,676
--------------
NET GAIN ON INVESTMENTS...................... 94,192,468
--------------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS................................... $ 188,579,205
==============
<TABLE>
<CAPTION>
STATEMENTS OF CHANGES IN NET ASSETS
(UNAUDITED)
SIX MONTHS ENDED YEAR ENDED DECEMBER
JUNE 30, 1999 31, 1998
------------------ -------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income.................................................................. $ 94,386,737 $ 200,201,254
Net realized gain on investments....................................................... 16,847,792 263,079,117
Net change in unrealized appreciation on investments................................... 77,344,676 66,472,901
------------------ -------------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS................................... 188,579,205 529,753,272
------------------ -------------------
DIVIDENDS AND DISTRIBUTIONS
Dividends from net investment income................................................... (46,818,805) (201,150,300)
Distributions from net realized capital gains.......................................... (20,089,244) (284,059,981)
------------------ -------------------
TOTAL DIVIDENDS AND DISTRIBUTIONS...................................................... (66,908,049) (485,210,281)
------------------ -------------------
CAPITAL STOCK TRANSACTIONS:
Capital stock sold [2,248,155 and 4,155,780 shares, respectively]...................... 34,303,551 64,306,807
Capital stock issued in reinvestment of dividends and distributions [4,355,993 and
32,017,520 shares, respectively]...................................................... 66,908,049 485,210,281
Capital stock repurchased [(24,748,737) and (34,980,138) shares, respectively]......... (378,545,027) (542,332,348)
------------------ -------------------
NET INCREASE IN NET ASSETS RESULTING FROM CAPITAL STOCK TRANSACTIONS................... (277,333,427) 7,184,740
------------------ -------------------
TOTAL INCREASE (DECREASE) IN NET ASSETS.................................................. (155,662,271) 51,727,731
NET ASSETS:
Beginning of period.................................................................... 4,795,959,770 4,744,232,039
------------------ -------------------
End of period(a)....................................................................... $ 4,640,297,499 $ 4,795,959,770
================== ===================
(a) Includes undistributed net investment income of:................................... $ 47,567,932 $ --
------------------ -------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
A6
<PAGE>
FINANCIAL STATEMENTS OF
THE PRUDENTIAL SERIES FUND, INC.
FLEXIBLE MANAGED PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
(UNAUDITED)
June 30, 1999
ASSETS
Investments, at value (cost:
$5,375,155,909).......................... $5,814,648,192
Cash....................................... 84,577
Receivable for investments sold............ 42,422,053
Interest and dividends receivable.......... 30,364,381
Due from Broker-Variation Margin........... 3,223,625
Receivable for securities lending, net..... 1,197,085
Receivable for capital stock sold.......... 107,304
--------------
Total Assets............................. 5,892,047,217
--------------
LIABILITIES
Collateral for securities on loan.......... 443,760,222
Payable for investments purchased.......... 50,246,584
Payable to investment advisor.............. 8,123,005
Securities lending rebate payable.......... 2,262,792
Payable for capital stock repurchased...... 1,950,175
Accrued expenses........................... 530,379
--------------
Total Liabilities........................ 506,873,157
--------------
NET ASSETS................................... $5,385,174,060
==============
Net assets were comprised of:
Common stock, at $.01 par value.......... $ 3,085,491
Paid-in capital, in excess of par........ 4,802,034,302
--------------
4,805,119,793
Undistributed net investment income........ 83,838,361
Accumulated net realized gain on
investments.............................. 60,414,368
Net unrealized appreciation on
investments.............................. 435,801,538
--------------
Net assets at June 30, 1999................ $5,385,174,060
==============
Net asset value and redemption price per
308,549,113 shares outstanding common
stock (authorized 370,000,000 shares).... $ 17.45
==============
STATEMENT OF OPERATIONS
(UNAUDITED)
Six Months Ended June 30, 1999
INVESTMENT INCOME
Interest................................... $ 75,435,897
Dividends (net of $495,226 foreign
withholding)............................. 24,361,214
Income from securities loaned, net......... 729,817
--------------
100,526,928
--------------
EXPENSES
Investment advisory fee.................... 16,091,896
Shareholder's reports...................... 299,000
Custodian expense.......................... 144,000
Accounting expense......................... 67,000
Audit expense.............................. 31,000
Transfer agent's fees and expenses......... 3,500
Directors' fees............................ 1,500
Miscellaneous expenses..................... 20,392
--------------
Total expenses........................... 16,658,288
Less: custodian fee credit................. (38,171)
--------------
Net expenses............................... 16,620,117
--------------
NET INVESTMENT INCOME........................ 83,906,811
--------------
NET REALIZED AND UNREALIZED GAIN ON
INVESTMENTS
Net realized gain on:
Investments.............................. 59,114,365
Futures contracts........................ 18,244,372
--------------
77,358,737
--------------
Net change in unrealized appreciation:
Investments.............................. 172,656,432
Futures contracts........................ 11,431,193
--------------
184,087,625
--------------
NET GAIN ON INVESTMENTS...................... 261,446,362
--------------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS................................... $ 345,353,173
==============
<TABLE>
<CAPTION>
STATEMENTS OF CHANGES IN NET ASSETS
(UNAUDITED)
SIX MONTHS ENDED YEAR ENDED
JUNE 30, 1999 DECEMBER 31, 1998
------------------ -------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income.................................................................. $ 83,906,811 $ 177,588,088
Net realized gain on investments....................................................... 77,358,737 513,883,914
Net change in unrealized appreciation on investments................................... 184,087,625 (167,145,159)
------------------ -------------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS................................... 345,353,173 524,326,843
------------------ -------------------
DIVIDENDS AND DISTRIBUTIONS
Dividends from net investment income................................................... (239,006) (178,186,396)
Distributions from net realized capital gains.......................................... (60,930,102) (552,345,875)
------------------ -------------------
TOTAL DIVIDENDS AND DISTRIBUTIONS...................................................... (61,169,108) (730,532,271)
------------------ -------------------
CAPITAL STOCK TRANSACTIONS:
Capital stock sold [1,827,460 and 4,188,120 shares, respectively]...................... 29,615,192 74,668,669
Capital stock issued in reinvestment of dividends and distributions [3,554,343 and
43,615,212 shares, respectively]...................................................... 62,545,734 730,532,271
Capital stock repurchased [(23,550,870) and (38,796,213) shares, respectively]......... (401,152,319) (679,156,218)
------------------ -------------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM CAPITAL STOCK TRANSACTIONS........ (308,991,393) 126,044,722
------------------ -------------------
TOTAL DECREASE IN NET ASSETS............................................................. (24,807,328) (80,160,706)
NET ASSETS:
Beginning of period.................................................................... 5,409,981,388 5,490,142,094
------------------ -------------------
End of period (a)...................................................................... $ 5,385,174,060 $ 5,409,981,388
================== ===================
(a) Includes undistributed net investment income of:................................... $ 83,838,361 $ 170,556
------------------ -------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
A7
<PAGE>
FINANCIAL STATEMENTS OF
THE PRUDENTIAL SERIES FUND, INC.
HIGH YIELD BOND PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
(UNAUDITED)
June 30, 1999
ASSETS
Investments, at value (cost:
$899,290,771)............................ $ 826,467,302
Interest and dividends receivable.......... 16,790,747
Receivable for investments sold............ 5,519,576
Receivable for capital stock sold.......... 730,054
Receivable for securities lending, net..... 49,696
--------------
Total Assets............................. 849,557,375
--------------
LIABILITIES
Bank overdraft............................. 375,807
Collateral for securities on loan.......... 31,882,210
Payable for investments purchased.......... 2,581,346
Payable to investment adviser.............. 1,114,605
Payable for capital stock repurchased...... 639,296
Accrued expenses and other liabilities..... 221,833
--------------
Total Liabilities........................ 36,815,097
--------------
NET ASSETS................................... $ 812,742,278
==============
Net assets were comprised of:
Common stock, at $0.01 par value......... $ 1,092,243
Paid-in capital, in excess of par........ 871,699,188
--------------
872,791,431
Undistributed net investment income........ 42,234,111
Accumulated net realized loss on
investments.............................. (29,459,795)
Net unrealized depreciation on
investments.............................. (72,823,469)
--------------
Net assets, June 30, 1999.................. $ 812,742,278
==============
Class I:
Net asset value and redemption price per
share, 109,224,337 outstanding shares of
common stock (authorized 195,000,000
shares).................................. $ 7.44
==============
STATEMENT OF OPERATIONS
(UNAUDITED)
Six Months Ended June 30, 1999
INVESTMENT INCOME
Interest................................... $ 41,510,328
Dividends.................................. 2,480,403
Income from securities loaned, net......... 557,445
--------------
44,548,176
--------------
EXPENSES
Investment advisory fee.................... 2,196,870
Shareholders' reports...................... 44,000
Accounting fees............................ 38,000
Custodian expense.......................... 32,000
Audit fees and expenses.................... 5,000
Transfer agent's fees and expenses......... 3,500
Directors' fees............................ 1,500
Legal fees................................ 1,000
Miscellaneous expenses.................... 921
--------------
Total expenses........................... 2,322,791
Less: custodian fee credit................. (8,726)
--------------
Net expenses............................. 2,314,065
--------------
NET INVESTMENT INCOME........................ 42,234,111
--------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS
Net realized loss on investments........... (21,038,204)
Net change in unrealized appreciation on
investments.............................. 6,620,110
--------------
NET LOSS ON INVESTMENTS...................... (14,418,094)
--------------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS................................... $ 27,816,017
==============
<TABLE>
<CAPTION>
STATEMENTS OF CHANGES IN NET ASSETS
(UNAUDITED)
SIX MONTHS ENDED YEAR ENDED
JUNE 30, 1999 DECEMBER 31, 1998
------------------ -------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income.................................................................. $ 42,234,111 $ 71,160,362
Net realized loss on investments....................................................... (21,038,204) (2,031,112)
Net change in unrealized appreciation (depreciation) on investments.................... 6,620,110 (90,371,730)
------------------ -------------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS........................ 27,816,017 (21,242,480)
------------------ -------------------
DIVIDENDS
Dividends from net investment income................................................... (2,179,668) (69,715,948)
------------------ -------------------
CAPITAL STOCK TRANSACTIONS:
Capital stock sold [10,805,806 and 42,524,544 shares, respectively].................... 80,149,964 336,104,252
Capital stock issued in reinvestment of dividends and distributions [291,010 and
9,210,712 shares, respectively]....................................................... 2,179,668 69,715,948
Capital stock repurchased [(11,416,416) and (12,010,426) shares, respectively]......... (84,544,674) (94,215,879)
------------------ -------------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM CAPITAL STOCK TRANSACTIONS........ (2,215,042) 311,604,321
------------------ -------------------
TOTAL INCREASE IN NET ASSETS............................................................. 23,421,307 220,645,893
NET ASSETS:
Beginning of period.................................................................... 789,320,971 568,675,078
------------------ -------------------
End of period (a)...................................................................... $ 812,742,278 $ 789,320,971
================== ===================
(a) Includes undistributed net investment income of:................................... $ 42,234,111 $ 2,179,668
------------------ -------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
A8
<PAGE>
FINANCIAL STATEMENTS OF
THE PRUDENTIAL SERIES FUND, INC.
STOCK INDEX PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
(UNAUDITED)
June 30, 1999
ASSETS
Investments, at value (cost:
$2,229,082,674).......................... $4,242,837,210
Cash....................................... 359
Receivable for investments sold............ 16,458,432
Interest and dividends receivable.......... 3,596,928
Due from broker -- variation margin........ 2,047,036
Receivable for capital stock sold.......... 1,689,299
--------------
Total Assets............................. 4,266,629,264
--------------
LIABILITIES
Payable for investments purchased.......... 10,182,377
Payable to investment adviser.............. 3,548,089
Payable for capital stock repurchased...... 568,964
Accrued expenses........................... 241,270
--------------
Total Liabilities........................ 14,540,700
--------------
NET ASSETS................................... $4,252,088,564
==============
Net assets were comprised of:
Common stock, at $0.01 par value......... $ 1,011,482
Paid-in capital, in excess of par........ 2,189,214,150
--------------
2,190,225,632
Undistributed net investment income........ 12,901,573
Accumulated net realized gain on
investments.............................. 31,022,709
Net unrealized appreciation on
investments.............................. 2,017,938,650
--------------
Net assets, June 30, 1999.................. $4,252,088,564
==============
Net asset value and redemption price per
share, 101,143,876 outstanding shares of
common stock (authorized 170,000,000
shares).................................. $ 42.04
==============
STATEMENT OF OPERATIONS
(UNAUDITED)
Six Months Ended June 30, 1999
INVESTMENT INCOME
Dividends (net of $464,334 foreign
withholding tax)......................... $ 26,843,666
Interest................................... 2,540,941
--------------
29,384,607
--------------
EXPENSES
Investment advisory fee.................... 6,748,571
Shareholders' reports...................... 188,000
Custodian expense.......................... 67,000
Accounting fees............................ 38,000
Audit fees and expenses.................... 20,000
Transfer agent's fees and expenses......... 3,500
Legal fees................................. 2,500
Directors' fees............................ 1,500
Miscellaneous expenses..................... 11,417
--------------
Total expenses........................... 7,080,488
Less: custodian fee credit................. (2,407)
--------------
Net expenses............................. 7,078,081
--------------
NET INVESTMENT INCOME........................ 22,306,526
--------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS
Net realized gain on:
Investments.............................. 26,871,847
Futures.................................. 9,385,898
--------------
36,257,745
--------------
Net change in unrealized appreciation/
depreciation on:
Investments.............................. 388,212,107
Futures.................................. (421,262)
--------------
387,790,845
--------------
NET GAIN ON INVESTMENTS...................... 424,048,590
--------------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS................................... $ 446,355,116
==============
<TABLE>
<CAPTION>
STATEMENTS OF CHANGES IN NET ASSETS
(UNAUDITED)
SIX MONTHS ENDED YEAR ENDED
JUNE 30, 1999 DECEMBER 31, 1998
------------------ -------------------
<S> <C> <C>
OPERATIONS:
Net investment income.................................................................. $ 22,306,526 $ 36,771,654
Net realized gain on investments....................................................... 36,257,745 57,465,213
Net change in unrealized appreciation on investments................................... 387,790,845 644,696,671
------------------ -------------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS................................... 446,355,116 738,928,538
------------------ -------------------
DIVIDENDS AND DISTRIBUTIONS
Dividends from net investment income................................................... (9,404,953) (37,075,916)
Distributions from net realized capital gains.......................................... (15,008,166) (53,566,202)
------------------ -------------------
TOTAL DIVIDENDS AND DISTRIBUTIONS...................................................... (24,413,119) (90,642,118)
------------------ -------------------
CAPITAL STOCK TRANSACTIONS:
Capital stock sold [11,815,445 and 21,945,962 shares, respectively].................... 467,777,125 739,810,425
Capital stock issued in reinvestment of dividends and distributions [605,634 and
2,541,175 shares, respectively]....................................................... 24,413,119 90,642,118
Capital stock repurchased [(5,294,474) and (11,483,263) shares, respectively].......... (210,132,667) (378,841,199)
------------------ -------------------
NET INCREASE IN NET ASSETS RESULTING FROM CAPITAL STOCK TRANSACTIONS................... 282,057,577 451,611,344
------------------ -------------------
TOTAL INCREASE IN NET ASSETS............................................................. 703,999,574 1,099,897,764
NET ASSETS:
Beginning of period.................................................................... 3,548,088,990 2,448,191,226
------------------ -------------------
End of period (a)...................................................................... $ 4,252,088,564 $ 3,548,088,990
================== ===================
(a) Included undistributed net investment income of:................................... $ 12,901,573 $ --
------------------ -------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
A9
<PAGE>
FINANCIAL STATEMENTS OF
THE PRUDENTIAL SERIES FUND, INC.
EQUITY INCOME PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
(UNAUDITED)
June 30, 1999
ASSETS
Investments, at value (cost:
$1,918,023,158).......................... $2,342,473,478
Cash....................................... 161,354
Interest and dividends receivable.......... 7,497,337
Receivable for capital stock sold.......... 275,315
Receivable for investments sold............ 258,871
Receivable for securities lending, net..... 209,642
--------------
Total Assets............................. 2,350,875,997
--------------
LIABILITIES
Collateral for securities on loan.......... 83,440,792
Payable to investment adviser.............. 2,243,938
Payable for capital stock repurchased...... 1,150,747
Securities lending rebate payable.......... 681,115
Accrued expenses........................... 188,685
--------------
Total Liabilities........................ 87,705,277
--------------
NET ASSETS................................... $2,263,170,720
==============
Net assets were comprised of:
Common stock, at $0.01 par value......... $ 975,897
Paid-in capital, in excess of par........ 1,669,191,900
--------------
1,670,167,797
Undistributed net investment income........ 14,209,937
Accumulated net realized gain on
investments.............................. 154,342,666
Net unrealized appreciation on
investments.............................. 424,450,320
--------------
Net assets, June 30, 1999.................. $2,263,170,720
==============
Class I:
Net asset value and redemption price per
share, 97,589,740 outstanding shares of
common stock (authorized 170,000,000
shares).................................. $ 23.19
==============
STATEMENT OF OPERATIONS
(UNAUDITED)
Six Months Ended June 30, 1999
INVESTMENT INCOME
Dividends (net of $508,477 foreign
withholding tax)......................... $ 28,281,203
Interest................................... 1,119,179
Income from securities loaned, net......... 221,306
--------------
29,621,688
--------------
EXPENSES
Investment advisory fee.................... 4,328,019
Shareholders' reports...................... 119,000
Custodian expense.......................... 39,000
Accounting fees............................ 38,000
Audit fees and expenses.................... 12,000
Transfer agent's fees and expenses......... 3,500
Legal fees................................. 2,000
Directors' fees............................ 1,500
Miscellaneous expenses..................... 7,253
--------------
Total expenses........................... 4,550,272
Less: custodian fee credit................. (1,189)
--------------
Net expenses............................. 4,549,083
--------------
NET INVESTMENT INCOME........................ 25,072,605
--------------
NET REALIZED AND UNREALIZED GAIN ON
INVESTMENTS
Net realized gain on investments........... 154,342,666
Net change in unrealized appreciation on
investments.............................. 183,883,071
--------------
NET GAIN ON INVESTMENTS...................... 338,225,737
--------------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS................................... $ 363,298,342
==============
<TABLE>
<CAPTION>
STATEMENTS OF CHANGES IN NET ASSETS
(UNAUDITED)
SIX MONTHS ENDED YEAR ENDED
JUNE 30, 1999 DECEMBER 31, 1998
------------------ -------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income.................................................................. $ 25,072,605 $ 56,212,487
Net realized gain on investments....................................................... 154,342,666 129,490,381
Net change in unrealized appreciation (depreciation) on investments.................... 183,883,071 (258,928,963)
------------------ -------------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS........................ 363,298,342 (73,226,095)
------------------ -------------------
DIVIDENDS AND DISTRIBUTIONS
Dividends from net investment income................................................... (12,850,229) (58,670,537)
Distributions from net realized capital gains.......................................... (35,023,403) (129,895,659)
------------------ -------------------
TOTAL DIVIDENDS AND DISTRIBUTIONS...................................................... (47,873,632) (188,566,196)
------------------ -------------------
CAPITAL STOCK TRANSACTIONS:
Capital stock sold [2,190,965 and 17,968,538 shares, respectively]..................... 48,367,912 414,994,376
Capital stock issued in reinvestment of dividends and distributions [2,126,772 and
8,899,832 shares, respectively]....................................................... 47,873,632 188,566,196
Capital stock repurchased [(13,667,771) and (10,593,789) shares, respectively]......... (290,816,349) (229,203,355)
------------------ -------------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM CAPITAL STOCK TRANSACTIONS........ (194,574,805) 374,357,217
------------------ -------------------
TOTAL INCREASE IN NET ASSETS............................................................. 120,849,905 112,564,926
NET ASSETS:
Beginning of period.................................................................... 2,142,320,815 2,029,755,889
------------------ -------------------
End of period(a)....................................................................... $ 2,263,170,720 $ 2,142,320,815
================== ===================
(a) Includes undistributed net investment income of:................................... $ 14,209,937 $ 1,987,561
------------------ -------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
A10
<PAGE>
FINANCIAL STATEMENTS OF
THE PRUDENTIAL SERIES FUND, INC.
EQUITY PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
(UNAUDITED)
June 30, 1999
ASSETS
Investments, at value (cost:
$4,733,436,921).......................... $6,718,263,298
Cash....................................... 291
Interest and dividends receivable.......... 13,325,615
Receivable for capital stock sold.......... 556,177
--------------
Total Assets............................. 6,732,145,381
--------------
LIABILITIES
Payable for investments purchased.......... 24,784,488
Payable to investment adviser.............. 7,369,672
Payable for capital stock repurchased...... 2,934,957
Accrued expenses........................... 529,148
Distribution fee payable................... 40
--------------
Total Liabilities........................ 35,618,305
--------------
NET ASSETS................................... $6,696,527,076
==============
Net assets were comprised of:
Common stock, at $0.01 par value......... $ 1,998,735
Paid-in capital, in excess of par........ 4,312,825,738
--------------
4,314,824,473
Undistributed net investment income........ 42,316,308
Accumulated net realized gain on
investments.............................. 354,567,145
Net unrealized appreciation on investments
and foreign currencies................... 1,984,819,150
--------------
Net assets, June 30, 1999.................. $6,696,527,076
==============
Class I:
Net asset value and redemption price per
share, 199,869,488 outstanding shares of
common stock (authorized 295,000,000
shares).................................. $ 33.50
==============
Class II:
Net asset value and redemption price per
share, 4,025 outstanding shares of common
stock (authorized 5,000,000 shares)...... $ 33.48
==============
STATEMENT OF OPERATIONS
(UNAUDITED)
Six Months Ended June 30, 1999
INVESTMENT INCOME
Dividends (net of $632,511 foreign
withholding tax)......................... $ 67,929,273
Interest................................... 10,903,973
--------------
78,833,246
--------------
EXPENSES
Investment advisory fee.................... 14,220,624
Distribution Fee -- Class II............... 40
Shareholders' reports...................... 341,000
Custodian expense.......................... 124,000
Accounting fees............................ 38,000
Audit fees and expenses.................... 36,000
Transfer agent's fees and expenses......... 4,000
Legal fees................................. 2,000
Directors' fees............................ 1,500
Miscellaneous expenses..................... 19,746
--------------
Total expenses........................... 14,786,910
Less: custodian fee credit................. (20,024)
--------------
Net expenses............................. 14,766,886
--------------
NET INVESTMENT INCOME........................ 64,066,360
--------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS AND FOREIGN CURRENCIES
Net realized gain on investments........... 354,677,097
Net change in unrealized appreciation
(depreciation) on:
Investments.............................. 502,107,101
Foreign currencies....................... (7,096)
--------------
502,100,005
--------------
NET GAIN ON INVESTMENTS AND FOREIGN
CURRENCIES................................... 856,777,102
--------------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS................................... $ 920,843,462
==============
<TABLE>
<CAPTION>
STATEMENTS OF CHANGES IN NET ASSETS
(UNAUDITED)
SIX MONTHS ENDED YEAR ENDED
JUNE 30, 1999 DECEMBER 31, 1998
------------------ -------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income.................................................................. $ 64,066,360 $ 114,479,882
Net realized gain on investments and foreign currencies................................ 354,677,097 766,481,591
Net change in unrealized appreciation (depreciation) on investments and foreign
currencies............................................................................ 502,100,005 (344,074,909)
------------------ -------------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS................................... 920,843,462 536,886,564
------------------ -------------------
DIVIDENDS AND DISTRIBUTIONS
Dividends from net investment income -- Class I........................................ (21,860,004) (115,394,083)
Distributions from net realized capital gains -- Class I............................... (112,755,332) (684,800,016)
------------------ -------------------
TOTAL DIVIDENDS AND DISTRIBUTIONS...................................................... (134,615,336) (800,194,099)
------------------ -------------------
CAPITAL STOCK TRANSACTIONS:
Capital stock sold [4,447,001 and 12,676,785 shares, respectively]..................... 136,432,318 418,548,498
Capital stock issued in reinvestment of dividends and distributions [4,320,133 and
27,106,415 shares, respectively]...................................................... 134,615,336 800,194,099
Capital stock repurchased [(19,680,149) and (22,886,073) shares, respectively]......... (607,795,338) (732,368,459)
------------------ -------------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM CAPITAL STOCK TRANSACTIONS........ (336,747,684) 486,374,138
------------------ -------------------
TOTAL INCREASE IN NET ASSETS............................................................. 449,480,442 223,066,603
NET ASSETS:
Beginning of period.................................................................... 6,247,046,634 6,023,980,031
------------------ -------------------
End of period (a)...................................................................... $ 6,696,527,076 $ 6,247,046,634
================== ===================
(a) Includes undistributed net investment income of:................................... $ 42,316,308 $ 109,952
------------------ -------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
A11
<PAGE>
FINANCIAL STATEMENTS OF
THE PRUDENTIAL SERIES FUND, INC.
PRUDENTIAL JENNISON
STATEMENT OF ASSETS AND LIABILITIES
(UNAUDITED)
June 30, 1999
ASSETS
Investments, at value (cost:
$1,425,988,166).......................... $1,930,586,870
Receivable for investments sold............ 18,130,460
Receivable for capital stock sold.......... 3,405,385
Interest and dividends receivable.......... 586,391
--------------
Total Assets............................. 1,952,709,106
--------------
LIABILITIES
Bank overdraft............................. 354,923
Payable for investments purchased.......... 30,473,347
Payable to investment adviser.............. 2,586,470
Accrued expenses........................... 64,796
Payable for capital stock repurchased...... 31,647
--------------
Total Liabilities........................ 33,511,183
--------------
NET ASSETS................................... $1,919,197,923
==============
Net assets were comprised of:
Common stock, at $0.01 par value......... $ 701,281
Paid-in capital, in excess of par........ 1,388,774,193
--------------
1,389,475,474
Undistributed net investment income........ 2,557,750
Accumulated net realized gain on
investments.............................. 22,565,995
Net unrealized appreciation on
investments.............................. 504,598,704
--------------
Net assets, June 30, 1999.................. $1,919,197,923
==============
Net asset value and redemption price per
share (70,128,075 outstanding shares of
common stock; authorized 110,000,000
shares).................................. $ 27.37
==============
STATEMENT OF OPERATIONS
(UNAUDITED)
Six Months Ended June 30, 1999
INVESTMENT INCOME
Dividends (net of $19,969 foreign
withholding taxes)....................... $ 6,090,340
Interest................................... 1,692,559
--------------
7,782,899
--------------
EXPENSES
Investment advisory fee.................... 4,636,513
Shareholders' reports...................... 60,000
Accounting fees............................ 38,000
Custodian expense.......................... 16,000
Audit fees and expenses.................... 6,000
Transfer agent's fees and expenses......... 3,500
Directors' fees............................ 1,500
Legal fees................................. 800
Miscellaneous expenses..................... 4,866
--------------
Total expenses........................... 4,767,179
Less: custodian fee credit................. (2,670)
--------------
Net expenses............................. 4,764,509
--------------
NET INVESTMENT INCOME........................ 3,018,390
--------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS
Net realized gain on investments........... 23,274,222
Net change in unrealized appreciation on
investments.............................. 186,963,441
--------------
NET GAIN ON INVESTMENTS...................... 210,237,663
--------------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS................................... $ 213,256,053
==============
<TABLE>
<CAPTION>
STATEMENTS OF CHANGES IN NET ASSETS
(UNAUDITED)
SIX MONTHS ENDED YEAR ENDED
JUNE 30, 1999 DECEMBER 31, 1998
------------------ -------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income.................................................................. $ 3,018,390 $ 1,528,070
Net realized gain on investments....................................................... 23,274,222 24,429,896
Net change in unrealized appreciation on investments................................... 186,963,441 237,742,766
------------------ -------------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS................................... 213,256,053 263,700,732
------------------ -------------------
DIVIDENDS AND DISTRIBUTIONS
Dividends from net investment income................................................... (460,640) (1,629,850)
Distributions from net realized capital gains.......................................... (10,927,148) (17,069,906
------------------ -------------------
TOTAL DIVIDENDS AND DISTRIBUTIONS...................................................... (11,387,788) (18,699,756)
------------------ -------------------
CAPITAL STOCK TRANSACTIONS:
Capital stock sold [26,579,876 and 619,906,149 shares, respectively]................... 689,193,580 619,908,140
Capital stock issued in reinvestment of dividends and distributions [433,325 and
18,699,756 shares, respectively]...................................................... 11,387,788 18,699,756
Capital stock repurchased [(7,024,921) and (18,816,656) shares, respectively].......... (181,981,045) (180,816,656)
------------------ -------------------
NET INCREASE IN NET ASSETS RESULTING FROM CAPITAL STOCK TRANSACTIONS................... 518,600,323 457,791,240
------------------ -------------------
TOTAL INCREASE IN NET ASSETS............................................................. 720,468,588 702,792,216
NET ASSETS:
Beginning of period.................................................................... 1,198,729,335 495,937,119
------------------ -------------------
End of period (a)...................................................................... $ 1,919,197,923 $ 1,198,729,335
================== ===================
(a) Includes undistributed net investment income of:................................... $ 2,557,750 $ --
------------------ -------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
A12
<PAGE>
FINANCIAL STATEMENTS OF
THE PRUDENTIAL SERIES FUND, INC.
SMALL CAPITALIZATION STOCK PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
(UNAUDITED)
June 30, 1999
ASSETS
Investments, at value (cost:
$398,931,692)............................ $ 416,718,738
Cash....................................... 22,577
Receivable for investments sold............ 822,700
Receivable for capital stock sold.......... 477,101
Interest and dividends receivable.......... 191,109
Due from broker -- variation margin........ 68,500
Receivable for securities lending.......... 395
--------------
Total Assets............................. 418,301,120
--------------
LIABILITIES
Collateral for securities on loan.......... 13,798,544
Payable to investment adviser.............. 368,999
Payable for capital stock repurchased...... 229,064
Accrued expenses........................... 109,822
Securities lending rebate payable.......... 50,223
Payable for investments purchased.......... 14,456
--------------
Total Liabilities........................ 14,571,108
--------------
NET ASSETS................................... $ 403,730,012
==============
Net assets were comprised of:
Common stock, at $0 par value............ $ 266,216
Paid-in capital, in excess of par........ 369,373,293
--------------
369,639,509
Undistributed net investment income........ 1,011,779
Accumulated net realized gain on
investments.............................. 14,821,878
Net unrealized appreciation on
investments.............................. 18,256,846
--------------
Net assets, June 30, 1999.................. $ 403,730,012
==============
Net asset value and redemption price per
share, 26,621,585 outstanding shares of
common stock (authorized 70,000,000
shares).................................. $ 15.17
==============
STATEMENT OF OPERATIONS
(UNAUDITED)
Six Months Ended June 30, 1999
INVESTMENT INCOME
Dividends (net of $776 foreign withholding
tax)..................................... $ 1,483,327
Interest................................... 262,511
Interest from securities loaned, net....... 54,296
--------------
1,800,134
--------------
EXPENSES
Investment advisory fee.................... 702,493
Accounting fees............................ 38,000
Shareholders' reports...................... 18,000
Custodian expense.......................... 7,000
Transfer agent's fees and expenses......... 3,000
Audit fees................................. 2,000
Directors' fees............................ 1,500
Miscellaneous expenses..................... 18,085
--------------
Total expenses........................... 790,078
Less: custodian fee credit................. (1,723)
--------------
Net expenses............................. 789,355
--------------
NET INVESTMENT INCOME........................ 1,011,779
--------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS
Net realized gain on:
Investments.............................. 16,236,745
Futures.................................. 1,427,356
--------------
17,664,101
--------------
Net change in unrealized appreciation
(depreciation) on:
Investments.............................. 4,249,190
Futures.................................. (1,560,150)
--------------
2,689,040
--------------
NET GAIN ON INVESTMENTS...................... 20,353,141
--------------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS................................... $ 21,364,920
==============
<TABLE>
<CAPTION>
STATEMENTS OF CHANGES IN NET ASSETS
(UNAUDITED)
SIX MONTHS ENDED YEAR ENDED
JUNE 30, 1999 DECEMBER 31, 1998
------------------ -------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income.................................................................. $ 1,011,779 $ 1,764,439
Net realized gain on investments....................................................... 17,664,101 22,873,920
Net change in unrealized depreciation on investments................................... 2,689,040 (24,817,869)
------------------ -------------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS........................ 21,364,920 (179,510)
------------------ -------------------
DIVIDENDS
Dividends from net investment income................................................... -- (1,831,200)
Distributions from net realized capital gains.......................................... (6,897,212) (21,572,900)
------------------ -------------------
TOTAL DIVIDENDS AND DISTRIBUTIONS...................................................... (6,897,212) (23,404,181)
------------------ -------------------
CAPITAL STOCK TRANSACTIONS:
Capital stock sold [5,363,371 and 7,528,693 shares, respectively]...................... 74,119,340 113,481,559
Capital stock issued in reinvestment of dividends and distributions [506,032 and
1,637,984 shares, respectively]....................................................... 6,897,212 23,404,181
Capital stock repurchased [(3,745,821) and (2,891,548) shares, respectively]........... (52,139,886) (43,226,325)
------------------ -------------------
NET INCREASE IN NET ASSETS RESULTING FROM CAPITAL STOCK TRANSACTIONS................... 28,876,666 93,659,415
------------------ -------------------
TOTAL INCREASE IN NET ASSETS............................................................. 43,344,374 70,075,724
NET ASSETS:
Beginning of period.................................................................... 360,385,638 290,309,914
------------------ -------------------
End of period (a)...................................................................... $ 403,730,012 $ 360,385,638
================== ===================
(a) Includes undistributed net investment income of:................................... $ 1,011,779 $ --
------------------ -------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
A13
<PAGE>
FINANCIAL STATEMENTS OF
THE PRUDENTIAL SERIES FUND, INC.
GLOBAL PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
(UNAUDITED)
June 30, 1999
ASSETS
Investments, at value (cost:
$667,036,511)............................ $ 927,413,748
Foreign currency, at value (cost:
$22,686,755)............................. 22,466,243
Cash....................................... 506
Receivable for investments sold............ 12,093,209
Dividends and interest receivable.......... 1,920,003
Receivable for capital stock sold.......... 454,028
Forward currency contracts -- amount
receivable from counterparties........... 260,902
--------------
Total Assets............................. 964,608,639
--------------
LIABILITIES
Payable to investment adviser.............. 1,734,714
Accrued expenses and other liabilities..... 728,479
Payable for capital stock repurchased...... 184,380
--------------
Total Liabilities........................ 2,647,573
--------------
NET ASSETS................................... $ 961,961,066
==============
Net assets were comprised of:
Common stock, at $0.01 par value......... $ 419,685
Paid-in capital, in excess of par........ 652,980,419
--------------
653,400,104
Distributions in excess of net investment
income................................... (14,767,665)
Accumulated net realized gain on
investments.............................. 62,961,220
Net unrealized appreciation on investments
and foreign currencies................... 260,367,407
--------------
Net assets, June 30, 1999.................. $ 961,961,066
==============
Net asset value and redemption price per
share of 41,968,514 outstanding shares of
common stock (authorized 70,000,000
shares).................................. $ 22.92
==============
STATEMENT OF OPERATIONS
(UNAUDITED)
Six Months Ended June 30, 1999
INVESTMENT INCOME
Dividends (net of $502,132 foreign
withholding tax)......................... $ 4,903,658
Interest................................... 676,854
--------------
5,580,512
--------------
EXPENSES
Investment advisory fee.................... 3,329,436
Custodian expense.......................... 240,000
Accounting fees............................ 148,000
Shareholders' reports...................... 45,000
Audit fees and expenses.................... 5,000
Transfer agent's fees and expenses......... 4,000
Directors' fees............................ 1,500
Miscellaneous expenses..................... 3,068
--------------
Total expenses........................... 3,776,004
Less: custodian fee credit................. (2,562)
--------------
Net expenses............................. 3,773,442
--------------
NET INVESTMENT INCOME........................ 1,807,070
--------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS AND FOREIGN CURRENCIES
Net realized gain (loss) on:
Investments.............................. 65,011,205
Foreign currencies....................... (3,790,338)
--------------
61,220,867
--------------
Net change in unrealized appreciation on:
Investments.............................. 18,946,200
Foreign currencies....................... 3,944,625
--------------
22,890,825
--------------
NET GAIN ON INVESTMENTS AND FOREIGN
CURRENCIES................................... 84,111,692
--------------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS................................... $ 85,918,762
==============
<TABLE>
<CAPTION>
STATEMENTS OF CHANGES IN NET ASSETS
(UNAUDITED)
SIX MONTHS ENDED YEAR ENDED
JUNE 30, 1999 DECEMBER 31, 1998
------------------ -------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income.................................................................. $ 1,807,070 $ 2,043,217
Net realized gain on investments and foreign currencies................................ 61,220,867 41,097,089
Net change in unrealized appreciation on investments and foreign currencies............ 22,890,825 121,145,340
------------------ -------------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS................................... 85,918,762 164,285,646
------------------ -------------------
DIVIDENDS AND DISTRIBUTIONS:
Dividends from net investment income................................................... -- (5,559,015)
Distributions in excess of net investment income....................................... (4,140,269) (4,481,373)
Distributions from net realized capital gains.......................................... (7,259,626) (35,181,433)
------------------ -------------------
TOTAL DIVIDENDS AND DISTRIBUTIONS...................................................... (11,399,895) (45,221,821)
------------------ -------------------
CAPITAL STOCK TRANSACTIONS:
Capital stock sold [6,837,364 and 9,626,530 shares, respectively]...................... 147,170,773 191,039,953
Capital stock issued in reinvestment of dividends and distributions [520,780 and
2,231,010 shares, respectively]....................................................... 11,399,895 45,221,821
Capital stock repurchased [(5,304,497) and (7,562,638) shares, respectively]........... (115,670,428) (149,184,992)
------------------ -------------------
NET INCREASE IN NET ASSETS RESULTING FROM CAPITAL STOCK TRANSACTIONS................... 42,900,240 87,076,782
------------------ -------------------
TOTAL INCREASE IN NET ASSETS............................................................. 117,419,107 206,140,607
NET ASSETS:
Beginning of period.................................................................... 844,541,959 638,401,352
------------------ -------------------
End of period.......................................................................... $ 961,961,066 $ 844,541,959
================== ===================
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
A14
<PAGE>
FINANCIAL STATEMENTS OF
THE PRUDENTIAL SERIES FUND, INC.
NATURAL RESOURCES PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES (UNAUDITED)
June 30, 1999
ASSETS
Investments, at value (cost:
$269,969,916)............................ $ 275,449,098
Foreign currency, at value (cost:
$900,188)................................ 897,339
Receivable for investments sold............ 3,705,395
Dividends receivable....................... 323,971
Receivable for capital stock sold.......... 179,800
--------------
Total Assets............................. 280,555,603
--------------
LIABILITIES
Bank overdraft............................. 1,451,107
Payable to investment adviser.............. 294,818
Payable for capital stock repurchased...... 174,999
Accrued expenses........................... 93,491
--------------
Total Liabilities........................ 2,014,415
--------------
NET ASSETS................................... $ 278,541,188
==============
Net assets were comprised of:
Common stock, at $0.01 par value......... $ 174,837
Paid-in capital, in excess of par........ 283,071,385
--------------
283,246,222
Undistributed net investment income........ 130,298
Accumulated net realized loss on
investments.............................. (10,315,422)
Net unrealized appreciation on investments
and foreign currencies................... 5,480,090
--------------
Net assets, June 30, 1999.................. $ 278,541,188
==============
Net asset value and redemption price per
share, 17,483,668 outstanding shares of
common stock (authorized 30,000,000
shares).................................. $ 15.93
==============
STATEMENT OF OPERATIONS
(UNAUDITED)
Six Months Ended June 30, 1999
INVESTMENT INCOME
Dividends (net of $107,515 foreign
withholding tax)......................... $ 1,392,631
Interest................................... 21,156
--------------
1,413,787
--------------
EXPENSES
Investment advisory fee.................... 549,963
Shareholders' reports...................... 45,000
Accounting fees............................ 38,000
Custodian expense.......................... 28,000
Transfer agent's fees and expenses......... 3,000
Audit fees and expenses.................... 1,000
Directors' fees............................ 1,500
Miscellaneous expenses..................... 366
--------------
Total expenses........................... 666,829
Less: custodian fee credit................. (599)
--------------
Net expenses............................. 666,230
--------------
NET INVESTMENT INCOME........................ 747,557
--------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS AND FOREIGN CURRENCIES
Net realized gain (loss) on:
Investments.............................. (3,485,267)
Foreign currencies....................... 52,384
--------------
(3,432,883)
--------------
Net change in unrealized appreciation
(depreciation) on:
Investments.............................. 74,563,033
Foreign currencies....................... 668
--------------
74,563,701
--------------
NET GAIN ON INVESTMENTS AND FOREIGN
CURRENCIES................................... 71,130,818
--------------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS................................... $ 71,878,375
==============
<TABLE>
<CAPTION>
STATEMENTS OF CHANGES IN NET ASSETS
(UNAUDITED)
SIX MONTHS ENDED YEAR ENDED
JUNE 30, 1999 DECEMBER 31, 1998
------------------ -------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income.................................................................. $ 747,557 $ 1,896,076
Net realized loss on investments and foreign currencies................................ (3,432,883) (6,912,168)
Net change in unrealized appreciation (depreciation) on investments and foreign
currencies............................................................................ 74,563,701 (47,044,412)
------------------ -------------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS........................ 71,878,375 (52,060,504)
------------------ -------------------
DIVIDENDS AND DISTRIBUTIONS:
Dividends from net investment income................................................... (621,753) (2,234,825)
Distributions from net realized capital gains.......................................... -- (16,376,612)
Tax return of capital distributions.................................................... -- (222,068)
------------------ -------------------
TOTAL DIVIDENDS AND DISTRIBUTIONS...................................................... (621,753) (18,833,505)
------------------ -------------------
CAPITAL STOCK TRANSACTIONS:
Capital stock sold [419,940 and 332,632 shares, respectively].......................... 5,782,546 4,416,142
Capital stock issued in reinvestment of dividends and distributions [42,968 and
1,190,078 shares, respectively]....................................................... 621,753 18,833,505
Capital stock repurchased [(2,747,221) and (5,235,801) shares, respectively]........... (36,018,371) (73,408,413)
------------------ -------------------
NET DECREASE IN NET ASSETS RESULTING FROM CAPITAL STOCK TRANSACTIONS................... (29,614,072) (50,158,766)
------------------ -------------------
TOTAL INCREASE (DECREASE) IN NET ASSETS.................................................. 41,642,550 (121,052,775)
NET ASSETS:
Beginning of period.................................................................... 236,898,638 357,951,413
------------------ -------------------
End of period (a)...................................................................... $ 278,541,188 $ 236,898,638
================== ===================
(a) Includes undistributed net investment income of:................................... $ 130,298 $ --
------------------ -------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
A15
<PAGE>
THE PRUDENTIAL SERIES FUND, INC.
SCHEDULE OF INVESTMENTS
MONEY MARKET PORTFOLIO
JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL
INTEREST MATURITY AMOUNT VALUE
RATE DATE (000) (NOTE 2)
------ -------- --------- --------------
<S> <C> <C> <C> <C>
BANK NOTES -- 7.9%
Amex Centurion Bank............................. 4.91% 07/08/00 $ 5,000 $ 5,000,000
Comerical Bank, N.A............................. 4.87% 07/13/00 12,000 11,992,666
FCC National Bank (a)........................... 5.12% 02/23/00 10,000 9,997,811
FCC National Bank (a)........................... 5.14% 03/22/00 5,000 4,998,781
First Union National Bank....................... 4.95% 08/18/00 20,000 20,000,000
Keybank, N.A. (a)............................... 5.04% 09/14/00 8,000 7,995,494
Keybank, N.A. (a)............................... 5.05% 07/19/00 4,000 4,003,083
Keybank, N.A. (a)............................... 5.11% 09/24/00 1,000 999,516
Nationsbank Corp. (a)........................... 4.96% 07/01/99 8,000 8,000,000
U.S. Bank, N.A. (a)............................. 4.91% 07/21/00 8,000 7,994,630
U.S. Bank, N.A. (a)............................. 5.02% 07/26/00 14,000 13,993,197
--------------
94,975,178
--------------
CERTIFICATES OF DEPOSIT-DOMESTIC -- 0.1%
Morgan Guaranty Trust Co........................ 4.90% 07/19/99 1,000 999,967
--------------
CERTIFICATES OF DEPOSIT-EURODOLLAR -- 1.8%
ING Bank........................................ 4.94% 10/14/99 2,000 2,000,049
ING Bank........................................ 4.98% 11/10/99 20,000 19,999,445
--------------
21,999,494
--------------
CERTIFICATES OF DEPOSIT-YANKEE -- 7.9%
Deutsche Bank................................... 4.98% 02/02/00 10,000 9,998,287
Deutsche Bank................................... 5.01% 01/24/00 5,000 4,998,906
Deutsche Bank................................... 5.06% 01/18/00 10,000 9,998,408
Royal Bank of Canada............................ 4.99% 01/31/00 30,000 29,994,925
Royal Bank of Canada............................ 5.53% 08/06/99 14,000 13,999,061
Toronto Dominion Bank........................... 5.02% 02/04/00 5,000 4,999,136
Toronto Dominion Bank........................... 5.12% 02/18/00 10,000 9,997,857
UBS, A.G........................................ 5.29% 05/19/00 10,000 9,994,894
--------------
93,981,474
--------------
COMMERCIAL PAPER -- 59.5%
ABB Treasury Services, PLC...................... 5.85% 07/01/99 49,090 49,090,000
Abn-Amro North America Finance.................. 4.77% 07/19/99 25,000 24,940,375
Allianz of America Financial Corp............... 5.20% 09/09/99 2,600 2,573,711
American General Finance Corp................... 5.19% 08/23/99 11,000 10,915,951
American Honda Finance Corp..................... 5.23% 07/26/99 4,300 4,284,383
Ameritech Capital Funding....................... 5.20% 07/29/99 14,234 14,176,431
Aon Corp........................................ 5.26% 07/30/99 3,000 2,987,288
Associates First Capital........................ 4.93% 07/14/99 5,500 5,490,208
BBL North America............................... 5.03% 08/17/99 9,000 8,940,897
Bell Atlantic Network Funding................... 5.25% 07/22/99 7,000 6,978,562
Blue Ridge Asst Fund............................ 4.95% 07/06/99 9,456 9,449,499
Bradford & Bingley Building Society............. 4.89% 08/17/99 7,000 6,955,311
CBA (Delaware) Finance Corp..................... 5.23% 11/24/99 5,500 5,383,342
Centric Capital Corp............................ 5.23% 08/30/99 3,280 3,251,409
Centric Capital Corp............................ 5.23% 08/31/99 5,421 5,372,959
Chevron U.S.A., Inc............................. 5.11% 08/09/99 8,000 7,955,713
CIT Group, Inc.................................. 5.03% 07/22/99 7,000 6,979,461
Colonial Pipeline Co............................ 4.80% 07/21/99 6,400 6,382,933
Colonial Pipeline Co............................ 5.05% 08/31/99 12,600 12,492,182
Countrywide Home Loan........................... 5.23% 08/19/99 11,000 10,921,695
Countrywide Home Loan........................... 5.35% 08/16/99 6,000 5,958,983
Cregem North America............................ 4.81% 07/28/99 30,000 29,891,775
Cregem North America............................ 4.90% 07/22/99 552 550,422
Daimler Chrysler................................ 5.20% 08/26/99 21,600 21,425,280
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B1
<PAGE>
MONEY MARKET PORTFOLIO (CONTINUED)
JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL
INTEREST MATURITY AMOUNT VALUE
RATE DATE (000) (NOTE 2)
------ -------- --------- --------------
<S> <C> <C> <C> <C>
COMMERCIAL PAPER (CONT'D.)
Den Danske Corp................................. 4.86% 07/20/99 $ 10,000 $ 9,974,350
Eastman Kodak Co................................ 4.80% 07/22/99 10,000 9,972,000
Enterprise Funding Corp......................... 5.13% 08/16/99 3,047 3,027,027
Enterprise Funding Corp......................... 5.13% 08/23/99 1,000 992,447
Enterprise Funding Corp......................... 5.25% 08/12/99 1,155 1,147,926
Falcon Asset Securitization Corp................ 5.15% 08/09/99 7,000 6,960,946
Falcon Asset Securitization Corp................ 5.15% 08/16/99 6,798 6,753,265
Falcon Asset Securitization Corp................ 5.25% 08/12/99 8,363 8,311,777
Finova Capital Corp............................. 5.35% 07/14/99 8,000 7,984,544
FPL Group Capital, Inc.......................... 4.95% 07/12/99 5,000 4,992,438
FPL Group Capital, Inc.......................... 5.25% 08/20/99 2,000 1,985,417
General Electric Capital Corp................... 4.82% 07/23/99 9,000 8,973,490
General Electric Capital Corp................... 5.06% 08/02/99 25,000 24,887,556
General Electric Financial Assurance............ 5.13% 08/23/99 5,000 4,962,238
General Motors Acceptance Corp.................. 4.90% 07/15/99 42,000 41,919,967
General Motors Acceptance Corp.................. 5.00% 07/14/99 11,518 11,497,204
General Motors Acceptance Corp.................. 5.04% 08/23/99 6,000 5,955,480
Household Finance Corp.......................... 5.13% 08/23/99 22,000 21,833,845
John Hancock Capital Corp....................... 5.05% 07/20/99 10,000 9,973,347
John Hancock Mutual Life........................ 5.15% 07/14/00 5,000 5,000,000
Merrill Lynch & Co., Inc........................ 5.02% 07/27/99 6,000 5,978,247
Mont Blanc Capital Corp......................... 5.07% 07/20/99 5,000 4,986,621
Monte Rosa Capital Corp......................... 4.92% 07/06/99 857 856,414
Monte Rosa Capital Corp......................... 4.97% 07/08/99 26,921 26,894,984
Morgan (J.P.) & Co., Inc........................ 4.89% 09/14/99 2,000 1,979,625
Nationwide Building Society..................... 4.88% 07/27/99 15,000 14,947,133
Nationwide Building Society..................... 5.08% 09/08/99 26,239 25,983,520
Nordbanken, N.A................................. 4.83% 07/16/99 5,000 4,989,938
Nordbanken, N.A................................. 5.10% 08/23/99 6,000 5,954,950
Old Line Funding Corp........................... 4.90% 07/19/99 4,954 4,941,863
Old Line Funding Corp........................... 5.10% 07/20/99 5,361 5,346,570
Old Line Funding Corp........................... 5.10% 08/06/99 1,700 1,691,330
Paccar Financial Corp........................... 5.20% 07/28/99 2,000 1,992,200
Panasonic Finance............................... 5.80% 07/01/99 12,779 12,779,000
PNC Funding Corp................................ 5.10% 08/23/99 5,000 4,962,458
Preferred Receivables Funding Corp.............. 5.05% 08/05/99 9,345 9,299,119
Preferred Receivables Funding Corp.............. 5.20% 08/12/99 1,416 1,407,410
Quincy Capital.................................. 5.07% 08/17/99 5,000 4,966,904
Receivables Capital Corp........................ 5.20% 08/23/99 1,309 1,298,979
Safeco Corp..................................... 5.20% 08/23/99 19,000 18,854,544
Sony Capital Corp............................... 5.90% 07/01/99 298 298,000
Strategic MM Tr 99-B............................ 5.10% 09/15/00 9,000 9,000,000
SMM Trust Notes 1995-Q (a)...................... 5.32% 09/15/99 27,000 27,000,000
Thunder Bay Funding............................. 4.95% 07/06/99 4,000 3,997,250
Thunder Bay Funding............................. 5.07% 07/21/99 6,500 6,481,692
Triple-A One Plus Funding....................... 4.95% 07/06/99 23,000 22,984,188
Variable Funding Capital........................ 5.05% 07/19/99 2,000 1,994,950
Variable Funding Capital........................ 5.10% 07/21/99 3,468 3,458,174
Windmill Funding Corp........................... 5.10% 07/22/99 6,000 5,982,150
Windmill Funding Corp........................... 5.10% 07/27/99 3,800 3,786,003
Wood Street Funding Corp........................ 4.92% 07/20/99 2,350 2,343,898
Wood Street Funding Corp........................ 5.10% 07/21/99 2,307 2,300,464
--------------
710,192,612
--------------
LOAN PARTICIPATIONS -- 3.8%
American Honda Finance Corp..................... 5.10% 07/19/99 10,000 10,000,000
Baker Hughes, Inc............................... 5.92% 07/01/99 20,000 20,000,000
Caterpillar, Inc................................ 5.45% 07/07/99 15,000 15,000,000
--------------
45,000,000
--------------
OTHER CORPORATE OBLIGATIONS -- 18.9%
Association Corp. of North America.............. 5.10% 07/29/00 50,000 49,965,191
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B2
<PAGE>
MONEY MARKET PORTFOLIO (CONTINUED)
JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL
INTEREST MATURITY AMOUNT VALUE
RATE DATE (000) (NOTE 2)
------ -------- --------- --------------
<S> <C> <C> <C> <C>
OTHER CORPORATE OBLIGATIONS (CONT'D.)
Association Corp. of North America.............. 7.25% 09/01/99 $ 1,500 $ 1,505,365
Bank of America Corp............................ 5.40% 08/01/99 3,700 3,704,827
Bishops Gate Residential Mortgage 98-2 (a)...... 5.74% 07/22/99 6,000 6,000,000
Chase Manhattan Bank (D.E.)..................... 4.89% 07/26/00 25,000 24,985,550
Chrysler Financial Corp......................... 6.38% 01/28/00 9,000 9,066,186
Commercial Credit Co............................ 6.00% 04/15/00 10,000 10,056,078
First Data Corp................................. 5.04% 08/17/99 17,040 16,927,877
General Electric Capital Corp................... 4.95% 08/12/00 20,000 20,000,000
General Mills Corp.............................. 9.00% 07/06/99 4,000 4,002,163
Goldman Sachs Group L.P. (a).................... 5.62% 07/19/01 30,000 30,000,000
Restructured Asset Securities Enhanced Return
98-8-5........................................ 5.64% 07/02/99 19,000 19,000,000
Restructured Asset Securities Enhanced Return
98MM-12-3..................................... 5.68% 07/21/00 16,000 16,000,000
Security Life Denver............................ 5.07% 07/12/00 2,000 2,000,000
Short Term Repackaged Asset Trust 98-E.......... 5.59% 08/18/99 12,000 12,000,000
--------------
225,213,237
--------------
TOTAL INVESTMENTS -- 99.9%
(amortized cost $1,192,361,962; (b)).......................................... 1,192,361,962
--------------
OTHER ASSETS IN EXCESS OF LIABILITIES -- 0.1%................................... 633,153
--------------
TOTAL NET ASSETS -- 100.0%...................................................... $1,192,995,115
==============
</TABLE>
The following abbreviations are used in portfolio descriptions:
AG Aktiengesellschaft (German Stock Company)
PLC Public Limited Company (British Corporation)
(a) Indicates a variable rate security. The maturity date presented for these
instruments is the later of the next date on which the security can be
redeemed at par or the next date on which the rate of interest is adjusted.
The interest rate shown reflects the rate in effect at June 30, 1999.
(b) The cost of securities for federal income tax purposes is substantially the
same as for financial reporting purposes.
The industry classification of portfolio holdings and other assets in
excess of liabilities shown as a percentage of net assets as of June 30,
1999 was as follows:
Commercial Banks 35.5%
Asset Backed Securities 14.9%
Motor Vehicle Parts 11.3%
Personal Credit 8.4%
Short-Term Business Credit 7.1%
Bank Holding Company U.S. 3.0%
Security Brokers & Dealers 3.0%
Life Insurance 2.4%
Telecommunications 1.8%
Fire, Marine, & Casualty Insurance 1.6%
Natural Gas Exploration 1.6%
Computer Rental & Leasing 1.4%
Mortgage Bankers 1.4%
Construction 1.3%
Photographic Equipment 0.8%
Petroleum Refining 0.7%
Electrical Services 0.6%
Accidental/Health Insurance 0.3%
Grain Mills Products 0.3%
---------
97.4%
Other assets in excess of liabilities 2.6%
---------
100.0%
=========
SEE NOTES TO FINANCIAL STATEMENTS.
B3
<PAGE>
DIVERSIFIED BOND PORTFOLIO
JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
LONG-TERM INVESTMENTS -- 94.5% PRINCIPAL
MOODY'S INTEREST MATURITY AMOUNT VALUE
LONG-TERM BONDS -- 93.9% RATING RATE DATE (000) (NOTE 2)
------------ ------ -------- --------- --------------
<S> <C> <C> <C> <C> <C>
AEROSPACE -- 1.8%
Boeing Co....................................... Aa3 8.75% 08/15/21 $ 6,250 $ 7,258,562
Raytheon Co..................................... Baa1 5.95% 03/15/01 6,500 6,478,485
Raytheon Co..................................... Baa1 6.45% 08/15/02 5,000 5,010,950
Raytheon Co..................................... Baa1 6.50% 07/15/05 4,200 4,150,986
--------------
22,898,983
--------------
AIRLINES -- 2.6%
Continental Airlines, Inc....................... Ba2 8.00% 12/15/05 6,910 6,595,871
Continental Airlines, Inc....................... Aa3 7.46% 04/01/15 5,228 5,298,060
Delta Air Lines, Inc............................ Ba1 9.875% 05/15/00 6,000 6,170,400
United Airlines, Inc............................ Baa3 10.67% 05/01/04 7,000 7,905,730
United Airlines, Inc............................ Baa3 11.21% 05/01/14 5,000 6,400,300
--------------
32,370,361
--------------
ASSET-BACKED SECURITIES -- 1.5%
Advanta Mortgage Loan Trust, Series 1994-3...... Aaa 8.49% 01/25/26 8,500 8,657,686
California Infrastructure PG&E, Series 1997-1... NR 6.32% 09/25/05 4,000 3,986,250
Chase Manhattan Credit Master Trust, Series
1996-3........................................ Aaa 7.04% 02/15/05 6,000 6,080,580
--------------
18,724,516
--------------
AUTO-CARS & TRUCKS -- 2.9%
Ford Motor Co................................... A1 6.375% 02/01/29 10,000 8,680,900
Lear Corp....................................... Ba1 7.96% 05/15/05 10,000 9,675,000
Navistar International Corp..................... Ba1 7.00% 02/01/03 3,500 3,412,500
Navistar International Corp..................... Ba3 8.00% 02/01/08 4,500 4,410,000
TRW, Inc........................................ Baa1 6.45% 06/15/01 9,200 9,208,625
--------------
35,387,025
--------------
BANKS AND SAVINGS & LOANS -- 4.6%
Banco de Commercio Exterior de Columbia, SA,
M.T.N., (Colombia)............................ NR 8.625% 06/02/00 2,000 1,977,500
Banco Ganadero, SA, M.T.N., (Colombia).......... NR 9.75% 08/26/99 4,100 4,099,319
Bayerische Landesbank Girozentrale, (Germany)... Aaa 5.875% 12/01/08 10,000 9,279,100
Capital One Bank................................ Baa3 7.08% 10/30/01 5,000 5,043,950
Citigroup....................................... NR 6.10% 05/15/08 12,500 12,238,750
Deutsche Bank................................... A1 7.872% 12/29/49 2,400 2,323,488
HSBC Holding PLC................................ A2 7.50% 07/15/09 5,700 5,758,881
International Bank for Reconstruction &
Development, (Supranational).................. Aaa 12.375% 10/15/02 750 894,007
Kansallis-Osake Pankki, (Finland)............... Baa1 8.65% 01/01/49 5,000 5,011,500
Kansallis-Osake Pankki, (Finland)............... Baa1 10.00% 05/01/02 5,000 5,418,600
National Australia Bank, (Australia)............ A1 6.40% 12/10/07 3,700 3,676,764
--------------
55,721,859
--------------
CABLE & PAY TELEVISION SYSTEMS -- 2.7%
British Sky Broadcasting, Inc................... Baa2 6.875% 02/23/09 7,800 7,116,018
Cable & Wire Communications PLC (United
Kingdom)...................................... Baa1 6.75% 12/01/08 1,650 1,588,306
CSC Holdings, Inc............................... Ba2 7.25% 07/15/08 3,400 3,239,180
CSC Holdings, Inc............................... Ba2 7.875% 12/15/07 2,800 2,779,392
Rogers Cablesystems, Inc., (Canada)............. Ba3 10.00% 03/15/05 4,000 4,280,000
Tele-Communications, Inc........................ Ba1 6.34% 02/01/02 3,500 3,510,115
Tele-Communications, Inc........................ Ba1 6.375% 09/15/99 2,750 2,755,912
Tele-Communications, Inc........................ Baa3 10.125% 04/15/22 6,300 8,204,553
--------------
33,473,476
--------------
CHEMICALS -- 1.2%
ICI Wilmington Inc.............................. Baa1 9.50% 11/15/00 3,500 3,644,865
Lyondell Chemical Co............................ Ba3 9.625% 05/01/07 2,800 2,863,000
Rohm & Haas Co.................................. A3 7.85% 07/15/29 3,900 3,897,153
Rohm & Haas Co.................................. A3 6.95% 07/15/04 4,700 4,694,308
--------------
15,099,326
--------------
COMPUTERS -- 0.2%
International Business Machine Corp............. A1 5.625% 04/12/04 3,000 2,883,000
--------------
DIVERSIFIED CONSUMER PRODUCT -- 0.4%
Owens-Illinois, Inc............................. Ba1 7.50% 05/15/10 5,000 4,755,650
--------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B4
<PAGE>
DIVERSIFIED BOND PORTFOLIO (CONTINUED)
JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL
MOODY'S INTEREST MATURITY AMOUNT VALUE
LONG-TERM BONDS (CONTINUED) RATING RATE DATE (000) (NOTE 2)
------------ ------ -------- --------- --------------
<S> <C> <C> <C> <C> <C>
DIVERSIFIED OPERATIONS -- 2.3%
Cox Enterprises, Inc............................ Baa1 6.625% 06/14/02 $ 3,200 $ 3,197,856
Hanson Overseas B.V............................. A3 7.375% 01/15/03 2,600 2,642,692
Seagram (J.) & Sons............................. Baa3 5.79% 04/15/01 11,500 11,351,650
Tyco International Ltd.......................... Baa1 6.875% 01/15/29 2,200 2,022,878
Xerox Cap Europe PLC............................ A2 5.75% 05/15/02 10,000 9,835,000
--------------
29,050,076
--------------
DRUGS & MEDICAL SUPPLIES -- 0.3%
Mallinckrodt, Inc............................... Baa2 6.30% 03/15/11 3,500 3,438,750
--------------
FINANCIAL SERVICES -- 11.3%
Advanta Corp., M.T.N............................ Ba2 7.25% 08/16/99 10,000 10,003,081
Aristar, Inc.................................... Baa1 7.50% 07/01/99 2,000 1,999,992
Arkwright Corp.................................. Baa3 9.625% 08/15/26 5,000 5,376,250
Calair Capital Corp............................. Ba2 8.125% 04/01/08 3,000 2,793,750
Capital One Financial Corp...................... Ba1 7.25% 05/01/06 4,200 4,068,750
Chrysler Financial Corp......................... A1 5.25% 10/22/01 10,400 10,166,624
Comdisco Inc.................................... Baa1 6.32% 11/27/00 10,000 10,009,300
Conseco, Inc.................................... Ba2 8.70% 11/15/26 120 107,536
Conseco, Inc.................................... Ba2 8.77% 04/01/27 4,950 4,479,255
Conseco, Inc.................................... Ba1 7.60% 06/21/01 1,500 1,504,215
Dresdner Funding Trust.......................... Aa2 8.15% 06/30/31 13,100 12,616,872
Enterprise Rent-A-Car USA Finance Co., M.T.N.... Baa3 8.75% 12/15/99 3,000 3,033,000
FMR Corp........................................ Aa3 7.57% 06/15/29 335 333,794
Ford Motor Credit Co............................ A1 5.75% 01/25/01 4,000 3,972,240
General Motors Acceptance Corp.................. A2 5.75% 11/10/03 10,000 9,675,400
General Motors Acceptance Corp.................. Baa1 8.40% 10/15/99 3,700 3,728,564
Heller Financial, Inc........................... A3 6.00% 03/19/04 2,900 2,807,229
International Lease Finance Corp................ A1 5.90% 03/12/03 16,000 15,632,960
Marsh & Mclennan Cos., Inc...................... A2 6.625% 06/15/04 3,420 3,424,685
MBNA Corp....................................... Aaa 5.90% 08/15/11 17,900 16,881,427
Nationwide CSN Trust............................ Aa3 9.875% 02/15/25 5,000 5,442,187
Reliastar Financial Corp........................ A3 6.625% 09/15/03 5,000 4,946,000
The CIT Group, Inc.............................. Aa3 5.50% 10/15/01 8,045 7,924,325
--------------
140,927,436
--------------
FOOD & BEVERAGE -- 0.5%
Archer-Daniels Midland Co....................... Aa3 6.625% 05/01/29 4,700 4,302,333
Coca-Cola Bottling Co........................... Baa2 6.375% 05/01/09 2,200 2,065,030
--------------
6,367,363
--------------
FOREST PRODUCTS -- 1.6%
Fort James Corp................................. Baa3 6.234% 03/15/01 5,000 4,954,750
Scotia Pacific Co............................... NR 7.71% 01/20/14 12,200 8,845,000
Westvaco Corp................................... A1 9.75% 06/15/20 5,000 6,277,100
--------------
20,076,850
--------------
HOUSING RELATED -- 0.4%
Owens Corning................................... Baa3 7.50% 05/01/05 5,000 4,942,188
--------------
INDUSTRIAL -- 0.5%
Burlington Industries, Inc...................... Baa3 7.25% 09/15/05 4,750 4,251,250
Compania Sud Americana de Vapores, SA,
(Chile)....................................... BBB 7.375% 12/08/03 2,000 1,898,840
--------------
6,150,090
--------------
INVESTMENT BANKERS -- 5.6%
Goldman Sachs Group, Inc........................ A1 5.56% 01/11/01 4,750 4,714,375
Lehman Brothers Holdings, Inc................... Baa1 6.625% 04/01/04- 17,830 17,366,899
02/05/06
Merrill Lynch, Pierce, Fenner & Smith, Inc...... Aa3 5.339% 06/24/03 15,000 14,906,250
Morgan Stanley, Dean Witter Discover & Co.,
M.T.N......................................... A1 6.09% 03/09/11 6,500 6,474,260
Morgan Stanley, Dean Witter Discover & Co.,
M.T.N......................................... Aa3 5.625% 04/12/02 5,450 5,324,759
Salomon, Inc.................................... Baa1 6.25% 10/01/99 8,000 8,014,000
Salomon, Inc.................................... NR 6.65% 07/15/01 7,000 7,055,440
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B5
<PAGE>
DIVERSIFIED BOND PORTFOLIO (CONTINUED)
JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL
MOODY'S INTEREST MATURITY AMOUNT VALUE
LONG-TERM BONDS (CONTINUED) RATING RATE DATE (000) (NOTE 2)
------------ ------ -------- --------- --------------
<S> <C> <C> <C> <C> <C>
INVESTMENT BANKERS (CONT'D.)
Salomon, Inc., M.T.N............................ Baa1 6.59% 02/21/01 $ 3,500 $ 3,522,435
Salomon, Inc.................................... Baa1 7.25% 05/01/01 2,250 2,290,500
--------------
69,668,918
--------------
LEISURE & TOURISM -- 1.9%
Royal Caribbean Cruises Ltd..................... Baa3 7.00% 10/15/07 8,000 7,743,120
Royal Caribbean Cruises Ltd..................... Baa3 7.25% 08/15/06 5,000 4,939,800
ITT Corp........................................ Baa2 6.25% 11/15/00 4,250 4,155,778
ITT Corp........................................ Baa2 6.75% 11/15/03 7,000 6,565,160
--------------
23,403,858
--------------
MEDIA -- 3.9%
Liberty Media Group............................. Baa3 7.875% 07/15/09 1,600 1,590,464
Liberty Media Group............................. Baa3 8.50% 07/15/29 2,800 2,792,356
News America Holding, Inc....................... Baa3 6.703% 05/21/34 22,000 21,600,700
Paramount Communications, Inc................... Ba2 7.50% 01/15/02 5,000 5,109,650
Turner Broadcasting System, Inc................. Ba1 7.40% 02/01/04 13,500 13,893,795
United News & Media PLC......................... Baa2 7.25% 07/01/04 3,000 2,972,700
--------------
47,959,665
--------------
OIL & GAS -- 0.7%
Atlantic Richfield Co........................... A2 5.55% 04/15/03 3,700 3,620,080
B.J. Services Co................................ Ba1 7.00% 02/01/06 5,000 4,920,100
--------------
8,540,180
--------------
OIL & GAS SERVICES -- 1.2%
K N Energy, Inc................................. Baa2 6.30% 03/01/21 15,000 14,948,400
--------------
RAILROADS -- 1.2%
Burlington Northern Santa Fe Corp............... Baa2 6.05% 03/15/01 8,000 7,977,600
Norfolk Southern Corp........................... Baa1 6.875% 05/01/01 7,000 7,069,020
--------------
15,046,620
--------------
REAL ESTATE INVESTMENT TRUST -- 2.6%
Camden Property Trust........................... Baa2 7.23% 10/30/00 5,000 5,005,500
Equity Residential.............................. A3 6.15% 09/15/00 15,000 14,902,500
ERP Operating, L.P.............................. A3 6.63% 04/13/05 3,900 3,762,954
ERP Operating L.P............................... A3 7.10% 06/23/04 1,500 1,501,065
Felcor Suite Hotels, Inc........................ Ba1 7.625% 10/01/07 7,900 7,149,500
--------------
32,321,519
--------------
RETAIL -- 4.1%
Dayton-Hudson Corp.............................. A3 6.40% 02/15/03 8,250 8,211,638
Federated Department Stores, Inc................ Ba1 8.125% 10/15/02 5,250 5,491,290
Federated Department Stores, Inc................ Ba1 8.50% 06/15/03 10,200 10,798,638
Kmart Corp...................................... Ba2 9.78% 01/05/20 3,850 3,946,250
Kroger Co., (The)............................... Baa3 6.34% 06/01/01 6,500 6,445,156
Kroger Co., (The)............................... Baa3 7.25% 06/01/09 3,800 3,783,375
Kroger Co., (The)............................... Baa3 7.70% 06/01/29 2,200 2,178,000
Kroger Co., (The)............................... Baa3 6.375% 03/01/08 6,600 6,148,560
Rite Aid Corp................................... A3 6.70% 12/15/01 4,000 3,986,840
--------------
50,989,747
--------------
TELECOMMUNICATIONS -- 6.5%
Electric Lightwave, Inc......................... A2 6.05% 05/15/04 3,300 3,190,572
GTE Corp........................................ Baa1 9.375% 12/01/00 6,250 6,532,250
LCI International, Inc.......................... Ba1 7.25% 06/15/07 10,125 9,941,839
Lucent Technologies, Inc........................ A2 6.45% 03/15/29 10,500 9,498,405
Qwest Communications International Inc.......... Ba1 7.50% 11/01/08 4,000 3,880,000
Sprint Corp..................................... Baa1 5.70% 11/15/03 17,000 16,292,290
Sprint Corp..................................... Baa1 6.875% 11/15/28 2,500 2,266,550
Telecom De Puerto Rico.......................... Baa2 6.65% 05/15/06 6,800 6,603,276
Telecom De Puerto Rico.......................... Baa2 6.80% 05/15/09 5,700 5,475,591
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B6
<PAGE>
DIVERSIFIED BOND PORTFOLIO (CONTINUED)
JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL
MOODY'S INTEREST MATURITY AMOUNT VALUE
LONG-TERM BONDS (CONTINUED) RATING RATE DATE (000) (NOTE 2)
------------ ------ -------- --------- --------------
<S> <C> <C> <C> <C> <C>
TELECOMMUNICATIONS (CONT'D.)
Worldcom Inc.................................... Baa2 6.125% 08/15/01 $ 8,300 $ 8,273,772
Worldcom Inc.................................... Baa2 6.95% 08/15/28 9,900 9,384,705
--------------
81,339,250
--------------
UTILITIES -- 8.9%
AES Corp........................................ Ba1 9.50% 06/01/09 2,800 2,877,000
Arkla, Inc., M.T.N.............................. Ba2 9.32% 12/18/00 2,000 2,077,560
Calenergy Co., Inc.............................. Ba1 6.96% 09/15/03 8,000 7,930,400
Calenergy Co., Inc.............................. Ba1 7.23% 09/15/05 5,000 4,964,900
CMS Energy Corp................................. Ba3 6.75% 01/15/04 6,500 6,110,000
CMS Energy Corp................................. Ba3 8.00% 07/01/01 4,500 4,488,750
Cogentrix Energy, Inc........................... Ba1 8.75% 10/15/08 10,000 9,850,000
Commonwealth Edison Co.......................... Baa3 7.625% 01/15/07 7,525 7,754,437
Connecticut Light & Power Company............... Ba2 7.75% 06/01/02 5,685 5,818,256
Edison Mission Energy........................... A3 7.73% 06/15/09 3,200 3,233,152
El Paso Electric Company........................ Ba2 7.75% 05/01/01 5,850 5,934,533
El Paso Electric Company........................ Ba3 9.40% 05/01/11 4,000 4,429,720
Illinois Power Co............................... Aaa 5.38% 06/25/07 15,000 14,273,400
Niagara Mohawk Power............................ Ba3 6.875% 04/01/03 4,000 4,045,040
Niagara Mohawk Power............................ Ba2 7.375% 08/01/03 8,000 8,195,760
Niagara Mohawk Power............................ Baa2 8.00% 06/01/04 5,000 5,209,000
Pennsylvania Electric Co........................ A2 5.75% 04/01/04 2,200 2,133,032
Pennsylvania Power & Light Co................... A2 9.375% 07/01/21 1,150 1,256,237
Texas Utilities................................. Baa3 5.94% 10/15/01 10,000 9,896,100
--------------
110,477,277
--------------
WASTE MANAGEMENT -- 0.6%
USA Waste Service............................... Baa3 6.125% 07/15/01 7,000 6,958,070
--------------
U.S. GOVERNMENT & AGENCY OBLIGATIONS -- 15.8%
Federal Farm Credit Bank........................ 8.65% 10/01/99 150 151,149
Resolution Funding Corp......................... Zero 10/15/15 17,100 5,966,190
Resolution Funding Corp......................... 8.125% 10/15/19 700 830,158
Resolution Funding Corp......................... 8.625% 01/15/21 200 248,188
Small Business Administration Participation
Certicates.................................... 6.00% 09/01/18 14,745 14,652,581
United States Treasury Bond..................... 5.25% 11/15/28 58,555 51,903,738
United States Treasury Bond (b)................. 7.25% 08/15/22 21,000 23,513,490
United States Treasury Bond..................... 7.50% 11/15/24 2,550 2,964,375
United States Treasury Bond..................... 8.125% 08/15/21 36,700 44,745,374
United States Treasury Note..................... 4.75% 11/15/08 11,200 10,284,736
United States Treasury Note..................... 5.25% 05/15/04 1,280 1,257,805
United States Treasury Note..................... 5.50% 05/15/09 35,145 34,332,096
United States Treasury Note..................... Zero 05/15/20 22,000 5,883,240
--------------
196,733,120
--------------
U.S. GOVERNMENT MORTGAGE-BACKED SECURITIES -- 0.4%
Federal National Mortgage Association........... 9.00% 10/01/16- 296 310,957
09/01/21
Government National Mortgage Association........ 7.50% 10/15/25- 4,729 4,779,239
01/15/26 --------------
5,090,196
--------------
U.S. GOVERNMENT MORTGAGE PASS-THROUGHS -- 1.3%
Federal National Mortgage Association........... 6.50% 07/01/29 15,000 14,470,350
Government National Mortgage Association........ 7.50% 05/20/02- 1,160 1,171,797
02/15/26 --------------
15,642,147
--------------
FOREIGN GOVERNMENT BONDS -- 4.4%
Quebec Province, (Canada)....................... A1 7.50% 07/15/23 8,400 8,539,944
Republic Of Columbia, (Columbia)................ Baa3 9.75% 04/23/09 2,700 2,227,500
Republic of Mexico, (Mexico).................... Ba2 5.87% 12/31/19 5,900 4,970,750
Republic of Mexico, (Mexico).................... Ba2 5.875% 12/31/19 4,200 3,538,500
Republic of Mexico, (Mexico).................... Ba2 5.875% 12/31/19 2,100 1,769,250
Republic of Panama, (Panama).................... NR 7.875% 02/13/02 8,000 7,810,000
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B7
<PAGE>
DIVERSIFIED BOND PORTFOLIO (CONTINUED)
JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL
MOODY'S INTEREST MATURITY AMOUNT VALUE
RATING RATE DATE (000) (NOTE 2)
------------ ------ -------- --------- --------------
<S> <C> <C> <C> <C> <C>
FOREIGN GOVERNMENT BONDS (CONT'D.)
Republic of Panama, (Panama).................... Ba1 4.00% 07/17/14 $ 6,600 $ 4,958,250
Republic Of Philippines, (Philippines).......... Ba1 8.875% 04/15/08 3,200 3,113,728
Republic of Poland, (Poland).................... Baa3 4.00% 10/27/24 7,500 4,837,500
United Mexican States, (Mexico)................. NR 10.375% 02/17/09 13,300 13,339,900
--------------
55,105,322
--------------
TOTAL LONG-TERM BONDS
(cost $1,194,221,808)....................................................................... 1,166,491,238
--------------
PREFERRED STOCK -- 0.6%
Centaur Funding (cost $7,664,135)................................................ 52,000 8,097,544
--------------
TOTAL LONG-TERM INVESTMENTS
(cost $1,201,885,943)....................................................................... 1,174,588,782
--------------
SHORT-TERM INVESTMENTS -- 5.6%
WARRANT (a)
Mexico VRR Debenture............................................................. 18,766,000 2
--------------
REPURCHASE AGREEMENT -- 5.6%
Joint Repurchase Agreement Account (Note 5)..... 4.775% 07/01/99 70,011 70,011,000
--------------
TOTAL SHORT-TERM INVESTMENTS
(cost $70,011,000).......................................................................... 70,011,002
--------------
TOTAL INVESTMENTS -- 100.1%
(cost $1,271,896,943; Note 6)............................................................... 1,244,599,784
VARIATION MARGIN ON OPEN FUTURES CONTRACTS -- (c)............................................. (74,531)
LIABILITIES IN EXCESS OF OTHER ASSETS -- (0.1)% (1,891,723)
--------------
NET ASSETS -- 100.0%.......................................................................... $1,242,633,530
==============
</TABLE>
The following abbreviations are used in portfolio descriptions:
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
Corp.)
NR Note Rated by Moody's or Standard & Poors
(a) Non-income producing security.
(b) Security segregated as collateral for futures contracts.
(c) Open futures contracts as of June 30, 1999 are as follows:
<TABLE>
<CAPTION>
NUMBER OF EXPIRATION VALUE AT VALUE AT
CONTRACTS TYPE DATE TRADE DATE JUNE 30, 1999 DEPRECIATION
<S> <C> <C> <C> <C> <C>
Long Position:
U.S. Treasury
210 Bond Sep 99 $24,862,031 $24,340,312 $(521,719)
Short Position:
U.S. Treasury
285 Notes Sep 99 31,397,266 31,688,437 (291,171)
-----------
$(812,890)
===========
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B8
<PAGE>
GOVERNMENT INCOME PORTFOLIO
JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL
INTEREST MATURITY AMOUNT VALUE
LONG-TERM INVESTMENTS -- 96.0% RATE DATE (000) (NOTE 2)
------ -------- --------- --------------
<S> <C> <C> <C> <C>
ASSET-BACKED SECURITIES -- 2.6%
Team Fleet Financing Corp....................... 7.350% 05/15/03 $ 10,000 $ 10,042,188
--------------
COLLATERALIZED MORTGAGE OBLIGATION -- 1.4%
Westpac Securitisation Trust, Ser. 1998-1G
(Australia)................................... 5.140% 07/19/29 5,504(a) 5,487,809
--------------
CORPORATE -- 2.1%
Merck & Co., Inc................................ 5.760% 05/03/37 8,000 8,040,000
--------------
MORTGAGE PASS-THROUGHS -- 28.9%
Federal Home Loan Mortgage Association.......... 5.875% 04/23/04 6,500 6,361,875
Federal Home Loan Mortgage Corp................. 5.750% 10/15/07 15,000 14,896,875
Federal Home Loan Mortgage Corp................. 7.360% 06/05/07 15,000 15,229,650
Federal National Mortgage Association........... 5.125% 02/13/04 8,300 7,957,625
Federal National Mortgage Association........... 7.000% 07/01/29 19,000 18,744,640
Federal National Mortgage Association........... 7.500% 02/01/02-
08/01/29 24,001 24,319,035
Federal National Mortgage Association........... 8.000% 03/01/22-
03/01/25 816 838,652
Federal National Mortgage Association........... 9.000% 02/01/25-
04/01/25 4,374 4,617,443
Government National Mortgage Association........ 7.500% 12/15/25-
02/15/26 12,132 12,264,062
Government National Mortgage Association........ 8.000% 09/15/23-
02/15/24 5,489 5,655,157
--------------
110,885,014
--------------
U.S. GOVERNMENT & AGENCY OBLIGATIONS -- 61.0%
Federal Farm Credit Bank........................ 5.900% 01/10/05 5,000 4,896,100
Federal Home Loan Mortgage Association.......... Zero 02/15/06 15,364 10,181,108
Federal Home Loan Mortgage Association.......... Zero 06/01/17 40,000 12,331,200
Federal National Mortgage Association........... 6.060% 05/21/03 30,000 29,601,600
Israel AID...................................... Zero 08/15/09 20,000 11,006,250
Resolution Funding Corp......................... 8.125% 10/15/19 4,200 4,980,948
Small Business Administration Participation
Certicates.................................... 6.000% 09/01/18 7,864 7,814,710
Small Business Administration Participation
Certificates.................................. 6.850% 07/01/17 4,702 4,602,371
Small Business Administration Participation
Certificates.................................. 7.150% 01/01/17 17,407 17,458,763
Small Business Administration Participation
Certificates.................................. 7.200% 10/01/16 17,995 18,085,240
United States Treasury Bonds.................... 7.250% 08/15/22 4,000 4,478,760
United States Treasury Bonds.................... 8.125% 08/15/19 50,000 60,390,500
United States Treasury Bonds.................... 11.750% 02/15/10 16,450 20,837,544
United States Treasury Notes.................... 7.875% 11/15/04 3,000 3,281,250
United States Treasury Notes.................... 10.000% 05/15/10 20,600 24,539,750
--------------
234,486,094
--------------
TOTAL LONG-TERM INVESTMENTS
(cost $374,521,151)........................................................... 368,941,105
--------------
SHORT-TERM INVESTMENTS -- 10.6%
COMMERCIAL PAPER -- 3.9%
Blue Ridge Asset Funding........................ 5.050% 07/14/99 3,800 3,793,070
Dover Corp...................................... 5.020% 07/14/99 3,800 3,793,112
Thunder Bay Funding, Inc........................ 5.050% 07/14/99 3,800 3,793,070
Triple-A One Funding Corp....................... 5.050% 07/06/99 2,227 2,225,438
Triple-A One Funding Corp....................... 5.050% 07/12/99 1,221 1,219,116
--------------
14,823,806
--------------
REPURCHASE AGREEMENT -- 4.1%
Joint Repurchase Agreement Account (Note 5)..... 4.775% 07/01/99 15,824 15,824,000
--------------
U. S. GOVERNMENT SECURITIES -- 2.6%
United States Treasury Notes.................... 7.750% 12/31/99 10,000 10,128,100
--------------
TOTAL SHORT-TERM INVESTMENTS
(cost $40,656,915)............................................................ 40,775,906
--------------
TOTAL INVESTMENTS -- 106.6%
(cost $415,178,066; Note 6)................................................... 409,717,011
--------------
VARIATION MARGIN ON OPEN FUTURES CONTRACTS...................................... (33,125)
LIABILITIES IN EXCESS OF OTHER ASSETS -- (6.6%)................................. (25,544,442)
--------------
NET ASSETS -- 100.0%............................................................ $ 384,139,444
==============
</TABLE>
The following abbreviation is used in portfolio descriptions:
AID Agency for International Development
(a) US$ Denominated Foreign Bonds
SEE NOTES TO FINANCIAL STATEMENTS.
B9
<PAGE>
ZERO COUPON BOND 2000 PORTFOLIO
JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
LONG-TERM INVESTMENTS -- 100.1% PRINCIPAL
INTEREST MATURITY AMOUNT VALUE
LONG-TERM BONDS RATE DATE (000) (NOTE 2)
------ -------- --------- --------------
<S> <C> <C> <C> <C>
U.S. GOVERNMENT & AGENCY OBLIGATIONS
Federal National Mortgage Association........... Zero 01/24/02 $ 7,777 $ 6,722,205
Federal National Mortgage Association........... Zero 07/24/02 4,527 3,778,642
United States Treasury Bonds.................... Zero 11/15/00 27,275 25,358,658
United States Treasury Bonds.................... Zero 02/15/02 3,950 3,415,289
--------------
TOTAL LONG-TERM INVESTMENTS
(cost $38,220,138)............................................................ 39,274,794
--------------
SHORT-TERM INVESTMENT -- 0.1%
REPURCHASE AGREEMENT
Joint Repurchase Agreement Account (cost
$46,000; Note 5).............................. 4.775% 07/01/99 46 46,000
--------------
TOTAL INVESTMENTS -- 100.2%
(cost $38,266,138; Note 6).................................................... 39,320,794
LIABILITIES IN EXCESS OF OTHER ASSETS -- (0.2%)................................. (73,397)
--------------
NET ASSETS -- 100.0%............................................................ $ 39,247,397
==============
</TABLE>
ZERO COUPON BOND 2005 PORTFOLIO
JUNE 30, 1999 (UNAUDITED)
LONG-TERM INVESTMENTS -- 99.8%
<TABLE>
<CAPTION>
LONG-TERM BONDS
U.S. GOVERNMENT & AGENCY OBLIGATIONS
<S> <C> <C> <C> <C>
Federal National Mortgage Association........... Zero 01/24/05 $ 1,400 $ 991,368
Federal National Mortgage Association........... Zero 01/24/06 2,320 1,543,171
Financing Corp.................................. Zero 03/07/04 3,350 2,457,627
Financing Corp.................................. Zero 02/08/05 688 473,200
Financing Corp.................................. Zero 11/11/05 425 277,155
Financing Corp.................................. Zero 08/08/07 2,070 1,221,673
Resolution Funding Corp......................... Zero 07/15/07 4,350 2,611,348
United States Treasury Bond..................... Zero 11/15/04 7,200 5,262,768
United States Treasury Bond..................... Zero 05/15/05 17,640 12,462,484
United States Treasury Bond..................... Zero 08/15/05 15,075 10,500,340
United States Treasury Bond..................... Zero 11/15/05 1,000 686,750
United States Treasury Bond..................... Zero 02/15/06 7,900 5,341,822
--------------
TOTAL LONG-TERM INVESTMENTS
(cost $42,761,548)............................................................ 43,829,706
--------------
SHORT-TERM INVESTMENT -- 0.3%
REPURCHASE AGREEMENT
Joint Repurchase Agreement Account (cost
$140,000; Note 5)............................. 4.775% 07/01/99 140 140,000
--------------
TOTAL INVESTMENTS -- 100.1%
(cost $42,901,548; Note 6).................................................... 43,969,706
--------------
LIABILITIES IN EXCESS OF OTHER ASSETS -- (0.1%)................................. (32,849)
--------------
NET ASSETS -- 100.0%............................................................ $ 43,936,857
==============
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B10
<PAGE>
CONSERVATIVE BALANCED PORTFOLIO
June 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
LONG-TERM INVESTMENTS -- 92.4% PRINCIPAL
MOODY'S AMOUNT VALUE
LONG-TERM BONDS -- 52.9% RATING (000) (NOTE 2)
------------ --------- --------------
<S> <C> <C> <C>
AEROSPACE -- 0.8%
Lockheed Martin Corp.,
6.85%, 05/15/01............................... A3 $ 1,900 $ 1,919,741
Raytheon Co.,
5.95%, 03/15/01............................... Baa1 34,900 34,784,481
--------------
36,704,222
--------------
AIRLINES -- 2.9%
Continental Airlines, Inc.,
7.461%, 04/01/15.............................. Aa3 11,691 11,848,390
8.00%, 12/15/05............................... Ba2 4,270 4,075,886
Delta Airlines, Inc.,
10.125%, 05/15/10............................. Baa3 14,000 16,608,480
10.375%, 02/01/11............................. Ba1 22,905 27,689,396
United Airlines, Inc.,
10.67%, 05/01/04.............................. Baa3 46,865 52,928,862
11.21%, 05/01/14.............................. Baa3 18,433 23,595,346
--------------
136,746,360
--------------
ASSET-BACKED SECURITIES -- 3.9%
California Infrastructure SCE-1, Ser. 1997-1,
6.14%, 03/25/02............................... Aaa 3,356 3,361,061
6.17%, 03/25/03............................... Aaa 6,000 6,011,220
6.28%, 09/25/05............................... Aaa 7,000 6,964,720
Chase Manhattan Credit Master Trust, Ser.
1996-3,
7.04%, 02/15/05............................... Aaa 15,000 15,201,450
Citibank Credit Card Master Trust I, (c)
6.10%, 05/15/08............................... Aaa 56,500 55,319,150
MBNA Master Card Trust, Ser. 1999-B,
5.90%, 08/15/11............................... Aaa 41,400 39,044,193
Peco Energy Transition Trust, Ser. 1999-A,
5.63%, 03/01/05............................... Aaa 28,000 27,445,320
5.80%, 03/01/07............................... Aaa 14,500 13,963,065
Standard Credit Card Master Trust, Ser. 1993-2,
5.95%, 10/07/04............................... Aaa 4,650 4,555,512
Team Fleet Financing Corp., Ser. 1997-1,
7.35%, 05/15/03............................... Aa2 11,000 11,046,406
--------------
182,912,097
--------------
AUTO-CARS & TRUCKS -- 1.7%
Ford Motor Co.,
6.375%, 02/01/29.............................. A1 16,000 13,889,440
Lear Corp.,
7.96%, 05/15/05............................... Ba1 15,000 14,512,500
TRW, Inc.,
6.45%, 06/15/01............................... Baa1 50,300 50,347,156
--------------
78,749,096
--------------
BANKS AND SAVINGS & LOANS -- 3.4%
Bank of Nova Scotia, (Canada),
6.50%, 07/15/07............................... A1 7,200 7,150,500
Bayerische Landesbank Girozentrale, (Germany),
(c)
5.875%, 12/01/08.............................. Aaa 22,000 20,414,020
Capital One Bank,
6.97%, 02/04/02............................... Baa3 25,000 25,130,750
7.08%, 10/30/01............................... Baa3 19,000 19,167,010
Deutsche Bank,
7.872%, 12/29/49.............................. A1 3,300 3,194,796
HSBC Holding PLC,
7.50%, 07/15/09............................... A2 12,100 12,224,993
Kansallis-Osake-Pankki, (Finland),
8.65%, 01/01/49............................... Baa1 10,000 10,023,000
Key Bank,
5.80%, 04/01/04............................... Aa3 30,000 29,025,600
National Australia Bank, (Australia),
6.40%, 12/10/07............................... A1 14,000 13,912,080
Okobank, (Finland),
6.561%, 09/27/49.............................. A3 6,250 6,231,250
7.325%, 10/29/49.............................. NR 9,000 9,000,000
7.70%, 10/29/49............................... NR 3,500 3,500,000
--------------
158,973,999
--------------
CABLE & PAY TELEVISION SYSTEMS -- 1.6%
British Sky Broadcasting, Inc.,
6.875%, 02/23/09.............................. Baa2 17,200 15,691,732
Cable & Wire Communications PLC, (United
Kingdom),
6.75%, 12/01/08............................... Baa1 4,200 4,042,962
CSC Holdings, Inc.,
7.25%, 07/15/08............................... Ba2 7,600 7,240,520
7.875%, 12/15/07.............................. Ba2 6,200 6,154,368
Tele-Communications, Inc.,
6.34%, 02/01/02............................... Ba1 12,000 12,034,680
8.25%, 01/15/03............................... Baa3 2,000 2,118,920
9.25%, 04/15/02............................... Baa3 9,500 10,221,810
9.875%, 06/15/22.............................. Baa3 12,900 16,454,853
--------------
73,959,845
--------------
CHEMICALS -- 0.6%
ICI Wilmington Inc.,
9.50%, 11/15/00............................... Baa1 8,000 8,331,120
Lyondell Chemical Co.,
9.625%, 05/01/07.............................. Ba3 6,200 6,339,500
Rohm & Haas Co.,
6.95%, 07/15/04............................... A3 4,000 3,999,040
6.95%, 07/15/04............................... A3 6,100 6,088,593
7.85%, 07/15/29............................... A3 5,200 5,196,204
--------------
29,954,457
--------------
COMPUTERS -- 0.1%
International Business Machine Corp.,
5.625%, 04/12/04.............................. A1 6,000 5,766,000
--------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B11
<PAGE>
CONSERVATIVE BALANCED PORTFOLIO (CONTINUED)
JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL
MOODY'S AMOUNT VALUE
LONG-TERM BONDS (CONTINUED) RATING (000) (NOTE 2)
------------ --------- --------------
<S> <C> <C> <C>
CONSULTING -- 1.1%
Comdisco, Inc., M.T.N.,
6.00%, 01/30/02............................... Baa1 $ 30,000 $ 29,579,400
6.375%, 11/30/01.............................. Baa1 21,500 21,443,025
--------------
51,022,425
--------------
CONTAINERS -- 0.6%
Owens-Illinois, Inc.,
7.15%, 05/15/05............................... Ba1 26,000 24,995,880
7.50%, 05/15/10............................... Ba1 800 760,904
--------------
25,756,784
--------------
DIVERSIFIED OPERATIONS -- 1.1%
Cox Enterprises, Inc., (c)
6.625%, 06/14/02.............................. Baa1 7,200 7,195,176
Seagram (J.) & Sons,
5.79%, 04/15/01............................... Baa3 22,800 22,505,880
Tyco International Group, SA,
6.125%, 06/15/01.............................. Baa1 17,725 17,631,235
6.875%, 01/15/29.............................. Baa1 3,000 2,758,470
--------------
50,090,761
--------------
DRUGS & MEDICAL SUPPLIES -- 0.4%
Mallinckrodt, Inc.,
6.30%, 03/15/11 (a)........................... Baa2 16,780 16,486,350
--------------
FINANCIAL SERVICES -- 11.4%
Advanta Corp., M.T.N.,
7.50%, 08/28/00............................... Ba2 35,000 34,438,250
Arkwright Corp.,
9.625%, 08/15/26.............................. Baa3 8,000 8,602,000
BCH Financial Services,
5.496%, 04/28/05.............................. A3 10,000 9,982,100
Bear Stearns & Co.,
6.50%, 07/05/00............................... A2 20,000 20,045,000
Capital One Financial Corp.,
7.25%, 05/01/06............................... Ba1 9,300 9,009,375
CIT Group Inc.,
5.80%, 03/26/02............................... Aa3 16,000 15,754,720
CoMed Transitional Funding Trust,
5.44%, 03/25/07............................... Aaa 24,820 23,718,488
Conseco, Inc.,
7.60%, 06/21/01............................... Ba1 7,000 7,019,670
8.70%, 11/15/26............................... Ba2 2,422 2,170,427
8.796%, 04/01/27.............................. Ba2 4,170 3,773,433
Donaldson Lufkin, & Jenrette Inc.,
5.625%, 02/15/16.............................. Baa1 5,480 5,423,392
Dresdner Funding Trust,
8.15%, 06/30/31............................... Aa2 18,200 17,528,784
Enterprise Rent-A-Car USA Finance Co., M.T.N.,
6.35%, 01/15/01............................... Baa3 9,000 8,953,200
6.95%, 03/01/04............................... Baa2 17,500 17,253,250
7.50%, 06/15/03............................... Baa3 5,000 5,021,500
Finova Capital Corp.,
6.125%, 03/15/04.............................. Baa1 21,000 20,501,250
First Industrial, L.P.,
6.50%, 04/05/11............................... Baa2 9,000 8,826,210
FMR Corp.,
7.57%, 06/15/29............................... Aa3 450 448,380
General Motors Acceptance Corp.,
5.95%, 03/14/03............................... A2 47,000 45,895,030
Goldman Sachs Group, L.P.,
5.56%, 01/11/01............................... A1 6,800 6,749,000
7.80%, 07/15/02............................... A1 15,985 16,528,330
Heller Financial, Inc., (c)
6.00%, 03/19/04............................... A3 6,900 6,679,269
International Lease Finance Corp.,
5.90%, 03/12/03............................... A1 37,500 36,639,750
Lehman Brothers Holdings, Inc.,
6.625%, 04/01/04.............................. Baa1 26,890 26,194,625
6.625%, 02/05/06.............................. Baa1 10,645 10,365,037
Marsh & McLennan Cos., Inc., (c)
6.625%, 06/15/04.............................. A2 6,830 6,839,357
MCN Investment Corp.,
6.30%, 04/02/11............................... Baa2 8,250 8,094,075
Morgan Stanley Dean Witter & Co., M.T.N.,
6.09%, 03/09/11............................... A1 59,915 59,677,737
6.875%, 03/01/03.............................. Aa3 3,000 3,040,500
PaineWebber Group, Inc.,
7.015%, 02/10/04.............................. Baa1 6,000 5,966,160
7.625%, 10/15/08.............................. Baa1 5,000 5,057,350
Salomon, Inc., M.T.N.,
6.59%, 02/21/01............................... Baa1 9,750 9,812,498
6.75%, 02/15/03............................... Baa1 5,000 5,021,050
7.25%, 05/01/01............................... Baa1 8,625 8,780,250
Sears Roebuck Acceptance Corp.,
6.38%, 10/07/02............................... A2 30,650 30,484,490
Textron Financial Corp.,
6.05%, 03/16/09............................... Aaa 17,346 17,295,626
--------------
527,589,563
--------------
FOOD & BEVERAGE -- 0.2%
Archer-Daniels Midland Co.,
6.625%, 05/01/29.............................. Aa3 8,100 7,414,659
Coca-Cola Bottling Co.,
6.375%, 05/01/09.............................. Baa2 3,000 2,815,950
--------------
10,230,609
--------------
FOREST PRODUCTS -- 0.4%
Fort James Corp.,
6.234%, 03/15/11.............................. Baa3 17,500 17,341,625
--------------
INDUSTRIAL -- 0.5%
Compania Sud Americana de Vapores, SA, (Chile),
7.375%, 12/08/03.............................. Baa 4,600 4,367,332
Scotia Pacific Co.,
7.71%, 01/20/14............................... Baa2 23,800 17,255,000
--------------
21,622,332
--------------
LEISURE & TOURISM -- 0.6%
Carnival Corp.,
5.65%, 10/15/00............................... A2 5,000 4,968,700
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B12
<PAGE>
CONSERVATIVE BALANCED PORTFOLIO (CONTINUED)
JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL
MOODY'S AMOUNT VALUE
LONG-TERM BONDS (CONTINUED) RATING (000) (NOTE 2)
------------ --------- --------------
<S> <C> <C> <C>
LEISURE & TOURISM (CONT'D.)
ITT Corp.,
6.25%, 11/15/00............................... Baa2 $ 5,253 $ 5,136,541
6.75%, 11/15/03............................... Baa2 21,500 20,164,420
--------------
30,269,661
--------------
MEDIA -- 0.5%
Liberty Media Group,
7.875%, 07/15/09.............................. Baa3 3,200 3,180,928
8.50%, 07/15/29............................... Baa3 3,600 3,590,172
Paramount Communications, Inc.,
7.50%, 01/15/02............................... Ba2 6,425 6,565,900
Time Warner, Inc.,
8.11%, 08/15/06............................... Ba1 1,500 1,572,240
United News & Media PLC,
7.25%, 07/01/04............................... Baa2 6,950 6,886,755
--------------
21,795,995
--------------
OIL & GAS -- 0.5%
Atlantic Richfield Co.,
5.55%, 04/15/03............................... A2 11,300 11,055,920
B.J. Services Co.,
7.00%, 02/01/06............................... Ba1 4,000 3,936,080
Conoco Inc.,
5.90%, 04/15/04............................... A3 6,500 6,342,570
--------------
21,334,570
--------------
OIL & GAS SERVICES -- 1.0%
KN Energy Inc.,
6.30%, 03/01/21............................... Baa2 27,550 27,455,228
6.45%, 11/30/01............................... Baa2 11,950 11,969,120
6.45%, 03/01/03............................... Baa2 6,050 5,951,385
--------------
45,375,733
--------------
RAILROADS -- 0.3%
Norfolk Southern Corp.,
6.875%, 05/01/01.............................. Baa1 16,000 16,157,760
--------------
REAL ESTATE INVESTMENT TRUST -- 3.2%
Camden Property Trust,
7.23%, 10/30/00............................... Baa2 22,000 22,024,200
Duke Realty L.P.,
7.30%, 06/30/03............................... Baa2 6,250 6,295,000
EOP Operating, L.P.,
6.375%, 01/15/02.............................. Baa1 7,000 6,910,260
6.50%, 06/15/04............................... Baa1 6,000 5,760,600
6.625%, 02/15/05.............................. Baa 17,938 17,302,636
ERP Operating, L.P.,
6.15%, 09/15/00............................... A3 45,000 44,707,500
6.63%, 04/13/15............................... A3 13,400 12,929,124
7.10%, 06/23/04............................... A3 3,250 3,252,308
Felcor Suite Hotels, Inc.,
7.625%, 10/01/07.............................. Ba1 8,000 7,240,000
Hanson Overseas B.V.,
7.375%, 01/15/03.............................. A3 5,400 5,488,668
Simon Debartolo Group, Inc.,
6.75%, 06/15/05............................... Baa1 17,500 16,804,375
--------------
148,714,671
--------------
RETAIL -- 2.3%
Dayton-Hudson Corp.,
6.40%, 02/15/03............................... A3 8,250 8,211,638
Federated Department Stores, Inc.,
8.125%, 10/15/02.............................. Ba1 25,850 27,038,066
8.50%, 06/15/03............................... Ba1 22,400 23,714,656
Kroger Co.,
6.34%, 06/01/01............................... Baa3 13,950 13,832,297
7.25%, 06/01/09............................... Baa3 8,200 8,164,125
7.70%, 06/01/29 (b)........................... Baa3 2,950 2,920,500
Rite Aid Corp.,
6.70%, 12/15/01............................... A3 5,000 4,983,550
Safeway Stores Inc.,
5.75%, 11/15/00............................... Baa2 6,000 5,966,280
6.05%, 11/15/03............................... Baa2 12,000 11,742,600
--------------
106,573,712
--------------
TELECOMMUNICATIONS -- 3.7%
360 Communication Co.,
7.125%, 03/01/03.............................. Ba2 22,550 22,876,750
7.60%, 04/01/09............................... Ba1 7,000 7,267,050
Airtouch Communications, Inc.,
7.00%, 10/01/03............................... Baa2 8,200 8,350,962
Cox Communications, Inc.,
6.94%, 10/01/01............................... Baa2 4,000 4,030,840
Electric Lightwave, Inc.,
6.05%, 05/15/04............................... A2 4,700 4,544,148
Lucent Technologies, Inc.,
6.45%, 03/15/29............................... A2 15,500 14,021,455
MCI Worldcom Inc.,
6.125%, 04/15/12.............................. Baa2 10,800 10,728,288
7.55%, 04/01/04............................... Ba1 9,535 9,868,820
Sprint Capital Corp.,
5.70%, 11/15/03............................... Baa1 11,000 10,542,070
6.125%, 11/15/08.............................. Baa1 25,000 23,072,250
Telecom De Puerto Rico,
6.65%, 05/15/06............................... Baa2 15,000 14,566,050
6.80%, 05/15/09............................... Baa2 12,500 12,007,875
Worldcom Inc.,
6.125%, 08/15/01.............................. Baa2 14,200 14,155,128
6.95%, 08/15/28............................... Baa2 16,000 15,167,200
--------------
171,198,886
--------------
UTILITIES -- 1.0%
CINergy Corp.,
6.125%, 04/15/04.............................. Baa2 10,000 9,673,500
Commonwealth Edison Co.,
7.375%, 01/15/04.............................. Baa3 14,000 14,358,260
Edison Mission Energy,
7.73%, 06/15/09............................... A3 6,900 6,971,484
Niagara Mohawk Power,
7.375%, 08/01/03.............................. Ba2 10,000 10,244,700
Pennsylvania Electric Co.,
5.75%, 04/01/04............................... A2 5,100 4,944,756
--------------
46,192,700
--------------
WASTE MANAGEMENT -- 0.4%
USA Waste Service,
6.125%, 07/15/01.............................. Baa3 18,000 17,892,180
--------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B13
<PAGE>
CONSERVATIVE BALANCED PORTFOLIO (CONTINUED)
JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL
MOODY'S AMOUNT VALUE
LONG-TERM BONDS (CONTINUED) RATING (000) (NOTE 2)
------------ --------- --------------
<S> <C> <C> <C>
U.S. GOVERNMENT & AGENCY
OBLIGATIONS -- 7.4%
United States Treasury Bonds,
5.25%, 11/15/28............................... $ 157,395 $ 139,516,502
8.125%, 05/15/21.............................. 64,400 78,426,964
United States Treasury Notes,
4.75%, 02/15/04............................... 3,600 3,462,732
4.75%, 11/15/08............................... 55,500 50,964,540
5.25%, 05/15/04............................... 2,120 2,083,239
5.50%, 05/15/09............................... 40,320 39,387,398
5.875%, 11/15/05 (b).......................... 1,800 1,800,000
6.50%, 05/15/05............................... 4,700 4,843,914
7.50%, 02/15/05............................... 21,700 23,361,352
--------------
343,846,641
--------------
FOREIGN GOVERNMENT BONDS -- 1.3%
Quebec Province, (Canada),
7.50%, 07/15/23............................... A1 8,700 8,844,942
Republic Of Columbia, (Columbia),
9.75%, 04/23/09............................... Baa3 6,200 5,115,000
Republic of Panama, (Panama),
4.00%, 07/17/14............................... Ba1 12,500 9,390,625
Republic Of Philippines, (Philippines),
8.875%, 04/15/08.............................. Ba1 7,600 7,395,104
Republic of Poland, (Poland),
4.00%, 10/27/24............................... Baa3 8,500 5,482,500
United Mexican States, (Mexico),
10.375%, 02/17/09............................. NR 25,400 25,476,200
--------------
61,704,371
--------------
TOTAL LONG-TERM BONDS
(cost $2,496,469,893).................................................... 2,454,963,405
--------------
<CAPTION>
COMMON STOCKS -- 38.7% SHARES
-------------
<S> <C> <C>
AEROSPACE -- 0.7%
AlliedSignal, Inc............................... 72,300 4,554,900
Boeing Co....................................... 122,100 5,395,294
GenCorp, Inc.................................... 98,400 2,484,600
General Dynamics Corp........................... 17,300 1,185,050
Goodrich (B.F.) Co.............................. 8,300 352,750
Litton Industries, Inc. (b)..................... 77,600 5,567,800
Lockheed Martin Corp............................ 52,700 1,963,075
Northrop Grumman Corp........................... 8,000 530,500
Parker-Hannifin Corp............................ 56,825 2,599,744
Raytheon Co. (Class "B" Stock).................. 42,900 3,019,087
United Technologies Corp........................ 60,200 4,315,587
--------------
31,968,387
--------------
<CAPTION>
VALUE
COMMON STOCKS (CONTINUED) SHARES (NOTE 2)
------------- --------------
<S> <C> <C>
AIRLINES -- 0.4%
AMR Corp. (b)................................... 177,400 $ 12,107,550
Delta Air Lines, Inc............................ 17,500 1,008,437
Southwest Airlines Co........................... 42,700 1,329,037
US Airways Group, Inc. (b)...................... 124,500 5,423,531
--------------
19,868,555
--------------
APPAREL -- 0.1%
Fruit Of The Loom, Inc. (Class "A" Stock) (b)... 84,100 819,975
Nike, Inc. (Class "B" Stock).................... 36,800 2,329,900
Reebok International Ltd........................ 8,800 163,900
--------------
3,313,775
--------------
AUTOS - CARS & TRUCKS -- 0.7%
Cummins Engine Co., Inc......................... 6,000 342,750
Dana Corp....................................... 21,900 1,008,769
Delphi Automotive Systems Corp. (b)............. 132,252 2,454,928
Ford Motor Co................................... 214,500 12,105,844
General Motors Corp............................. 183,500 12,111,000
Genuine Parts Co................................ 23,200 812,000
MascoTech, Inc.................................. 94,400 1,598,900
Midas, Inc...................................... 22,100 627,087
Navistar International Corp. (b)................ 7,200 360,000
PACCAR, Inc..................................... 9,400 501,725
Titan International, Inc........................ 101,250 1,202,344
TRW, Inc........................................ 16,300 894,462
--------------
34,019,809
--------------
BANKS AND SAVINGS & LOANS -- 2.1%
AmSouth Bancorporation.......................... 24,000 556,500
Banc One Corp................................... 153,072 9,117,351
Bank of New York Co., Inc....................... 97,800 3,588,037
BankAmerica Corp................................ 225,261 16,514,447
BankBoston Corp................................. 39,000 1,993,875
BB&T Corp....................................... 40,600 1,489,512
Chase Manhattan Corp............................ 110,100 9,537,412
Comerica, Inc................................... 20,000 1,188,750
First Union Corp................................ 129,000 6,063,000
Firstar Corp.................................... 90,000 2,520,000
Fleet Financial Group, Inc...................... 74,000 3,283,750
Golden West Financial Corp...................... 7,300 715,400
Huntington Bancshares, Inc...................... 28,600 1,001,000
KeyCorp......................................... 59,400 1,908,225
Mellon Bank Corp................................ 66,800 2,429,850
Mercantile Bancorporation, Inc.................. 20,200 1,153,925
Morgan (J.P.) & Co., Inc........................ 22,800 3,203,400
National City Corp.............................. 41,900 2,744,450
Northern Trust Corp............................. 14,300 1,387,100
PNC Bank Corp................................... 39,200 2,258,900
Providian Financial Corp........................ 18,950 1,771,825
Regions Financial Corp.......................... 30,000 1,153,125
Republic New York Corp.......................... 14,000 954,625
SouthTrust Corp................................. 20,000 767,500
Summit Bancorp.................................. 23,800 995,137
Suntrust Banks, Inc............................. 40,900 2,839,994
Synovus Financial Corp.......................... 35,250 700,594
U.S. Bancorp.................................... 94,900 3,226,600
Union Planters Corp............................. 17,000 759,687
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B14
<PAGE>
CONSERVATIVE BALANCED PORTFOLIO (CONTINUED)
JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
COMMON STOCKS (CONTINUED) SHARES (NOTE 2)
------------- --------------
<S> <C> <C>
BANKS AND SAVINGS & LOANS (CONT'D.)
Wachovia Corp................................... 25,700 $ 2,198,956
Wells Fargo & Co................................ 214,000 9,148,500
--------------
97,171,427
--------------
BUSINESS SERVICES -- 0.1%
Equifax, Inc.................................... 19,600 699,475
Omnicom Group, Inc.............................. 21,400 1,712,000
--------------
2,411,475
--------------
CHEMICALS -- 0.8%
Air Products & Chemicals, Inc................... 28,800 1,159,200
Dow Chemical Co................................. 29,300 3,717,437
Du Pont (E.I.) de Nemours & Co.................. 146,500 10,007,781
Eastman Chemical Co............................. 9,300 481,275
Engelhard Corp.................................. 22,600 511,325
Ferro Corp...................................... 134,900 3,709,750
FMC Corp. (b)................................... 4,900 334,731
Grace (W.R.) & Co............................... 11,600 213,150
Great Lakes Chemical Corp....................... 6,400 294,800
Hercules, Inc................................... 15,100 593,619
Lyondell Chemical Co............................ 81,700 1,685,062
Millennium Chemicals, Inc. (b).................. 146,527 3,452,542
Monsanto Co..................................... 80,300 3,166,831
Nalco Chemical Co............................... 10,400 539,500
OM Group, Inc................................... 63,300 2,183,850
Praxair, Inc.................................... 20,700 1,013,006
Raychem Corp.................................... 11,300 418,100
Rohm & Haas Co.................................. 29,511 1,265,286
Sigma-Aldrich Corp.............................. 12,700 437,356
Union Carbide Corp.............................. 16,700 814,125
--------------
35,998,726
--------------
COMMERCIAL SERVICES -- 0.1%
Cendant Corp. (b)............................... 96,500 1,978,250
Deluxe Corp..................................... 8,600 334,862
--------------
2,313,112
--------------
COMPUTER SERVICES -- 3.0%
3Com Corp. (b).................................. 48,500 1,294,344
Adobe Systems, Inc.............................. 7,300 599,741
America Online, Inc. (b)........................ 138,700 15,326,350
Autodesk, Inc................................... 7,300 215,806
Automatic Data Processing, Inc.................. 80,000 3,520,000
BMC Software, Inc. (b).......................... 30,700 1,657,800
Cabletron Systems, Inc. (b)..................... 24,800 322,400
Ceridian Corp. (b).............................. 20,600 673,362
Cisco Systems, Inc. (b)......................... 411,000 26,509,500
Computer Associates International, Inc.......... 70,500 3,877,500
Computer Sciences Corp. (b)..................... 20,000 1,383,750
Compuware Corp. (a)............................. 48,000 1,527,000
Electronic Data Systems Corp.................... 64,900 3,670,906
EMC Corp. (b)................................... 130,600 7,183,000
First Data Corp................................. 56,200 2,750,287
Microsoft Corp. (b)............................. 660,900 59,604,919
Novell, Inc. (b)................................ 41,900 1,110,350
Oracle Corp. (b)................................ 187,400 6,957,225
Parametric Technology Corp. (b)................. 40,200 557,775
Peoplesoft, Inc................................. 30,000 517,500
Silicon Graphics, Inc. (b)...................... 20,600 337,325
Unisys Corp..................................... 34,400 1,339,450
--------------
140,936,290
--------------
COMPUTERS -- 1.5%
Apple Computer, Inc. (b)........................ 17,800 824,362
Compaq Computer Corp............................ 219,589 5,201,514
Data General Corp. (b).......................... 7,600 110,675
Dell Computer Corp. (b)......................... 331,200 12,254,400
Gateway 2000, Inc. (b).......................... 20,600 1,215,400
Hewlett-Packard Co.............................. 132,100 13,276,050
International Business Machines Corp............ 238,200 30,787,350
Networking Appliance, Inc. (b).................. 2,000 111,750
Seagate Technology, Inc. (b).................... 33,200 850,750
Sun Microsystems, Inc. (b)...................... 100,300 6,908,162
--------------
71,540,413
--------------
CONSTRUCTION -- 0.2%
Centex Corp..................................... 9,300 349,331
Fluor Corp...................................... 9,400 380,700
Foster Wheeler Corp............................. 6,400 90,400
Giant Cement Holdings, Inc. (b)................. 58,100 1,329,037
Oakwood Homes Corp.............................. 139,300 1,828,312
Pulte Corp...................................... 6,600 152,212
Standard Pacific Corp........................... 154,000 1,992,375
Webb (Del E.) Corp.............................. 140,300 3,349,662
--------------
9,472,029
--------------
CONTAINERS -- 0.1%
Ball Corp....................................... 4,700 198,575
Bemis Co., Inc.................................. 8,300 329,925
Crown Cork & Seal Co., Inc...................... 15,100 430,350
Owens-Illinois, Inc. (b)........................ 76,600 2,503,862
Sealed Air Corp................................. 10,100 655,237
--------------
4,117,949
--------------
COSMETICS & SOAPS -- 0.6%
Alberto Culver Co. (Class "B" Stock)............ 5,900 157,087
Avon Products, Inc.............................. 34,700 1,925,850
Colgate-Palmolive Co............................ 38,900 3,841,375
Gillette Co..................................... 144,400 5,920,400
International Flavors & Fragrances, Inc......... 13,600 603,500
Procter & Gamble Co............................. 172,800 15,422,400
--------------
27,870,612
--------------
DIVERSIFIED CONSUMER PRODUCTS -- 0.5%
Eastman Kodak Co................................ 78,100 5,291,275
Philip Morris Co., Inc.......................... 424,400 17,055,575
--------------
22,346,850
--------------
DIVERSIFIED OFFICE EQUIPMENT -- 0.2%
Avery Dennison Corp............................. 14,700 887,512
Pitney Bowes, Inc............................... 37,000 2,377,250
Xerox Corp...................................... 85,400 5,043,937
--------------
8,308,699
--------------
DIVERSIFIED OPERATIONS -- 1.1%
ConAgra, Inc.................................... 65,000 1,730,625
Fortune Brands, Inc............................. 22,300 922,662
General Electric Capital Corp................... 425,600 48,092,800
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B15
<PAGE>
CONSERVATIVE BALANCED PORTFOLIO (CONTINUED)
JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
COMMON STOCKS (CONTINUED) SHARES (NOTE 2)
------------- --------------
<S> <C> <C>
DIVERSIFIED OPERATIONS (CONT'D.)
Kansas City Southern Industries, Inc............ 13,300 $ 848,706
Tomkins PLC, ADR, (United Kingdom).............. 83,300 1,520,225
--------------
53,115,018
--------------
DRUGS AND MEDICAL SUPPLIES -- 3.3%
Abbott Laboratories............................. 197,500 8,986,250
Allergan, Inc................................... 8,500 943,500
ALZA Corp. (b).................................. 11,500 585,062
American Home Products Corp..................... 171,600 9,867,000
Amgen, Inc. (b)................................. 66,300 4,036,012
Bard (C.R.), Inc................................ 5,700 272,531
Bausch & Lomb, Inc.............................. 7,400 566,100
Baxter International, Inc....................... 36,900 2,237,062
Becton, Dickinson & Co.......................... 33,800 1,014,000
Biomet, Inc..................................... 13,700 544,575
Boston Scientific Corp. (b)..................... 51,300 2,253,994
Bristol-Myers Squibb Co......................... 258,700 18,222,181
Cardinal Health, Inc............................ 36,700 2,353,387
Guidant Corp.................................... 39,800 2,047,212
Johnson & Johnson............................... 175,000 17,150,000
Lilly (Eli) & Co................................ 143,100 10,249,537
Mallinckrodt, Inc............................... 11,400 414,675
Medtronic, Inc.................................. 76,000 5,918,500
Merck & Co., Inc................................ 308,600 22,836,400
Pfizer, Inc..................................... 168,900 18,536,775
Pharmacia & Upjohn, Inc......................... 68,000 3,863,250
Schering-Plough Corp............................ 191,300 10,138,900
St. Jude Medical, Inc. (b)...................... 9,400 334,875
Warner-Lambert Co............................... 106,900 7,416,187
Watson Pharmaceuticals, Inc. (b)................ 11,000 385,687
--------------
151,173,652
--------------
ELECTRONICS -- 0.5%
Applied Materials, Inc. (b)..................... 48,000 3,546,000
Belden, Inc..................................... 67,100 1,606,206
EG&G, Inc....................................... 7,100 252,937
Emerson Electric Co............................. 56,300 3,539,862
Grainger (W.W.), Inc............................ 12,300 661,894
Harris Corp..................................... 8,900 348,769
Honeywell, Inc.................................. 15,900 1,842,412
Motorola, Inc................................... 78,100 7,399,975
Rockwell International Corp..................... 25,100 1,524,825
Solectron Corp.................................. 33,600 2,240,700
Tektronix, Inc.................................. 7,900 238,481
Thomas & Betts Corp............................. 8,600 406,350
--------------
23,608,411
--------------
FINANCIAL SERVICES -- 2.4%
American Express Co............................. 58,900 7,664,362
Associates First Capital Corp................... 97,144 4,304,693
Bear Stearns Companies, Inc..................... 13,825 646,319
Block (H.R.), Inc............................... 13,300 665,000
Capital One Financial Corp...................... 25,200 1,403,325
Citigroup, Inc.................................. 516,150 24,517,125
Countrywide Credit Industries, Inc.............. 14,600 624,150
Dun & Bradstreet Corp........................... 22,600 800,887
Federal Home Loan Mortgage Corp................. 88,300 5,121,400
Federal National Mortgage Association........... 135,000 9,230,625
Fifth Third Bancorp............................. 35,200 2,343,000
Franklin Resource, Inc.......................... 32,900 1,336,562
Goldman Sachs Group, Inc. (b)................... 13,200 953,700
Household International, Inc.................... 61,952 2,934,976
Lehman Brothers Holdings, Inc................... 185,900 11,572,275
MBNA Corp....................................... 105,750 3,238,594
Merrill Lynch & Co., Inc........................ 103,900 8,305,506
Morgan Stanley Dean Witter & Co................. 129,190 13,241,975
PaineWebber Group, Inc.......................... 13,000 607,750
Paychex, Inc.................................... 34,500 1,099,687
Schwab (Charles) Corp. (b)...................... 52,200 5,735,475
SLM Holding Corp................................ 21,400 980,387
State Street Corp............................... 21,400 1,827,025
Transamerica Corp............................... 15,600 1,170,000
Washington Mutual, Inc.......................... 77,178 2,730,172
--------------
113,054,970
--------------
FOOD & BEVERAGES -- 1.4%
Anheuser-Busch Companies, Inc................... 62,200 4,412,312
Archer-Daniels-Midland Co....................... 75,275 1,162,058
Bestfoods....................................... 36,400 1,801,800
Brown-Forman Corp. (Class "B" Stock)............ 8,700 567,131
Campbell Soup Co................................ 57,500 2,666,562
Coca Cola Enterprises, Inc...................... 53,800 1,600,550
Coca-Cola Co.................................... 320,900 20,056,250
Coors (Adolph) Co. (Class "B" Stock)............ 4,800 237,600
General Mills, Inc.............................. 21,100 1,695,912
Heinz (H.J.) & Co............................... 46,500 2,330,812
Hershey Foods Corp.............................. 18,300 1,086,562
Kellogg Co...................................... 52,000 1,716,000
Nabisco Group Holdings Corp..................... 324,400 6,346,075
PepsiCo, Inc.................................... 191,000 7,389,312
Pioneer Hi-Bred International, Inc.............. 32,200 1,253,787
Quaker Oats Co.................................. 17,600 1,168,200
Ralston-Ralston Purina Group.................... 43,400 1,320,987
Sara Lee Corp................................... 118,700 2,693,006
Seagram Co., Ltd................................ 52,800 2,659,800
Sysco Corp...................................... 41,900 1,249,144
Whitman Corp.................................... 132,800 2,390,400
Wrigley (William) Jr. Co........................ 15,000 1,350,000
--------------
67,154,260
--------------
FOREST PRODUCTS -- 0.7%
Boise Cascade Corp.............................. 152,000 6,517,000
Champion International Corp..................... 106,400 5,093,900
Fort James Corp................................. 28,200 1,068,075
Georgia-Pacific Corp............................ 57,400 2,719,325
International Paper Co.......................... 54,121 2,733,110
Louisiana-Pacific Corp.......................... 188,700 4,481,625
Mead Corp....................................... 107,900 4,504,825
Potlatch Corp................................... 4,500 197,719
Temple-Inland, Inc.............................. 6,600 450,450
Westvaco Corp................................... 13,000 377,000
Weyerhaeuser Co................................. 26,500 1,821,875
Willamette Industries, Inc...................... 82,700 3,809,369
--------------
33,774,273
--------------
GAS PIPELINES -- 0.1%
Columbia Energy Group........................... 10,300 645,681
Consolidated Natural Gas Co..................... 12,500 759,375
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B16
<PAGE>
CONSERVATIVE BALANCED PORTFOLIO (CONTINUED)
JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
COMMON STOCKS (CONTINUED) SHARES (NOTE 2)
------------- --------------
<S> <C> <C>
GAS PIPELINES (CONT'D.)
Peoples Energy Corp............................. 5,500 $ 207,281
Sempra Energy................................... 33,699 762,440
Sonat, Inc...................................... 13,100 433,937
Williams Companies, Inc......................... 54,400 2,315,400
--------------
5,124,114
--------------
HOSPITALS/ HOSPITAL MANAGEMENT -- 0.5%
Columbia/HCA Healthcare Corp.................... 284,100 6,481,031
HEALTHSOUTH Corp. (b)........................... 51,600 770,775
Humana, Inc. (b)................................ 197,200 2,551,275
IMS Health, Inc................................. 42,700 1,334,375
LifePoint Hospitals, Inc. (b)................... 10,552 141,792
Manor Care, Inc................................. 13,000 314,437
McKesson HBOC, Inc.............................. 35,530 1,141,401
Service Corp. International..................... 39,400 758,450
Shared Medical Systems Corp..................... 4,100 267,525
Smith (A.O.) Corp............................... 105,450 2,952,600
Tenet Healthcare Corp. (b)...................... 230,200 4,273,088
Triad Hospitals, Inc. (b)....................... 10,552 142,452
Wellpoint Health Networks Inc................... 6,000 509,250
--------------
21,638,451
--------------
HOUSEHOLD PRODUCTS & PERSONAL CARE -- 0.2%
Clorox Co....................................... 14,900 1,591,506
Kimberly-Clark Corp............................. 70,100 3,995,700
Leggett & Platt, Inc............................ 114,700 3,190,094
--------------
8,777,300
--------------
HOUSING RELATED -- 0.6%
Armstrong World Industries, Inc................. 4,100 237,031
Fleetwood Enterprises, Inc...................... 3,400 89,888
Hanson, PLC, ADR, (United Kingdom).............. 309,562 13,736,814
Kaufman & Broad Home Corp....................... 6,100 151,738
Lowe's Companies, Inc........................... 48,200 2,732,338
Masco Corp...................................... 42,900 1,238,738
Maytag Corp..................................... 12,400 864,125
Newell Rubbermaid Inc........................... 36,814 1,711,851
Owens Corning................................... 106,900 3,674,688
Stanley Works................................... 11,000 354,063
Tupperware Corp................................. 9,600 244,800
Whirlpool Corp.................................. 9,500 703,000
--------------
25,739,074
--------------
INSTRUMENTS - CONTROLS
Johnson Controls, Inc........................... 10,900 755,506
PE Corp-PE Biosystems Group..................... 6,100 699,975
--------------
1,455,481
--------------
INSURANCE -- 1.6%
Aetna, Inc...................................... 19,400 1,735,088
AFLAC Inc....................................... 30,000 1,436,250
Allstate Corp................................... 106,300 3,813,513
American General Corp........................... 33,500 2,525,063
American International Group, Inc............... 159,863 18,713,962
Aon Corp........................................ 32,500 1,340,625
Berkley (W.R.) Corp............................. 42,400 1,060,000
Chubb Corp...................................... 76,000 5,282,000
CIGNA Corp...................................... 27,400 2,438,600
Cincinnati Financial Corp....................... 21,800 818,863
Conseco, Inc.................................... 41,821 1,272,927
Financial Security Assurance Holdings Ltd....... 34,000 1,768,000
Hartford Financial Services Group, Inc.......... 31,500 1,836,844
Jefferson-Pilot Corp............................ 14,500 959,719
Lincoln National Corp........................... 25,800 1,349,663
Loews Corp...................................... 43,700 3,457,763
Marsh & McLennan Companies, Inc................. 33,100 2,499,050
MBIA, Inc....................................... 13,000 841,750
MGIC Investment Corp............................ 13,900 675,888
Progressive Corp................................ 10,100 1,464,500
Provident Companies, Inc........................ 17,000 680,000
Reinsurance Group of America, Inc............... 173,325 6,109,706
SAFECO Corp..................................... 102,900 4,540,463
St. Paul Companies, Inc......................... 31,900 1,014,819
Torchmark Corp.................................. 118,400 4,040,400
Trenwick Group, Inc............................. 64,850 1,598,958
United Healthcare Corp.......................... 23,700 1,484,213
UNUM Corp....................................... 18,500 1,012,875
--------------
75,771,502
--------------
LEISURE -- 0.3%
Brunswick Corp.................................. 9,000 250,875
Carnival Corp. (Class "A" Stock)................ 82,500 4,001,250
Disney (Walt) Co................................ 267,600 8,245,425
Harrah's Entertainment, Inc. (b)................ 15,800 347,600
Hilton Hotels Corp.............................. 30,300 429,881
King World Productions, Inc..................... 11,500 400,344
Marriott International, Inc. (Class "A"
Stock)........................................ 31,600 1,181,050
Mirage Resorts, Inc. (b)........................ 23,600 395,300
--------------
15,251,725
--------------
MACHINERY -- 0.4%
Briggs & Stratton Corp.......................... 3,900 225,225
Case Corp....................................... 96,800 4,658,500
Caterpillar, Inc................................ 46,000 2,760,000
Commercial Intertech Corp....................... 28,300 451,031
Cooper Industries, Inc.......................... 12,800 665,600
Deere & Co...................................... 30,700 1,216,488
Dover Corp...................................... 27,900 976,500
DT Industries, Inc.............................. 35,800 328,913
Eaton Corp...................................... 9,200 846,400
Flowserve Corp.................................. 39,486 747,766
Global Industrial Technologies, Inc. (b)........ 61,400 740,638
Ingersoll-Rand Co............................... 21,400 1,382,975
Milacron, Inc................................... 6,300 116,550
Paxar Corp...................................... 229,925 2,069,325
Snap-On, Inc.................................... 9,500 343,781
Timken Co....................................... 9,900 193,050
--------------
17,722,742
--------------
MANUFACTURING -- 0.3%
Hussmann International, Inc..................... 66,400 1,099,750
Illinois Tool Works, Inc........................ 32,000 2,624,000
Tyco International Ltd.......................... 106,222 10,064,535
--------------
13,788,285
--------------
MEDIA -- 1.2%
CBS Corp. (b)................................... 156,700 6,806,656
Central Newspapers, Inc. (Class "A" Stock)...... 100,000 3,762,500
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B17
<PAGE>
CONSERVATIVE BALANCED PORTFOLIO (CONTINUED)
JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
COMMON STOCKS (CONTINUED) SHARES (NOTE 2)
------------- --------------
<S> <C> <C>
MEDIA (CONT'D.)
Clear Channel Communications, Inc. (b).......... 42,300 $ 2,916,056
Comcast Corp. (Special Class "A" Stock)......... 96,300 3,701,531
Donnelley (R.R.) & Sons Co...................... 18,600 689,363
Dow Jones & Co., Inc............................ 12,000 636,750
Gannett Co., Inc................................ 35,800 2,555,225
Houghton Mifflin Co............................. 58,700 2,762,569
Interpublic Group of Companies, Inc............. 17,800 1,541,925
Knight-Ridder, Inc.............................. 67,800 3,724,763
Lee Enterprises, Inc............................ 50,900 1,552,450
McGraw-Hill, Inc................................ 25,600 1,380,800
Mediaone Group, Inc............................. 79,000 5,875,625
Meredith Corp................................... 8,300 287,388
New York Times Co. (Class "A" Stock)............ 25,500 938,719
Time Warner, Inc................................ 156,700 11,517,450
Times Mirror Co. (Class "A" Stock).............. 8,900 527,325
Tribune Co...................................... 15,000 1,306,875
Viacom, Inc. (Class "B" Stock) (b).............. 89,800 3,951,200
--------------
56,435,170
--------------
METALS - FERROUS -- 0.3%
AK Steel Holding Corp........................... 146,900 3,305,250
Allegheny Teledyne, Inc......................... 24,400 552,050
Bethlehem Steel Corp. (b)....................... 241,500 1,856,531
LTV Corp........................................ 204,900 1,370,269
Material Sciences Corp. (b)..................... 96,900 1,453,500
National Steel Corp. (Class "B" Stock) (b)...... 36,000 301,500
Nucor Corp...................................... 10,500 498,094
USX-U.S. Steel Group, Inc....................... 87,600 2,365,200
Worthington Industries, Inc..................... 9,200 151,225
--------------
11,853,619
--------------
METALS - NON FERROUS -- 0.5%
Alcan Aluminum Ltd.............................. 29,500 942,156
Alcoa, Inc...................................... 327,900 20,288,813
Cyprus Amax Minerals Co......................... 14,600 221,738
Inco Ltd........................................ 26,200 471,600
Reynolds Metals Co.............................. 8,200 483,800
--------------
22,408,107
--------------
MINERAL RESOURCES
ASARCO, Inc..................................... 6,300 118,519
Burlington Resources, Inc....................... 23,300 1,007,725
Homestake Mining Co............................. 33,100 271,006
Phelps Dodge Corp............................... 7,000 433,563
--------------
1,830,813
--------------
MISCELLANEOUS - BASIC INDUSTRY -- 0.4%
AES Corp........................................ 24,000 1,395,000
Coltec Industries, Inc.......................... 43,700 947,744
Crane Co........................................ 10,800 339,525
Danaher Corp.................................... 17,400 1,011,375
Donaldson Co., Inc.............................. 109,200 2,675,400
Ecolab, Inc..................................... 16,700 728,538
IDEX Corp....................................... 60,100 1,975,788
ITT Industries, Inc............................. 10,700 407,938
Laidlaw, Inc.................................... 51,500 379,813
Mark IV Industries, Inc......................... 86,542 1,828,200
Millipore Corp.................................. 6,800 275,825
NACCO Industries, Inc. (Class "A" Stock)........ 1,300 95,550
Pall Corp....................................... 18,500 410,469
PPG Industries, Inc............................. 22,800 1,346,625
Textron, Inc.................................... 20,400 1,679,175
Thermo Electron Corp. (b)....................... 20,900 419,306
Trinity Industries, Inc......................... 52,200 1,748,700
Wolverine Tube, Inc. (b)........................ 37,000 929,625
York International Corp......................... 27,000 1,155,938
--------------
19,750,534
--------------
MISCELLANEOUS - CONSUMER GROWTH/STABLE -- 0.3%
American Greetings Corp. (Class "A" Stock)...... 11,400 343,425
Black & Decker Corp............................. 12,100 763,813
Corning, Inc.................................... 30,200 2,117,775
Jostens, Inc.................................... 6,100 128,481
Minnesota Mining & Manufacturing Co............. 52,200 4,538,138
Polaroid Corp................................... 7,000 193,375
Unilever N.V., ADR, (United Kingdom)............ 74,418 5,190,645
--------------
13,275,652
--------------
MISCELLANEOUS - INDUSTRIAL
Tenneco, Inc.................................... 22,000 525,250
--------------
OIL & GAS -- 1.9%
Amerada Hess Corp............................... 11,100 660,450
Anadarko Petroleum Corp......................... 15,100 555,869
Ashland, Inc.................................... 11,800 473,475
Atlantic Richfield Co........................... 42,400 3,543,050
Basin Exploration, Inc. (b)..................... 17,400 349,088
Cabot Oil & Gas Corp. (Class "A" Stock)......... 88,600 1,650,175
Chevron Corp.................................... 84,900 8,081,419
Coastal Corp.................................... 28,600 1,144,000
Eastern Enterprises............................. 3,200 127,200
Enron Oil & Gas Co.............................. 48,400 980,100
Exxon Corp...................................... 316,500 24,410,063
Kerr-McGee Corp................................. 10,525 528,223
Mobil Corp...................................... 101,500 10,048,500
Murphy Oil Corp................................. 27,600 1,347,225
NICOR, Inc...................................... 7,600 289,275
Noble Affiliates, Inc........................... 50,900 1,434,744
Ocean Energy Inc................................ 63,700 613,113
Phillips Petroleum Co........................... 34,500 1,735,781
Pioneer Natural Resources Co.................... 334,644 3,681,084
Royal Dutch Petroleum Co........................ 279,100 16,815,775
Sunoco, Inc..................................... 10,100 304,894
Texaco, Inc..................................... 69,500 4,343,750
Union Pacific Resources Group, Inc.............. 29,700 484,481
Unocal Corp..................................... 33,300 1,319,513
USX-Marathon Group.............................. 39,900 1,299,244
Western Gas Resources, Inc...................... 103,000 1,648,000
--------------
87,868,491
--------------
OIL & GAS EXPLORATION/PRODUCTION -- 0.2%
Elf Aquitaine SA, ADR, (France)................. 124,800 9,180,600
Occidental Petroleum Corp....................... 46,000 971,750
--------------
10,152,350
--------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B18
<PAGE>
CONSERVATIVE BALANCED PORTFOLIO (CONTINUED)
JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
COMMON STOCKS (CONTINUED) SHARES (NOTE 2)
------------- --------------
<S> <C> <C>
OIL & GAS SERVICES -- 0.5%
Apache Corp..................................... 15,000 $ 585,000
Baker Hughes, Inc............................... 43,050 1,442,175
Enron Corp...................................... 45,700 3,735,975
Halliburton Co.................................. 55,500 2,511,375
Helmerich & Payne, Inc.......................... 7,900 188,119
McDermott International, Inc.................... 403,600 11,401,700
ONEOK, Inc...................................... 4,900 155,575
Rowan Companies, Inc. (b)....................... 13,600 250,750
Schlumberger Ltd................................ 70,800 4,509,075
--------------
24,779,744
--------------
PRECIOUS METALS -- 0.1%
Apex Silver Mines Ltd........................... 82,200 1,017,225
Barrick Gold Corp............................... 50,600 980,375
Battle Mountain Gold Co......................... 36,000 87,750
Freeport-McMoRan Copper & Gold, Inc. (Class "B"
Stock)........................................ 21,300 382,069
Newmont Mining Corp............................. 24,500 486,938
Placer Dome, Inc................................ 32,700 386,269
Stillwater Mining Co. (b)....................... 75,000 2,451,563
--------------
5,792,189
--------------
RAILROADS -- 0.1%
Burlington Northern Santa Fe Corp............... 60,700 1,881,700
CSX Corp........................................ 27,600 1,250,625
Norfolk Southern Corp........................... 50,200 1,512,275
Union Pacific Corp.............................. 32,500 1,895,156
--------------
6,539,756
--------------
REAL ESTATE INVESTMENT TRUST -- 0.3%
Crescent Real Estate Equities Co................ 336,700 7,996,625
Equity Residential Properties Trust............. 37,700 1,698,856
Vornado Realty Trust (b)........................ 185,200 6,539,875
--------------
16,235,356
--------------
RESTAURANTS -- 0.2%
Darden Restaurants, Inc......................... 18,200 396,988
McDonald's Corp................................. 176,100 7,275,131
Tricon Global Restaurants, Inc. (b)............. 19,000 1,028,375
Wendy's International, Inc...................... 15,500 438,844
--------------
9,139,338
--------------
RETAIL -- 2.6%
Albertson's, Inc................................ 56,466 2,911,528
AutoZone, Inc. (b).............................. 19,800 596,475
Best Buy Co., Inc. (b).......................... 10,000 675,000
Charming Shoppes, Inc. (b)...................... 811,300 4,943,859
Circuit City Stores, Inc........................ 12,900 1,199,700
Consolidated Stores Corp........................ 12,400 334,800
Costco Companies, Inc. (b)...................... 29,400 2,353,838
CVS Corp........................................ 50,400 2,557,800
Dayton-Hudson Corp.............................. 56,600 3,679,000
Dillard's, Inc.................................. 43,700 1,534,963
Dollar General Corporation...................... 28,125 815,625
Federated Department Stores, Inc. (b)........... 26,400 1,397,550
Great Atlantic & Pacific Tea Co., Inc........... 6,000 202,875
Harcourt General, Inc........................... 8,000 412,500
Home Depot, Inc................................. 191,900 12,365,556
IKON Office Solutions, Inc...................... 21,100 316,500
J.C. Penney Co., Inc............................ 35,300 1,714,256
Kmart Corp. (b)................................. 644,400 10,592,325
Kohl's Corp. (b)................................ 20,300 1,566,906
Kroger Co. (b).................................. 111,246 3,107,935
Liz Claiborne, Inc.............................. 10,500 383,250
Longs Drug Stores, Inc.......................... 6,100 210,831
May Department Stores Co........................ 44,300 1,810,763
Nordstrom, Inc.................................. 20,300 680,050
Office Depot, Inc............................... 22,500 496,406
Pep Boys - Manny, Moe & Jack.................... 8,927 193,046
Rite Aid Corp................................... 31,400 773,225
Safeway, Inc. (b)............................... 62,900 3,113,550
Sears, Roebuck & Co............................. 51,000 2,272,688
Sherwin-Williams Co............................. 21,800 604,950
Staples, Inc. (b)............................... 59,500 1,840,781
Supervalu, Inc.................................. 13,000 333,938
Tandy Corp...................................... 27,200 1,329,400
The Gap, Inc.................................... 111,300 5,606,738
The Limited, Inc................................ 222,253 10,084,730
TJX Companies, Inc.............................. 40,600 1,352,488
Toys 'R' Us, Inc. (b)........................... 121,600 2,515,600
Wal-Mart Stores, Inc............................ 578,800 27,927,100
Walgreen Co..................................... 127,700 3,751,188
Winn-Dixie Stores, Inc.......................... 20,100 742,444
--------------
119,302,157
--------------
RUBBER -- 0.1%
Cooper Tire & Rubber Co......................... 12,300 290,588
Goodyear Tire & Rubber Co....................... 59,400 3,493,463
--------------
3,784,051
--------------
SEMICONDUCTORS -- 0.8%
Advanced Micro Devices, Inc. (b)................ 22,200 400,987
Intel Corp...................................... 434,000 25,823,000
KLA-Tencor Corp. (b)............................ 10,300 668,212
LSI Logic Corp. (b)............................. 17,000 784,125
Micron Technology, Inc.......................... 33,100 1,334,344
National Semiconductor Corp. (b)................ 19,100 483,469
Texas Instruments, Inc.......................... 50,500 7,322,500
--------------
36,816,637
--------------
TELECOMMUNICATIONS -- 3.6%
Alcatel Alsthom, ADR, (France).................. 124,900 3,544,038
Alltel Corp..................................... 35,800 2,559,700
Ameritech Corp.................................. 143,100 10,517,850
Andrew Corp. (b)................................ 13,900 263,231
AT&T Corp....................................... 409,648 22,863,479
Bell Atlantic Corp.............................. 202,100 13,212,288
BellSouth Corp.................................. 250,800 11,756,250
CenturyTel, Inc................................. 18,000 715,500
Frontier Corp................................... 23,500 1,386,500
General Instrument Corp......................... 23,200 986,000
GTE Corp........................................ 125,600 9,514,200
Lucent Technologies, Inc........................ 391,455 26,398,747
MCI WorldCom, Inc............................... 239,614 20,666,708
Nextel Communications, Inc. (Class "A" Stock)
(b)........................................... 37,300 1,871,994
Nortel Networks Corp............................ 86,340 7,495,391
SBC Communications, Inc......................... 254,600 14,766,800
Scientific-Atlanta, Inc......................... 8,400 302,400
Sprint Corp..................................... 115,200 6,084,000
Sprint Corp. (PCS Group)........................ 57,250 3,270,406
Telecomunicacoes Brasileiras SA, ADR,
(Brazil)...................................... 55,900 3,494
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B19
<PAGE>
CONSERVATIVE BALANCED PORTFOLIO (CONTINUED)
JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
COMMON STOCKS (CONTINUED) SHARES (NOTE 2)
------------- --------------
<S> <C> <C>
TELECOMMUNICATIONS (CONT'D.)
Tellabs, Inc. (b)............................... 50,600 $ 3,418,663
US West, Inc.................................... 66,960 3,933,900
Vodafone Group, PLC, ADR, (United Kingdom)...... 9,750 1,920,750
--------------
167,452,289
--------------
TEXTILES
National Service Industries, Inc................ 6,700 241,200
Pillowtex Corp. (b)............................. 18,530 302,271
Russell Corp.................................... 5,700 111,150
Springs Industries, Inc......................... 3,200 139,600
VF Corp......................................... 15,600 666,900
--------------
1,461,121
--------------
TOBACCO -- 0.1%
RJR Nabisco Holdings, Inc....................... 94,067 2,963,121
UST, Inc........................................ 22,700 663,975
--------------
3,627,096
--------------
TOYS
Hasbro, Inc..................................... 25,500 712,406
Mattel, Inc..................................... 47,151 1,246,555
--------------
1,958,961
--------------
TRUCKING/SHIPPING -- 0.1%
Federal Express Corp. (b)....................... 38,500 2,088,625
Ryder System, Inc............................... 9,000 234,000
Yellow Corp. (b)................................ 43,600 773,900
--------------
3,096,525
--------------
UTILITIES - ELECTRICAL & GAS -- 0.6%
Ameren Corp..................................... 17,700 679,238
American Electric Power Co., Inc................ 26,200 984,138
Carolina Power & Light Co....................... 20,000 856,250
Central & South West Corp....................... 27,600 645,150
CINergy Corp.................................... 19,600 627,200
CMS Energy Corp................................. 13,000 544,375
Consolidated Edison, Inc........................ 30,400 1,375,600
Constellation Energy Group...................... 18,400 545,100
Dominion Resources, Inc......................... 26,600 1,152,113
DTE Energy Co................................... 19,200 768,000
Duke Energy Corp................................ 46,200 2,512,125
Edison International............................ 45,700 1,222,475
Entergy Corp.................................... 33,100 1,034,375
FirstEnergy Corp. (b)........................... 31,300 970,300
Florida Progress Corp........................... 7,000 289,188
FPL Group, Inc.................................. 23,200 1,267,300
GPU, Inc........................................ 16,400 691,875
New Century Energies, Inc....................... 15,000 582,188
Niagara Mohawk Holdings Inc. (b)................ 22,600 363,013
Northern States Power Co........................ 17,700 428,119
Pacific Gas & Electric Co....................... 50,300 1,634,750
PacifiCorp...................................... 38,600 709,275
PECO Energy Co.................................. 25,600 1,072,000
PP&L Resources, Inc............................. 20,200 621,150
Public Service Enterprise Group, Inc............ 28,800 1,177,200
Reliant Energy, Inc............................. 39,100 1,080,138
Southern Co..................................... 89,400 2,369,100
Texas Utilities Co.............................. 38,300 1,579,875
Unicom Corp..................................... 29,800 1,149,163
--------------
28,930,773
--------------
WASTE MANAGEMENT -- 0.2%
Browning-Ferris Industries, Inc................. 20,300 872,900
Waste Management, Inc........................... 118,902 6,390,983
--------------
7,263,883
--------------
TOTAL COMMON STOCKS
(cost $1,397,682,780).......................................... 1,799,087,228
--------------
PREFERRED STOCKS -- 0.8%
FINANCIAL SERVICES -- 0.7%
Central Hispano Capital Corp.,.................. 1,225,900 31,264,588
--------------
TELECOMMUNICATIONS -- 0.1%
Telecomunicacoes Brasileiras SA, ADR,
(Brazil)...................................... 55,900 5,041,481
--------------
TOTAL PREFERRED STOCKS
(cost $36,871,416)............................................. 36,306,069
--------------
TOTAL LONG-TERM INVESTMENTS
(cost $3,931,024,089).......................................... 4,290,356,702
--------------
PRINCIPAL
MOODY'S AMOUNT
SHORT-TERM INVESTMENTS -- 17.8% RATING (000)
------------ ---------
COMMERCIAL PAPER -- 8.3%
Abbey National Treasury Services, PLC,
5.85%, 07/01/99............................... NR $ 2,400 2,400,000
BBL North America, Inc.
5.83%, 07/11/99 (e)........................... P1 45,000 45,000,000
Bishop's Gate Residential
5.80%, 07/11/99 (e)........................... P1 33,300 33,300,000
Caterpillar Financial Services,
5.30%, 07/09/99............................... P1 2,442 2,439,124
Conoco, Inc.
5.22%, 07/14/99 (e)........................... P1 44,000 43,917,060
CXC, Inc.
5.15%, 08/20/99 (e)........................... P1 15,000 14,892,708
Eastman Kodak Co.,
5.06%, 07/08/99............................... P1 2,800 2,797,245
Edison Asset Securitization LLC
4.92%, 07/14/99 (e)........................... P1 56,572 56,471,490
Enterprise Funding Corp.
5.18%, 08/13/99 (e)........................... P1 25,000 24,845,319
5.35%, 07/14/99............................... NR 2,300 2,295,557
Federated Department Stores, Inc.
5.05%, 07/12/99 (e)........................... P1 10,000 9,984,569
Ford Motor Credit Co.
5.02%, 08/20/99 (e)........................... P1 3,676 3,650,370
Fortune Brands Inc.,
5.80%, 07/01/99............................... NR 950 950,000
Gateway Fuel Co.,
5.80%, 07/01/99............................... P1 2,400 2,400,000
General Electric Capital Corp.,
5.06%, 07/22/99............................... NR 1,200 1,196,458
General Mills Corp,
5.12%, 07/12/99............................... P3 1,975 1,971,910
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B20
<PAGE>
CONSERVATIVE BALANCED PORTFOLIO (CONTINUED)
JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL
MOODY'S AMOUNT VALUE
SHORT-TERM INVESTMENTS (CONT'D) RATING (000) (NOTE 2)
------------ --------- --------------
<S> <C> <C> <C>
COMMERCIAL PAPER (CONT'D.)
General Motors Acceptance Corp.
5.04%, 08/23/99 (e)........................... P1 $ 40,000 $ 39,703,200
Heller Financial Inc.
5.35%, 07/08/99 (e)........................... P1 12,500 12,486,997
ING American Insurance Holdings, Inc.,
5.80%, 07/01/99............................... NR 2,400 2,400,000
International Lease Finance,
5.25%, 07/14/99............................... A1 1,500 1,497,156
Merrill Lynch & Co. Inc,
5.27%, 07/12/99............................... P1 1,349 1,346,828
Morgan (J.P.) & Co., Inc.,
5.25%, 07/13/99............................... P3 1,400 1,397,550
Old Line Funding Corp.,
5.12%, 07/01/99............................... NR 2,500 2,500,000
Potomac Electrical Power Co.,
5.30%, 07/07/99............................... NR 2,600 2,597,704
Raytheon Co.
5.25%, 07/23/99 (e)........................... P1 38,000 37,878,083
Rohm & Haas Co.
6.30%, 07/01/99 (e)........................... P1 21,000 21,000,000
Ryder System, Inc.
5.08%, 07/02/99 (e)........................... P1 4,500 4,499,365
Sonoco Products,
5.80%, 07/01/99............................... P1 1,100 1,100,000
Southern California Edison Co.,
5.25%, 07/12/99............................... P3 2,600 2,595,829
Triple-A One Plus Funding Corp.,
5.36%, 07/13/99............................... NR 2,500 2,495,533
Wells Fargo & Company,
6.00%, 07/01/99............................... P3 1,829 1,829,000
--------------
383,839,055
--------------
OTHER CORPORATE OBLIGATIONS -- 5.5%
Advanta Corp., M.T.N.,
6.99%, 10/18/99............................... Ba3 15,000 14,913,300
7.25%, 08/16/99............................... Ba2 3,000 3,000,924
Capital One Bank,
7.35%, 06/20/00............................... Baa3 8,100 8,172,900
Comdisco, Inc.,
5.94%, 04/13/00............................... Baa1 12,500 12,539,000
Deutsche Bank AG
5.125%, 07/01/99 (e).......................... NR 47,485 47,485,000
Enterprise Rent-A-Car USA Finance Co.,
8.75%, 12/15/99............................... Baa3 5,000 5,055,000
General Electric Capital International Funding
5.07%, 08/09/99 (e)........................... NR 42,000 41,769,315
MCI WorldCom Inc.
5.05%, 07/07/99 (e)........................... NR 10,632 10,623,051
5.05%, 07/09/99 (e)........................... NR 22,000 21,975,311
Salomon Smith Barney Holdings, Inc.
5.05%, 08/04/99............................... NR 33,100 32,942,131
SunAmerica, Inc.,
6.20%, 10/31/99............................... Baa1 9,000 9,015,210
Tele-Communications, Inc.,
6.375%, 09/15/99.............................. Ba1 8,000 8,017,200
7.375%, 02/15/00.............................. Ba1 40,700 41,102,930
--------------
256,611,272
--------------
REPURCHASE AGREEMENT -- 3.9%
Joint Repurchase Agreement Account,
4.775%, 07/01/99 (Note 5)..................... 171,632 171,632,000
Merrill Lynch Triparty Repurchase Agreement,
5.10%, 07/02/99 (cost $10,000,000) (d)........ P3 10,000 10,000,000
--------------
181,632,000
--------------
U. S. GOVERNMENT & AGENCY OBLIGATIONS -- 0.1%
United States Treasury Bill,
4.545%, 09/16/99 (a).......................... 2,400 2,376,900
--------------
TOTAL SHORT-TERM INVESTMENTS
(cost $836,873,619)...................................................... 824,459,227
--------------
TOTAL INVESTMENTS -- 110.2%
(cost $4,767,897,708; Note 6)............................................ 5,114,815,929
--------------
VARIATION MARGIN ON OPEN FUTURES CONTRACTS (F)............................. 1,088,075
LIABILITIES IN EXCESS OF OTHER ASSETS -- 10.2%............................. (475,606,505)
--------------
TOTAL NET ASSETS -- 100.0%................................................. $4,640,297,499
==============
</TABLE>
The following abbreviations are used in portfolio descriptions:
ADR American Depository Receipt
L.P. Limited Partnership
M.T.N. Medium Term Note
NR Not Rated by Moody's or Standard & Poor's
N.V. Naamloze Vennootsohap (Dutch Corporation)
PLC Public Limited Company (British Corporation)
SA Sociedad Anonima (Spanish Corporation) or Societe Anonyme (French
Corporation)
(a) Security segregated as collateral for futures contracts.
(b) Non-income producing security.
(c) Portion of securities on loan with an aggregate market value of
$495,243,585, cash collateral of $500,998,202 was received with which the
portfolio purchased securities.
(d) Merrill Lynch Triparty Repurchase Agreement, repurchase price $10,002,833,
due 7/2/99. The value of the collateral including accrued interest was
$10,201,949.
(e) Represents securities purchased with cash collateral received for
securities on loan.
(f) Open futures contracts as of June 30, 1999 are as follows:
<TABLE>
<CAPTION>
NUMBER OF EXPIRATION VALUE AT VALUE AT APPRECIATION/
CONTRACTS TYPE DATE TRADE DATE JUNE 30, 1999 DEPRECIATION
<C> <S> <C> <C> <C> <C>
Long Position:
26 S&P 500 Index Sep 99 $ 8,737,450 $ 8,981,050 $ 243,600
1,179 U.S. Treasury 5 yr Sep 99 $ 129,432,094 $ 128,511,000 $ (921,094)
-------------
$ (677,494)
=============
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B21
<PAGE>
FLEXIBLE MANAGED PORTFOLIO
JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
LONG-TERM INVESTMENTS -- 87.2%
VALUE
COMMON STOCKS -- 53.6% SHARES (NOTE 2)
------------- --------------
<S> <C> <C>
AEROSPACE -- 1.2%
AlliedSignal, Inc............................... 76,900 $ 4,844,700
Boeing Co....................................... 131,100 5,792,981
GenCorp, Inc.................................... 403,900 10,198,475
General Dynamics Corp........................... 16,200 1,109,700
Goodrich (B.F.) Co.............................. 8,200 348,500
Litton Industries, Inc. (a)..................... 306,000 21,955,500
Lockheed Martin Corp............................ 51,600 1,922,100
Northrop Grumman Corp........................... 8,500 563,656
Parker-Hannifin Corp............................ 191,600 8,765,700
Raytheon Co. (Class "B" Stock).................. 45,500 3,202,062
United Technologies Corp........................ 61,600 4,415,950
--------------
63,119,324
--------------
AIRLINES -- 1.2%
AMR Corp. (a)................................... 640,900 43,741,425
Delta Air Lines, Inc............................ 18,800 1,083,350
Southwest Airlines Co........................... 44,400 1,381,950
US Airways Group, Inc. (a)...................... 476,100 20,740,107
--------------
66,946,832
--------------
APPAREL -- 0.2%
Fruit Of The Loom, Inc. (Class "A" Stock) (a)... 310,300 3,025,425
Nike, Inc. (Class "B" Stock).................... 39,800 2,519,837
Reebok International Ltd........................ 9,100 169,487
Titan International, Inc........................ 415,700 4,936,437
--------------
10,651,186
--------------
AUTOS - CARS & TRUCKS -- 1.3%
Cummins Engine Co., Inc......................... 4,800 274,200
Dana Corp....................................... 23,650 1,089,378
Ford Motor Co................................... 377,300 21,293,869
General Motors Corp............................. 491,400 32,432,400
Genuine Parts Co. (b)........................... 24,400 854,000
Johnson Controls, Inc........................... 11,600 804,025
MascoTech, Inc.................................. 388,000 6,571,750
Midas, Inc...................................... 90,866 2,578,323
Navistar International Corp. (a)................ 6,100 305,000
PACCAR, Inc. (b)................................ 10,000 533,750
TRW, Inc........................................ 12,800 702,400
--------------
67,439,095
--------------
BANKS AND SAVINGS & LOANS -- 1.9%
AmSouth Bancorporation.......................... 16,500 382,594
Banc One Corp................................... 159,764 9,515,943
Bank of New York Co., Inc. (b).................. 105,500 3,870,531
BankAmerica Corp................................ 231,241 16,952,856
BankBoston Corp................................. 37,700 1,927,412
BB&T Corp....................................... 42,400 1,555,550
Chase Manhattan Corp............................ 114,900 9,953,212
Comerica, Inc................................... 20,700 1,230,356
First Union Corp. (b)........................... 132,000 6,204,000
Firstar Corp.................................... 91,900 2,573,200
Fleet Financial Group, Inc...................... 75,300 3,341,437
Golden West Financial Corp...................... 7,500 735,000
Huntington Bancshares, Inc...................... 29,520 1,033,200
KeyCorp......................................... 61,200 1,966,050
Mellon Bank Corp................................ 69,800 2,538,975
Mercantile Bancorporation, Inc.................. 21,300 1,216,762
Morgan (J.P.) & Co., Inc........................ 24,300 3,414,150
National City Corp.............................. 44,500 2,914,750
Northern Trust Corp............................. 14,600 1,416,200
PNC Bank Corp. (b).............................. 38,600 2,224,325
Providian Financial Corp........................ 17,900 1,673,650
Regions Financial Corp.......................... 28,100 1,080,094
Republic New York Corp.......................... 15,000 1,022,812
SouthTrust Corp................................. 19,000 729,125
Summit Bancorp (b).............................. 21,100 882,244
Suntrust Banks, Inc............................. 41,900 2,909,431
Synovus Financial Corp.......................... 35,100 697,612
U.S. Bancorp.................................... 97,600 3,318,400
Union Planters Corp............................. 18,000 804,375
Wachovia Corp................................... 26,500 2,267,406
Wells Fargo & Co................................ 223,400 9,550,350
--------------
99,902,002
--------------
BUSINESS SERVICES
Equifax, Inc.................................... 20,000 713,750
Omnicom Group, Inc.............................. 22,700 1,816,000
--------------
2,529,750
--------------
CHEMICALS -- 1.3%
Air Products & Chemicals, Inc................... 31,400 1,263,850
Dow Chemical Co................................. 30,400 3,857,000
Du Pont (E.I.) de Nemours & Co.................. 153,200 10,465,475
Eastman Chemical Co............................. 9,800 507,150
Engelhard Corp.................................. 15,600 352,950
Ferro Corp...................................... 553,650 15,225,375
FMC Corp. (a)................................... 3,500 239,094
Grace (W.R.) & Co............................... 8,000 147,000
Great Lakes Chemical Corp....................... 7,700 354,681
Hercules, Inc................................... 11,900 467,819
Lyondell Chemical Co............................ 329,000 6,785,625
Millennium Chemicals, Inc. (a).................. 601,600 14,175,200
Monsanto Co..................................... 86,700 3,419,231
Nalco Chemical Co............................... 6,600 342,375
OM Group, Inc................................... 260,300 8,980,350
Praxair, Inc.................................... 19,800 968,962
Raychem Corp.................................... 7,900 292,300
Rohm & Haas Co.................................. 27,158 1,164,399
Sigma-Aldrich Corp.............................. 11,600 399,475
Union Carbide Corp.............................. 17,700 862,875
--------------
70,271,186
--------------
COMMERCIAL SERVICES
Cendant Corp. (a)............................... 109,600 2,246,800
Deluxe Corp..................................... 9,000 350,437
--------------
2,597,237
--------------
COMPUTER SERVICES -- 2.7%
3Com Corp. (a).................................. 45,500 1,214,281
Adobe Systems, Inc.............................. 6,600 542,231
America Online, Inc. (a)........................ 142,300 15,724,150
Autodesk, Inc................................... 7,600 224,675
Automatic Data Processing, Inc.................. 83,000 3,652,000
BMC Software, Inc. (a).......................... 29,200 1,576,800
Cabletron Systems, Inc. (a)..................... 25,600 332,800
Ceridian Corp. (a).............................. 18,600 607,987
Cisco Systems, Inc. (a)......................... 422,000 27,219,000
Computer Associates International, Inc.......... 73,000 4,015,000
Computer Sciences Corp. (a)..................... 20,000 1,383,750
Compuware Corp. (a)............................. 48,000 1,527,000
Electronic Data Systems Corp.................... 66,300 3,750,094
EMC Corp. (a)(b)................................ 135,600 7,458,000
First Data Corp................................. 58,800 2,877,525
Microsoft Corp. (a)............................. 678,400 61,183,200
Novell, Inc. (a)................................ 43,500 1,152,750
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B22
<PAGE>
FLEXIBLE MANAGED PORTFOLIO (CONTINUED)
JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
COMMON STOCKS (CONTINUED) SHARES (NOTE 2)
------------- --------------
<S> <C> <C>
COMPUTER SERVICES (CONT'D.)
Oracle Corp. (a)................................ 196,950 $ 7,311,769
Parametric Technology Corp. (a)................. 31,500 437,062
Peoplesoft, Inc. (b)............................ 30,000 517,500
Silicon Graphics, Inc. (a)...................... 23,400 383,175
Unisys Corp..................................... 31,400 1,222,637
--------------
144,313,386
--------------
COMPUTERS -- 1.4%
Apple Computer, Inc. (a)(b)..................... 21,300 986,456
Compaq Computer Corp............................ 225,461 5,340,607
Data General Corp. (a).......................... 7,900 115,044
Dell Computer Corp. (a)......................... 340,000 12,580,000
Gateway 2000, Inc. (a).......................... 20,200 1,191,800
Hewlett-Packard Co.............................. 138,300 13,899,150
International Business Machines Corp............ 242,600 31,356,050
Networking Appliance, Inc. (a).................. 2,000 111,750
Seagate Technology, Inc. (a).................... 28,900 740,562
Sun Microsystems, Inc. (a)...................... 104,000 7,163,000
--------------
73,484,419
--------------
CONSTRUCTION -- 0.6%
Centex Corp..................................... 9,600 360,600
Fluor Corp...................................... 9,800 396,900
Foster Wheeler Corp............................. 6,600 93,225
Oakwook Homes Corp.............................. 572,000 7,507,500
Pulte Corp...................................... 6,900 159,131
Standard Pacific Corp........................... 632,400 8,181,675
Webb (Del E.) Corp.............................. 576,500 13,763,937
--------------
30,462,968
--------------
CONTAINERS -- 0.2%
Ball Corp....................................... 4,900 207,025
Bemis Co., Inc.................................. 6,600 262,350
Crown Cork & Seal Co., Inc...................... 15,600 444,600
Owens-Illinois, Inc. (a)........................ 255,700 8,358,194
Sealed Air Corp................................. 10,900 707,137
--------------
9,979,306
--------------
COSMETICS & SOAPS -- 0.5%
Alberto Culver Co. (Class 'B' Stock)............ 6,200 165,075
Avon Products, Inc.............................. 33,300 1,848,150
Colgate-Palmolive Co............................ 39,700 3,920,375
Gillette Co..................................... 150,100 6,154,100
International Flavors & Fragrances, Inc......... 14,100 625,687
Procter & Gamble Co............................. 177,400 15,832,950
--------------
28,546,337
--------------
DIVERSIFIED CONSUMER PRODUCTS -- 0.8%
Eastman Kodak Co................................ 187,300 12,689,575
Philip Morris Co., Inc.......................... 774,200 31,113,163
--------------
43,802,738
--------------
DIVERSIFIED OFFICE EQUIPMENT -- 0.2%
Avery Dennison Corp............................. 15,000 905,625
Pitney Bowes, Inc............................... 35,100 2,255,175
Xerox Corp...................................... 92,500 5,463,281
--------------
8,624,081
--------------
DIVERSIFIED OPERATIONS -- 1.1%
Fortune Brands, Inc............................. 24,200 1,001,275
General Electric Co............................. 437,900 49,482,700
Tomkins PLC, ADR (b)............................ 391,400 7,143,050
--------------
57,627,025
--------------
DRUGS AND MEDICAL SUPPLIES -- 2.9%
Abbott Laboratories............................. 206,300 9,386,650
Allergan, Inc................................... 8,800 976,800
ALZA Corp. (a).................................. 9,900 503,662
American Home Products Corp..................... 179,400 10,315,500
Amgen, Inc. (a)................................. 70,500 4,291,687
Bard (C.R.), Inc................................ 5,900 282,094
Bausch & Lomb, Inc.............................. 7,100 543,150
Baxter International, Inc....................... 38,400 2,328,000
Becton, Dickinson & Co.......................... 31,500 945,000
Biomet, Inc..................................... 14,500 576,375
Boston Scientific Corp. (a)..................... 51,800 2,275,962
Bristol-Myers Squibb Co......................... 265,500 18,701,156
Cardinal Health, Inc. (b)....................... 34,450 2,209,106
Guidant Corp.................................... 37,700 1,939,194
Johnson & Johnson............................... 179,700 17,610,600
Lilly (Eli) & Co................................ 149,800 10,729,425
Mallinckrodt, Inc............................... 7,500 272,812
Medtronic, Inc.................................. 79,200 6,167,700
Merck & Co., Inc................................ 318,300 23,554,200
Pfizer, Inc..................................... 173,400 19,030,650
Pharmacia & Upjohn, Inc......................... 67,800 3,851,887
Schering-Plough Corp............................ 199,700 10,584,100
St. Jude Medical, Inc. (a)...................... 8,900 317,062
Warner-Lambert Co............................... 111,100 7,707,562
Watson Pharmaceuticals, Inc. (a)................ 9,000 315,562
--------------
155,415,896
--------------
ELECTRONICS -- 1.2%
Advanced Micro Devices, Inc. (a)................ 17,000 307,062
Applied Materials, Inc. (a)..................... 50,700 3,745,462
Belden, Inc..................................... 275,600 6,597,175
EG&G, Inc....................................... 7,300 260,062
Emerson Electric Co............................. 60,200 3,785,075
Grainger (W.W.), Inc............................ 13,000 699,562
Harris Corp..................................... 9,000 352,687
Honeywell, Inc.................................. 15,900 1,842,412
Intel Corp...................................... 445,500 26,507,250
KLA-Tencor Corp. (a)............................ 10,900 707,137
LSI Logic Corp. (a)............................. 18,600 857,925
Micron Technology, Inc.......................... 34,300 1,382,719
Motorola, Inc................................... 80,200 7,598,950
National Semiconductor Corp. (a)................ 19,000 480,937
Rockwell International Corp..................... 24,300 1,476,225
Solectron Corp.................................. 32,900 2,194,019
Tektronix, Inc.................................. 8,200 247,537
Texas Instruments, Inc.......................... 52,500 7,612,500
Thomas & Betts Corp............................. 9,000 425,250
--------------
67,079,946
--------------
ENGINEERING & CONSTRUCTION -- 0.1%
Giant Cement Holdings, Inc. (a)................. 244,900 5,602,087
--------------
ENVIRONMENTAL SERVICES
Browning-Ferris Industries, Inc................. 21,800 937,400
--------------
EXPLORATION & PRODUCTION -- 0.1%
Apex Silver Mines Ltd........................... 340,400 4,212,450
--------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B23
<PAGE>
FLEXIBLE MANAGED PORTFOLIO (CONTINUED)
JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
COMMON STOCKS (CONTINUED) SHARES (NOTE 2)
------------- --------------
<S> <C> <C>
FINANCIAL SERVICES -- 3.6%
American Express Co............................. 61,200 $ 7,963,650
Associates First Capital Corp................... 100,990 4,475,119
Bear Stearns Companies, Inc..................... 14,675 686,056
Block (H.R.), Inc............................... 13,400 670,000
Capital One Financial Corp...................... 24,900 1,386,619
Citigroup, Inc.................................. 775,876 36,854,110
Countrywide Credit Industries, Inc.............. 14,000 598,500
Dun & Bradstreet Corp........................... 23,000 815,062
Federal Home Loan Mortgage Corp................. 91,300 5,295,400
Federal National Mortgage Association........... 140,900 9,634,037
Fifth Third Bancorp............................. 34,800 2,316,375
Franklin Resource, Inc. (b)..................... 33,000 1,340,625
Goldman Sachs Group, Inc. (a)................... 53,100 3,836,475
Household International, Inc.................... 64,592 3,060,046
Lehman Brothers Holdings, Inc................... 719,100 44,763,975
MBNA Corp....................................... 104,600 3,203,375
Merrill Lynch & Co., Inc........................ 286,300 22,886,106
Morgan Stanley Dean Witter & Co................. 299,995 30,749,488
PaineWebber Group, Inc.......................... 14,000 654,500
Paychex, Inc.................................... 29,850 951,469
Schwab (Charles) Corp. (a)...................... 53,600 5,889,300
SLM Holding Corp................................ 19,000 870,437
State Street Corp............................... 20,600 1,758,725
Transamerica Corp............................... 16,000 1,200,000
Washington Mutual, Inc.......................... 80,836 2,859,573
--------------
194,719,022
--------------
FOOD & BEVERAGES -- 1.9%
Anheuser-Busch Companies, Inc................... 65,000 4,610,936
Archer-Daniels-Midland Co....................... 77,915 1,202,813
Bestfoods....................................... 37,800 1,871,100
Brown-Forman Corp. (Class "B" Stock)............ 6,700 436,756
Campbell Soup Co................................ 59,600 2,763,950
Coca-Cola Co. (b)............................... 329,400 20,587,500
Coca-Cola Enterprises, Inc...................... 54,500 1,621,375
ConAgra, Inc.................................... 64,600 1,719,975
Coors (Adolph) Co. (Class "B" Stock)............ 2,900 143,550
General Mills, Inc.............................. 21,400 1,720,025
Heinz (H.J.) & Co............................... 47,400 2,375,925
Hershey Foods Corp.............................. 20,300 1,205,312
Kellogg Co...................................... 54,000 1,782,000
Nabisco Group Holdings Corp..................... 1,226,900 24,001,231
PepsiCo, Inc.................................... 198,400 7,675,600
Pioneer Hi-Bred International, Inc.............. 31,100 1,210,956
Quaker Oats Co.................................. 17,600 1,168,200
Ralston-Ralston Purina Group.................... 42,200 1,284,462
Sara Lee Corp................................... 123,800 2,808,712
Seagram Co., Ltd................................ 52,600 2,649,725
Sysco Corp...................................... 44,200 1,317,712
Unilever NV..................................... 75,842 5,289,979
Whitman Corp.................................... 545,200 9,813,600
Wrigley (William) Jr. Co........................ 15,200 1,368,000
--------------
100,629,394
--------------
FOREST PRODUCTS -- 2.0%
Boise Cascade Corp.............................. 665,800 28,546,175
Champion International Corp..................... 401,600 19,226,600
Fort James Corp................................. 27,100 1,026,412
Georgia-Pacific Corp............................ 157,800 7,475,775
International Paper Co.......................... 54,582 2,756,391
Louisiana-Pacific Corp.......................... 699,700 16,617,875
Mead Corp....................................... 403,000 16,825,250
Potlatch Corp................................... 4,700 206,506
Temple-Inland, Inc.............................. 7,100 484,575
Westvaco Corp................................... 11,900 345,100
Weyerhaeuser Co................................. 27,000 1,856,250
Willamette Industries, Inc...................... 299,200 13,781,900
--------------
109,148,809
--------------
GAS PIPELINES -- 0.1%
Columbia Energy Group........................... 10,500 658,219
Consolidated Natural Gas Co..................... 12,900 783,675
Peoples Energy Corp............................. 5,700 214,819
Sempra Energy................................... 30,253 684,474
Sonat, Inc...................................... 13,500 447,187
Williams Companies, Inc......................... 57,200 2,434,575
--------------
5,222,949
--------------
HOSPITALS/HOSPITAL MANAGEMENT -- 1.2%
Columbia/HCA Healthcare Corp.................... 892,800 20,367,000
Healthsouth Corp. (a)........................... 55,000 821,562
Humana, Inc. (a)................................ 735,100 9,510,375
IMS Health, Inc................................. 40,900 1,278,125
LifePoint Hospitals, Inc. (a)................... 42,447 570,382
Manor Care, Inc................................. 13,300 321,694
McKesson HBOC Inc............................... 34,381 1,104,490
Service Corp. International..................... 40,800 785,400
Shared Medical Systems Corp..................... 4,200 274,050
Smith (A.O.) Corp............................... 433,350 12,133,800
Tenet Healthcare Corp. (a)...................... 799,600 14,842,575
Triad Hospitals, Inc. (a)....................... 42,447 573,034
Wellpoint Health Networks Inc................... 6,000 509,250
--------------
63,091,737
--------------
HOUSEHOLD PRODUCTS & PERSONAL CARE -- 0.4%
Clorox Co....................................... 15,200 1,623,550
Kimberly-Clark Corp............................. 73,000 4,161,000
Leggett & Platt, Inc............................ 470,800 13,094,125
--------------
18,878,675
--------------
HOUSING RELATED -- 1.4%
Armstrong World Industries, Inc................. 6,500 375,781
Fleetwood Enterprises, Inc...................... 6,100 161,269
Hanson, PLC, ADR, (United Kingdom).............. 1,221,100 54,186,312
Kaufman & Broad Home Corp....................... 6,400 159,200
Lowe's Companies, Inc........................... 48,600 2,755,012
Masco Corp...................................... 44,000 1,270,500
Maytag Corp..................................... 10,700 745,656
Newell Rubbermaid Inc........................... 38,355 1,783,507
Owens Corning................................... 413,400 14,210,626
Stanley Works................................... 9,900 318,656
Tupperware Corp................................. 9,900 252,450
Whirlpool Corp.................................. 9,900 732,600
--------------
76,951,569
--------------
INSTRUMENT - CONTROLS
PE Corp-PE Biosystems Group..................... 6,500 745,875
--------------
INSURANCE -- 2.8%
Aetna, Inc...................................... 18,900 1,690,368
Aflac Inc....................................... 31,000 1,484,125
Allstate Corp................................... 115,100 4,129,212
American General Corp........................... 32,400 2,442,150
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B24
<PAGE>
FLEXIBLE MANAGED PORTFOLIO (CONTINUED)
JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
COMMON STOCKS (CONTINUED) SHARES (NOTE 2)
------------- --------------
<S> <C> <C>
INSURANCE (CONT'D.)
American International Group, Inc............... 164,103 $ 19,210,306
Aon Corp........................................ 33,450 1,379,812
Berkley (W.R.) Corp............................. 175,850 4,396,250
Chubb Corp...................................... 237,900 16,534,050
CIGNA Corp...................................... 27,100 2,411,900
Cincinnati Financial Corp....................... 22,900 860,180
Conseco, Inc.................................... 41,587 1,265,804
Financial Security Assurance Holdings Ltd....... 140,100 7,285,200
Hartford Financial Services Group, Inc.......... 30,600 1,784,362
Jefferson-Pilot Corp............................ 14,900 986,194
Lincoln National Corp........................... 26,800 1,401,975
Loews Corp...................................... 178,300 14,107,988
Marsh & McLennan Companies, Inc................. 34,900 2,634,950
MBIA, Inc....................................... 13,700 887,075
MGIC Investment Corp............................ 15,100 734,237
Progressive Corp................................ 9,400 1,363,000
Provident Companies, Inc........................ 19,000 760,000
Reinsurance Group of America, Inc............... 711,900 25,094,475
SAFECO Corp..................................... 358,700 15,827,637
St. Paul Companies, Inc......................... 32,500 1,033,906
Torchmark Corp.................................. 425,000 14,503,125
Trenwick Group, Inc............................. 273,300 6,738,553
United Healthcare Corp.......................... 24,400 1,528,050
UNUM Corp....................................... 17,100 936,225
--------------
153,411,109
--------------
LEISURE -- 0.3%
Brunswick Corp.................................. 11,200 312,200
Carnival Corp. (Class "A" Stock)................ 81,700 3,962,450
Disney (Walt) Co................................ 278,500 8,581,281
Harrah's Entertainment, Inc. (a)................ 16,400 360,800
Hilton Hotels Corp.............................. 30,800 436,974
King World Productions, Inc..................... 8,900 309,831
Marriott International, Inc. (Class "A"
Stock)........................................ 33,700 1,259,538
Mirage Resorts, Inc. (a)........................ 22,500 376,875
--------------
15,599,949
--------------
MACHINERY -- 1.0%
Briggs & Stratton Corp.......................... 4,000 231,000
Case Corp....................................... 365,300 17,580,063
Caterpillar, Inc................................ 46,800 2,808,000
Commercial Intertech Corp....................... 115,300 1,837,594
Cooper Industries, Inc.......................... 12,900 670,800
Deere & Co...................................... 32,200 1,275,925
Delphi Automotive Systems Corp.................. 347,454 6,449,615
Dover Corp...................................... 28,000 980,000
DT Industries, Inc.............................. 146,800 1,348,725
Eaton Corp...................................... 9,800 901,600
Flowserve Corp.................................. 161,991 3,067,705
Global Industrial Technologies, Inc. (a)........ 258,100 3,113,331
Ingersoll-Rand Co............................... 22,300 1,441,138
Milacron, Inc................................... 6,400 118,400
Paxar Corp...................................... 954,575 8,591,175
Snap-On, Inc.................................... 9,900 358,256
Timken Co....................................... 10,200 198,900
--------------
50,972,227
--------------
MANUFACTURING -- 0.3%
Hussmann International, Inc..................... 272,600 4,514,938
Illinois Tool Works, Inc........................ 34,400 2,820,800
Tyco International Ltd.......................... 110,956 10,513,081
--------------
17,848,819
--------------
MEDIA -- 1.9%
CBS Corp. (a)................................... 359,800 15,628,813
Central Newspapers, Inc.(Class "A" Stock)....... 410,600 15,448,824
Clear Channel Communications, Inc. (a)(b)....... 42,200 2,909,163
Comcast Corp. (Special Class "A" Stock)......... 99,300 3,816,844
Donnelley (R.R.) & Sons Co...................... 15,000 555,938
Dow Jones & Co., Inc............................ 12,600 668,588
Gannett Co., Inc................................ 36,900 2,633,738
Houghton Mifflin Co............................. 240,700 11,327,944
Interpublic Group of Companies, Inc............. 17,300 1,498,612
Knight-Ridder, Inc. (b)......................... 248,600 13,657,462
Lee Enterprises, Inc............................ 208,900 6,371,450
McGraw-Hill, Inc................................ 26,600 1,434,738
Mediaone Group, Inc. (b)........................ 81,800 6,083,875
Meredith Corp................................... 4,600 159,275
New York Times Co. (Class "A" Stock)............ 22,200 817,238
Time Warner, Inc................................ 163,300 12,002,550
Times Mirror Co. (Class "A" Stock) (b).......... 8,600 509,550
Tribune Co...................................... 16,000 1,394,000
Viacom, Inc. (Class "B" Stock) (a).............. 95,200 4,188,800
--------------
101,107,402
--------------
METALS-FERROUS -- 0.8%
AK Steel Holding Corp........................... 606,100 13,637,250
Allegheny Teledyne, Inc......................... 25,300 572,413
Bethlehem Steel Corp. (a)....................... 924,400 7,106,325
LTV Corp........................................ 841,400 5,626,863
Material Sciences Corp. (a)..................... 397,900 5,968,500
National Steel Corp. (Class "B" Stock) (a)...... 147,300 1,233,637
Nucor Corp...................................... 11,500 545,531
USX-U.S. Steel Group, Inc....................... 318,800 8,607,600
Worthington Industries, Inc..................... 9,700 159,444
--------------
43,457,563
--------------
METALS-NON FERROUS -- 1.4%
Alcan Aluminum Ltd.............................. 32,000 1,022,000
Alcoa, Inc...................................... 1,203,500 74,466,563
Cyprus Amax Minerals Co......................... 15,100 229,331
Inco Ltd........................................ 27,000 486,000
Reynolds Metals Co.............................. 8,900 525,100
--------------
76,728,994
--------------
MINERAL RESOURCES
ASARCO, Inc..................................... 6,500 122,281
Burlington Resources, Inc....................... 21,800 942,850
Homestake Mining Co............................. 34,300 280,831
Phelps Dodge Corp............................... 7,200 445,950
--------------
1,791,912
--------------
MISCELLANEOUS - BASIC INDUSTRY -- 1.0%
AES Corp........................................ 25,000 1,453,125
Coltec Industries, Inc.......................... 179,200 3,886,400
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B25
<PAGE>
FLEXIBLE MANAGED PORTFOLIO (CONTINUED)
JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
COMMON STOCKS (CONTINUED) SHARES (NOTE 2)
------------- --------------
<S> <C> <C>
MISCELLANEOUS - BASIC INDUSTRY (CONT'D.)
Crane Co........................................ 11,100 $ 348,956
Danaher Corp. (b)............................... 16,000 930,000
Donaldson Co., Inc.............................. 448,600 10,990,700
Ecolab, Inc..................................... 17,300 754,713
IDEX Corp. (b).................................. 246,700 8,110,263
ITT Industries, Inc............................. 11,100 423,188
Laidlaw, Inc.................................... 41,300 304,588
Mark IV Industries, Inc......................... 355,500 7,509,938
Millipore Corp.................................. 7,000 283,938
NACCO Industries, Inc. (Class "A" Stock)........ 1,300 95,550
Pall Corp....................................... 20,200 448,188
PPG Industries, Inc............................. 22,200 1,311,188
Textron, Inc.................................... 21,300 1,753,256
Thermo Electron Corp. (a)....................... 17,500 351,093
Trinity Industries, Inc......................... 214,100 7,172,350
Wolverine Tube, Inc. (a)........................ 155,300 3,901,913
York International Corp......................... 110,600 4,735,063
--------------
54,764,410
--------------
MISCELLANEOUS - CONSUMER GROWTH/STABLE -- 0.2%
American Greetings Corp. (Class "A" Stock)...... 11,800 355,475
Black & Decker Corp............................. 12,500 789,063
Corning, Inc.................................... 31,900 2,236,988
Jostens, Inc.................................... 6,300 132,693
Minnesota Mining & Manufacturing Co............. 53,900 4,685,931
Polaroid Corp................................... 7,300 201,663
--------------
8,401,813
--------------
MISCELLANEOUS - INDUSTRIAL
Tenneco, Inc.................................... 21,500 513,313
--------------
OIL & GAS -- 2.4%
Amerada Hess Corp............................... 12,100 719,950
Anadarko Petroleum Corp......................... 15,300 563,231
Ashland, Inc.................................... 8,700 349,087
Atlantic Richfield Co........................... 44,500 3,718,531
Basin Exploration, Inc. (a)..................... 71,400 1,432,463
Cabot Oil & Gas Corp. (Class "A" Stock)......... 363,800 6,775,775
Chevron Corp.................................... 86,800 8,262,275
Coastal Corp.................................... 30,500 1,220,000
Eastern Enterprises............................. 3,300 131,175
Enron Oil & Gas Co.............................. 198,700 4,023,675
Exxon Corp...................................... 324,900 25,057,913
Kerr-McGee Corp................................. 10,609 532,439
Mobil Corp...................................... 104,700 10,365,300
Murphy Oil Corp................................. 114,000 5,564,625
NICOR, Inc...................................... 7,800 296,888
Noble Affiliates, Inc........................... 208,900 5,888,369
Ocean Energy, Inc............................... 245,500 2,362,938
Phillips Petroleum Co........................... 35,600 1,791,124
Pioneer Natural Resources Co.................... 1,488,431 16,372,744
Royal Dutch Petroleum Co........................ 286,500 17,261,625
Sunoco, Inc..................................... 10,800 326,025
Texaco, Inc..................................... 72,100 4,506,250
Union Pacific Resources Group, Inc.............. 32,200 525,263
Unocal Corp..................................... 30,800 1,220,450
USX-Marathon Group.............................. 41,800 1,361,113
Western Gas Resources, Inc...................... 423,100 6,769,600
--------------
127,398,828
--------------
OIL & GAS EXPLORATION/PRODUCTION -- 0.7%
Elf Aquitaine SA, ADR, (France)................. 513,400 37,766,988
Occidental Petroleum Corp....................... 49,100 1,037,238
--------------
38,804,226
--------------
OIL & GAS SERVICES -- 1.1%
Apache Corp..................................... 10,900 425,100
Baker Hughes, Inc............................... 41,740 1,398,290
Enron Corp...................................... 46,800 3,825,900
Halliburton Co.................................. 59,900 2,710,475
Helmerich & Payne, Inc.......................... 8,200 195,263
McDermott International, Inc.................... 1,629,400 46,030,550
ONEOK, Inc...................................... 5,000 158,750
Rowan Companies, Inc. (a)....................... 14,100 259,969
Schlumberger Ltd................................ 75,800 4,827,513
--------------
59,831,810
--------------
PRECIOUS METALS -- 0.2%
Barrick Gold Corp............................... 52,400 1,015,250
Battle Mountain Gold Co......................... 37,200 90,674
Freeport-McMoRan Copper & Gold, Inc. (Class 'B'
Stock)........................................ 22,100 396,419
Newmont Mining Corp............................. 25,400 504,825
Placer Dome, Inc................................ 28,000 330,750
Stillwater Mining Co. (a)....................... 301,800 9,865,088
--------------
12,203,006
--------------
RAILROADS -- 0.1%
Burlington Northern Santa Fe Corp............... 67,000 2,077,000
CSX Corp........................................ 29,300 1,327,656
Kansas City Southern Industries, Inc............ 11,000 701,937
Norfolk Southern Corp........................... 52,400 1,578,550
Union Pacific Corp.............................. 35,300 2,058,431
--------------
7,743,574
--------------
REAL ESTATE DEVELOPMENT -- 1.2%
Crescent Real Estate Equities Co................ 1,377,600 32,718,000
Equity Residential Properties Trust............. 150,900 6,799,931
Vornado Realty Trust (a)........................ 745,100 26,311,344
--------------
65,829,275
--------------
RESTAURANTS -- 0.2%
Darden Restaurants, Inc......................... 19,000 414,438
McDonald's Corp................................. 184,700 7,630,419
Tricon Global Restaurants, Inc. (a)............. 22,000 1,190,750
Wendy's International, Inc...................... 15,700 444,506
--------------
9,680,113
--------------
RETAIL -- 3.7%
Albertson's, Inc. (b)........................... 55,761 2,875,177
AutoZone, Inc. (a).............................. 19,700 593,463
Best Buy Co., Inc. (a).......................... 10,000 675,000
Charming Shoppes, Inc. (a)...................... 3,332,400 20,306,812
Circuit City Stores, Inc........................ 13,600 1,264,800
Consolidated Stores Corp........................ 13,100 353,700
Costco Companies, Inc. (a)...................... 28,900 2,313,806
CVS Corp........................................ 51,900 2,633,925
Dayton-Hudson Corp.............................. 61,100 3,971,500
Dillard's, Inc.................................. 143,100 5,026,388
Dollar General Corporation...................... 29,000 841,000
Federated Department Stores, Inc. (a)(b)........ 27,500 1,455,781
Great Atlantic & Pacific Tea Co., Inc........... 6,200 209,638
Harcourt General, Inc........................... 8,100 417,656
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B26
<PAGE>
FLEXIBLE MANAGED PORTFOLIO (CONTINUED)
JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
COMMON STOCKS (CONTINUED) SHARES (NOTE 2)
------------- --------------
<S> <C> <C>
RETAIL (CONT'D.)
Home Depot, Inc................................. 200,900 $ 12,945,494
IKON Office Solutions, Inc...................... 21,800 327,000
J.C. Penney Co., Inc............................ 33,800 1,641,413
Kmart Corp. (a)(b).............................. 2,422,300 39,816,557
Kohl's Corp. (a)................................ 20,800 1,605,500
Kroger Co. (a).................................. 110,400 3,084,300
Liz Claiborne, Inc.............................. 10,900 397,850
Longs Drug Stores, Inc.......................... 6,300 217,744
May Department Stores Co........................ 45,750 1,870,031
Nordstrom, Inc. (b)............................. 20,200 676,700
Office Depot, Inc............................... 22,500 496,406
Pep Boys - Manny, Moe & Jack.................... 9,327 201,696
Rite Aid Corp................................... 36,000 886,500
Safeway, Inc. (a)............................... 66,000 3,267,000
Sears, Roebuck & Co............................. 50,500 2,250,406
Sherwin-Williams Co............................. 22,500 624,375
Staples, Inc. (a)............................... 59,200 1,831,500
Supervalu, Inc.................................. 15,300 393,019
Tandy Corp...................................... 25,600 1,251,200
The Gap, Inc.................................... 114,300 5,757,863
The Limited, Inc................................ 753,340 34,182,803
TJX Companies, Inc.............................. 42,000 1,399,125
Toys 'R' Us, Inc. (a)........................... 387,800 8,022,613
Wal-Mart Stores, Inc............................ 594,200 28,670,150
Walgreen Co..................................... 136,600 4,012,625
Winn-Dixie Stores, Inc.......................... 19,500 720,281
--------------
199,488,797
--------------
RUBBER -- 0.2%
Cooper Tire & Rubber Co......................... 12,800 302,400
Goodyear Tire & Rubber Co....................... 181,800 10,692,113
--------------
10,994,513
--------------
TELECOMMUNICATIONS -- 3.4%
Alcatel Alsthom, ADR, (France).................. 513,000 14,556,374
Alltel Corp..................................... 38,300 2,738,450
Ameritech Corp.................................. 147,100 10,811,850
Andrew Corp. (a)................................ 14,300 270,806
AT&T Corp. (b).................................. 420,572 23,473,175
Bell Atlantic Corp.............................. 208,900 13,656,838
BellSouth Corp.................................. 258,700 12,126,563
CenturyTel, Inc................................. 11,700 465,075
Frontier Corp................................... 21,200 1,250,800
General Instrument Corp......................... 24,000 1,020,000
GTE Corp........................................ 128,600 9,741,450
Lucent Technologies, Inc........................ 402,730 27,159,104
MCI Worldcom, Inc............................... 245,970 21,214,913
Nextel Communications, Inc. (Class "A" Stock)
(a)........................................... 38,400 1,927,200
Nortel Networks Corp............................ 88,700 7,700,269
SBC Communications, Inc......................... 264,100 15,317,800
Scientific-Atlanta, Inc......................... 8,200 295,200
Sprint Corp..................................... 120,400 6,358,625
Sprint Corp. (PCS Group)........................ 54,350 3,104,744
Tellabs, Inc. (a)............................... 53,000 3,580,813
US West, Inc.................................... 67,241 3,950,409
Vodafone Group, ADR, PLC (United Kingdom)....... 10,200 2,009,400
--------------
182,729,858
--------------
TEXTILES
National Service Industries, Inc................ 4,900 176,400
Pillowtex Corp. (a)............................. 73,932 1,206,016
Russell Corp.................................... 5,900 115,050
Springs Industries, Inc......................... 3,300 143,963
VF Corp......................................... 16,700 713,925
--------------
2,355,354
--------------
TOBACCO -- 0.2%
RJR Nabisco Holdings, Inc....................... 395,333 12,453,011
UST, Inc........................................ 24,100 704,925
--------------
13,157,936
--------------
TOYS
Hasbro, Inc..................................... 27,500 768,281
Mattel, Inc. (b)................................ 44,300 1,171,181
--------------
1,939,462
--------------
TRUCKING/SHIPPING -- 0.1%
Federal Express Corp. (a)(b).................... 38,200 2,072,350
Ryder System, Inc............................... 9,400 244,400
Yellow Corp. (a)................................ 178,700 3,171,925
--------------
5,488,675
--------------
UTILITY - ELECTRIC -- 0.6%
Ameren Corp..................................... 18,400 706,100
American Electric Power Co., Inc. (b)........... 26,800 1,006,675
Carolina Power & Light Co....................... 20,800 890,500
Central & South West Corp....................... 28,300 661,512
CINergy Corp.................................... 20,700 662,400
CMS Energy Corp................................. 11,000 460,625
Consolidated Edison, Inc. (b)................... 31,200 1,411,800
Constellation Energy Group...................... 18,800 556,950
Dominion Resources, Inc......................... 27,400 1,186,763
DTE Energy Co................................... 19,900 796,000
Duke Energy Corp................................ 49,700 2,702,437
Edison International............................ 46,700 1,249,225
Entergy Corp. (b)............................... 34,400 1,075,000
FirstEnergy Corp. (a)........................... 32,300 1,001,300
Florida Progress Corp........................... 7,000 289,187
FPL Group, Inc.................................. 24,000 1,311,000
GPU, Inc........................................ 16,900 712,969
New Century Energies, Inc....................... 15,000 582,187
Niagara Mohawk Holdings Inc. (a)................ 24,300 390,319
Northern States Power Co........................ 24,200 585,338
Pacific Gas & Electric Co....................... 51,700 1,680,250
PacifiCorp...................................... 39,300 722,137
PECO Energy Co.................................. 29,600 1,239,500
PP&L Resources, Inc............................. 20,900 642,675
Public Service Enterprise Group, Inc............ 29,600 1,209,900
Reliant Energy, Inc............................. 37,400 1,033,175
Southern Co..................................... 94,800 2,512,200
Texas Utilities Co.............................. 37,100 1,530,375
Unicom Corp..................................... 31,000 1,195,437
--------------
30,003,936
--------------
WASTE MANAGEMENT -- 0.3%
Waste Management, Inc........................... 251,062 13,494,582
--------------
TOTAL COMMON STOCKS
(cost $2,401,007,961).......................................... 2,888,674,137
--------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B27
<PAGE>
FLEXIBLE MANAGED PORTFOLIO (CONTINUED)
JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL
MOODY'S AMOUNT VALUE
LONG-TERM BONDS -- 32.7% RATING (000) (NOTE 2)
------------ --------- --------------
<S> <C> <C> <C>
CORPORATE BONDS -- 25.6%
AEROSPACE
Lockheed Martin Corp.,
6.85%, 05/15/01............................... A3 $ 400 $ 404,156
--------------
AIRLINES -- 1.9%
Continental Airlines, Inc.,
8.00%, 12/15/05............................... Ba2 12,820 12,237,203
7.461%, 04/01/15.............................. Aa3 8,459 8,573,225
Delta Airlines, Inc.,
10.125%, 05/15/10............................. Baa3 14,335 17,005,897
10.375%, 02/01/11............................. Ba1 16,250 19,644,300
United Airlines, Inc.,
10.67%, 05/01/04.............................. Baa3 19,500 22,023,105
11.21%, 05/01/14.............................. Baa3 17,500 22,401,050
--------------
101,884,780
--------------
ASSET-BACKED SECURITIES -- 0.4%
California Infrastructure,
6.17%, 03/25/03............................... Aaa 4,000 4,007,480
Chase Manhattan Credit Master Trust, Series
1996-3,
7.04%, 02/15/05............................... Aaa 11,000 11,147,730
Standard Credit Card Master Trust,
5.95%, 10/07/04............................... Aaa 4,500 4,408,560
--------------
19,563,770
--------------
AUTO-CARS & TRUCKS -- 1.4%
Ford Motor Co.,
6.375%, 02/01/29 (b).......................... A1 17,500 15,191,575
Lear Corp.,
7.96%, 05/15/05............................... Ba1 15,500 14,996,250
Navistar International Corp.,
7.00%, 02/01/03............................... Ba1 11,500 11,212,500
TRW, Inc.,
6.45%, 06/15/01............................... Baa1 32,800 32,830,750
--------------
74,231,075
--------------
BANKS AND SAVINGS & LOANS -- 1.7%
Bank of Nova Scotia (Canada),
6.50%, 07/15/07............................... A1 5,400 5,362,875
Bayerische Landesbank Girozentrale, (Germany),
5.875%, 12/01/08.............................. Aaa 12,500 11,598,875
Central Hispano Leasing
5.496%, 04/28/05.............................. A3 5,000 4,991,050
Deutsche Bank,
7.872%, 12/29/49.............................. A1 3,700 3,582,044
HSBC Holding PLC,
7.50%, 07/15/09............................... A2 8,900 8,991,937
Kansallis-Osake-Pankki, (Finland),
8.65%, 01/01/49............................... Baa1 9,000 9,020,700
Key Bank NA,
5.80%, 04/01/04 (b)........................... Aa3 20,000 19,350,400
National Australia Bank, (Australia),
6.40%, 12/10/07 (b)........................... A1 8,700 8,645,364
6.60%, 12/10/07 (b)........................... A1 5,000 4,825,550
Okobank, (Finland),
6.561%, 09/27/49.............................. A3 16,250 16,201,250
--------------
92,570,045
--------------
CABLE & PAY TELEVISION SYSTEMS -- 0.9%
British Sky Broadcasting, Inc.,
6.875%, 02/23/09.............................. Baa2 12,500 11,403,875
Cable & Wire Communications PLC (United
Kingdom),
6.75%, 12/01/08............................... Baa1 3,050 2,935,961
CSC Holdings, Inc.,
7.875%, 12/15/07.............................. Ba2 4,400 4,367,616
7.25%, 07/15/08............................... Ba2 5,500 5,239,850
Rogers Cablesystems, Inc., Sr. Sec'd Notes
(Canada), (Canada),
10.00%, 03/15/05.............................. Ba3 2,000 2,140,000
Tele-Communications, Inc.,
6.34%, 02/01/02............................... Ba1 8,500 8,524,565
9.875%, 06/15/22.............................. Baa3 12,878 16,426,790
--------------
51,038,657
--------------
CHEMICALS -- 0.5%
ICI Wilmington Inc.,
9.50%, 11/15/00............................... Baa1 6,500 6,769,035
Lyondell Chemical Co.,
9.625%, 05/01/07.............................. Ba3 4,500 4,601,250
Rohm & Haas Co.,
6.95%, 07/15/04............................... A3 7,400 7,391,052
7.85%, 07/15/29............................... A3 6,100 6,095,547
--------------
24,856,884
--------------
COMPUTERS -- 0.1%
International Business Machine Corp.,
5.625%, 04/12/04.............................. A1 3,500 3,363,500
--------------
CONSULTING
Comdisco, Inc.
6.375%, 11/30/01.............................. Baa1 2,700 2,692,845
--------------
CONTAINERS -- 0.6%
Owens-Illinois, Inc.,
7.15%, 05/15/05............................... Ba1 34,000 32,686,920
--------------
DIVERSIFIED OPERATIONS -- 0.6%
Cox Enterprises, Inc.,
6.625%, 06/14/02.............................. Baa1 5,200 5,196,516
Seagram (J.) & Sons,
5.79%, 04/15/01............................... Baa3 20,000 19,742,000
Tyco International Group, SA,
6.125%, 06/15/01.............................. Baa1 5,000 4,973,550
6.895%, 1/15/29............................... Baa1 3,500 3,218,223
--------------
33,130,289
--------------
DRUGS & MEDICAL SUPPLIES -- 0.1%
Mallinckrodt, Inc.,
6.30%, 03/15/11 .............................. Baa2 8,000 7,860,000
--------------
FINANCIAL SERVICES -- 6.3%
Calair Capital Corp.,
8.125%, 04/01/08.............................. Ba2 6,000 5,587,500
Capital One Financial Corp.,
7.25%, 05/01/06............................... Ba1 6,800 6,587,500
Chrysler Financial Corp.,
5.25%, 10/22/01............................... A1 7,050 6,891,798
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B28
<PAGE>
FLEXIBLE MANAGED PORTFOLIO (CONTINUED)
JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL
MOODY'S AMOUNT VALUE
LONG-TERM BONDS (CONTINUED) RATING (000) (NOTE 2)
------------ --------- --------------
<S> <C> <C> <C>
FINANCIAL SERVICES (CONT'D.)
Citibank Credit Card Master Trust,
6.10%, 05/15/08............................... NR $ 44,000 $ 43,080,400
Comdisco Inc.,
6.32%, 11/27/00............................... Baa1 19,000 19,017,670
Conseco, Inc.,
7.60%, 06/21/01............................... Ba1 2,500 2,507,025
8.70%, 11/15/26............................... Ba2 2,408 2,157,881
8.70%, 04/01/27............................... Ba2 5,700 5,157,930
Donaldson Lufkin & Jenrette,
5.74%, 05/01/01............................... A3 10,000 9,881,500
Dresdner Funding Trust,
8.15%, 06/30/31............................... Aa2 20,800 20,032,896
Enterprise Rent-A-Car USA Finance Co.,
6.35%, 01/15/01............................... Baa3 21,000 20,890,800
6.95%, 03/01/04............................... Baa2 7,500 7,394,250
FMR Corp.,
7.57%, 06/15/29............................... Aa3 525 523,110
General Motors Acceptance Corp.,
5.95%, 03/14/03............................... A2 21,500 20,994,535
Heller Financial, Inc.,
6.00%, 03/19/04............................... A3 4,900 4,743,249
International Lease Finance Corp.,
6.00%, 05/15/02............................... A1 43,100 42,644,433
Marsh & Mclennan Cos., Inc.,
6.625%, 06/15/04.............................. A2 5,370 5,377,357
MBNA Corp.,
5.90%, 08/15/11............................... Aaa 29,800 28,104,274
MCN Investment Corp.,
6.30%, 04/02/11............................... Baa2 8,250 8,094,075
Morgan Stanley, Dean Witter Discover & Co.,
M.T.N.,
6.09%, 03/09/11............................... A1 15,000 14,940,600
Salomon, Inc., M.T.N.,
6.59%, 02/21/01............................... Baa1 8,250 8,302,883
7.25%, 05/01/01............................... Baa1 8,625 8,780,250
Textron Financial Corp.,
6.05%, 03/16/09............................... Aaa 11,625 11,591,396
Goldman Sachs Group, Inc.,
5.56%, 01/11/01............................... A1 4,200 4,168,500
Lehman Brothers Holdings, Inc.,
6.625%, 04/01/04 (b).......................... Baa1 21,910 21,343,407
6.625%, 02/05/06 (b).......................... Baa1 7,710 7,507,227
Salomon, Inc.,
6.75%, 08/15/03............................... Baa1 5,000 5,022,250
--------------
341,324,696
--------------
FOOD & BEVERAGE -- 0.2%
Archer-Daniels Midland Co.,
6.625%, 05/01/29.............................. Aa3 8,900 8,146,971
Coca-Cola Bottling Co.,
6.375%, 05/01/09.............................. Baa2 3,500 3,285,275
--------------
11,432,246
--------------
FOREST PRODUCTS -- 0.6%
Fort James Corp.,
6.234%, 03/15/11.............................. Baa3 11,000 10,900,450
Scotia Pacific Co.,
7.71%, 01/20/14............................... NR 29,500 21,387,500
--------------
32,287,950
--------------
INDUSTRIAL -- 0.1%
Compania Sud Americana de Vapores, S.A.,
(Chile),
7.375%, 12/08/03.............................. Baa 3,650 3,465,383
--------------
LEISURE & TOURISM -- 0.4%
Carnival Corp.,
5.65%, 10/15/00............................... A2 5,000 4,968,700
ITT Corp.,
6.25%, 11/15/00............................... Baa2 5,183 5,068,093
6.75%, 11/15/03............................... Baa2 14,000 13,130,320
--------------
23,167,113
--------------
MEDIA -- 0.4%
Liberty Media Group,
7.875%, 07/15/09.............................. Baa3 2,400 2,385,696
8.50%, 07/15/29............................... Baa3 4,200 4,188,534
Paramount Communications, Inc.,
7.50%, 01/15/02............................... Ba2 9,100 9,299,563
United News & Media PLC,
7.25%, 07/01/04 (b)........................... Baa2 4,780 4,736,502
--------------
20,610,295
--------------
OIL & GAS -- 0.5%
Atlantic Richfield Co.,
5.55%, 04/15/03............................... A2 22,500 22,014,000
B.J. Services Co.,
7.00%, 02/01/06............................... Ba1 4,000 3,936,080
--------------
25,950,080
--------------
OIL & GAS SERVICES -- 0.4%
KN Energy, Inc.,
6.30%, 03/01/21............................... Baa2 20,000 19,931,200
--------------
RAILROADS -- 0.2%
Norfolk Southern Corp.,
6.875%, 05/01/01.............................. Baa1 11,000 11,108,460
--------------
REAL ESTATE INVESTMENT TRUST -- 2.1%
Duke Realty L.P.,
7.30%, 06/30/03............................... Baa2 4,350 4,381,320
EOP Operating, L.P.,
6.375%, 01/15/02.............................. Baa1 5,000 4,935,900
6.50%, 06/15/04............................... Baa1 6,000 5,760,600
6.625%, 02/15/05.............................. Baa 18,187 17,542,816
Equity Residential Properties Trust,
6.15%, 09/15/00............................... A3 25,000 24,837,500
ERP Operating, L.P.,
7.10%, 06/23/04............................... A3 2,375 2,376,686
6.63%, 04/13/15............................... A3 9,200 8,876,712
Felcor Suites, L.P.,
7.375%, 10/01/04.............................. Ba1 25,000 23,125,000
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B29
<PAGE>
FLEXIBLE MANAGED PORTFOLIO (CONTINUED)
JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL
MOODY'S AMOUNT VALUE
LONG-TERM BONDS (CONTINUED) RATING (000) (NOTE 2)
------------ --------- --------------
<S> <C> <C> <C>
REAL ESTATE INVESTMENT TRUST (CONT'D.)
Hanson Overseas B.V.,
7.375%, 01/15/03.............................. A3 $ 4,000 $ 4,065,680
Simon Debartolo Group, Inc.,
6.75%, 06/15/05............................... Baa1 17,500 16,804,375
--------------
112,706,589
--------------
RETAIL -- 1.1%
Federated Department Stores, Inc.,
8.50%, 06/15/03............................... Ba1 34,890 36,937,694
Kroger Co.,
6.34%, 06/01/01 (b)........................... Baa3 10,450 10,361,828
7.25%, 06/01/09 (b)........................... Baa3 6,000 5,973,750
7.70%, 06/01/29 (b)........................... Baa3 3,450 3,415,500
--------------
56,688,772
--------------
TELECOMMUNICATIONS -- 3.6%
360 Communication Co.,
7.125%, 03/01/03.............................. Ba2 23,776 24,120,514
7.60%, 04/01/09............................... Ba1 12,885 13,376,563
Airtouch Communications, Inc.,
7.00%, 10/01/03............................... Baa2 16,800 17,109,288
Cox Communications, Inc.,
6.94%, 10/01/01 (b)........................... Baa2 4,000 4,030,840
Electric Lightwave, Inc.,
6.05%, 05/15/04............................... A2 5,300 5,124,252
GTE Corp.,
9.375%, 12/01/00.............................. Baa1 11,000 11,496,760
Lucent Technologies, Inc.,
6.45%, 03/15/29 (b)........................... A2 17,500 15,830,675
Qwest Communications International Inc.,
7.50%, 11/01/08............................... Ba1 31,200 30,264,000
Sprint Corp.,
6.875%, 11/15/28.............................. Baa1 13,000 11,786,060
Telecom De Peurto Rico,
6.15%, 05/15/02............................... Baa2 10,500 10,385,865
6.65%, 05/15/06............................... Baa2 10,700 10,390,449
6.80%, 05/15/09............................... Baa2 9,000 8,645,670
Worldcom Inc.,
6.125%, 08/15/01.............................. Baa2 15,600 15,550,704
6.95%, 08/15/28............................... Baa2 17,700 16,778,715
--------------
194,890,355
--------------
TRANSPORTATION/TRUCKING/SHIPPING -- 0.1%
Ryder Systems, Inc.,
7.51%, 03/24/00............................... Baa1 3,000 3,031,080
--------------
UTILITIES -- 1.1%
AES Corp., Sr. Notes,
9.50%, 06/01/09 (b)........................... Ba1 4,500 4,623,750
Calenergy Co., Inc.,
6.96%, 09/15/03 (b)........................... Ba1 15,000 14,869,500
CMS Energy Corp.,
8.00%, 07/01/01 (b)........................... Ba3 7,200 7,182,000
Edison Mission Energy,
7.73%, 06/15/09............................... A3 5,000 5,051,800
Niagara Mohawk Power,
7.00%, 10/01/00............................... Ba3 25,000 25,088,000
Pennsylvania Electric Co.,
5.75%, 04/01/04............................... A2 3,600 3,490,416
--------------
60,305,466
--------------
WASTE MANAGEMENT -- 0.3%
USA Waste Service,
6.125%, 07/15/01.............................. Baa3 15,695 15,600,987
--------------
U.S. GOVERNMENT & AGENCY
OBLIGATIONS -- 5.8%
Federal National Mortgage Association,
Zero Coupon, 10/09/19......................... 11,800 3,141,750
United States Treasury Bonds,
7.50%, 11/15/24............................... 38,800 45,105,000
5.25%, 11/15/28............................... 221,355 196,211,286
United States Treasury Notes,
5.75%, 11/15/00 (b)........................... 11,700 11,749,374
5.25%, 05/15/04 (b)........................... 13,255 13,025,158
7.50%, 02/15/05 (b)........................... 18,450 19,862,532
6.50%, 05/15/05 (b)........................... 7,760 7,997,611
4.75%, 11/15/08 (b)........................... 15,000 13,774,200
--------------
310,866,911
--------------
FOREIGN GOVERNMENT BONDS -- 1.3%
Quebec Province, (Canada),
7.50%, 07/15/23 (b)........................... A1 9,300 9,454,938
Republic of Columbia, (Columbia),
9.75%, 04/23/09 (b)........................... Baa3 4,500 3,712,500
Republic of Mexico, (Mexico),
5.874%, 12/31/19.............................. Ba2 9,750 8,214,375
5.875%, 12/31/19.............................. Ba2 10,450 8,804,125
Republic of Panama, (Panama),
4.00%, 07/17/14............................... Ba1 10,600 7,963,250
Republic of Philippines, (Philippines),
8.875%, 04/15/08.............................. Ba1 5,400 5,254,416
Republic of Poland, (Poland),
4.00%, 10/27/24............................... Baa3 11,300 7,288,500
United Mexican States, (Mexico),
10.375%, 02/17/09............................. NR 21,500 21,564,500
--------------
72,256,604
--------------
TOTAL LONG-TERM BONDS
(cost $1,814,851,285).................................................... 1,759,907,108
--------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B30
<PAGE>
FLEXIBLE MANAGED PORTFOLIO (CONTINUED)
JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
PREFERRED VALUE
STOCKS -- 0.9% SHARES (NOTE 2)
------------- --------------
<S> <C> <C>
FINANCIAL SERVICES -- 0.5%
Central Hispano Capital Corp.,.................. 1,000,000 $ 25,250,000
--------------
TELECOMMUNICATIONS -- 0.4%
Telecomunicacoes Brasileiras S.A., ADR.......... 223,400 20,147,888
--------------
TOTAL PREFERRED STOCKS
(cost $47,967,832)............................................. 45,397,888
--------------
WARRANTS UNITS
-------------
Telebras-Spons ADR (b).......................... 223,400 13,963
--------------
(cost $20,797)
TOTAL LONG-TERM INVESTMENTS
(cost $4,263,847,875).......................................... 4,699,055,146
--------------
PRINCIPAL
MOODY'S AMOUNT
SHORT-TERM INVESTMENTS -- 20.8% RATING (000)
------------ ---------
COMMERCIAL PAPER -- 5.6%
Abbey National Treasury,
5.85%, 07/01/99............................... P1 $ 1,700 1,700,000
Advanta Corp., M.T.N.,
6.99%, 10/18/99............................... P1 10,000 9,942,200
BellSouth Telecommunications,
5.18%, 07/14/99............................... P1 600 598,879
Caterpillar Financial,
5.30%, 07/09/99............................... P1 1,721 1,718,973
CXC, Inc.,
5.15%, 08/20/99 (c)........................... P1 44,678 44,678,125
Dayton Hudson Corp.,
5.18%, 07/12/99 (c)........................... P1 14,976 14,976,258
Eastman Kodak Co.,
5.40%, 07/08/99............................... P1 600 599,370
Enterprise Funding Corp.,
5.35%, 07/14/99............................... P1 1,700 1,696,716
Federated Department Stores,
5.05%, 07/12/99 (c)........................... P1 9,985 9,984,569
Fortune Brands,
5.80%, 07/01/99............................... P1 1,700 1,700,000
Gateway Fuel,
5.80%, 07/01/99............................... P1 1,700 1,700,000
General Motors Acceptance Corp.,
5.04%, 08/23/99 (c)........................... P1 15,435 15,434,619
Halliburton Co.,
5.40%, 07/13/99............................... P1 537 536,033
Heinz Co.,
5.35%, 07/07/99............................... P1 1,500 1,498,662
Heller Financial, Inc.,
5.35%, 07/08/99 (c)........................... P1 12,487 12,486,997
Ing American Insurance Holdings,
5.80%, 07/01/99............................... P1 1,700 1,700,000
Merrill Lynch & Co. Inc,
5.27%, 07/12/99............................... P1 1,701 1,698,263
Monte Rosa Capital Corp.,
4.92%, 07/15/99 (c)........................... P1 55,083 55,083,405
<CAPTION>
PRINCIPAL
MOODY'S AMOUNT VALUE
SHORT-TERM INVESTMENTS (CONT'D) RATING (000) (NOTE 2)
------------ --------- --------------
<S> <C> <C> <C>
COMMERCIAL PAPER (CONT'D.)
Proctor & Gamble,
5.20%, 07/13/99............................... P1 $ 400 $ 399,305
Public Services Company of Colorado
5.20%, 07/02/99 (c)........................... P1 17,248 17,247,508
Raytheon Co.
5.25%, 07/23/99 (c)........................... P1 49,840 49,839,583
Rohm & Haas Co.
5.75%, 07/06/99 (c)........................... P1 35,971 35,971,250
Ryder Systems, Inc.
5.08%, 07/02/99 (c)........................... P1 3,500 3,499,506
Sonoco Products,
5.80%, 07/01/99............................... P1 1,700 1,700,000
Southern California Edison,
5.25%, 07/12/99............................... P3 600 599,038
Tele-Communications, Inc.,
6.375%, 09/15/99.............................. P1 6,400 6,413,760
7.375%, 02/15/00.............................. P1 6,000 6,059,400
Triple-A ONE Plus,
5.35%, 07/06/99............................... P1 1,700 1,698,737
Wells Fargo & Company,
6.00%, 07/01/99............................... P3 1,700 1,700,000
Windmill Funding Corp.,
5.40%, 07/13/99............................... P1 600 598,920
--------------
303,460,076
--------------
OTHER CORPORATE OBLIGATIONS -- 4.5%
Banco de Commercio Exterior de Colombia, SA,
M.T.N., (Colombia),
8.625%, 06/02/00.............................. NR 5,500 5,438,125
Banco Ganadero, SA, M.T.N., (Colombia),
9.75%, 08/26/99............................... NR 9,600 9,595,839
Capital One Bank,
6.844%, 06/13/00.............................. Baa3 23,900 24,042,205
Comdisco, Inc.,
5.94%, 04/13/00............................... Baa1 12,500 12,539,000
Dayton Hudson Corp.,
5.95%, 06/15/00............................... A3 9,000 9,012,510
General Electric Capital International Funding,
5.07%, 08/09/99 (c)........................... NR 9,945 9,945,075
Conoco, Inc.,
5.20%, 07/06/99 (c)........................... Baa1 19,986 19,985,556
5.22%, 07/13/99 (c)........................... NR 24,957 24,956,500
5.22%, 07/14/99 (c)........................... NR 5,989 5,988,690
MCI Worldcom Inc.,
5.05%, 07/09/99 (c)........................... Baa2 9,989 9,988,778
5.20%, 07/09/99 (c)........................... Baa3 25,977 25,977,467
Okobank Sub NT,
7.225% 10/29/49 (d)........................... NR 9,000 9,000,000
7.900% 10/29/49 (d)........................... NR 3,500 3,500,000
Rider Systems, Inc.,
8.34%, 01/26/00............................... Baa1 5,000 5,062,050
Xerox Capital Corp.,
5.80%, 07/11/99 (c)........................... Baa1 67,300 67,300,000
--------------
240,033,460
--------------
TIME DEPOSIT -- 0.4%
Deutsche Bank AG,
5.125%, 07/11/99 (c).......................... NR 21,696 21,696,000
--------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B31
<PAGE>
FLEXIBLE MANAGED PORTFOLIO (CONTINUED)
JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL
MOODY'S AMOUNT VALUE
SHORT-TERM INVESTMENTS (CONT'D) RATING (000) (NOTE 2)
------------ --------- --------------
<S> <C> <C> <C>
REPURCHASE AGREEMENTS -- 10.1%
Joint Repurchase Agreement Account,
4.775%, 07/01/99 (Note 5)..................... $ 536,057 $ 536,057,000
--------------
Merrill Lynch Triparty Repurchase Agreement
Account,
5.10%, 07/02/99 (e)........................... 10,000 10,000,000
--------------
U.S. GOVERNMENT OBLIGATIONS -- 0.2%
United States Treasury Bill,
4.545%, 9/16/99............................... 9,500 9,408,563
--------------
TOTAL SHORT-TERM INVESTMENTS
(cost $1,111,308,034).................................................... 1,120,655,099
--------------
TOTAL INVESTMENTS -- 108.0%
(cost $5,375,155,909; Note 6)............................................ 5,814,648,192
--------------
VARIATION MARGIN ON OPEN FUTURES CONTRACTS (F).............................
3,223,625
LIABILITIES IN EXCESS OF OTHER ASSETS -- (8.0)%............................
(432,697,757)
--------------
TOTAL NET ASSETS -- 100.0%................................................. $5,385,174,060
==============
</TABLE>
The following abbreviations are used in portfolio descriptions:
ADR American Depository Receipt
L.P. Limited Partnership
M.T.N. Medium Term Note
PLC Public Limited Company (British Corporation)
(a) Non-income producing security.
(b) Portion of securities on loan with an aggregate market value of
$438,010,615; cash collateral of $443,760,219 was received with which the
portfolio purchased securities.
(c) Represents security purchased with cash collateral received for securities
on loan.
(d) Indicates a variable rate security. The maturity date presented for this
instrument is the later of the next date on which the security can be
redeemed at par or the next date on which the rate of interest is adjusted.
The interest rate shown reflects the rate in effect at June 30, 1999.
(e) Merrill Lynch Triparty Repurchase Agreement, repurchase price $10,002,833,
due 7/2/99. The value of the collateral including accrued interest was
$10,202,408.
(f) Open Future Contracts as of June 30, 1999 are as follows:
<TABLE>
<CAPTION>
NUMBER OF EXPIRATION VALUE AT VALUE AT APPRECIATION/
CONTRACTS TYPE DATE TRADE DATE JUNE 30, 1999 DEPRECIATION
<C> <S> <C> <C> <C> <C>
Long Positions:
24 S&P 500 Index Sep 99 $ 8,071,125 $ 8,290,200 $ 219,075
588 U.S. Treasury Bond Sep 99 $ 359,300,165 $ 354,789,032 $ (4,511,133)
527 U.S. Treasury Note Sep 99 $ 56,841,687 $ 57,443,000 $ 601,313
--------------
$ (3,690,745)
--------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B32
<PAGE>
HIGH YIELD BOND PORTFOLIO
JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
LONG-TERM INVESTMENTS -- 94.0% PRINCIPAL
MOODY'S INTEREST MATURITY AMOUNT VALUE
CORPORATE BONDS -- 85.7% RATING RATE DATE (000) (NOTE 2)
------------ ------ -------- --------- --------------
<S> <C> <C> <C> <C> <C>
AEROSPACE -- 0.6%
Be Aerospace, Inc., Sr. Sub. Notes, AB.......... B1 9.50% 11/01/08 $ 1,000 $ 1,020,000
Compass Aerospace Corp., Sr. Sub. Notes......... Caa1 10.125% 04/15/05 1,500 1,350,000
Sequa Corp., Sr. Sub. Notes..................... B3 9.375% 12/15/03 2,000 2,050,000
Stellex Industries, Inc., Sr. Sub. Notes........ B3 9.50% 11/01/07 1,000 860,000
--------------
5,280,000
--------------
AUTOMOTIVE PARTS -- 2.2%
AM General Corp., Sr. Notes..................... B3 12.875% 05/01/02 3,700 3,515,000
Hayes Lemmerz International, Inc., Notes........ B2 8.25% 12/15/08 800 756,000
Hayes Wheels Int'l, Inc., Sr. Sub. Notes........ B2 9.125% 07/15/07 1,000 1,004,062
Jl French Auto Casting, Sr. Sub. Notes.......... B3 11.50% 06/01/09 2,500(e) 2,553,125
JPS Automotive Products Corp., L.P., Sr.
Notes......................................... B2 11.125% 06/15/01 3,750 3,960,937
Paragon Corp Holdings, Sr. Notes................ B3 9.625% 04/01/08 2,000 1,160,000
Stanadyne Automotive, Sr. Sub. Notes............ Caa 10.25% 12/15/07 3,000 2,580,000
Venture Holdings Trust, Sr. Notes............... NR 9.50% 07/01/05 2,050 1,962,875
--------------
17,491,999
--------------
BROADCASTING & OTHER MEDIA -- 5.5%
AMC Entertainment, Inc. Sr. Sub. Notes.......... B3 9.50% 02/01/11 1,605 1,512,713
Ackerley Group, Sr. Sub. Notes.................. B2 9.00% 01/15/09 6,000 5,895,000
American Lawyer Media Holdings, Inc., Sr. Disc.
Notes, Zero Coupon
(until 12/15/02).............................. B3 12.25% 12/15/08 3,000 1,972,500
Capstar Broadcasting Partners, Inc., Sr. Sub.
Notes......................................... B2 9.25% 07/01/07 875 904,531
Chancellor Media Corp., Sr. Sub. Notes.......... B1 9.00% 10/01/08 5,375 5,442,188
Globo Communicacoes, Sr. Notes (Brazil)......... NR 10.50% 12/20/06 1,300 929,500
Grupo Televisa SA, Sr. Disc. Notes, Zero Coupon
(until 05/15/01).............................. Ba2 13.25% 05/15/08 2,350 1,903,500
Imax Corp., Sr. Notes........................... Ba2 7.875% 12/01/05 500 471,250
Liberty Group Publishing, Sr. Disc. Notes, Zero
Coupon (until 02/01/03)....................... Caa1 11.625% 02/01/09 550 297,000
Lin Holdings Corp., Sr. Disc. Notes, Zero Coupon
(until 03/01/03).............................. B3 10.00% 03/01/08 500 333,750
Mail-Well Corp., Sr. Sub. Notes................. B1 8.75% 12/15/08 4,750 4,583,750
Radio Unica, Sr. Disc. Note, Zero Coupon (until
08/01/02)..................................... NR 11.75% 08/01/06 4,750 2,731,250
SFX Entertainment, Sr. Sub. Notes............... B3 9.125% 12/01/08 4,000 3,840,000
Shop At Home, Inc., Sr. Sec'd. Notes............ B1 11.00% 04/01/05 750 750,000
Spectrasite Holdings, Inc., Sr. Disc. Notes,
Zero Coupon (until 04/15/04).................. NR 11.25% 04/15/09 900 510,750
Susquehanna Media Co., Sr. Sub. Notes........... B1 8.50% 05/15/09 1,800 1,782,000
TV Azteca SA de CV, Sr. Notes (Mexico).......... NR 10.50% 02/15/07 2,850 2,151,750
TVN Entertainment Corp., Sr. Notes.............. NR 14.00% 08/01/08 3,750 3,112,500
Transwestern Publishing, Sr. Disc. Notes, Zero
Coupon (until 11/15/02)....................... B3 11.875% 11/15/08 3,650 2,518,500
World Color Press, Sr. Sub. Notes............... B1 7.75% 02/15/09 2,375 2,208,750
World Color Press, Sr. Sub. Notes............... B1 8.375% 11/15/08 875 855,313
--------------
44,706,495
--------------
BUILDING & RELATED INDUSTRIES -- 2.7%
Ainsworth Lumber Co., Ltd., Bonds............... B3 12.50% 07/15/07 4,125 4,609,688
Engle Homes, Inc., Sr. Notes.................... B1 9.25% 02/01/08 2,300(e) 2,196,500
Falcon Building Products, Inc., Sr. Sub. Disc.
Notes, Zero Coupon
(until 06/15/02).............................. NR 10.50% 06/15/07 1,075 720,250
Formica Corp., Sr. Sub. Notes................... B3 10.875% 03/01/09 5,000(e) 4,812,500
New Millenium Homes, Sr. Notes, Zero Coupon
(until 12/01/99).............................. NR 14.00% 09/03/04 3,000 2,640,000
Presley Co., Sr. Sub. Notes..................... B2 12.50% 07/01/01 5,982 5,323,980
Webb (Del E.), Sr. Sub. Deb..................... B2 9.375% 05/01/09 500 473,750
Wickes Lumber Co., Sr. Notes.................... B3 11.625% 12/15/03 1,000 870,000
--------------
21,646,668
--------------
CABLE -- 6.9%
Adelphia Communications Corp., Sr. Notes........ B1 7.875% 05/01/09 2,500 2,318,750
Adelphia Communications Co., PIK, Sr. Notes..... B3 9.50% 02/15/04 43 44,275
Adelphia Communications Corp., Sr. Notes........ B2 10.50% 07/15/04 500 533,750
Avalon Cable Holding, Sr. Disc. Notes, Zero
Coupon (until 12/01/03)....................... Caa 11.875% 12/01/08 6,000 3,960,000
CD Radio, Inc., Sr. Disc. Notes, Zero Coupon
(until 12/01/02).............................. Caa 15.00% 12/01/07 4,245 2,016,375
Cablevision SA, Notes (Argentina)............... Ba3 13.75% 05/01/09 1,500 1,350,000
Charter Communications Holdings LLC, Sr. Disc.
Notes......................................... B2 8.625% 04/01/09 4,000 3,825,000
Charter Communications Holdings LLC, Sr. Disc.
Notes, Zero Coupon
(until 4/1/04)................................ B2 9.92% 04/01/11 4,500 2,767,500
Diamond Cable Communications, Sr. Disc. Notes,
Zero Coupon (until 02/15/02) (United
Kingdom)...................................... NR 12.75% 02/15/07 4,000 3,105,000
Diva Systems Corp., Sr. Disc. Notes, Zero Coupon
(until 03/01/03).............................. NR 12.625% 03/01/08 1,000 290,000
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B33
<PAGE>
HIGH YIELD BOND PORTFOLIO (CONTINUED)
JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL
MOODY'S INTEREST MATURITY AMOUNT VALUE
CORPORATE BONDS (CONTINUED) RATING RATE DATE (000) (NOTE 2)
------------ ------ -------- --------- --------------
<S> <C> <C> <C> <C> <C>
Falcon Holding Group, Sr. Disc. Deb., Zero
Coupon (until 04/15/03)....................... B2 9.285% 04/15/10 $ 3,500 $ 2,432,500
Intermedia Capital Partners, Sr. Notes.......... B2 11.25% 08/01/06 3,380 3,734,900
International Cabletel, Inc., Sr. Disc. Notes,
Zero Coupon (until 4/30/00)................... B3 12.75% 04/15/05 6,100 5,764,500
Mediacom LLC, Sr. Notes......................... B2 7.875% 02/15/11 2,000 1,790,000
Multicanal SA Bonds............................. Ba3 13.125% 04/15/09 2,400 2,184,000
NTL, Inc., Sr. Notes, Zero Coupon (until
04/01/03)..................................... B3 9.750% 04/01/08 2,000 1,340,000
NTL, Inc., Sr. Notes, Zero Coupon (until
10/01/03)..................................... B3 12.375% 10/01/08 2,750(e) 1,821,875
Rogers Cablesystems, Inc., Sr. Sec'd. Deb....... Ba3 10.00% 12/01/07 1,000 1,075,000
Rogers Cablesystems, Inc., Sr. Sec'd. Notes
(Canada)...................................... Ba3 10.00% 03/15/05 1,475 1,578,250
Scott Cable Communications, Jr. Sub., PIK....... NR 16.00% 07/18/02 108 21,600
Star Choice Communications, Inc., Sr. Notes,
(Canada)...................................... NR 13.00% 12/15/05 3,000 3,120,000
Telewest Communications PLC, Sr. Disc. Deb.,
Zero Coupon (until 04/15/04)
(United Kingdom).............................. B1 9.25% 04/15/09 1,600 1,072,000
Telewest Communications PLC, Sr. Disc. Deb.,
Zero Coupon (until 10/01/00) (United
Kingdom)...................................... B1 11.00% 10/01/07 1,000 890,000
Time Warner Telecommunications LLC, Sr. Notes... B2 9.75% 07/15/08 2,450 2,511,250
United International Holdings, Sr. Disc. Notes,
Zero Coupon (until 02/15/03).................. B3 10.75% 02/15/08 9,750 6,386,250
--------------
55,932,775
--------------
CHEMICALS -- 2.6%
Borden Chemicals & Plastics, L.P., Sr. Notes.... Ba2 9.50% 05/01/05 525 514,500
Equistar Chemicals L.P., Sr. Notes.............. Baa3 8.75% 02/15/09 2,000 2,003,400
GNI Group, Inc., Sr. Notes (b) (cost $4,000,000;
purchased 07/23/98)........................... B2 10.875% 07/15/05 4,000 2,600,000
Huntsman ICI Chemical, Sr. Sub. Notes........... B2 10.125% 07/01/09 3,500(e) 3,530,625
Lyondell Chemical Co., Sr. Sub. Notes........... Ba3 10.875% 05/01/09 7,250 7,485,625
Sterling Chemical Holdings, Inc., Sr. Disc.
Notes, Zero Coupon (until 08/15/01)........... Caa 13.50% 08/15/08 2,500 825,000
Sterling Chemical Holdings, Inc., Sr. Sub.
Notes......................................... B3 11.75% 08/15/06 1,000(e) 765,000
ZSC Specialty Chemical PLC, Sr. Notes........... B2 11.00% 07/01/09 3,180(e) 3,203,850
--------------
20,928,000
--------------
COMPUTERS -- 0.2%
Rhythms Netconnections, Sr. Notes............... NR 12.75% 04/15/09 2,000 1,870,000
--------------
CONSUMER PRODUCTS -- 4.1%
Coinstar Inc., Sr. Disc. Notes, Zero Coupon
(until 10/01/99).............................. NR 13.00% 10/01/06 5,025 5,125,500
Consumers International, Inc., Sr. Notes........ Ba3 10.25% 04/01/05 3,850 3,917,375
Corning Consumer Products, Sr. Sub. Notes....... B3 9.625% 05/01/08 4,250 3,686,875
Electronic Retailing Systems, Sr. Disc. Notes,
Zero Coupon (until 02/01/00).................. NR 13.25% 02/01/04 2,000 560,000
Hedstrom Corp., Sr. Sub. Notes.................. NR 10.00% 06/01/07 900 792,000
Hedstrom Holding, Inc., Sr. Disc. Notes, Zero
Coupon (until 06/01/02)....................... NR 12.00% 06/01/09 400 176,000
IHF Holdings, Inc., Sr. Disc. Notes, Zero Coupon
(until 11/15/99).............................. NR 15.00% 11/15/04 2,250 270,000
Icon Health & Fitness, Sr. Sub. Notes........... Caa 13.00% 07/15/02 3,000 2,250,000
Interact Systems, Inc., Sr. Disc. Notes, Zero
Coupon (until 08/1/99)........................ NR 14.00% 08/01/03 4,400 1,848,000
La Petite Holdings, Sr. Notes................... B3 10.00% 05/15/08 1,250 1,190,625
Packaging Resources Group, Sr. Notes, PIK....... NR 13.00% 06/30/03 2,251 1,913,618
Radnor Holdings, Inc., Sr. Notes................ B2 10.00% 12/01/03 1,750 1,758,750
Revlon Consumer Products Corp., Sr. Notes,
PIK........................................... B2 9.00% 11/01/06 2,250 2,227,500
Sealy Mattress Co., Sr. Sub. Disc. Notes, Zero
Coupon (until 12/15/02)....................... B3 10.875% 12/15/07 2,500 1,625,000
Waste Systems International, Sr. Sub. Notes..... B2 11.50% 01/15/06 4,000 3,990,000
Windmere-Durable Holdings, Inc., Sr. Notes...... B3 10.00% 07/31/08 2,000 1,900,000
--------------
33,231,243
--------------
CONTAINERS -- 0.1%
Ball Corp., Sr. Sub. Notes...................... B1 8.25% 08/01/08 500 490,000
--------------
DRUGS & HEALTHCARE -- 3.0%
Columbia/HCA Healthcare Corp., Notes............ Ba2 7.50% 07/15/01 570 434,511
Dade International, Inc., Sr. Sub. Notes........ B3 11.125% 05/01/06 6,250 6,562,500
Graham-Field Health Products, Inc., Sr. Sub.
Notes......................................... B3 9.75% 08/15/07 5,000 3,425,000
Harborside Healthcare Corp., Sr. Sub. Disc.
Notes, Zero Coupon (until 08/01/03)........... B3 11.00% 08/01/08 2,500 950,000
ICN Pharmaceuticals, Inc., Sr. Sub. Notes....... Ba3 8.75% 11/15/08 3,250 3,201,250
Integrated Health Services, Inc., Sr. Sub.
Notes......................................... B2 9.25% 01/15/08 3,250 2,331,875
Magellan Health Services, Bonds................. B3 9.00% 02/15/08 7,000 6,020,000
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B34
<PAGE>
HIGH YIELD BOND PORTFOLIO (CONTINUED)
JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL
MOODY'S INTEREST MATURITY AMOUNT VALUE
CORPORATE BONDS (CONTINUED) RATING RATE DATE (000) (NOTE 2)
------------ ------ -------- --------- --------------
<S> <C> <C> <C> <C> <C>
Mariner Post Acute Network, Inc., Sr. Sub. Disc.
Notes, Zero Coupon
(until 11/01/02).............................. B3 10.50% 11/01/07 $ 6,000 $ 720,000
Mediq, Inc., Sr. Sub. Notes..................... B3 11.00% 06/01/08 600 468,000
--------------
24,113,136
--------------
DRUG & MEDICAL SUPPLIES -- 0.7%
Lifepoint Hospitals Holdings, Sr. Sub. Notes.... B3 10.75% 05/15/09 675 686,813
Team Health, Inc., Sr. Sub. Notes............... B3 12.00% 03/15/09 3,250(e) 3,298,750
Triad Hospitals Holding, Sr. Sub. Notes......... B3 11.00% 05/15/09 2,000 2,030,000
--------------
6,015,563
--------------
ENERGY -- 5.0%
Anker Coal Group, Inc., Sr. Notes............... B3 9.75% 10/01/07 3,000 1,350,000
Applied Power, Inc., Sr. Sub. Notes............. B1 8.75% 04/01/09 1,500 1,455,000
CMS Energy Corp., Sr. Notes..................... Ba3 7.50% 01/15/09 1,125 1,035,000
Chesapeake Energy Corp., Sr. Notes.............. B1 9.625% 05/01/05 2,700 2,524,500
Chiles Offshore, Sr. Notes...................... B3 10.00% 05/01/08 1,000 800,000
Clark USA, Inc., Sr. Notes...................... B3 10.875% 12/01/05 1,250 1,078,125
Gothic Production Corp., Sr. Notes.............. B3 11.125% 05/01/05 1,250 1,112,500
Grant Geophysical, Inc., Sr. Notes.............. B3 9.75% 02/15/08 4,000 2,120,000
Great Lakes Carbon Corp., Sr. Sub. Notes........ B3 10.25% 05/15/08 2,000 1,970,000
Grey Wolf, Sr. Notes............................ B1 8.875% 07/01/07 4,500 3,982,500
Nuevo Energy Co., Sr. Sub. Notes................ B2 9.50% 04/15/06 1,750(e) 1,750,000
Ocean Rig Norway Co., Gtd. Notes................ NR 10.25% 06/01/08 2,000 1,600,000
P & L Coal Holdings, Sr. Sub. Notes............. NR 9.625% 05/15/08 3,750 3,731,250
P & L Coal Holdings, Sr. Notes.................. Ba3 8.875% 05/15/08 2,000 2,005,000
Parker Drilling Corp., Sr. Notes................ B1 9.75% 11/15/06 850 790,500
R&B Falcon Corp., Sr. Notes..................... Ba1 9.50% 12/15/08 3,000 2,805,000
R&B Falcon Corp., Sr. Notes..................... NR 12.25% 03/15/06 935 967,725
Santa Fe Energy Resources....................... B2 8.75% 06/15/07 1,000 990,000
Seven Seas Petroleum, Inc., Sr. Notes........... Caa1 12.50% 05/15/05 1,500 795,000
Tesoro Petroleum Corp., Sr. Sub. Notes.......... B1 9.00% 07/01/08 3,000 2,940,000
Universal Compression Holdings, Sr. Disc. Notes,
Zero Coupon (until 02/15/03).................. B2 9.875% 02/15/08 1,750 1,085,000
Universal Compression Holdings, Sr. Disc. Notes,
Zero Coupon (until 02/15/03).................. B3 11.375% 02/15/09 700 420,000
York Power Funding, Sr. Sec'd. Notes (Cayman
Islands)...................................... Ba3 12.00% 10/30/07 3,000 3,000,000
--------------
40,307,100
--------------
FINANCIAL SERVICES -- 2.2%
AmeriCredit Corp., Sr. Notes.................... B1 9.25% 02/01/04 1,350(e) 1,366,875
AmeriCredit Corp., Sr. Notes.................... Ba1 9.875% 04/15/06 3,000 3,082,500
Amresco, Inc., Sr. Sub. Notes (b) (cost
$3,572,900; purchased 02/24/98 and
11/25/98)..................................... B2 9.875% 03/15/05 4,600 3,450,000
BF Saul Corp., Sr. Notes........................ B3 9.75% 04/01/08 1,750 1,627,500
Delta Financial Corp., Sr. Notes................ B1 9.50% 08/01/04 1,075 924,500
Fuji LLC, Bonds, Zero Coupon (until 06/30/08)... Baa2 9.87% 12/31/49 2,000 1,755,000
Nationwide Credit, Sr. Notes.................... B3 10.25% 01/15/08 635 444,500
RBF Finance Co., Sr. Sec'd. Notes............... Ba3 11.375% 03/15/09 2,600 2,691,000
SB Treasury Co., Bonds, Zero Coupon (until
06/30/08)..................................... A2 9.40% 12/29/49 2,500 2,412,500
--------------
17,754,375
--------------
FOOD & BEVERAGE -- 3.2%
Advantica Restaurant Group, Sr. Notes........... NR 11.25% 01/15/08 4,762 4,571,971
CKE Restaurants, Inc., Gtd. Notes............... B1 9.125% 05/01/09 2,000 1,870,000
Carrols Corp., Sr. Sub. Notes................... B2 9.50% 12/01/08 2,500 2,368,750
Family Restaurant Corp., Sr. Disc. Notes, Zero
Coupon (until 08/01/99)....................... NR 15.00% 01/24/02 3,000 2,771,250
Fresh Foods, Inc., Bonds........................ B3 10.75% 06/01/06 2,500 2,500,000
Grupo Azucarero, Sr. Notes (Mexico)............. B3 11.50% 01/15/05 2,900 1,305,000
Packaged Ice, Inc., Sr. Notes................... B3 9.75% 02/01/05 4,000 3,920,000
Premium Standard Farms, Sr. Sec'd. Notes, PIK... NR 11.00% 09/17/03 270 285,993
Purina Mills, Inc., Sr. Sub. Notes.............. B2 9.00% 03/15/10 3,500 2,695,000
Specialty Foods Acquisition Corp., Sr. Notes,
PIK........................................... B2 10.25% 08/15/01 2,765 2,599,100
Specialty Foods Corp., Sr. Sub. Notes........... Caa 11.25% 08/15/03 1,850 1,406,000
--------------
26,293,064
--------------
GAMING -- 4.1%
Alliance Gaming Corp., Gtd. Notes............... B3 10.00% 08/01/07 2,000 1,400,000
Aztar Corp., Sr. Sub. Notes..................... B1 8.875% 05/15/07 1,000 960,000
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B35
<PAGE>
HIGH YIELD BOND PORTFOLIO (CONTINUED)
JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL
MOODY'S INTEREST MATURITY AMOUNT VALUE
CORPORATE BONDS (CONTINUED) RATING RATE DATE (000) (NOTE 2)
------------ ------ -------- --------- --------------
<S> <C> <C> <C> <C> <C>
Aztar Corp., Sr. Sub. Notes..................... B2 13.75% 10/01/04 $ 1,500 $ 1,620,000
Blue Chip Casino, Sr. Sub. Notes................ NR 9.50% 09/15/02 6,749 5,601,670
Casino Magic Finance Corp., First Mtge. Bonds... B3 13.00% 08/15/03 3,750 4,312,500
Colorado Gaming & Entertainment, Sr. Notes,
PIK........................................... NR 12.00% 06/01/03 3,590 3,446,367
Fitzgeralds Gaming, Sr. Notes (d)............... B3 12.25% 12/15/04 2,375 1,306,250
Hollywood Park, Inc., Gtd. Notes................ B2 9.25% 02/15/07 3,500 3,456,250
Isle of Capri Black Hawk, LLC, First Mtg.
Notes......................................... B3 13.00% 08/31/04 4,000 4,440,000
Mohegan Tribal Gaming, Sr. Sub. Notes........... Ba3 8.75% 01/01/09 1,500 1,496,250
Station Casinos, Inc., Sr. Sub. Notes........... B2 10.125% 03/15/06 2,500 2,575,000
Trump Atlantic City Assoc., First Mtge. Notes... B1 11.25% 05/01/06 1,500 1,342,500
Trump Atlantic City Assoc., First Mtge. Notes... Caa 11.75% 11/15/03 1,800 1,530,000
--------------
33,486,787
--------------
INDUSTRIAL -- 6.0%
Allied Waste Industries, Inc., Sr. Disc.
Notes......................................... Ba2 7.625% 01/01/06 3,250 3,038,750
Allied Waste Industries, Inc., Sr. Disc.
Notes......................................... Ba2 7.875% 01/01/09 8,000 7,380,000
Clean Harbors, Inc., Sr. Notes.................. B2 12.50% 05/15/01 1,250 900,000
Continental Global Group, Sr. Notes............. B2 11.00% 04/01/07 4,120 3,440,200
Eagle-Picher Industries, Sr. Sub. Notes......... B3 9.375% 03/01/08 1,750 1,662,500
ICF Kaiser International, Inc., Sr. Sub.
Notes......................................... B3 13.00% 12/31/03 4,450 3,204,000
International Wireless Group, Sr. Sub.
Notes (d)..................................... NR 11.75% 06/01/05 3,000 3,135,000
Kaiser Aluminum & Chemical Corp., Sr. Sub.
Notes......................................... B2 12.75% 02/01/03 4,000(e) 4,040,000
Kasper Aluminum & Chemical Corp., Sr. Sub.
Notes......................................... NR 12.75% 03/31/04 7,171 7,063,435
Motors & Gears, Inc., Sr. Notes................. B3 10.75% 11/15/06 3,500 3,552,500
Neenah Corp., Sr. Sub. Notes.................... B3 11.125% 05/01/07 250 246,250
RBX Corp., Sr. Notes............................ B2 12.00% 01/15/03 1,650 1,419,000
Thermadyne Holdings, Deb., Zero Coupon (until
06/01/03)..................................... Caa1 12.50% 06/01/08 2,375 1,151,875
Thermadyne Manufacturing, Sr. Sub. Notes........ B3 9.875% 06/01/08 2,500 2,225,000
UCAR Global Enterprises, Sr. Sub. Notes......... B1 12.00% 01/15/05 3,000 3,180,000
Viasystems, Inc., Sr. Sub. Notes................ B3 9.75% 06/01/07 4,000 3,500,000
--------------
49,138,510
--------------
LEISURE & TOURISM -- 0.9%
Bally Health & Tennis Corp., Sr. Sub. Notes..... B3 9.875% 10/15/07 5,000 4,850,000
Premier Cruises Ltd., Sr. Notes, PIK (d)........ B3 11.00% 03/15/08 1,000 250,000
Premier Parks, Inc., Sr. Notes.................. B3 9.75% 06/15/07 2,000(e) 2,010,000
--------------
7,110,000
--------------
LODGING -- 0.9%
HMH Properties, Inc., Sr. Notes................. Ba2 8.45% 12/01/08 4,250 4,037,500
Hilton Hotels, Sr. Notes........................ Baa1 7.50% 12/15/17 1,000 945,000
Santa Fe Hotel, Inc., First Mtg. Notes.......... Caa2 11.00% 12/15/00 2,750 2,722,500
--------------
7,705,000
--------------
MISCELLANEOUS -- 0.8%
Newcor, Inc., Gtd., Sr. Sub. Notes.............. B3 9.875% 03/01/08 435 382,800
Phoenix Color Corp., Gtd., Sr. Sub. Notes....... B3 10.375% 02/01/09 4,000 3,920,000
Republic of Brazil, Bonds....................... B2 11.625% 04/15/04 2,000 1,880,000
--------------
6,182,800
--------------
OIL & GAS -- 1.7%
Comstock Resources, Inc., Sr. Notes............. B2 11.25% 05/01/07 4,500 4,522,500
Empire Gas Corp., Sr. Notes, Zero Coupon (until
07/15/99)..................................... Caa 12.875% 07/15/04 5,300 3,180,000
Gulf Canada Resources, Ltd., Sr. Sub. Notes..... B2 9.25% 01/15/04 1,000 1,009,950
Gulf Canada Resources, Ltd., Sub. Deb........... Ba3 9.625% 07/01/05 1,000 1,020,000
Leviathan Gas, Sr. Sub. Notes................... Ba2 10.375% 06/01/09 2,000(e) 2,060,000
Pride International, Inc., Sr. Notes............ Ba3 10.00% 06/01/09 2,250 2,289,375
--------------
14,081,825
--------------
PAPER/PACKAGING -- 4.4%
AMM Holdings, Inc., Sr. Disc. Notes, Zero Coupon
(until 07/01/03).............................. Caa 13.50% 07/01/09 6,000 1,920,000
APP International Finance, Sr. Sec'd. Notes..... Ba3 11.75% 10/01/05 2,600(e) 1,989,000
Consolidated Container Co., LLC, Sr. Sub.
Notes......................................... B2 10.125% 07/15/09 780 791,700
Gaylord Container Corp., Sr. Notes.............. B 9.75% 06/15/07 2,100(e) 2,010,750
Graham Packaging, Sr. Disc. Notes, Zero Coupon
(until 01/15/03).............................. Caa1 10.75% 01/15/09 1,100 737,000
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B36
<PAGE>
HIGH YIELD BOND PORTFOLIO (CONTINUED)
JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL
MOODY'S INTEREST MATURITY AMOUNT VALUE
CORPORATE BONDS (CONTINUED) RATING RATE DATE (000) (NOTE 2)
------------ ------ -------- --------- --------------
<S> <C> <C> <C> <C> <C>
Maxxam Group Holdings, Inc., Sr. Notes.......... NR 12.00% 08/01/03 $ 7,550 $ 7,889,750
Millar Western Forest, Sr. Notes................ B3 9.875% 05/15/08 2,250 2,176,875
Repap New Brunswick, Inc., Sr. Sec'd. Notes..... B3 10.625% 04/15/05 4,850 3,710,250
Silgan Holdings, Inc., Sub. Debs................ NR 13.25% 07/15/06 3,149 3,495,390
Stone Container Corp., Sr. Sub. Deb............. B2 12.58% 08/01/16 250 265,000
Stone Container Corp., Sr. Sub. Notes........... B3 12.25% 04/01/02 6,800 6,817,000
Tekni-Plex, Inc., Sr. Sub. Notes................ B3 11.25% 04/01/07 750 795,000
U.S. Timberlands Klamath Fall, LLC, Sr. Notes... B1 9.625% 11/15/07 550 536,250
United Stationery Supply Co., Sr. Sub. Notes.... B3 12.75% 05/01/05 2,200 2,409,000
--------------
35,542,965
--------------
PUBLISHING -- 0.7%
Garden State Newspaper, Sr. Sub. Notes.......... B1 8.625% 07/01/11 1,200 1,122,000
Sullivan Graphics, Inc., Sr. Sub. Notes......... Caa 12.75% 08/01/05 4,500 4,635,000
--------------
5,757,000
--------------
RETAIL -- 2.4%
Big 5 Holding Corp., Sr. Disc. Notes, Zero
Coupon (until 11/30/02)....................... NR 13.45% 11/30/08 1,500 765,000
Duane Reade, Inc., Sr. Sub. Notes............... B3 9.25% 02/15/08 400 415,000
Frank's Nursery & Crafts, Sr. Sub. Notes........ B3 10.25% 03/01/08 2,100 2,068,500
French Fragrances, Inc., Sr. Notes, Ser. B...... B2 10.375% 05/15/07 470 474,700
Merisel, Inc., Sr. Notes........................ Ca 12.50% 12/31/04 5,250 5,355,000
Musicland Stores, Sr. Sub. Notes................ B1 9.00% 06/15/03 4,600 4,370,000
Phar-Mor, Inc., Sr. Notes....................... B3 11.72% 09/11/02 4,564 4,655,280
Phillips Van-Heusen Corp., Sr. Notes............ B1 9.50% 05/01/08 1,250 1,237,500
--------------
19,340,980
--------------
STEEL & METAL -- 1.7%
Doe Run Resources Corp., Sr. Notes.............. B3 11.25% 03/15/05 5,000 4,500,000
National Steel Corp., Gtd. Sec'd. First Mtge.... Ba3 9.875% 03/01/09 1,000 1,017,500
Renco Steel Holdings, Sr. Notes................. NR 10.875% 02/01/05 500 432,500
Sheffield Steel Corp., First Mtg. Notes......... NR 11.50% 12/01/05 3,500 3,150,000
WHX Corp., Sr. Notes............................ B3 10.50% 04/15/05 2,350 2,232,500
Wheeling-Pittsburgh Corp., Sr. Notes............ B2 9.25% 11/15/07 3,000 2,835,000
--------------
14,167,500
--------------
SUPERMARKETS -- 1.4%
Homeland Stores, Inc., Notes.................... NR 10.00% 08/01/03 4,260 3,626,325
Pantry, Inc., Sr. Sub. Notes.................... B3 10.25% 10/15/07 3,500 3,517,500
Pathmark Stores, Sr. Sub. Notes................. B2 9.625% 05/01/03 4,500 4,590,000
--------------
11,733,825
--------------
TECHNOLOGY -- 2.4%
Ampex, Sr. Notes................................ NR 12.00% 03/15/03 5,000 5,200,000
Anacomp, Inc., Sr. Sub. Notes................... B3 10.875% 04/01/04 4,000 4,160,000
DII Group, Sr. Sub. Notes....................... B1 8.50% 09/15/07 2,000 1,950,000
Decisionone Corp., Sr. Sub. Notes (d)........... B3 9.75% 08/01/07 4,000 200,000
Details Holdings Corp., Sr. Disc. Notes, Zero
Coupon (until 11/15/02)....................... NR 12.50% 11/15/07 1,300 643,500
Details, Inc., Sr. Sub. Notes................... B3 10.00% 11/15/05 1,000 927,500
Jordan Telecommunication Products, Inc., Sr.
Notes......................................... NR 9.875% 08/01/07 3,400 3,366,000
Zilog, Inc., Sr. Notes.......................... B2 9.50% 03/01/05 3,000 2,655,000
--------------
19,102,000
--------------
TELECOMMUNICATIONS -- 15.4%
21st Century Telecom Group, Inc., Sr. Disc.
Notes, Zero Coupon
(until 02/15/03).............................. NR 12.25% 02/15/08 1,500 645,000
AMSC Acquisition Co., Inc., Sr. Notes........... NR 12.25% 04/01/08 2,600 2,106,000
Allegiance Telecommunciations, Inc., Sr. Disc.,
Notes Zero Coupon
(until 02/15/03).............................. NR 11.75% 02/15/08 3,300 2,013,000
Allegiance Telecommunications, Inc., Sr.
Notes......................................... NR 12.875% 05/15/08 1,750 1,863,750
American Communications Lines, Bonds............ B1 10.25% 06/30/08 3,000 3,030,000
Arch Communications, Inc., Sr. Notes............ B3 12.75% 07/01/07 500 410,000
Arch Escrow Corp., Sr. Notes.................... B3 13.75% 04/15/08 1,000 880,000
Bestel SA, Sr. Disc. Notes, Zero Coupon (until
05/15/01)..................................... NR 12.75% 05/15/05 2,500 1,600,000
Birch Telecommunications, Inc., Sr. Notes....... NR 14.00% 06/15/08 2,500 2,387,500
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B37
<PAGE>
HIGH YIELD BOND PORTFOLIO (CONTINUED)
JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL
MOODY'S INTEREST MATURITY AMOUNT VALUE
CORPORATE BONDS (CONTINUED) RATING RATE DATE (000) (NOTE 2)
------------ ------ -------- --------- --------------
<S> <C> <C> <C> <C> <C>
CB Richard Ellis Services, Inc., Bonds.......... Ba3 8.875% 06/01/06 $ 1,600 $ 1,544,000
Caprock Communications, Sr. Notes............... Caa 12.00% 07/15/08 1,500 1,537,500
Cellnet Data Systems, Inc., Sr. Disc. Notes,
Zero Coupon (until 10/01/02) (b) (cost
$3,221,339; purchased 06/09/98)................ NR 14.00% 10/01/07 5,000 2,100,000
Cencall Communications Corp., Sr. Disc. Notes,
Zero Coupon (until 01/15/99).................. B2 10.125% 01/15/04 500 507,500
Centennial Cellular, Sr. Sub. Notes............. Caa1 10.75% 12/15/08 1,000 1,030,000
Classic Communications, Inc., Sr. Disc. Notes,
Zero Coupon (until 08/01/03).................. Caa 13.25% 08/01/09 2,000 1,320,000
Coaxial Communications, Inc., Sr. Disc. Notes... B3 10.00% 08/15/06 1,250 1,275,000
Covad Communications Group, Inc., Sr. Notes..... B3 12.50% 02/15/09 2,000 1,925,000
DTI Holdings, Inc., Sr. Disc. Notes, Zero Coupon
(until 03/01/03).............................. NR 12.50% 03/01/08 1,000 365,000
Econophone, Inc., Sr. Disc. Notes, Zero Coupon
(until 02/15/03).............................. NR 11.00% 02/15/08 3,500 1,925,000
First World Communications, Inc., Sr. Disc.
Notes, Zero Coupon
(until 04/15/03).............................. NR 13.00% 04/15/08 3,000 1,710,000
Focal Communications Corp., Sr. Discount Notes,
Zero Coupon
(until 02/15/03).............................. NR 12.125% 02/15/08 3,500 1,960,000
GST Telecommunications, Inc., Sr. Disc. Notes,
Zero Coupon
(until 12/15/00).............................. NR 13.875% 12/15/05 6,600 5,629,250
GST Telecommunications, Inc., Sr. Disc. Notes,
Zero Coupon (until 05/01/03).................. NR 10.50% 05/01/08 875 490,000
Geotek Communication, Inc., Sr. Disc. Notes,
Zero Coupon (until 07/15/00) (d) (b) (cost
$3,906,895; purchased 12/13/95)............... Caa 15.00% 07/15/05 4,512 1,917,600
Global Crossing Holdings, Ltd................... Ba2 9.625% 05/15/08 250 270,000
Globix Corp, Sr. Notes.......................... NR 13.00% 05/01/05 1,250 1,187,500
Hyperion Telecommunications, Inc., Sr. Disc.
Notes......................................... B3 12.25% 09/01/04 1,150 1,207,500
ICG Holdings, Inc., Sr. Sub. Notes, Zero Coupon
(until 09/15/00).............................. NR 13.50% 09/15/05 2,000 1,760,000
ICG Services, Inc., Sr. Disc. Notes, Zero Coupon
(until 05/01/03).............................. NR 9.875% 05/01/08 2,000 1,170,000
ICO Global Communications, Sr. Sub. Notes....... B3 15.00% 08/01/05 400 164,000
IPC Information Systems, Inc., Sr. Disc. Notes,
Zero Coupon (until 05/01/01).................. B3 10.85% 05/01/08 2,250 1,620,000
Impsat Corp., Gtd. Sr. Notes.................... B2 12.125% 07/15/03 3,150 2,835,000
Impsat Corp., Sr. Notes......................... B2 12.375% 06/15/08 3,000 2,460,000
Iridium, LLC, Gtd. Notes (d).................... B3 11.25% 07/15/05 490 95,550
Level 3 Communications, Sr. Disc. Notes, Zero
Coupon (until 12/01/03)....................... B3 10.20% 12/01/08 4,450 2,759,000
Long Distance International, Inc., Sr. Notes.... NR 12.25% 04/15/08 2,000 1,300,000
Mastec, Inc., Sr. Notes......................... Ba3 7.75% 02/01/08 1,000 940,000
McCaw Int'l. Ltd., Sr. Disc. Notes, Zero Coupon
(until 04/15/02).............................. NR 13.00% 04/15/07 2,000 1,220,000
Mcleodusa, Inc., Sr. Sub. Notes, Zero Coupon
(until 03/01/02).............................. B2 10.50% 03/01/07 750 575,625
Mcleodusa, Inc., Sr. Disc. Notes................ B2 8.125% 02/15/09 250 233,125
Metronet Communications Corp., Zero Coupon
(until 06/15/03).............................. B3 9.95% 06/15/08 2,250 1,665,000
Microcell Telecommunications, Zero Coupon (until
06/01/04)..................................... B3 12.00% 06/01/09 5,000 2,812,500
Netia Holdings, Sr. Disc. Notes, Zero Coupon
(until 11/01/01).............................. B3 11.25% 11/01/07 3,000 1,860,000
Netia Holdings, Sr. Notes....................... B 10.25% 11/01/07 850 739,500
Netia Holdings, Sr. Notes....................... B3 13.125% 06/15/09 1,500 1,515,000
Nextel Communications, Inc., Sr. Disc. Notes,
Zero Coupon (until 02/15/03).................. B2 9.95% 02/15/08 5,900 3,997,250
Nextel Communications, Inc., Sr. Disc. Notes.... B2 9.75% 08/15/04 1,750 1,776,250
Nextel Communications, Inc., Sr. Disc. Notes,
Zero Coupon (until 10/31/02).................. B3 9.75% 10/31/07 750 523,125
Nextel Partners, Inc., Sr. Disc. Notes, Zero
Coupon (until 02/01/04)....................... B3 14.00% 02/01/09 5,900 3,318,750
Northeast Optic, Sr. Notes...................... NR 12.75% 08/15/08 2,000 2,060,000
Omnipoint Corp., Sr. Notes, Ser. A.............. B3 11.625% 08/15/06 4,575(e) 4,620,750
PTC International Finance Corp., Gtd. Notes,
Zero Coupon (until 07/01/02).................. NR 10.75% 07/01/07 1,250 912,500
Pagemart Nationwide, Inc., Sr. Disc. Notes,
Series H, Zero Coupon
(until 02/01/00).............................. NR 15.00% 02/01/05 7,500 6,337,500
Pagemart Wireless, Inc., Sr. Disc. Notes, Zero
Coupon (until 02/01/03)....................... NR 11.25% 02/01/08 2,500 887,500
Price Communications Wireless, Inc., Sr. Sub.
Notes......................................... NR 11.75% 07/15/07 5,000(e) 5,475,000
RSL Communications PLC, Sr. Sec'd. Notes........ B3 12.00% 11/01/08 1,000 1,045,000
RSL Communications, LTD, Sr. Notes.............. B2 12.25% 11/15/06 1,500 1,567,500
Rogers Cantel, Inc., Sr. Sub. Notes............. B2 8.80% 10/01/07 1,250 1,250,000
Splitrock Service, Inc. Sr. Notes............... NR 11.75% 07/15/08 1,750 1,636,250
Telegroup, Inc., Sr. Disc. Notes, Zero Coupon
(until 05/01/00) (d).......................... NR 10.50% 11/01/04 4,000 1,320,000
Tritel PCS, Inc., Sr. Disc. Notes, Zero Coupon
(until 05/15/04).............................. B3 12.75% 05/15/09 4,000 2,180,000
US Xchange LLC, Sr. Notes....................... NR 15.00% 07/01/08 2,250 2,317,500
USA Mobile Communications, Sr. Notes............ B2 9.50% 02/01/04 5,000(e) 4,325,000
Unisite, Inc., Sr. Disc. Note, Zero Coupon
(until 12/15/00).............................. NR 13.00% 12/15/04 4,000 4,849,200
Versatel Telecommunications, Sr. Notes.......... NR 13.25% 05/15/08 2,000 2,060,000
Viatel, Inc., Sr. Disc. Notes, Zero Coupon
(until 04/15/03).............................. NR 12.50% 04/15/08 1,100 671,000
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B38
<PAGE>
HIGH YIELD BOND PORTFOLIO (CONTINUED)
JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL
MOODY'S INTEREST MATURITY AMOUNT VALUE
CORPORATE BONDS (CONTINUED) RATING RATE DATE (000) (NOTE 2)
------------ ------ -------- --------- --------------
<S> <C> <C> <C> <C> <C>
Viatel, Inc., Sr. Notes......................... Caa1 11.25% 04/15/08 $ 1,500 $ 1,500,000
WamNet, Inc., Sr. Disc. Notes, Zero Coupon
(until 03/01/02).............................. NR 13.25% 03/01/05 500 305,000
Winstar Communications, Sr. Notes, Zero Coupon
(until 10/15/00).............................. Caa1 14.00% 10/15/05 1,500 1,316,250
--------------
124,811,725
--------------
TEXTILES -- 1.9%
Cluett American Corp., Sr. Sub. Notes........... NR 10.125% 05/15/08 3,060 2,295,000
Foamex, L.P., Sr. Sub. Notes.................... B3 9.875% 06/15/07 2,950 2,507,500
Simmons Co., Sr. Sub. Notes..................... B3 10.25% 03/15/09 4,000(e) 4,070,000
Steel Heddle Manufacturing, Sr. Sub. Notes...... B3 10.625% 06/01/08 2,000 1,120,000
Worldtex, Inc., Gtd. Notes...................... B1 9.625% 12/15/07 2,000 1,750,000
Worldwide Fiber, Inc., Sr. Notes................ B3 12.50% 12/15/05 4,000 4,020,000
--------------
15,762,500
--------------
TRANSPORTATION -- 1.4%
Aircraft Funding, Sr. Sub. Notes, PIK........... NR 12.00% 07/15/99 1,116 948,318
Canadian Airlines, Sr. Notes.................... NR 12.25% 08/01/06 750 288,750
Continental Airlines, Inc., Sr. Notes........... Ba2 8.00% 12/15/05 3,250 3,102,255
Ermis Maritime Holdings, Ltd., First Mtge.
Notes......................................... B3 12.50% 03/15/06 200 56,000
Holt Group, Sr. Notes........................... Caa1 9.75% 01/15/06 800 536,000
Kitty Hawk, Inc., Sr. Notes..................... B1 9.95% 11/15/04 2,000 1,960,000
Stena Line AB, Sr. Notes........................ B1 10.625% 06/01/08 3,500 2,633,750
Trans World Airlines, Sr. Notes................. NR 11.50% 12/15/04 1,750 1,548,750
Trism, Inc., Bonds.............................. B2 10.75% 12/15/00 3,750 637,500
--------------
11,711,323
--------------
UTILITIES -- 0.6%
AES Corp., Sr. Notes............................ Ba1 9.50% 06/01/09 5,000 5,137,500
--------------
TOTAL CORPORATE BONDS
(cost $763,440,973)......................................................................... 696,832,658
--------------
CONVERTIBLE BONDS -- 0.3%
OIL & GAS SERVICES -- 0.3%
Key Energy Group, Inc., Sub. Notes.............. NR 5.00% 09/15/04 4,000 2,540,000
--------------
TELECOMMUNICATIONS
Geotek Communications, Inc., Sr. Conv. Notes
(d)........................................... NR 12.00% 02/15/01 2,000 200
--------------
TOTAL CONVERTIBLE BONDS
(cost $5,035,239)........................................................................... 2,540,200
--------------
<CAPTION>
COMMON STOCKS -- 0.6% SHARES
-------------
<S> <C> <C>
Classic Communications, Inc., Sr. Disc. Notes
(a)........................................... 6,000 100,020
Dr. Pepper Bottling Holdings, Inc., (Class "B"
Stock) (a)(b) (cost $5,226; purchased
10/21/88)..................................... 5,807 174,210
Hedstrom Holding Co. (a)........................ 24,261 24,261
Intermedia Communications, PIK (a).............. 17,005 510,141
Pagemart Nationwide, Inc. (a)................... 13,125 65,625
Samuels Jewelers, Inc. (a)...................... 37,500 171,094
Star Gas Partners, L.P.......................... 2,561 44,017
Viatel, Inc. (a)................................ 10,575 593,522
Waste Systems International (a)(b) (cost
$1,970,169; purchased 10/23/97)............... 503,351 3,476,268
--------------
TOTAL COMMON STOCKS
(cost $3,146,048).............................................. 5,159,158
--------------
PREFERRED STOCKS -- 7.0%
21st Century Telecommunications Group, Inc.,
PIK........................................... 474 236,872
Adelphia Communications, Inc., PIK.............. 65,250 7,112,250
AmeriKing, Inc.................................. 24,205 556,715
CSC Holdings, Inc., PIK......................... 345 3,763,705
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B39
<PAGE>
HIGH YIELD BOND PORTFOLIO (CONTINUED)
JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
PREFERRED STOCKS (CONTINUED) SHARES (NOTE 2)
------------- --------------
<S> <C> <C>
California Federal Bancorp, Inc................. 100,000 $ 2,618,750
Century Maintenance Supplies.................... 45,365 4,627,197
Chesapeake Energy Corp. (a)..................... 20,000 487,500
Clark USA, Inc., PIK............................ 560 364,309
Cluett American Corp............................ 42,292 2,748,964
Dobson Communications........................... 4,250 4,122,500
Eagle-Picher Holdings, Inc., (a)................ 170 858,500
Fitzgerald Gaming, Inc. (a)..................... 50,000 250,000
GPA Group PLC (a)............................... 1,550,000 775,000
Geneva Steel, Inc. (a).......................... 22,000 11,000
Global Crossing Holdings, Ltd................... 16,250 1,698,125
Harborside Healthcare Corp...................... 1,104 474,720
ICG Communications, Inc., PIK................... 1,364 1,336,720
IXC Communications, Inc......................... 258 242,344
Intermedia Communications, Inc., Series 144..... 90,000 1,946,250
Intermedia Communications, Inc., PIK............ 3,366 3,298,890
Intermedia Communications, Inc., Series D....... 90,000 3,318,750
Kelley Oil & Gas Corp........................... 38,400 187,200
Nextel Communications, Inc...................... 973 963,270
Packaging Corp., America........................ 40,000 4,240,000
Paxson Communications, Inc...................... 5,855 5,328,458
R&B Falcon Corp................................. 2,875 2,932,500
Rural Cellular Corp., PIK....................... 12 12,060
Supermarkets General Holdings Corp., PIK (a).... 25,000 950,000
Viasystems, Inc. (a)............................ 45,947 608,803
--------------
TOTAL PREFERRED STOCKS
(cost $64,606,239)............................................. 56,071,352
--------------
<CAPTION>
EXPIRATION
WARRANTS (A) -- 0.4% DATE UNITS
------------ ---------
<S> <C> <C> <C>
21st Century Telecom Group, Inc................. 02/15/10 400 8,000
Allegiance Telecommunications, Inc.............. 02/03/08 3,800 171,000
American Banknote Corp.......................... 12/01/02 2,500 25
American Mobile Sattelite Corp.................. 04/01/08 2,600 104,000
Ampex Corp...................................... 03/15/03 170,000 478,125
Bell Technology Group, Ltd...................... 01/23/01 1,250 10,625
Bestel SA....................................... 01/01/04 2,500 5,000
Birch Telecomm, Inc............................. 06/15/00 2,500 12,500
Cellnet Data Systems, Inc....................... 01/01/49 7,010 35,050
Clearnet Communications, Inc.................... 09/15/05 26,202 131,010
DTI Holdings, Inc............................... 01/01/04 5,000 50
Diva Systems Corp............................... 01/01/05 3,000 39,000
Electronic Retailing Systems.................... 01/01/49 2,000 10,000
First World Communications...................... 01/01/04 3,000 150,000
Foamex - JPS Automotive LLC..................... 07/01/99 2,000 10,000
Globalstar Capital Co........................... 02/15/04 1,200 66,000
Hyperion Telecommunications Corp................ 04/15/01 4,250 325,656
ICG Communications, Inc......................... 09/15/05 20,790 207,900
ICO Global Communications, Inc.................. 08/02/06 400 0
Interact Systems, Inc........................... 08/01/03 4,400 44
Intermedia Communications of Florida, Inc....... 06/01/00 3,000 195,000
Long Distance Int'l., Inc....................... 05/01/05 2,000 0
MGC Communications, Inc......................... 01/01/49 1,950 22,620
McCaw Int'l. Ltd................................ 01/01/49 1,650 8,250
Pagemart, Inc................................... 11/01/03 9,200 23,000
Powertel, Inc................................... 02/01/06 6,720 13,440
Premium Standard Farms L.P. (c)................. 01/00/00 22,025 242,275
President Riverboat Casinos, Inc................ 09/30/99 22,075 0
Price Communications Cellular Holdings.......... 08/01/07 6,880 612,320
Primus Telecommunications Group................. 08/01/07 1,500 30,000
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B40
<PAGE>
HIGH YIELD BOND PORTFOLIO (CONTINUED)
JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
EXPIRATION VALUE
WARRANTS (A) (CONTINUED) DATE UNITS (NOTE 2)
------------ --------- --------------
<S> <C> <C> <C>
R&B Falcon Warren............................... 01/00/00 2,875 $ 0
Splitrock Service, Inc.......................... 01/00/00 1,750 122,500
Star Choice Communications, Inc................. 12/15/05 69,480 172,144
Sterling Chemical Holdings, Inc................. 08/15/08 560 8,400
TVN Entertainment Corp.......................... 08/01/08 3,750 0
USN Communications, Inc......................... 01/01/49 10,590 635
Unisite, Inc.................................... 12/15/04 1,943 20
Versatel Telecommunications..................... 05/15/08 2,000 100,000
Wam!net, Inc.................................... 08/01/08 3,000 68,250
Waste Systems International..................... 01/00/00 60,000 39,600
--------------
TOTAL WARRANTS
(cost $620,777).......................................................... 3,422,439
--------------
TOTAL LONG-TERM INVESTMENTS
(cost $836,849,276)...................................................... 764,025,807
--------------
<CAPTION>
PRINCIPAL
INTEREST MATURITY AMOUNT
SHORT-TERM INVESTMENTS -- 7.7% RATE DATE (000)
------ -------- ---------
<S> <C> <C> <C> <C>
COMMERCIAL PAPER -- 2.0%
MonteRosa Capital Corp.......................... 5.07% 07/20/99 $2,431(f) 2,424,495
PSE&G........................................... 6.20% 07/01/99 8,000(f) 8,000,000
Textron Financial Corp.......................... 6.25% 07/01/99 5,500(f) 5,500,000
--------------
15,924,495
--------------
TIME DEPOSIT -- 2.0%
Deutsche Bank................................... 5.125% 07/11/99 16,069(f) 16,069,000
--------------
REPURCHASE AGREEMENT -- 3.7%
Joint Repurchase Agreement Account.............. 4.775% 07/01/99 30,448 30,448,000
--------------
(Note 5)
TOTAL SHORT-TERM INVESTMENTS
(cost $64,441,495).......................................................................... 62,441,495
--------------
TOTAL INVESTMENTS -- 101.7%
(cost $899,290,771; Note 6)................................................................. 826,467,302
LIABILITIES IN EXCESS OF OTHER ASSETS -- (1.7)%............................................... (13,725,024)
--------------
TOTAL NET ASSETS -- 100.0%.................................................................... $ 812,742,278
==============
</TABLE>
The following abbreviations are used in portfolio descriptions:
LLC Limited Liability Company
LP Limited Partnership
NR Not Rated by Moody's or Standard & Poors
PIK Payment in Kind Securities
PLC Public Limited Company
(a) Non-income producing security.
(b) Indicates a restricted security; the aggregate cost of the restricted
securities is $16,676,529. The aggregate value, $13,718,078 is
approximately 1.7% of net assets.
(c) Indicates a fair valued security.
(d) Represents issuer in default on interest payments, non-income producing
security.
(e) Portion of securities on loan with an aggregate market value of
$31,993,495; cash collateral of $31,882,210 was received with which the
portfolio purchased securities.
(f) Represents security purchased with cash collateral received for securities
on loan.
SEE NOTES TO FINANCIAL STATEMENTS.
B41
<PAGE>
STOCK INDEX PORTFOLIO
JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
LONG-TERM INVESTMENTS -- 97.2%
VALUE
COMMON STOCKS SHARES (NOTE 2)
------------- --------------
<S> <C> <C>
AEROSPACE -- 1.5%
AlliedSignal, Inc............................... 204,500 $ 12,883,500
Boeing Co....................................... 355,236 15,696,991
General Dynamics Corp........................... 47,200 3,233,200
Goodrich (B.F.) Co.............................. 25,600 1,088,000
Lockheed Martin Corp............................ 142,798 5,319,225
Northrop Grumman Corp........................... 24,200 1,604,762
Parker-Hannifin Corp............................ 38,225 1,748,794
Raytheon Co. (Class "B" Stock).................. 123,018 8,657,392
United Technologies Corp........................ 177,300 12,710,194
--------------
62,942,058
--------------
AIRLINES -- 0.3%
AMR Corp.(a).................................... 64,800 4,422,600
Delta Air Lines, Inc............................ 53,200 3,065,650
Southwest Airlines Co........................... 121,150 3,770,794
US Airways Group, Inc.(a)....................... 34,900 1,520,331
--------------
12,779,375
--------------
APPAREL -- 0.2%
Fruit Of The Loom, Inc.(a)...................... 25,200 245,700
Nike, Inc. (Class "B" Stock).................... 104,300 6,603,494
Reebok International Ltd........................ 19,000 353,875
--------------
7,203,069
--------------
AUTOS - CARS & TRUCKS -- 1.3%
Cummins Engine Co., Inc......................... 14,400 822,600
Dana Corp....................................... 63,594 2,929,299
Ford Motor Co................................... 444,100 25,063,894
General Motors Corp............................. 242,100 15,978,600
Genuine Parts Co................................ 65,925 2,307,375
Johnson Controls, Inc........................... 32,000 2,218,000
Navistar International Corp.(a)................. 23,900 1,195,000
PACCAR, Inc..................................... 29,160 1,556,415
TRW, Inc........................................ 46,300 2,540,712
--------------
54,611,895
--------------
BANKS AND SAVINGS & LOANS -- 6.5%
AmSouth Bancorporation.......................... 66,900 1,551,244
Banc One Corp................................... 433,945 25,846,849
Bank Of America Corp............................ 640,344 46,945,219
Bank of New York Co., Inc....................... 277,300 10,173,444
BankBoston Corp................................. 108,400 5,541,950
BB&T Corp....................................... 114,300 4,193,381
Chase Manhattan Corp............................ 311,994 27,026,480
Comerica, Inc................................... 58,450 3,474,122
First Union Corp................................ 362,978 17,059,966
Firstar Corp.................................... 251,700 7,047,600
Fleet Financial Group, Inc...................... 211,100 9,367,562
Golden West Financial Corp...................... 20,100 1,969,800
Huntington Bancshares, Inc...................... 77,500 2,712,500
KeyCorp......................................... 169,700 5,451,612
Mellon Bank Corp................................ 189,800 6,903,975
Mercantile Bancorporation, Inc.................. 56,400 3,221,850
Morgan (J.P.) & Co., Inc........................ 64,150 9,013,075
National City Corp.............................. 121,200 7,938,600
Northern Trust Corp............................. 41,000 3,977,000
PNC Bank Corp................................... 109,400 6,304,175
Providian Financial Corp........................ 52,550 4,913,425
Regions Financial Corp.......................... 83,100 3,194,156
Republic New York Corp.......................... 39,100 2,666,131
SouthTrust Corp................................. 59,400 2,279,475
Summit Bancorp.................................. 63,900 2,671,819
Suntrust Banks, Inc............................. 117,700 8,172,794
Synovus Financial Corp.......................... 97,500 1,937,812
U.S. Bancorp.................................... 268,926 9,143,484
Union Planters Corp............................. 48,800 2,180,750
Wachovia Corp................................... 74,200 6,348,737
Wells Fargo & Co................................ 603,860 25,815,015
--------------
275,044,002
--------------
BUSINESS SERVICES -- 0.2%
Equifax, Inc.................................... 52,300 1,866,456
Omnicom Group, Inc.............................. 64,600 5,168,000
--------------
7,034,456
--------------
CHEMICALS -- 1.6%
Air Products & Chemicals, Inc................... 85,300 3,433,325
Dow Chemical Co................................. 80,700 10,238,812
Du Pont (E.I.) de Nemours & Co.................. 413,900 28,274,544
Eastman Chemical Co............................. 27,600 1,428,300
Engelhard Corp.................................. 49,875 1,128,422
FMC Corp.(a).................................... 12,300 840,244
Grace (W.R.) & Co............................... 24,400 448,350
Great Lakes Chemical Corp....................... 20,600 948,887
Hercules, Inc................................... 35,400 1,391,662
Monsanto Co..................................... 230,200 9,078,512
Nalco Chemical Co............................... 23,100 1,198,312
Praxair, Inc.................................... 59,100 2,892,206
Raychem Corp.................................... 30,200 1,117,400
Rohm & Haas Co.................................. 78,801 3,378,575
Sigma-Aldrich Corp.............................. 38,000 1,308,625
Union Carbide Corp.............................. 50,600 2,466,750
--------------
69,572,926
--------------
COMMERCIAL SERVICES -- 0.2%
Cendant Corp.(a)................................ 305,618 6,265,169
Deluxe Corp..................................... 29,000 1,129,187
--------------
7,394,356
--------------
COMPUTER SERVICES -- 9.4%
3Com Corp.(a)................................... 130,000 3,469,375
Adobe Systems, Inc.............................. 23,600 1,938,887
America Online, Inc.(a)......................... 399,200 44,111,600
Autodesk, Inc................................... 19,800 585,337
Automatic Data Processing, Inc.................. 228,100 10,036,400
BMC Software, Inc.(a)........................... 87,100 4,703,400
Cabletron Systems, Inc.(a)...................... 58,500 760,500
Ceridian Corp.(a)............................... 53,200 1,738,975
Cisco Systems, Inc.(a).......................... 1,172,200 75,606,900
Computer Associates International, Inc.......... 198,143 10,897,865
Computer Sciences Corp.(a)...................... 59,700 4,130,494
Compuware Corp.(a).............................. 133,600 4,250,150
Electronic Data Systems Corp.................... 178,900 10,119,031
EMC Corp.(a).................................... 370,700 20,388,500
First Data Corp................................. 160,900 7,874,044
Microsoft Corp.(a).............................. 1,877,500 169,327,031
Novell, Inc.(a)................................. 126,100 3,341,650
Oracle Corp.(a)................................. 528,830 19,632,814
Parametric Technology Corp.(a).................. 93,000 1,290,375
Peoplesoft, Inc................................. 86,000 1,483,500
Silicon Graphics, Inc.(a)....................... 67,800 1,110,225
Unisys Corp..................................... 96,900 3,773,044
--------------
400,570,097
--------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B42
<PAGE>
STOCK INDEX PORTFOLIO (CONTINUED)
JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
COMMON STOCKS VALUE
(CONTINUED) SHARES (NOTE 2)
------------- --------------
<S> <C> <C>
COMPUTERS -- 4.8%
Apple Computer, Inc.(a)......................... 56,700 $ 2,625,919
Compaq Computer Corp............................ 621,069 14,711,572
Data General Corp.(a)........................... 19,800 288,337
Dell Computer Corp.(a).......................... 935,100 34,598,700
Gateway 2000, Inc.(a)........................... 57,400 3,386,600
Hewlett-Packard Co.............................. 374,100 37,597,050
International Business Machines Corp............ 669,700 86,558,725
Networking Appliance, Inc.(a)................... 8,000 447,000
Seagate Technology, Inc.(a)..................... 88,100 2,257,562
Sun Microsystems, Inc.(a)....................... 285,000 19,629,375
--------------
202,100,840
--------------
CONSTRUCTION -- 0.1%
Centex Corp..................................... 21,600 811,350
Fluor Corp...................................... 28,300 1,146,150
Foster Wheeler Corp............................. 18,300 258,487
Pulte Corp...................................... 14,500 334,406
--------------
2,550,393
--------------
CONTAINERS -- 0.1%
Ball Corp....................................... 10,900 460,525
Bemis Co., Inc.................................. 18,100 719,475
Crown Cork & Seal Co., Inc...................... 44,200 1,259,700
Owens-Illinois, Inc.(a)......................... 59,700 1,951,444
Sealed Air Corp................................. 29,510 1,914,461
--------------
6,305,605
--------------
COSMETICS & SOAPS -- 1.8%
Alberto Culver Co. (Class "B" Stock)............ 19,100 508,537
Avon Products, Inc.............................. 96,000 5,328,000
Colgate-Palmolive Co............................ 107,600 10,625,500
Gillette Co..................................... 408,100 16,732,100
International Flavors & Fragrances, Inc......... 39,400 1,748,375
Procter & Gamble Co............................. 488,104 43,563,282
--------------
78,505,794
--------------
DIVERSIFIED CONSUMER PRODUCTS -- 1.0%
Eastman Kodak Co................................ 120,900 8,190,975
Philip Morris Co., Inc.......................... 895,600 35,991,925
--------------
44,182,900
--------------
DIVERSIFIED OFFICE EQUIPMENT -- 0.6%
Avery Dennison Corp............................. 43,900 2,650,462
Pitney Bowes, Inc............................... 100,900 6,482,825
Xerox Corp...................................... 242,792 14,339,902
--------------
23,473,189
--------------
DIVERSIFIED OPERATIONS -- 3.3%
Fortune Brands, Inc............................. 64,300 2,660,412
General Electric Co............................. 1,202,900 135,927,700
--------------
138,588,112
--------------
DRUGS AND MEDICAL SUPPLIES -- 10.1%
Abbott Laboratories............................. 557,500 25,366,250
Allergan, Inc................................... 25,300 2,808,300
ALZA Corp.(a)................................... 35,700 1,816,237
American Home Products Corp..................... 483,700 27,812,750
Amgen, Inc.(a).................................. 188,000 11,444,500
Bard (C.R.), Inc................................ 19,000 908,437
Bausch & Lomb, Inc.............................. 20,100 1,537,650
Baxter International, Inc....................... 106,500 6,456,562
Becton, Dickinson & Co.......................... 93,100 2,793,000
Biomet, Inc..................................... 42,100 1,673,475
Boston Scientific Corp.(a)...................... 144,800 6,362,150
Bristol-Myers Squibb Co......................... 731,060 51,494,039
Cardinal Health, Inc............................ 100,450 6,441,356
Eli Lilly & Co.................................. 405,500 29,043,937
Guidant Corp.................................... 109,800 5,647,837
Johnson & Johnson............................... 494,000 48,412,000
Mallinckrodt, Inc............................... 25,800 938,475
Medtronic, Inc.................................. 215,500 16,782,062
Merck & Co., Inc................................ 874,000 64,676,000
PE Corp-PE Biosystems Corp...................... 19,100 2,191,725
Pfizer, Inc..................................... 477,600 52,416,600
Pharmacia & Upjohn, Inc......................... 185,225 10,523,095
Schering-Plough Corp............................ 538,900 28,561,700
St. Jude Medical, Inc.(a)....................... 30,300 1,079,437
Warner-Lambert Co............................... 304,000 21,090,000
Watson Pharmaceuticals, Inc.(a)................. 35,000 1,227,187
--------------
429,504,761
--------------
ELECTRONICS -- 3.9%
Advanced Micro Devices, Inc.(a)................. 51,100 922,994
Applied Materials, Inc.(a)...................... 137,500 10,157,812
EG&G, Inc....................................... 15,000 534,375
Emerson Electric Co............................. 161,400 10,148,025
Grainger (W.W.), Inc............................ 33,400 1,797,337
Harris Corp..................................... 27,100 1,061,981
Honeywell, Inc.................................. 46,600 5,399,775
Intel Corp...................................... 1,223,800 72,816,100
KLA-Tencor Corp.(a)............................. 33,700 2,186,287
LSI Logic Corp.(a).............................. 51,500 2,375,437
Micron Technology, Inc.......................... 89,200 3,595,875
Motorola, Inc................................... 220,200 20,863,950
National Semiconductor Corp.(a)................. 58,000 1,468,125
Rockwell International Corp..................... 68,500 4,161,375
Solectron Corp.................................. 94,100 6,275,294
Tektronix, Inc.................................. 17,500 528,281
Texas Instruments, Inc.......................... 143,100 20,749,500
Thomas & Betts Corp............................. 19,800 935,550
--------------
165,978,073
--------------
ENVIRONMENTAL SERVICES -- 0.1%
Browning-Ferris Industries, Inc................. 66,200 2,846,600
--------------
FINANCIAL SERVICES -- 5.8%
American Express Co............................. 165,800 21,574,725
Associates First Capital Corp................... 266,566 11,812,206
Bear Stearns Companies, Inc..................... 42,105 1,968,409
Block (H.R.), Inc............................... 36,700 1,835,000
Capital One Financial Corp...................... 74,400 4,143,150
Citigroup, Inc.................................. 1,244,213 59,100,117
Countrywide Credit Industries, Inc.............. 40,800 1,744,200
Dun & Bradstreet Corp........................... 62,360 2,209,882
Federal Home Loan Mortgage Corp................. 253,000 14,674,000
Federal National Mortgage Association........... 381,900 26,112,412
Fifth Third Bancorp............................. 97,600 6,496,500
Franklin Resource, Inc.......................... 92,400 3,753,750
Household International, Inc.................... 175,258 8,302,848
Lehman Brothers Holdings, Inc................... 43,700 2,720,325
MBNA Corp....................................... 292,768 8,966,020
Merrill Lynch & Co., Inc........................ 133,900 10,703,631
Morgan Stanley Dean Witter & Co................. 212,605 21,792,012
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B43
<PAGE>
STOCK INDEX PORTFOLIO (CONTINUED)
JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
COMMON STOCKS VALUE
(CONTINUED) SHARES (NOTE 2)
------------- --------------
<S> <C> <C>
FINANCIAL SERVICES (CONT'D.)
PaineWebber Group, Inc.......................... 54,000 $ 2,524,500
Paychex, Inc.................................... 88,500 2,820,937
Schwab (Charles) Corp.(a)....................... 149,100 16,382,362
SLM Holding Corp................................ 59,600 2,730,425
State Street Corp............................... 58,800 5,020,050
Transamerica Corp............................... 47,000 3,525,000
Washington Mutual, Inc.......................... 216,348 7,653,310
--------------
248,565,771
--------------
FOOD & BEVERAGES -- 4.4%
Anheuser-Busch Companies, Inc................... 177,300 12,577,219
Archer-Daniels-Midland Co....................... 215,173 3,321,733
Bestfoods....................................... 104,800 5,187,600
Brown-Forman Corp. (Class "B" Stock)............ 27,600 1,799,175
Campbell Soup Co................................ 164,100 7,610,137
Coca-Cola Enterprises, Inc...................... 154,000 4,581,500
Coca-Cola Co.................................... 904,600 56,537,500
ConAgra, Inc.................................... 179,100 4,768,538
Coors (Adolph) Co. (Class "B" Stock)............ 12,800 633,600
General Mills, Inc.............................. 56,900 4,573,337
Heinz (H.J.) & Co............................... 132,350 6,634,044
Hershey Foods Corp.............................. 54,100 3,212,187
Kellogg Co...................................... 148,900 4,913,700
Nabisco Group Holdings Corp..................... 119,900 2,345,544
PepsiCo, Inc.................................... 535,800 20,728,762
Pioneer Hi-Bred International, Inc.............. 90,000 3,504,375
Quaker Oats Co.................................. 51,100 3,391,762
Ralston-Ralston Purina Group.................... 123,620 3,762,684
Sara Lee Corp................................... 332,400 7,541,325
Seagram Co., Ltd................................ 150,100 7,561,287
Sysco Corp...................................... 121,500 3,622,219
Unilever NV..................................... 210,132 14,656,707
Wrigley (William) Jr. Co........................ 42,600 3,834,000
--------------
187,298,935
--------------
FOREST PRODUCTS -- 0.7%
Boise Cascade Corp.............................. 19,886 852,612
Champion International Corp..................... 35,000 1,675,625
Fort James Corp................................. 81,000 3,067,875
Georgia-Pacific Corp............................ 66,800 3,164,650
International Paper Co.......................... 151,112 7,631,156
Louisiana-Pacific Corp.......................... 38,900 923,875
Mead Corp....................................... 37,400 1,561,450
Potlatch Corp................................... 10,000 439,375
Temple-Inland, Inc.............................. 20,000 1,365,000
Westvaco Corp................................... 35,700 1,035,300
Weyerhaeuser Co................................. 73,900 5,080,625
Willamette Industries, Inc...................... 40,100 1,847,106
--------------
28,644,649
--------------
GAS PIPELINES -- 0.3%
Columbia Energy Group........................... 30,250 1,896,297
Consolidated Natural Gas Co..................... 37,000 2,247,750
Peoples Energy Corp............................. 11,400 429,637
Sempra Energy................................... 89,104 2,015,978
Sonat, Inc...................................... 39,900 1,321,687
Williams Companies, Inc......................... 157,600 6,707,850
--------------
14,619,199
--------------
HOSPITALS/ HOSPITAL MANAGEMENT -- 0.5%
Columbia/HCA Healthcare Corp.................... 234,298 5,344,923
Healthsouth Corp.(a)............................ 154,500 2,307,844
Humana, Inc.(a)................................. 58,100 751,669
IMS Health, Inc................................. 115,120 3,597,500
Manor Care, Inc................................. 40,850 988,059
McKesson HBOC Inc............................... 101,107 3,248,062
Service Corp. International..................... 101,500 1,953,875
Shared Medical Systems Corp..................... 9,000 587,250
Tenet Healthcare Corp.(a)....................... 111,100 2,062,294
Wellpoint Health Networks Inc................... 22,600 1,918,175
--------------
22,759,651
--------------
HOUSEHOLD PRODUCTS & PERSONAL CARE -- 0.4%
Clorox Co....................................... 42,800 4,571,575
Kimberly-Clark Corp............................. 197,488 11,256,816
--------------
15,828,391
--------------
HOUSING RELATED -- 0.6%
Armstrong World Industries, Inc................. 14,700 849,844
Fleetwood Enterprises, Inc...................... 12,600 333,112
Kaufman & Broad Home Corp....................... 16,166 402,129
Lowe's Companies, Inc........................... 135,900 7,703,831
Masco Corp...................................... 124,200 3,586,275
Maytag Corp..................................... 32,700 2,278,781
Newell Rubbermaid Inc........................... 102,149 4,749,929
Owens Corning................................... 19,100 656,563
Stanley Works................................... 32,300 1,039,656
Tupperware Corp................................. 22,300 568,650
Whirlpool Corp.................................. 27,300 2,020,200
--------------
24,188,970
--------------
INSURANCE -- 3.5%
Aetna, Inc...................................... 53,312 4,768,092
Aflac Inc....................................... 97,400 4,663,025
Allstate Corp................................... 298,688 10,715,432
American General Corp........................... 92,286 6,956,057
American International Group, Inc............... 453,535 53,091,941
Aon Corp........................................ 94,125 3,882,656
Chubb Corp...................................... 58,400 4,058,800
CIGNA Corp...................................... 76,400 6,799,600
Cincinnati Financial Corp....................... 62,500 2,347,656
Conseco, Inc.................................... 114,259 3,477,758
Hartford Financial Services Group, Inc.......... 86,000 5,014,875
Jefferson-Pilot Corp............................ 39,912 2,641,676
Lincoln National Corp........................... 75,600 3,954,825
Loews Corp...................................... 43,000 3,402,375
Marsh & McLennan Companies, Inc................. 95,200 7,187,600
MBIA, Inc....................................... 36,300 2,350,425
MGIC Investment Corp............................ 40,200 1,954,725
Progressive Corp................................ 27,000 3,915,000
Provident Companies, Inc........................ 47,200 1,888,000
SAFECO Corp..................................... 48,300 2,131,238
St. Paul Companies, Inc......................... 86,410 2,748,918
Torchmark Corp.................................. 51,000 1,740,375
United Healthcare Corp.......................... 67,500 4,227,188
UNUM Corp....................................... 52,200 2,857,950
--------------
146,776,187
--------------
LEISURE -- 1.0%
Brunswick Corp.................................. 33,400 931,025
Carnival Corp. (Class "A" Stock)................ 225,400 10,931,900
Disney (Walt) Co................................ 757,601 23,343,581
Harrah's Entertainment, Inc.(a)................. 46,350 1,019,700
Hilton Hotels Corp.............................. 95,800 1,359,163
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B44
<PAGE>
STOCK INDEX PORTFOLIO (CONTINUED)
JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
COMMON STOCKS VALUE
(CONTINUED) SHARES (NOTE 2)
------------- --------------
<S> <C> <C>
LEISURE (CONT'D.)
King World Productions, Inc..................... 25,600 $ 891,200
Marriott International, Inc. (Class "A"
Stock)........................................ 90,200 3,371,225
Mirage Resorts, Inc.(a)......................... 70,900 1,187,575
--------------
43,035,369
--------------
MACHINERY -- 0.7%
Briggs & Stratton Corp.......................... 7,800 450,450
Case Corp....................................... 25,400 1,222,375
Caterpillar, Inc................................ 130,900 7,854,000
Cooper Industries, Inc.......................... 42,600 2,215,200
Deere & Co...................................... 85,200 3,376,050
Delphi Automotive Systems Corp.(a).............. 201,044 3,731,879
Dover Corp...................................... 80,100 2,803,500
Eaton Corp...................................... 25,500 2,346,000
Ingersoll-Rand Co............................... 62,750 4,055,219
Milacron, Inc................................... 12,600 233,100
Snap-On, Inc.................................... 22,800 825,075
Timken Co....................................... 21,500 419,250
--------------
29,532,098
--------------
MANUFACTURING -- 0.8%
Illinois Tool Works, Inc........................ 91,300 7,486,600
Tyco International Ltd.......................... 300,372 28,460,247
--------------
35,946,847
--------------
MEDIA -- 2.8%
CBS Corp.(a).................................... 260,000 11,293,750
Clear Channel Communications, Inc.(a)........... 118,300 8,155,306
Comcast Corp. (Special Class "A" Stock)......... 269,400 10,355,063
Donnelley (R.R.) & Sons Co...................... 49,500 1,834,594
Dow Jones & Co., Inc............................ 36,000 1,910,250
Gannett Co., Inc................................ 103,500 7,387,313
Interpublic Group of Companies, Inc............. 51,300 4,443,863
Knight-Ridder, Inc.............................. 27,600 1,516,275
McGraw-Hill, Inc................................ 72,900 3,932,044
Mediaone Group, Inc............................. 223,500 16,622,813
Meredith Corp................................... 17,800 616,325
New York Times Co. (Class "A" Stock)............ 65,200 2,400,175
Time Warner, Inc................................ 445,680 32,757,480
Times Mirror Co. (Class "A" Stock).............. 30,600 1,813,050
Tribune Co...................................... 42,600 3,711,525
Viacom, Inc. (Class "B" Stock)(a)............... 255,034 11,221,496
--------------
119,971,322
--------------
METALS-FERROUS -- 0.1%
Allegheny Teledyne, Inc......................... 69,880 1,581,035
Bethlehem Steel Corp.(a)........................ 47,300 363,619
Nucor Corp...................................... 34,100 1,617,619
USX-U.S. Steel Group, Inc....................... 31,540 851,580
Worthington Industries, Inc..................... 34,000 558,875
--------------
4,972,728
--------------
METALS-NON FERROUS -- 0.3%
Alcan Aluminum Ltd.............................. 79,350 2,534,241
Alcoa, Inc...................................... 134,700 8,334,563
Cyprus Amax Minerals Co......................... 32,700 496,631
Inco Ltd........................................ 60,200 1,083,600
Reynolds Metals Co.............................. 25,600 1,510,400
--------------
13,959,435
--------------
MINERAL RESOURCES -- 0.1%
ASARCO, Inc..................................... 16,500 310,406
Burlington Resources, Inc....................... 67,817 2,933,085
Homestake Mining Co............................. 93,700 767,169
Phelps Dodge Corp............................... 20,300 1,257,331
--------------
5,267,991
--------------
MISCELLANEOUS - BASIC INDUSTRY -- 0.6%
AES Corp........................................ 71,400 4,150,125
Crane Co........................................ 25,625 805,586
Danaher Corp.................................... 48,000 2,790,000
Ecolab, Inc..................................... 46,000 2,006,750
ITT Industries, Inc............................. 41,900 1,597,438
Laidlaw, Inc.................................... 112,400 828,950
Millipore Corp.................................. 14,200 575,988
NACCO Industries, Inc. (Class "A" Stock)........ 3,300 242,550
Pall Corp....................................... 42,000 931,875
PPG Industries, Inc............................. 65,800 3,886,313
Textron, Inc.................................... 59,400 4,889,363
Thermo Electron Corp.(a)........................ 57,000 1,143,563
--------------
23,848,501
--------------
MISCELLANEOUS - CONSUMER GROWTH/STABLE -- 0.5%
American Greetings Corp. (Class "A" Stock)...... 24,800 747,100
Black & Decker Corp............................. 32,900 2,076,813
Corning, Inc.................................... 88,700 6,220,088
Jostens, Inc.................................... 12,400 261,175
Minnesota Mining & Manufacturing Co............. 149,000 12,953,688
Polaroid Corp................................... 15,400 425,425
--------------
22,684,289
--------------
MISCELLANEOUS - INDUSTRIAL
Tenneco, Inc.................................... 58,900 1,406,238
--------------
OIL & GAS -- 5.1%
Amerada Hess Corp............................... 32,500 1,933,750
Anadarko Petroleum Corp......................... 44,600 1,641,838
Ashland, Inc.................................... 26,600 1,067,325
Atlantic Richfield Co........................... 119,370 9,974,856
Chevron Corp.................................... 241,200 22,959,225
Coastal Corp.................................... 76,700 3,068,000
Eastern Enterprises............................. 9,500 377,625
Exxon Corp...................................... 894,100 68,957,463
Kerr-McGee Corp................................. 33,926 1,702,661
Mobil Corp...................................... 287,100 28,422,900
NICOR, Inc...................................... 16,200 616,613
Phillips Petroleum Co........................... 94,400 4,749,500
Royal Dutch Petroleum Co........................ 787,300 47,434,825
Sunoco, Inc..................................... 33,200 1,002,225
Texaco, Inc..................................... 198,582 12,411,375
Union Pacific Resources Group, Inc.............. 86,056 1,403,789
Unocal Corp..................................... 87,600 3,471,150
USX-Marathon Group.............................. 116,500 3,793,531
--------------
214,988,651
--------------
OIL & GAS EXPLORATION/PRODUCTION -- 0.1%
Occidental Petroleum Corp....................... 128,000 2,704,000
--------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B45
<PAGE>
STOCK INDEX PORTFOLIO (CONTINUED)
JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
COMMON STOCKS VALUE
(CONTINUED) SHARES (NOTE 2)
------------- --------------
<S> <C> <C>
OIL & GAS SERVICES -- 0.9%
Apache Corp..................................... 40,100 $ 1,563,900
Baker Hughes, Inc............................... 118,130 3,957,355
Enron Corp...................................... 129,400 10,578,450
Halliburton Co.................................. 164,100 7,425,525
Helmerich & Payne, Inc.......................... 18,100 431,006
McDermott International, Inc.................... 20,700 584,775
ONEOK, Inc...................................... 13,000 412,750
Rowan Companies, Inc.(a)........................ 28,700 529,156
Schlumberger Ltd................................ 200,600 12,775,713
--------------
38,258,630
--------------
PRECIOUS METALS -- 0.2%
Barrick Gold Corp............................... 141,300 2,737,688
Battle Mountain Gold Co......................... 89,000 216,938
Freeport-McMoRan Copper & Gold, Inc. (Class
"B").......................................... 66,200 1,187,463
Newmont Mining Corp............................. 61,503 1,222,372
Placer Dome, Inc................................ 115,000 1,358,438
--------------
6,722,899
--------------
RAILROADS -- 0.5%
Burlington Northern Santa Fe Corp............... 171,626 5,320,406
CSX Corp........................................ 80,612 3,652,731
Kansas City Southern Industries, Inc............ 38,300 2,444,019
Norfolk Southern Corp........................... 141,300 4,256,663
Union Pacific Corp.............................. 92,100 5,370,581
--------------
21,044,400
--------------
RESTAURANTS -- 0.6%
Darden Restaurants, Inc......................... 50,300 1,097,169
McDonald's Corp................................. 495,300 20,462,081
Tricon Global Restaurants, Inc.(a).............. 56,650 3,066,181
Wendy's International, Inc...................... 44,800 1,268,400
--------------
25,893,831
--------------
RETAIL -- 6.2%
Albertson's, Inc................................ 152,744 7,875,863
AutoZone, Inc.(a)............................... 51,900 1,563,488
Best Buy Co., Inc.(a)........................... 30,000 2,025,000
Circuit City Stores, Inc........................ 37,600 3,496,800
Consolidated Stores Corp........................ 40,200 1,085,400
Costco Companies, Inc.(a)....................... 80,666 6,458,322
CVS Corp........................................ 141,600 7,186,200
Dayton-Hudson Corp.............................. 163,184 10,606,960
Dillard's, Inc.................................. 37,750 1,325,969
Dollar General Corporation...................... 79,843 2,315,447
Federated Department Stores, Inc.(a)............ 76,500 4,049,719
Great Atlantic & Pacific Tea Co., Inc........... 12,400 419,275
Harcourt General, Inc........................... 27,006 1,392,497
Home Depot, Inc................................. 543,046 34,992,527
IKON Office Solutions, Inc...................... 52,476 787,140
J.C. Penney Co., Inc............................ 95,300 4,628,006
Kmart Corp.(a).................................. 175,400 2,883,138
Kohl's Corp.(a)................................. 58,200 4,492,313
Kroger Co.(a)................................... 300,000 8,381,250
Liz Claiborne, Inc.............................. 23,400 854,100
Longs Drug Stores, Inc.......................... 13,700 473,506
May Department Stores Co........................ 127,200 5,199,300
Nordstrom, Inc.................................. 52,300 1,752,050
Office Depot, Inc............................... 72,000 1,588,500
Pep Boys - Manny, Moe & Jack.................... 19,656 425,061
Rite Aid Corp................................... 94,600 2,329,525
Safeway, Inc.(a)................................ 182,600 9,038,700
Sears, Roebuck & Co............................. 140,200 6,247,663
Sherwin-Williams Co............................. 64,700 1,795,425
Staples, Inc.(a)................................ 171,200 5,296,500
Supervalu, Inc.................................. 40,800 1,048,050
Tandy Corp...................................... 74,860 3,658,783
The Gap, Inc.................................... 316,988 15,968,245
The Limited, Inc................................ 82,048 3,722,928
TJX Companies, Inc.............................. 116,400 3,877,575
Toys 'R' Us, Inc.(a)............................ 98,450 2,036,684
Wal-Mart Stores, Inc............................ 1,635,200 78,898,400
Walgreen Co..................................... 364,000 10,692,500
Winn-Dixie Stores, Inc.......................... 54,900 2,027,869
--------------
262,896,678
--------------
RUBBER -- 0.1%
Cooper Tire & Rubber Co......................... 28,800 680,400
Goodyear Tire & Rubber Co....................... 58,000 3,411,125
--------------
4,091,525
--------------
TELECOMMUNICATIONS -- 10.9%
Alltel Corp..................................... 102,100 7,300,150
Ameritech Corp.................................. 404,300 29,716,050
Andrew Corp.(a)................................. 29,112 551,309
AT&T Corp....................................... 1,168,021 65,190,172
Bell Atlantic Corp.............................. 571,490 37,361,159
BellSouth Corp.................................. 708,100 33,192,188
CenturyTel, Inc................................. 51,200 2,035,200
Frontier Corp................................... 64,100 3,781,900
General Instrument Corp......................... 62,300 2,647,750
GTE Corp........................................ 354,120 26,824,590
Lucent Technologies, Inc........................ 1,117,305 75,348,256
MCI Worldcom, Inc............................... 681,872 58,811,460
Nextel Communications, Inc. (Class "A"
Stock)(a)..................................... 109,100 5,475,456
Nortel Networks Corp............................ 245,120 21,279,480
SBC Communications, Inc......................... 718,786 41,689,588
Scientific-Atlanta, Inc......................... 27,200 979,200
Sprint Corp..................................... 327,700 17,306,656
Sprint Corp. (PCS Group)........................ 159,950 9,137,144
Tellabs, Inc.(a)................................ 144,500 9,762,781
US West, Inc.................................... 183,222 10,764,293
Vodafone Group, ADR, PLC........................ 29,600 5,831,200
--------------
464,985,982
--------------
TEXTILES -- 0.1%
National Service Industries, Inc................ 14,700 529,200
Russell Corp.................................... 12,700 247,650
Springs Industries, Inc......................... 8,700 379,538
VF Corp......................................... 42,836 1,831,239
--------------
2,987,627
--------------
TOBACCO
R.J. Reynolds Tobacco Holdings, Inc............. 1 21
UST, Inc........................................ 66,100 1,933,425
--------------
1,933,446
--------------
TOYS -- 0.1%
Hasbro, Inc..................................... 73,550 2,054,803
Mattel, Inc..................................... 147,381 3,896,385
--------------
5,951,188
--------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B46
<PAGE>
STOCK INDEX PORTFOLIO (CONTINUED)
JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
COMMON STOCKS VALUE
(CONTINUED) SHARES (NOTE 2)
------------- --------------
<S> <C> <C>
TRUCKING/SHIPPING -- 0.1%
Federal Express Corp.(a)........................ 106,640 $ 5,785,220
Ryder System, Inc............................... 25,800 670,800
--------------
6,456,020
--------------
UTILITY - ELECTRIC -- 1.9%
Ameren Corp..................................... 53,900 2,068,413
American Electric Power Co., Inc................ 72,500 2,723,281
Carolina Power & Light Co....................... 55,000 2,354,688
Central & South West Corp....................... 77,400 1,809,225
CINergy Corp.................................... 55,739 1,783,648
CMS Energy Corp................................. 41,100 1,721,063
Consolidated Edison, Inc........................ 87,200 3,945,800
Constellation Energy Group...................... 53,550 1,586,419
Dominion Resources, Inc......................... 71,950 3,116,334
DTE Energy Co................................... 53,600 2,144,000
Duke Energy Corp................................ 132,731 7,217,248
Edison International............................ 129,800 3,472,150
Entergy Corp.................................... 90,300 2,821,875
First Energy Corp.(a)........................... 87,200 2,703,200
FPL Group, Inc.................................. 68,100 3,719,963
Florida Progress Corp........................... 28,000 1,156,750
GPU, Inc........................................ 46,200 1,949,063
New Century Energies, Inc....................... 40,900 1,587,431
Niagara Mohawk Holdings Inc.(a)................. 64,600 1,037,638
Northern States Power Co........................ 53,900 1,303,706
Pacific Gas & Electric Co....................... 140,000 4,550,000
PacifiCorp...................................... 110,300 2,026,763
PECO Energy Co.................................. 80,500 3,370,938
PP&L Resources, Inc............................. 55,000 1,691,250
Public Service Enterprise Group, Inc............ 80,400 3,286,350
Reliant Energy, Inc............................. 103,410 2,856,701
Southern Co..................................... 259,400 6,874,100
Texas Utilities Co.............................. 103,506 4,269,623
Unicom Corp..................................... 79,100 3,050,294
--------------
82,197,914
--------------
WASTE MANAGEMENT -- 0.3%
Waste Management, Inc........................... 224,230 12,052,363
--------------
TOTAL LONG-TERM INVESTMENTS
(cost $2,119,905,344).......................................... 4,133,660,226
--------------
<CAPTION>
PRINCIPAL
SHORT-TERM AMOUNT VALUE
INVESTMENTS -- 2.6% (000) (NOTE 2)
------------- --------------
<S> <C> <C>
U.S. GOVERNMENT OBLIGATIONS -- 0.2%
United States Treasury Bills
4.545%, 09/16/99 (b).......................... $ 6,100 $ 6,040,891
4.61%, 09/16/99 (b)........................... 300 297,093
--------------
6,337,984
--------------
REPURCHASE AGREEMENT -- 2.4%
Joint Repurchase Agreement Account, (Note 5)
4.775%, 07/01/99.............................. 102,839 102,839,000
--------------
TOTAL SHORT-TERM INVESTMENTS
(cost $109,177,330)............................................ 109,176,984
--------------
TOTAL INVESTMENTS -- 99.8%
(cost $2,229,082,674; Note 6).................................. 4,242,837,210
--------------
VARIATION MARGIN ON OPEN FUTURES CONTRACTS (c)................... 2,047,036
OTHER ASSETS IN EXCESS OF LIABILITIES -- 0.2%.................... 7,204,318
--------------
TOTAL NET ASSETS -- 100.0%....................................... $4,252,088,564
==============
</TABLE>
The following abbreviations are used in portfolio descriptions:
PLC Public Limited Company (British Corporation)
(a) Non-income producing security
(b) Security segregated as collateral for futures contracts.
(c) Open futures contracts as of June 30, 1999 are as follows:
<TABLE>
<CAPTION>
VALUE AT
NUMBER OF EXPIRATION VALUE AT JUNE 30,
CONTRACTS TYPE DATE TRADE DATE 1999 APPRECIATION
<S> <C> <C> <C> <C> <C>
S&P 500
328 Index Sep 99 $109,115,287 $113,299,401 $4,184,114
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B47
<PAGE>
EQUITY INCOME PORTFOLIO
JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
LONG-TERM INVESTMENTS -- 99.6%
VALUE
COMMON STOCKS -- 94.3% SHARES (NOTE 2)
------------- --------------
<S> <C> <C>
AEROSPACE
United Industrial Corp.......................... 32,600 $ 360,637
--------------
AIRLINES -- 3.3%
AMR Corp. (a)................................... 956,200 65,260,650
US Airways Group, Inc........................... 233,000 10,150,062
--------------
75,410,712
--------------
AUTOS - CARS & TRUCKS -- 3.2%
Ford Motor Co................................... 510,600 28,816,987
General Motors Corp............................. 658,000 43,428,000
--------------
72,244,987
--------------
CHEMICALS -- 5.8%
Dow Chemical Co................................. 800,000 101,500,000
Lyondell Chemical Co............................ 518,100 10,685,812
Millennium Chemicals, Inc....................... 849,698 20,021,009
--------------
132,206,821
--------------
DIVERSIFIED CONSUMER PRODUCTS -- 2.6%
Eastman Kodak Co................................ 224,400 15,203,100
Gibson Greetings, Inc. (a)...................... 731,100 4,637,916
Phillip Morris Co., Inc......................... 944,100 37,941,019
--------------
57,782,035
--------------
DIVERSIFIED OPERATIONS -- 0.4%
Tomkins, PLC, ADR, (United Kingdom)............. 521,900(b) 9,524,675
--------------
ELECTRONICS -- 0.6%
Esterline Technologies Corp. (a)................ 567,900 8,163,562
Instron Corp.................................... 59,200 1,198,800
Newport Corp.................................... 316,100 4,899,550
--------------
14,261,912
--------------
FINANCIAL SERVICES -- 9.9%
A.G. Edwards, Inc............................... 326,000 10,513,500
Bear Stearns Companies, Inc..................... 1,003,938 46,934,101
Goldman Sachs Group, Inc........................ 83,600 6,040,100
Lehman Brothers Holdings, Inc................... 1,611,700 100,328,325
PaineWebber Group, Inc.......................... 1,307,400 61,120,950
--------------
224,936,976
--------------
FOOD & BEVERAGES -- 2.3%
Nabisco Group Holdings Corp..................... 2,603,280 50,926,665
--------------
FOREST PRODUCTS -- 5.9%
Georgia-Pacific Corp............................ 794,600 37,644,175
Longview Fibre Co............................... 1,358,900 21,232,812
Louisiana-Pacific Corp.......................... 1,324,700 31,461,625
Potlatch Corp................................... 211,400 9,288,387
Rayonier, Inc................................... 408,600 20,353,387
Weyerhaeuser Co................................. 202,000 13,887,500
--------------
133,867,886
--------------
GAS DISTRIBUTION -- 0.6%
Star Gas Partners, L.P.......................... 5,785 50,257
TransCanada Pipelines, Ltd...................... 980,444(b) 13,726,216
--------------
13,776,473
--------------
HOSPITALS/HOSPITAL MANAGEMENT -- 3.4%
Columbia/HCA Healthcare Corp.................... 1,082,700 24,699,094
Humana Inc. (a)................................. 1,048,900 13,570,144
Lifepoint Hospitals, Inc. (a)................... 56,984 765,722
PhyCor, Inc. (a)................................ 2,019,600 14,957,662
Tenet Healthcare Corp. (a)...................... 1,196,600 22,211,887
Triad Hospitals, Inc. (a)....................... 56,984 769,284
--------------
76,973,793
--------------
HOUSING RELATED -- 5.8%
Hanson, PLC, ADR, (United Kingdom).............. 2,056,950 91,277,156
Kaufman & Broad Home Corp....................... 708,300 17,618,962
Ryland Group, Inc............................... 725,000 21,523,437
--------------
130,419,555
--------------
INSURANCE -- 2.5%
Marsh & McLennan Companies, Inc................. 458,700 34,631,850
Ohio Casualty Corp.............................. 391,200(b) 14,132,100
Selective Insurance Group, Inc.................. 409,600 7,808,000
--------------
56,571,950
--------------
MACHINERY -- 3.5%
Cascade Corp.................................... 14,700 205,800
Commerical Intertech Corp....................... 179,900 2,867,156
Delphi Automotive Systems Corp.................. 459,895 8,536,801
Flowserve Corp.................................. 1,165,500 22,071,656
Graco Inc....................................... 200,000 5,875,000
Regal-Beloit Corp............................... 150,000 3,543,750
Snap-On, Inc.................................... 596,000 21,567,750
United Dominion Industries, Ltd................. 600,000 14,550,000
--------------
79,217,913
--------------
METALS-FERROUS -- 3.5%
AK Steel Holding Corp........................... 951,100 21,399,750
USX-U.S. Steel Group............................ 2,168,100 58,538,700
--------------
79,938,450
--------------
METALS-NON FERROUS -- 8.7%
ALCOA, Inc...................................... 2,136,100 132,171,188
Reynolds Metals Co.............................. 1,094,786 64,592,374
--------------
196,763,562
--------------
MISCELLANEOUS - INDUSTRIAL -- 0.3%
Tenneco, Inc.................................... 234,500 5,598,688
--------------
OIL & GAS -- 2.2%
Noble Affiliates, Inc........................... 735,800 20,740,363
Pioneer Natural Resources Co.................... 1,885,017 20,735,187
USX-Marathon Group.............................. 237,500 7,733,594
--------------
49,209,144
--------------
OIL & GAS EXPLORATION/PRODUCTION -- 3.4%
Crestar Energy, Inc., ADR, (Canada) (a)......... 206,000 2,447,054
Elf Aquitaine SA, ADR, (France)................. 700,400 51,523,175
Occidental Petroleum Corp....................... 1,030,000 21,758,750
--------------
75,728,979
--------------
OIL & GAS SERVICES -- 4.6%
McDermott International, Inc.................... 2,994,100 84,583,325
Pennzoil-Quaker State Co........................ 1,259,208 18,888,120
--------------
103,471,445
--------------
PRECIOUS METALS -- 1.0%
Ashanti Goldfields Co., Ltd..................... 722,131 5,009,784
Coeur d'Alene Mines Corp........................ 200,578(b) 927,673
Stillwater Mining Co. (a)....................... 501,000 16,376,438
--------------
22,313,895
--------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B48
<PAGE>
EQUITY INCOME PORTFOLIO (CONTINUED)
JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
COMMON STOCKS (CONTINUED) SHARES (NOTE 2)
------------- --------------
<S> <C> <C>
REAL ESTATE DEVELOPMENT -- 11.1%
Capital Automotive.............................. 595,800 $ 7,894,350
Centertrust Retail Properties, Inc.............. 432,600 5,083,050
Crescent Real Estate Equities Co................ 2,322,700 55,164,125
Crown American Realty Trust..................... 1,140,100 8,336,981
Equity Office Properties Trust.................. 560,678 14,367,374
REAL ESTATE DEVELOPMENT (CONT'D.)
Equity Residential Properties Trust............. 1,619,900 72,996,744
Gables Residential Trust........................ 430,100 10,376,163
Glimcher Realty Trust........................... 527,900 8,578,375
Manufactured Home Communities, Inc.............. 421,900 10,969,400
TriNet Corporate Realty Trust, Inc.............. 171,700 4,753,944
Vornado Realty Trust............................ 1,272,400 44,931,625
Walden Residential Properties, Inc.............. 365,600 7,860,400
--------------
251,312,531
--------------
RETAIL -- 4.9%
Dillard's, Inc.................................. 154,500 5,426,813
Heilig-Meyers, Co............................... 2,055,200 14,001,050
J.C. Penney Co., Inc............................ 614,100 29,822,231
The Limited, Inc................................ 1,338,116 60,717,014
--------------
109,967,108
--------------
TELECOMMUNICATIONS -- 1.2%
Telecomunicacoes Brasileiras S.A., ADR,
(Brazil)...................................... 354,700 22,169
Telefonos de Mexico SA (Class "L" Stock), ADR,
(Mexico)...................................... 347,900(b) 28,114,669
--------------
28,136,838
--------------
TEXTILES -- 0.8%
Garan, Inc...................................... 3,100 99,588
Kellwood Co..................................... 664,900 18,035,413
--------------
18,135,001
--------------
TOBACCO -- 1.2%
R.J. Reynolds Tobacco Holdings, Inc. (a)........ 867,760 27,334,440
--------------
TRUCKING/SHIPPING -- 0.4%
Yellow Corp. (a)................................ 566,500 10,055,375
--------------
UTILITY - ELECTRIC -- 0.4%
Cleco Corp...................................... 6,200 188,325
First Energy Corp. (a).......................... 25,165 780,115
Pacific Gas & Electric, Co...................... 247,200 8,034,000
--------------
9,002,440
--------------
WASTE MANAGEMENT -- 0.8%
Waste Management, Inc........................... 323,542 17,390,383
--------------
TOTAL COMMON STOCKS
(cost $1,699,366,541).......................................... 2,132,841,269
--------------
PREFERRED STOCKS -- 4.7%
METALS-FERROUS -- 0.8%
Bethlehem Steel Corp. (Cum. Conv.), $3.50....... 261,400 9,541,100
Rouge Steel, 7.25%.............................. 273,100 2,560,313
USX Capital Trust (Cum. Conv.), 6.75%........... 119,200 5,438,500
--------------
17,539,913
--------------
METALS-NON FERROUS -- 0.1%
Hecla Mining Co. (Cum. Conv.), 7.00%, Series
B............................................. 61,800 1,807,650
--------------
REAL ESTATE DEVELOPMENT -- 0.6%
Union Pacific Capital Trust, 6.25%.............. 246,400 12,689,600
--------------
RETAIL -- 1.8%
Kmart Corp. (Cum. Conv.), 7.75%................. 699,000 40,891,500
--------------
TELECOMMUNICATIONS -- 1.4%
Telecomunicacoes Brasileiras S.A., ADR, Series
B, (Brazil)................................... 354,700(b) 31,989,506
--------------
TOTAL PREFERRED STOCKS
(cost $114,070,677)............................................ 104,918,169
--------------
<CAPTION>
PRINCIPAL
MOODY'S AMOUNT VALUE
CONVERTIBLE BONDS -- 0.6% RATING (000) (NOTE 2)
------------ --------- --------------
<S> <C> <C> <C>
OIL & GAS SERVICES -- 0.2%
Baker Hughes, Inc.,
Zero Coupon, 05/05/08......................... A2 $ 6,000 $ 4,622,820
--------------
REAL ESTATE DEVELOPMENT -- 0.1%
Malan Realty Investors, Inc.,
9.50%, 07/15/04............................... B3 2,969 2,972,711
--------------
RETAIL -- 0.3%
Charming Shoppes, Inc.,
7.50%, 07/15/06............................... B2 8,079 7,813,928
--------------
TOTAL CONVERTIBLE BONDS
(cost $15,281,359)....................................................... 15,409,459
--------------
TOTAL LONG-TERM INVESTMENTS
(cost $1,828,718,577).................................................... 2,253,168,897
--------------
SHORT-TERM INVESTMENTS -- 3.9%
COMMERCIAL PAPER -- 3.4%
ConAgra, Inc.,
6.15%, 07/01/99............................... P1 22,000(c) 22,000,000
Conoco, Inc.,
5.30%, 07/06/99............................... P1 1,000(c) 999,264
Dayton Hudson Corp.,
5.18%, 07/12/99............................... P1 10,000(c) 9,984,172
MCI WorldCom, Inc.,
6.15%, 07/01/99............................... P1 22,000(c) 22,000,000
Raytheon Co.,
5.20%, 07/02/99............................... P1 5,500(c) 5,499,206
Rohm & Haas Co.,
5.45%, 07/29/99............................... P1 17,000(c) 16,927,939
--------------
77,410,581
--------------
TIME DEPOSIT -- 0.3%
Deutsche Bank AG,
5.125%, 07/01/99.............................. P1 6,381(c) 6,381,000
--------------
REPURCHASE AGREEMENT -- 0.2%
Joint Repurchase
Agreement Account,
4.775%, 07/01/99
(Note 5).................................... 5,513 5,513,000
--------------
TOTAL SHORT-TERM INVESTMENTS
(cost $89,304,581)....................................................... 89,304,581
--------------
TOTAL INVESTMENTS -- 103.5%
(cost $1,918,023,158; Note 6)............................................ 2,342,473,478
LIABILITIES IN EXCESS OF OTHER ASSETS -- (3.5%)............................
(79,302,758)
--------------
TOTAL NET ASSETS -- 100.0%................................................. $2,263,170,720
==============
</TABLE>
The following abbreviations are used in portfolio descriptions:
ADR American Depository Receipt
AG Aktiengesellschaft (German Stock Company)
SA Sociedad Anonima (Spanish Corporation) or Societe Anonyme (French
Corporation)
(a) Non-income producing security.
(b) Portion of securities on loan with an aggregate market value of
$80,625,236; cash collateral of $83,440,792 was received with which the
portfolio purchased securities.
(c) Represents security purchased with cash collateral received for securities
on loan.
SEE NOTES TO FINANCIAL STATEMENTS.
B49
<PAGE>
EQUITY PORTFOLIO
JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
LONG-TERM INVESTMENTS -- 94.7%
VALUE
COMMON STOCKS SHARES (NOTE 2)
------------- --------------
<S> <C> <C>
AEROSPACE
Raytheon Co..................................... 44,639 $ 3,074,511
--------------
APPAREL -- 0.4%
Jones Apparel Group, Inc........................ 716,973 24,601,136
--------------
AUTOS - CARS & TRUCKS -- 1.3%
Delphi Automotive Systems Corp. (a)............. 440,325 8,173,533
General Motors Corp............................. 630,000 41,580,000
Navistar International Corp..................... 395,200 19,760,000
PACCAR, Inc..................................... 279,400 14,912,975
--------------
84,426,508
--------------
BANKS AND SAVINGS & LOANS -- 6.1%
Bank of America Corp............................ 1,789,856 131,218,818
Bank of New York Co., Inc....................... 2,400,000 88,050,000
Chase Manhattan Corp............................ 816,200 70,703,325
Mellon Bank Corp................................ 540,200 19,649,775
Mercantile Bankshares Corp...................... 419,400 14,836,275
Morgan (J.P.) & Co., Inc........................ 327,900 46,069,950
National City Corp.............................. 61,560 4,032,180
Republic New York Corp.......................... 450,000 30,684,375
--------------
405,244,698
--------------
CHEMICALS -- 1.8%
BOC Group, PLC ADR
(United Kingdom).............................. 800,000 32,250,000
Eastman Chemical Co............................. 941,550 48,725,212
Potash Corp. of Saskatchewan Inc.,
(Canada)...................................... 380,000 19,665,000
Wellman, Inc.................................... 798,200 12,721,312
Witco Corp...................................... 268,800 5,376,000
--------------
118,737,524
--------------
COMPUTERS -- 4.2%
Compaq Computer Corp............................ 3,302,350 78,224,416
Gerber Scientific, Inc.......................... 419,800 9,261,837
Hewlett-Packard Co.............................. 1,100,000 110,550,000
NCR Corp........................................ 100,000 4,881,250
Seagate Technology, Inc. (a).................... 2,975,800 76,254,875
--------------
279,172,378
--------------
CONSTRUCTION & HOUSING -- 1.4%
American Standard Co., Inc...................... 1,050,000 50,400,000
Centex Corp..................................... 1,200,000 45,075,000
--------------
95,475,000
--------------
DIVERSIFIED CONSUMER PRODUCTS -- 4.3%
Eastman Kodak Co................................ 2,969,300 201,170,075
Gibson Greeting, Inc. (a)....................... 750,000 4,757,812
Philip Morris Co., Inc.......................... 2,025,000 81,379,687
--------------
287,307,574
--------------
ELECTRONICS -- 3.6%
Arrow Electronics, Inc. (a)..................... 2,145,500 40,764,500
Avnet, Inc...................................... 887,600 41,273,400
Harris Corp..................................... 2,884,000 113,016,750
Hitachi Ltd. ADR................................ 515,000 48,635,312
--------------
243,689,962
--------------
FINANCIAL SERVICES -- 3.4%
American Express Co............................. 350,000 45,543,750
Citigroup, Inc.................................. 1,400,401 66,519,047
Lehman Brothers Holdings, Inc................... 849,800 52,900,050
Morgan Stanley Dean Witter & Co................. 634,800 65,067,000
--------------
230,029,847
--------------
FOOD & BEVERAGES -- 1.9%
Nabisco Group Holdings Corp..................... 3,710,000 72,576,875
Sara Lee Corp................................... 2,497,500 56,662,031
--------------
129,238,906
--------------
FOREST PRODUCTS -- 11.2%
Fort James Corp................................. 664,000 25,149,000
Georgia-Pacific Corp............................ 3,406,300 161,373,463
Georgia-Pacific Timber Group.................... 1,158,000 29,239,500
International Paper Co.......................... 1,820,000 91,910,000
Mead Corp....................................... 2,306,000 96,275,500
Rayonier Inc.................................... 830,400 41,364,300
Temple-Inland, Inc.............................. 1,240,500 84,664,125
Weyerhaeuser Co................................. 1,522,500 104,671,875
Willamette Industries, Inc...................... 2,500,000 115,156,250
--------------
749,804,013
--------------
HOSPITALS/ HOSPITAL MANAGEMENT -- 9.5%
Columbia/HCA Healthcare Corp.................... 5,790,100 132,086,656
Foundation Health Systems, Inc. (a)............. 4,724,610 70,869,150
LifePoint Hospitals, Inc. (a)................... 304,742 4,094,971
PacifiCare Health Systems, Inc. (a)............. 1,143,900 82,289,306
Service Corp. International..................... 1,961,200 37,753,100
Tenet Healthcare Corp. (a)...................... 6,478,632 120,259,607
Triad Hospitals, Inc. (a)....................... 304,742 4,114,017
Wellpoint Health Networks Inc................... 2,187,200 185,638,600
--------------
637,105,407
--------------
INSURANCE -- 12.7%
American Financial Group, Inc................... 552,700 18,826,344
American General Corp........................... 879,704 66,307,689
Chubb Corp...................................... 2,206,400 153,344,800
Equitable Companies, Inc........................ 1,161,900 77,847,300
Loews Corp...................................... 1,775,000 140,446,875
Old Republic International Corp................. 3,198,327 55,371,036
SAFECO Corp..................................... 2,855,800 126,012,175
St. Paul Companies, Inc......................... 1,653,800 52,611,513
Tokio Marine & Fire Insurance Co. Ltd. ADR
(Japan)....................................... 656,400 36,840,450
United Healthcare Corp.......................... 1,914,900 119,920,613
--------------
847,528,795
--------------
LEISURE -- 1.2%
Hilton Hotels Corp.............................. 3,470,600 49,239,138
Park Place Entertainment Corp................... 3,470,600 33,621,438
--------------
82,860,576
--------------
METALS -- FERROUS -- 0.1%
Birmingham Steel Corp........................... 1,492,400 6,156,150
Carpenter Technology Corp....................... 100,000 2,856,250
--------------
9,012,400
--------------
METALS-NON FERROUS -- 2.1%
Alcoa, Inc...................................... 1,882,000 116,448,750
Cyprus Amax Minerals Co......................... 1,396,000 21,201,750
Nord Resources Corp. (a)........................ 130,500 73,406
--------------
137,723,906
--------------
OIL & GAS -- 6.3%
Amerada Hess Corp............................... 325,000 19,337,500
Atlantic Richfield Co........................... 1,100,000 91,918,750
Elf Aquitaine SA, ADR, (France)................. 2,424,433 178,347,353
Kerr-McGee Corp................................. 590,400 29,630,700
KeySpan Corp.................................... 1,356,432 35,775,894
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B50
<PAGE>
EQUITY PORTFOLIO (CONTINUED)
JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
COMMON STOCKS (CONTINUED) SHARES (NOTE 2)
------------- --------------
<S> <C> <C>
OIL & GAS (CONT'D.)
Occidental Petroleum Corp....................... 1,100,000 $ 23,237,500
Total SA, ADR, (France)......................... 738,365 47,578,395
--------------
425,826,092
--------------
PRECIOUS METALS -- 2.0%
Freeport-McMoRan Copper & Gold, Inc. (Class
"A").......................................... 3,853,300 64,542,775
Freeport-McMoRan Copper & Gold, Inc. (Class
"B").......................................... 319,600 5,732,825
Kinross Gold Corp. (a).......................... 105,126 177,400
Newmont Mining Corp............................. 3,057,000 60,757,875
--------------
131,210,875
--------------
RESTAURANTS -- 3.0%
CKE Restaurants, Inc............................ 1,824,100 29,641,625
Darden Restaurants, Inc......................... 7,922,700 172,813,894
--------------
202,455,519
--------------
RETAIL -- 10.7%
Dillards, Inc................................... 3,649,000 128,171,125
HomeBase, Inc. (a).............................. 1,300,000 8,206,250
IKON Office Solutions, Inc...................... 5,193,000 77,895,000
Kmart Corp. (a)................................. 6,500,000 106,843,750
Pep Boys - Manny, Moe & Jack.................... 2,025,000 43,790,625
Sears, Roebuck and Co........................... 690,000 30,748,125
Tandy Corp...................................... 5,569,800 272,223,975
Toys 'R' Us, Inc. (a)........................... 2,350,000 48,615,625
--------------
716,494,475
--------------
SEMICONDUCTORS -- 0.7%
National Semiconductor Corp. (a)................ 1,905,600 48,235,500
--------------
TELECOMMUNICATIONS -- 3.6%
Alltel Corp..................................... 1,129,588 80,765,542
AT&T Corp....................................... 1,734,400 96,801,200
Loral Corp...................................... 2,600,000 46,800,000
Portugal Telecom SA, ADR, (Portugal)............ 409,900 16,882,756
--------------
241,249,498
--------------
TEXTILES
Worldtex, Inc. (a).............................. 107,199 254,598
--------------
TOBACCO -- 0.6%
R.J. Reynolds Tobacco Holdings, Inc............. 1,236,667 38,955,000
--------------
TRANSPORTATION -- 0.2%
Marine Transport Corp. (a)...................... 100,000 356,250
OMI Corp. (a)................................... 1,000,000 2,062,500
Overseas Shipholding Group, Inc................. 600,000 7,725,000
--------------
10,143,750
--------------
UTILITY - ELECTRIC -- 1.5%
American Electric Power, Inc.................... 180,000 6,761,250
GPU, Inc........................................ 500,000 21,093,750
Reliant Energy, Inc............................. 974,519 26,921,087
Unicom Corp..................................... 1,112,900 42,916,206
--------------
97,692,293
--------------
UTILITY - WATER -- 0.1%
American Water Works Co., Inc................... 270,000 8,302,500
--------------
WASTE MANAGEMENT -- 0.8%
Waste Management, Inc........................... 1,059,192 56,931,570
--------------
TOTAL LONG-TERM INVESTMENTS
(cost $4,357,958,434).......................................... 6,342,784,811
--------------
<CAPTION>
PRINCIPAL
MOODY'S AMOUNT VALUE
SHORT-TERM INVESTMENTS -- 5.6% RATING (000) (NOTE 2)
------------ --------- --------------
<S> <C> <C> <C>
COMMERCIAL PAPER -- 4.6%
Cxc Inc.,
5.15%, 08/20/99............................... P1 $ 40,000 $ 39,713,889
Falcon Asset Securitization Corp.,
5.25%, 08/12/99............................... P1 25,322 25,166,903
Ford Motor Credit Co.,
5.02%, 08/20/99............................... P1 65,000 64,546,806
GE Capital Corp.,
5.06%, 08/02/99............................... P1 2,000 1,991,004
GE Capital Int'l Funding,
5.04%, 08/16/99............................... P1 65,000 64,581,400
GM Acceptance Corp.,
5.20%, 07/23/99............................... P1 8,217 8,190,888
Monte Rosa Capital Corp.,
5.07%, 07/19/99............................... P1 40,000 39,898,600
Preferred Receivables Funding Corp.
5.25%, 08/19/99............................... P1 22,000 21,842,792
Receivables Capital Corp.,
5.17%, 07/23/99............................... P1 33,134 33,029,315
Windmill Funding Corp,
4.90%, 07/23/99............................... P1 11,391 11,356,890
--------------
310,318,487
--------------
REPURCHASE AGREEMENT -- 1.0%
Joint Repurchase Agreement Account,
4.775%, 07/01/99 (Note 5)..................... 65,160 65,160,000
--------------
TOTAL SHORT-TERM INVESTMENTS
(cost $375,478,487)...................................................... 375,478,487
--------------
TOTAL INVESTMENTS -- 100.3%
(cost $4,733,436,921; Note 6)............................................ 6,718,263,298
--------------
LIABILITIES IN EXCESS OF OTHER ASSETS -- (0.3%)............................ (21,736,222)
--------------
NET ASSETS -- 100.0%....................................................... $6,696,527,076
==============
</TABLE>
The following abbreviations are used in portfolio descriptions:
ADR American Depository Receipt.
PLC Public Limited Company (British Corporation).
SA Societe Anonyme (French Corporation).
(a) Non-income producing security.
SEE NOTES TO FINANCIAL STATEMENTS.
B51
<PAGE>
PRUDENTIAL JENNISON PORTFOLIO
JUNE 30, 1999 (UNAUDITED)
LONG-TERM INVESTMENTS -- 95.8%
VALUE
COMMON STOCKS SHARES (NOTE 2)
------------- -------------
AEROSPACE -- 1.0%
AlliedSignal Inc................................ 304,500 $ 19,183,500
-------------
BANKS AND SAVINGS & LOANS -- 3.7%
Chase Manhattan Corp............................ 810,500 70,209,562
-------------
BUSINESS SERVICES -- 1.6%
Omnicom Group, Inc.............................. 391,200 31,296,000
--------------
COMPUTER SERVICES -- 10.0%
America Online, Inc. (a)........................ 149,400 16,508,700
Cisco Systems, Inc. (a)......................... 1,172,750 75,642,375
EMC Corp. (a)................................... 515,100 28,330,500
Microsoft Corp. (a)............................. 799,300 72,086,869
--------------
192,568,444
--------------
COMPUTERS -- 7.4%
Dell Computer Corp. (a)......................... 729,900 27,006,300
Equant N.V...................................... 128,200 12,066,825
Hewlett-Packard Co.............................. 340,900 34,260,450
International Business Machines Corp............ 457,000 59,067,250
Sun Microsystems, Inc. (a)...................... 125,200 8,623,150
--------------
141,023,975
--------------
COSMETICS & SOAPS -- 0.9%
Estee Lauder Companies (Class "A" Stock)........ 336,200 16,852,025
--------------
DIVERSIFIED OFFICE EQUIPMENT -- 1.6%
Xerox Corp...................................... 531,100 31,368,094
--------------
DIVERSIFIED OPERATIONS -- 3.0%
General Electric Co............................. 515,600 58,262,800
--------------
DRUGS AND MEDICAL SUPPLIES -- 10.7%
American Home Products Corp..................... 679,200 39,054,000
Bristol-Myers Squibb Co......................... 401,500 28,280,656
Glaxo Wellcome PLC - (United Kingdom) ADR....... 18,100 1,024,912
Lilly (Eli) & Co................................ 222,500 15,936,562
Merck & Co., Inc................................ 415,900 30,776,600
Pfizer, Inc..................................... 148,300 16,275,925
Schering-Plough Corp............................ 700,100 37,105,300
Warner-Lambert Co............................... 526,400 36,519,000
--------------
204,972,955
--------------
ELECTRONICS -- 10.8%
Altera Corp..................................... 499,600 18,391,525
Applied Materials, Inc. (a)..................... 576,000 42,552,000
Intel Corp...................................... 599,200 35,652,400
KLA-Tencor Corp. (a)............................ 333,900 21,661,762
Motorola, Inc................................... 124,800 11,824,800
Symbol Technologies, Inc........................ 335,850 12,384,469
Texas Instruments, Inc.......................... 449,600 65,192,000
--------------
207,658,956
--------------
FINANCIAL SERVICES -- 8.8%
Associates First Capital Corp................... 84,600 3,748,838
Citigroup, Inc.................................. 1,350,100 64,129,750
Goldman Sachs Group, Inc. (a)................... 165,900 11,986,275
MBNA Corp....................................... 928,137 28,424,196
Morgan Stanley Dean Witter & Co................. 387,120 39,679,800
Schwab (Charles) Corp........................... 187,950 20,651,006
--------------
168,619,865
--------------
INSURANCE -- 3.7%
Ace Ltd......................................... 486,800 13,752,100
American International Group, Inc............... 365,100 42,739,519
Mutual Risk Management, Ltd..................... 407,432 13,598,043
--------------
70,089,662
--------------
MEDIA -- 6.8%
AT&T Corp-Liberty Media Group (Class "A"
Stock)........................................ 522,600 $ 19,205,550
CBS Corp. (a)................................... 1,406,700 61,103,531
Clear Channel Communications, Inc. (a).......... 509,600 35,130,550
Univision Communications Inc. (a)............... 226,100 14,922,600
--------------
130,362,231
--------------
RESTAURANTS -- 1.7%
McDonald's Corp................................. 809,000 33,421,813
--------------
RETAIL -- 9.8%
CVS Corp........................................ 422,700 21,452,025
Home Depot, Inc................................. 769,900 49,610,431
Kohl's Corp. (a)................................ 460,400 35,537,125
Staples, Inc. (a)............................... 786,750 24,340,078
The Gap, Inc.................................... 736,350 37,093,631
Wal-Mart Stores, Inc............................ 418,400 20,187,800
--------------
188,221,090
--------------
SOFTWARE -- 1.8%
Intuit, Inc. (a)................................ 209,300 18,863,163
Rational Software Corp.......................... 501,100 16,504,981
--------------
35,368,144
--------------
TELECOMMUNICATIONS -- 12.5%
Allegiance Telecom, Inc......................... 249,200 13,674,850
Level 3 Communications, Inc.(a)................. 135,400 8,132,463
Lucent Technologies, Inc........................ 281,950 19,014,003
MCI WordCom, Inc. (a)........................... 940,000 81,075,000
Nextlink Communications - A..................... 89,000 6,619,375
Nokia Corp., (Finland), ADR..................... 318,300 29,144,344
Qwest Communications International Inc. (a)..... 751,000 24,829,938
Tellabs, Inc. (a)............................... 422,900 28,572,181
Vodafone AirTouch PLC - (United Kingdom) ADR.... 142,800 28,131,600
--------------
239,193,754
--------------
TOTAL LONG-TERM INVESTMENTS
(cost $1,334,074,166).......................................... 1,838,672,870
--------------
PRINCIPAL
AMOUNT
SHORT-TERM INVESTMENTS -- 4.8% (000)
-------------
REPURCHASE AGREEMENT
Joint Repurchase Agreement Account,
4.775%, 07/01/99 (cost $91,914,000; Note 5)... $ 91,914 91,914,000
--------------
TOTAL INVESTMENTS -- 100.6%
(cost $1,425,988,166; Note 6).................................. 1,930,586,870
--------------
LIABILITIES IN EXCESS OF OTHER ASSETS -- (0.6%)..................
(11,388,947
--------------
TOTAL NET ASSETS -- 100.0%....................................... $1,919,197,923
==============
The following abbreviations are used in portfolio descriptions:
ADR American Depository Receipt
N.V. Naamloze Vennootschap (Dutch Corporation)
PLC Public Limited Company (British Corporation)
(a) Non-income producing security.
SEE NOTES TO FINANCIAL STATEMENTS.
B52
<PAGE>
SMALL CAPITALIZATION STOCK PORTFOLIO
JUNE 30, 1999 (UNAUDITED)
LONG-TERM INVESTMENTS -- 95.3%
VALUE
COMMON STOCKS SHARES (NOTE 2)
------------- --------------
ADVERTISING -- 0.1%
HA-LO Industries, Inc........................... 49,000 $ 483,875
--------------
AEROSPACE -- 0.6%
BE Aerospace, Inc. (a).......................... 26,700 498,956
Kaman Corp. (Class "A" Stock)................... 25,900 406,306
Orbital Sciences Corp. (a)...................... 40,300 952,087
Trimble Navigation, Ltd. (a).................... 24,100 310,287
Watkins-Johnson Co.............................. 7,200 212,400
--------------
2,380,036
--------------
AGRICULTURAL PRODUCTS & SERVICES -- 0.3%
Delta & Pine Land Co............................ 42,000 1,323,000
--------------
AIRLINES -- 0.4%
Aviation Sales Co............................... 15,900 628,050
Mesa Air Group, Inc. (a)........................ 37,100 278,830
SkyWest, Inc.................................... 26,600 663,337
--------------
1,570,217
--------------
APPAREL -- 0.7%
AnnTaylor Stores Corp........................... 28,200(c) 1,269,000
Pacific Sunwear of California, Inc.............. 33,600 819,000
Phillips-Van Heusen Corp........................ 29,800 294,275
Quiksilver, Inc................................. 13,300 346,631
--------------
2,728,906
--------------
AUTOS - CARS & TRUCKS -- 1.1%
Action Performance Cos., Inc.................... 18,500 610,500
Breed Technologies, Inc......................... 40,275(c) 90,619
MascoTech, Inc.................................. 50,400 853,650
Myers Industries, Inc........................... 20,022 400,440
Simpson Industries, Inc......................... 19,900 203,975
Spartan Motors, Inc............................. 13,700 78,775
Standard Motor Products, Inc.................... 14,300 350,350
Standard Products Co............................ 17,600 451,000
TBC Corp. (a)................................... 23,100 163,144
Titan International, Inc........................ 22,800 270,750
Wabash National Corp............................ 25,100 486,312
Wynn's International, Inc....................... 20,525 378,430
--------------
4,337,945
--------------
BANKS AND SAVINGS & LOANS -- 5.8%
Anchor Bancorp Wiscousin, Inc................... 27,800 495,187
Banknorth Group, Inc............................ 25,300 834,900
Carolina First Corp............................. 24,500 597,187
Centura Banks, Inc.............................. 31,000 1,747,625
Commercial Federal Corp. (a).................... 66,525 1,542,548
Community First Bankshares, Inc................. 51,600 1,231,950
Cullen/Frost Bankers, Inc....................... 58,400 1,609,650
Downey Financial Corp........................... 30,744 674,446
First Bancorp/Puerto Rico....................... 32,600 735,537
First Merit Corp................................ 97,600 2,738,900
First Midwest Bancorp, Inc...................... 31,800 1,264,050
JSB Financial, Inc.............................. 10,500 534,187
Premier Bancshares, Inc......................... 27,200 498,100
Provident Bankshares Corp....................... 27,925 649,256
Queens County Bancorp, Inc...................... 23,250 752,719
Riggs National Corp. (a)........................ 33,500 688,844
Silicon Valley Bancshares....................... 22,600 559,350
St. Paul Bancorp, Inc........................... 45,500 1,160,250
Susquehanna Bancshares, Inc..................... 39,200 693,350
TrustCo Bank Corp............................... 29,310 787,706
United Bankshares, Inc.......................... 47,100 1,248,150
UST Corp........................................ 46,800 1,415,700
Whitney Holding Corp............................ 25,600 1,017,600
--------------
23,477,192
--------------
BROADCASTING SERVICES -- 0.7%
Harman International............................ 19,400 853,600
Metro Networks, Inc............................. 18,200 971,425
Westwood One, Inc............................... 31,300 1,117,019
--------------
2,942,044
--------------
BUSINESS SERVICES
Franklin Covey Co............................... 23,200 171,100
--------------
CHEMICALS -- 1.6%
Cambrex Corp.................................... 26,700 700,875
Chemed Corp..................................... 10,400 345,800
Chemfirst, Inc. (a)............................. 20,600 500,837
Hauser Chemical Research, Inc. (a).............. 2,300 12,650
Lilly Industries, Inc. (Class "A" Stock)........ 25,300 469,631
MacDermid, Inc.................................. 27,500 1,278,750
McWhorter Technologies, Inc. (a)................ 11,200 161,700
Mississippi Chemical Corp. (a).................. 28,572 280,363
OM Group, Inc................................... 25,900 893,550
Penford Corp.................................... 8,100 131,625
Quaker Chemical Corp............................ 9,600 156,000
Scotts Co. (Class "A" Stock) (a)................ 20,100 957,262
WD-40 Co........................................ 17,100 427,500
--------------
6,316,543
--------------
COMMERCIAL SERVICES -- 4.8%
AAR Corp........................................ 30,150 684,028
ABM Industries, Inc............................. 30,150 724,225
ADVO, Inc....................................... 24,200 502,150
Billing Information Concepts Corp............... 40,500 453,094
Bowne & Company, Inc............................ 40,200 522,600
CDI Corp. (a)................................... 21,100 718,719
Central Parking Corp............................ 32,350(c) 1,107,987
Consolidated Graphics, Inc...................... 15,700 785,000
DBT Online Inc.................................. 16,000 524,000
Dentrite International, Inc..................... 25,400 917,575
Hadco Corp...................................... 14,600 580,350
Insurance Auto Auction, Inc. (a)................ 12,400 199,950
Interim Services, Inc. (a)...................... 51,800 1,068,375
John H. Harland Co.............................. 33,900 675,881
Labor Ready Inc................................. 30,900 1,004,250
Lason Inc....................................... 16,700 828,737
LSB Industries, Inc............................. 7,600 11,400
Merrill Corp.................................... 17,600 255,200
NFO Worldwide, Inc.............................. 23,275 325,850
Norrell Corp.................................... 28,700 539,919
Primark Corp. (a)............................... 23,220 651,611
Profit Recovery Group International, Inc........ 29,500 1,395,719
Quintiles Transnational Corp.................... 5,376 225,792
Superior Services, Inc.......................... 35,600 950,075
Thomas Nelson, Inc.............................. 16,050 178,556
True North Communications, Inc.................. 49,300 1,479,000
Vantive Corp.................................... 28,700 328,256
Volt Information Sciences, Inc.................. 16,400 375,150
World Color Press, Inc.......................... 42,100 1,157,750
--------------
19,171,199
--------------
SEE NOTES TO FINANCIAL STATEMENTS.
B53
<PAGE>
SMALL CAPITALIZATION STOCK PORTFOLIO (CONTINUED)
JUNE 30, 1999 (UNAUDITED)
VALUE
COMMON STOCKS (CONTINUED) SHARES (NOTE 2)
------------- --------------
COMPUTER SERVICES -- 6.5%
Acxiom Corp. (a)................................ 85,500 $ 2,132,156
American Management Systems, Inc. (a)........... 45,950 1,473,272
Analysts International Corp..................... 24,600 353,625
Aspen Technology, Inc........................... 27,000 317,250
Auspex Systems, Inc. (a)........................ 28,300 307,762
Avid Technology................................. 26,800 432,150
BancTec, Inc. (a)............................... 21,400 383,862
BISYS Group, Inc. (a)........................... 29,400 1,719,900
Cerner Corp. (a)................................ 35,900 752,778
Ciber, Inc...................................... 63,900 1,222,087
Computer Task Group, Inc........................ 22,700 385,900
Epicor Software Corp............................ 43,500 323,531
Factset Research Systems, Inc................... 16,600 939,975
Fair Issac & Company, Inc....................... 15,600 546,975
FileNet Corp. (a)............................... 34,800 398,025
Harbinger Corp.................................. 45,100 563,750
Henry (Jack) & Associates, Inc.................. 21,850 857,612
Hutchinson Technology, Inc. (a)................. 26,900 746,475
Inacom Corp..................................... 48,916 617,564
Insight Enterprises Inc......................... 27,300 675,675
Inter-Tel, Inc.................................. 28,500 520,125
Komag, Inc. (a)................................. 58,400 193,450
Kroll O'gara Company............................ 22,500 496,406
Midway Games, Inc............................... 41,330 534,707
National Computer Systems, Inc.................. 34,200 1,154,250
National Data Corp.............................. 36,825 1,574,269
Progress Software Corp. (a)..................... 18,750 529,687
Read-Rite Corp. (a)............................. 53,800 333,728
Security Dynamics Tech, Inc..................... 44,700 949,875
Standard Microsystems Corp. (a)................. 16,900 127,806
System Software Associates, Inc................. 52,100 86,291
Technology Solutions Co......................... 45,000 486,562
Telxon Corp..................................... 17,600 139,700
Wall Data, Inc. (a)............................. 10,900 104,231
Whittman-Hart, Inc.............................. 56,000 1,778,000
Xircom, Inc. (a)................................ 26,200 787,637
Zebra Technologies Corp. (Class "A" Stock)
(a)........................................... 34,200 1,314,562
--------------
26,261,610
--------------
COMPUTERS -- 0.3%
Applied Magnetics Corp.......................... 46,100(c) 141,181
Exabyte Corp.................................... 24,600 95,325
Gerber Scientific, Inc.......................... 24,800 547,150
MICROS Systems, Inc............................. 17,700 601,800
--------------
1,385,456
--------------
CONSTRUCTION -- 2.1%
Coachmen Industries, Inc........................ 18,100 420,825
Dycom Industries, Inc........................... 24,300 1,360,800
Elcor Corp...................................... 10,400 454,350
Florida Rock Industries, Inc.................... 20,700 941,850
Halter Marine Group............................. 31,500 208,687
Insituform Technologies, Inc. (Class "A" Stock)
(a)........................................... 28,900 624,962
Lone Star Industries, Inc....................... 22,100 830,131
M.D.C. Holdings, Inc............................ 20,100 432,150
Morrison Knudsen Corp. (a)...................... 58,300 601,219
Oakwood Homes Corp.............................. 51,500 675,937
Republic Group, Inc............................. 12,870 231,660
Simpson Manufacturing Co, Inc................... 12,700 603,250
Southern Energy Homes, Inc. (a)................. 13,812 73,376
Standard Pacific Corp........................... 32,350 418,528
Stone & Webster, Inc............................ 14,300 380,737
--------------
8,258,462
--------------
CONSUMER SERVICES -- 0.2%
Pre-Paid Legal Services, Inc.................... 25,700 698,719
--------------
CONTAINERS -- 0.4%
Aptar Group, Inc................................ 39,400 1,182,000
Shorewood Packaging Corp. (a)................... 29,850 550,359
--------------
1,732,359
--------------
COSMETICS & SOAPS -- 0.1%
Nature's Sunshine Products, Inc................. 19,800 207,900
USA Detergent, Inc. (a)......................... 15,100 91,544
--------------
299,444
--------------
DIVERSIFIED CONSUMER PRODUCTS
Gibson Greetings, Inc. (a)...................... 17,300 109,747
--------------
DIVERSIFIED OFFICE EQUIPMENT -- 0.1%
Nashua Corp..................................... 6,900 68,137
New England Business Service, Inc............... 15,900 490,912
--------------
559,049
--------------
DRUGS AND MEDICAL SUPPLIES -- 6.7%
ADAC Laboratories............................... 22,300 161,675
Advanced Tissue Sciences, Inc. (a).............. 43,000(c) 139,750
Alliance Pharmaceutical Corp.................... 46,600 122,325
Alpharma, Inc. (Class "A" Stock)................ 29,400 1,045,537
Ballard Medical Products........................ 33,600 783,300
Barr Laboratories, Inc.......................... 24,900 992,887
Bindley Western Industries, Inc................. 32,267 744,150
Cephalon, Inc. (a).............................. 31,400 545,575
Coherent, Inc. (a).............................. 26,100 486,112
COR Therapeutics, Inc. (a)...................... 26,600 392,350
Cygnus, Inc. (a)................................ 24,100(c) 313,300
Diagnostic Products............................. 15,100 417,137
Dura Pharmaceuticals, Inc....................... 50,700 605,231
Enzo Biochem, Inc. (a).......................... 27,218 268,778
Hanger Orthopedic Group, Inc.................... 9,000 127,687
Idec Pharmaceuticals Corp....................... 21,900(c) 1,687,669
IDEXX Laboratories, Inc. (a).................... 42,300 986,119
Incyte Pharmacueticals, Inc..................... 30,400 803,700
Invacare Corp................................... 32,700 874,725
Jones Medical Industries, Inc................... 31,500 1,240,312
Liposome Company, Inc. (a)...................... 41,800 799,425
Maxxim Medical Inc.............................. 15,600 363,675
Mentor Corp..................................... 26,500 493,562
Molecular Biosystems, Inc. (a).................. 20,250 49,359
NBTY, Inc. (a).................................. 74,600 484,900
North American Vaccine, Inc. (a)................ 35,200(c) 171,600
Noven Pharmaceuticals, Inc. (a)................. 23,300 140,892
Organogenesis Inc............................... 32,300(c) 302,812
Owens & Minor, Inc.............................. 35,600 391,600
Patterson Dental Co. (a)........................ 36,500 1,268,375
Priority Healthcare Corp. B..................... 23,366 806,127
Protein Design Labs, Inc. (a)................... 20,300 450,406
Regeneron Pharmaceuticals, Inc. (a)............. 33,900 264,844
Respironics, Inc. (a)........................... 34,700 524,837
Roberts Pharmaceutical Corp. (a)................ 34,400 834,200
Safeskin Corp. (a).............................. 59,600 715,200
SpaceLabs Medical, Inc. (a)..................... 10,300 194,412
Summit Technology, Inc. (a)..................... 46,300(c) 1,018,600
Sunrise Medical, Inc. (a)....................... 24,200 172,425
SEE NOTES TO FINANCIAL STATEMENTS.
B54
<PAGE>
SMALL CAPITALIZATION STOCK PORTFOLIO (CONTINUED)
JUNE 30, 1999 (UNAUDITED)
VALUE
COMMON STOCKS (CONTINUED) SHARES (NOTE 2)
------------- --------------
DRUGS AND MEDICAL SUPPLIES (CONT'D.)
Syncor International Corp. (a).................. 12,000 $ 432,000
The Immune Response Corp. (a)................... 25,600(c) 137,600
US Bioscience, Inc. (a)......................... 29,550 288,112
Varian Medical Systems, Inc..................... 32,800 828,200
Vertex Pharmaceuticals, Inc. (a)................ 27,700 668,262
VISX, Inc. (a).................................. 20,700 1,639,181
Vital Signs, Inc................................ 13,600 271,150
Wesley Jessen Visioncare........................ 18,700 605,412
--------------
27,055,487
--------------
ELECTRICAL EQUIPMENT -- 1.6%
Anixter International, Inc. (a)................. 39,100 713,575
Baldor Electric Co.............................. 40,466 804,262
C-Cube Microsystems, Inc........................ 41,100 1,302,356
KEMET Corp. (a)................................. 42,900 984,019
Kent Electronics Corp. (a)...................... 30,600 606,262
Kulicke & Soffa Industries, Inc................. 25,600 686,400
Valence Technology, Inc. (a).................... 29,200 215,350
Vicor Corp. (a)................................. 45,800 970,387
--------------
6,282,611
--------------
ELECTRONICS -- 6.1%
Alpha Industries, Inc........................... 20,800 990,600
Analogic Corporation............................ 13,900 432,203
Belden, Inc..................................... 26,600 636,737
Bell Industries, Inc............................ 4,400 19,525
Benchmark Electronics, Inc. (a)................. 16,000 575,000
BMC Industries, Inc............................. 29,700 306,281
Burr-Brown Corp. (a)............................ 40,400 1,479,650
C&d Technologies, Inc........................... 13,600 416,500
C-COR Electronics, Inc. (a)..................... 10,000 278,750
Cable Design Technologies....................... 30,800 475,475
Checkpoint Systems, Inc. (a).................... 34,100 304,769
CTS Corp........................................ 14,900 1,043,000
Dallas Semiconductor Corp....................... 31,100 1,570,550
Dionex Corp. (a)................................ 24,500 992,250
Electro Scientific Industries, Inc.............. 13,600 568,225
Electroglas, Inc................................ 21,600 432,000
Esterline Technologies Corp. (a)................ 18,900 271,687
Etec Sysytems, Inc.............................. 23,200 771,400
General Semiconductor, Inc...................... 40,200 366,825
Helix Technology Corp........................... 24,400 584,075
Innovex, Inc.................................... 16,100 225,400
Intermagnetics General Corp. (a)................ 13,483 104,493
International Rectifier Corp. (a)............... 56,500 752,156
Itron, Inc. (a)................................. 16,000(c) 137,000
Lattice Semiconductor Corp. (a)................. 25,600 1,593,600
Marshall Industries (a)......................... 18,200 654,062
Methode Electronics, Inc. (Class "A" Stock)..... 38,900 889,837
Micrel, Inc..................................... 21,900 1,620,600
Oak Industries, Inc. (a)........................ 19,300(c) 843,169
Park Electrochemical Corp....................... 11,300 324,875
Photronics, Inc. (a)............................ 26,400 646,800
Picturetel Corp. (a)............................ 42,100 336,800
Pioneer Standard Electronics, Inc............... 28,800(c) 345,600
Plexus Corp. (a)................................ 16,600 500,075
S3, Inc. (a).................................... 56,000 509,250
Silicon Valley Group, Inc....................... 35,900 603,569
Technitrol, Inc................................. 17,700 570,825
Three-Five Systems, Inc. (a).................... 8,075 111,536
Ultratech Stepper, Inc. (a)..................... 23,000 346,437
Unitrode Corp................................... 34,700 995,456
X-Rite, Inc..................................... 23,100 148,706
--------------
24,775,748
--------------
ENGINEERING & CONSTRUCTION -- 0.1%
Urs Corp........................................ 6,800 199,325
--------------
ENVIRONMENTAL SERVICES -- 0.2%
Ionics, Inc. (a)................................ 17,600 642,400
TETRA Technologies, Inc. (a).................... 14,800 135,975
--------------
778,375
--------------
EXPLORATION & PRODUCTION -- 0.3%
Newfield Exploration Co. (a).................... 44,250 1,258,359
--------------
FINANCIAL SERVICES -- 4.5%
AmeriCredit Corp................................ 68,900 1,102,400
AMRESCO, Inc. (a)............................... 53,300 343,119
Commerce Bancorp, Inc........................... 29,833 1,275,361
Dain Rauscher Corp.............................. 13,600 736,100
Eaton Vance Corp................................ 39,300 1,353,394
Hambrecht & Quist Group......................... 26,500 983,812
Hudson United Bancorp........................... 43,383 1,328,604
Investment Technology Group..................... 5,400 174,825
Jefferies Group, Inc............................ 25,400 762,000
Legg Mason, Inc................................. 61,532 2,368,982
Maf Bancorp, Inc................................ 27,800 674,150
Pioneer Group, Inc.............................. 28,200 486,450
Radian Group, Inc............................... 36,900(c) 1,801,181
Raymond James Financial, Inc.................... 52,318 1,252,362
SEI Corp........................................ 19,600 1,729,700
U.S. Trust Corp................................. 20,400 1,887,000
--------------
18,259,440
--------------
FOOD & BEVERAGES -- 2.1%
Canandaigua Wine Co............................. 19,600 1,027,775
Chiquita Brands International, Inc.............. 71,575 644,175
Coca-Cola Bottling Co........................... 9,200 515,200
Corn Products International, Inc................ 39,200 1,193,150
Earthgrains Co.................................. 46,900 1,210,606
Fleming Companies, Inc.......................... 40,100 466,162
J & J Snack Foods Corp. (a)..................... 10,000 240,000
Nash-Finch Co................................... 12,400 125,162
Ralcorp Holdings, Inc........................... 34,100 547,731
Richfood Holdings, Inc.......................... 52,200 920,025
Smithfield Foods, Inc. (a)...................... 45,700 1,528,094
--------------
8,418,080
--------------
FOODS -- 0.1%
Micheal Foods Inc............................... 23,200 545,200
--------------
FOREST PRODUCTS -- 0.3%
Caraustar Industries, Inc....................... 27,400 676,437
Pope & Talbot, Inc.............................. 14,725 177,620
Universal Forest Products, Inc.................. 22,600 485,900
--------------
1,339,957
--------------
FURNITURE -- 1.0%
Ethan Allen Interiors, Inc. (a)................. 44,750 1,689,312
Interface, Inc. (Class "A" Stock)............... 57,300 494,212
La-Z-Boy Chair Co............................... 57,300 1,317,900
Thomas Industries, Inc.......................... 17,350 355,675
--------------
3,857,099
--------------
SEE NOTES TO FINANCIAL STATEMENTS.
B55
<PAGE>
SMALL CAPITALIZATION STOCK PORTFOLIO (CONTINUED)
JUNE 30, 1999 (UNAUDITED)
VALUE
COMMON STOCKS (CONTINUED) SHARES (NOTE 2)
------------- --------------
HEALTHCARE -- 2.0%
Bio-Technology General Corp..................... 56,800 $ 369,200
Biomatrix, Inc.................................. 24,900(c) 538,462
Coventry Corp................................... 64,300 703,281
Datascope Corp.................................. 16,600 533,275
MedQuist, Inc................................... 35,500 1,553,125
NCS Healthcare, Inc. (Class "A" Stock).......... 22,100 120,169
Pharmaceutical Product Development, Inc......... 25,600 700,800
Renal Care Group, Inc........................... 47,850 1,238,119
Sierra Health Services, Inc. (a)................ 29,625 427,711
Smith (A.O.) Corp............................... 25,500 714,000
Sola International, Inc. (a).................... 27,200 528,700
The Cooper Companies, Inc....................... 15,800 394,012
US Oncology Inc................................. 35,800 429,600
--------------
8,250,454
--------------
HOSPITALS/HOSPITAL MANAGEMENT -- 1.7%
Curative Health Services, Inc................... 13,900 76,450
Express Scripts, Inc. (Class "A" Stock) (a)..... 36,800 2,214,900
Genesis Health Ventures, Inc. (a)............... 38,500 115,500
Integrated Health Services, Inc................. 57,760 462,080
Magellan Health Services, Inc. (a).............. 34,700 347,000
Mariner Post-Acute Network, Inc................. 80,105 45,059
Orthodontic Centers of America, Inc............. 52,200 737,325
Pediatrix Medical Group, Inc.................... 16,700(c) 354,875
PhyCor, Inc. (a)................................ 83,275 616,755
Universal Health Services, Inc. (Class "B"
Stock) (a).................................... 35,875 1,713,031
--------------
6,682,975
--------------
HOUSING RELATED -- 1.1%
Champion Enterprises, Inc. (a).................. 52,600 979,675
D.R. Horton, Inc................................ 70,125 1,165,828
Fedders Corp.................................... 40,200 268,837
National Presto Industries, Inc................. 8,100 309,825
Ryland Group, Inc............................... 16,125 478,711
Skyline Corp.................................... 9,900 290,194
TJ International, Inc........................... 17,200 533,200
U.S. Home Corp. (a)............................. 14,800 525,400
--------------
4,551,670
--------------
INSURANCE -- 3.9%
American Bankers Insurance Group, Inc........... 47,200 2,569,450
Arthur J. Gallagher & Co........................ 18,900 935,550
Capital Re Corp................................. 34,800 558,975
Delphi Financial Group, Inc..................... 22,727 815,331
Enhance Financial Services Group, Inc........... 40,900 807,775
Executive Risk, Inc............................. 12,200 1,037,762
Fidelity National Financial, Inc................ 31,461 660,681
First American Financial Corp................... 65,600 1,172,600
Fremont General Corp............................ 76,440 1,442,805
Frontier Insurance Group, Inc................... 40,452 621,949
Hilb, Rogal and Hamilton Co..................... 14,400 322,200
Mutual Risk Management, Ltd..................... 43,700(c) 1,458,487
Orion Capital Corp.............................. 29,700 1,065,488
Selective Insurance Group, Inc.................. 30,900 589,031
Trenwick Group, Inc............................. 10,050 247,795
Xl Capital Ltd Class A.......................... 18,392 1,039,120
Zenith National Insurance Corp.................. 18,600 458,025
--------------
15,803,024
--------------
LEISURE -- 1.6%
Anchor Gaming................................... 13,200 634,425
Aztar Corp. (a)................................. 49,400 453,863
Carmike Cinemas, Inc. (Class "A" Stock) (a)..... 12,400 197,625
Family Golf Centers, Inc........................ 28,200(c) 216,788
GC Companies, Inc. (a).......................... 8,500 303,875
Hollywood Park, Inc. (a)........................ 28,200 479,400
Huffy Corp...................................... 12,800 179,200
K2, Inc. (a).................................... 18,100 161,769
Marcus Corp..................................... 34,125 420,164
Players International, Inc. (a)................. 35,000 251,563
Polaris Industries, Inc......................... 28,100 1,222,350
Prime Hospitality Corp. (a)..................... 57,100 685,200
Sturm Ruger & Company, Inc...................... 29,400 314,213
Thor Industries, Inc............................ 13,300 377,388
Winnebago Industries, Inc....................... 24,200 544,500
--------------
6,442,323
--------------
MACHINERY -- 3.4%
Applied Industrial Technologies, Inc............ 23,700 450,300
Applied Power, Inc. (Class "A" Stock)........... 42,395 1,157,913
Astec Industries, Inc. (a)...................... 20,700 843,525
Cognex Corp. (a)................................ 43,800 1,382,438
Gardner Denver Machinery, Inc. (a).............. 17,600 283,800
Global Industrial Technologies, Inc. (a)........ 22,200 267,788
Graco, Inc...................................... 22,000 646,250
JLG Industries, Inc............................. 48,200 982,075
Lindsay Manufacturing Co. (a)................... 14,412 253,111
Manitowoc Company, Inc.......................... 28,412 1,182,650
Novellus Systems, Inc. (a)...................... 42,400 2,893,800
Paxar Corp...................................... 52,352 471,168
Regal Beloit Corp............................... 22,900 541,013
Robbins & Myers, Inc............................ 11,900 265,519
Roper Industries, Inc........................... 33,100 1,059,200
Royal Appliance Manufacturing Co. (a)........... 21,800 151,238
Speedfam-Ipec, Inc.............................. 31,500 505,969
Toro Co......................................... 14,000 551,250
--------------
13,889,007
--------------
MANUFACTURING -- 0.4%
Sli, Inc........................................ 5,100 137,700
Tower Automotive, Inc........................... 50,600 1,287,138
--------------
1,424,838
--------------
MEDIA -- 0.5%
Catalina Marketing Corp. (a).................... 20,200 1,858,400
--------------
METALS -- FERROUS -- 0.4%
Birmingham Steel Corp........................... 24,600 101,475
Commercial Metals Co............................ 16,000 456,000
Material Sciences Corp. (a)..................... 17,125 256,875
Quanex Corp..................................... 15,525 442,463
Steel Technologies, Inc......................... 12,300 116,081
WHX Corp. (a)................................... 19,400(c) 127,313
--------------
1,500,207
--------------
SEE NOTES TO FINANCIAL STATEMENTS.
B56
<PAGE>
SMALL CAPITALIZATION STOCK PORTFOLIO (CONTINUED)
JUNE 30, 1999 (UNAUDITED)
VALUE
COMMON STOCKS (CONTINUED) SHARES (NOTE 2)
------------- --------------
METALS -- NON FERROUS -- 0.5%
Amcast Industrial Corp.......................... 10,000 $ 163,125
AMCOL International Corp........................ 29,650 426,219
Brush Wellman, Inc.............................. 17,900 324,438
Castle (A.M.) & Co.............................. 15,300 260,100
Commonwealth Industries, Inc.................... 17,400 217,500
Hecla Mining Co. (a)............................ 60,200 124,163
IMCO Recycling, Inc. (a)........................ 18,200 311,675
RTI International Metals, Inc................... 22,600 331,938
--------------
2,159,158
--------------
MINERAL RESOURCES -- 0.3%
Kronos, Inc. (a)................................ 13,800 627,900
Seacor Holdings (a)............................. 13,900 743,650
--------------
1,371,550
--------------
MISCELLANEOUS - BASIC INDUSTRY -- 6.1%
Air Express International Corp.................. 37,000 938,875
Alliant Techsystems, Inc........................ 11,600 1,003,400
Apogee Enterprises, Inc......................... 30,200 405,813
Aquarion Co..................................... 12,275 426,556
Barnes Group, Inc............................... 21,800 474,150
Bassett Furniture Industries, Inc............... 14,000 320,250
Blout International, Inc........................ 40,500 1,101,094
Brightpoint, Inc................................ 57,300(c) 347,381
Butler Manufacturing Co......................... 8,200 229,088
Clarcor, Inc.................................... 27,300 523,819
CPI Corp........................................ 11,000 363,000
Cross (A.T.) Co. (Class "A" Stock).............. 18,100 100,681
Cyrk, Inc. (a).................................. 16,900 102,456
Department 56, Inc.............................. 19,600 526,750
Eagle Geophysical, Inc.......................... 1,651 1,238
Expeditors International of Washington, Inc..... 53,900 1,468,775
Flow International Corp. (a).................... 15,900 171,919
Gentex Corp. (a)................................ 78,700 2,203,600
Geon Co. (a).................................... 25,600 825,600
Griffon Corp. (a)............................... 33,300 260,156
Harmon Industries, Inc.......................... 11,500 227,844
Hologic, Inc.................................... 16,700 93,938
Insteel Industries, Inc......................... 9,200 82,800
Intermet Corp. (a).............................. 28,100 425,013
Justin Industries, Inc.......................... 28,700 400,006
K-Swiss, Inc. (Class "A" Stock)................. 11,800 548,700
Lawson Products, Inc............................ 11,800 297,213
Libbey, Inc..................................... 17,800 516,200
Lydall, Inc. (a)................................ 17,100 196,650
Mueller Industries, Inc. (a).................... 39,200 1,330,350
O'Sullivan Corp................................. 17,000 207,188
PAREXEL International Corp...................... 27,100 360,769
Reliance Steel & Aluminim Co.................... 20,200 787,800
Scott Technologie............................... 19,500 375,375
Service Experts, Inc............................ 19,000 416,813
SPS Technologies, Inc. (a)...................... 13,900 521,250
Standex International Corp...................... 14,200 388,725
Tera Tech Inc................................... 40,650 670,725
Texas Industries, Inc........................... 23,200 899,000
Timberland Co. (Class "A" Stock) (a)............ 12,600 857,588
Tredegar Industries, Inc........................ 40,050 871,088
Valmont Industries, Inc......................... 27,500 468,359
Watsco, Inc..................................... 30,600 501,075
Whittaker Corp. (a)............................. 12,400 347,200
Wolverine Tube, Inc. (a)........................ 15,400 386,925
Wolverine World Wide, Inc....................... 44,812 627,368
--------------
24,600,563
--------------
MISCELLANEOUS - CONSUMER GROWTH/STABLE -- 1.4%
DeVRY, Inc. (a)................................. 75,950 1,699,381
Hughes Supply, Inc.............................. 26,350 782,266
Philadelphia Suburban Corp...................... 44,431 1,024,690
Valassis Communications, Inc. (a)............... 62,600 2,292,725
--------------
5,799,062
--------------
OIL & GAS -- 1.2%
Benton Oil & Gas Co. (a)........................ 32,300 64,600
Cabot Oil & Gas Corp. (Class "A" Stock)......... 27,300 508,463
Cascade Natural Gas Corp........................ 12,022 228,418
Cross Timbers Oil Co............................ 49,975 743,378
Northwest Natural Gas Co........................ 27,100 653,788
Piedmont Natural Gas Company, Inc............... 33,600 1,045,800
Remington Oil & Gas Corp........................ 23,400 114,075
Southwest Gas Corp.............................. 33,200 950,350
Vintage Petroleum, Inc.......................... 58,100 624,575
--------------
4,933,447
--------------
OIL & GAS EXPLORATION/PRODUCTION -- 0.4%
Customtracks Corp............................... 16,300 911,781
Stone Energy Corp............................... 16,500 699,188
--------------
1,610,969
--------------
OIL & GAS SERVICES -- 3.1%
Atmos Energy Corp............................... 33,500 837,500
Barrett Resources Corp. (a)..................... 34,910 1,339,671
Connecticut Energy Corp......................... 11,300 435,756
Devon Energy Corp............................... 35,400 1,265,550
Energen Corp.................................... 32,300 601,588
HS Resources, Inc. (a).......................... 20,300 299,425
Input/Output, Inc. (a).......................... 55,100 416,694
KCS Energy, Inc................................. 4,100 2,563
New Jersey Resources Corp....................... 19,600 733,775
Oceaneering International, Inc. (a)............. 24,700 398,288
Offshore Logistics, Inc. (a).................... 23,400 260,325
Pennsylvania Enterprises, Inc................... 11,400 349,838
Plains Resources, Inc. (a)...................... 18,400 349,600
Pogo Producing Co............................... 43,900 817,638
Pool Energy Services Co. (a).................... 23,000 467,188
Pride Petroleum Services, Inc................... 55,100 581,994
Public Service Company of North Carolina,
Inc........................................... 22,475 657,394
Seitel, Inc. (a)................................ 25,594 414,303
Southwestern Energy Co.......................... 27,200 287,300
St. Mary Land & Exploration Co.................. 11,900 244,694
Tuboscope Vetco International, Inc. (a)......... 48,900(c) 669,319
WICOR, Inc...................................... 40,900 1,142,644
--------------
12,573,047
--------------
OIL - EXPLORATION & PRODUCTION
Santa Fe Snyder Corp............................ 21,320 162,565
--------------
SEE NOTES TO FINANCIAL STATEMENTS.
B57
<PAGE>
SMALL CAPITALIZATION STOCK PORTFOLIO (CONTINUED)
JUNE 30, 1999 (UNAUDITED)
VALUE
COMMON STOCKS (CONTINUED) SHARES (NOTE 2)
------------- --------------
PAPER AND RELATED PRODUCTS -- 0.4%
Buckeye Technologies, Inc....................... 38,800 $ 589,275
Schweitzer-Mauduit International, Inc........... 17,400 261,000
W.H. Brady Co................................... 24,700 802,750
--------------
1,653,025
--------------
PRECIOUS METALS -- 0.4%
Coeur D'Alene Mines Corp. (b)................... 23,900(c) 110,538
Placer Dome, Inc................................ 25,965 306,712
Stillwater Mining Co. (a)....................... 37,200 1,215,975
--------------
1,633,225
--------------
RAILROADS
RailTex, Inc. (a)............................... 10,000 138,750
--------------
REAL ESTATE DEVELOPMENT -- 0.2%
Toll Brothers, Inc. (a)......................... 40,400 866,075
--------------
RESTAURANTS -- 2.1%
Applebee's International, Inc................... 32,900 991,113
CEC Entertainment, Inc.......................... 19,750 834,438
Cheesecake Factory (a).......................... 21,750 663,375
CKE Restaurants, Inc............................ 56,712 921,570
Foodmaker, Inc. (a)............................. 41,700 1,183,238
IHOP Corp. (a).................................. 21,600 519,750
Landry's Seafood Restaurants, Inc............... 33,200 265,600
Luby's Cafeterias, Inc.......................... 24,900 373,500
Ruby Tuesday, Inc............................... 35,700 678,300
Ryan's Family Steak Houses, Inc. (a)............ 43,800 509,175
Sonic Corp. (a)................................. 20,725 676,153
Taco Cabana (Class "A" Stock) (a)............... 14,900 151,794
TCBY Enterprises, Inc........................... 25,000 151,563
Triarc Companies, Inc. (Class "A" Stock) (a).... 27,800 590,750
--------------
8,510,319
--------------
RETAIL -- 6.0%
Ames Dept Stores, Inc........................... 30,300 1,382,438
Arctic Cat, Inc................................. 29,700 265,444
Bombay Company, Inc. (a)........................ 40,800 313,650
Books-A-Million, Inc. (a)....................... 19,400(c) 146,106
Brown Shoe Company, Inc......................... 19,750 429,563
Building Materials Holding Corp................. 13,800 158,700
Casey's General Stores, Inc..................... 57,600 864,000
Cash America International, Inc................. 27,343 352,041
Cato Corp. (Class "A" Stock).................... 30,000 348,750
Consolidated Products, Inc...................... 28,993 521,874
Damark International, Inc. (a).................. 6,900 57,788
Discount Auto Parts, Inc. (a)................... 18,200 439,075
Dress Barn, Inc. (a)............................ 21,700 347,200
Footstar, Inc................................... 25,900 963,156
Goody's Family Clothing Inc..................... 36,400 416,325
Gottschalks, Inc. (a)........................... 13,700 125,013
Gymboree Corp................................... 26,400 277,200
J. Baker, Inc................................... 15,300 131,963
Jan Bell Marketing, Inc. (a).................... 30,900 108,150
Jo-Ann Stores, Inc.
(Class "A" Stock)............................. 20,800 312,000
Just For Feet, Inc.............................. 34,100(c) 219,519
Lechters, Inc. (a).............................. 17,100 42,750
Lillian Vernon Corp............................. 9,900 128,700
Linens 'n Things, Inc........................... 42,600 1,863,750
Michaels Stores, Inc. (a)....................... 31,200 955,500
MicroAge, Inc. (a).............................. 22,100 84,256
O'Reilly Automotive, Inc. (a)................... 26,600 1,339,975
Oshkosh B' Gosh, Inc. (Class "A" Stock)......... 19,900 420,388
Panera Bread Company- CL A...................... 13,100 83,513
Pier 1 Imports, Inc............................. 106,450 1,197,563
Regis Corp...................................... 41,500 796,281
Russ Berrie & Company, Inc...................... 24,300 601,425
Shopko Stores, Inc.............................. 28,600 1,036,750
Sports Authority, Inc........................... 34,750 154,203
Stein Mart, Inc. (a)............................ 49,600 465,000
Stride Rite Corp................................ 50,800 523,875
Swiss Army Brands, Inc. (a)..................... 8,600 76,325
The Men's Wearhouse, Inc........................ 43,050 1,097,775
Whole Foods Market, Inc. (a).................... 29,100(c) 1,398,619
Williams-Sonoma, Inc. (a)....................... 61,000 2,123,563
Zale Corp....................................... 39,500 1,580,000
--------------
24,150,166
--------------
SAFETY
Rural/Metro Corp................................ 15,800 152,075
--------------
SOFTWARE -- 1.5%
HNC Software, Inc............................... 28,300 871,994
Hyperion Solutions Corp......................... 33,170 590,841
Macromedia Inc. (a)............................. 45,000 1,586,250
Mercury Interactive Corp........................ 38,700 1,369,013
National Instruments Corp....................... 36,000 1,453,500
--------------
5,871,598
--------------
TELECOMMUNICATIONS -- 2.5%
Adaptive Broadband Corp......................... 16,100 352,188
Allen Telecom, Inc.............................. 30,000 322,500
Aspect Telecommunications Corp. (a)............. 55,900 545,025
Centigram Communications Corp. (a).............. 7,100 66,119
CommScope, Inc.................................. 54,000 1,660,500
Dialogic Corp................................... 17,800 780,975
Digi International, Inc. (a).................... 16,000 167,000
Digital Microwave Corp. (a)..................... 67,600 861,900
Dsp Communications, Inc......................... 41,900 1,209,863
General Communication, Inc...................... 54,300 369,070
InterVoice, Inc. (a)............................ 30,800 444,675
Network Equipment Technologies, Inc. (a)........ 23,500 232,063
P-COM, Inc...................................... 53,500(c) 280,039
Plantronics, Inc................................ 18,800 1,224,350
Powerwave Technologoies, Inc.................... 21,300 686,925
Symmetricom, Inc. (a)........................... 16,500 134,063
Talk.com........................................ 53,500 601,875
TCSI Corp. (a).................................. 24,500 62,781
--------------
10,001,911
--------------
TEXTILES -- 1.4%
Angelica Corp................................... 9,600 169,200
Ashworth, Inc. (a).............................. 15,400 71,225
Authentic Fitness Corp.......................... 25,100 439,250
Cone Mills Corp. (a)............................ 27,800 166,800
Delta Woodside Industries, Inc.................. 26,400 158,400
Dixie Group, Inc................................ 12,400 105,206
G & K Services, Inc. (Class "A" Stock).......... 22,400 1,173,200
Galey & Lord, Inc. (a).......................... 12,900 56,438
Guilford Mills, Inc............................. 25,137 260,796
Haggar Corp..................................... 8,300 108,938
SEE NOTES TO FINANCIAL STATEMENTS.
B58
<PAGE>
SMALL CAPITALIZATION STOCK PORTFOLIO (CONTINUED)
JUNE 30, 1999 (UNAUDITED)
VALUE
COMMON STOCKS (CONTINUED) SHARES (NOTE 2)
------------- --------------
TEXTILES (CONT'D.)
Hancock Fabrics................................. 21,600 $ 94,500
Hartmarx Corp. (a).............................. 38,100 159,544
Johnston Industries, Inc........................ 2,200 4,813
Kellwood Co..................................... 30,375 823,922
Nautica Enterprises, Inc. (a)................... 41,000 691,875
Oxford Industries, Inc.......................... 9,100 257,644
Pillowtex Corp. (a)............................. 15,409(c) 251,359
St. John Knits, Inc............................. 18,150 530,888
--------------
5,523,998
--------------
TOBACCO -- 0.1%
DIMON, Inc...................................... 48,675 252,502
--------------
TRUCKING/SHIPPING -- 1.8%
American Freightways, Inc....................... 34,600 676,863
Arkansas Best Corp.............................. 21,400 212,663
Fritz Companies, Inc. (a)....................... 39,600 425,700
Frozen Food Express Industries, Inc............. 18,200 138,775
Heartland Express, Inc. (a)..................... 32,749 536,265
Kirby Corp. (a)................................. 22,700 480,956
Landstar Systems, Inc. (a)...................... 11,400 411,469
M.S. Carriers, Inc. (a)......................... 13,400 397,394
Pittston Burlington Group....................... 21,175 201,163
Rollins Truck Leasing Corp...................... 63,800 709,775
USFreightways Corp.............................. 28,800 1,333,800
Werner Enterprises, Inc......................... 51,912 1,077,174
Yellow Corp. (a)................................ 28,100 498,775
--------------
7,100,772
--------------
UTILITY - ELECTRIC -- 2.0%
Bangor Hydro-Electric Co........................ 7,975 128,597
Central Hudson Gas & Electric................... 18,500 777,000
Central Vermont Public Service.................. 12,500 160,156
CILCORP, Inc.................................... 14,900 931,250
Commonwealth Energy System...................... 23,575 990,150
Eastern Utilities Associates.................... 22,400 652,400
Green Mountain Power Corp....................... 5,700 64,125
Orange & Rockland Utilities, Inc................ 14,800 864,875
Sierra Pacific Resources........................ 33,900 1,233,113
TNP Enterprises, Inc............................ 14,500 525,625
United Illuminating Co.......................... 15,725 667,330
United Water Resources, Inc..................... 41,000 930,188
--------------
7,924,809
--------------
UTILITY - WATER -- 0.1%
American States Water Co........................ 9,800 278,075
--------------
TOTAL LONG-TERM INVESTMENTS
(cost $366,860,078).......................................... 384,647,143
--------------
<TABLE>
<CAPTION>
PRINCIPAL
MOODY'S AMOUNT VALUE
SHORT-TERM INVESTMENTS -- 7.9% RATING (000) (NOTE 2)
------------ --------- --------------
<S> <C> <C> <C>
Comdisco Inc.,
5.25%, 07/08/99............................... BAA1 $ 1,648(d) $ 1,648,316
ConAgra, Inc.,
6.22%, 07/01/99............................... P3 3,528(d) 3,528,000
Deutsche Bank,
5.125%, 07/01/99.............................. P3 5,183(d) 5,183,000
PSE&G
6.20%, 07/01/99............................... P3 3,500(d) 3,500,000
United States Treasury Bills,
4.50%, 09/16/99(b)............................ 700 693,217
4.545%, 09/16/99(b)........................... 150 148,546
4.61%, 09/16/99(b)............................ 50 49,516
--------------
14,750,545
--------------
REPURCHASE AGREEMENT -- 4.2%
Joint Repurchase Agreement Account,
4.775%, 07/01/99 (Note 5)..................... 17,321 17,321,000
--------------
TOTAL SHORT-TERM INVESTMENTS
(cost $32,071,614)....................................................... 32,071,595
--------------
TOTAL INVESTMENTS -- 103.2%
(cost $398,931,692; Note 6).............................................. 416,718,738
--------------
VARIATION MARGIN ON OPEN FUTURES CONTRACTS(E)..............................
68,500
--------------
LIABILITIES IN EXCESS OF OTHER ASSETS -- 3.2%..............................
(13,057,226)
--------------
TOTAL NET ASSETS -- 100.0%................................................. $ 403,730,012
==============
</TABLE>
(a) Non-income producing security.
(b) Security segregated as collateral for futures contracts.
(c) Portion of securities on loan with an aggregate market value of
$13,409,505; cash collateral of $13,798,544 was received with which the
portfolio purchased securities.
(d) Represents security purchased with cash collateral received for securities
on loan.
(e) Open futures contracts as of June 30, 1999 are as follows:
<TABLE>
<CAPTION>
NUMBER OF EXPIRATION VALUE AT VALUE AT APPRECIATION/
CONTRACTS TYPE DATE TRADE DATE JUNE 30, 1999 DEPRECIATION
<S> <C> <C> <C> <C> <C>
Long Positions:
76 MidCap 400 Index Sep 99 $ 15,527,000 $ 15,935,300 $ 408,300
8 Russell 2000 Index Sep 99 $ 1,786,500 $ 1,848,000 $ 61,500
--------------
$ 469,800
==============
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B59
<PAGE>
GLOBAL PORTFOLIO
JUNE 30, 1999 (UNAUDITED)
LONG-TERM INVESTMENTS -- 92.9%
VALUE
COMMON STOCKS SHARES (NOTE 2)
------------- --------------
AUSTRALIA -- 5.8%
Brambles Industries, Ltd........................ 322,500 $ 8,481,055
Broken Hill Proprietary Co. Ltd................. 1,338,400 15,476,083
Commonwealth Bank of Australia.................. 810,000 12,871,738
Qantas Airways Ltd.............................. 5,845,500 19,273,443
--------------
56,102,319
--------------
FINLAND -- 2.5%
Nokia Corp. (a)................................. 276,124 24,187,556
--------------
FRANCE -- 7.5%
Aerospatiale Matra (a).......................... 59,600 1,372,754
Axa............................................. 78,000 9,509,294
Elf Aquitaine SA................................ 118,433 17,367,869
Lafarge SA...................................... 94,000 8,931,567
Legrand SA...................................... 60,361 12,279,268
Suez Lyonnaise des Eaux (a)..................... 67,968 12,250,765
Vivendi......................................... 125,700 10,175,374
--------------
71,886,891
--------------
FEDERAL REPUBLIC OF GERMANY -- 1.8%
Mannesmann AG................................... 115,159 17,193,933
--------------
HONG KONG -- 0.6%
New World Development Co. Ltd................... 2,050,000 6,143,104
--------------
IRELAND -- 1.4%
Bank of Ireland................................. 814,488 13,743,218
--------------
ITALY -- 3.2%
Telecom Italia SpA.............................. 1,445,298 15,013,669
Unicredito Italiano SpA......................... 3,511,992 15,418,141
--------------
30,431,810
--------------
JAPAN -- 8.8%
Fujitsu Limited................................. 810,000 16,288,971
Honda Motor Co., Ltd............................ 254,000 10,761,201
Nippon Telegraph & Telephone Corp. (a).......... 1,146 13,344,840
NTT Mobile Communication Network, Inc........... 1,130 15,155,634
Olympus Optical Co., Ltd........................ 951,000 14,050,783
Takefuji Corp. (a).............................. 141,800 14,650,188
--------------
84,251,617
--------------
NETHERLANDS -- 1.5%
ING Groep N.V................................... 261,634 14,155,408
--------------
SINGAPORE -- 0.5%
Development Bank of Singapore Limited........... 997,000 5,036,241
--------------
SPAIN -- 3.2%
Banco Santander SA.............................. 1,497,268 15,584,390
Telefonica SA................................... 303,915 14,667,132
--------------
30,251,522
--------------
SWEDEN -- 4.8%
Hennes & Mauritz AB............................. 821,292 20,315,241
Nordbanken Holding AB........................... 2,244,679 13,140,616
Skanska AB (Class "B" Shares)................... 346,473 13,079,843
--------------
46,535,700
--------------
UNITED KINGDOM -- 9.8%
Bank Of Scotland................................ 1,120,063 14,980,265
Canary Wharf Group PLC.......................... 1,274,200 8,035,841
GKN PLC......................................... 952,461 16,259,263
Hays PLC (a).................................... 1,680,494 17,721,002
Siebe PLC (a)................................... 2,457,437 11,620,607
Vodafone AirTouch PLC........................... 1,325,163 26,068,082
--------------
94,685,060
--------------
UNITED STATES -- 41.5%
Alcoa Inc....................................... 92,000 5,692,500
AT&T Corp....................................... 182,200 10,169,037
Citigroup Inc................................... 326,250 15,496,875
Computer Sciences Corp. (a)..................... 213,000 14,736,937
Du Pont (E.I.) de Nemours & Co.................. 73,000 4,986,813
Electronic Arts, Inc. (a)....................... 316,400 17,164,700
Fox Entertainment Group, Inc. (Class "A" Stock)
(a)........................................... 449,200 12,100,325
Global TeleSystems Group, Inc. (a).............. 88,800 7,192,800
Hasbro, Inc..................................... 502,050 14,026,022
MCI WorldCom, Inc. (a).......................... 213,900 18,408,769
Mead Corp....................................... 284,000 11,857,000
Mediaone Group Inc. (a)......................... 85,600 6,366,500
Microsoft Corp. (a)............................. 224,100 20,211,019
Office Depot, Inc. (a).......................... 562,850 12,417,878
Omnicom Group Inc............................... 111,600 8,928,000
Oracle Systems Corp. (a)........................ 456,500 16,947,562
PMC-Sierra, Inc. (a)............................ 474,900 27,989,419
Priceline.com Incorporated (a).................. 30,000 3,466,875
Safeway Inc. (a)................................ 247,500 12,251,250
SCI Systems, Inc. (a)........................... 198,700 9,438,250
Seagate Technology, Inc. (a).................... 315,900 8,094,938
Solectron Corp. (a)............................. 348,800 23,260,600
Texas Instruments, Inc.......................... 143,000 20,735,000
The Williams Companies, Inc..................... 178,400 7,593,150
Time Warner, Inc................................ 394,000 28,959,000
USA Networks, Inc. (a).......................... 374,100 15,010,762
USX Corp.-U.S. Steel Group...................... 112,600 3,040,200
Waste Management, Inc........................... 322,500 17,334,375
Wells Fargo & Co................................ 401,300 17,155,575
Wendys International, Inc....................... 292,600 8,284,238
--------------
399,316,369
--------------
TOTAL LONG-TERM INVESTMENTS
(cost $633,543,511)............................................ 893,920,74
-------------
SEE NOTES TO FINANCIAL STATEMENTS.
B60
<PAGE>
GLOBAL PORTFOLIO (CONTINUED)
JUNE 30, 1999 (UNAUDITED)
PRINCIPAL
SHORT-TERM AMOUNT VALUE
INVESTMENT -- 3.5% (000) (NOTE 2)
------------- --------------
REPURCHASE AGREEMENT
UNITED STATES
Joint Repurchase Agreement Account,
4.775%, 07/01/99
(cost $33,493,000; Note 5).................... $ 33,493 $ 33,493,000
--------------
TOTAL INVESTMENTS -- 96.4%
(cost $667,036,511; Note 6).................................... 927,413,748
--------------
FORWARD CURRENCY CONTRACTS -- AMOUNT RECEIVABLE FROM
COUNTERPARTIES (B)............................................. 260,902
OTHER ASSETS IN EXCESS OF LIABILITIES -- 3.6%....................
34,286,416
--------------
TOTAL NET ASSETS -- 100.0%....................................... $ 961,961,066
==============
The following abbreviations are used in portfolio descriptions:
AB Aktiebolag (Swedish Stock Company)
AG Aktiengesellschaft (German Stock Company)
N.V. Naamloze Vennootschap (Dutch Corporation)
PLC Public Limited Company (British Corporation)
SA Sociedad Anomia (Spanish Corporation) or Societe Anonyme (French
Corporation)
(a) Non-income producing security.
(b) Outstanding forward currency contract as of June 30, 1999 was as follows:
VALUE AT
FOREIGN CURRENCY SETTLEMENT CURRENT
CONTRACT DATE VALUE APPRECIATION
- ------------------------- --------- ---------- ------------
Purchased:
Japanese Yen,
expiring 9/17/99 $6,671,169 $6,410,267 $ 260,902
The industry classification of portfolio of holdings and other assets in excess
of liabilities shown as a percentage of net assets as of June 30, 1999 were as
follows:
Commercial Banks 15.8%
Telecommunications 15.0%
Computer Services 9.7%
Electronics 8.5%
Diversified Operations 7.0%
Media 6.5%
Retail 4.6%
Automobiles 2.8%
Oil & Gas Services 2.6%
Airlines 2.0%
Machinery 1.8%
Waste Management 1.8%
Photography Equipment & Supplies 1.5%
Real Estate-Development 1.5%
Toy Manufacturer 1.4%
Construction 1.4%
Electrical Equipment 1.3%
Food & Beverage 1.3%
Paper 1.2%
Insurance 1.0%
Advertising 0.9%
Building Materials 0.9%
Commercial Services 0.9%
Aluminum 0.6%
Chemicals 0.5%
Steel - Producers 0.3%
Aerospace/Defense 0.1%
Repurchase Agreement 3.5%
---------
96.4%
Other assets in excess of liabilities 3.6%
---------
100.0%
=========
SEE NOTES TO FINANCIAL STATEMENTS.
B61
<PAGE>
NATURAL RESOURCES PORTFOLIO
JUNE 30, 1999 (UNAUDITED)
LONG-TERM INVESTMENTS -- 98.9%
VALUE
COMMON STOCKS -- 98.5% SHARES (NOTE 2)
------------- --------------
ALUMINUM -- 1.0%
Comalco Ltd., ADR (Australia)................... 134,900 $ 2,915,432
--------------
CHEMICALS
Agrium, Inc..................................... 503 4,404
--------------
EXPLORATION & PRODUCTION -- 11.0%
Big Bear Exploration Ltd. (a)................... 539,000 47,563
Brigham Exploration Co. (a)..................... 98,100 196,200
Fx Energy, Inc. (a)............................. 117,800 773,062
Miller Exploration, Co. (a)..................... 107,500 238,516
Newfield Exploration Co. (a).................... 390,200 11,096,312
Nuevo Energy Co. (a)............................ 381,900 5,060,175
Pioneer Natural Resources Co.................... 407,460 4,482,060
Ranger Oil, Ltd................................. 670,146 3,252,473
Talisman Energy, Inc. (a)....................... 81,590 2,167,234
Tom Brown, Inc. (a)............................. 221,200 3,442,425
--------------
30,756,020
--------------
FOREST PRODUCTS -- 10.4%
Boise Cascade Corp.............................. 228,200 9,784,075
Champion International Corp..................... 137,000 6,558,875
Fletcher Challenge, Ltd., ADR (New Zealand)..... 333,400 1,917,050
Macmillan Bloedel, Ltd. (Canada)................ 384,400 6,875,468
Rayonier, Inc................................... 74,500 3,711,031
--------------
28,846,499
--------------
GOLD -- 13.9%
Agnico-Eagle Mines, Ltd......................... 356,700 2,207,081
Anglogold Ltd., ADR (Canada).................... 175,976 3,783,484
Ashanti Goldfields Co., Ltd..................... 184,283 1,278,463
Avgold, Ltd., ADR (South Africa) (a)............ 145,700 779,495
Barrick Gold Corp............................... 244,253 4,732,402
Battle Mountain Gold Corp....................... 122,900 299,569
Bema Gold Corp. (a)............................. 541,200 304,425
Cambior, Inc.................................... 516,800 1,676,081
Coeur d'Alene Mines Corp........................ 72,125 333,578
Durban Roodeport Deep, ADR (South Africa)....... 134,400 235,200
Francisco Gold Corp. (a)........................ 84,000 513,169
Gold Fields (South Africa)...................... 158,143 545,595
Golden Star Resources (a)....................... 261,500 212,469
Greenstone Resources, Ltd. (a).................. 366,100 58,399
Harmony Gold Mining, ADR (South Africa)......... 544,800 2,638,875
Iamgold International Mining (South Africa)
(a)........................................... 468,800 954,657
International Pursuit Corp. (a)................. 273,400 44,540
Meridian Gold, Inc. (a)......................... 557,500 2,592,231
Newmont Mining Corp............................. 593,707 11,799,927
Placer Dome, Inc................................ 221,400 2,615,287
Repadre Capital Corp. (a)....................... 176,100 262,979
TVX Gold, Inc. (a).............................. 440,700 440,700
Western Areas Gold Mining Co., Ltd., ADR (South
Africa) (a)................................... 159,900 503,685
--------------
38,812,291
--------------
METALS-NON FERROUS -- 6.6%
Anaconda Nickel Limited (a)..................... 795,900 1,316,305
Apex Silver Mines, Ltd. (a)..................... 176,700 2,186,662
Atna Resources, Ltd. (a)........................ 264,100 157,757
Cameco Corp..................................... 227,200 4,765,463
Freeport-McMoRan Copper & Gold, Inc. (Class "A"
Stock) (a).................................... 394,800 6,612,900
Inco Ltd........................................ 184,300 3,317,400
Rio Tinto Ltd., ADR (Australia) (a)............. 1 65
--------------
18,356,552
--------------
OIL & GAS PRODUCTION -- 17.9%
Alberta Energy Co. Ltd. (Canada)................ 362,400 11,676,673
Beau Canada Exploration Ltd. (Class "A" Stock)
(Canada) (a).................................. 781,700 1,193,881
Crester Energy, Inc., ADR (Canada) (a).......... 441,300 5,242,160
Cross Timbers Oil Co............................ 315,600 4,694,550
Dynegy, Inc..................................... 387,645 7,898,267
Noble Affiliates, Inc........................... 119,300 3,362,769
Rigel Energy Corp. (Canada) (a)................. 251,600 1,921,328
Rio Alto Exploration, Ltd. (Canada) (a)......... 259,500 3,936,889
Western Gas Resources, Inc...................... 622,300 9,956,800
--------------
49,883,317
--------------
OIL & GAS SERVICES -- 14.4%
B.J. Services Co. (a)........................... 287,700 8,469,169
Bouyges Offshore, SA, ADR (France).............. 167,800 2,632,362
Devon Energy Corp............................... 154,300 5,516,225
KN Energy, Inc.................................. 500,000 6,687,500
Marine Drilling Co., Inc. (a)................... 66,300 907,481
Poco Petroleums, Ltd. (a)....................... 327,500 2,645,432
Smith International, Inc. (a)................... 248,600 10,798,563
Stolt Comex Seaway, SA (a)...................... 33,300 362,138
Tesco Corp. (a)................................. 218,200 1,170,092
Transcoastal Marine Svcs. (a)................... 142,700 695,663
--------------
39,884,625
--------------
PLATINUM -- 23.3%
Anglo American Platinum, Ltd., ADR (South
Africa)....................................... 606,469 14,191,375
Impala Platinum Holdings, Ltd................... 819,600 20,633,430
Stillwater Mining Co. (a)....................... 921,750 30,129,703
--------------
64,954,508
--------------
TOTAL COMMON STOCKS
(cost $268,279,004).......................................... 274,413,648
--------------
PREFERRED STOCKS -- 0.4%
GOLD
Hecla Mining Co. (Cum. Conv.) 7.0% Series B..... 35,400 1,035,450
--------------
TOTAL INVESTMENTS -- 98.9%
(cost $269,969,916; Note 6).................................. 275,449,098
--------------
OTHER ASSETS IN EXCESS OF LIABILITIES -- 1.1%..................
3,092,090
--------------
TOTAL NET ASSETS -- 100.0%..................................... $ 278,541,188
==============
The following abbreviations are used in portfolio descriptions:
ADR American Depository Receipt
SA Sociedad Anonima (Spanish Corporation) or Societe Anonyme (French
Corporation)
(a) Non-income producing security.
SEE NOTES TO FINANCIAL STATEMENTS.
B62
<PAGE>
NOTES TO THE FINANCIAL STATEMENTS OF
THE PRUDENTIAL SERIES FUND, INC.
(UNAUDITED)
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 seventeen Portfolios ("Portfolio" or "Portfolios"),
each with a separate series of capital stock. The information presented in these
financial statements pertains to only fifteen Portfolios: Money Market
Portfolio, Diversified Bond Portfolio, Government Income Portfolio, Zero Coupon
Bond 2000 Portfolio, Zero Coupon Bond 2005 Portfolio, Conservative Balanced
Portfolio, Flexible Managed Portfolio, High Yield Bond Portfolio, Stock Index
Portfolio, Equity Income Portfolio, Equity Portfolio, Prudential Jennison
Portfolio, Small Capitalization Stock Portfolio, Global Portfolio and Natural
Resources Portfolio. The ability of the issuers of the securities held by the
Money Market Portfolio to meet their obligations may be affected by economic
developments in a specific industry or region.
NOTE 2: ACCOUNTING POLICIES
The following is a summary of significant accounting policies followed by the
Series Fund and the Portfolios in preparation of its financial statements.
SECURITIES VALUATION: Equity securities traded on an exchange or NASDAQ
(whether domestic or foreign) are valued at the last reported sales price on the
primary exchange on which they are traded, or if there is not a sale, at the
mean of the last reported bid and asked prices or at the bid price on such day
in the absence of an asked price. Equity securities that are not sold on an
exchange or NASDAQ are valued by an independent pricing agent or a principal
market maker. Debt securities, in general, are valued using an independent
pricing service. Options on stock or stock indices are valued at the average of
the last reported bid and asked prices on the exchange on which they are traded.
Futures contracts and options on futures contracts are valued at the last
reported sale price, or if there is not a sale, at the mean between the last
reported bid and asked prices on the commodity exchange or the board of trade on
which they are traded. Any security for which a reliable market quotation is
unavailable is valued at fair value by The Prudential Insurance Company of
America ("The Prudential") under the direction of the Series Fund's Board of
Directors.
The Money Market, Conservative Balanced and Flexible Managed Portfolios use
amortized cost to value short-term securities. Short-term securities that are
held in the other Portfolios which mature in more than 60 days are valued at
current market quotations and those short-term securities which mature in 60
days or less are valued at amortized cost.
REPURCHASE AGREEMENTS: In connection with transactions in repurchase agreements
with U.S. financial institutions, it is the Series Fund's policy that its
custodian or designated subcustodians, as the case may be under triparty
repurchase agreements, take possession of the underlying collateral securities,
the value of which exceeds the principal amount of the repurchase transaction
including accrued interest. If the seller defaults and the value of the
collateral declines or if bankruptcy proceedings are commenced with respect to
the seller of the security, realization of the collateral by the Series Fund may
by delayed or limited.
FOREIGN CURRENCY TRANSLATION: 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 investments securities, other assets and liabilities - at
the current rates of exchange.
(ii) purchases and sales of investment securities, income and expenses - at the
rate of exchange prevailing on the respective dates of such transactions.
Although the net assets of the Series Fund are presented at the foreign exchange
rates and market values at the close of the fiscal period, the Series Fund does
not isolate that portion of the results of operations arising as a result of
changes in the foreign exchange rates from the fluctuations arising from changes
in the market prices of securities held at the end of the fiscal period.
Similarly, the Series Fund does not isolate the effect of changes in foreign
exchange rates from the fluctuations arising from changes in the market prices
of long-term portfolio securities sold during the fiscal period. Accordingly,
these realized and unrealized foreign currency gains (losses) are included in
the reported net realized gains (losses) on investment transactions.
C1
<PAGE>
Net realized gains (losses) on foreign currency transactions represent net
foreign exchange gains or losses from holdings of foreign currencies, currency
gains or losses realized between the trade and settlement dates on security
transactions, and the difference between the amounts of dividends, interest and
foreign taxes recorded on the Series Fund's books and the U.S. dollar equivalent
amounts actually received or paid. Net unrealized currency gains or losses from
valuing foreign currency denominated assets and liabilities (other than
investments) at fiscal period end exchange rates are reflected as a component of
net unrealized appreciation (depreciation) on investments and foreign
currencies.
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 governmental supervision and regulation of foreign securities
markets.
FORWARD CURRENCY CONTRACTS: A forward currency contract is a commitment to
purchase or sell a foreign currency at a future date at a negotiated forward
rate. Certain portfolios of the Series Fund enter into forward currency
contracts in order to hedge their exposure to changes in foreign currency
exchange rates on their foreign portfolio holdings or on specific receivables
and payables denominated in a foreign currency. The contracts are valued daily
at current exchange rates and any unrealized gain or loss is included in net
unrealized appreciation or depreciation on investments and foreign currencies.
Gain or loss is realized on the settlement date of the contract equal to the
difference between the settlement value of the original and renegotiated forward
contracts. This gain or loss, if any, is included in net realized gain (loss) on
foreign currencies. Risks may arise upon entering into these contracts from the
potential inability of the counterparties to meet the terms of their contracts.
SHORT SALES: Certain portfolios of the Series Fund may sell a security it does
not own in anticipation of a decline in the market value of that security (short
sale). When the Portfolio makes a short sale, it must borrow the security sold
short and deliver it to the buyer. The proceeds of the short sale will be
retained by the broker-dealer through which it made the short sale as collateral
for its obligation to deliver the security upon conclusion of the sale. The
Portfolio may have to pay a fee to borrow the particular security and may be
obligated to remit any interest or dividends received on such borrowed
securities. A gain, limited to the price at which the Portfolio sold the
security short, or a loss, unlimited in magnitude, will be recognized upon the
termination of a short sale if the market price at termination is less than or
greater than, respectively, the proceeds originally received.
OPTIONS: The Series Fund may either purchase or write options in order to hedge
against adverse market movements or fluctuations in value with respect to
securities which the Series Fund currently owns or intends to purchase. The
Series Fund's principal reason for writing options is to realize, through
receipts of premiums, a greater current return than would be realized on the
underlying security alone. When the Series Fund purchases an option, it pays a
premium and an amount equal to that premium is recorded as an investment. When
the Series Fund writes an option, it receives a premium and an amount equal to
that premium is recorded as a liability. The investment or liability is adjusted
daily to reflect the current market value of the option. If an option expires
unexercised, the Series Fund realizes a gain or loss to the extent of the
premium received or paid. If an option is exercised, the premium received or
paid is an adjustment to the proceeds from the sales or the cost of the purchase
in determining whether the Series Fund has realized a gain or loss. The
difference between the premium and the amount received or paid on effecting a
closing purchase or sale transaction is also treated as a realized gain or loss.
Gain or loss on purchased options is included in net realized gain (loss) on
investment transactions. Gain or loss on written options is presented separately
as net realized gain (loss) on written option transactions.
The Series Fund, as writer of an option, may have no control over whether the
underlying securities may be sold (called) or purchased (put). As a result, the
Series Fund bears the market risk of an unfavorable change in the price of the
security underlying the written option. The Series Fund, as purchaser of an
option, bears the risk of the potential inability of the counterparties to meet
the terms of their contracts.
FINANCIAL FUTURES CONTRACTS: A financial futures contract is an agreement to
purchase (long) or sell (short) an agreed amount of securities at a set price
for delivery on a future date. Upon entering into a financial futures contract,
the Series Fund is required to pledge to the broker an amount of cash and/or
other assets equal to a certain percentage of the contract amount. This amount
is known as the "initial margin". Subsequent payments, known as "variation
margin", are made or received by the Series Fund each day, depending on the
daily fluctuations in the value of the underlying security. Such variation
margin is recorded for financial statement purposes on a daily basis as
unrealized gain or loss. When the contract expires or is closed, the
C2
<PAGE>
gain or loss is realized and is presented in the statement of operations as net
realized gain (loss) on financial futures contracts.
The Series Fund invests in financial futures contracts in order to hedge its
existing portfolio securities or securities the Series Fund intends to purchase,
against fluctuations in value. Under a variety of circumstances, the Series Fund
may not achieve the anticipated benefits of the financial futures contracts and
may realize a loss. The use of futures transactions involves the risk of
imperfect correlation in movements in the price of futures contracts and the
underlying assets.
SECURITIES LENDING: The Series Fund (excluding the Money Market Portfolio) may
lend its portfolio securities to broker-dealers, qualified banks and certain
institutional investors. The loans are secured by collateral in an amount equal
to at least the market value at all times of the loaned securities plus any
accrued interest and dividends. During the time the securities are on loan, the
Series Fund will continue to receive the interest and dividends or amounts
equivalent thereto, on the loaned securities while receiving a fee from the
borrower or earning interest on the investment of the cash collateral. Loans are
subject to termination at the option of the borrower or the Series Fund. Upon
termination of the loan, the borrower will return to the lender securities
identical to the loaned securities. The Series Fund may pay reasonable finders',
administrative and custodial fees in connection with a loan of its securities
and may share the interest earned on the collateral with the borrower. The
Series Fund bears the risk of delay in recovery of, or even loss of rights in,
the securities loaned should the borrower of the securities fail financially.
Prudential Securities Incorporated ("PSI") is the securities lending agent for
the Series Fund. PSI is an indirect, wholly owned subsidiary of the Prudential.
For the six months ended June 30, 1999, PSI has been compensated approximately
$543,000.
SECURITIES TRANSACTIONS AND INVESTMENT INCOME: Securities transactions are
recorded on the trade date. Realized gains and losses on sales of securities are
calculated on the identified cost basis. Dividend income is recorded on the
ex-dividend date; interest income, which is comprised of four elements: stated
coupon, original issue discount, market discount and market premium is recorded
on the accrual basis. Certain portfolios own shares of real estate investment
trusts ("REITs") which report information on the source of their distributions
annually. A portion of distributions received from REITs during the year is
estimated to be a return of capital and is recorded as a reduction of their
costs. Expenses are recorded on the accrual basis which may require the use of
certain estimates by management. The Series Fund expenses are allocated to the
respective Portfolios on the basis of relative net assets except for expenses
that are charged directly at a Portfolio level.
Net investment income, other than administration and distribution fees, and
unrealized and realized gains or losses are allocated daily to each class of
shares based upon the relative proportion of net assets of each class at the
beginning of the day.
CUSTODY FEE CREDITS: The Series Fund has an arrangement with its custodian
bank, whereby uninvested monies earn credits which reduce the fees charged by
the custodian. Such custody fee credits are presented as a reduction of gross
expenses in the accompanying Statement of Operations.
TAXES: For federal income tax purposes, each portfolio in the Series Fund is
treated as a separate taxpaying entity. It is the intent of each Portfolio of
the Series Fund to continue to meet the requirements of the Internal Revenue
Code applicable to regulated investment companies and to distribute all of its
net income to shareholders. Therefore, no federal income tax provision is
required.
Withholding taxes on foreign dividends, interest and capital gains have been
provided for in accordance with the Series Fund's understanding of the
applicable country's tax rules and regulations.
DIVIDENDS AND DISTRIBUTIONS: Dividends and distributions of each Portfolio are
declared in cash and automatically reinvested in additional shares of the same
Portfolio. The Money Market Portfolio will declare and reinvest dividends from
net investment income and net realized capital gain (loss) daily. The
Conservative Balanced, Stock Index, Equity Income, Equity, Prudential Jennison
and Natural Resources Portfolios will declare and distribute dividends from net
investment income, if any, quarterly and distributions from net capital gains,
if any, at least annually. The Diversified Bond, Government Income, Zero Coupon
Bond 2000, Zero Coupon Bond 2005, Flexible Managed, High Yield, Small
Capitalization Stock and Global Portfolios will declare and distribute dividends
from net investment income and distributions from net capital gains, if any, at
least annually. Dividends and distributions are recorded on the ex-dividend
date.
Income distributions and capital gain distributions are determined in accordance
with income tax regulations which may differ from generally accepted accounting
principles.
C3
<PAGE>
RECLASSIFICATION OF CAPITAL ACCOUNTS: The Series Fund accounts for and reports
distributions to shareholders in accordance with the American Institute of
Certified Public Accountants' Statement of Position 93-2: Determination,
Disclosure, and Financial Statement Presentation of Income, Capital Gains, and
Return of Capital Distributions by Investment Companies. As a result of this
statement, the Series Fund changed the classification of distributions to
shareholders to disclose the amounts of undistributed net investment income and
accumulated net realized gain (loss) on investments available for distributions
determined in accordance with income tax regulations. For the six months ended
June 30, 1999, the application of this statement increased (decreased)
undistributed net investment income ("UNI") and accumulated net realized gains
(losses) on investments ("G/L") by the following amounts:
UNI G/L
------------ -----------
Global Portfolio....................... $ (3,790,338) $ 3,790,338
Natural Resources Portfolio............ 52,384 (52,384)
Net investment income, net realized gains and net assets were not affected by
these reclassifications.
NOTE 3: AGREEMENTS
The Series Fund has an investment advisory agreement with The Prudential.
Pursuant to this agreement The Prudential has responsibility for all investment
advisory services and supervises the subadvisers' performance of such services.
The Prudential has entered into a service agreement with The Prudential
Investment Corporation ("PIC"), which provides that PIC will furnish to The
Prudential such services as The Prudential may require in connection with the
performance of its obligations under the investment advisory agreement with the
Series Fund. In addition, The Prudential has entered into a subadvisory
agreement with Jennison Associates LLC ("Jennison"), under which Jennison
furnishes investment advisory services in connection with the management of the
Prudential Jennison Portfolio. The Prudential pays for the cost of PIC's and
Jennison's services, compensation of officers of the Series Fund, occupancy and
certain clerical and administrative expenses of the Series Fund. The Series Fund
bears all other costs and expenses.
The investment advisory fee paid to The Prudential is computed daily and payable
quarterly, at the annual rates specified below, of the value of each of the
Portfolio's average daily net assets.
Fund Investment Advisory Fee
- --------------------------------------- ------------------------
Money Market Porfolio.................. 0.40%
Diversified Bond Portfolio............. 0.40
Government Income Portfolio............ 0.40
Zero Coupon Bond 2000 Portfolio........ 0.40
Zero Coupon Bond 2005 Portfolio........ 0.40
Conservative Balanced Portfolio........ 0.55
Flexible Managed Portfolio............. 0.60
High Yield Bond Portfolio.............. 0.55
Stock Index Portfolio.................. 0.35
Equity Income Portfolio................ 0.40
Equity Portfolio....................... 0.45
Prudential Jennison Portfolio.......... 0.60
Small Capitalization Stock Portfolio... 0.40
Global Portfolio....................... 0.75
Natural Resources Portfolio............ 0.45
The Prudential compensates Jennison for its services as follows: 0.75% on the
first $10 million of the Prudential Jennison Portfolio's average daily net
assets, 0.50% on the next $30 million, 0.35% on the next $25 million, 0.25% on
the next $335 million, 0.22% on the next $600 million and 0.20% thereafter.
The Series Fund has a distribution agreement with Prudential Investment
Management Services LLC ("PIMS") which acts as the distributor of the Class I
and Class II shares of the Series Fund. The Series Fund compensates PIMS for
distributing and servicing the Series Fund's Class II shares pursuant to a plan
of distribution (the "Class II Plan"), regardless of expenses actually incurred
by PIMS. The distribution fees are
C4
<PAGE>
accrued daily and payable quarterly. No distribution or service fees are paid to
PIMS as distributor for Class I shares of the Series Fund. Pursuant to the Class
II Plan, the Series Fund compensates PIMS for distribution-related activities at
an annual rate of .25% of the average daily net assets of the Class II shares.
The Series Fund has an administration agreement with Prudential Investments Fund
Management LLC ("PIFM") which acts as the administrator of the Class II shares
of the Series Fund. The administration fee paid to PIFM is accrued daily and
payable quarterly, at the annual rate of .15% of the average daily net assets of
the Class II shares.
The Prudential has agreed to refund to a Portfolio (other than the Global
Portfolio), the portion of the investment advisory 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. No refund was required for the six months ended June
30, 1999.
PIC, PIMS, PIFM and Jennison are indirect, wholly-owned subsidiaries of The
Prudential.
As of March 11, 1999, the Series Fund, along with other affiliated registered
investment companies (the "Funds"), has a syndicated credit agreement ("SCA")
with an unaffiliated lender. The maximum commitment under the SCA is $1 billion.
The Funds pays a commitment fee at an annual rate of .065 of 1% on the unused
portion of the credit facility, which is accrued and paid on a pro rata basis by
the Funds. Interest on any such borrowings outstanding will be at market rates.
The SCA expires on March 9, 2000. Prior to March 11, 1999, the Series Fund had a
credit agreement with a maximum commitment of $250,000,000. The commitment fee
was .055 of 1% on the unused portion of the facility. The Series Fund did not
borrow any amounts pursuant to either agreement during the six months ended June
30, 1999. The purpose of the agreements is to serve as an alternative source of
funding for capital share redemptions.
NOTE 4: OTHER TRANSACTIONS WITH AFFILIATES
Prudential Mutual Fund Services LLC ("PMFS"), a wholly owned subsidiary of PIFM,
began serving as the Series Fund's transfer agent on March 14, 1999. Transfer
agent fees and expenses in the statements of operations include certain
out-of-pocket expense paid to nonaffiliates. During the period March 14, 1999
through June 30, 1999, the Series Fund incurred fees for the services of PMFS
and as of June 30, 1999 fees were due to PMFS as follows:
Amount Incurred
for the Amount Due
Six Months Ended as of
June 30, 1999 June 30, 1999
----------------- -------------
Money Market Porfolio.................. $ 3,200 $ 800
Diversified Bond Portfolio............. 3,200 800
Government Income Portfolio............ 2,500 600
Zero Coupon Bond 2000 Portfolio........ 700 200
Zero Coupon Bond 2005 Portfolio........ 900 200
Conservative Balanced Portfolio........ 3,100 800
Flexible Managed Portfolio............. 3,200 800
High Yield Bond Portfolio.............. 3,200 800
Stock Index Portfolio.................. 3,300 800
Equity Income Portfolio................ 3,100 800
Equity Portfolio....................... 3,400 800
Prudential Jennison Portfolio.......... 3,200 800
Small Capitalization Stock Portfolio... 2,700 700
Global Portfolio....................... 3,200 800
Natural Resources Portfolio............ 2,400 600
-------- -------------
$ 41,300 $ 10,300
C5
<PAGE>
For the six months ended June 30, 1999, PSI earned $393,408 in brokerage
commissions from transactions executed on behalf of the Series Fund as follows:
Fund Commission
- --------------------------------------- -----------
Conservative Balanced Portfolio........ $ 1,742
Flexible Managed Portfolio............. 7,065
Equity Income Portfolio................ 61,719
Equity Portfolio....................... 246,717
Prudential Jennison Portfolio.......... 76,165
-----------
$ 393,408
NOTE 5: JOINT REPURCHASE AGREEMENT ACCOUNT
The Series Fund may transfer uninvested cash balances into a single joint
repurchase agreement 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 interest in the joint repurchase
agreement account represented $1,150,168,000 as of June 30, 1999. The Portfolios
of the Series Fund with cash invested in the joint accounts had the following
principal amounts and percentage participation in the account:
Principal Percentage
Amount Interest
--------------- ----------
Diversified Bond Portfolio............. $ 70,011,000 6.09%
Government Income Portfolio............ 15,824,000 1.38
Zero Coupon Bond 2000 Portfolio........ 46,000 0.00
Zero Coupon Bond 2005 Portfolio........ 140,000 0.01
Conservative Balanced Portfolio........ 171,632,000 14.92
Flexible Managed Portfolio............. 536,057,000 46.61
High Yield Bond Portfolio.............. 30,448,000 2.65
Stock Index Portfolio.................. 102,839,000 8.94
Equity Income Portfolio................ 5,513,000 0.48
Equity Portfolio....................... 65,160,000 5.66
Prudential Jennison Portfolio.......... 91,914,000 7.99
Small Capitalization Stock Portfolio... 17,321,000 1.51
Global Portfolio....................... 33,493,000 2.91
All Other Portfolios................... 9,770,000 0.85
--------------- ----------
$ 1,150,168,000 100.00%
As of such date, each repurchase agreement in the joint account and the
collateral therefor were as follows:
Bear, Stearns & Co., Inc., 4.80%, in the principal amount of $150,000,000,
repurchase price $150,020,000, due 7/1/99. The value of the collateral including
accrued interest was $153,554,030.
Goldman, Sachs & Co., 4.82%, in the principal amount of $310,000,000, repurchase
price $310,041,505, due 7/1/99. The value of the collateral including accrued
interest was $317,349,453.
Morgan (J.P.) Securities, Inc., 4.65%, in the principal amount of $70,168,000,
repurchase price $70,177,063, due 7/1/99. The value of the collateral including
accrued interest was $71,625,963.
Morgan Stanley Dean Witter, 4.72%, in the principal amount of $310,000,000,
repurchase price $310,040,644, due 7/1/99. The value of the collateral including
accrued interest was $316,244,264.
Warburg Dillon Reed LLC, 4.80%, in the principal amount of $310,000,000,
repurchase price $310,041,333, due 7/1/99. The value of the collateral including
accrued interest was $316,876,844.
NOTE 6: PORTFOLIO SECURITIES
The aggregate cost of purchases and the proceeds from the sales of securities
(excluding short-term issues) for the six months ended June 30, 1999 were as
follows:
C6
<PAGE>
Cost of Purchases:
<TABLE>
<CAPTION>
ZERO ZERO
DIVERSIFIED GOVERNMENT COUPON COUPON CONSERVATIVE FLEXIBLE
BOND INCOME 2000 2005 BALANCED MANAGED
------------- ------------- ------------- ------------- ------------- -------------
<S> <C> <C> <C> <C> <C> <C>
Government Securities........... $ 618,741,194 $ 221,030,269 0 $ 5,683,455 $1,648,483,500 $1,198,041,677
Non-Government Securities....... $ 801,166,313 0 0 0 $1,981,320,228 $1,355,784,779
<CAPTION>
HIGH
YIELD
BOND
-------------
<S> <C>
Government Securities........... 0
Non-Government Securities....... $ 247,397,962
</TABLE>
<TABLE>
<CAPTION>
SMALL
STOCK EQUITY PRUDENTIAL CAPITALIZATION
INDEX INCOME EQUITY JENNISON STOCK GLOBAL
------------- ------------- ------------- ------------- ------------- -------------
<S> <C> <C> <C> <C> <C> <C>
Government Securities........... 0 0 0 0 0 $ 74,089,245
Non-Government Securities....... $ 317,527,836 $ 261,312,783 $ 389,928,708 $ 833,968,925 $ 76,288,450 $ 342,593,729
<CAPTION>
NATURAL
RESOURCES
-------------
<S> <C>
Government Securities........... 0
Non-Government Securities....... $ 34,005,468
</TABLE>
Proceeds from Sales:
<TABLE>
<CAPTION>
ZERO ZERO
DIVERSIFIED GOVERNMENT COUPON COUPON CONSERVATIVE FLEXIBLE
BOND INCOME 2000 2005 BALANCED MANAGED
------------- ------------- ------------- ------------- ------------- -------------
<S> <C> <C> <C> <C> <C> <C>
Government Securities........... $ 558,169,588 $ 243,561,018 $ 1,199,993 $ 5,137,087 $1,532,452,466 $1,034,349,485
Non-Government Securities....... $ 703,515,708 0 0 0 $2,402,210,961 $1,785,115,056
<CAPTION>
HIGH
YIELD
BOND
-------------
<S> <C>
Government Securities........... 0
Non-Government Securities....... $ 218,442,242
</TABLE>
<TABLE>
<CAPTION>
SMALL
STOCK EQUITY PRUDENTIAL CAPITALIZATION
INDEX INCOME EQUITY JENNISON STOCK GLOBAL
------------- ------------- ------------- ------------- ------------- -------------
<S> <C> <C> <C> <C> <C> <C>
Government Securities........... 0 0 0 0 0 $ 74,099,000
Non-Government Securities....... $ 50,766,384 $ 419,611,145 $ 647,652,174 $ 343,353,019 $ 31,427,416 $ 318,776,519
<CAPTION>
NATURAL
RESOURCES
-------------
<S> <C>
Government Securities........... 0
Non-Government Securities....... $ 65,238,361
</TABLE>
The federal income tax basis and unrealized appreciation (depreciation) of the
Series Fund's investments as of June 30, 1999 were as follows:
<TABLE>
<CAPTION>
ZERO ZERO
DIVERSIFIED GOVERNMENT COUPON COUPON CONSERVATIVE FLEXIBLE
BOND INCOME 2000 2005 BALANCED MANAGED
-------------- ------------- ------------- ------------- ------------- --------------
<S> <C> <C> <C> <C> <C> <C>
Gross Unrealized Appreciation... $ 8,015,242 $ 2,706,493 $ 1,054,656 $ 1,568,544 $ 480,767,772 $ 678,008,589
Gross Unrealized Depreciation... 35,963,417 8,361,455 -- 500,386 145,565,684 240,666,406
Total Net Unrealized............ (27,948,175) (5,654,962) 1,054,656 1,068,158 335,202,088 437,342,183
Tax Basis....................... 1,272,547,958 415,178,066 38,266,138 42,901,548 4,276,071,049 5,377,306,009
<CAPTION>
HIGH
YIELD
BOND
--------------
<S> <C>
Gross Unrealized Appreciation... $ 17,129,808
Gross Unrealized Depreciation... 89,953,277
Total Net Unrealized............ (72,823,469)
Tax Basis....................... 899,290,771
</TABLE>
<TABLE>
<CAPTION>
SMALL
STOCK EQUITY PRUDENTIAL CAPITALIZATION
INDEX INCOME EQUITY JENNISON STOCK GLOBAL
-------------- -------------- -------------- -------------- ------------- -------------
<S> <C> <C> <C> <C> <C> <C>
Gross Unrealized Appreciation... $2,049,197,782 $ 550,974,077 $2,174,645,031 $ 515,540,839 $ 67,388,054 $ 272,577,582
Gross Unrealized Depreciation... 36,072,555 126,523,757 189,818,654 10,644,544 50,993,915 13,108,052
Total Net Unrealized............ 2,013,125,227 424,450,320 1,984,826,377 503,896,295 16,394,140 259,469,530
Tax Basis....................... 2,229,712,337 1,918,023,158 4,733,436,921 1,426,690,575 386,453,272 667,944,218
<CAPTION>
NATURAL
RESOURCES
-------------
Gross Unrealized Appreciation... $ 72,946,728
Gross Unrealized Depreciation... 68,235,002
Total Net Unrealized............ 4,711,726
Tax Basis....................... 270,737,372
</TABLE>
For federal income tax purposes, the following Portfolios had post October
losses deferred and capital loss carryforwards as of December 31, 1998.
Accordingly no capital gain distributions are expected to be paid to
shareholders until net gains have been realized in excess of such amounts:
<TABLE>
<CAPTION>
POST OCTOBER POST OCTOBER CAPITAL LOSSES
CURRENCY CAPITAL CARRYFORWARDS
LOSSES DEFERRED LOSSES DEFERRED AVAILABLE EXPIRATION YEAR
---------------- ---------------- -------------- ----------------
<S> <C> <C> <C> <C>
Government Income Portfolio............ -- -- $ 57,521 2003
High Yield Bond Portfolio.............. -- $ 5,542,044 2,841,673 2003
Natural Resources Portfolio............ $ 4,530 2,497,324 4,117,123 2006
</TABLE>
NOTE 7: CAPITAL
The Series Fund offers Class I and Class II shares. Both Class I and Class II
shares of a Portfolio are not subject to any sales charge or redemption charge
and are sold at the net asset value of the Portfolio. Class I shares are sold
only to certain separate accounts of Prudential to fund benefits under certain
variable life insurance and variable annuity contracts ("contracts"). Class II
shares are sold only to separate accounts of non-Prudential insurance companies
as investment options under certain contracts. The accounts invest in shares of
the Series Fund through subaccounts that correspond to the portfolios. The
accounts will redeem shares of the Series Fund to the extent necessary to
provide benefits under the contracts or for such other purposes as may be
consistent with the contracts. Currently, only the Equity Portfolio has Class II
shares outstanding.
C7
<PAGE>
Transactions in shares of common stock of the Equity Portfolio for the six
months ended June 30, 1999 were as follows:
Class I Shares Amount
- --------------------------------------- ------------ --------------
Six months ended June 30, 1999:
Capital stock sold..................... 4,442,133 $ 136,269,651
Capital stock issued in reinvestment of
dividends and distributions.......... 4,320,133 134,615,336
Capital stock repurchased.............. (19,679,306) (607,767,177)
------------ --------------
Net decrease in shares outstanding..... (10,917,040) $ (336,882,190)
------------ --------------
Class II Shares Amount
- --------------------------------------- ------------ --------------
May 3, 1999(a) through June 30, 1999:
Capital stock sold..................... 4,868 $ 162,667
Capital stock repurchased.............. (843) (28,161)
------------ --------------
Net increase in shares outstanding..... 4,025 $ 134,506
============ ==============
(a) Commencement of offering of Class II shares.
C8
<PAGE>
FINANCIAL HIGHLIGHTS
(UNAUDITED)
<TABLE>
<CAPTION>
MONEY MARKET
-----------------------------------------------------------------------------
SIX MONTHS
ENDED YEAR ENDED DECEMBER 31,
JUNE 30, ---------------------------------------------------------------
1999 1998 1997 1996 1995(a) 1994(a)
----------- ----------- ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE:
Net Asset Value, beginning of period... $ 10.00 $ 10.00 $ 10.00 $ 10.00 $ 10.00 $ 10.00
----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income and realized and
unrealized gains..................... 0.23 0.46 0.54 0.51 0.56 0.40
Dividends and distributions............ (0.23) (0.46) (0.54) (0.51) (0.56) (0.40)
----------- ----------- ----------- ----------- ----------- -----------
Net Asset Value, end of period......... $ 10.00 $ 10.00 $ 10.00 $ 10.00 $ 10.00 $ 10.00
=========== =========== =========== =========== =========== ===========
TOTAL INVESTMENT RETURN:(b)............ 2.28% 5.39% 5.41% 5.22% 5.80% 4.05%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in
millions)............................ $1,193.0 $920.1 $657.5 $668.8 $613.3 $583.3
Ratios to average net assets:
Expenses............................. 0.43%(c) 0.38% 0.43% 0.44% 0.44% 0.47%
Net investment income................ 4.68%(c) 4.76% 5.28% 5.10% 5.64% 4.02%
</TABLE>
<TABLE>
<CAPTION>
DIVERSIFIED BOND
------------------------------------------------------------------------------
SIX MONTHS
ENDED YEAR ENDED DECEMBER 31,
JUNE 30, ----------------------------------------------------------------
1999 1998 1997 1996 1995(a) 1994(a)
----------- ------------ ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE:
Net Asset Value, beginning of period... $ 11.06 $ 11.02 $ 11.07 $ 11.31 $ 10.04 $ 11.10
----------- ------------ ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net investment income.................. 0.32 0.69 0.80 0.76 0.76 0.68
Net realized and unrealized gains
(losses) on investments.............. (0.50) 0.08 0.11 (0.27) 1.29 (1.04)
----------- ------------ ----------- ----------- ----------- -----------
Total from investment operations... (0.18) 0.77 0.91 0.49 2.05 (0.36)
----------- ------------ ----------- ----------- ----------- -----------
LESS DISTRIBUTIONS:
Dividends from net investment income... -- (0.69) (0.83) (0.73) (0.75) (0.68)
Distributions from net realized
gains................................ (0.03) (0.04) (0.13) -- (0.03) (0.02)
----------- ------------ ----------- ----------- ----------- -----------
Total distributions................ (0.03) (0.73) (0.96) (0.73) (0.78) (0.70)
----------- ------------ ----------- ----------- ----------- -----------
Net Asset Value, end of period......... $ 10.85 $ 11.06 $ 11.02 $ 11.07 $ 11.31 $ 10.04
=========== ============ =========== =========== =========== ===========
TOTAL INVESTMENT RETURN:(b)............ (1.64)% 7.15% 8.57% 4.40% 20.73% (3.23)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in
millions)............................ $1,242.6 $1,122.6 $816.7 $720.2 $655.8 $541.6
Ratios to average net assets:
Expenses............................. 0.42%(c) 0.42% 0.43% 0.45% 0.44% 0.45%
Net investment income................ 6.15%(c) 6.40% 7.18% 6.89% 7.00% 6.41%
Portfolio turnover rate................ 113% 199% 224% 210% 199% 32%
</TABLE>
(a) Calculations are based on average month-end shares outstanding.
(b) Total investment return is calculated assuming a purchase of shares on the
first day and a sale on the last day of each period reported and includes
reinvestment of dividends and distributions. Total investment returns for
less than a full year are not annualized.
(c) Annualized.
SEE NOTES TO FINANCIAL STATEMENTS.
D1
<PAGE>
FINANCIAL HIGHLIGHTS
(UNAUDITED)
<TABLE>
<CAPTION>
GOVERNMENT INCOME
-----------------------------------------------------------------------------
SIX MONTHS
ENDED YEAR ENDED DECEMBER 31,
JUNE 30, ---------------------------------------------------------------
1999 1998 1997 1996 1995(a) 1994(a)
----------- ----------- ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE:
Net Asset Value, beginning of period... $ 11.87 $ 11.52 $ 11.22 $ 11.72 $ 10.46 $ 11.78
----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net investment income.................. 0.34 0.67 0.75 0.75 0.74 0.70
Net realized and unrealized gains
(losses) on investments.............. (0.65) 0.36 0.30 (0.51) 1.28 (1.31)
----------- ----------- ----------- ----------- ----------- -----------
Total from investment operations... (0.31) 1.03 1.05 0.24 2.02 (0.61)
----------- ----------- ----------- ----------- ----------- -----------
LESS DISTRIBUTIONS:
Dividends from net investment income... -- (0.68) (0.75) (0.74) (0.76) (0.71)
Dividends in excess of net investment
income............................... -- --(c) -- -- -- --
----------- ----------- ----------- ----------- ----------- -----------
Total distributions................ -- (0.68) (0.75) (0.74) (0.76) (0.71)
----------- ----------- ----------- ----------- ----------- -----------
Net Asset Value, end of period......... $ 11.56 $ 11.87 $ 11.52 $ 11.22 $ 11.72 $ 10.46
=========== =========== =========== =========== =========== ===========
TOTAL INVESTMENT RETURN:(b)............ (2.62)% 9.09% 9.67% 2.22% 19.48% (5.16)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in
millions)............................ $384.1 $443.2 $429.6 $482.0 $501.8 $487.6
Ratios to average net assets:
Expenses............................. 0.44%(d) 0.43% 0.44% 0.46% 0.45% 0.45%
Net investment income................ 5.59%(d) 5.71% 6.40% 6.38% 6.55% 6.30%
Portfolio turnover rate................ 55% 109% 88% 95% 195% 34%
</TABLE>
<TABLE>
<CAPTION>
ZERO COUPON BOND 2000
-----------------------------------------------------------------------------
SIX MONTHS
ENDED YEAR ENDED DECEMBER 31,
JUNE 30, ---------------------------------------------------------------
1999 1998 1997 1996 1995(a) 1994(a)
----------- ----------- ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE:
Net Asset Value, beginning of period... $ 12.74 $ 12.61 $ 12.92 $ 13.27 $ 11.86 $ 13.72
----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net investment income.................. 0.34 0.63 0.67 0.55 0.59 0.92
Net realized and unrealized gains
(losses) on investments.............. (0.27) 0.31 0.22 (0.36) 1.95 (1.91)
----------- ----------- ----------- ----------- ----------- -----------
Total from investment operations... 0.07 0.94 0.89 0.19 2.54 (0.99)
----------- ----------- ----------- ----------- ----------- -----------
LESS DISTRIBUTIONS:
Dividends from net investment income... -- (0.64) (0.67) (0.54) (0.60) (0.85)
Distributions from net realized
gains................................ (0.02) (0.17) (0.53) -- (0.53) (0.02)
----------- ----------- ----------- ----------- ----------- -----------
Total distributions................ (0.02) (0.81) (1.20) (0.54) (1.13) (0.87)
----------- ----------- ----------- ----------- ----------- -----------
Net Asset Value, end of period......... $ 12.79 $ 12.74 $ 12.61 $ 12.92 $ 13.27 $ 11.86
=========== =========== =========== =========== =========== ===========
TOTAL INVESTMENT RETURN:(b)............ 0.61% 7.57% 7.17% 1.53% 21.56% (7.18)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in
millions)............................ $39.2 $40.2 $41.3 $44.7 $25.3 $20.6
Ratios to average net assets:
Expenses............................. 0.62%(d) 0.62% 0.66% 0.52% 0.48% 0.51%
Net investment income................ 5.30%(d) 4.85% 4.78% 4.88% 4.53% 6.69%
Portfolio turnover rate................ 0% 16% 32% 13% 71% 9%
</TABLE>
(a) Calculations are based on average month-end shares outstanding.
(b) Total investment return is calculated assuming a purchase of shares on the
first day and a sale on the last day of each period reported and includes
reinvestment of dividends and distributions. Total investment returns for
less than a full year are not annualized.
(c) Less than $0.005 per share.
(d) Annualized.
SEE NOTES TO FINANCIAL STATEMENTS.
D2
<PAGE>
FINANCIAL HIGHLIGHTS
(UNAUDITED)
<TABLE>
<CAPTION>
ZERO COUPON BOND 2005
-----------------------------------------------------------------------------
SIX MONTHS YEAR ENDED
ENDED DECEMBER 31,
JUNE 30, ---------------------------------------------------------------
1999 1998 1997 1996 1995(a) 1994(a)
----------- ----------- ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE:
Net Asset Value, beginning of period... $ 13.44 $ 12.60 $ 12.25 $ 13.19 $ 10.74 $ 12.68
----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net investment income.................. 0.34 0.66 0.68 0.66 0.66 0.75
Net realized and unrealized gains
(losses) on investments.............. (1.02) 0.87 0.66 (0.82) 2.73 (1.97)
----------- ----------- ----------- ----------- ----------- -----------
Total from investment operations... (0.68) 1.53 1.34 (0.16) 3.39 (1.22)
----------- ----------- ----------- ----------- ----------- -----------
LESS DISTRIBUTIONS:
Dividends from net investment income... -- (0.67) (0.71) (0.64) (0.65) (0.72)
Distributions from net realized
gains................................ -- (0.02) (0.28) (0.14) (0.29) --
----------- ----------- ----------- ----------- ----------- -----------
Total distributions................ -- (0.69) (0.99) (0.78) (0.94) (0.72)
----------- ----------- ----------- ----------- ----------- -----------
Net Asset Value, end of period......... $ 12.76 $ 13.44 $ 12.60 $ 12.25 $ 13.19 $ 10.74
=========== =========== =========== =========== =========== ===========
TOTAL INVESTMENT RETURN:(b)............ (5.06)% 12.35% 11.18% (1.01)% 31.85% (9.61)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in
millions)............................ $43.9 $45.5 $30.8 $25.8 $23.6 $16.5
Ratios to average net assets:
Expenses............................. 0.59%(c) 0.61% 0.74% 0.53% 0.49% 0.60%
Net investment income................ 5.23%(c) 5.35% 5.71% 5.42% 5.32% 6.53%
Portfolio turnover rate................ 11% -- 35% 10% 69% 6%
</TABLE>
<TABLE>
<CAPTION>
CONSERVATIVE BALANCED
-----------------------------------------------------------------------------
SIX MONTHS YEAR ENDED
ENDED DECEMBER 31,
JUNE 30, ---------------------------------------------------------------
1999 1998 1997 1996 1995(a) 1994(a)
----------- ----------- ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE:
Net Asset Value, beginning of period... $ 15.08 $ 14.97 $ 15.52 $ 15.31 $ 14.10 $ 14.91
----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net investment income.................. 0.31 0.66 0.76 0.66 0.63 0.53
Net realized and unrealized gains
(losses) on investments.............. 0.30 1.05 1.26 1.24 1.78 (0.68)
----------- ----------- ----------- ----------- ----------- -----------
Total from investment operations... 0.61 1.71 2.02 1.90 2.41 (0.15)
----------- ----------- ----------- ----------- ----------- -----------
LESS DISTRIBUTIONS:
Dividends from net investment income... (0.15) (0.66) (0.76) (0.66) (0.64) (0.51)
Distributions from net realized
gains................................ (0.07) (0.94) (1.81) (1.03) (0.56) (0.15)
----------- ----------- ----------- ----------- ----------- -----------
Total distributions................ (0.22) (1.60) (2.57) (1.69) (1.20) (0.66)
----------- ----------- ----------- ----------- ----------- -----------
Net Asset Value, end of period......... $ 15.47 $ 15.08 $ 14.97 $ 15.52 $ 15.31 $ 14.10
=========== =========== =========== =========== =========== ===========
TOTAL INVESTMENT RETURN:(b)............ 4.04% 11.47% 13.45% 12.63% 17.27% (0.97)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in
millions)............................ $4,640.3 $4,796.0 $4,744.2 $4,478.8 $3,940.8 $3,501.1
Ratios to average net assets:
Expenses............................. 0.57%(c) 0.57%(c) 0.56% 0.59% 0.58% 0.61%
Net investment income................ 4.02%(c) 4.19%(c) 4.48% 4.13% 4.19% 3.61%
Portfolio turnover rate................ 82% 167% 295% 295% 201% 125%
</TABLE>
(a) Calculations are based on average month-end shares outstanding.
(b) Total investment return is calculated assuming a purchase of shares on the
first day and a sale on the last day of each period reported and includes
reinvestment of dividends and distributions. Total investment returns for
less than a full year are not annualized.
(c) Annualized.
SEE NOTES TO FINANCIAL STATEMENTS.
D3
<PAGE>
FINANCIAL HIGHLIGHTS
(UNAUDITED)
<TABLE>
<CAPTION>
FLEXIBLE MANAGED
-----------------------------------------------------------------------------
SIX MONTHS YEAR ENDED
ENDED DECEMBER 31,
JUNE 30, ---------------------------------------------------------------
1999 1998 1997 1996 1995(a) 1994(a)
----------- ----------- ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE:
Net Asset Value, beginning of period... $ 16.56 $ 17.28 $ 17.79 $ 17.86 $ 15.50 $ 16.96
----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net investment income.................. 0.27 0.58 0.59 0.57 0.56 0.47
Net realized and unrealized gains
(losses) on investments.............. 0.81 1.14 2.52 1.79 3.15 (1.02)
----------- ----------- ----------- ----------- ----------- -----------
Total from investment operations... 1.08 1.72 3.11 2.36 3.71 (0.55)
----------- ----------- ----------- ----------- ----------- -----------
LESS DISTRIBUTIONS:
Dividends from net investment income... -- (0.59) (0.58) (0.58) (0.56) (0.45)
Distributions from net realized
gains................................ (.19) (1.85) (3.04) (1.85) (0.79) (0.46)
----------- ----------- ----------- ----------- ----------- -----------
Total distributions................ (.19) (2.44) (3.62) (2.43) (1.35) (0.91)
----------- ----------- ----------- ----------- ----------- -----------
Net Asset Value, end of period......... $ 17.45 $ 16.56 $ 17.28 $ 17.79 $ 17.86 $ 15.50
=========== =========== =========== =========== =========== ===========
TOTAL INVESTMENT RETURN:(b)............ 6.55% 10.24% 17.96% 13.64% 24.13% (3.16)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in
millions)............................ $5,385.2 $5,410.0 $5,490.1 $4,896.9 $4,261.2 $3,481.5
Ratios to average net assets:
Expenses............................. 0.62%(c) 0.61% 0.62% 0.64% 0.63% 0.66%
Net investment income................ 3.13%(c) 3.21% 3.02% 3.07% 3.30% 2.90%
Portfolio turnover rate................ 53% 138% 227% 233% 173% 124%
</TABLE>
<TABLE>
<CAPTION>
HIGH YIELD BOND
-----------------------------------------------------------------------------
SIX MONTHS YEAR ENDED
ENDED DECEMBER 31,
JUNE 30, ---------------------------------------------------------------
1999 1998 1997 1996 1995(a) 1994(a)
----------- ----------- ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE:
Net Asset Value, beginning of period... $ 7.21 $ 8.14 $ 7.87 $ 7.80 $ 7.37 $ 8.41
----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net investment income.................. 0.39 0.77 0.78 0.80 0.81 0.87
Net realized and unrealized gains
(losses) on investments.............. (0.14) (0.94) 0.26 0.06 0.46 (1.10)
----------- ----------- ----------- ----------- ----------- -----------
Total from investment operations... 0.25 (0.17) 1.04 0.86 1.27 (0.23)
----------- ----------- ----------- ----------- ----------- -----------
LESS DISTRIBUTIONS:
Dividends from net investment income... (0.02) (0.76) (0.77) (0.78) (0.84) (0.81)
Dividends in excess of net investment
income............................... -- -- -- (0.01) -- --
----------- ----------- ----------- ----------- ----------- -----------
Total distributions................ (0.02) (0.76) (0.77) (0.79) (0.84) (0.81)
----------- ----------- ----------- ----------- ----------- -----------
Net Asset Value, end of period......... $ 7.44 $ 7.21 $ 8.14 $ 7.87 $ 7.80 $ 7.37
=========== =========== =========== =========== =========== ===========
TOTAL INVESTMENT RETURN(b)............. 3.50% (2.36)% 13.78% 11.39% 17.56% (2.72)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in
millions)............................ $812.7 $789.3 $568.7 $432.9 $367.9 $306.2
Ratios to average net assets:
Expenses............................. 0.58%(c) 0.58% 0.57% 0.63% 0.61% 0.65%
Net investment income................ 10.57%(c) 10.31% 9.78% 9.89% 10.34% 9.88%
Portfolio turnover rate................ 29% 63% 106% 88% 139% 69%
</TABLE>
(a) Calculations are based on average month-end shares outstanding.
(b) Total investment return is calculated assuming a purchase of shares on the
first day and a sale on the last day of each period reported and includes
reinvestment of dividends and distributions. Total investment returns for
less than a full year are not annualized.
(c) Annualized.
SEE NOTES TO FINANCIAL STATEMENTS.
D4
<PAGE>
FINANCIAL HIGHLIGHTS
(UNAUDITED)
<TABLE>
<CAPTION>
STOCK INDEX
----------------------------------------------------------------------------
SIX MONTHS YEAR ENDED
ENDED DECEMBER 31,
JUNE 30, --------------------------------------------------------------
1999 1998 1997 1996 1995(a) 1994(a)
----------- ----------- ----------- ----------- ----------- ----------
<S> <C> <C> <C> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE:
Net Asset Value, beginning of Period... $ 37.74 $ 30.22 $ 23.74 $ 19.96 $ 14.96 $ 15.20
----------- ----------- ----------- ----------- ----------- ----------
INCOME FROM INVESTMENT OPERATIONS
Net investment income.................. 0.22 0.42 0.43 0.40 0.40 0.38
Net realized and unrealized gains
(losses) on investments.............. 4.33 8.11 7.34 4.06 5.13 (0.23)
----------- ----------- ----------- ----------- ----------- ----------
Total from investment operations... 4.55 8.53 7.77 4.46 5.53 0.15
----------- ----------- ----------- ----------- ----------- ----------
LESS DISTRIBUTIONS:
Dividends from net investment income... (0.10) (0.42) (0.42) (0.40) (0.38) (0.37)
Distributions from net realized
gains................................ (0.15) (0.59) (0.87) (0.28) (0.15) (0.02)
----------- ----------- ----------- ----------- ----------- ----------
Total distributions................ (0.25) (1.01) (1.29) (0.68) (0.53) (0.39)
----------- ----------- ----------- ----------- ----------- ----------
Net Asset Value, end of Period......... $ 42.04 $ 37.74 $ 30.22 $ 23.74 $ 19.96 $ 14.96
=========== =========== =========== =========== =========== ==========
TOTAL INVESTMENT RETURN:(b)............ 12.07% 28.42% 32.83% 22.57% 37.06% 1.01%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of year (in
millions)............................ $4,252.1 $3,548.1 $2,448.2 $1,581.4 $1,031.3 $664.5
Ratios to average net assets:
Expenses............................. 0.37%(c) 0.37% 0.37% 0.40% 0.38% 0.42%
Net investment income................ 1.16%(c) 1.25% 1.55% 1.95% 2.27% 2.50%
Portfolio turnover rate................ 1% 3% 5% 1% 1% 2%
</TABLE>
<TABLE>
<CAPTION>
EQUITY INCOME
----------------------------------------------------------------------------
SIX MONTHS YEAR ENDED
ENDED DECEMBER 31,
JUNE 30, --------------------------------------------------------------
1999 1998 1997 1996 1995(a) 1994(a)
----------- ------------ ----------- ----------- ----------- ---------
<S> <C> <C> <C> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE:
Net Asset Value, beginning of period... $ 20.03 $ 22.39 $ 18.51 $ 16.27 $ 14.48 $ 15.66
----------- ------------ ----------- ----------- ----------- ---------
INCOME FROM INVESTMENT OPERATIONS
Net investment income.................. 0.26 0.56 0.61 0.58 0.64 0.66
Net realized and unrealized gains
(losses) on investments.............. 3.39 (1.03) 6.06 2.88 2.50 (0.46)
----------- ------------ ----------- ----------- ----------- ---------
Total from investment operations... 3.65 (0.47) 6.67 3.46 3.14 0.20
----------- ------------ ----------- ----------- ----------- ---------
LESS DISTRIBUTIONS:
Dividends from net investment income... (0.13) (0.59) (0.57) (0.71) (0.62) (0.56)
Distributions from net realized
gains................................ (0.36) (1.30) (2.22) (0.51) (0.73) (0.82)
----------- ------------ ----------- ----------- ----------- ---------
Total distributions................ (0.49) (1.89) (2.79) (1.22) (1.35) (1.38)
----------- ------------ ----------- ----------- ----------- ---------
Net Asset Value, end of period......... $ 23.19 $ 20.03 $ 22.39 $ 18.51 $ 16.27 $ 14.48
=========== ============ =========== =========== =========== =========
TOTAL INVESTMENT RETURN:(b)............ 18.27% (2.38)% 36.61% 21.74% 21.70% 1.44%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in
millions)............................ $2,263.1 $2,142.3 $2,029.8 $1,363.5 $1,110.0 $859.7
Ratios to average net assets:
Expenses............................. 0.42%(c) 0.42% 0.41% 0.45% 0.43% 0.52%
Net investment income................ 2.32%(c) 2.54% 2.90% 3.36% 4.00% 3.92%
Portfolio turnover rate................ 12% 20% 38% 21% 64% 63%
</TABLE>
(a) Calculations are based on average month-end shares outstanding.
(b) Total investment return is calculated assuming a purchase of shares on the
first day and a sale on the last day of each period reported and includes
reinvestment of dividends and distributions. Total investment returns for
less than a full year are not annualized.
(c) Annualized.
SEE NOTES TO FINANCIAL STATEMENTS.
D5
<PAGE>
FINANCIAL HIGHLIGHTS
(UNAUDITED)
<TABLE>
<CAPTION>
EQUITY
EQUITY CLASS I CLASS II
----------------------------------------------------------------------------- -----------
MAY 3,
SIX MONTHS YEAR ENDED 1999(d)
ENDED DECEMBER 31, THROUGH
JUNE 30, --------------------------------------------------------------- JUNE 30,
1999 1998 1997 1996 1995(a) 1994(a) 1999
----------- ----------- ----------- ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE:
Net Asset Value, beginning of
period........................... $ 29.64 $ 31.07 $ 26.96 $ 25.64 $ 20.66 $ 21.49 $ 32.79
----------- ----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net investment income.............. 0.32 0.60 0.69 0.71 0.55 0.51 0.13
Net realized and unrealized gains
on investments................... 4.21 2.21 5.88 3.88 5.89 0.05 0.56
----------- ----------- ----------- ----------- ----------- ----------- -----------
Total from investment
operations................... 4.53 2.81 6.57 4.59 6.44 0.56 0.69
----------- ----------- ----------- ----------- ----------- ----------- -----------
LESS DISTRIBUTIONS:
Dividends from net investment
income........................... (0.11) (0.60) (0.70) (0.67) (0.52) (0.49) --
Distributions from net realized
gains............................ (0.56) (3.64) (1.76) (2.60) (0.94) (0.90) --
----------- ----------- ----------- ----------- ----------- ----------- -----------
Total distributions............ (0.67) (4.24) (2.46) (3.27) (1.46) (1.39) --
----------- ----------- ----------- ----------- ----------- ----------- -----------
Net Asset Value, end of period..... $ 33.50 $ 29.64 $ 31.07 $ 26.96 $ 25.64 $ 20.66 $ 33.48
=========== =========== =========== =========== =========== =========== ===========
TOTAL INVESTMENT RETURN:(b)........ 15.47% 9.34% 24.66% 18.52% 31.29% 2.78% 2.10%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in
millions)........................ $6,696.4 $6,247.0 $6,024.0 $4,814.0 $3,813.8 $2,617.8 $1.3(e)
Ratios to average net assets:
Expenses......................... 0.47%(c) 0.47% 0.46% 0.50% 0.48% 0.55% .97%(c)
Net investment income............ 2.03%(c) 1.81% 2.27% 2.54% 2.28% 2.39% 3.45%(c)
Portfolio turnover rate............ 7% 25% 13% 20% 18% 7% 7%
</TABLE>
<TABLE>
<CAPTION>
PRUDENTIAL JENNISON
-------------------------------------------------------------------------
SIX MONTHS YEAR ENDED
ENDED DECEMBER 31, APRIL 25, 1995(d)
JUNE 30, ------------------------------------- TO
1999 1998 1997 1996 DECEMBER 31, 1995(a)
----------- ----------- ----------- ----------- --------------------
<S> <C> <C> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE:
Net Asset Value, beginning of Period... $ 23.91 $ 17.73 $ 14.32 $ 12.55 $ 10.00
----------- ----------- ----------- ----------- ----------
INCOME FROM INVESTMENT OPERATIONS
Net investment income.................. 0.04 0.04 0.04 0.02 0.02
Net realized and unrealized gains on
investments.......................... 3.60 6.56 4.48 1.78 2.54
----------- ----------- ----------- ----------- ----------
Total from investment operations... 3.64 6.60 4.52 1.80 2.56
----------- ----------- ----------- ----------- ----------
LESS DISTRIBUTIONS:
Dividends from net investment income... (0.01) (0.04) (0.04) (0.03) (0.01)
Distributions from net realized
gains................................ (0.17) (0.38) (1.07) -- --
----------- ----------- ----------- ----------- ----------
Total distributions................ (0.18) (0.42) (1.11) (0.03) (0.01)
----------- ----------- ----------- ----------- ----------
Net Asset Value, end of period......... $ 27.37 $ 23.91 $ 17.73 $ 14.32 $ 12.55
=========== =========== =========== =========== ==========
TOTAL INVESTMENT RETURN(b)............. 31.22% 37.46% 31.71% 14.41% 24.20%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in
millions)............................ $1,919.2 $1,198.7 $495.9 $226.5 $63.1
Ratios to average net assets:
Expenses............................. 0.61%(c) 0.63%(c) 0.64% 0.66% 0.79%
Net investment income................ 0.39%(c) 0.20%(c) 0.25% 0.20% 0.15%
Portfolio turnover rate................ 25% 54% 60% 46% 37%
</TABLE>
(a) Calculations are based on average month-end shares outstanding.
(b) Total investment return is calculated assuming a purchase of shares on the
first day and a sale on the last day of each period reported and includes
reinvestment of dividends and distributions. Total investment returns for
less than a full year are not annualized.
(c) Annualized
(d) Commencement of offering of Class II shares.
(e) Figure is rounded to the nearest thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
D6
<PAGE>
FINANCIAL HIGHLIGHTS
(UNAUDITED)
<TABLE>
<CAPTION>
SMALL CAPITALIZATION STOCK
----------------------------------------------------------------------------------
YEAR ENDED
SIX MONTHS DECEMBER 31, APRIL 25, 1995(d)
ENDED ------------------------------------------- TO
JUNE 30, 1999 1998 1997 1996 DECEMBER 31, 1995(a)
-------------- ------------- ------------- ------------- --------------------
<S> <C> <C> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE:
Net Asset Value, beginning of period... $ 14.71 $ 15.93 $ 13.79 $ 11.83 $ 10.00
-------------- ------------- ------------- ------------- ----------
INCOME FROM INVESTMENT OPERATIONS
Net investment income.................. 0.04 0.09 0.10 0.09 0.08
Net realized and unrealized gains
(losses) on investments.............. 0.69 (0.25) 3.32 2.23 1.91
-------------- ------------- ------------- ------------- ----------
Total from investment operations... 0.73 (0.16) 3.42 2.32 1.99
-------------- ------------- ------------- ------------- ----------
LESS DISTRIBUTIONS:
Dividends from net investment income... -- (0.09) (0.10) (0.09) (0.04)
Distributions from net realized
gains................................ (0.27) (0.97) (1.18) (0.27) (0.12)
-------------- ------------- ------------- ------------- ----------
Total distributions................ (0.27) (1.06) (1.28) (0.36) (0.16)
-------------- ------------- ------------- ------------- ----------
Net Asset Value, end of period......... $ 15.17 $ 14.71 $ 15.93 $ 13.79 $ 11.83
============== ============= ============= ============= ==========
TOTAL INVESTMENT RETURN(b)............. 5.19% (0.76)% 25.17% 19.77% 19.74%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in
millions)............................ $403.7 $360.4 $290.3 $147.9 $47.5
Ratios to average net assets:
Expenses............................. 0.45%(c) 0.47% 0.50% 0.56% 0.60%(c)
Net investment income................ 0.58%(c) 0.57% 0.69% 0.87% 0.68%(c)
Portfolio turnover rate................ 14% 26% 31% 13% 32%
</TABLE>
<TABLE>
<CAPTION>
GLOBAL
-----------------------------------------------------------------------------
SIX MONTHS YEAR ENDED
ENDED DECEMBER 31,
JUNE 30, ---------------------------------------------------------------
1999 1998 1997 1996 1995(a) 1994(a)
----------- ----------- ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE:
Net Asset Value, beginning of period... $ 21.16 $ 17.92 $ 17.85 $ 15.53 $ 13.88 $ 14.64
----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net investment income.................. 0.05 0.07 0.09 0.11 0.06 0.02
Net realized and unrealized gains
(losses) on investments.............. 1.99 4.38 1.11 2.94 2.14 (0.74)
----------- ----------- ----------- ----------- ----------- -----------
Total from investment operations... 2.04 4.45 1.20 3.05 2.20 (0.72)
----------- ----------- ----------- ----------- ----------- -----------
LESS DISTRIBUTIONS:
Dividends from net investment income... -- (0.16) (0.13) (0.11) (0.24) (0.02)
Dividends in excess of net investment
income............................... (0.10) (0.12) (0.10) -- -- --
Distributions from net realized
gains................................ (0.18) (0.93) (0.90) (0.62) (0.31) (0.02)
----------- ----------- ----------- ----------- ----------- -----------
Total distributions................ (0.28) (1.21) (1.13) (0.73) (0.55) (0.04)
----------- ----------- ----------- ----------- ----------- -----------
Net Asset Value, end of period......... $ 22.92 $ 21.16 $ 17.92 $ 17.85 $ 15.53 $ 13.88
=========== =========== =========== =========== =========== ===========
TOTAL INVESTMENT RETURN(b)............. 9.74% 25.08% 6.98% 19.97% 15.88% (4.89)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in
millions)............................ $962.0 $844.8 $638.4 $580.6 $400.1 $345.7
Ratios to average net assets:
Expenses............................. 0.85%(c) 0.86% 0.85% 0.92% 1.06% 1.23%
Net investment income................ 0.41%(c) 0.29% 0.47% 0.64% 0.44% 0.20%
Portfolio turnover rate................ 47% 73% 70% 41% 59% 37%
</TABLE>
(a) Calculations are based on average month-end shares outstanding.
(b) Total investment return is calculated assuming a purchase of shares on the
first day and a sale on the last day of each period reported and includes
reinvestment of dividends and distributions. Total investment returns for
less than a full year are not annualized.
(c) Annualized.
(d) Commencement of operations
SEE NOTES TO FINANCIAL STATEMENTS.
D7
<PAGE>
FINANCIAL HIGHLIGHTS
(UNAUDITED)
<TABLE>
<CAPTION>
NATURAL RESOURCES
-----------------------------------------------------------------------------
SIX MONTHS YEAR ENDED
ENDED DECEMBER 31,
JUNE 30, ---------------------------------------------------------------
1999 1998 1997 1996 1995(a) 1994(a)
----------- ----------- ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE:
Net Asset Value, beginning of period... $ 11.98 $ 15.24 $ 19.77 $ 17.27 $ 14.44 $ 15.56
----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net investment income.................. 0.04 0.09 0.12 0.15 0.21 0.18
Net realized and unrealized gains
(losses) on investments.............. 3.94 (2.48) (2.43) 5.11 3.66 (0.85)
----------- ----------- ----------- ----------- ----------- -----------
Total from investment operations... 3.98 (2.39) (2.31) 5.26 3.87 (0.67)
----------- ----------- ----------- ----------- ----------- -----------
LESS DISTRIBUTIONS:
Dividends from net investment income... (0.03) (0.11) (0.10) (0.14) (0.21) (0.15)
Distributions from net realized
gains................................ -- (0.75) (2.12) (2.62) (0.83) (0.30)
Tax return of capital distributions.... -- (0.01) -- -- -- --
----------- ----------- ----------- ----------- ----------- -----------
Total distributions................ (0.03) (0.87) (2.22) (2.76) (1.04) (0.45)
----------- ----------- ----------- ----------- ----------- -----------
Net Asset Value, end of period......... $ 15.93 $ 11.98 $ 15.24 $ 19.77 $ 17.27 $ 14.44
=========== =========== =========== =========== =========== ===========
TOTAL INVESTMENT RETURN:(b)............ 33.25% (17.10)% (11.59)% 30.88% 26.92% (4.30)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in
millions)............................ $278.5 $236.9 $358.0 $438.4 $293.2 $227.3
Ratios to average net assets:
Expenses............................. 0.54%(c) 0.61% 0.54% 0.52% 0.50% 0.61%
Net investment income................ 0.61%(c) 0.63% 0.60% 0.75% 1.25% 1.09%
Portfolio turnover rate................ 14% 12% 32% 36% 46% 18%
</TABLE>
(a) Calculations are based on average month-end shares outstanding.
(b) Total investment return is calculated assuming a purchase of shares on the
first day and a sale on the last day of each period reported and includes
reinvestment of dividends and distributions. Total investment returns for
less than a full year are not annualized.
(c) Annualized.
SEE NOTES TO FINANCIAL STATEMENTS.
D8
<PAGE>
- --------------------------------------------------------------------------------
The toll-free numbers shown below can be used to make transfers and re-
allocations, review how your premiums are being allocated and receive current
investment option values in your contract. Unit values for each investment
option are available to all Contract Owners from the toll-free numbers. The
phone lines are open each business day during the hours shown. Please be sure to
have your contract number available when you call.
If you own a variable life insurance contract, please call the following
telephone number:
[ICON OF PHONE APPEARS HERE]
1-800-778-2255
8 a.m. - Midnight Eastern Time
If you own a variable annuity contract, please call the following telephone
number:
[ICON OF PHONE APPEARS HERE]
1-888-778-2888
8 a.m. - 9 p.m. Eastern Time
- --------------------------------------------------------------------------------
THE PRUDENTIAL SERIES FUND, INC.
BOARD OF DIRECTORS
JOHN R. STRANGFELD
Chairman,
The Prudential Series Fund, Inc.
W. SCOTT MCDONALD, JR., PH.D.
Vice President,
Kaludis Consulting Group
E. MICHAEL CAULFIELD
Executive Vice President,
Prudential Financial Management
The Prudential Insurance
Company of America
SAUL K. FENSTER, Ph.D.
President,
New Jersey Institute of Technology
JOSEPH WEBER, Ph.D.
Vice President,
Interclass (international corporate learning)
<PAGE>
Whether providing insurance protection for home, family and business or
arranging to cover future education and retirement expenses, Prudential people
have always been able to deliver something more: personal service, quality,
attention to detail and the financial strength of The Rock(R). Since 1875,
Prudential has been helping individuals and families meet their financial needs.
TO OBTAIN ADDITIONAL COPIES OF THIS SEMIANNUAL REPORT:
In the past, Contract Owners who held several variable contracts at the same
address received multiple copies of Annual and Semi-annual Reports. In an effort
to lessen waste and reduce your fund's expenses of postage and printing, we will
attempt to mail only one copy of this report for the contracts listed on the
cover, based on our current records for Contract Owners with the same last name
and same address. No action on your part is necessary. Upon request, we will
furnish you with additional reports. The toll-free numbers listed on the inside
back cover of this report should be used to request any additional copies of The
Prudential Series Fund, Inc., Semiannual Report. Proxy material and tax
information will continue to be sent to each account of record.
P.O. Box 7478 Bulk Rate
Philadelphia, PA 19101-7478 U.S. Postage
PAID
Address Service Requested Prudential
[LOGO OF RECYCLED PAPER APPEARS HERE]
Printed in the U.S.A.
PSF SAR 6/99 on recycled paper.
