<PAGE>
The Prudential Series Fund, Inc.
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)
SEMIANNUAL June 30, 2000
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
Build on the Rock
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-200007-A050488
[LOGO OF PRUDENTIAL]
<PAGE>
Build on the Rock
AVERAGE ANNUAL TOTAL RETURN AS OF JUNE 30, 2000/1/
<TABLE>
<CAPTION>
Six One Three Five Ten Since Inception
Months Year Years Years Years Inception Date
<S> <C> <C> <C> <C> <C> <C> <C>
Fixed-Income Portfolios
Money Market2 2.94 5.65 5.38 5.37 5.07 6.29 5/83
7-Day Current Net Yield5 6.03%
Diversified Bond3 2.80 3.75 4.47 5.95 7.75 8.53 5/83
Government Income3 4.43 4.34 5.80 5.80 7.43 7.79 5/89
Zero Coupon Bond 20004 2.71 4.32 5.82 5.49 8.42 9.36 2/86
Zero Coupon Bond 20054 4.58 3.92 6.52 6.03 9.51 9.30 5/89
Balanced Portfolios
Conservative Balanced 1.39 3.98 8.36 10.52 10.07 10.37 5/83
Flexible Managed 0.64 1.80 8.60 12.15 11.63 11.48 5/83
High Yield Bond Portfolio
High Yield Bond -1.90 -0.84 2.50 6.39 9.45 7.51 2/87
Diversified Stock Portfolios
Stock Index -0.54 6.95 19.34 23.42 17.38 18.10 10/87
Equity Income -5.31 -9.91 6.55 13.03 13.52 13.57 2/88
Equity Class I -5.47 -7.91 8.57 14.11 14.39 14.14 5/83
Prudential Jennison 3.98 28.27 31.78 27.80 N/A 29.67 4/95
Small Capitalization Stock 7.48 15.13 10.49 15.14 N/A 16.03 4/95
Global -0.99 33.77 20.42 20.01 13.69 13.58 9/88
Specialized Portfolio
Natural Resources 15.81 26.88 7.95 12.16 10.92 11.91 5/88
</TABLE>
Past performance is not indicative of future results.
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 6/30/2000. 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
$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.
4 Not available in all variable contracts.
5 The yield quotation more closely reflects the current earnings of the
portfolio than the total return quotation.
The rates of return quoted above and on the following pages reflect the
reinvestment of all dividends and capital gains, and the deduction of investment
management fees and expenses, but not variable product-related charges. If they
did, the performance quoted would be significantly lower.
Variable life insurance is distributed by Pruco Securities Corporation, 751
Broad Street, Newark, NJ 07102-3777. Variable annuities are distributed by
Prudential Investment Management Services LLC, 100 Mulberry Street, Gateway
Center Three, Newark, NJ 07102-4077. Both are subsidiaries of The Prudential
Insurance Company of America, 751 Broad Street, Newark, NJ 07102-3777.
Prudential, Pruco Life Insurance Company and Pruco Life Insurance Company of New
Jersey are each solely responsible for their respective financial condition and
contractual obligations.
<PAGE>
Table of Contents
--------------------------------------------------------------------------------
Letter to Contract Owners .....................................................3
Commentary and Outlook ......................................................4-7
The Prudential 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.
<PAGE>
Letter to Contract Owners
Six Months Ended June 30, 2000
[PHOTO]
CHAIRMAN
JOHN R. STRANGFELD
"The first six months of the new century were among the most tumultuous in
recent market history."
Dear Contract Owner:
This Semiannual Report reviews the investment strategies and performance of the
portfolios in your variable life insurance or variable annuity contract
available through Prudential.
Looking back
The first six months of the new century were among the most tumultuous in recent
market history. The seemingly endless upward trajectory of new economy
stocks--those in the technology, media and telecommunications industries--came
to an abrupt halt in late March. Signs that inflation might be rising in the
U.S., continued interest rate hikes, and high stock valuations caused investors
to flee the technology-laden Nasdaq market in droves. A long-anticipated U.S.
market correction was underway, and its impact was felt across the global
marketplace.
Maintain a long-term outlook
In summary, it was an eventful period in the financial markets--one that we
believe magnifies the value of several time-tested investment fundamentals.
First, maintaining a long-term outlook for your investments is vital. Market
fluctuations will occur, and reacting to short-term events is often ill-advised.
As a case in point, we've already seen a rebound in several sectors that
performed poorly during the second quarter of the year.
Diversification is key
Second, the financial markets are a moving target. As such, many investors find
themselves buying at market highs when they gravitate to the strongest-
performing sectors. A more sound approach is to diversify your portfolio across
a wide variety of investments. And take special care to rebalance your portfolio
should your asset allocation strategy veer from its original course.
Rely on your financial professional
Third, if you find yourself tempted to react to the latest market gyrations,
turn to your financial professional for guidance. He or she can review your
overall goals and determine if changes to your portfolio are necessary. This is
particularly important during periods of extreme market volatility.
Sincerely,
/s/ John R. Strangfeld
John R. Strangfeld
Chairman,
The Prudential Series Fund, Inc. July 17, 2000
3
<PAGE>
Equity Commentary
June 30, 2000
Turbulence and change in equity market
--------------------------------------------------------------------------------
Not only did the first half of 2000 include some of the most turbulent days in
U.S. stock market history, there were dramatic reversals of fortune at other
time scales as well--by quarter and by month. Many of these reversals canceled
each other out, so that by the end of June the S&P 500 had only a small net loss
and the Russell 2000 Index of small-cap stocks only a modest gain.
The main market stories over this period were the net correction (downward) of
extended telecommunications stocks and the see saw like rise of health care,
power utilities and energy stocks. The technology sector skyrocketed up,
corrected, then moved ahead again in a sharp June advance. Cyclical
stocks--basic materials (such as paper and forest products and metals), consumer
cyclicals (such as retail, autos and hotels), and capital goods (such as
engineering and construction)--had steep declines. These trends were global in
scope (except for capital goods, which had a moderately good local currency
return in Europe that translated into a marginally positive return for
dollar-based investors).
The result was a net advantage over the six months for growth over value
investing except among small caps, where the most speculative technology stocks
fell so much in March through May that they couldn't catch up in their June
surge. Small-cap (the Russell 2000 sectors) energy (excluding integrated oil
companies) and healthcare stocks had excellent catch-up returns of 52% and 36%,
respectively. Overall, midcap stocks had the best performance of any market
capitalization class, with mid-cap growth stocks the only equity market
capitalization range with strong returns.
Performance of Key Stock Market Indexes
Through June 30, 2000
[GRAPH]
S&P/ S&P/ Russell Russell MSCI MSCI MSCI
S&P BARRA BARRA 2000 2000 World Free Europe Japan
500 Value Growth Value Growth Index* Index* Index*
--------------------------------------------------------------------------------
-0.43% -4.07% 2.63% 5.85% 1.23% -2.56% -3.08% -5.37%
Strong economic growth creates fears and opportunities
--------------------------------------------------------------------------------
This pattern was driven by rapid U.S. economic growth, which led the Federal
Reserve to continue to raise interest rates. Rising interest rates hurt the
stocks of rapidly growing companies whose value lies in their future earnings:
The present value of such future earnings is reduced in a rising interest rate
environment. Moreover, the fear that rising interest rates would cut off
economic growth hurt both growth and cyclical stocks. Moreover, a growing global
imbalance of supply and demand for oil created a turnaround in energy. Oil
service companies performed quite well. A shortage of electricity generating
capacity in the United States, as well as low inventories of the natural gas
that is burned by many new generation plants, strengthened the domestic utility
sector stocks overall, although some companies remained vulnerable to rising
fuel prices.
A global downturn
--------------------------------------------------------------------------------
Only the Nordic region provided moderately good returns, led by Sweden. Other
than that, the picture was generally bleak except for a few scattered individual
countries with good returns: Canada, France, Malaysia, Israel, Venezuela and the
Czech Republic.
*In U.S. currency.
Sources: Morgan Stanley Capital International, Standard & Poor's, Frank Russell
Company, and Prudential as of June 30, 2000. All indexes are unmanaged and
provide an indication of stock price movements. Past performance is not
indicative of future results. Investors cannot invest directly in an index.
Standard & Poor's 500 Index comprises 500 large, established, publicly traded
stocks. Morgan Stanley Capital International Europe Index comprises
approximately 620 European companies. Morgan Stanley Capital International
Europe, Australia, Far East Index is a weighted, unmanaged index of performance
that reflects stock price movements in Europe, Australasia, and the Far East.
S&P/Barra Value Index contains companies within the S&P 500 with lower
price-to-book ratios. S&P/Barra Growth Index contains companies within the S&P
500 with higher price-to-book ratios. Russell 2000 Value Index measures the
performance of those Russell 2000 companies with lower price-to-book ratios.
Russell 2000 Growth Index measures the performance of those Russell 2000
companies with higher price-to-book ratios. Morgan Stanley Capital International
World Free Index contains those companies in the MSCI World Index that reflect
actual buyable opportunities for the nondomestic investor by taking into
account local market restrictions on share ownership by foreigners. These
indexes are calculated in U.S. dollars, without dividends reinvested. Morgan
Stanley Capital International Japan Index measures the performance of Japan's
stock market.
The views expressed are as of July 17, 2000, and are subject to change based on
market and other conditions.
4
<PAGE>
Equity Outlook
June 30, 2000
Stocks are at a fair value
--------------------------------------------------------------------------------
Our models show that overall stock prices are at about fair value on the basis
of today's earnings growth and interest rates. That means the markets should be
able to sustain ordinary rates of equity return (not the historically abnormal
returns of recent years) as long as earnings continue to grow and if interest
rates stabilize. One good sign is that downward revisions of earnings estimates
are less common this year than usual. Value investors are benefiting from the
recent trends toward stocks that are more defensive than most, but that also
have good growth prospects--such as drugs and utilities. Growth investors are
focused on long-term structural changes in the economy: wireless and broadband
telecommunications and the growth of the Internet companies. They tend to avoid
companies whose earnings are tied to the business cycle.
Internationally, the European economic recovery is also creating opportunities.
Moreover, the signs that China is serious about opening its economy bode well
for the industrialized countries in northern Asia that can export there: Korea,
Japan, Hong Kong, and Taiwan.
Stock selection key
--------------------------------------------------------------------------------
The discrepancies in pricing between value and growth stocks are smaller than
previously, and stock selection is likely to become more important than sector
differences. Technology companies will find investment capital more expensive.
Companies with strong balance sheets, positive cash flows, or access to cash
should still be able to grow. In sectors dependent upon commodity prices, there
may be substantial differences between firms exposed to rising prices and those
whose supplies are locked in. Investment opportunities generally are likely to
be more scattered than in the sector-focused markets we have had recently.
Note: Past performance is not a guarantee of future results. There is no
assurance that any of the forecasts discussed will be attained.
Performance of U.S. Market Sectors Through June 30, 2000
[GRAPH]
Year to Date
<TABLE>
<CAPTION>
Capital Communication Basic Consumer Consumer
Technology Energy Goods Utilities Services Materials Cyclicals Healthcare Staples Financials Transportation
------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
3.0% 4.7% -1.2% 15.3% -15.1% -24.8% -18.9% 23.7% -2.4% -0.5% 5.0%
</TABLE>
S&P 500 Index Sector Weightings
[GRAPH]
Technology 32.8%
Financials 12.7%
Healthcare 11.6%
Consumer Staples 10.3%
Consumer Cyclicals 7.4%
Capital Goods 8.0%
Communication Services 6.8%
Energy 5.4%
Basic Materials 1.9%
Utilities 2.5%
Transportation 0.6%
Source: Standard & Poor's as of June 30, 2000. The S&P 500 Index is an unmanaged
index of stocks that provides an indication of stock price movements. Past
performance is not indicative of future results. Investors cannot invest
directly in an index.
5
<PAGE>
Bond Commentary
June 30, 2000
A good first half for U.S. Treasuries
--------------------------------------------------------------------------------
Prices of most U.S. Treasury securities climbed during the first half of 2000,
leaving prices of other U.S. fixed-income securities far behind. Favorable
technical factors and moderating economic growth sparked a rally primarily in
longer-term Treasuries.
Initially, though, Treasuries began 2000 on a weak note. The U.S. economy had
expanded rapidly in late 1999. Investors therefore feared the Federal Reserve
might repeatedly increase short-term interest rates to prevent the economy from
exceeding what the central bank believes to be its speed limit. In anticipation,
investors required higher bond yields, which forced bond prices lower.
However, the sell-off soon turned into a rally, at least for longer-term
Treasuries. The U.S. Treasury Department cut back issuance of its securities
because a growing federal budget surplus has reduced its borrowing needs. It
also commenced a program to buy back up to $30 billion of older, mostly
longer-term Treasuries by the end of 2000. Taken together, these two
developments set off a stampede to buy longer-term Treasuries.
The enthusiasm for longer-term Treasuries faded as it became clear the Fed's
quarter-point rate hikes in February and March would be followed by a half-point
increase in mid May. Some investors worried the Fed might prove too heavy handed
and trigger an economic downturn that would sap corporate earnings. Not
surprisingly, prices of investment-grade and high-yield U.S. corporate bonds got
hit even harder than Treasuries during this time. High-yield (junk) bonds also
suffered, because a growing number of companies failed to make interest and
principal payments on their junk bonds in May.
Not until reports began to show that the economy was gradually losing steam did
prices of U.S. fixed-income securities once again turn higher. Signs of
moderating economic growth might mean the Fed would soon be finished increasing
rates. Amid this change in market sentiment, prices in U.S. debt securities
markets gained in June. Nevertheless, among U.S. bond markets, the Treasury
market finished in first place for the six-month period, helped by the strong
performance of its longer-term securities earlier in the year.
But an even better first half for emerging market bonds
--------------------------------------------------------------------------------
Although Treasuries performed impressively, the top fixed-income market for the
first half of 2000 was emerging market bonds, based on Lehman Brothers indexes.
They returned a solid 7.59% as economic fundamentals in several developing
countries proved stronger than expected. Rising prices of oil, gas, and other
natural resources strengthened the economies of some developing nations that
export these commodities. Improving economic conditions in turn boosted their
foreign currency reserves. Moreover, some countries cut their financing costs by
swapping new bonds for older debt securities. These positive developments and
others attracted investors to emerging market bonds.
Among nations with developed economies, the government bond markets of
Australia, Canada and the United Kingdom posted attractive returns on a local
currency basis but lower returns when expressed in U.S. dollars. Their central
banks, which have repeatedly increased short-term rates to keep their respective
economies from overheating, are widely believed to be near the end of their
current tightening cycles.
Performance of Fixed-Income Market Indexes Through June 30, 2000
[GRAPH]
<TABLE>
<CAPTION>
Global U.S. Mortgage- Emerging U.S. U.S. Aggregate U.S. Corp U.S. Corporate
(U.S. dollar) Index Backed Securities Markets Treasuries Index Invest. Grade U.S. Municipals High Yield
------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
-0.08% 3.67% 7.59% 5.37% 3.99% 2.68% 4.48% -1.21%
</TABLE>
Source: Lehman Brothers as of June 30, 2000. The Lehman Brothers indexes are
unmanaged indexes of bonds that provide an indication of bond price movements.
Past performance is not indicative of future results. Investors cannot invest
directly in an index.
6
<PAGE>
Bond Outlook 2000
June 30, 2000
Current cycle of Fed rate hikes may be nearly over
--------------------------------------------------------------------------------
The commonly accepted wisdom holds that increases in short-term interest rates
hurt bonds. However, the Federal Reserve's unusually large half-point rate hike
in May 2000 might benefit U.S. fixed-income markets--at least in the long run.
This could prove true if the Fed's largest rate increase in more than five years
proves to be a signal that it has nearly completed its current round of
tightening monetary policy.
Since June 1999, the U.S. central bank has raised rates six times. The first
five were quarter-point rate hikes and the sixth was for half of a percentage
point. Taken together, these moves lifted the federal funds rate (the rate U.S.
banks charge each other for overnight loans) to 6.50%, its highest level since
January 1991.
While rates remained unchanged after its latest meeting in June 2000, the U.S.
central bank warned more rate hikes could follow, because it is not convinced
that recent indications of an economic slowdown will last. The implied yield on
federal funds futures contracts indicates the Fed is expected to raise
short-term rates by another quarter of a percentage point later this year.
We too believe the central bank's current series of rate hikes is just about
over. We expect inflation to taper off as U.S. economic activity continues to
moderate in coming months, lessening the need for further moves by the Fed.
We see good value in the U.S. high-yield bond market
--------------------------------------------------------------------------------
Historically, bond returns have been strong in the 12-month period following the
completion of a Fed tightening cycle. An examination of 12-month returns as
measured by the Lehman Aggregate Index shows U.S. bonds posted double-digit
returns after the end of each of the last six Fed tightening cycles. Although we
do not expect U.S. bond markets to perform as strongly this time around, we
nonetheless see room for improvement, particularly in the market for high-yield
(junk) corporate bonds.
Compared with the yield on 10-year U.S. Treasuries, junk bond yields earlier in
the year rose to their highest levels in nearly a decade. The huge difference in
yields partly reflects the scarcity value of Treasuries. The supply of
Treasuries is shrinking because growing federal budget surpluses have reduced
the government's need to borrow.
But the large gap in yields also occurred because volatile stock prices and an
increase in the junk bond default rate hurt demand for high-yield bonds.
Bond investors were more cautious about lending money to companies whose market
values were fluctuating wildly. Like stock investors, they were concerned about
the impact of a slowdown on corporate earnings. However, the economy is not
expected to slip into a recession, and investor cash flows into junk bond mutual
funds turned positive in the last two weeks of June. This may herald a change in
trend.
The trend had been downhill as net flows into bond mutual funds turned strongly
negative early in the year. Looking back, retail investors left bond funds in
droves in 1987 and 1994 before substantial bull markets began, according to data
by International Strategy and Investment (ISI) and Lehman Brothers. In the same
vein, an ISI survey showed institutional investors have not been this bearish on
bonds since the end of the 1994 and 1996 bear markets.
Investors that return to the junk bond market will find yields at very
attractive levels. Both the nominal yield and the real yield (yield minus the
inflation rate) have been at such high levels only once or twice in the past ten
years, based on data from Lehman Brothers.
Municipal bond yields are also attractive. Thirty-year insured munis rated AAA
are yielding roughly 97% as much as 30-year Treasury bonds. Although prices of
municipal bonds have already gained this year, we believe they will rise further
if a continued light supply of tax-exempt securities meets with strong demand
from investors.
Note: Past performance is not a guarantee of future results. There is no
assurance that any of the forecasts discussed will be attained.
7
<PAGE>
Prudential Series Fund
Money Market Portfolio
June 30, 2000
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.
Seven-Day Current Net Yields
[GRAPH]
Money Market Average Money
Portfolio1 Market Fund3
------------ -------------
4.63 4.28
July|99 4.73 4.33
4.73 4.35
4.77 4.38
4.84 4.4
Aug|99 4.82 4.42
4.83 4.42
4.85 4.47
4.88 4.5
4.9 4.55
Sept|99 4.95 4.59
4.96 4.61
4.98 4.65
5.03 4.67
Oct|99 5.09 4.68
5.11 4.71
5.11 4.74
5.14 4.77
Nov|99 5.16 4.81
5.19 4.81
5.24 4.87
5.28 4.92
5.29 4.98
Dec|99 5.38 5.01
5.46 5.07
5.56 5.13
5.65 5.16
Jan|00 5.56 5.07
5.7 5.17
5.67 5.14
5.72 5.11
Feb|00 5.58 5.12
5.6 5.13
5.6 5.16
5.6 5.17
5.63 5.19
March|00 5.62 5.19
5.61 5.2
5.62 5.24
5.68 5.29
April|00 5.72 5.36
5.74 5.35
5.73 5.38
5.75 5.39
May|00 5.76 5.4
5.74 5.42
5.84 5.49
5.97 5.61
6.11 5.69
June|00 6.14 5.74
6.15 5.78
6.17 5.81
6.12 5.86
Weekly seven-day current net yields of the Money Market Portfolio and the
iMoneyNet First and Second Tier General Purpose Retail as of 6/27/2000.
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 are not annualized.
2 The Lipper Variable Insurance Products (VIP) Money Market 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 Source: iMoneyNet, Inc. As of 6/27/2000, based on 316 funds in the iMoneyNet
General Purpose Universe.
Performance Summary
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
------------------------------------------------------------------------------------------------------
Six 7-day
Average Annual Returns Months 1-Year 3-Year 5-Year 10-Year Current Net Yield1
------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Money Market Portfolio1 2.94% 5.65% 5.38% 5.37% 5.07% 6.12%
------------------------------------------------------------------------------------------------------
Lipper (VIP) Money Market Avg.2 2.80% 5.34% 5.13% 5.14% 4.82% N/A
------------------------------------------------------------------------------------------------------
</TABLE>
Money Market Portfolio inception date: 5/13/83. The yield quotation more closely
reflects the current earnings of the money market portfolio than the total
return quotation.
The six months that ended on June 30, 2000, were ripe with attractive
opportunities to invest in money market securities. The Federal Reserve
repeatedly increased short-term interest rates, which pushed money market yields
sharply higher. Our investment strategy enabled the Portfolio to benefit from
this trend.
The Prudential Series Fund Money Market Portfolio returned 2.94% for the six
months, compared with a 2.80% return reported by the average money market fund
as tracked by Lipper, Inc. On June 27, 2000, the Portfolio's seven-day yield was
6.12%, up from 5.65% on December 28, 1999.
(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.)
Performance Review
--------------------------------------------------------------------------------
The Fed's short-term rate hikes have led to higher yields on money market funds,
but yields on long-term U.S. Treasuries have fallen amid a shrinking supply of
these securities. Therefore, yields on money market funds have generally reached
levels that are comparable with yields on long-term Treasuries.
8
<PAGE>
Strategy Session
--------------------------------------------------------------------------------
As we discussed in our previous letter to shareholders, the Portfolio has
sizable holdings of adjustable-rate securities, most of which carry interest
rates that adjust periodically based on London Interbank Offered Rates (LIBORs).
These adjustable-rate securities were issued in 1999 with unusually wide yield
spreads by banks and corporations rushing to complete their year-end borrowing
early. The companies wanted to minimize any problems that might occur if
computers malfunctioned when switching their internal dates from 1999 to 2000.
After the change of year proceeded relatively smoothly in the financial markets,
yield spreads on adjustable-rate securities began to narrow toward historical
norms. This trend enhanced the Portfolio's relative performance.
In early 2000, the Federal Reserve was expected to increase short-term interest
rates to curb U.S. economic growth and check inflation. Investors began to push
money market yields higher in anticipation of this change in monetary policy.
Our Portfolio positioning allowed us the flexibility to avoid purchasing
longer-term money market securities and to essentially wait for short-term rates
to rise to levels commensurate with our expectations for tighter monetary
policy. Specifically, the Portfolio's weighted average maturity (WAM), which had
begun the quarter significantly longer than that of its competition, gradually
shortened. (WAM is a measurement tool that determines a Portfolio's sensitivity
to changes in the level of interest rates. It takes into account the maturity
level of each security held by a Portfolio.) Having our WAM shorten enabled the
Portfolio to have plenty of money to buy money market securities when sharply
higher yields became available later in the spring of 2000.
In light of the Fed's short-term rate increases in February, March and May,
yields on one-year bank and corporate securities nearly rose to 7.50% in May and
June. Although these yields were attractive, we bought six-month securities
because we believed the Fed would continue to raise rates aggressively. Our
purchases lengthened the Portfolio's WAM until it was once again longer than
that of its competitive average. It is always tough to predict when rates will
peak, and in hindsight we should have bought one-year securities in the last
week of May and early June, because money market yields seem to have crested
during that time.
Outlook
--------------------------------------------------------------------------------
Portfolio Managers Manolita Brasil and Joseph Tully
[PHOTO] [PHOTO]
"We believe the Fed's unusually large half-point rate hike in May could signal
that its current round of tightening monetary policy is nearly over. We expect
economic activity to continue to moderate this year, decreasing the amount of
additional Fed rate hikes that might be necessary."
Portfolio Composition
as of 6/30/2000
---------------
Other Commercial Paper 26.9%
Other Corporate Obligations 21.8%
Yankee Commercial Paper 14.8%
U.S. Bank Obligations (Domestic) 13.8%
Foreign Bank Obligations 10.1%
Bank Holding Company Obligations 6.7%
Loan Participations 3.0%
Funding Agreements 1.6%
U.S. Government & Agencies 1.3%
Source: Prudential. Holdings are subject to change.
9
<PAGE>
Prudential Series Fund
Diversified Bond Portfolio
June 30, 2000
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.
$10,000 Invested Over Ten Years
[GRAPH]
Diversified Lipper (VIP) Lehman Aggregate
Bond Portfolio1 Corp. Debt BBB Avg.2 Bond Index3
--------------- -------------------- ----------------
June|90 10,000 10,000 10,000
10,599 10,364 10,596
June|91 11,075 10,923 11,070
12,341 12,136 12,292
June|92 12,676 12,512 12,624
13,228 13,091 13,202
June|93 14,185 14,184 14,112
14,569 14,691 14,489
June|94 14,013 13,968 13,928
14,098 14,068 14,066
June|95 15,801 15,806 15,676
17,020 16,919 16,665
June|96 16,759 16,654 16,462
17,769 17,592 17,270
June|97 18,499 18,158 17,804
19,291 19,370 18,937
June|98 20,147 20,156 19,681
20,671 20,744 20,582
June|99 20,332 20,330 20,300
20,519 20,408 20,413
June|2000 21,095 20,996 21,227
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 are 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.
Performance Summary
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
Six
Average Annual Returns Months 1-Year 3-Year 5-Year 10-Year
--------------------------------------------------------------------------------
Diversified Bond Portfolio1 2.80% 3.75% 4.47% 5.95% 7.75%
--------------------------------------------------------------------------------
Lipper (VIP) Corp. Debt BBB Avg.2 3.08% 3.48% 5.08% 5.95% 7.68%
--------------------------------------------------------------------------------
Lehman Aggregate Bond Index3 3.99% 4.56% 6.04% 6.25% 7.82%
--------------------------------------------------------------------------------
Diversified Bond Portfolio inception date: 5/13/83.
Prices of investment-grade U.S. corporate bonds could not keep up with gains in
the prices of longer-term U.S. Treasuries during the six months that ended on
June 30, 2000. Corporate bonds underperformed as that market sold off, because
the Federal Reserve repeatedly increased short-term interest rates, and strong
investor demand for a shrinking supply of longer-term Treasuries caused their
prices to rally.
Within the corporate bond market, BBB-rated debt securities did not perform as
well as higher-rated bonds because many market participants favored the more
conservative investments. The Portfolio's holdings of BBB-rated corporate bonds
were therefore a drag on its relative performance.
The Prudential Series Fund Diversified Bond Portfolio returned 2.80% for the six
months compared with 3.08% for the Lipper (VIP) Corporate Debt BBB Average.
Performance Review
--------------------------------------------------------------------------------
U.S. high-yield corporate bonds, or junk bonds, also underperformed Treasuries
during the six months. Besides the rise in short-term rates, the high-yield bond
market was hurt by a record level of redemptions from mutual funds that invest
in high-yield bonds. We reduced our exposure to these below-investment-grade
debt securities.
10
<PAGE>
Strategy Session
--------------------------------------------------------------------------------
During most of the first half of 2000, the difference between the yields of
investment-grade U.S. corporate bonds and comparable U.S. Treasury securities
widened dramatically. Two major developments drove this trend.
First, investors pushed corporate bond yields higher (and their prices lower) as
the Federal Reserve raised short-term rates three times to cool off the U.S.
economy and dampen inflation. Fear that an economic slowdown could sap corporate
profits also hurt corporate bonds.
Second, yields on longer-term Treasuries fell (and their prices rose) as
investors rushed to buy a dwindling supply of these securities. The U.S.
Treasury Department reduced issuance of its securities and began to buy back up
to $30 billion of mostly longer-term Treasuries by the end of the year. Growing
federal budget surpluses have lowered the government's borrowing needs and
allowed it to pay off some of its publicly held debt.
We adopted a more defensive investment strategy reflecting the trend toward
tighter monetary policy. We sold some of our longer-term corporate bonds and
purchased shorter-term corporate bonds to maintain yield while reducing price
risk and volatility. We also took profits on some of the Portfolio's emerging
market bonds, which had performed well in the first three months of 2000. We
used some of the proceeds to buy longer-term Treasuries, which increased the
Portfolio's overall holdings of Treasuries to 15% of its total investments as of
June 30, 2000, from 10% as of December 31, 1999.
From a credit quality perspective, our high-yield bonds consisted mostly of
BB-rated securities that performed relatively well versus the high-yield market.
We sold some of our BB-rated bonds, which fell to 7% of the Portfolio's total
investments from 11%. BBB-rated corporate bonds accounted for roughly 40% of the
Portfolio's total investments throughout the six months. Despite their strong
performance in June, BBB was the worst-performing ratings category among
investment-grade corporate bonds for the period ending June 30, 2000. Therefore,
our large BBB exposure hurt the Portfolio's relative performance, as did losses
on our Conseco bonds, whose rating was downgraded by major credit rating
agencies.
Outlook
--------------------------------------------------------------------------------
Portfolio Manager Steven Kellner
[PHOTO]
"Prices of investment-grade U.S. corporate bonds rallied in June as signs of
slower U.S. economic growth fueled hope that the Fed may be nearly finished
tightening monetary policy for this interest rate cycle. If this turns out to be
true, we believe corporate bond prices will continue to gain in the second half
of the year."
Portfolio Composition
as of 6/30/2000
---------------
Corporate Bonds 66.7%
U.S. Treasuries 15.6%
Short-Term 12.2%
Asset-Backed 3.2%
Mortgages 2.0%
Equity Securities 0.3%
Source: Prudential. Holdings are subject to change.
Credit Quality
as of 6/30/2000
---------------
U.S. Government & Agencies 17.6%
AAA 5.5%
AA 8.0%
A 17.3%
BBB 32.0%
BB 7.0%
B 1.1%
Short-Term/Cash 11.5%
Average Credit Quality A
Duration 5.1 years
Average Maturity 9.6 years
Source: Prudential. Holdings are subject to change.
11
<PAGE>
Prudential Series Fund
Government Income Portfolio
June 30, 2000
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.
$10,000 Invested Over Ten Years
[GRAPH]
Government Income Lipper (VIP) General Lehman Gov't.
Portfolio1 U.S. Gov't. Avg.2 Bond Index3
----------------- -------------------- -------------
June|90 10,000 10,000 10,000
10,512 10,588 10,637
June|91 10,735 10,967 11,014
12,205 12,255 12,266
June|92 12,293 12,526 12,528
12,919 13,111 13,152
June|93 14,092 14,091 14,144
14,542 14,412 14,554
June|94 13,727 13,715 13,955
13,791 13,821 14,063
June|95 15,442 15,381 15,638
16,477 16,364 16,642
June|96 16,076 16,031 16,343
16,842 16,787 17,103
June|97 17,285 17,253 17,552
18,470 18,312 18,743
June|98 19,199 18,998 19,527
20,148 19,860 20,589
June|99 19,621 19,445 20,122
19,604 19,480 20,129
June|2000 20,473 20,267 21,129
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 are 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.
Performance Summary
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
Six
Average Annual Returns Months 1-Year 3-Year 5-Year 10-Year
--------------------------------------------------------------------------------
Government Income Portfolio(1) 4.43% 4.34% 5.80% 5.80% 7.43%
--------------------------------------------------------------------------------
Lipper (VIP) General U.S. Gov't. Avg.(2) 4.28% 4.22% 5.43% 5.51% 7.32%
--------------------------------------------------------------------------------
Lehman Gov't. Bond Index(3) 4.97% 5.01% 6.38% 6.20% 7.77%
--------------------------------------------------------------------------------
Government Income portfolio inception date: 5/1/89.
The first half of 2000 proved to be a bullish period for the U.S. Treasury
market, which outperformed all other U.S. fixed-income markets, according to
Lehman Brothers indexes. Favorable technical factors and moderating economic
growth sparked a strong rally primarily in the prices of longer-term Treasuries.
The Prudential Series Fund Government Income Portfolio posted a 4.43% return
that surpassed the 4.28% return of the Lipper (VIP) General U.S. Government
Average during the first six month of 2000. The Portfolio had sizable positions
in longer-term Treasuries, the strongest-performing sector of the Treasury
market during our six-month review period.
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.
Performance Review
--------------------------------------------------------------------------------
Although we sold some of our U.S. Treasuries, they remained about 20% of the
Portfolio's total investments throughout our six-month review period.
Maintaining considerable positions in Treasuries, particularly longer-dated
ones, helped the Portfolio's relative performance. A look at the Lehman Brothers
U.S. Treasury Index shows Treasuries maturing in 20 years or longer, posted the
strongest returns of the six-month period in the Treasury market.
12
<PAGE>
Strategy Session
--------------------------------------------------------------------------------
The Federal Reserve raised short-term interest rates three times, which drove up
borrowing costs for consumers and businesses. The Fed hoped that by raising
rates and thereby increasing the cost of borrowing vehicles such as mortgages
and credit cards, it could curb economic activity and prevent rising inflation.
As the Fed tightened monetary policy, yields on shorter-term Treasuries also
rose, pushing their prices lower.
Meanwhile, the U.S. Treasury Department began to buy back up to $30 billion of
mostly longer-term Treasuries, and it also reduced issuance of Treasuries.
Growing federal budget surpluses have lowered governmental borrowing needs. The
prospect of a decreased supply and increased demand for Treasuries drove their
yields lower (and prices higher), especially among longer-term Treasuries.
The combined effect of the Fed rate hikes pushing yields on shorter-dated
Treasuries higher and the buyback program driving yields on longer-term
Treasuries lower caused an inversion of the Treasury yield curve, which is a
graph that depicts yields on the shortest to the longest bonds. Normally,
longer-dated bonds provide higher yields to compensate for the greater risk
associated with investing for a longer time. But on June 30, 2000, yields on
two- and 30-year Treasuries stood at 6.36% and 5.89%, respectively.
Prices of both mortgage-backed securities and federal agency securities lagged
gains in the prices of Treasuries, which caused the difference between their
yields and yields on Treasuries to increase significantly. We took advantage of
this trend by selling some of our Treasuries to buy mortgage-related
investments. We increased our holdings in several types of mortgage-related
investments, especially 30-year Ginnie Mae pass-through securities, 15-year
Fannie Mae pass-through securities, commercial mortgage-backed securities and
collateralized mortgage obligations. In total, mortgage-related investments
accounted for 31% of the Portfolio's total investments as of June 30, 2000, up
from 18% at the beginning of our review period. By contrast, Treasury holdings
fell to 20% from 31%.
Outlook
--------------------------------------------------------------------------------
Portfolio Manager Michael Lillard
[PHOTO]
"While some signs of slower U.S. economic growth have emerged, we believe that
more increases in short-term rates may be necessary later in the year to keep
the resilient economy from overheating. We continue to find mortgage-backed
securities and federal agency securities attractive, because their yields remain
unusually high relative to yields on comparable Treasuries."
Portfolio Composition
as of 6/30/2000
---------------
U.S. Government Agencies 38.4%
Mortgages 26.6%
U.S. Treasuries 18.8%
CMOs 3.2%
Asset-Backed 3.2%
Short-Term/Cash 9.8%
Credit Quality
as of 6/30/2000
---------------
U.S. Government Agencies 83.8%
AAA 6.4%
Short-Term/Cash 9.8%
Average Credit Quality AAA
Duration 5.3 years
Average Maturity 8.4 years
Source: Prudential. Holdings are subject to change.
13
<PAGE>
Prudential Series Fund
Zero Coupon Bond 2000 Portfolio*
June 30, 2000
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.
$10,000 Invested Over Ten Years
[GRAPH]
Zero Coupon Bond Lehman Gov't. Lipper (VIP)
2000 Portfolio1 Bond Index3 Target Mat. Avg.2
---------------- ------------- -----------------
June|90 10,000 10,000 10,000
10,634 10,637 10,643
June|91 10,898 11,014 10,751
12,836 12,266 12,828
June|92 12,916 12,528 12,938
13,939 13,152 14,178
June|93 15,695 14,144 16,258
16,190 14,554 16,953
June|94 15,050 13,955 15,358
15,028 14,063 15,438
June|95 17,176 15,638 18,155
18,269 16,642 19,809
June|96 17,806 16,343 18,728
18,549 17,103 19,832
June|97 18,940 17,552 20,251
19,878 18,743 21,878
June|98 20,493 19,527 22,833
21,382 20,589 24,193
June|99 21,512 20,122 23,416
21,849 20,129 23,377
June|2000 22,441 21,129 24,269
* Not available in all variable 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 are 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.
Performance Summary
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
Six
Average Annual Returns Months 1-Year 3-Year 5-Year 10-Year
--------------------------------------------------------------------------------
Zero Coupon Bond 2000 Portfolio(1) 2.71% 4.32% 5.82% 5.49% 8.42%
--------------------------------------------------------------------------------
Lipper (VIP) Target Mat. Avg.(2) 4.20% 3.95% 6.44% 6.12% 9.24%
--------------------------------------------------------------------------------
Lehman Gov't. Bond Index(3) 4.97% 5.01% 6.38% 6.20% 7.77%
--------------------------------------------------------------------------------
Zero Coupon Bond 2000 Portfolio inception date: 2/12/86.
For the six months that ended on June 30, 2000, the Prudential Series Fund Zero
Coupon Bond 2000 Portfolio returned 2.71%. By comparison, the Lipper (VIP)
Target Maturity Average returned 4.20%.
Short-term U.S. Treasuries and federal agency securities, such as those held by
the Portfolio, underperformed longer-dated securities in these bond markets.
This was largely caused by two factors. First, the Federal Reserve's increasing
of short-term interest rates hurt short-maturity bonds. Second, the U.S.
Treasury Department's buying back of some of its longer-term Treasuries helped
these securities to outperform.
The Prudential Series Fund Zero Coupon Bond 2000 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--except as otherwise directed by Contract Owners--will be
used to purchase shares of the Prudential Series Fund Money Market Portfolio.
Performance Review
--------------------------------------------------------------------------------
As we mentioned earlier, the Portfolio's focus on short-term debt securities
hurt its relative performance. A detailed look at the Lehman Government Bond
Index shows a large difference between the price increases of short-,
intermediate- and long-term bonds.
Overall, the index gained 4.97%. This return was comprised of a 3.00% gain for
one- to three-year securities, a 3.48% gain for intermediate-term securities and
an 8.77% gain for long-term securities. Because the Portfolio holds very
short-term bonds, its return is most comparable to that of the index for
securities maturing in one to three years.
14
<PAGE>
Prudential Series Fund
Zero Coupon Bond 2005 Portfolio*
June 30,2000
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.
$10,000 Invested Over Ten Years
[GRAPH]
Zero Coupon Bond Lipper (VIP) Lehman Gov't.
2005 Portfolio1 Target Mat. Avg.2 Bond Index3
---------------- ----------------- -------------
Jun-90 10,000 10,000 10,000
10,528 10,643 10,637
Jun-91 10,670 10,751 11,014
12,755 12,828 12,266
Jun-92 12,678 12,938 12,528
13,988 14,178 13,152
Jun-93 16,313 16,258 14,144
17,056 16,953 14,554
Jun-94 15,325 15,358 13,955
15,418 15,438 14,063
Jun-95 18,501 18,155 15,638
20,328 19,809 16,642
Jun-96 18,932 18,728 16,343
20,123 19,832 17,103
Jun-97 20,519 20,251 17,552
22,372 21,878 18,743
Jun-98 23,362 22,833 19,527
25,135 24,193 20,589
Jun-99 23,862 23,416 20,122
23,713 23,377 20,129
Jun-00 24,798 24,269 21,129
* Not available in all variable 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 are 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.
Performance Summary
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
Six
Average Annual Returns Months 1-Year 3-Year 5-Year 10-Year
--------------------------------------------------------------------------------
Zero Coupon Bond 2005 Portfolio(1) 4.58% 3.92% 6.52% 6.03% 9.51%
--------------------------------------------------------------------------------
Lipper (VIP) Target Mat. Avg.(2) 4.20% 3.95% 6.44% 6.12% 9.24%
--------------------------------------------------------------------------------
Lehman Gov't. Bond Index(3) 4.97% 5.01% 6.38% 6.20% 7.77%
--------------------------------------------------------------------------------
Zero Coupon Bond 2005 Portfolio inception date: 5/1/89
For the six months that ended on June 30, 2000, the Prudential Series Fund Zero
Coupon Bond 2005 Portfolio returned 4.58%. By comparison, the Lipper (VIP)
Target Maturity Average returned 4.20%.
Prices of long-term U.S. Treasuries rose sharply as a dwindling supply of these
securities met with strong investor demand. Fewer were available, because the
U.S. Treasury Department launched a program to buy back up to $30 billion of
mostly longer-term Treasuries by the end of this year. It also reduced issuance
of new Treasuries. The Portfolio benefited from these developments because
prices of its intermediate-term Treasuries rallied, albeit to a lesser extent
than long-term Treasuries.
Performance Review
--------------------------------------------------------------------------------
U.S. Treasuries accounted for 76% of the Portfolio's total investments as of
June 30, 2000. This large holding of Treasuries enhanced the Portfolio's
performance, because the Treasury market led all other U.S. bond markets in the
first half of 2000, based on Lehman Brothers indexes. The rush to buy a
dwindling supply of longer-term Treasuries helped the Treasury market post a
higher return than the federal agency securities market, which accounted for 22%
of the Portfolio's total investments at the end of June.
15
<PAGE>
Prudential Series Fund
Conservative Balanced Portfolio
June 30, 2000
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 and 65%
debt obligations and money market securities.
$10,000 Invested Over Ten Years
[GRAPH]
Conservative Lipper (VIP) Lehman
Balanced Balanced Gov't./Corp. S&P 500
Portfolio1 Funds Avg.2 Bond Index4 Index3
June|90 10,000 10,000 10,000 10,000
10,185 9,904 10,573 9,400
June|91 11,016 10,778 11,022 10,737
12,127 12,096 12,278 12,257
June|92 12,236 12,136 12,584 12,175
12,971 13,026 13,209 13,190
June|93 13,986 13,793 14,238 13,831
14,553 14,509 14,666 14,516
June|94 14,213 13,785 14,030 14,025
14,412 14,010 14,151 14,707
June|95 15,830 15,983 15,821 17,676
16,901 17,422 16,874 20,227
June|96 17,753 18,238 16,557 22,268
19,035 19,680 17,364 24,868
June|97 20,519 21,703 17,841 29,990
21,596 23,361 19,059 33,162
June|98 23,328 25,694 19,854 39,039
24,130 26,880 20,864 42,646
June|99 25,105 28,648 20,389 47,925
25,745 29,952 20,416 51,616
June|2000 26,104 30,706 21,269 51,395
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 are not annualized.
2 The Lipper Variable Insurance Products (VIP) Balanced Funds 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.
Performance Summary
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
Six
Average Annual Returns Months 1-Year 3-Year 5-Year 10-Year
--------------------------------------------------------------------------------
Conservative Balanced Portfolio1 1.39% 3.98% 8.36% 10.52% 10.07%
--------------------------------------------------------------------------------
Lipper (VIP) Balanced Funds Avg.2 1.26% 3.88% 11.18% 13.29% 11.82%
--------------------------------------------------------------------------------
S&P 500 Index3 -0.43% 7.24% 19.67% 23.80% 17.79%
--------------------------------------------------------------------------------
Lehman Gov't./Corp. Bond Index4 4.18% 4.32% 6.03% 6.10% 7.84%
--------------------------------------------------------------------------------
Conservative Balanced Portfolio inception date: 5/13/83.
The Prudential Series Fund Conservative Balanced Portfolio--which invests in a
conservative mix of bonds, stocks and money market securities--returned 1.39% in
the first half of 2000, in line with the 1.26% return of the Lipper (VIP)
Balanced Funds Average. The Portfolio's conservative mandate requires us to hold
a smaller position in equities than the typical balanced portfolio, and this
served the Portfolio well in a declining stock market. The equity allocation
approximated 40% for much of the first half of the period. The Portfolio's
substantial allocation to bonds did well, because inflationary expectations fell
in response to continued Federal Reserve tightening.
Performance Review
--------------------------------------------------------------------------------
The normal allocation of the Conservative Balanced Portfolio has been
approximately equal holdings of stocks, bonds and money market instruments. This
mix was intended to provide better performance than a portfolio consisting only
of bonds, but with less annual volatility than a portfolio consisting only of
stocks. The Portfolio's equity allocation has been shared between a portion
managed to mirror the S&P 500 Index and a portion actively managed in a value
style. Over the past several years, most of the money market allocation has been
shifted to intermediate-term bonds to improve the Portfolio's return.
We made two important changes to the Portfolio in the second quarter: 1) we
increased the target equity allocation from 35% to 50%, the bond target from 35%
to 40% and reduced the short-term money market allocation to 10%, and 2) we
shifted assets from the value-style portion of the equity portfolio toward the
portion that attempts to match the performance of the S&P 500 Index. This
conversion had a modestly positive impact on performance during the reporting
period, since value stocks were near a market high. Conversely, we bought
depressed growth stocks, which rose in June's growth stock rebound. To finance
the equity increase, we eliminated a number of intermediate-term bonds that we
had held for several years as a cash substitute.
16
<PAGE>
Strategy Session
--------------------------------------------------------------------------------
Our decision to increase the Portfolio's allocation to equities, while intended
to reduce differences in the Portfolio's performance relative to its peers, may
also increase its volatility. In the past, we had sacrificed long-term average
performance for lower volatility in absolute terms. However, the changes we made
to our style of stock management should reduce volatility in the actively
managed portion of the equity sleeve. We expect to be less exposed to swings in
market favor from one investment style to another.
The Portfolio still maintains a somewhat more conservative asset mix relative to
the average balanced fund (which has between 55% and 60% of its assets invested
in stocks). Nonetheless, we have confidence that the changes we have made will
improve the long-term performance of the Portfolio.
Outlook
--------------------------------------------------------------------------------
Portfolio Manager Mark Stumpp
[PHOTO]
"Our models show that the overall stock market is fairly valued in light of
current earnings growth and interest rates. This means the markets should be
able to sustain normal rates of equity return (not the historically abnormal
returns of recent years) as long as earnings continue to grow and if interest
rates stabilize. If, as many expect, the U.S. has a "soft landing" (slows from
the very rapid growth it exhibited early in the year to a pace that is
sustainable), these conditions ought to be satisfied."
Portfolio Composition (Long Term)
as of 6/30/2000
---------------
Stocks 60.3%
Bonds 39.7%
Sector Breakdown--Stock
as of 6/30/2000
---------------
Technology 32.4%
Consumer Growth & Staples 23.0%
Finance 13.4%
Industrials 10.3%
Utilities 9.0%
Consumer Cyclicals 6.3%
Energy 5.6%
Sector Breakdown--Bond
as of 6/30/2000
---------------
Corporate Bonds 65.2%
U.S. Treasuries 26.6%
Asset-Backed 5.9%
Equity Securities 2.1%
Short-Term/Cash 0.2%
Source: Prudential. Holdings subject to change.
<PAGE>
Prudential Series Fund
Flexible Managed Portfolio
June 30, 2000
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.
$10,000 Invested Over Ten Years
[GRAPH]
Flexible Lipper (VIP) Lehman Gov't./Corp. S&P 500
Managed Portfolio1 Flexible Avg.2 Bond Index4 Index3
June|90 10,000 10,000 10,000 10,000
9,994 9,827 10,573 9,400
June|91 10,863 10,922 11,022 10,737
12,535 12,363 12,278 12,257
June|92 12,264 12,382 12,584 12,175
13,489 13,347 13,209 13,190
June|93 14,691 14,176 14,238 13,831
15,590 14,952 14,666 14,516
June|94 14,740 14,341 14,030 14,025
15,097 14,695 14,151 14,707
June|95 16,933 16,760 15,821 17,676
18,741 18,445 16,874 20,227
June|96 19,697 19,503 16,557 22,268
21,295 21,148 17,364 24,868
June|97 23,452 23,445 17,841 29,990
25,121 25,346 19,059 33,162
June|98 27,528 28,071 19,854 39,039
27,692 29,301 20,864 42,646
June|99 29,507 31,211 20,389 47,925
29,845 33,135 20,416 51,616
June|2000 30,037 33,762 21,269 51,395
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 are 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.
Performance Summary
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
Six
Average Annual Returns Months 1-Year 3-Year 5-Year 10-Year
--------------------------------------------------------------------------------
Flexible Managed Portfolio1 0.64% 1.80% 8.60% 12.15% 11.63%
--------------------------------------------------------------------------------
Lipper (VIP) Flexible Avg.2 1.91% 7.59% 11.62% 14.27% 12.68%
--------------------------------------------------------------------------------
S&P 500 Index3 -0.43% 7.24% 19.67% 23.80% 17.79%
--------------------------------------------------------------------------------
Lehman Gov't./Corp. Bond Index4 4.18% 4.32% 6.03% 6.10% 7.84%
--------------------------------------------------------------------------------
Flexible Managed Portfolio inception date: 5/13/83.
The Prudential Series Fund Flexible Managed Portfolio--which invests in an
actively managed mix of bonds, stocks and money market securities--had an
overall return of 0.64% over the reporting period. The Portfolio trailed the
1.91% Lipper (VIP) Flexible Fund Average primarily because, early in the period,
half of its equity portfolio was managed in the value style. During this time,
value stocks experienced a sharp decline.
Factors that had a positive impact on performance included our active management
of asset allocation. We de-emphasized stocks in the early months of the year
when the markets were undergoing a correction but increased our equity
allocation later in the period, in time to catch an eventual upswing in the
market. The Portfolio also benefited from its exposure to mid-cap value stocks,
an asset class that finally rallied in the second quarter after an extended
period of underperformance. Finally, a change in strategy in the second quarter
(described below) led us to increase our growth-style holdings just as growth
stocks rebounded.
Performance Review
--------------------------------------------------------------------------------
The Portfolio had an excellent finish to a fair six-month reporting period. We
made major changes to the Portfolio in the second quarter that improved its
performance. In the past, half of our equity holdings were managed to mirror the
behavior of the S&P 500 Index. The other half had been in an actively managed
portfolio emphasizing stocks of mid-sized companies that were trading at
relatively attractive prices. We changed the way our stocks are managed: They
are now in a single portfolio that offers more evenly balanced exposure to
growth, value and different market capitalizations. We characterize the new
style as structured equity. It is intended to reduce the impact that shifts in
market favor between investing styles have on our return.
The timing of the conversion couldn't have been better. At the start of the
period, the Portfolio was overweighted in small to mid-sized value stocks. When
we restructured, we generally sold these stocks at a peak and simultaneously
bought larger capitalization growth stocks at bargain prices. The Portfolio
performed reasonably well as growth rebounded in late May and June. However, the
transition was not perfect, and some temporary cash investments accrued during
trading. This detracted slightly from performance.
With regard to specific holdings, we overweighted Nabisco Holdings, which rose
more than 140%, and Pioneer Natural Resources, which moved up sharply with
energy prices. Among the biggest losers were Qualcomm and Citrix Systems, which
fell on investor concerns about their ability to generate future earnings.
<PAGE>
Strategy Session
--------------------------------------------------------------------------------
We use a mathematical model to compare the expected return on the entire stock
market (determined primarily by prices and estimated earnings) to interest rates
on bonds. We try to increase the proportion of the asset class (e.g., stocks or
bonds) that offers the best value at any time. Since asset class has a greater
impact on returns over the long term than does the selection of individual
securities, these shifts in allocation may affect your return significantly.
We call our new approach structured equity because it involves a rigid
discipline that strives to limit deviations in a Portfolio's return from its
benchmark return--in this case, the S&P 500 Index. The portfolio is designed to
beat the market benchmark, but it also employs sophisticated mathematical
techniques intended to limit its performance deviations from the S&P 500 to
within a few percentage points.
The strategy for reaching both goals--limited deviations and deviating on the
upside--involves overweighting stocks that we like and underweighting those that
we view as unattractive. In both instances, deviations from S&P weightings are
relatively small. We also believe in taking risks in individual stocks that we
feel justify the risk, but then we attempt to limit deviations of the overall
portfolio from the benchmark in sector weights, industry weights, and style
exposure (in other words, growth or value).
Outlook
--------------------------------------------------------------------------------
Portfolio Manager Mark Stumpp
[PHOTO]
"Our models show that the overall stock market is fairly valued in light of
current earnings growth and interest rates. That means the markets should be
able to sustain normal rates of equity return (not the historically abnormal
returns of recent years) as long as earnings continue to grow and if interest
rates stabilize. If, as many expect, the U.S. has a "soft landing" (slows from
the very rapid growth early in the year to a pace that is sustainable), these
conditions ought to be satisfied."
Portfolio Composition (Long Term)
as of 6/30/2000
---------------
Stocks 65.0%
Bonds 35.0%
Sector Breakdown--Stock
as of 6/30/2000
---------------
Technology 32.0%
Consumer Growth & Staples 20.5%
Finance 14.3%
Industrials 11.2%
Utilities 8.0%
Consumer Cyclicals 7.4%
Energy 6.6%
Sector Breakdown--Bond
as of 6/30/2000
---------------
Corporate Bonds 65.2%
U.S. Treasuries 32.3%
Asset-Backed 2.5%
Source: Prudential. Holdings subject to change.
<PAGE>
Prudential Series Fund
High Yield Bond Portfolio
June 30, 2000
INVESTMENT GOAL
High total return.
TYPES OF INVESTMENTS
Primarily noninvestment-grade bonds. These bonds have speculative
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.
$10,000 Invested Over Ten Years
[GRAPH]
High Yield Lipper (VIP) Lehman Corporate
Bond Portfolio1 High Current Yield Avg.2 High Yield Index3
June|90 10,000 10,000 10,000
8,716 9,183 8,821
June|91 10,919 11,172 11,433
12,115 12,450 12,895
June|92 13,415 13,792 14,230
14,239 14,539 14,926
June|93 15,856 16,205 16,499
16,982 17,293 17,481
June|94 16,796 16,883 17,085
16,520 16,751 17,301
June|95 18,095 18,556 19,448
19,422 19,821 20,618
June|96 20,351 20,759 21,331
21,634 22,462 22,959
June|97 22,905 23,807 24,295
24,615 25,408 25,889
June|98 25,895 26,522 27,054
24,035 25,109 26,373
June|99 24,876 25,851 26,953
25,143 25,990 27,003
June|2000 24,666 25,494 26,676
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 are 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 Corporate High Yield 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.
Performance Summary
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
Six
Average Annual Returns Months 1-Year 3-Year 5-Year 10-Year
--------------------------------------------------------------------------------
High Yield Bond Portfolio1 -1.90% -0.84% 2.50% 6.39% 9.45%
--------------------------------------------------------------------------------
Lipper (VIP) High Current Yield Avg.2 -1.15% -0.42% 3.19% 6.97% 9.76%
--------------------------------------------------------------------------------
Lehman Corporate High Yield Index3 -1.21% -1.03% 3.17% 6.52% 10.31%
--------------------------------------------------------------------------------
High Yield Bond Portfolio inception date: 2/23/87.
During the six months that ended on June 30, 2000, some investors shunned the
U.S. high-yield (junk) bond market because rising interest rates tend to make
fixed-income securities less attractive and because an increasing number of
companies failed to make interest payment on their junk bonds.
The Prudential Series Fund High Yield Bond Portfolio slightly underperformed its
benchmark during the six-month period ending June 30, 2000. The Portfolio posted
a negative return of 1.90% compared with a negative 1.15% return for the Lipper
(VIP) High Current Yield Average.
Performance Review
--------------------------------------------------------------------------------
We improved the Portfolio's risk profile by increasing its holding of debt
securities rated Ba, the highest junk bond ratings category. However, bonds in
the single-B ratings category still accounted for more than half of the
Portfolio's total investments because they provide attractive current yields and
solid credit quality.
<PAGE>
Strategy Session
--------------------------------------------------------------------------------
Several factors conspired to make the first half of 2000 a troublesome period
for the high-yield bond market. The Federal Reserve worked to slow economic
growth and head off inflation by increasing short-term interest rates three
times. A growing number of companies defaulted or missed interest payments on
their junk bonds. And last but not least, many investors redeemed their shares
of high-yield mutual funds and redeployed their money in less risky investments.
In anticipation of the Fed rate hikes, investors drove yields on most bonds
higher (and their prices lower), including junk bonds. The U.S. Treasury market
weathered this trend better than other U.S. bond markets as investors hurried to
buy a shrinking supply of longer-term Treasuries. Therefore, the difference
between yields on junk bonds and 10-year Treasuries widened significantly.
Amid the growing concern about defaults, it is not surprising that the
best-performing credit tier of the Lehman High Yield Index was bonds rated BB
(or its equivalent Ba), which is the highest ratings category in the junk bond
market. Many investors were simply not interested in buying debt securities with
ratings below BB or Ba.
Companies whose bonds were rated BB or Ba comprised a select group that could
issue new junk bonds during the six months. We bought attractively priced, newly
issued bonds of such companies, including home builder Lennar and Williams Corp.
These purchases helped to increase bonds in the Ba ratings category to 11% of
the Portfolio's total investments as of June 30, 2000, up from 8% as of December
31, 1999. Nevertheless, the Portfolio's exposure to the highest junk bond
ratings category is still considerably less than the 27% of the Lehman High
Yield Index, a factor that hurt the Portfolio's relative performance. In
addition, the Portfolio experienced credit quality problems in the food and food
service sector with bonds of Ameriserve and Vlasic declining in price.
Outlook
--------------------------------------------------------------------------------
Portfolio Managers Casey Walsh and George W. Edwards, CFA
[PHOTO] [PHOTO]
"After five difficult months, prices of junk bonds gained strongly in June,
because some data indicated the U.S. economic expansion is starting to slow to a
more sustainable pace. As a result, there was talk that the Fed's current round
of rate hikes may be nearly finished. Should this prove true, we believe junk
bond prices could continue to gain during the remainder of the year."
Top Industries
as of 6/30/2000
---------------
Telecommunications 21.9%
Cable 12.4%
Media 5.8%
Energy 5.7%
Capital Goods 4.7%
Top Issuers
as of 6/30/2000
---------------
Level 3 Communications 2.3%
Nextel Communications, Inc. 2.0%
Adelphia Communications 1.8%
United Pan-Europe 1.6%
CSC Holdings, Inc. 1.4%
Credit Quality
as of 6/30/2000
---------------
Baa 0.4%
Ba 11.4%
B 58.1%
Caa 9.7%
Ca 0.5%
Not-Rated 7.5%
Equity* 8.5%
Cash 3.9%
Source: Prudential. Holdings are subject to change.
*(Preferred & Common)
<PAGE>
Prudential Series Fund
Stock Index Portfolio
June 30, 2000
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.
$10,000 Invested Over Ten Years
[GRAPH]
Stock Index Lipper (VIP) S&P 500
Portfolio1 S&P 500 Index Avg.2 Index3
Jun-90 10,000 10,000 10,000
9,386 9,369 9,400
Jun-91 10,695 10,754 10,737
12,176 12,215 12,257
Jun-92 12,068 12,100 12,175
13,044 13,112 13,190
Jun-93 13,650 13,801 13,831
14,305 14,465 14,516
Jun-94 13,799 13,960 14,025
14,449 14,589 14,707
Jun-95 17,334 17,489 17,676
19,805 19,958 20,227
Jun-96 21,775 21,934 22,268
24,274 24,489 24,868
Jun-97 29,205 29,391 29,990
32,244 32,430 33,162
Jun-98 37,878 38,084 39,039
41,408 41,569 42,646
Jun-99 46,416 46,598 47,925
49,915 50,094 51,616
Jun-00 49,644 49,832 51,395
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 are 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.
Performance Summary
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
Six
Average Annual Returns Months 1-Year 3-Year 5-Year 10-Year
--------------------------------------------------------------------------------
Stock Index Portfolio1 -0.54% 6.95% 19.34% 23.42% 17.38%
--------------------------------------------------------------------------------
Lipper (VIP) S&P 500 Index Avg.2 -0.59% 6.85% 19.29% 23.37% 17.39%
--------------------------------------------------------------------------------
S&P 500 Index3 -0.43% 7.24% 19.67% 23.80% 17.79%
--------------------------------------------------------------------------------
Stock Index Portfolio inception date: 10/19/87.
The Prudential Series Fund Stock Index Portfolio returned -0.54%, just 11 basis
points (hundredths of a percentage point) below the S&P 500 Index, reflecting
the inclusion of transaction costs and fees for the Portfolio.
Over the first six months of 2000, the S&P 500 Index reversed many of the trends
established in 1999. The leading sectors in 2000 to date have been healthcare
and utilities, both of which had negative returns for 1999. Conversely,
telecommunications services, one of the leading sectors in 1999, had a
substantial decline, with long-distance services among the worst-performing
groups in the market.
The trend reversals didn't apply to value sectors that are particularly
susceptible to the economic cycle: basic materials, consumer cyclicals and
capital goods all had negative returns. Miscellaneous metals, metal and glass
containers, paper and forest products, and steel were among the worst-performing
groups of the period, with average losses of 35% or more.
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.
Performance Review
--------------------------------------------------------------------------------
The S&P 500 reversed course often during the first half of 2000. The Stock Index
Portfolio, because it is a broadly diversified portfolio, was not as vulnerable
to these fluctuations as high growth or value funds. Given the rising interest
rate environment, an obvious trend emerged: Companies whose businesses are
sensitive to rising interest rates performed more poorly than others. This
included many of the high growth groups, such as telecommunications, whose stock
prices reflect the expectations of future earnings. Cyclical stocks--those that
perform better when an economy is expanding--also were hurt, because investors
feared that rising interest rates would choke off economic growth and possibly
even cause a recession.
Taking into account both return and sector size, almost all the good news over
this reporting period was in healthcare, with technology--despite its
volatility--making the next largest positive contribution, albeit a
significantly smaller one (less than one percentage point). The utility sector,
although performing well, was too small to have much of an impact on the overall
index return. In the end, however, the negative impact of consumer cyclicals and
communications services together outweighed the healthcare contribution.
<PAGE>
Strategy Session
--------------------------------------------------------------------------------
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.
Outlook
--------------------------------------------------------------------------------
Portfolio Manager John W. Moschberger
[PHOTO]
"The volatility of the S&P 500 from January through May was well above normal.
The market quieted down somewhat in June, although it still was more unsettled
than normal on many measures. For example, between 1978 and 2000 the S&P 500
moved up 1% or more on 12.5% of the days, and had a downward move of that size
on 10.1% of the days. In contrast, during the first six months of 2000, upward
moves of 1% or more occurred on 23.7% of the days, and similar downward moves
occurred on 19.9% of the days. Moreover, market favor shifted between sectors,
dramatically and often. The momentum investing strategies that would have
produced excellent results in the previous year would have produced sizable
losses during this time.
"In fact, any recent successes that involved chasing after market leaders could
be considered unusual. The Economist, a highly respected weekly news magazine,
calculated the result if an individual--`Henry Hindsight'--had invested $1 at
the beginning of the 20th century and each year shifted all the proceeds into
the asset class that had done best the previous year. The study permitted
investments in any established market in the world. At the end of the century,
the portfolio was worth only $290 (after trading costs). In contrast, investing
only in U.S. large-company stocks over the same period (starting well before the
S&P 500 Index was developed) would be worth thousands of dollars.
"The Stock Index Portfolio doesn't try to anticipate changes in market favor
from asset class to asset class, from sector to sector, or from investment style
to investment style. It is our opinion that mistakes in such judgments can be
costly. Rather, the Portfolio gives you the opportunity to participate in the
growth of the U.S. economy as a whole. Right now, in our opinion, the outlook
for the U.S. economy seems good. When the economy grows too fast, it threatens
to create bottlenecks that cause inflation and rising interest rates, which in
turn can choke off growth. Moderate but steady growth is best for investors, and
we believe this is where the economy is headed."
S&P 500 Index--
Total Return by Sector
as of 6/30/2000
---------------
Health Care 23.7%
Utilities 15.3%
Energy 4.7%
Technology 3.0%
Financials -0.5%
Capital Goods -1.2%
Consumer Staples -2.4%
Transportation -5.0%
Communication Services -15.1%
Consumer Cyclicals -18.9%
Basic Materials -24.8%
S&P 500 Index -0.4%
Source: Standard & Poor's.
S&P 500 Index Composition
as of 6/30/2000
---------------
Technology 32.8%
Financials 12.7%
Health Care 11.6%
Consumer Staples 10.3%
Capital Goods 8.0%
Consumer Cyclicals 7.4%
Communication Services 6.8%
Energy 5.4%
Utilities 2.5%
Basic Materials 1.9%
Transportation 0.6%
Source: Standard & Poor's. Holdings are subject to change.
Top Ten Holdings (% of Portfolio)
as of 6/30/2000
---------------
General Electric Co. 4.1%
Intel Corp. 3.5%
Cisco Systems, Inc. 3.5%
Microsoft Corp. 3.3%
Pfizer, Inc. 2.4%
Exxon Mobil Corp. 2.2%
Wal-Mart Stores, Inc. 2.0%
Oracle Corp. 1.9%
Citigroup, Inc. 1.6%
Nortel Networks Corp. 1.6%
Source: Prudential. Holdings are subject to change.
<PAGE>
Prudential Series Fund
Equity Income Portfolio
June 30, 2000
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.
$10,000 Invested Over Ten Years
[GRAPH]
[PLOT POINTS TO COME]
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 are 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.
Performance Summary
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
Six
Average Annual Returns Months 1-Year 3-Year 5-Year 10-Year
--------------------------------------------------------------------------------
Equity Income Portfolio1 -5.31% -9.91% 6.55% 13.03% 13.52%
--------------------------------------------------------------------------------
Lipper (VIP) Equity Income Avg.2 -1.64% -2.98% 11.33% 15.86% 13.87%
--------------------------------------------------------------------------------
S&P 500 Index3 -0.43% 7.24% 19.67% 23.80% 17.79%
--------------------------------------------------------------------------------
Equity Income Portfolio inception date: 2/19/88.
The Prudential Series Fund Equity Income Portfolio returned -5.31% over the six
months ended June 30, 2000, while the Lipper (VIP) Equity Income Average was
-1.64%. The Portfolio's underperformance is attributable to the poor showing of
value stocks in the first quarter. Subsequently, the environment for value
stocks improved. Moreover, the management team began to refocus the holdings. As
a result, the Portfolio had a stronger second quarter, declining only 0.73%
compared with a 1.32% drop for the Lipper Average.
The largest negative impact on the Portfolio's return was the poor performance
of its industrial stocks--paper, aluminum and steel companies. Also contributing
to underperformance--albeit slightly--was the Portfolio's very low weighting in
technology. In contrast, the Portfolio benefited from its energy-related and
financial holdings.
Performance Review
--------------------------------------------------------------------------------
As investors began to fear that rising interest rates would cut off economic
growth, economically sensitive industrial stocks, such as metals, chemicals, and
forest products, became vulnerable. They were also hurt by rising energy prices,
which not only add to inflation but increase the operating costs of industrial
companies. Although we had reduced our focus on the sector significantly, their
stock decline still pulled down our return.
We owned energy exploration and production companies such as Noble Affiliates
(natural gas) and Pioneer Natural Resources. These saw substantial gains over
the period.
We overweighted and had good stock selection in financials, highlighted by our
brokerage stocks, specialty finance companies and real estate investment trusts
(REITs). Our brokerage positions, such as Lehman Brothers Holdings and
PaineWebber Group are benefiting from the active merger and acquisitions
business and an improving bond underwriting environment. Moreover, they are
themselves attractive acquisition candidates. (PaineWebber was bought at a
premium after the end of our reporting period.) Our holdings in Associates First
Capital, Countrywide Credit and Washington Mutual, which were bought
opportunistically, performed very well. Our REITs, which are well positioned to
benefit from strong rental markets, finally began to recover.
Carl Icahn's hostile bid for Nabisco Group Holdings set in motion a series of
transactions that resulted in significant advances for our Nabisco, R.J.
Reynolds and Philip Morris stocks. Our healthcare stocks had mixed results.
Tenet Healthcare, HCA--The Healthcare Company, and Aetna, our largest positions,
made positive contributions to our return, but some of our smaller holdings did
particularly poorly and offset the benefits.
<PAGE>
Strategy Session
--------------------------------------------------------------------------------
The Portfolio had substantial weightings in financial services, real estate
investment trusts (REITs), housing-related stocks, healthcare, forest products
and metals. Going forward, we expect to: reduce our emphasis on industrials by
adding some technology and telecommunications stocks, trim some of our larger
positions and move the average market capitalization of our holdings from a
mid-cap to a large-cap range. Our goal is to construct a more broadly
diversified portfolio that is likely to be less volatile.
Although we will continue to manage in the value style, we expanded our range.
We are looking at stocks that are inexpensive relative to their peers but
possess a catalyst that we believe will close the pricing gap--for example, a
company that is repurchasing its shares or restructuring its business. This
broader view of value investing has enabled us to find undervalued companies
with growth prospects in areas such as wireless telecommunications.
Within the financial sector, we are reducing the size of our largest holdings
and purchasing some bank stocks, such as Chase Manhattan Bank and Bank One. In
technology, volatile stock returns in the first half of 2000 did not appreciably
hurt our performance because of our low weighting in the sector. However, it did
create value investment opportunities for us. Consequently, our technology
weighting is rising.
Outlook
--------------------------------------------------------------------------------
Portfolio Manager Thomas Kolefas
[PHOTO]
"Since 1995, U.S. stock markets have favored growth investing. For much of this
period, stocks of firms with larger market capitalizations performed best. A
value style that focused on a few traditional measures of value was at a
disadvantage. We are now using a larger number of ways to measure investment
value, in part to permit us to construct a more diverse portfolio. Our goal is
to reduce the deviations in performance from our benchmarks and from our
competition while outperforming them over the long term. We will focus not only
on quantitative measures of value, but on indications that a firm's management
has the willingness and ability to close the market's misperception of the
stock's true value."
Portfolio Composition
as of 6/30/2000
---------------
Finance 32.3%
Consumer Growth & Staples 18.1%
Industrials 17.9%
Consumer Cyclicals 10.7%
Utilities 7.4%
Energy 6.9%
Technology 4.7%
Cash & Equivalents 2.0%
Top Ten Holdings (% of Portfolio)
as of 6/30/2000
---------------
Lehman Brothers Holdings, Inc. 5.7
PaineWebber Group, Inc. 3.2
Alcoa, Inc. 3.2
Nabisco Group Holdings Corp. 2.8
Equity Residential Properties Trust 2.6
Eastman Kodak Co. 2.6
Hanson PLC ADR (United Kingdom) 2.6
Bear, Stearns & Co., Inc. 2.5
GTE Corp. 2.3
Tenet Healthcare Corp. 2.3
Source: Prudential. Holdings are subject to change.
<PAGE>
Prudential Series Fund
Equity Portfolio
June 30, 2000
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.
$10,000 Invested Over Ten Years
[GRAPH]
Stock Index Lipper (VIP) S&P 500
Portfolio1 S&P 500 Index Avg.2 Index3
Jun-90 10,000 10,000 10,000
9,386 9,369 9,400
Jun-91 10,695 10,754 10,737
12,176 12,215 12,257
Jun-92 12,068 12,100 12,175
13,044 13,112 13,190
Jun-93 13,650 13,801 13,831
14,305 14,465 14,516
Jun-94 13,799 13,960 14,025
14,449 14,589 14,707
Jun-95 17,334 17,489 17,676
19,805 19,958 20,227
Jun-96 21,775 21,934 22,268
24,274 24,489 24,868
Jun-97 29,205 29,391 29,990
32,244 32,430 33,162
Jun-98 37,878 38,084 39,039
41,408 41,569 42,646
Jun-99 46,416 46,598 47,925
49,915 50,094 51,616
Jun-00 49,644 49,832 51,395
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 are 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.
Performance Summary
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
Six
Average Annual Returns Months 1-Year 3-Year 5-Year 10-Year
--------------------------------------------------------------------------------
Equity Portfolio Class I1 -5.47% -7.91% 8.57% 14.11% 14.39%
--------------------------------------------------------------------------------
Lipper (VIP) Growth Fund Avg.2 3.27% 20.98% 23.33% 23.21% 17.73%
--------------------------------------------------------------------------------
S&P 500 Index3 -0.43% 7.24% 19.67% 23.80% 17.79%
--------------------------------------------------------------------------------
Equity Portfolio Class I inception date: 5/13/83.
The Prudential Series Fund Equity Portfolio Class I returned -5.47% in the first
half of 2000, trailing the Lipper (VIP) Growth Fund Average return of 3.27%.
During the period, the Federal Reserve implemented a series of rate hikes aimed
at slowing the economy. However, our value style led us to invest heavily in
cyclical companies, which do best in an expanding economy. Therefore, our
emphasis on value hurt performance. The fact that the Lipper Average includes
many growth portfolios further added to the return differential.
Performance Review
--------------------------------------------------------------------------------
Our paper and metals holdings suffered when the Federal Reserve began to raise
interest rates, generating fears that economic growth would cease. In an
investing climate marked by extreme investor skittishness, the stocks of some
well-managed and profitable industrial companies--such as Georgia Pacific,
International Paper and Alcoa, Inc.--steeply declined. At period end, some of
these companies released better-than-expected second-quarter earnings reports
and their stocks rallied.
Consolidation activity in the food and tobacco industries drove the sector's
performance over the period. In particular, Carl Icahn's hostile bid for Nabisco
Group Holdings set in motion a series of ownership shifts that resulted in
significant advances for our shares of Nabisco Group Holdings, R.J. Reynolds and
Philip Morris.
Healthcare companies' earnings generally are improving, and their stock prices
are beginning to reflect this. A large contributor to Portfolio performance came
from UnitedHealth Group, whose shares rose 62% over the period.
An imbalance of supply and demand for oil is helping our oil stocks: Total Fina,
BP Amoco and Amerada Hess.
<PAGE>
Strategy Session
--------------------------------------------------------------------------------
We are restructuring our Portfolio with the aims of 1) reducing the impact of
the growth/value cycle on our return; 2) approximating the sector weightings of
the S&P 500; and 3) broadening our focus beyond stocks that are inexpensive on
an absolute basis to include those that are priced below their historical range
or below others in their industry. We expect the average market capitalization
of our holdings to become somewhat larger, again moving closer to the overall
market.
In the wake of price appreciation in the insurance industry, we have seen the
stock of some of our larger holdings appreciate. These include Chubb, our
largest insurance holding. However, several of our smaller companies have yet to
benefit. Overall, our insurance holdings had little impact on our return, but
the trend is positive.
Despite the fact that the basic materials businesses represented in our
Portfolio did well over the period, their stocks still declined. In our opinion,
this is due to investor uncertainty about the economy. This uncertainty is
likely to abate by year-end.
Outlook
--------------------------------------------------------------------------------
Portfolio Managers Thomas R. Jackson and Phil Schettewi
[PHOTO] [PHOTO]
"We believe investors are gaining confidence that the Federal Reserve will
accept that the U.S. economy has slowed to a sustainable pace. As a result,
investors are beginning to focus more on current earnings. We feel that
optimistic projections will be less likely to drive stock prices, and that
investors will seek out companies with visible earnings growth. This scenario
could revive the rally in cyclical stocks that began in 1999, and also benefit
our insurance and healthcare positions."
Portfolio Composition
as of 6/30/2000
---------------
Consumer Growth & Staples 22.0%
Industrials 19.0%
Finance 16.8%
Consumer Cyclicals 8.2%
Technology 7.1%
Energy 7.0%
Utilities 4.1%
Cash & Equivalents 15.8%
Top Ten Holdings (% of Portfolio)
as of 6/30/2000
---------------
Eastman Kodak Co. 3.7%
Tenet Healthcare 3.6%
WellPoint Health Networks, Inc. 3.4%
HCA--The Healthcare Company 3.2%
UnitedHealth Group, Inc. 3.0%
Total Fina Elf S.A., ADR 2.9%
Chubb Corp. 2.5%
Darden Restaurants, Inc. 2.4%
Compaq Computer Corp. 2.1%
Alcoa, Inc. 2.0%
Source: Prudential. Holdings are subject to change.
<PAGE>
Prudential Series Fund
Prudential Jennison Portfolio
June 30, 2000
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.
$10,000 Invested Since Inception*
[GRAPH]
Prudential
Jennison Lipper (VIP) S&P 500
Portfolio Class1 Growth Avg.2 Index3
April|95 10,000 10,000 10,000
June|95 11,276 10,794 10,640
12,556 12,136 12,176
June|96 13,494 13,406 13,405
14,362 14,627 14,970
June|97 16,801 16,802 18,053
18,916 18,570 19,962
June|98 22,841 21,722 23,500
26,002 23,243 25,671
June|99 29,972 26,044 28,849
36,975 30,188 31,071
June|2000 38,447 31,234 30,938
* 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 are 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.
Performance Summary
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
Six Since
Average Annual Returns Months 1-Year 3-Year 5-Year Inception*
--------------------------------------------------------------------------------
Prudential Jennison Portfolio
Class I1 3.98% 28.27% 31.78% 27.80% 29.67%
--------------------------------------------------------------------------------
Lipper (VIP) Growth Avg.2 3.27% 20.98% 23.33% 23.21% 24.07%
--------------------------------------------------------------------------------
S&P 500 Index3 -0.43% 7.24% 19.67% 23.80% 24.43%
--------------------------------------------------------------------------------
Prudential Jennison Portfolio Class I inception date: 4/25/95.
The high-growth areas that are the focuses of this Portfolio all experienced
extraordinary volatility in the first six months of 2000. The net result was a
strong gain for its drug, technology and financial holdings, but losses in
communication services and retailers. Overall, The Prudential Series Fund
Prudential Jennison Portfolio Class I 3.98% return was slightly above the 3.27%
Lipper (VIP) Growth Average.
Performance Review
--------------------------------------------------------------------------------
Our largest focus is in technology. We had significant positive contributions to
our return from several holdings, including Intel, Hewlett-Packard, Texas
Instruments and Cisco Systems. Our semiconductor companies (such as Intel and
Texas Instruments) benefited from increasing demand for computer chips. On the
other hand, our position in Microsoft declined in value, primarily because of
the antitrust suit it faces. Motorola shares corrected after reporting
tightening margins and after a very strong climb in 1999. We think its
underlying businesses still have strong growth potential.
Some sectors that had been lagging in 1999 benefited when investors searched
more broadly for growth opportunities that were not as expensive as the
technology and telecommunication stocks. We owned Warner-Lambert, which was
acquired by Pfizer. Our shares, helped by enthusiasm about the combination, made
the largest single contribution to our return. Our financial holdings continued
to benefit from the merger and acquisition activity accompanying global
consolidation in several industries.
In the communications sector, we owned CBS Corporation, which was acquired by
Viacom. The CBS shares had been falling, but the Viacom shares we received in
exchange more than offset the loss. Our return also was hurt by our holdings in
Vodafone AirTouch and America OnLine. We think both are strong companies and the
correction is temporary because companies that own bandwidth, such as these, are
at the heart of the telecommunications expansion.
Fear of rising interest rates and a slowing economy hurt the consumer sector. We
felt the impact particularly in our holdings of Home Depot and Gap.
<PAGE>
Strategy Session
--------------------------------------------------------------------------------
We are reducing our commitment to technology and telecommunications, and adding
in growth sectors that are selling at lower premiums to the overall market, such
as pharmaceuticals and financials. Nonetheless, four of our five largest
holdings on June 30 were technology stocks: Intel, Hewlett-Packard, Cisco
Systems and Nokia. These are dominant players in their respective core markets.
During this half-year, we added Corning and Nortel, both because of their
strength in optical computing, and Hewlett-Packard.
Although we increased our drug holdings, we sold our positions in Bristol-Myers
Squibb and Glaxo Wellcome because of product disappointments, as well as our
Schering-Plough shares. We added Pharmacia and Merck, and acquired Pfizer shares
for our Warner-Lambert holdings.
We added Schlumberger to our Portfolio. As the dominant oil service supplier, it
is well positioned to benefit from the increase in drilling inspired by the
current energy shortage. This upswing in drilling is likely to last several
years.
The pace of merger and acquisitions is continuing to be very high as several
global industries consolidate. Our financial holdings are focused on the
dominant firms in this business: Merrill Lynch, Morgan Stanley Dean Witter and
Citigroup. We sold our shares in Chase Manhattan, which we expected to suffer
because a recent change in accounting standards is likely to add volatility to
their reported earnings.
Outlook
--------------------------------------------------------------------------------
Portfolio Managers Michael Del Balso, Kathleen McCarragher and Spiros Segalas
[PHOTO] [PHOTO] [PHOTO]
"We think the U.S. economy will slow to a sustainable pace, and equity investors
will regain their confidence by the fourth quarter of 2000. We expect to see the
new electronic-and telecommunications-based economy outperform the old basic
industry sectors in both profit growth and stock price performance. Unless the
upward movement in interest rates continues longer than we expect, we think the
current high price/earnings multiples can be sustained, so stock prices will be
able to rise in line with earnings growth. We are moving toward market sectors
with above-average earnings growth rates, but where share prices are not so high
as to reduce the likelihood we will benefit fully from that growth. Second-
quarter earnings announcements from our holdings have generally been very
strong."
Portfolio Composition
as of 6/30/2000
---------------
Technology 35.4%
Health Care 12.8%
Financials 12.1%
Communication Services 11.8%
Consumer Cyclicals 10.8%
Consumer Staples 9.9%
Cash 4.2%
Capital Goods 2.0%
Energy 1.0%
Top Ten Holdings (% of Portfolio)
as of 6/30/2000
---------------
Pfizer, Inc. 3.9%
Intel Corp. 3.7%
Hewlett-Packard Co. 3.5%
Cisco Systems, Inc. 3.4%
Nokia Corp. 3.4%
Citigroup, Inc. 3.3%
Home Depot, Inc. 3.3%
Vodafone AirTouch Group PLC 3.1%
Viacom, Inc. 2.9%
Qwest Communications Int'l.,
Inc. 2.7%
Source: Prudential. Holdings are subject to change.
<PAGE>
Prudential Series Fund
Small Capitalization Stock Portfolio
June 30, 2000
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.
$10,000 Invested Since Inception*
[GRAPH]
Small Capitalization Lipper (VIP) S&P SmallCap
Stock Portfolio1 Small Cap Avg.2 600 Index3
April|95 10,000 10,000 10,000
June|95 10,681 10,648 10,713
11,996 12,023 12,138
June|96 13,224 13,735 13,501
14,367 14,359 14,726
June|97 16,022 15,585 16,428
17,983 17,178 18,494
June|98 19,037 18,492 19,622
17,846 17,828 18,251
June|99 18,773 19,721 19,171
20,109 25,209 20,516
June|2000 21,613 27,350 21,937
* 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.
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 are 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.
Performance Summary
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
Six Since
Average Annual Returns Months 1-Year 3-Year 5-Year Inception*
--------------------------------------------------------------------------------
Small Capitalization Stock
Portfolio1 7.48% 15.13% 10.49% 15.14% 16.03%
--------------------------------------------------------------------------------
Lipper (VIP) Small Cap. Avg.2 6.79% 34.61% 18.09% 18.91% 19.57%
--------------------------------------------------------------------------------
S&P SmallCap 600 Index3 6.93% 14.43% 10.12% 15.41% 16.41%
--------------------------------------------------------------------------------
Small Capitalization Stock Portfolio inception date: 4/25/95.
The Prudential Series Fund Small Capitalization Stock Portfolio returned 7.48%,
slightly more than the index, even after the inclusion of transaction costs and
fees for the Portfolio.
In a very volatile year, small- and mid-cap stocks were the best-performing
capitalization sectors of the U.S. equity market. However, returns on different
economic sectors varied widely. The best performing sectors, by a large margin,
were health-care and energy, with average returns above 40%. Consumer cyclicals
sector was the most significant drag on the Index. The sector's 7% decline was
exceeded only by the tiny communication services, basic materials, and
transportation groups. The giant technology sector averaged a mediocre return
that reflected a wide dispersion of individual industry performances.
The Standard & Poor's Small Capitalization 600 Index is an unmanaged index.
Standard & Poor's neither sponsors nor endorses the Small Capitalization Stock
Portfolio. Investors cannot directly invest in any index, including the S&P 600
SmallCap Index.
Performance Review
--------------------------------------------------------------------------------
The strong return of the S&P SmallCap 600 in a generally declining market for
equity was due primarily to healthcare stocks. Hospital managers, drug
companies, and managed care firms were all among the leading industries, with
returns above 45%. Improved healthcare pricing and the attractive value of
healthcare stocks when compared to technology shares combined to their
advantage. Oil and gas producers also had strong returns. Energy prices rose as
OPEC constrained production, non-OPEC suppliers neared their production
capacities and demand increased.
Almost a quarter of the index consists of technology stocks. Consequently, the
modestly positive return of the sector was an important contributor to the
index's performance. Some industries--such as electronic instruments,
biotechnology, and semiconductors--were among the period's strongest performers,
with returns above 65%. Others--such as computer services and computer
peripherals--were among the worst, with steep declines in share prices. This
diversity of returns suggests that investors are becoming more selective.
The steepest negative returns came from industries in the small communications
services group. Long distance telephone companies had a terrible half-year, and
basic materials--such as aluminum and iron and steel--also lost considerable
ground. However, the consumer cyclicals group--including leisure, home
furnishings and personal care companies, among others--had a much larger impact
on the Index because it is the second-largest group in the S&P 600 (at 17%). Its
7% decline was a significant factor in keeping the overall index from posting an
even better return.
<PAGE>
Strategy Session
--------------------------------------------------------------------------------
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 about $1.1 billion. Such
stocks are more volatile than the shares of large, more established companies.
The Portfolio management team invests funds received while trying to minimize
commission and transaction costs.
Outlook
--------------------------------------------------------------------------------
Portfolio Manager Wai C. Chiang
[PHOTO]
"The tremendous variability in the fortunes of the biotechnology small-cap
sector is a good illustration of the advantages of indexing. The S&P SmallCap
Biotechnology Index shot up 244% between the beginning of the year and its peak
on March 6. Then it dropped 59%, giving up almost all those gains, by April 17.
By the end of the half-year, it had regained 75%. Over time, it has been an
excellent investment, but it took a strong stomach to weather the ups and downs.
If you had bought at the wrong time, you could have had substantial losses.
Because it is diversified over many economic sectors, the Small Capitalization
Stock Portfolio avoided such extreme performances.
"Diversification over market capitalization sectors also can even out your
return over time. Over this half-year, the small-cap stocks beat large caps by a
respectable margin, but for several prior years the S&P SmallCap 600 has trailed
the large-cap S&P 500 Index. Because these two market capitalization sectors
don't always move in the same direction, combining investments in both large-
and small-cap portfolios can provide the benefits of diversification."
S&P SmallCap 600 Index
Total Return by Sector
as of 6/30/2000
---------------
Health Care 45.9%
Energy 42.9%
Capital Goods 7.2%
Financials 6.1%
Technology 4.0%
Consumer Staples 2.0%
Utilities -0.0%
Consumer Cyclicals -7.0%
Transportation -7.6%
Basic Materials -9.6%
Communication Services -26.9%
S&P SmallCap 600 Index 6.9%
Source: Standard & Poor's.
S&P SmallCap 600 Index
Composition
as of 6/30/2000
---------------
Technology 22.9%
Consumer Cyclicals 17.5%
Capital Goods 14.1%
Health Care 12.3%
Financials 10.7%
Consumer Staples 8.1%
Energy 4.7%
Basic Materials 3.7%
Transportation 2.9%
Utilities 2.9%
Communication Services 0.2%
Source: Standard & Poor's.
Holdings are subject to change.
Top Ten Holdings (% of Portfolio)
as of 6/30/2000
----------------
Mercury Interactive Corp. 1.8%
IDEC Pharmaceuticals Corp. 1.2%
International Rectifier Corp. 0.8%
Lattice Semiconductor Corp. 0.8%
Charles Schwab Corp. 0.8%
Protein Design Labs, Inc. 0.7%
Vertex Pharmaceuticals, Inc. 0.7%
RSA Security, Inc. 0.6%
Digital Microwave Corp. 0.6%
Techne Corp. 0.6%
Source: Prudential. Holdings are subject to change.
<PAGE>
Prudential Series Fund
Global Portfolio
June 30, 2000
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.
$10,000 Invested Over Ten Years
[GRAPH]
Global Lipper (VIP) Morgan Stanley
Portfolio1 Global Avg.2 World Index3
June|90 10,000 10,000 10,000
9,042 9,188 8,965
June|91 9,428 9,625 9,510
10,071 10,590 10,604
June|92 10,062 10,699 9,912
9,727 10,531 10,050
June|93 11,058 11,931 11,573
13,923 13,875 12,311
June|94 13,383 13,587 12,758
13,243 13,754 12,936
June|95 14,494 14,468 14,119
15,345 15,607 15,616
June|96 16,918 16,898 16,722
18,367 18,046 17,721
June|97 20,660 20,412 20,447
19,649 20,277 20,515
June|98 23,448 23,301 23,929
24,576 23,351 25,507
June|99 26,970 25,284 27,678
36,439 31,603 31,868
June|2000 36,079 30,536 31,053
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 are 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 United
States, 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.
Performance Summary
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
Six
Average Annual Returns Months 1-Year 3-Year 5-Year 10-Year
--------------------------------------------------------------------------------
Global Portfolio1 -0.99% 33.77% 20.42% 20.01% 13.69%
--------------------------------------------------------------------------------
Lipper (VIP) Global Avg.2 -0.25% 28.06% 18.74% 18.88% 11.80%
--------------------------------------------------------------------------------
Morgan Stanley World Index3 -2.56% 12.19% 14.95% 17.07% 12.00%
--------------------------------------------------------------------------------
Global Portfolio inception date: 9/19/88.
The Prudential Series Fund Global Portfolio's 0.99% loss over the first half of
2000 slightly trailed the 0.25% decline of the Lipper (VIP) Global Average, but
both were more modest than the 2.56% decline of the MSCI World Index. Over the
past 12 months, the Portfolio remained well ahead of the Lipper Average. A sharp
and deep turnaround in global stock markets produced negative six-month returns
in most markets. The Portfolio's U.S. holdings had a strong positive return, but
the poor performance of its investments in Japan, Sweden, and the United Kingdom
offset the benefit. Software and telecommunications services stocks, focuses of
the Portfolio, peaked and gave back some of their earlier gains.
The Portfolio may invest in foreign securities. Foreign investments are subject
to the risks of currency fluctuation, political and social risks and
illiquidity.
Performance Review
--------------------------------------------------------------------------------
The leading equipment and services companies in technology, media and
telecommunications (TMT) have enormous growth prospects. However, the wide
recognition of their potential led to a global explosive upward movement in
their shares--to very expensive levels even for their huge profit potential.
Prices corrected in March, April and May 2000, then recovered somewhat. Among
our holdings, our Internet-related companies and Japanese stocks hurt our return
most. However, our U.S. technology companies were among the largest contributors
to our return, including a semiconductor design company, PMC-Sierra (U.S.); a
software company, Oracle (U.S.); and a semiconductor company, Texas Instruments
(U.S.). We also did well on Thomson Multimedia (Fr.), a consumer electronics
firm. We took some profits on these stocks, as well as on other companies in
these groups, but they still are among our largest holdings. Recent acquisitions
Juniper Networks (U.S.) and Micron Technology (U.S.) helped our return. We added
Micron in mid April, after the bear market in TMT stocks brought down their
price.
Our position in USA Networks reduced our return. Its shares suffered from fears
that higher interest rates would slow consumer spending and hurt its Home
Shopping Network. So far there is no sign of this.
We owned several banks that were hurt by the global fear of rising interest
rates as well as by the attraction of investors to the greater sizzle of TMT.
Bank of Scotland and Barclays Bank (both U.K.), Wells Fargo (U.S.), Unicredito
Italiano (Italy), Bank of Ireland (Ireland), and Fuji Bank (Japan) were among
the drags on our return.
<PAGE>
Strategy Session
--------------------------------------------------------------------------------
We sold most of our shares of Softbank, a large Japanese conglomerate of
Internet-related businesses. We bought Ericsson (Sweden), which is a leader in
telecommunications infrastructure equipment and also a major handset
manufacturer. We think the greatest growth potential now is to be found in
companies that build the information network that powers the new services.
We added JDS Uniphase and Micron Technology in mid April, after the bear market
in TMT stocks brought down their price. JDS Uniphase is a leader in the use of
light waves (instead of electricity) to carry information, while Micron is among
the world's largest manufacturers of DRAMs (computer memory chips).
We added Barclays (U.K.), Banca Intesa (Italy), and Citigroup (U.S.).
Outlook
--------------------------------------------------------------------------------
Portfolio Managers Daniel J. Duane and Michelle Picker
[PHOTO] [PHOTO]
"The large issue now is how to deal with the fact that TMT stocks still offer
the best earnings growth prospects on the market, but also are very expensive
compared with other sectors even after the correction in March and April. Since
investors are becoming more sensitive to how much they pay for growth, trimming
higher-priced positions and shopping for good value when purchasing are key. We
are gradually taking profits in some of our appreciated TMT holdings, and are
building our portfolio in other economic sectors. We expect to find better
values outside the United States, where the stock markets already have had large
gains in the past five years."
Geographic Allocation
as of 6/30/2000
---------------
United States 41.5%
Continental Europe 28.3%
Cash & Equivalents 15.0%
Japan 6.3%
Asia 4.1%
Latin America 2.5%
Pacific Basin 2.3%
Top Ten Holdings (% of Portfolio)
as of 6/30/2000
---------------
U.S. Treasury Bill 09/14/00 4.7%
Time-Warner, Inc. 3.6%
Solectron Corp. 3.4%
Vodafone AirTouch 3.1%
Oracle Corp. 3.0%
Citigroup, Inc. 2.8%
Electronics Arts Inc. 2.4%
Nokia (AB) OYJ 2.3%
USA Networks Inc. 2.2%
PMC-Sierra, Inc. 2.1%
Source: Prudential. Holdings are subject to change.
<PAGE>
Prudential Series Fund
Natural Resources Portfolio
June 30, 2000
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 resources markets throughout the world. It hopes to capture
growth from companies that discover and develop new natural resources.
$10,000 Invested Over Ten Years
[GRAPH]
[PLOT POINTS TO COME]
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 are 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.
Performance Summary
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
Six
Average Annual Returns Months 1-Year 3-Year 5-Year 10-Year
--------------------------------------------------------------------------------
Natural Resources Portfolio1 15.81% 26.88% 7.95% 12.16% 10.92%
--------------------------------------------------------------------------------
Lipper (VIP) Nat. Res. Avg.2 9.57% 10.66% 0.41% 4.75% 4.96%
--------------------------------------------------------------------------------
S&P 500 Index3 -0.43% 7.24% 19.67% 23.80% 17.79%
--------------------------------------------------------------------------------
Natural Resources Portfolio inception date: 5/1/88.
The Prudential Series Fund Natural Resources Portfolio returned 15.81% over the
six-month period ended June 30, 2000, more than six percentage points above the
9.57% Lipper (VIP) Natural Resources Average. More than half of the assets of
the Portfolio were invested in the energy sector or in the energy-related
utilities: electricity and natural gas. Energy-related investments were among
the best performers in a period in which the S&P 500 had a negative return.
Falling energy inventories and rising energy prices have powered investment
opportunities within the natural resources sector, contributing significantly to
the Portfolio's return. Stocks of nonenergy commodities companies, including
those in precious metals, generally declined. They detracted from our return in
this reporting period.
Sector investing carries higher risks than investments in a broadly diversified
portfolio.
Performance Review
--------------------------------------------------------------------------------
El Nino (the warming of the Pacific Ocean surface current that passes the west
coast of the Americas), the Asian economic slowdown, and excess OPEC production
all contributed to extremely weak energy prices in 1998 and the start of 1999.
Oil prices as low as $11 per barrel forced significant cutbacks in spending on
exploration and production. When demand gradually picked up with the recovery of
Asian economies, both oil and natural gas inventories dropped dramatically and
energy prices rose steeply. We anticipated this price surge and added
significant positions in industries we thought would benefit.
Our oil service holdings had the greatest impact on performance. These holdings
included Smith International and Maverick Tube. Maverick makes the specialized
steel tubing used to surround well bores during drilling. Its business is
strongly correlated with the pace of drilling activity. As a result, these
companies saw immediate revenue growth when drilling activity accelerated.
Natural gas exploration and production companies--including Cross Timbers Oil
and Newfield Exploration--also had significant gains over our reporting period.
Natural gas pipeline stocks, such as Dynegy and Western Gas, also rose. Among
gas pipeline companies, we had a particularly substantial return on our shares
of KN Energy, which was taken over by Kinder Morgan, Inc.
This has been a very poor market for forest products and metals, precious
metals, aluminum and steel. These industries had negative returns.
<PAGE>
Strategy Session
--------------------------------------------------------------------------------
Most oil-producing countries are operating at or near capacity. Supply hasn't
kept pace with rapidly growing demand, and inventories have shrunk. We think
drilling activity will continue over the next year or two, and oil service
companies will continue to benefit. Although these stocks have risen
significantly, we see substantial continued earnings and stock price
appreciation ahead.
We reduced our gold holdings by about 50% over the last year to 7% of net
assets. We underestimated the willingness of central banks to sell their gold
reserves even at the very low recent prices. Central bank gold sales have
prevented gold prices from rising, even though gold demand far exceeds world
mine supply. We remain extremely bullish for gold when central bank sales
finally end, but we believe gold prices will remain constrained until then. We
believe there are better investment opportunities in today's markets.
The demand for palladium for automobile catalytic converters continues to grow.
Moreover, Russian platinum inventories, which have supplied a significant
portion of world demand over the last five years, appear to be depleted. The
Russians are carefully controlling releases from their inventories in order to
maximize the revenue from whatever stockpiles they have remaining. World demand
for both metals should increase substantially in the next several years.
Outlook
--------------------------------------------------------------------------------
Portfolio Manager Leigh R. Goehring
[PHOTO]
"Our expectations for both oil and natural gas over the next few years are
higher than the consensus view. Most investors believe that $30 per barrel of
oil and $3 per million cubic feet of gas are unsustainable prices. We disagree.
Given the low level of capital spending in this industry over the last several
years, we think energy prices will remain strong, and energy stocks will be
rewarding investments."
Portfolio Composition
as of 6/30/2000
---------------
Energy 46.2%
Industrials 41.4%
Utilities 11.0%
Cash & Equivalents 1.4%
Top Ten Holdings (% of Portfolio)
as of 6/30/2000
---------------
Stillwater Mining Co. 6.7%
Impala Platinum ADR 6.6%
BJ Services Co. 5.2%
Anglo American Platinum ADR 5.0%
Smith International, Inc. 5.0%
Newfield Exploration Co. 4.4%
Dynegy, Inc. 3.9%
Western Gas Resources, Inc. 3.8%
Maverick Tube Corp. 3.5%
Kinder Morgan, Inc. 3.3%
Source: Prudential. Holdings are subject to change.
<PAGE> 1
FINANCIAL STATEMENTS OF
THE PRUDENTIAL SERIES FUND, INC.
MONEY MARKET PORTFOLIO
<TABLE>
<S> <C>
STATEMENT OF ASSETS AND LIABILITIES (UNAUDITED)
June 30, 2000
ASSETS
Investments, at value (cost: $1,166,676,459).... $1,166,676,459
Cash............................................ 720,516
Interest receivable............................. 8,409,323
Receivable for capital stock sold............... 1,047,232
--------------
Total Assets.................................. 1,176,853,530
--------------
LIABILITIES
Payable for capital stock repurchased........... 8,798,835
Payable to investment adviser................... 1,149,342
Accrued expenses................................ 104,965
--------------
Total Liabilities............................. 10,053,142
--------------
NET ASSETS........................................ $1,166,800,388
==============
Net assets were comprised of:
Common stock, at $0.01 par value.............. $ 1,166,800
Paid-in capital, in excess of par............. 1,165,633,588
--------------
Net Assets, June 30, 2000....................... $1,166,800,388
==============
Net asset value, and redemption price per share,
116,680,039 outstanding shares of common stock
(authorized 170,000,000 shares)................. $ 10.00
==============
STATEMENT OF OPERATIONS (UNAUDITED)
Six Months Ended June 30, 2000
INVESTMENT INCOME
Interest........................................ $ 37,694,169
--------------
EXPENSES
Investment advisory fee......................... 2,426,185
Shareholders' reports........................... 91,000
Accounting fees................................. 25,000
Custodian's fees and expenses................... 21,000
Audit fee and expenses.......................... 8,000
Commitment fee on syndicated credit agreement... 6,000
Transfer agent's fees and expenses.............. 5,000
Legal fees and expenses......................... 3,000
Directors' fees................................. 2,000
Miscellaneous................................... 3,384
--------------
Total expenses................................ 2,590,569
Less: custodian fee credit...................... (4,604)
--------------
Net expenses.................................. 2,585,965
--------------
NET INVESTMENT INCOME............................. 35,108,204
--------------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS........................................ $ 35,108,204
==============
</TABLE>
STATEMENTS OF CHANGES IN NET ASSETS
(UNAUDITED)
<TABLE>
<CAPTION>
SIX MONTHS ENDED YEAR ENDED
JUNE 30, 2000 DECEMBER 31, 1999
---------------- -----------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income................................... $ 35,108,204 $ 54,005,446
Net realized gain on investments........................ -- 10,627
-------------- --------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS.... 35,108,204 54,016,073
-------------- --------------
DIVIDENDS AND DISTRIBUTIONS:
Dividends from net investment income.................... (35,108,204) (54,005,446)
Distributions from net realized capital gains........... -- (10,627)
-------------- --------------
TOTAL DIVIDENDS AND DISTRIBUTIONS....................... (35,108,204) (54,016,073)
-------------- --------------
CAPITAL STOCK TRANSACTIONS:
Capital stock sold [55,031,773 and 122,718,909 shares,
respectively].......................................... 550,317,734 1,227,189,093
Capital stock issued in reinvestment of dividends and
distributions [3,510,820 and 5,401,607 shares,
respectively].......................................... 35,108,204 54,016,073
Capital stock repurchased [(75,409,978) and (86,592,293)
shares, respectively].................................. (754,099,772) (865,922,932)
-------------- --------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
CAPITAL STOCK TRANSACTIONS.............................. (168,673,834) 415,282,234
-------------- --------------
TOTAL INCREASE IN NET ASSETS.............................. (168,673,834) 415,282,234
NET ASSETS:
Beginning of period..................................... 1,335,474,222 920,191,988
-------------- --------------
End of period........................................... $1,166,800,388 $1,335,474,222
============== ==============
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
A1
<PAGE> 2
FINANCIAL STATEMENTS OF
THE PRUDENTIAL SERIES FUND, INC.
DIVERSIFIED BOND PORTFOLIO
<TABLE>
<S> <C>
STATEMENT OF ASSETS AND LIABILITIES
(UNAUDITED)
June 30, 2000
ASSETS
Investments, at value (cost:
$1,250,401,002).......................... $1,215,763,266
Cash....................................... 772
Interest and dividends receivable.......... 20,777,674
Receivable for investments sold............ 16,042,755
Receivable for investments sold short (Note
2)....................................... 8,329,133
Receivable for capital stock sold.......... 218,479
--------------
Total Assets............................. 1,261,132,079
--------------
LIABILITIES
Payable for investments purchased.......... 39,907,192
Investments sold short at value (proceeds
$8,251,875 including accrued interest)
(Note 2)................................. 8,288,568
Payable to investment adviser.............. 1,191,170
Payable for capital stock repurchased...... 770,526
Accrued expenses and other liabilities..... 85,283
Interest payable........................... 78,520
Due to broker -- variation margin.......... 27,344
--------------
Total Liabilities........................ 50,348,603
--------------
NET ASSETS................................... $1,210,783,476
==============
Net assets were comprised of:
Common stock, at $0.01 par value......... 1,093,136
Paid-in capital, in excess of par........ 1,191,279,365
--------------
1,192,372,501
Undistributed net investment income........ 98,545,756
Accumulated net realized loss on
investments.............................. (45,454,883)
Net unrealized depreciation on
investments.............................. (34,679,898)
--------------
Net assets, June 30, 2000.................. $1,210,783,476
==============
Net asset value and redemption price per
share, 109,313,639 outstanding shares of
common stock (authorized 170,000,000
shares).................................. $ 11.08
==============
STATEMENT OF OPERATIONS
(UNAUDITED)
Six Months Ended June 30, 2000
INVESTMENT INCOME
Interest................................... $ 44,025,610
--------------
EXPENSES
Investment advisory fee.................... 2,420,616
Shareholders' reports...................... 86,000
Accounting fees............................ 52,000
Custodian's fees and expenses.............. 21,000
Audit fee and expenses..................... 7,000
Commitment fee on syndicated credit
agreement................................ 6,000
Transfer agent's fees and expenses......... 5,000
Legal fees and expenses.................... 3,000
Directors' fees............................ 2,000
Miscellaneous.............................. 2,373
--------------
Total expenses........................... 2,604,989
--------------
Less: custodian fee credit................. (12,648)
--------------
Net expenses............................. 2,592,341
--------------
NET INVESTMENT INCOME........................ 41,433,269
--------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS
Net realized gain (loss) on:
Investments.............................. (17,985,534)
Futures.................................. 728,377
--------------
(17,257,157)
--------------
Net change in unrealized appreciation:
Investments.............................. 9,118,160
Futures.................................. 541,375
Short sale............................... (36,693)
--------------
9,622,842
--------------
NET LOSS ON INVESTMENTS...................... (7,634,315)
--------------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS................................... $ 33,798,954
==============
</TABLE>
STATEMENTS OF CHANGES IN NET ASSETS
(UNAUDITED)
<TABLE>
<CAPTION>
SIX MONTHS ENDED YEAR ENDED
JUNE 30, 2000 DECEMBER 31, 1999
---------------- -----------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income................................... $ 41,433,269 $ 76,304,703
Net realized loss on investments........................ (17,257,157) (26,222,144)
Net change in unrealized appreciation (depreciation) on
investments............................................ 9,622,842 (58,723,850)
-------------- --------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS............................................. 33,798,954 (8,641,291)
-------------- --------------
DIVIDENDS AND DISTRIBUTIONS:
Dividends from net investment income.................... (19,037,496) --
Distributions from net realized capital gains........... (154,720) (3,302,269)
-------------- --------------
TOTAL DIVIDENDS AND DISTRIBUTIONS....................... (19,192,216) (3,302,269)
-------------- --------------
CAPITAL STOCK TRANSACTIONS:
Capital stock sold [2,893,878 and 26,987,966 shares,
respectively].......................................... 31,830,011 296,061,460
Capital stock issued in reinvestment of dividends and
distributions [1,738,425 and 298,578 shares,
respectively].......................................... 19,192,216 3,302,269
Capital stock repurchased [(9,873,656) and (14,272,876)
shares, respectively].................................. (108,677,439) (156,161,922)
-------------- --------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
CAPITAL STOCK TRANSACTIONS.............................. (57,655,212) 143,201,807
-------------- --------------
TOTAL INCREASE (DECREASE) IN NET ASSETS................... (43,048,474) 131,258,247
NET ASSETS:
Beginning of period..................................... 1,253,831,950 1,122,573,703
-------------- --------------
End of period(a)........................................ $1,210,783,476 $1,253,831,950
============== ==============
(a) Includes undistributed net investment income of:.... $ 98,545,756 $ 76,304,703
-------------- --------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
A2
<PAGE> 3
FINANCIAL STATEMENTS OF
THE PRUDENTIAL SERIES FUND, INC.
GOVERNMENT INCOME PORTFOLIO
<TABLE>
<S> <C>
STATEMENT OF ASSETS AND LIABILITIES
(UNAUDITED)
June 30, 2000
ASSETS
Investments, at value (cost: $313,671,938) ........ $307,031,935
Interest .......................................... 3,690,240
Receivable for capital stock sold ................. 147,928
------------
Total Assets .................................... 310,870,103
------------
LIABILITIES
Payable for investments purchased ................. 24,533,802
Payable to investment adviser ..................... 284,553
Payable for capital stock repurchased ............. 241,110
Due to broker -- variation margin ................. 64,328
Accrued expenses and other liabilities ............ 61,509
------------
Total Liabilities ............................... 25,185,302
------------
NET ASSETS .......................................... $285,684,801
============
Net assets were comprised of:
Common stock, at $0.01 par value ................ $ 241,979
Paid-in capital, in excess of par ............... 271,336,699
------------
271,578,678
Undistributed net investment income ............... 25,815,480
Accumulated net realized loss on investments ...... (5,119,518)
Net unrealized depreciation on investments ........ (6,589,839)
------------
Net assets, June 30, 2000. ....................... $285,684,801
============
Net asset value and redemption price per
share, 24,197,886 outstanding shares of
common stock (authorized 65,000,000
shares) ........................................... $ 11.81
============
STATEMENT OF OPERATIONS
(UNAUDITED)
Six Months Ended June 30, 2000
INVESTMENT INCOME
Interest .......................................... $ 9,931,266
------------
EXPENSES
Investment advisory fee ........................... 609,152
Accounting fees ................................... 49,000
Shareholders' reports ............................. 23,000
Custodian's fees and expenses ..................... 6,000
Transfer agent's fees and expenses ................ 4,000
Commitment fee on syndicated credit agreement ..... 2,000
Audit fees and expenses ........................... 2,000
Directors' fees ................................... 2,000
Legal fees and expenses ........................... 600
Miscellaneous ..................................... 80
------------
Total expenses .................................. 697,832
Less: custodian fee credit ........................ (8,010)
------------
Net expenses .................................... 689,822
------------
NET INVESTMENT INCOME ............................... 9,241,444
------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS
Net realized loss on:
Investments ..................................... (3,738,143)
Futures ......................................... (1,084,972)
------------
(4,823,115)
------------
Net change in unrealized appreciation
(depreciation) on:
Investments ..................................... 8,810,079
Futures ......................................... (226,008)
------------
8,584,071
------------
NET GAIN ON INVESTMENTS ............................. 3,760,956
------------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS .......................................... $ 13,002,400
============
</TABLE>
STATEMENTS OF CHANGES IN NET ASSETS
(UNAUDITED)
<TABLE>
<CAPTION>
SIX MONTHS ENDED YEAR ENDED
JUNE 30, 2000 DECEMBER 31, 1999
---------------- -----------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income ................................... $ 9,241,444 $ 22,098,715
Net realized gain (loss) on investments ................. (4,823,115) 626,818
Net change in unrealized appreciation (depreciation) on
investments ........................................... 8,584,071 (33,763,076)
------------ --------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS ............................................ 13,002,400 (11,037,543)
------------ --------------
DIVIDENDS AND DISTRIBUTIONS:
Dividends from net investment income .................. (5,524,679) --
Distributions from net realized capital gains ......... (865,700) --
------------ --------------
TOTAL DIVIDENDS AND DISTRIBUTIONS ..................... (6,390,379) --
------------ --------------
CAPITAL STOCK TRANSACTIONS:
Capital stock sold [380,066 and 1,551,024 shares,
respectively] ......................................... 4,763,627 18,087,112
Capital stock issued in reinvestment of dividends and
distributions [545,254 and-0-shares, respectively] .... 6,390,379 --
Capital stock repurchased [(5,771,781) and (9,880,838)
shares, respectively] ................................. (67,562,117) (114,780,632)
------------ --------------
NET DECREASE IN NET ASSETS RESULTING FROM CAPITAL STOCK
TRANSACTIONS ............................................ (56,408,111) (96,693,520)
------------ --------------
TOTAL DECREASE IN NET ASSETS .............................. (49,796,090) (107,731,063)
NET ASSETS:
Beginning of period ..................................... 335,480,891 443,211,954
------------ --------------
End of period (a) ....................................... $285,684,801 $ 335,480,891
============ ==============
(a) Includes undistributed net investment income of: .... $ 25,815,480 $ 22,098,715
------------ --------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
A3
<PAGE> 4
FINANCIAL STATEMENTS OF
THE PRUDENTIAL SERIES FUND, INC.
ZERO COUPON BOND 2000 PORTFOLIO
<TABLE>
<S> <C>
STATEMENT OF ASSETS AND LIABILITIES
(UNAUDITED)
June 30, 2000
ASSETS
Investments, at value (cost: $40,795,549).... $41,113,700
Cash......................................... 815
Interest receivable.......................... 1,215
Receivable for capital stock sold............ 668
-----------
Total Assets............................... 41,116,398
-----------
LIABILITIES
Payable to investment adviser................ 39,872
Accrued expenses and other liabilities....... 24,726
Payable for capital stock repurchased........ 3,588
-----------
Total Liabilities.......................... 68,186
-----------
NET ASSETS..................................... $41,048,212
===========
Net assets were comprised of:
Common stock, at $0.01 par value........... 31,241
Paid-in capital, in excess of par.......... 37,751,712
-----------
37,782,953
Undistributed net investment income.......... 2,965,880
Distributions in excess of net realized gain
on investments............................. (18,772)
Net unrealized appreciation on investments... 318,151
-----------
Net assets, June 30, 2000.................... $41,048,212
===========
Net asset value and redemption price per
share, 3,124,134 outstanding shares of
common stock (authorized 10,000,000
shares).................................... $ 13.14
===========
STATEMENT OF OPERATIONS
(UNAUDITED)
Six Months Ended June 30, 2000
INVESTMENT INCOME
Interest..................................... $ 1,422,108
-----------
EXPENSES
Investment advisory fee...................... 81,648
Accounting fees.............................. 38,000
Shareholders' reports........................ 3,000
Directors' fees.............................. 2,000
Transfer agent's fees and expenses........... 1,100
Custodian's fees and expenses................ 700
Commitment fee on syndicated credit
agreement.................................. 200
Audit fee and expenses....................... 300
Legal fees and expenses...................... 100
Miscellaneous................................ 40
-----------
Total expenses............................. 127,088
Less: custodian fee credit................... (64)
-----------
Net expenses............................... 127,024
-----------
NET INVESTMENT INCOME.......................... 1,295,084
-----------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS
Net realized loss on investments............. (18,772)
Net change in unrealized appreciation on
investments................................ (183,609)
-----------
NET LOSS ON INVESTMENTS........................ (202,381)
-----------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS..................................... $ 1,092,703
===========
</TABLE>
STATEMENTS OF CHANGES IN NET ASSETS
(UNAUDITED)
<TABLE>
<CAPTION>
SIX MONTHS ENDED YEAR ENDED
JUNE 30, 2000 DECEMBER 31, 1999
---------------- -----------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income................................... $ 1,295,084 $ 2,227,728
Net realized gain (loss) on investments................. (18,772) 64,991
Net change in unrealized appreciation on investments.... (183,609) (1,426,110)
----------- -----------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS.... 1,092,703 866,609
----------- -----------
DIVIDENDS AND DISTRIBUTIONS:
Dividends from net investment income.................. (556,932) --
Distributions from net realized capital gains......... (64,991) (74,885)
----------- -----------
TOTAL DIVIDENDS AND DISTRIBUTIONS..................... (621,923) (74,885)
----------- -----------
CAPITAL STOCK TRANSACTIONS:
Capital stock sold [35,249 and 297,406 shares,
respectively].......................................... 460,540 3,825,409
Capital stock issued in reinvestment of dividends and
distributions [47,877 and 5,864 shares,
respectively].......................................... 621,923 74,885
Capital stock repurchased [(133,680) and (283,069)
shares, respectively].................................. (1,746,230) (3,630,462)
----------- -----------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
CAPITAL STOCK TRANSACTIONS.............................. (663,767) 269,832
----------- -----------
TOTAL INCREASE (DECREASE) IN NET ASSETS................... (192,987) 1,061,556
NET ASSETS:
Beginning of period..................................... 41,241,199 40,179,643
----------- -----------
End of period (a)....................................... $41,048,212 $41,241,199
=========== ===========
(a) Includes undistributed net investment income of:.... $ 2,965,880 $ 2,227,728
----------- -----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
A4
<PAGE> 5
FINANCIAL STATEMENTS OF
THE PRUDENTIAL SERIES FUND, INC.
ZERO COUPON BOND 2005 PORTFOLIO
<TABLE>
<S> <C>
STATEMENT OF ASSETS AND LIABILITIES
(UNAUDITED)
June 30, 2000
ASSETS
Investments, at value (cost: $44,924,768).... $45,019,009
Cash......................................... 25
Receivable for capital stock sold............ 1,222
Interest receivable.......................... 148
-----------
Total Assets............................... 45,020,404
-----------
LIABILITIES
Payable to investment adviser................ 43,221
Accrued expenses............................. 25,474
Payable for capital stock repurchased........ 3,399
-----------
Total Liabilities.......................... 72,094
-----------
NET ASSETS..................................... $44,948,310
===========
Net assets were comprised of:
Common stock, at $0.01 par value........... $ 35,172
Paid-in capital, in excess of par.......... 41,659,785
-----------
41,694,957
Undistributed net investment income.......... 3,009,540
Accumulated net realized gain on
investments................................ 149,572
Net unrealized appreciation on investments... 94,241
-----------
Net assets, June 30, 2000.................... $44,948,310
===========
Net asset value and redemption price per share,
3,517,185 outstanding shares of common stock
(authorized 10,000,000 shares)............... $ 12.78
===========
STATEMENT OF OPERATIONS
(UNAUDITED)
Six Months Ended June 30, 2000
INVESTMENT INCOME
Interest..................................... $ 1,356,430
-----------
EXPENSES
Investment advisory fee...................... 88,920
Accounting fees.............................. 39,000
Shareholders' reports........................ 3,000
Directors' fees.............................. 2,000
Transfer agent's fees and expenses........... 1,200
Custodian's fees and expenses................ 800
Audit fee and expenses....................... 300
Commitment fee on syndicated credit
agreement.................................. 200
Miscellaneous................................ 181
Legal fees and expenses...................... 100
-----------
Total expenses............................. 135,701
Less: custodian fee credit................... (18)
-----------
Net expenses............................... 135,683
-----------
NET INVESTMENT INCOME.......................... 1,220,747
-----------
NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS
Net realized gain on investments............. 149,572
Net change in unrealized appreciation
(depreciation) on investments.............. 619,771
-----------
NET GAIN ON INVESTMENTS........................ 769,343
-----------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS................................... $ 1,990,090
===========
</TABLE>
STATEMENTS OF CHANGES IN NET ASSETS
(UNAUDITED)
<TABLE>
<CAPTION>
SIX MONTHS ENDED YEAR ENDED
JUNE 30, 2000 DECEMBER 31, 1999
---------------- -----------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income................................... $ 1,220,747 $ 2,385,057
Net realized gain on investments........................ 149,572 1,035,010
Net change in unrealized appreciation (depreciation) on
investments............................................ 619,771 (6,039,140)
----------- -----------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS............................................. 1,990,090 (2,619,073)
----------- -----------
DIVIDENDS AND DISTRIBUTIONS:
Dividends from net investment income.................... (596,264) --
Distributions from net realized capital gains........... (1,035,010) --
----------- -----------
TOTAL DIVIDENDS AND DISTRIBUTIONS......................... (1,631,274) --
----------- -----------
CAPITAL STOCK TRANSACTIONS:
Capital stock sold [241,870 and 667,362 shares,
respectively].......................................... 3,074,293 8,629,539
Capital stock issued in reinvestment of dividends and
distributions [128,751 and -0- shares, respectively]... 1,631,274 --
Capital stock repurchased [(433,324) and (472,837)
shares, respectively].................................. (5,521,351) (6,108,622)
----------- -----------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
CAPITAL STOCK TRANSACTIONS............................. (815,784) 2,520,917
----------- -----------
TOTAL DECREASE IN NET ASSETS.............................. (456,968) (98,156)
NET ASSETS:
Beginning of period..................................... 45,405,278 45,503,434
----------- -----------
End of period (a)....................................... $44,948,310 $45,405,278
=========== ===========
(a) Includes undistributed net investment income of:.... $ 3,009,540 $ 2,385,057
----------- -----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
A5
<PAGE> 6
FINANCIAL STATEMENTS OF
THE PRUDENTIAL SERIES FUND, INC.
CONSERVATIVE BALANCED PORTFOLIO
<TABLE>
<S> <C>
STATEMENT OF ASSETS AND LIABILITIES
(UNAUDITED)
June 30, 2000
ASSETS
Investments, at value (cost: $4,223,653,578).... $4,531,594,222
Cash............................................ 1,114,092
Receivable for investments sold................. 80,377,762
Interest and dividends receivable............... 26,123,530
Receivable for securities lending income........ 8,039,638
Due from broker -- variation margin............. 336,413
Receivable for capital stock sold............... 282,322
--------------
Total Assets.................................. 4,647,867,979
--------------
LIABILITIES
Collateral for securities on loan............... 549,263,308
Payable for investments purchased............... 85,802,351
Securities lending rebate payable............... 6,494,516
Payable to investment adviser................... 5,424,651
Payable for capital stock repurchased........... 2,361,382
Accrued expenses and other liabilities.......... 335,335
Interest payable for short positions............ 1,984
--------------
Total Liabilities............................. 649,683,527
--------------
NET ASSETS........................................ $3,998,184,452
==============
Net assets were comprised of:
Common stock, at $0.01 par value.............. $ 2,597,442
Paid-in capital, in excess of par............. 3,619,831,557
--------------
3,622,428,999
Undistributed net investment income............. 40,136,790
Accumulated net realized gain on investments.... 27,135,156
Net unrealized appreciation on investments...... 308,483,507
--------------
Net assets, June 30, 2000....................... $3,998,184,452
==============
Net asset value and redemption price per share,
259,744,181 outstanding shares of common stock
(authorized 370,000,000 shares)................. $ 15.39
==============
STATEMENT OF OPERATIONS
(UNAUDITED)
Six Months Ended June 30, 2000
INVESTMENT INCOME
Dividends (net of $113,693 foreign withholding
tax).......................................... $ 12,292,960
Interest........................................ 83,210,207
Income from securities loaned, net.............. 928,244
--------------
96,431,411
--------------
EXPENSES
Investment advisory fee......................... 11,317,778
Shareholders' reports........................... 300,000
Accounting fees................................. 117,000
Custodian's fees and expenses................... 87,000
Audit fee and expenses.......................... 27,000
Commitment fee on syndicated credit agreement... 21,000
Legal fees and expenses......................... 9,000
Transfer agent's fees and expenses.............. 5,000
Directors' fees................................. 2,000
Miscellaneous................................... 7,950
--------------
Total expenses................................ 11,893,728
Less: custodian fee credit...................... (30,558)
--------------
Net expenses.................................. 11,863,170
--------------
NET INVESTMENT INCOME............................. 84,568,241
--------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS
Net realized gain on:
Investments................................... 37,048,475
Futures....................................... 14,717
--------------
37,063,192
--------------
Net change in unrealized appreciation
(depreciation) on:
Investments................................... (72,515,152)
Futures....................................... 1,064,445
--------------
(71,450,707)
--------------
NET LOSS ON INVESTMENTS........................... (34,387,515)
--------------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS........................................ $ 50,180,726
==============
</TABLE>
STATEMENTS OF CHANGES IN NET ASSETS
(UNAUDITED)
<TABLE>
<CAPTION>
SIX MONTHS ENDED YEAR ENDED
JUNE 30, 2000 DECEMBER 31, 1999
---------------- -----------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income.................................... $ 84,568,241 $ 184,232,537
Net realized gain on investments......................... 37,063,192 444,194
Net change in unrealized appreciation (depreciation) on
investments............................................ (71,450,707) 111,038,163
-------------- --------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS..... 50,180,726 295,714,894
-------------- --------------
DIVIDENDS AND DISTRIBUTIONS:
Dividends from net investment income..................... (44,823,492) (183,840,496)
Distributions from net realized capital gains............ (308,721) (16,406,123)
Distributions in excess of net realized capital gains.... -- (9,619,315)
-------------- --------------
TOTAL DIVIDENDS AND DISTRIBUTIONS...................... (45,132,213) (209,865,934)
-------------- --------------
CAPITAL STOCK TRANSACTIONS:
Capital stock sold [1,114,890 and 3,595,334 shares,
respectively].......................................... 16,968,248 54,694,876
Capital stock issued in reinvestment of dividends and
distributions [3,018,877 and 13,845,674 shares,
respectively].......................................... 45,132,213 209,865,934
Capital stock repurchased [(30,014,439) and (49,920,477)
shares, respectively].................................. (456,104,753) (759,229,309)
-------------- --------------
NET DECREASE IN NET ASSETS RESULTING FROM CAPITAL STOCK
TRANSACTIONS............................................. (394,004,292) (494,668,499)
-------------- --------------
TOTAL DECREASE IN NET ASSETS............................... (388,955,779) (408,819,539)
NET ASSETS:
Beginning of period...................................... 4,387,140,231 4,795,959,770
-------------- --------------
End of period(a)......................................... $3,998,184,452 $4,387,140,231
============== ==============
(a) Includes undistributed net investment income of:..... $ 40,136,790 $ 392,041
-------------- --------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
A6
<PAGE> 7
FINANCIAL STATEMENTS OF
THE PRUDENTIAL SERIES FUND, INC.
FLEXIBLE MANAGED PORTFOLIO
<TABLE>
<S> <C>
STATEMENT OF ASSETS AND LIABILITIES
(UNAUDITED)
June 30, 2000
ASSETS
Investments, at value (cost:
$5,082,760,902).......................... $5,397,889,319
Cash....................................... 112,043
Receivable for investments sold short...... 169,123,840
Interest and dividends receivable.......... 30,015,221
Receivable for investments sold short...... 3,254,533
Due from broker -- variation margin........ 1,592,491
Receivable for capital stock sold.......... 647,871
Receivable for securities lending income... 514,378
--------------
Total Assets............................. 5,603,149,696
--------------
LIABILITIES
Collateral for securities on loan.......... 648,016,591
Payable for investments purchased.......... 180,841,097
Payable to investment adviser.............. 7,011,441
Securities lending rebate payable.......... 6,472,530
Investments sold short, at value (proceeds
received $3,224,344) (Note 2)............ 3,238,681
Payable for capital stock repurchased...... 2,663,480
Accrued expenses and other liabilities..... 542,510
Interest payable for short position........ 30,188
--------------
Total Liabilities........................ 848,816,518
--------------
NET ASSETS................................... $4,754,333,178
==============
Net assets were comprised of:
Common stock, at $0.01 par value......... 2,741,036
Paid-in capital, in excess of par........ 4,209,322,145
--------------
4,212,063,181
Undistributed net investment income........ 207,728,336
Accumulated net realized gain on
investments.............................. 22,549,997
Net unrealized appreciation on
investments.............................. 311,991,664
--------------
Net assets, June 30, 2000.................. $4,754,333,178
==============
Net asset value and redemption price per
share, 274,103,632 outstanding shares of
common stock (authorized 370,000,000
shares).................................... $ 17.35
==============
STATEMENT OF OPERATIONS
(UNAUDITED)
Six Months Ended June 30, 2000
INVESTMENT INCOME
Dividends (net of $256,421 foreign
withholding tax)......................... $ 22,040,465
Income from securities loaned, net......... 251,212
Interest................................... 74,421,789
--------------
96,713,466
--------------
EXPENSES
Investment advisory fee.................... 14,443,923
Shareholders' reports...................... 348,000
Accounting fees............................ 109,000
Custodian's fees and expenses.............. 99,000
Audit fee and expenses..................... 20,000
Commitment fee on syndicated credit
agreement................................ 25,000
Legal fees and expenses.................... 10,000
Transfer agent's fees and expenses......... 5,000
Directors' fees............................ 2,000
Miscellaneous.............................. 21,823
--------------
Total expenses........................... 15,083,746
Less: custodian fee credit................. (25,151)
--------------
Net expenses............................. 15,058,595
--------------
NET INVESTMENT INCOME........................ 81,654,871
--------------
NET REALIZED AND UNREALIZED GAIN ON
INVESTMENTS
Net realized gain on:
Investments................................ 28,005,905
Futures.................................... 11,964,917
--------------
39,970,822
--------------
Net change in unrealized appreciation on:
Investments................................ (96,364,001)
Futures.................................... (1,605,638)
--------------
(97,969,639)
--------------
NET LOSS ON INVESTMENTS...................... (57,998,817)
--------------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS................................... $ 23,656,054
==============
</TABLE>
STATEMENTS OF CHANGES IN NET ASSETS
(UNAUDITED)
<TABLE>
<CAPTION>
SIX MONTHS ENDED YEAR ENDED
JUNE 30, 2000 DECEMBER 31, 1999
---------------- -----------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income.................................... $ 81,654,871 $ 168,147,775
Net realized gain on investments......................... 39,970,822 67,028,322
Net change in unrealized appreciation (depreciation) on
investments............................................ (97,969,639) 158,247,390
-------------- --------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS..... 23,656,054 393,423,487
-------------- --------------
DIVIDENDS AND DISTRIBUTIONS:
Dividends from net investment income................... (42,004,729) (240,137)
Distributions from net realized capital gains.......... (67,504,778) (60,930,102)
-------------- --------------
TOTAL DIVIDENDS AND DISTRIBUTIONS...................... (109,509,507) (61,170,239)
-------------- --------------
CAPITAL STOCK TRANSACTIONS:
Capital stock sold [1,200,247 and 3,138,333 shares,
respectively].......................................... 20,681,448 53,348,688
Capital stock issued in reinvestment of dividends and
distributions [6,573,200 and 3,554,343 shares,
respectively].......................................... 109,509,507 61,170,239
Capital stock repurchased [(24,158,046) and (42,922,625)
shares, respectively].................................. (415,268,619) (731,489,268)
-------------- --------------
NET DECREASE IN NET ASSETS RESULTING FROM CAPITAL STOCK
TRANSACTIONS........................................... (285,077,664) (616,970,341)
-------------- --------------
TOTAL DECREASE IN NET ASSETS............................... (370,931,117) (284,717,093)
NET ASSETS:
Beginning of period...................................... 5,125,264,295 5,409,981,388
-------------- --------------
End of period (a)........................................ $4,754,333,178 $5,125,264,295
============== ==============
(a) Includes undistributed net investment income of:..... $ 207,728,336 $ 168,078,194
-------------- --------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
A7
<PAGE> 8
FINANCIAL STATEMENTS OF
THE PRUDENTIAL SERIES FUND, INC.
HIGH YIELD BOND PORTFOLIO
<TABLE>
<S> <C>
STATEMENT OF ASSETS AND LIABILITIES
(UNAUDITED)
June 30, 2000
ASSETS
Investments, at value (cost:
$873,842,613)............................. $ 758,276,387
Interest and dividends receivable........... 17,103,516
Due from manager............................ 941,736
Receivable for investments sold............. 722,238
Receivable for capital stock sold........... 152,020
Receivable for securities lending income.... 97,177
-------------
Total Assets.............................. 777,293,074
-------------
LIABILITIES
Bank overdraft.............................. 92,635
Collateral for securities on loan........... 22,897,220
Payable for investments purchased........... 16,328,173
Payable to investment adviser............... 990,518
Payable for capital stock repurchased....... 260,583
Securities lending rebate payable........... 220,922
Accrued expenses and other liabilities...... 96,138
-------------
Total Liabilities......................... 40,886,189
-------------
NET ASSETS.................................... $ 736,406,885
=============
Net assets were comprised of:
Common stock, at $0.01 par value.......... $ 1,027,257
Paid-in capital, in excess of par......... 822,779,544
-------------
823,806,801
Undistributed net investment income......... 102,584,514
Accumulated net realized loss on
investments............................... (75,359,940)
Net unrealized depreciation on
investments............................... (114,624,490)
-------------
Net assets, June 30, 2000................... $ 736,406,885
=============
Net asset value and redemption price per
share, 102,725,876 outstanding shares of
common stock (authorized 195,000,000
shares)..................................... $ 7.17
=============
STATEMENT OF OPERATIONS
(UNAUDITED)
Six Months Ended June 30, 2000
INVESTMENT INCOME
Interest.................................... $ 38,975,412
Dividends................................... 2,606,232
Income from securities loaned, net.......... 42,765
-------------
41,624,409
-------------
EXPENSES
Investment advisory fee..................... 2,086,750
Accounting fees............................. 72,600
Shareholders' reports....................... 44,700
Custodian's fee and expenses................ 22,000
Audit fee and expenses...................... 5,000
Transfer agent's fees and expenses.......... 5,000
Commitment fee on syndicated credit
agreement................................. 4,000
Directors' fees............................. 2,000
Legal fees and expenses..................... 2,000
Miscellaneous............................... 1,240
-------------
Total expenses............................ 2,245,290
Less: custodian fee credit.................. (12,137)
-------------
Net expenses.............................. 2,233,153
-------------
NET INVESTMENT INCOME......................... 39,391,256
-------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS
Net realized gain (loss) on:
Investments............................... (24,021,874)
Options written........................... 68,000
-------------
(23,953,874)
-------------
Net change in unrealized depreciation on
investments............................... (29,872,990)
-------------
NET LOSS ON INVESTMENTS....................... (53,826,864)
-------------
NET DECREASE IN NET ASSETS RESULTING FROM
OPERATIONS.................................... $ (14,435,608)
=============
</TABLE>
STATEMENTS OF CHANGES IN NET ASSETS
(UNAUDITED)
<TABLE>
<CAPTION>
SIX MONTHS ENDED YEAR ENDED
JUNE 30, 2000 DECEMBER 31, 1999
---------------- -----------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income................................... $ 39,391,256 $ 84,257,678
Net realized loss on investments........................ (23,953,874) (42,984,475)
Net change in unrealized depreciation on investments.... (29,872,990) (5,307,921)
------------- -------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS............................................. (14,435,608) 35,965,282
------------- -------------
DIVIDENDS
Dividends from net investment income.................. (21,064,420) (2,179,668)
------------- -------------
CAPITAL STOCK TRANSACTIONS:
Capital stock sold [3,084,426 and 17,182,804 shares,
respectively].......................................... 22,712,941 127,100,943
Capital stock issued in reinvestment of dividends
[2,933,763 and 291,010 shares, respectively]........... 21,064,420 2,179,668
Capital stock repurchased [(10,003,033) and (20,307,030)
shares, respectively].................................. (74,070,995) (150,186,649)
------------- -------------
NET DECREASE IN NET ASSETS RESULTING FROM CAPITAL STOCK
TRANSACTIONS........................................... (30,293,634) (20,906,038)
------------- -------------
TOTAL INCREASE (DECREASE) IN NET ASSETS................... (65,793,662) 12,879,576
NET ASSETS:
Beginning of period..................................... 802,200,547 789,320,971
------------- -------------
End of period(a)........................................ $ 736,406,885 $ 802,200,547
============= =============
(a) Includes undistributed net investment income of:.... $ 102,584,514 $ 84,257,678
------------- -------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
A8
<PAGE> 9
FINANCIAL STATEMENTS OF
THE PRUDENTIAL SERIES FUND, INC.
STOCK INDEX PORTFOLIO
<TABLE>
<S> <C>
STATEMENT OF ASSETS AND LIABILITIES
(UNAUDITED)
June 30, 2000
ASSETS
Investments, at value (cost: $2,421,693,015)........ $4,632,248,585
Cash................................................ 82,577
Receivable for capital stock sold................... 5,217,430
Interest and dividends receivable................... 3,559,711
Due from broker -- variation margin................. 417,311
Receivable for securities lending income............ 26,971
--------------
Total Assets...................................... 4,641,552,585
--------------
LIABILITIES
Payable for investments purchased................... 5,350,790
Payable for capital stock repurchased............... 3,574,620
Payable to investment adviser....................... 3,384,373
Accrued expenses and other liabilities.............. 308,973
Payable for securities lending rebate............... 6,743
--------------
Total Liabilities................................. 12,625,499
--------------
NET ASSETS............................................ $4,628,927,086
==============
Net assets were comprised of:
Common stock, at $0.01 par value.................. 1,050,526
Paid-in capital, in excess of par................. 2,352,018,287
--------------
2,353,068,813
Undistributed net investment income................. 9,567,144
Accumulated net realized gain on investments........ 56,864,541
Net unrealized appreciation on investments.......... 2,209,426,588
--------------
Net assets, June 30, 2000........................... $4,628,927,086
==============
Net asset value and redemption price per share,
105,052,556 outstanding shares of common stock
(authorized 170,000,000
shares)............................................. $ 44.06
==============
STATEMENT OF OPERATIONS
(UNAUDITED)
Six Months Ended June 30, 2000
INVESTMENT INCOME
Dividends (net of $140,415 foreign withholding
tax).............................................. $ 25,750,240
Interest............................................ 1,854,610
Income from securities loaned, net.................. 20,228
--------------
27,625,078
--------------
EXPENSES
Investment advisory fee............................. 7,945,377
Shareholders' reports............................... 317,000
Custodian's fees and expenses....................... 67,000
Accounting fee...................................... 56,000
Audit fee and expenses.............................. 28,000
Commitment fee on syndicated credit agreement....... 22,000
Directors' fees..................................... 9,800
Legal fees and expenses............................. 9,000
Transfer agent's fees and expenses.................. 5,000
Miscellaneous....................................... 2,403
--------------
Total expenses.................................... 8,461,580
Less: custodian fee credit.......................... (3,416)
--------------
Net expenses........................................ 8,458,164
--------------
NET INVESTMENT INCOME................................. 19,166,914
--------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain on:
Investments....................................... 58,723,760
Futures........................................... 1,178,443
--------------
59,902,203
--------------
Net change in unrealized appreciation on:
Investments....................................... (100,120,922)
Futures........................................... (3,553,245)
--------------
(103,674,167)
--------------
NET LOSS ON INVESTMENTS............................... (43,771,964)
--------------
NET DECREASE IN NET ASSETS RESULTING FROM
OPERATIONS............................................ $ (24,605,050)
==============
</TABLE>
STATEMENTS OF CHANGES IN NET ASSETS
(UNAUDITED)
<TABLE>
<CAPTION>
SIX MONTHS ENDED YEAR ENDED
JUNE 30, 2000 DECEMBER 31, 1999
---------------- -----------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income.................................... $ 19,166,914 $ 44,408,380
Net realized gain on investments......................... 59,902,203 46,195,228
Net change in unrealized appreciation -- depreciation on
investments............................................ (103,674,167) 682,952,950
-------------- --------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS............................................. (24,605,050) 773,556,558
-------------- --------------
DIVIDENDS AND DISTRIBUTIONS:
Dividends from net investment income................... (9,915,562) (44,092,588)
Distributions from net realized capital gains.......... (4,659,010) (54,347,010)
-------------- --------------
TOTAL DIVIDENDS AND DISTRIBUTIONS...................... (14,574,572) (98,439,598)
-------------- --------------
CAPITAL STOCK TRANSACTIONS:
Capital stock sold [5,464,147 and 19,061,602 shares,
respectively].......................................... 236,393,149 768,257,840
Capital stock issued in reinvestment of dividends and
distributions [355,044 and 2,357,499 shares,
respectively].......................................... 14,574,572 98,439,598
Capital stock repurchased [(5,490,744) and (10,712,263)
shares, respectively].................................. (237,878,533) (434,885,868)
-------------- --------------
NET INCREASE IN NET ASSETS RESULTING FROM CAPITAL STOCK
TRANSACTIONS........................................... 13,089,188 431,811,570
-------------- --------------
TOTAL INCREASE (DECREASE) IN NET ASSETS.................... (26,090,434) 1,106,928,530
NET ASSETS:
Beginning of period...................................... 4,655,017,520 3,548,088,990
-------------- --------------
End of period (a)........................................ $4,628,927,086 $4,655,017,520
============== ==============
(a) Includes undistributed net investment income of:..... $ 9,567,144 $ 315,792
-------------- --------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
A9
<PAGE> 10
FINANCIAL STATEMENTS OF
THE PRUDENTIAL SERIES FUND, INC.
EQUITY INCOME PORTFOLIO
<TABLE>
<S> <C>
STATEMENT OF ASSETS AND LIABILITIES
(UNAUDITED)
June 30, 2000
ASSETS
Investments, at value (cost: $1,738,740,135).... $1,755,879,262
Foreign currency, at value (cost: $3,174,975)... 3,156,501
Cash............................................ 3,228,223
Receivable for investments sold................. 16,769,324
Interest and dividends receivable............... 5,595,603
Receivable for securities lending income........ 482,757
Receivable for capital stock sold............... 40,043
Deferred expenses and other assets.............. 2,712
--------------
Total Assets.................................. 1,785,154,425
--------------
LIABILITIES
Collateral for securities on loan............... 53,524,300
Securities lending rebate payable............... 3,878,871
Payable for investments purchased............... 2,374,016
Payable to investment adviser................... 1,710,226
Payable for capital stock repurchased........... 1,276,810
Accrued expenses and other liabilities.......... 234,961
--------------
Total Liabilities............................. 62,999,184
--------------
NET ASSETS........................................ $1,722,155,241
==============
Net assets were comprised of:
Common stock, at $0.01 par value.............. 942,079
Paid-in capital, in excess of par............. 1,602,326,343
--------------
1,603,268,422
Undistributed net investment income........... 11,597,212
Accumulated net realized gain on
investments................................. 90,168,954
Net unrealized appreciation on investments.... 17,120,653
--------------
Net assets, June 30, 2000................... $1,722,155,241
==============
Net asset value and redemption price per
share, 94,207,874 outstanding shares of
common stock (authorized 170,000,000
shares)..................................... $ 18.28
==============
STATEMENT OF OPERATIONS
(UNAUDITED)
Six Months Ended June 30, 2000
INVESTMENT INCOME
Dividends (net of $260,766 foreign withholding
tax).......................................... $ 25,903,447
Interest........................................ 1,235,907
Income from securities loaned, net.............. 163,687
--------------
27,303,041
--------------
EXPENSES
Investment advisory fee......................... 3,576,368
Shareholders' reports........................... 128,000
Accounting fees................................. 49,000
Custodian's fees and expenses................... 36,000
Audit fee and expenses.......................... 12,000
Commitment fee on syndicated credit agreement... 8,000
Transfer agent's fees and expenses.............. 5,000
Legal fees and expenses......................... 4,000
Directors' fees................................. 4,000
Miscellaneous................................... 531
--------------
Total expenses................................ 3,822,899
Less: custodian fee credit...................... (23,884)
--------------
Net expenses.................................. 3,799,015
--------------
NET INVESTMENT INCOME............................. 23,504,026
--------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS
Net realized gain (loss) on:
Investments................................... 90,896,506
Foreign currencies............................ (689)
--------------
90,895,817
--------------
Net change in unrealized appreciation on:
Investments................................... (225,104,316)
Foreign currencies............................ (18,474)
--------------
(225,122,790)
--------------
NET LOSS ON INVESTMENTS........................... (134,226,973)
--------------
NET DECREASE IN NET ASSETS RESULTING FROM
OPERATIONS........................................ $ (110,722,947)
==============
</TABLE>
STATEMENTS OF CHANGES IN NET ASSETS
(UNAUDITED)
<TABLE>
<CAPTION>
SIX MONTHS ENDED YEAR ENDED
JUNE 30, 2000 DECEMBER 31, 1999
---------------- -----------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income.................................... $ 23,504,026 $ 49,197,688
Net realized gain on investments......................... 90,895,817 196,991,597
Net change in unrealized appreciation/depreciation on
investments............................................ (225,122,790) 1,676,194
-------------- --------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS............................................. (110,722,947) 247,865,479
-------------- --------------
DIVIDENDS AND DISTRIBUTIONS:
Dividends from net investment income................... (15,228,194) (47,863,180)
Distributions from net realized capital gains.......... (3,969,841) (228,772,711)
-------------- --------------
TOTAL DIVIDENDS AND DISTRIBUTIONS...................... (19,198,035) (276,635,891)
-------------- --------------
CAPITAL STOCK TRANSACTIONS:
Capital stock sold [2,505,161 and 4,932,597 shares,
respectively].......................................... 45,103,356 106,031,268
Capital stock issued in reinvestment of dividends and
distributions [1,076,726 and 14,298,341 shares,
respectively].......................................... 19,198,035 276,635,891
Capital stock repurchased [(13,069,113) and (22,475,612)
shares, respectively].................................. (236,264,528) (472,178,202)
-------------- --------------
NET DECREASE IN NET ASSETS RESULTING FROM CAPITAL STOCK
TRANSACTIONS........................................... (171,963,137) (89,511,043)
-------------- --------------
TOTAL DECREASE IN NET ASSETS............................... (301,884,119) (118,281,455)
NET ASSETS:
Beginning of period...................................... 2,024,039,360 2,142,320,815
-------------- --------------
End of period (a)........................................ $1,722,155,241 $2,024,039,360
============== ==============
(a) Includes undistributed net investment income of:..... $ 11,597,212 $ 3,322,069
-------------- --------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
A10
<PAGE> 11
FINANCIAL STATEMENTS OF
THE PRUDENTIAL SERIES FUND, INC.
EQUITY PORTFOLIO
<TABLE>
<S> <C>
STATEMENT OF ASSETS AND LIABILITIES
(UNAUDITED)
June 30, 2000
ASSETS
Investments, at value (cost: $4,965,052,251)........ $5,457,618,332
Cash................................................ 11,923
Dividends and interest receivable................... 10,908,592
Receivable for investments sold..................... 5,194,729
Receivable for capital stock sold................... 1,881,810
--------------
Total Assets...................................... 5,475,615,386
--------------
LIABILITIES
Payable to investment adviser....................... 6,252,193
Payable for capital stock repurchased............... 4,605,407
Accrued expenses and other liabilities.............. 616,776
Withholding Tax Payable............................. 96,189
Distribution fee payable............................ 310
Administration fee payable.......................... 186
--------------
Total Liabilities................................. 11,571,061
--------------
NET ASSETS............................................ $5,464,044,325
==============
Net assets were comprised of:
Common stock, at $0.01 par value.................. $ 2,061,844
Paid-in capital, in excess of par................. 4,479,964,367
--------------
4,482,026,211
Undistributed net investment income............... 32,189,572
Accumulated net realized gain on investments...... 457,266,189
Net unrealized appreciation on investments and
foreign currencies.............................. 492,562,353
--------------
Net assets, June 30, 2000........................... $5,464,044,325
==============
CLASS I:
Net asset value and redemption price per share,
$5,463,447,836/206,161,922 outstanding shares of
common stock (authorized 295,000,000 shares)...... $ 26.50
==============
CLASS II:
Net asset value and redemption price per share,
$596,489/22,517 outstanding shares of common stock
(authorized 5,000,000 shares)..................... $ 26.49
==============
STATEMENT OF OPERATIONS
(UNAUDITED)
Six Months Ended June 30, 2000
INVESTMENT INCOME
Dividends (net of $184,221 foreign withholding
tax).............................................. $ 43,271,717
Interest............................................ 26,006,743
--------------
69,278,460
--------------
EXPENSES
Investment advisory fee............................. 12,723,445
Distribution Fee -- Class II........................ 494
Administration Fee -- Class II...................... 296
Shareholders' reports............................... 414,000
Custodian expense................................... 95,000
Accounting fees..................................... 50,000
Commitment fee on syndicated credit agreement....... 37,000
Audit fee and expenses.............................. 30,000
Transfer agent's fees and expenses.................. 12,000
Legal fees and expenses............................. 5,000
Directors' fees..................................... 2,000
Miscellaneous expenses.............................. 9,991
--------------
Total expenses.................................... 13,379,226
Less: custodian fee credit.......................... (29,635)
--------------
Net expenses...................................... 13,349,591
--------------
NET INVESTMENT INCOME................................. 55,928,869
--------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
AND FOREIGN CURRENCIES
Net realized gain on:
Investments....................................... 457,237,724
Foreign currencies................................ 2,338,357
--------------
459,576,081
--------------
Net change in unrealized appreciation (depreciation)
on:
Investments....................................... (857,460,809)
Foreign currencies................................ 136,271
--------------
(857,324,538)
--------------
NET LOSS ON INVESTMENTS AND FOREIGN CURRENCIES........ (397,748,457)
--------------
NET DECREASE IN NET ASSETS RESULTING FROM
OPERATIONS............................................ $ (341,819,588)
==============
</TABLE>
STATEMENTS OF CHANGES IN NET ASSETS
(UNAUDITED)
<TABLE>
<CAPTION>
SIX MONTHS ENDED YEAR ENDED
JUNE 30, 2000 DECEMBER 31, 1999
---------------- -----------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income.................................... $ 55,928,869 $ 108,030,872
Net realized gain on investments and foreign
currencies............................................. 459,576,081 762,123,248
Net change in unrealized depreciation on investments and
foreign currencies..................................... (857,324,538) (132,832,254)
-------------- ---------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS............................................. (341,819,588) 737,321,866
-------------- ---------------
DIVIDENDS AND DISTRIBUTIONS:
Dividends from net investment income
Class I................................................ (29,016,687) (105,053,778)
Class II............................................... (4,581) (2,550)
-------------- ---------------
(29,021,268) (105,056,328)
-------------- ---------------
Distributions from net realized capital gains
Class I................................................ (136,935,527) (737,903,685)
Class II............................................... (10,872) (30,961)
-------------- ---------------
(136,946,399) (737,934,646)
-------------- ---------------
TOTAL DIVIDENDS AND DISTRIBUTIONS...................... (165,967,667) (842,990,974)
-------------- ---------------
CAPITAL STOCK TRANSACTIONS:
Capital stock sold [3,187,694 and 8,685,422 shares,
respectively].......................................... 87,731,444 269,993,500
Capital stock issued in reinvestment of dividends and
distributions [6,358,914 and 29,304,589 shares,
respectively].......................................... 165,967,667 842,990,974
Capital stock repurchased [(19,095,484) and (33,043,224)
shares, respectively].................................. (517,163,773) (1,019,065,758)
-------------- ---------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
CAPITAL STOCK TRANSACTIONS............................... (263,464,662) 93,918,716
-------------- ---------------
TOTAL DECREASE IN NET ASSETS............................... (771,251,917) (11,750,392)
NET ASSETS:
Beginning of period...................................... 6,235,296,242 6,247,046,634
-------------- ---------------
End of period(a)......................................... $5,464,044,325 $ 6,235,296,242
============== ===============
(a) Includes undistributed net investment income of:..... $ 32,189,572 $ 2,943,614
-------------- ---------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
A11
<PAGE> 12
FINANCIAL STATEMENTS OF
THE PRUDENTIAL SERIES FUND, INC.
PRUDENTIAL JENNISON PORTFOLIO
<TABLE>
<S> <C>
STATEMENT OF ASSETS AND LIABILITIES
(UNAUDITED)
June 30, 2000
ASSETS
Investments, at value (cost: $2,719,430,030).... $3,478,239,086
Cash............................................ 749
Receivable for investments sold................. 8,349,032
Receivable for capital stock sold............... 1,519,254
Interest and dividends receivable............... 1,228,980
Receivable for securities lending, net.......... 436,026
--------------
Total Assets.................................. 3,489,773,127
--------------
LIABILITIES
Payable to investment adviser................... 4,845,097
Payable for investments purchased............... 11,274,047
Payable for capital stock repurchased........... 349,577
Distribution fee payable........................ 465
Administration fee payable...................... 279
Accrued expenses and other liabilities.......... 173,711
--------------
Total Liabilities............................. 16,643,176
--------------
NET ASSETS........................................ $3,473,129,951
==============
Net assets were comprised of:
Common stock, at $0.01 par value.............. $ 1,048,296
Paid-in capital, in excess of par............. 2,473,158,889
--------------
2,474,207,185
Undistributed net investment income........... 923,669
Accumulated net realized gain on
investments................................. 239,190,019
Net unrealized appreciation on investments and
foreign currencies.......................... 758,809,078
--------------
Net assets, June 30, 2000................... $3,473,129,951
==============
Class I:
Net asset value and redemption price per
share, 3,470,354,015/104,745,716 outstanding
shares of common stock (authorized
110,000,000 shares)......................... $ 33.13
==============
Class II:
Net asset value and redemption price per
share, 2,775,935/83,915 outstanding shares
of common stock (authorized 5,000,000
shares)..................................... $ 33.08
==============
STATEMENT OF OPERATIONS
(UNAUDITED)
Six Months Ended June 30, 2000
INVESTMENT INCOME
Dividends (net of $189,126 foreign withholding
tax).......................................... $ 6,178,414
Interest........................................ 3,995,743
Income from securities loaned, net.............. 565,833
--------------
10,739,990
--------------
EXPENSES
Investment advisory fee......................... 9,532,134
Administration fee -- Class II.................. 285
Distribution fee -- Class II.................... 476
Shareholders' reports........................... 186,000
Accounting fee.................................. 40,000
Custodian's fees and expenses................... 35,000
Audit fees and expenses......................... 17,000
Commitment fee on syndicated credit agreement... 13,000
Legal fees and expenses......................... 5,000
Transfer agent's fees and expenses.............. 5,000
Directors' fees................................. 2,000
Miscellaneous................................... 4,616
--------------
Total expenses................................ 9,840,511
Less: custodian fee credit...................... (24,190)
--------------
Net expenses.................................. 9,816,321
--------------
NET INVESTMENT INCOME............................. 923,669
--------------
NET REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS
Net realized gain on investments................ 240,205,243
--------------
Net change in unrealized appreciation
(depreciation) on:
Investments................................... (133,489,787)
Foreign currencies............................ 22
--------------
(133,489,765)
--------------
NET GAIN ON INVESTMENTS........................... 106,715,478
--------------
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS......................... $ 107,639,147
==============
</TABLE>
STATEMENTS OF CHANGES IN NET ASSETS
(UNAUDITED)
<TABLE>
<CAPTION>
SIX MONTHS ENDED YEAR ENDED
JUNE 30, 2000 DECEMBER 31, 1999
---------------- -----------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income.................................... $ 923,669 $ 3,100,657
Net realized gain on investments......................... 240,205,243 147,534,996
Net change in unrealized appreciation (depreciation) on
investments............................................ (133,489,765) 574,663,580
-------------- --------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS..... 107,639,147 725,299,233
-------------- --------------
DIVIDENDS AND DISTRIBUTIONS:
Dividends from net investment income -- Class I.......... -- (3,100,657)
Distributions from net realized capital gains
Class I.................................................. (49,620,027) (109,146,897)
Class II................................................. (2,217) --
-------------- --------------
TOTAL DIVIDENDS AND DISTRIBUTIONS........................ (49,622,244) (112,247,554)
-------------- --------------
CAPITAL STOCK TRANSACTIONS:
Capital stock sold [22,430,665 and 46,076,803 shares,
respectively].......................................... 752,106,237 1,238,109,549
Capital stock issued in reinvestment of dividends and
distributions [1,630,701 and 3,815,423 shares,
respectively].......................................... 49,622,244 112,247,554
Capital stock repurchased [(4,763,710) and (14,500,046)
shares, respectively].................................. (157,283,294) (391,470,256)
-------------- --------------
NET INCREASE IN NET ASSETS RESULTING FROM CAPITAL STOCK
TRANSACTIONS............................................. 644,445,187 958,886,847
-------------- --------------
TOTAL DECREASE IN NET ASSETS............................... 702,462,090 1,571,938,526
NET ASSETS:
Beginning of period...................................... 2,770,667,861 1,198,729,335
-------------- --------------
End of period(a)......................................... $3,473,129,951 $2,770,667,861
============== ==============
(a) Includes undistributed net investment income of:..... $ 923,669 $ --
-------------- --------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
A12
<PAGE> 13
FINANCIAL STATEMENTS OF
THE PRUDENTIAL SERIES FUND, INC.
SMALL CAPITALIZATION STOCK PORTFOLIO
<TABLE>
<S> <C>
STATEMENT OF ASSETS AND LIABILITIES
(UNAUDITED)
June 30, 2000
ASSETS
Investments, at value (cost: $464,914,277)....... $515,241,971
Cash............................................. 8,953,247
Receivable for investments sold.................. 294,766
Interest and dividends receivable................ 201,869
Receivable for securities lending income......... 151,243
Receivable for capital stock sold................ 101,871
Deferred expenses and other assets............... 4,657
------------
Total Assets................................... 524,949,624
------------
LIABILITIES
Collateral for securities on loan................ 16,596,400
Securities lending rebate payable................ 9,189,077
Payable for investments purchased................ 735,627
Payable to investment adviser.................... 459,624
Due to broker--variation margin.................. 297,000
Payable for capital stock repurchased............ 203,831
Accrued expenses and other liabilities........... 67,317
------------
Total Liabilities.............................. 27,548,876
------------
NET ASSETS......................................... $497,400,748
============
Net assets were comprised of:
Common stock, at $.01 par value................ $ 303,981
Paid-in capital, in excess of par.............. 427,418,284
------------
427,722,265
Undistributed net investment income.............. 3,302,693
Accumulated net realized gain on investments..... 16,644,096
Net unrealized appreciation on investments....... 49,731,694
------------
Net assets, June 30, 2000........................ $497,400,748
============
Net asset value and redemption price per
share (30,398,086 outstanding shares of common
stock, authorized 70,000,000 shares)............. $ 16.36
============
STATEMENT OF OPERATIONS
(UNAUDITED)
Six Months Ended June 30, 2000
INVESTMENT INCOME
Dividends (net of $596 foreign withholding
tax)........................................... $ 1,463,806
Interest......................................... 860,727
Income from securities loaned, net............... 58,617
------------
2,383,150
------------
EXPENSES
Investment advisory fee.......................... 931,467
Accounting fees.................................. 67,000
Shareholders' reports............................ 29,000
Custodian's fees and expenses.................... 17,000
Transfer agent's fees and expenses............... 4,000
Audit fees and expenses.......................... 3,000
Commitment fee on syndicated credit agreement.... 2,000
Directors' fees.................................. 1,850
Legal fees and expenses.......................... 1,000
Miscellaneous.................................... 18,268
------------
Total expenses................................. 1,074,585
Less: custodian fee credit....................... (8,500)
------------
Net expenses................................... 1,066,085
------------
NET INVESTMENT INCOME.............................. 1,317,065
------------
NET REALIZED AND UNREALIZED GAIN
ON INVESTMENTS
Net realized gain on:
Investments.................................... 16,265,175
Futures........................................ 3,343,518
------------
19,608,693
------------
Net change in unrealized
appreciation/depreciation on:
Investments.................................... 13,820,036
Futures........................................ (1,400,650)
------------
12,419,386
------------
NET GAIN ON INVESTMENTS............................ 32,028,079
------------
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS.......................... $ 33,345,144
============
</TABLE>
STATEMENTS OF CHANGES IN NET ASSETS
(UNAUDITED)
<TABLE>
<CAPTION>
SIX MONTHS ENDED YEAR ENDED
JUNE 30, 2000 DECEMBER 31, 1999
---------------- -----------------
<S> <C> <C>
INCREASE IN NET ASSETS
OPERATIONS:
Net investment income.................................... $ 1,317,065 $ 2,620,452
Net realized gain on investments......................... 19,608,693 26,223,683
Net change in unrealized appreciation on investments..... 12,419,386 21,744,502
------------ ------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS..... 33,345,144 50,588,637
------------ ------------
DIVIDENDS AND DISTRIBUTIONS:
Dividends from net investment income................... (634,824) --
Distributions from net realized capital gains.......... (26,346,057) (6,897,212)
------------ ------------
TOTAL DIVIDENDS AND DISTRIBUTIONS...................... (26,980,881) (6,897,212)
------------ ------------
CAPITAL STOCK TRANSACTIONS:
Capital stock sold [3,569,625 and 8,615,063 shares,
respectively].......................................... 59,343,445 122,618,563
Capital stock issued in reinvestment of dividends and
distributions [1,889,417 and 506,032 shares,
respectively].......................................... 26,980,881 6,897,212
Capital stock repurchased [(1,977,434) and (6,702,620)
shares, respectively].................................. (32,781,530) (96,099,149)
------------ ------------
NET INCREASE IN NET ASSETS RESULTING FROM CAPITAL STOCK
TRANSACTIONS........................................... 53,542,796 33,416,626
------------ ------------
TOTAL INCREASE IN NET ASSETS............................... 59,907,059 77,108,051
NET ASSETS:
Beginning of period...................................... 437,493,689 360,385,638
------------ ------------
End of period(a)......................................... $497,400,748 $437,493,689
============ ============
(a) Includes undistributed net investment income of:..... $ 3,302,693 $ 2,620,452
------------ ------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
A13
<PAGE> 14
FINANCIAL STATEMENTS OF
THE PRUDENTIAL SERIES FUND, INC.
GLOBAL PORTFOLIO
<TABLE>
<S> <C>
STATEMENT OF ASSETS AND LIABILITIES
(UNAUDITED)
June 30, 2000
ASSETS
Investments, at value (cost: $1,146,960,150)........ $1,436,414,240
Foreign currency, at value (cost: $102,805,522)..... 104,845,050
Receivable for capital stock sold................... 2,758,588
Receivable for investments sold..................... 2,116,815
Dividends and interest receivable................... 1,550,070
Receivable for securities lending................... 966,735
--------------
Total Assets...................................... 1,548,651,498
--------------
LIABILITIES
Bank overdraft...................................... 314,406
Collateral for securities on loan................... 103,874,453
Unrealized depreciation on interest rate swap....... 2,919,014
Payable to investment adviser....................... 2,624,532
Securities lending rebate payable................... 1,246,671
Payable for capital stock repurchased............... 419,268
Forward currency contracts payable.................. 418,608
Accrued expenses and other liabilities.............. 296,001
--------------
Total Liabilities................................. 112,112,953
--------------
NET ASSETS............................................ $1,436,538,545
==============
Net assets were comprised of:
Common stock, at $0.01 par value.................. $ 502,927
Paid-in capital, in excess of par................. 897,870,258
--------------
898,373,185
Undistributed net investment income................. 4,345,469
Accumulated net realized gain on investments........ 245,654,456
Net unrealized appreciation on investments and
foreign currencies................................ 288,165,435
--------------
Net assets, June 30, 2000........................... $1,436,538,545
==============
Net asset value and redemption price per
share, 50,292,663 outstanding shares of common stock
(authorized 70,000,000 shares)...................... $ 28.56
==============
STATEMENT OF OPERATIONS
(UNAUDITED)
Six Months Ended June 30, 2000
INVESTMENT INCOME
Dividends (net of $698,547 foreign withholding
tax).............................................. $ 4,649,364
Interest............................................ 3,309,843
Income from securities loaned, net.................. 260,853
--------------
8,220,060
--------------
EXPENSES
Investment advisory fee............................. 5,207,848
Custodian fees and expenses......................... 301,000
Shareholders' reports............................... 87,000
Accounting fees..................................... 58,000
Audit fee and expenses.............................. 8,000
Commitment fee on syndicated credit agreement....... 6,000
Transfer agent's fees and expenses.................. 5,000
Legal fees and expenses............................. 2,000
Directors' fees..................................... 2,000
Miscellaneous expenses.............................. 1,123
--------------
Total expenses.................................... 5,677,971
Less: custodian fee credit.......................... (32,581)
--------------
Net expenses...................................... 5,645,390
--------------
NET INVESTMENT INCOME................................. 2,574,670
--------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
AND FOREIGN CURRENCIES
Net realized gain on:
Investments......................................... 235,305,816
Interest rate swaps................................. 6,476,461
Foreign currencies.................................. 4,528,544
--------------
246,310,821
--------------
Net change in unrealized appreciation (depreciation)
on:
Investments......................................... (262,044,493)
Interest rate swaps................................. (4,306,266)
Foreign currencies.................................. 1,783,792
--------------
(264,566,967)
--------------
NET LOSS ON INVESTMENTS AND FOREIGN CURRENCIES........ (18,256,146)
--------------
NET DECREASE IN NET ASSETS RESULTING FROM
OPERATIONS............................................ $ (15,681,476)
==============
</TABLE>
STATEMENTS OF CHANGES IN NET ASSETS
(UNAUDITED)
<TABLE>
<CAPTION>
SIX MONTHS ENDED YEAR ENDED
JUNE 30, 2000 DECEMBER 31, 1999
---------------- -----------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income.................................... $ 2,574,670 $ 2,125,578
Net realized gain on investments and foreign
currencies............................................. 246,310,821 105,889,653
Net change in unrealized appreciation (depreciation) on
investments and foreign currencies..................... (264,566,967) 315,255,820
-------------- --------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS............................................. (15,681,476) 423,271,051
-------------- --------------
DIVIDENDS AND DISTRIBUTIONS:
Dividends from net investment income................... (2,463,844) --
Distributions in excess of net investment income....... -- (4,140,269)
Distributions from net realized capital gains.......... (89,602,571) (7,259,626)
-------------- --------------
TOTAL DIVIDENDS AND DISTRIBUTIONS...................... (92,066,415) (11,399,895)
-------------- --------------
CAPITAL STOCK TRANSACTIONS:
Capital stock sold [11,656,638 and 12,980,789 shares,
respectively].......................................... 353,741,716 303,934,195
Capital stock issued in reinvestment of dividends and
distributions [3,409,867 and 520,780 shares,
respectively].......................................... 92,066,415 11,399,895
Capital stock repurchased [(6,686,931) and (11,503,347)
shares, respectively].................................. (199,835,783) (273,433,117)
-------------- --------------
NET INCREASE IN NET ASSETS RESULTING FROM CAPITAL STOCK
TRANSACTIONS............................................. 245,972,348 41,900,973
-------------- --------------
TOTAL INCREASE IN NET ASSETS............................... 138,224,457 453,772,129
NET ASSETS:
Beginning of period...................................... 1,298,314,088 844,541,959
-------------- --------------
End of period (a)........................................ $1,436,538,545 $1,298,314,088
============== ==============
(a) Includes undistributed net investment income of:..... $ 4,345,469 $ --
-------------- --------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
A14
<PAGE> 15
FINANCIAL STATEMENTS OF
THE PRUDENTIAL SERIES FUND, INC.
NATURAL RESOURCES PORTFOLIO
<TABLE>
<S> <C>
STATEMENT OF ASSETS AND LIABILITIES
(UNAUDITED)
June 30, 2000
ASSETS
Investments, at value (cost:
$253,096,599)............................. $325,463,738
Cash........................................ 2,060
Dividends and interest receivable........... 251,510
Receivable for investments sold............. 85,326
Receivable for capital stock sold........... 1,264
------------
Total Assets.............................. 325,803,898
------------
LIABILITIES
Payable to investment adviser............... 353,168
Payable for capital stock repurchased....... 220,067
Accrued expenses............................ 42,833
Withholding taxes payable................... 25,056
------------
Total Liabilities......................... 641,124
------------
NET ASSETS.................................... $325,162,774
============
Net assets were comprised of:
Common stock, at $0.01 par value.......... $ 163,055
Paid-in capital, in excess of par......... 262,864,342
------------
263,027,397
Distributions in excess of net investment
income.................................... (1,538,596)
Accumulated net realized loss on
investments............................... (8,693,147)
Net unrealized appreciation on investments
and foreign currencies.................... 72,367,120
------------
Net assets, June 30, 2000................... $325,162,774
============
Net asset value and redemption price per
share, 16,305,460 outstanding shares of
common stock (authorized 30,000,000
shares)..................................... $ 19.94
============
STATEMENT OF OPERATIONS
(UNAUDITED)
Six Months Ended June 30, 2000
INVESTMENT INCOME
Dividends (net of $90,739 foreign
withholding tax).......................... $ 1,624,625
Interest.................................... 56,895
------------
1,681,520
------------
EXPENSES
Investment advisory fee..................... 694,806
Accounting fees............................. 41,000
Shareholders' reports....................... 19,000
Custodian expense........................... 15,000
Transfer agent's fees and expenses.......... 4,000
Audit fee and expenses...................... 2,000
Directors' fees............................. 2,000
Commitment fee on syndicated credit
agreement................................. 1,000
Legal fees and expenses..................... 500
Miscellaneous expenses...................... 303
------------
Total expenses............................ 779,609
Less: custodian fee credit.................. (1,613)
------------
Net expenses.............................. 777,996
------------
NET INVESTMENT INCOME......................... 903,524
------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS AND FOREIGN CURRENCIES
Net realized gain (loss) on:
Investments............................... 528,125
Foreign currencies........................ (15,421)
------------
512,704
------------
Net change in unrealized appreciation
(depreciation) on:
Investments............................... 43,883,335
Foreign currencies........................ (212)
------------
43,883,123
------------
NET GAIN ON INVESTMENTS AND FOREIGN
CURRENCIES.................................... 44,395,827
------------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS.................................... $ 45,299,351
============
</TABLE>
STATEMENTS OF CHANGES IN NET ASSETS
(UNAUDITED)
<TABLE>
<CAPTION>
SIX MONTHS ENDED YEAR ENDED
JUNE 30, 2000 DECEMBER 31, 1999
---------------- -----------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income.................................... $ 903,524 $ 1,837,139
Net realized gain (loss) on investments and foreign
currencies............................................. 512,704 (1,937,626)
Net change in unrealized appreciation on investments and
foreign currencies..................................... 43,883,123 97,567,608
------------ ------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS..... 45,299,351 97,467,121
------------ ------------
DIVIDENDS AND DISTRIBUTIONS:
Dividends from net investment income..................... (1,338,937) (1,789,249)
Distributions in excess of net investment income......... (1,523,175) (18,078)
------------ ------------
TOTAL DIVIDENDS AND DISTRIBUTIONS........................ (2,862,112) (1,807,327)
------------ ------------
CAPITAL STOCK TRANSACTIONS:
Capital stock sold [568,018 and 1,114,228 shares,
respectively].......................................... 14,659,556 17,179,636
Capital stock issued in reinvestment of dividends and
distributions [154,542 and 114,793 shares,
respectively].......................................... 2,862,112 1,807,327
Capital stock repurchased [(871,542) and (4,343,112)
shares, respectively].................................. (24,270,994) (62,070,534)
------------ ------------
NET DECREASE IN NET ASSETS RESULTING FROM CAPITAL STOCK
TRANSACTIONS........................................... (6,749,326) (43,083,571)
------------ ------------
TOTAL INCREASE IN NET ASSETS............................... 35,687,913 52,576,223
NET ASSETS:
Beginning of period...................................... 289,474,861 236,898,638
------------ ------------
End of period (a)........................................ $325,162,774 $289,474,861
============ ============
(a) Includes undistributed net investment income of:..... $ -- $ 435,413
------------ ------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
A15
<PAGE> 16
THE PRUDENTIAL SERIES FUND, INC.
SCHEDULE OF INVESTMENTS
MONEY MARKET PORTFOLIO
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL
INTEREST MATURITY AMOUNT VALUE
RATE DATE (000) (NOTE 2)
-------- -------- --------- --------------
<S> <C> <C> <C> <C>
BANK NOTES -- 9.7%
Amex Centurion Bank....................................... 7.01% 07/10/00 $ 6,000 $ 6,000,000
Bank of America, N.A...................................... 6.73% 09/11/00 31,000 31,000,000
Comerica Bank, N.A. (a)................................... 6.66% 07/03/00 6,000 5,999,286
Comerica Bank, N.A. (a)................................... 6.66% 07/06/00 6,000 6,000,343
Comerica Bank, N.A. (a)................................... 6.57% 07/07/00 5,000 4,998,599
Comerica Bank, N.A. (a)................................... 6.61% 07/19/00 26,000 25,992,627
First Union National Bank (a)............................. 6.28% 07/21/00 24,000 24,000,000
Keybank, N.A. (a)......................................... 6.05% 07/17/00 4,000 4,000,129
National City Bank of Cleveland........................... 6.73% 02/09/01 5,000 4,998,551
--------------
112,989,535
--------------
CERTIFICATES OF DEPOSIT-DOMESTIC -- 4.1%
First Union National Bank................................. 7.09% 12/22/00 32,000 32,000,000
Morgan Guaranty Trust Co.................................. 5.70% 07/19/00 16,000 16,000,000
--------------
48,000,000
--------------
CERTIFICATES OF DEPOSIT-YANKEE -- 10.0%
Bank of Nova Scotia....................................... 6.65% 02/01/01 10,000 9,997,204
Dexia Bank Grand Cayman................................... 7.13% 07/03/00 8,171 8,171,000
National Westminster Bank PLC............................. 6.10% 11/27/00 50,000 49,957,463
Rabobank Nederland........................................ 5.66% 07/13/00 34,000 33,999,552
Westpac Banking Corp...................................... 6.52% 01/29/01 15,000 14,995,861
--------------
117,121,080
COMMERCIAL PAPER -- 51.6%
Alcoa, Inc................................................ 6.62% 07/18/00 10,000 10,000,000
Alcoa, Inc................................................ 6.75% 07/20/00 25,000 25,000,000
Alliance & Leicester PLC.................................. 6.14% 07/10/00 10,000 9,984,650
Alliance & Leicester PLC.................................. 6.58% 08/22/00 3,800 3,763,883
Aon Corp.................................................. 6.65% 07/13/00 1,500 1,496,675
Aon Corp.................................................. 6.61% 07/14/00 2,892 2,885,097
B.B.V. Finance, Inc....................................... 6.57% 08/09/00 3,572 3,546,576
Bank One Corp............................................. 6.86% 08/21/00 10,000 10,000,000
Bank One Corp............................................. 6.86% 08/17/00 3,100 3,100,000
Bank One Corp. (a)........................................ 6.87% 09/13/00 14,000 14,001,164
Banc One Financial Corp................................... 6.07% 08/03/00 10,000 9,944,404
Bank of Scotland Treasury Services PLC.................... 6.62% 09/11/00 5,000 4,933,800
Barton Capital Corp....................................... 6.85% 07/03/00 12,401 12,396,281
Barton Capital Corp....................................... 6.84% 07/14/00 8,207 8,186,729
Barton Capital Corp....................................... 6.77% 07/21/00 36,488 36,350,765
BASF AG................................................... 6.60% 08/28/00 19,000 18,797,967
BBL North America......................................... 6.58% 08/18/00 3,821 3,787,477
Bell Atlantic Financial Services, Inc..................... 6.66% 08/16/00 9,463 9,382,470
Bradford & Bingley Building Society....................... 6.58% 08/07/00 6,000 5,959,424
Bradford & Bingley Building Society....................... 6.65% 09/08/00 24,028 23,721,743
Brahms Funding Corp....................................... 6.71% 07/28/00 15,000 14,924,569
Centric Capital Corp...................................... 6.65% 08/23/00 6,500 6,436,363
Centric Capital Corp...................................... 6.65% 09/13/00 6,250 6,164,566
CIT Group, Inc............................................ 6.62% 08/22/00 18,000 17,827,880
Citicorp (a).............................................. 6.68% 07/03/00 2,000 2,000,000
Citicorp.................................................. 6.60% 08/17/00 25,000 24,784,584
First Union Corp.......................................... 5.63% 02/12/01 2,400 2,386,206
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B1
<PAGE> 17
MONEY MARKET PORTFOLIO (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL
INTEREST MATURITY AMOUNT VALUE
RATE DATE (000) (NOTE 2)
-------- -------- --------- --------------
<S> <C> <C> <C> <C>
COMMERCIAL PAPER (CONT'D.)
Corporate Asset Funding Co., Inc.......................... 6.63% 08/24/00 $ 8,000 $ 7,920,440
Countrywide Home Loan..................................... 6.71% 07/31/00 17,800 17,700,468
CXC, Inc.................................................. 6.73% 11/15/00 25,000 24,359,715
Delaware Funding Corp..................................... 6.65% 07/25/00 12,676 12,619,803
Duke Capital Corp......................................... 7.25% 07/05/00 10,000 9,991,945
Edison Asset Securitization LLC........................... 6.65% 08/14/00 14,305 14,188,732
Falcon Asset Securitization Corp.......................... 6.60% 08/08/00 662 657,388
Falcon Asset Securitization Corp.......................... 6.62% 08/14/00 9,955 9,874,453
Forrestal Funding Master Trust............................ 6.63% 09/15/00 18,286 18,030,057
Fortis Funding LLC........................................ 6.75% 10/06/00 21,450 21,059,878
General Electric Capital Corp............................. 6.55% 07/17/00 2,300 2,293,304
General Electric Capital Corp............................. 6.55% 07/18/00 1,000 996,907
General Electric Capital Corp............................. 6.65% 09/07/00 1,300 1,283,671
GTE Corp.................................................. 6.62% 07/05/00 20,000 19,985,289
GTE Corp.................................................. 6.62% 08/02/00 11,000 10,935,271
Hartford Financial Service Group, Inc..................... 6.65% 07/14/00 4,000 3,990,395
Hartford Financial Service Group, Inc..................... 6.62% 07/31/00 4,000 3,977,933
Homeside Lending.......................................... 6.60% 08/02/00 7,000 6,958,933
Invensys PLC.............................................. 7.30% 07/05/00 10,000 9,991,889
Salomon Smith Barney Holdings, Inc........................ 6.62% 09/11/00 11,378 11,227,355
Santander Finance, Inc.................................... 6.71% 11/14/00 34,000 33,138,138
Santander Finance, Inc.................................... 6.71% 11/15/00 20,000 19,489,294
SBC Communications, Inc................................... 6.55% 07/12/00 2,700 2,694,596
Sonoco Products Co........................................ 7.05% 07/05/00 19,000 18,985,117
Southern Co............................................... 6.75% 07/31/00 2,750 2,734,531
Sweetwater Capita Corp.................................... 6.67% 09/13/00 5,276 5,203,663
Sweetwater Capita Corp.................................... 6.67% 09/14/00 2,482 2,447,511
Sweetwater Capita Corp.................................... 6.67% 09/18/00 4,068 4,008,457
Wells Fargo & Co.......................................... 6.60% 07/18/00 13,500 13,457,925
--------------
601,966,331
--------------
OTHER CORPORATE OBLIGATIONS -- 23.3%
Abbey National Treasury Services, PLC..................... 6.24% 07/24/00 20,000 19,999,261
Centex Home Mortgage (a)(b)............................... 6.79% 07/20/00 5,000 5,000,000
CIT Group, Inc. (a)....................................... 6.68% 10/16/00 4,000 3,994,236
Commercial Credit Co...................................... 5.75% 07/15/00 2,000 1,999,855
Conseco Finance Vehicle Trust (a)(b)...................... 6.81% 07/17/00 7,360 7,359,781
Daimler Chrysler.......................................... 6.53% 07/06/00 29,000 28,999,483
Ford Motor Credit Corp. (a)............................... 6.73% 08/18/00 35,000 34,996,281
Ford Motor Credit Corp. (a)............................... 6.77% 10/02/00 28,000 27,993,051
Goldman Sachs Group L.P. (a).............................. 6.92% 09/15/00 45,000 45,000,000
Restructured Asset Securities Enhanced Return (a)(b)...... 6.74% 07/06/00 24,000 24,000,000
Security Life of Denver (a)(b)............................ 6.35% 07/12/00 15,000 15,000,000
Short Term Repackaged Asset Trust (a)(b).................. 6.75% 07/18/00 12,000 12,000,000
Strategic MM Tr 99-A (a).................................. 6.40% 07/13/00 27,000 27,000,000
Travelers Group, Inc. (a)(b).............................. 6.30% 07/06/00 4,000 4,000,000
US Bancorp (a)............................................ 6.72% 07/20/00 14,265 14,263,445
--------------
271,605,393
--------------
U.S. GOVERNMENT OBLIGATIONS -- 1.3%
Federal Home Loan Bank (a)................................ 6.19% 07/19/00 15,000 14,994,120
--------------
TOTAL INVESTMENTS -- 100.0%
(amortized cost $1,166,676,459; (c))....................................................... 1,166,676,459
--------------
ASSETS IN EXCESS OF OTHER LIABILITIES........................................................ 123,929
--------------
TOTAL NET ASSETS -- 100.0%................................................................... $1,166,800,388
==============
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B2
<PAGE> 18
MONEY MARKET PORTFOLIO (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
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, 2000.
(b) Indicates a restricted security and deemed illiquid. The Aggregate cost and
value of restricted securities $67,359,781 represents 5.8% of net assets.
(c) 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, 2000 was as
follows:
<TABLE>
<S> <C>
Commercial Banks............................................ 43.8%
Asset Backed Securities..................................... 15.0%
Motor Vehicle Parts......................................... 7.9%
Bank Holding Company U.S.................................... 6.9%
Security Brokers & Dealers.................................. 4.8%
Phone Company Communications................................ 3.7%
Metals...................................................... 3.0%
Life Insurance.............................................. 2.5%
Short Term Business Credit.................................. 2.3%
Mortgage Bankers............................................ 2.1%
Paperboard Mills............................................ 1.6%
Chemicals & Allied Products................................. 1.6%
Federal Credit Agencies..................................... 1.3%
Electrical Services......................................... 1.1%
Fire & Marine Casualty Insurance............................ 1.0%
Electric & Equipment, Computer.............................. 0.8%
Accidental/Health Insurance................................. 0.4%
Personal Credit Institution................................. 0.2%
-----
100.0%
Other assets in excess of liabilities....................... 0.0%
-----
100.0%
=====
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B3
<PAGE> 19
DIVERSIFIED BOND PORTFOLIO
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
LONG-TERM INVESTMENTS -- 88.2% PRINCIPAL
MOODY'S INTEREST MATURITY AMOUNT VALUE
RATING RATE DATE (000) (NOTE 2)
LONG-TERM BONDS -- 87.9% ------- ----------- ----------------- --------- --------------
<S> <C> <C> <C> <C> <C>
AEROSPACE -- 1.8%
Boeing Co. ........................................... A1 8.75% 08/15/21 $ 6,250 $ 6,882,562
Northrop Grumman Corp. ............................... Baa3 7.875% 03/01/26 3,400 3,222,826
Raytheon Co. ......................................... Baa2 6.45% 08/15/02 5,000 4,871,300
Raytheon Co. ......................................... Baa2 6.50% 07/15/05 4,200 3,986,934
United Technologies Corp. ............................ A2 7.50% 09/15/29 3,200 3,150,000
--------------
22,113,622
--------------
AIRLINES -- 1.4%
Continental Airlines, Inc. ........................... Aa3 7.461% 04/01/15 5,104 4,886,677
United Airlines, Inc. ................................ Baa3 10.67% 05/01/04 7,000 7,120,330
United Airlines, Inc. ................................ Baa3 11.21% 05/01/14 5,000 5,154,400
--------------
17,161,407
--------------
ASSET BACKED SECURITIES -- 3.2%
Advanta Mortgage Loan Trust, Series 1994-3............ Aaa 8.49% 01/25/26 7,014 7,010,719
California Infrastructure PG&E, Series 1997-1......... Aaa 6.32% 09/25/05 4,000 3,908,125
Citibank Credit Card Master Trust..................... Aaa 6.10% 05/15/08 12,500 11,703,125
MBNA Corp., Series 1999-B ............................ Aaa 5.90% 08/15/11 17,900 16,201,614
--------------
38,823,583
--------------
AUTO/EQUIPMENT RENTAL -- 0.1%
Hertz Corp. .......................................... A3 8.25% 06/01/05 750 765,600
--------------
AUTOMOBILES & TRUCKS -- 0.6%
Ford Motor Co. ....................................... A2 7.45% 07/16/31 2,300 2,175,179
Navistar International Corp. ......................... Baa3 7.00% 02/01/03 3,500 3,342,500
Navistar International Corp. ......................... Ba2 8.00% 02/01/08 1,350 1,238,625
--------------
6,756,304
--------------
BANKS & FINANCIAL SERVICES -- 5.2%
Bayerische Landesbank Girozentrale, (Germany)......... Aaa 5.875% 12/01/08 7,800 6,938,568
Chase Manhattan Corp. ................................ A1 7.875% 06/15/10 1,000 998,000
Chase Manhattan Corp. ................................ A1 6.375% 04/01/08 5,770 5,335,461
International Bank for Reconstruction & Development
(Supranational) .................................... Aaa 12.375% 10/15/02 750 834,540
Lehman Brothers Holdings, Inc. ....................... A3 6.625% 04/01/04 13,245 12,640,895
Lehman Brothers Holdings, Inc. ....................... A3 6.375% 05/07/02 560 546,829
Lehman Brothers Holdings, Inc. ....................... A3 6.625% 02/05/06 3,685 3,443,227
Merrill Lynch, Pierce, Fenner & Smith, Inc. .......... Aa3 6.922% 06/24/03 15,000 14,985,000
Okobank (Japan)....................................... A2 7.2975% 09/29/49 5,000 4,935,000
PaineWebber Group, Inc. .............................. Baa1 6.45% 12/01/03 5,000 4,763,400
Salomon, Inc. ........................................ Aa3 6.65% 07/15/01 7,000 6,945,120
Salomon, Inc. ........................................ Aa3 6.125% 01/15/03 500 483,305
--------------
62,849,345
--------------
BANKS AND SAVINGS & LOANS -- 4.6%
Cho Hung Bank......................................... B1 11.50% 04/01/10 3,250 3,128,125
Cho Hung Bank......................................... B1 11.875% 04/01/10 3,250 3,128,125
Compass Bancshares, Inc. ............................. A1 8.10% 08/15/09 4,800 4,642,512
Dresdner Funding Trust................................ A1 8.151% 06/30/31 7,600 6,634,800
Hanvit Bank........................................... B1 12.75% 03/01/10 6,550 6,484,500
Kansallis-Osake-Pankki (Finland)...................... A1 10.00% 05/01/02 5,000 5,205,650
KBC Bank Funding...................................... A1 9.86% 11/29/49 5,000 5,116,000
National Australia Bank, (Australia).................. A1 6.40% 12/10/07 3,700 3,649,125
Sanwa Finance Aruba A.E.C............................. Baa1 8.35% 07/15/09 4,640 4,619,399
Sovereign Bancorp..................................... Ba3 10.25% 05/15/04 1,325 1,306,569
Sovereign Bancorp..................................... Ba3 10.50% 11/15/06 2,295 2,295,000
Washington Mutual, Inc. .............................. A3 7.50% 08/15/06 10,000 9,703,800
--------------
55,913,605
--------------
BEVERAGES -- 0.1%
Embotelladora Andina S A.............................. Baa1 7.875% 10/01/97 1,250 963,000
--------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B4
<PAGE> 20
DIVERSIFIED BOND PORTFOLIO (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL
MOODY'S INTEREST MATURITY AMOUNT VALUE
RATING RATE DATE (000) (NOTE 2)
LONG-TERM BONDS (CONTINUED) ------- ----------- ----------------- --------- --------------
<S> <C> <C> <C> <C> <C>
CABLE & PAY TELEVISION SYSTEMS -- 1.4%
British Sky Broadcasting, Inc. ....................... Baa3 6.875% 02/23/09 $ 1,975 $ 1,735,057
Cox Enterprises, Inc. ................................ Baa1 6.625% 06/14/02 3,200 3,146,720
CSC Holdings, Inc. ................................... Ba1 7.25% 07/15/08 3,400 3,143,130
CSC Holdings, Inc. ................................... Ba1 7.875% 12/15/07 1,490 1,441,620
Rogers Cablesystems, Inc. (Canada).................... Ba1 10.00% 03/15/05 4,000 4,090,000
Tele-Communications, Inc.............................. A2 6.34% 02/01/12 3,500 3,443,650
--------------
17,000,177
--------------
COMPUTERS -- 1.0%
Hewlett Packard Company............................... Aa2 7.15% 06/15/05 5,000 5,000,000
International Business Machine Corp. ................. A1 5.50% 01/15/09 5,000 4,457,850
International Business Machine Corp. ................. A1 5.625% 04/12/04 3,000 2,854,830
--------------
12,312,680
--------------
CONSUMER PRODUCTS -- 0.1%
Fortune Brands........................................ A2 7.125% 11/01/04 1,050 1,019,235
--------------
CONTAINERS & PACKAGING -- 0.6%
Owen-Illinois, Inc. .................................. Ba1 7.85% 05/15/04 5,244 5,020,239
Pactiv Corp. ......................................... Baa3 7.95% 12/15/25 2,000 1,794,060
--------------
6,814,299
--------------
DIVERSIFIED OPERATIONS -- 0.6%
Tyco Int'l Group SA................................... Baa1 6.875% 01/15/29 3,350 2,829,980
Xerox Cap Europe PLC.................................. A3 5.75% 05/15/02 4,960 4,776,480
--------------
7,606,460
--------------
DRUGS & MEDICAL SUPPLIES -- 0.5%
Mallinckrod, Inc. .................................... Baa2 6.30% 03/15/11 3,500 3,447,500
Monsanto Corp. ....................................... A1 6.50% 12/01/18 1,015 894,743
Monsanto Corp. ....................................... A1 6.75% 12/15/27 2,415 2,166,424
--------------
6,508,667
--------------
FINANCIAL SERVICES -- 6.0%
Bombardier Capital, Inc. M.T.N........................ A3 7.30% 12/15/02 5,000 4,955,000
Calair Capital Corp. ................................. Ba2 8.125% 04/01/08 2,700 2,322,000
Capital One Financial Corp. .......................... Baa2 7.08% 10/30/01 5,000 4,924,650
Capital One Financial Corp. .......................... Baa3 7.25% 05/01/06 2,100 1,921,500
Chrysler Financial Corp. ............................. A1 5.25% 10/22/01 10,400 10,116,392
Ford Motor Credit Co. ................................ A2 7.375% 10/28/09 1,600 1,547,632
Gatx Capital Corp..................................... Baa2 7.75% 12/01/06 3,000 2,805,000
General Motors Acceptance Corp. ...................... A2 5.75% 11/10/03 10,000 9,468,500
Heller Financial, Inc. ............................... A3 6.000% 03/19/04 2,900 2,713,936
HSBC Capital Funding LP............................... A1 10.176% 12/31/49 6,000 6,450,000
HVB Funding Trust..................................... NR 9.000% 10/22/31 6,000 5,694,600
International Lease Finance Corp. .................... A1 5.900% 03/12/03 6,000 5,760,000
RBF Finance Co. ...................................... Ba3 11.375% 03/15/09 1,270 1,371,600
Sakura Cap Funding Cayman............................. Ba2 7.040% 09/29/49 5,000 4,850,000
The CIT Group, Inc. .................................. A1 5.500% 10/15/01 8,045 7,843,231
--------------
72,744,041
--------------
FOOD & BEVERAGE -- 0.4%
Archer-Daniels-Midland Co. ........................... A1 6.625% 05/01/29 4,700 3,938,365
Comunidad Andaluic.................................... Aa3 7.250% 10/01/29 540 519,048
--------------
4,457,413
--------------
FOREST PRODUCTS -- 2.0%
International Paper Co. .............................. Baa1 8.00% 07/08/03 16,000 16,083,680
Scotia Pacific Co. ................................... Baa2 7.710% 01/20/14 12,200 8,357,000
--------------
24,440,680
--------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B5
<PAGE> 21
DIVERSIFIED BOND PORTFOLIO (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL
MOODY'S INTEREST MATURITY AMOUNT VALUE
RATING RATE DATE (000) (NOTE 2)
LONG-TERM BONDS (CONTINUED) ------- ----------- ----------------- --------- --------------
<S> <C> <C> <C> <C> <C>
HOSPITAL MANAGEMENT -- 0.3%
Columbia/HCA Healthcare Corp. ........................ Ba2 6.910% 06/15/05 $ 2,435 $ 2,209,762
Tenet Healthcare Corp. ............................... Ba1 7.875% 01/15/03 1,825 1,774,813
--------------
3,984,575
--------------
INDUSTRIALS -- 0.5%
Compania Sud Americana De Vapores..................... NR 7.375% 12/08/03 2,000 1,920,000
Rockwell International Corp. ......................... A1 5.200% 01/15/98 6,500 4,071,990
--------------
5,991,990
--------------
INSURANCE -- 1.3%
Allstate Corp. ....................................... A1 7.200% 12/01/09 900 860,328
Conseco, Inc. ........................................ Ba1 8.500% 10/15/02 6,875 5,087,500
Nationwide CSN Trust.................................. A1 9.875% 02/15/25 5,000 4,990,000
Reliaster Financial Corp. ............................ A3 6.625% 09/15/03 5,000 4,844,000
--------------
15,781,828
--------------
INVESTMENT BANKING -- 1.1%
Morgan Stanley Dean Witter & Co. ..................... Aa3 5.625% 04/12/02 5,450 5,293,149
Morgan Stanley Dean Witter & Co. ..................... Aa3 7.125% 01/15/03 2,830 2,811,860
Morgan Stanley Dean Witter & Co. ..................... Aa3 7.75% 06/15/05 5,000 4,999,500
--------------
13,104,509
--------------
LEISURE -- 1.9%
Harrahs Operating Co., Inc. .......................... Ba2 7.875% 12/15/05 290 272,600
HMH Properties........................................ Ba2 7.875% 08/01/05 1,970 1,861,650
ITT Corp. ............................................ Ba1 6.75% 11/15/03 7,000 6,568,870
Park Place Entertainment.............................. Ba2 7.875% 12/15/05 2,265 2,129,100
Park Place Entertainment.............................. Ba2 9.375% 02/15/07 740 740,000
Royal Caribbean Cruises Ltd. ......................... Baa2 7.00% 10/15/07 8,000 6,752,480
Royal Caribbean Cruises Ltd. ......................... Baa2 7.25% 08/15/06 5,000 4,425,050
--------------
22,749,750
--------------
MEDIA -- 3.9%
Liberty Media Group................................... Baa3 8.25% 02/01/30 5,000 4,604,050
News America Holding, Inc. ........................... Baa3 6.703% 05/21/34 22,000 20,934,760
Paramount Communications, Inc. ....................... Baa1 7.50% 01/15/02 5,000 4,983,650
Turner Broadcasting Systems Inc. ..................... Baa3 7.40% 02/01/04 13,500 13,086,090
United News & Media PLC............................... Baa2 7.25% 07/01/04 2,000 1,931,200
United News & Media PLC............................... Baa2 7.75% 07/01/09 1,000 947,700
--------------
46,487,450
--------------
OIL & GAS -- 3.9%
Amerada Hess Corp. ................................... Baa1 7.375% 10/01/09 600 583,134
Amerada Hess Corp. ................................... Baa1 7.875% 10/01/29 1,600 1,564,496
Atlantic Richfield Co. ............................... Aa2 5.55% 04/15/03 3,700 3,567,096
Atlantic Richfield Co. ............................... Aa2 5.90% 04/15/09 6,770 6,173,089
B.J. Services Co. .................................... Baa2 7.00% 02/01/06 5,000 4,795,950
Eott Energy Partners LP............................... Ba2 11.00% 10/01/09 1,960 1,989,400
K N Energy, Inc. ..................................... Baa2 6.30% 03/01/21 15,000 14,883,900
K N Energy, Inc. ..................................... Baa2 6.45% 11/30/01 4,500 4,407,300
Limestone Electron Trust.............................. Baa3 8.625% 03/15/03 6,000 6,058,080
Phillips Petroleum Company............................ Baa2 8.50% 05/25/05 2,550 2,634,354
--------------
46,656,799
--------------
OIL & GAS EXPLORATION/PRODUCTION -- 0.3%
Parker & Parsley Petroleum Co. ....................... Ba2 8.875% 04/15/05 1,505 1,468,143
Seagull Energy Corp. ................................. Ba1 7.875% 08/01/03 1,830 1,775,100
--------------
3,243,243
--------------
PHOTOGRAPHY -- 0.2%
Eastman Kodak Company M.T.N........................... A2 7.25% 06/15/05 2,500 2,490,750
--------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B6
<PAGE> 22
DIVERSIFIED BOND PORTFOLIO (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL
MOODY'S INTEREST MATURITY AMOUNT VALUE
RATING RATE DATE (000) (NOTE 2)
LONG-TERM BONDS (CONTINUED) ------- ----------- ----------------- --------- --------------
<S> <C> <C> <C> <C> <C>
PRINTING & PUBLISHING -- 0.2%
World Color Press, Inc. .............................. Baa3 7.75% 02/15/09 $ 2,075 $ 1,893,438
World Color Press, Inc. .............................. Baa3 8.375% 11/15/08 1,000 940,000
--------------
2,833,438
--------------
RAILROADS -- 0.3%
Norfolk Southern Corp. ............................... Baa1 6.95% 05/01/02 1,650 1,627,148
Union Pacific Corp. .................................. Baa3 7.95% 04/15/29 2,100 2,082,696
--------------
3,709,844
--------------
REAL ESTATE INVESTMENT TRUST -- 0.8%
ERP Operating L.P. ................................... A3 6.63% 04/13/15 3,900 3,666,234
ERP Operating L.P. ................................... A3 7.10% 06/23/04 1,500 1,454,640
HRPT Properties Trust................................. Baa2 7.521% 07/09/07 5,000 5,000,000
--------------
10,120,874
--------------
RETAIL -- 2.1%
Federated Department Stores, Inc. .................... Baa1 8.125% 10/15/02 5,250 5,302,605
Federated Department Stores, Inc. .................... Baa1 8.50% 06/15/03 10,200 10,293,534
Kmart Corp. .......................................... Baa3 9.78% 01/05/20 3,850 3,557,169
Kroger Co., (The)..................................... Baa3 6.375% 03/01/08 6,600 5,941,980
--------------
25,095,288
--------------
TELECOMMUNICATIONS -- 7.9%
AT&T Canada, Inc. (Canada)............................ Baa3 7.65% 09/15/06 1,600 1,590,960
TeleCommunications, Inc. ............................. Ba1 10.125% 04/15/22 6,300 7,608,447
Deutsche Telekom International........................ Aa2 7.75% 06/15/05 8,100 8,140,500
Deutsche Telekom International........................ Aa2 8.00% 06/15/10 5,000 5,035,000
Deutsche Telekom International........................ Aa2 8.25% 06/15/30 7,500 7,575,750
Electric Lightwave, Inc. ............................. A2 6.05% 05/15/04 3,300 3,073,125
Global Crossing Holdings, Ltd. ....................... Ba2 9.125% 11/15/06 4,400 4,235,000
LCI International, Inc. .............................. Baa1 7.25% 06/15/07 11,125 10,533,484
Qwest Communications, Inc............................. Baa1 7.50% 11/01/08 3,150 3,039,750
Rogers Cantel, Inc. .................................. Baa3 9.375% 06/01/08 2,350 2,420,500
Sprint Corp. ......................................... Baa1 5.70% 11/15/03 12,000 11,319,360
Sprint Corp. ......................................... Baa1 6.875% 11/15/28 2,500 2,173,175
Sprint Corp. ......................................... Baa2 7.625% 06/10/02 5,000 5,005,500
Telecom De Puerto Rico................................ Baa2 6.65% 05/15/06 6,800 6,315,500
Telecom De Puerto Rico................................ Baa2 6.80% 05/15/09 5,700 5,208,375
U.S. West Cap. Funding, Inc. ......................... Baa1 6.875% 08/15/01 5,000 4,974,000
Williams Communications Group, Inc. .................. B2 10.70% 10/01/07 2,000 1,990,000
Worldcom, Inc. ....................................... A3 6.95% 08/15/28 6,300 5,549,670
--------------
95,788,096
--------------
UTILITIES -- 11.3%
AES Corp. ............................................ Ba1 9.50% 06/01/09 4,905 4,806,900
Calenergy Co., Inc. .................................. Baa3 6.96% 09/15/03 8,000 7,802,640
Calenergy Co., Inc. .................................. Baa3 7.23% 09/15/05 5,000 4,862,250
Calpine Corp. ........................................ Ba1 10.50% 05/15/06 4,060 4,242,700
CMS Energy Corp....................................... Ba3 6.75% 01/15/04 4,500 4,185,000
CMS Energy Corp. ..................................... Ba3 8.00% 07/01/11 4,500 4,417,200
Cogentrix Energy, Inc. ............................... Ba1 8.75% 10/15/08 10,000 9,650,000
Commonwealth Edison Co. .............................. Baa2 7.625% 01/15/07 7,525 7,342,218
Connecticut Light & Power Co. ........................ Baa3 7.75% 06/01/02 5,685 5,703,078
Edison Mission Energy................................. A3 7.73% 06/15/09 3,200 3,120,512
El Paso Electric Company.............................. Baa3 9.40% 05/01/11 4,000 4,244,560
El Paso Energy Corp. ................................. Baa2 6.625% 07/15/01 3,800 3,766,636
Hydro-Quebec.......................................... A2 8.00% 02/01/13 1,850 1,923,963
Hydro-Quebec.......................................... A2 7.500% 04/01/16 500 497,680
Hydro-Quebec.......................................... A2 9.400% 02/01/21 3,925 4,631,147
Illinois Power Co. ................................... Aaa 5.38% 06/25/07 15,000 14,001,450
Niagara Mohawk Power.................................. Baa2 6.875% 04/01/03 4,000 3,909,080
Niagara Mohawk Power.................................. Baa2 7.375% 08/01/03 8,000 7,888,240
Niagara Mohawk Power.................................. Baa2 8.00% 06/01/04 5,000 5,025,350
Osprey Trust.......................................... Baa2 8.31% 01/15/03 16,000 16,054,400
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B7
<PAGE> 23
DIVERSIFIED BOND PORTFOLIO (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL
MOODY'S INTEREST MATURITY AMOUNT VALUE
RATING RATE DATE (000) (NOTE 2)
LONG-TERM BONDS (CONTINUED) ------- ----------- ----------------- --------- --------------
<S> <C> <C> <C> <C> <C>
UTILITIES (CONT'D.)
PSEG Energy Holdings, Inc. ........................... Ba1 10.00% 10/01/09 $ 2,605 $ 2,637,563
Sonat, Inc. .......................................... Baa2 7.625% 07/15/11 5,100 4,981,425
Texas Utilities....................................... Baa3 5.94% 10/15/01 10,000 9,784,600
Utilicorp United Inc. ................................ Baa3 7.00% 07/15/04 1,280 1,222,566
Utilicorp United, Inc. ............................... Baa3 7.625% 11/15/09 700 660,009
--------------
137,361,167
--------------
WASTE MANAGEMENT -- 0.7%
Allied Waste Industries, Inc. ........................ Ba3 7.625% 01/01/06 1,540 1,347,500
Waste Management, Inc. ............................... Ba1 6.125% 07/15/01 7,000 6,760,040
--------------
8,107,540
--------------
U.S. GOVERNMENT AGENCY AND OBLIGATIONS -- 15.4%
United States Treasury Bond (a)....................... 8.125% 08/15/21 66,700 81,488,724
United States Treasury Bond........................... 9.00% 11/15/18 7,300 9,479,707
United States Treasury Bond........................... 6.125% 08/15/29 22,714 22,941,140
United States Treasury Bond........................... 6.75% 08/15/26 9,800 10,545,682
United States Treasury Bond........................... 13.875% 05/15/11 4,150 5,629,101
United States Treasury Note........................... 6.50% 02/15/10 31,445 32,521,048
United States Treasury Note........................... 6.50% 05/31/02 4,715 4,720,893
United States Treasury Note........................... 6.50% 10/15/06 1,825 1,846,955
United States Treasury Strips......................... zero coupon 05/15/20 36,500 10,819,695
United States Treasury Strips......................... zero coupon 11/15/15 16,446 6,378,088
--------------
186,371,033
--------------
U.S. GOVERNMENT MORTGAGE BACKED SECURITIES -- 2.0%
Federal National Mortgage Association................. 6.50% 12/31/99 20,000 19,279,600
Federal National Mortgage Association................. 9.00% 05/01/17-09/01/21 237 193,572
Government National Mortgage Association.............. 7.50% 05/20/02-01/15/26 4,987 4,959,455
--------------
24,432,627
--------------
FOREIGN GOVERNMENT BONDS -- 4.2%
Province of Saskatchewan (Canada)..................... A2 9.125% 02/15/21 3,000 3,468,090
Quebec Province (Canada).............................. A2 7.125% 02/09/24 2,650 2,503,137
Republic of Argentina (Argentina)..................... BBB (b) 0.010% 10/15/01 5,000 4,300,000
Republic of Panama (Panama)........................... Ba1 7.875% 02/13/02 8,000 7,840,000
Republic of Philippines (Philippines)................. Ba1 8.875% 04/15/08 3,200 2,880,000
United Mexican States (Mexico)........................ Baa3 7.312% 12/31/19 2,100 2,063,250
United Mexican States (Mexico)........................ Baa3 7.602% 12/31/19 4,200 4,126,500
United Mexican States (Mexico)........................ Baa3 7.800% 12/31/19 5,900 5,796,750
United Mexican States (Mexico)........................ Baa3 9.875% 02/01/10 7,500 7,762,500
United Mexican States (Mexico)........................ Baa3 10.375% 02/17/09 9,500 10,212,500
--------------
50,952,727
--------------
TOTAL LONG-TERM BONDS
(cost $1,096,849,061)......................................................................................... 1,063,513,646
--------------
<CAPTION>
SHARES
---------
<S> <C> <C> <C> <C> <C>
PREFERRED STOCK -- 0.3%
Centaur Funding Corp. (cost $4,323,180) .......................................................... 4.323 3,997,350
--------------
TOTAL LONG-TERM INVESTMENTS
(cost $1,101,172,241)......................................................................................... 1,067,510,996
--------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B8
<PAGE> 24
DIVERSIFIED BOND PORTFOLIO (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL
MOODY'S INTEREST MATURITY AMOUNT VALUE
RATING RATE DATE (000) (NOTE 2)
------- ----------- ----------------- --------- --------------
<S> <C> <C> <C> <C> <C>
SHORT-TERM INVESTMENTS -- 12.2%
OTHER CORPORATE OBLIGATIONS -- 9.4%
Arkla Inc., M.T.N. ................................... Baa1 9.32% 12/18/00 $ 2,000 $ 2,013,380
Burlington Northern Santa Fe Corp. ................... Baa2 6.05% 03/15/01 8,000 7,958,640
Camden Property Trust................................. Baa2 7.23% 10/30/00 5,000 4,991,000
Comdisco, Inc. ....................................... Baa1 6.32% 11/27/00 10,000 9,954,400
El Paso Electric Company.............................. Baa3 7.75% 05/01/01 5,850 5,840,581
ERP Operating L.P. ................................... BBB (b) 6.15% 09/15/00 15,000 14,962,500
Ford Motor Credit Co. ................................ A2 5.75% 01/25/01 4,000 3,964,880
Fort James Corp. ..................................... Baa2 6.234% 03/15/01 5,000 4,954,650
Goldman Sachs Group, Inc. ............................ A1 5.56% 01/11/01 4,200 4,164,720
GTE Corp. ............................................ A2 9.375% 12/01/00 6,250 6,308,437
ICI Wilmington, Inc. ................................. Baa1 9.50% 11/15/00 3,500 3,522,435
ITT Corp. ............................................ Ba1 6.25% 11/15/00 4,250 4,210,942
Kroger Co., (The) .................................... Baa3 6.34% 06/01/01 6,500 6,386,250
Norfolk Southern Corp. ............................... Baa1 6.875% 05/01/01 4,500 4,469,355
Raytheon Co. ......................................... Baa2 5.95% 03/15/01 6,500 6,424,145
Salomon, Inc. ........................................ Aa3 6.59% 02/21/01 3,500 3,484,355
Seagram (J.) & Sons................................... Baa3 5.79% 04/15/01 11,500 11,343,600
TRW, Inc. ............................................ Baa1 6.45% 06/15/01 9,200 9,062,000
--------------
(cost $114,992,761)........................................................................................... 114,016,270
--------------
REPURCHASE AGREEMENT -- 2.8%
Joint Repurchase Agreement Account (cost $34,236,000) (Note
5)............................................................ 6.492% 07/03/00 34,236 34,236,000
--------------
TOTAL SHORT-TERM INVESTMENTS
(cost $149,228,761)........................................................................................... 148,252,270
--------------
TOTAL INVESTMENTS BEFORE INVESTMENT SOLD SHORT -- 100.4%
(cost $1,250,401,002; Note 6)................................................................................. 1,215,763,266
--------------
INVESTMENT SOLD SHORT -- (0.7%)
United States Treasury Note (proceeds
$8,251,875 -- Note 2)............................... Aaa 6.75% 05/15/05 (8,100) (8,288,568)
--------------
TOTAL INVESTMENTS, NET OF INVESTMENT SOLD SHORT -- 99.7%...................................................... 1,207,474,698
Variation margin on open futures contracts (c)................................................................ (27,344)
OTHER ASSETS IN EXCESS OF LIABILITIES -- 0.3%................................................................... 3,336,122
--------------
TOTAL NET ASSETS -- 100.0%...................................................................................... $1,210,783,476
==============
</TABLE>
The following abbreviations are used in portfolio descriptions:
<TABLE>
<S> <C>
L.P. Limited Partnership
M.T.N. Medium Term Note
PLC Public Limited Company (British Corporation)
S.A. Sociedad Anonime (Spanish Corporation) or Societe Anonyme
(French Corporation)
NR Not Rated by Moody's or Standard & Poor's
</TABLE>
(a) Security, or portion thereof, segregated as collateral for futures contracts
(b) Standard & Poor's Rating.
(c) Open Futures contracts as of June 30, 2000 are as follows:
<TABLE>
<CAPTION>
NUMBER OF EXPIRATION VALUE AT VALUE AT
CONTRACTS TYPE DATE TRADE DATE JUNE 30, 2000 DEPRECIATION
<S> <C> <C> <C> <C> <C>
Long position:
175 U.S. Treasury Bond Sep 00 $17,040,625 $17,035,156 $(5,469)
=======
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B9
<PAGE> 25
GOVERNMENT INCOME PORTFOLIO
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL
INTEREST MATURITY AMOUNT VALUE
RATE DATE (000) (NOTE 2)
LONG-TERM INVESTMENTS -- 95.6% -------- ----------------- --------- ------------
<S> <C> <C> <C> <C>
ASSET BACKED SECURITIES -- 3.5%
Team Fleet Financing Corp. ............................... 7.35% 05/15/03 $ 10,000 $ 9,950,000
------------
COLLATERALIZED MORTGAGE OBLIGATIONS -- 6.5%
Bear Stearns Commercial Mortgage.......................... 7.64% 02/15/32 2,962 2,989,303
Federal Home Loan Mortgage Corp. ......................... 6.00% 12/15/08 5,273 5,068,239
Federal National Mortgage Association..................... 6.00% 06/25/08 3,156 2,962,297
Federal National Mortgage Association..................... 6.25% 11/25/21 5,000 4,818,750
Mortgage Capital Funding, Inc. ........................... 6.33% 10/18/07 2,931 2,815,508
------------
18,654,097
------------
MORTGAGE PASS-THROUGHS -- 24.2%
Federal National Mortgage Association..................... 6.50% 12/31/99 18,000 17,351,640
Federal National Mortgage Association..................... 7.50% 02/01/02-10/01/12 10,271 10,270,434
Federal National Mortgage Association..................... 8.00% 03/01/22-05/01/26 641 645,688
Federal National Mortgage Association..................... 9.00% 02/01/25-04/01/25 3,102 3,193,958
Government National Mortgage Association.................. 7.00% 03/15/23-12/15/23 9,810 9,574,032
Government National Mortgage Association.................. 7.50% 12/15/25-02/15/26 10,435 10,378,886
Government National Mortgage Association.................. 8.00% 05/15/22-12/15/24 10,403 10,549,610
Government National Mortgage Association.................. 8.50% 09/15/24-04/15/25 6,905 7,077,934
------------
69,042,182
------------
U.S. GOVERNMENT & AGENCY OBLIGATIONS -- 61.4%
Federal Farm Credit Bank.................................. 5.90% 01/10/05 5,000 4,779,700
Federal Home Loan Bank.................................... 5.75% 10/15/07 15,000 14,671,875
Federal Home Loan Mortgage Corp. ......................... 7.36% 06/05/07 15,000 14,653,050
Federal National Mortgage Association..................... Zero 02/15/06 15,364 10,716,390
Federal National Mortgage Association..................... 6.06% 05/21/03 30,000 29,118,600
Small Business Administration Participation
Certificates............................................ 6.00% 09/01/18 7,384 6,780,976
Small Business Administration Participation
Certificates............................................ 6.85% 07/01/17 4,323 4,164,393
Small Business Administration Participation
Certificates............................................ 7.15% 01/01/17 16,019 15,695,102
Small Business Administration Participation
Certificates............................................ 7.20% 10/01/16 17,167 16,863,294
United States Treasury Bonds.............................. Zero 05/15/17 13,100 4,650,762
United States Treasury Bonds(b)........................... 8.125% 08/15/19 43,500 52,587,585
United States Treasury Notes.............................. 6.75% 05/15/05 715 731,645
------------
175,413,372
------------
TOTAL LONG-TERM INVESTMENTS
(cost $279,699,654)................................................................................. 273,059,651
------------
SHORT-TERM INVESTMENTS -- 11.9%
ASSET BACKED SECURITIES -- 1.4%
Westpac Securitisation Trust, Ser. 1998-1G (Australia).... 6.42% 07/19/00 3,969(a) 3,959,436
------------
COMMERCIAL PAPER -- 5.3%
Black Forest Corp. ....................................... 6.58% 07/17/00 2,600 2,592,397
Centric Capital Corp. .................................... 6.57% 07/17/00 2,800 2,791,824
Clipper Receivables Corp. ................................ 6.57% 07/17/00 2,800 2,791,824
Old Line Funding Corp. ................................... 6.60% 07/13/00 1,293 1,290,155
Sweetwater Capital........................................ 6.58% 07/17/00 2,800 2,791,812
Wood Street Funding Corp. ................................ 6.56% 07/17/00 2,800 2,791,836
------------
15,049,848
------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B10
<PAGE> 26
GOVERNMENT INCOME PORTFOLIO (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL
INTEREST MATURITY AMOUNT VALUE
RATE DATE (000) (NOTE 2)
SHORT-TERM INVESTMENTS (CONTINUED) -------- ----------------- --------- ------------
<S> <C> <C> <C> <C>
REPURCHASE AGREEMENTS -- 5.2%
Joint Repurchase Agreement Account........................ 6.49% 07/03/00 $ 14,963 $ 14,963,000
------------
TOTAL SHORT-TERM INVESTMENTS
(cost $33,972,284).................................................................................. 33,972,284
------------
TOTAL INVESTMENTS -- 107.5%
(amortized cost $313,671,938; Note 6)............................................................... 307,031,935
------------
VARIATION MARGIN ON OPEN FUTURES CONTRACTS (c)........................................................ (64,328)
LIABILITIES IN EXCESS OF OTHER ASSETS -- (7.5)%....................................................... (21,282,806)
------------
TOTAL NET ASSETS -- 100.0%............................................................................ $285,684,801
============
</TABLE>
(a) US$ Denominated Foreign Bonds
(b) Security segregated as collateral for futures contracts
(c) Open futures contracts as of June 30, 2000 were as follows:
<TABLE>
<CAPTION>
NUMBER OF EXPIRATION VALUE AT VALUE AT APPRECIATION/
CONTRACTS TYPE DATE TRADE DATE JUNE 30, 2000 DEPRECIATION
<S> <C> <C> <C> <C> <C>
Long Position:
250 U.S. Treasury 30yr Sep 00 24,277,563 24,335,938 $58,375
Short Position:
231 U.S. Treasury 30yr Sep 00 22,741,680 22,749,891 $(8,211)
-------
$50,164
=======
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B11
<PAGE> 27
ZERO COUPON BOND 2000 PORTFOLIO
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
LONG-TERM INVESTMENTS -- 83.8% PRINCIPAL
INTEREST MATURITY AMOUNT VALUE
RATE DATE (000) (NOTE 2)
LONG-TERM BONDS -------- -------- --------- -----------
<S> <C> <C> <C> <C>
U.S. GOVERNMENT & AGENCY OBLIGATIONS
Federal National Mortgage Association..................... Zero 07/24/02 $ 4,527 $ 3,927,173
United States Treasury Bonds.............................. Zero 11/15/00 27,425 26,852,092
United States Treasury Bonds.............................. Zero 02/15/02 3,950 3,596,435
-----------
TOTAL LONG-TERM INVESTMENTS
(cost $34,057,549)......................................................................... 34,375,700
-----------
SHORT-TERM INVESTMENT -- 16.4%
REPURCHASE AGREEMENT
Joint Repurchase Agreement Account (cost $6,738,000; Note
5)...................................................... 6.49% 07/03/00 6,738 6,738,000
-----------
TOTAL INVESTMENTS -- 100.2%
(cost $40,795,549; Note 6)................................................................. 41,113,700
LIABILITIES IN EXCESS OF OTHER ASSETS -- (0.2)%.............................................. (65,488)
-----------
NET ASSETS -- 100.0%......................................................................... $41,048,212
===========
</TABLE>
ZERO COUPON BOND 2005 PORTFOLIO
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
LONG-TERM INVESTMENTS -- 98.3% PRINCIPAL
INTEREST MATURITY AMOUNT VALUE
RATE DATE (000) (NOTE 2)
LONG TERM BONDS -------- -------- --------- -----------
<S> <C> <C> <C> <C>
U.S. GOVERNMENT & AGENCY OBLIGATIONS
Federal National Mortgage Association..................... Zero 01/24/05 $ 1,400 $ 1,043,434
Federal National Mortgage Association..................... Zero 01/24/06 2,320 1,624,371
Financing Corp. .......................................... Zero 03/07/04 3,350 2,582,347
Financing Corp. .......................................... Zero 02/08/05 688 497,080
Financing Corp. .......................................... Zero 11/11/05 425 292,664
Financing Corp. .......................................... Zero 08/08/07 2,070 1,254,710
Resolution Funding Corp. ................................. Zero 07/15/07 4,350 2,757,074
United States Treasury Bond............................... Zero 08/15/05 33,675 24,430,202
United States Treasury Bond............................... Zero 02/15/06 7,970 5,592,788
United States Treasury Bond............................... Zero 08/15/07 6,390 4,123,339
-----------
TOTAL LONG-TERM INVESTMENTS
(cost $44,103,768)......................................................................... 44,198,009
-----------
SHORT-TERM INVESTMENT -- 1.8%
REPURCHASE AGREEMENT
Joint Repurchase Agreement Account (cost $821,000; Note
5)...................................................... 6.49% 07/03/00 821 821,000
-----------
TOTAL INVESTMENTS -- 100.1%
(cost $44,924,768; Note 6)................................................................. 45,019,009
-----------
LIABILITIES IN EXCESS OF OTHER ASSETS -- (0.1)%.............................................. (70,699)
-----------
TOTAL NET ASSETS -- 100.0%................................................................... $44,948,310
===========
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B12
<PAGE> 28
CONSERVATIVE BALANCED PORTFOLIO
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
LONG-TERM INVESTMENTS -- 82.2% VALUE
SHARES (NOTE 2)
COMMON STOCKS -- 48.8% ---------- --------------
<S> <C> <C>
ADVERTISING
Young & Rubicam, Inc. ............. 10,800 $ 617,625
--------------
AEROSPACE -- 0.5%
Boeing Co. ........................ 135,000 5,644,688
GenCorp, Inc. ..................... 30,100 240,800
General Dynamics Corp.(b) ......... 30,700 1,604,075
Goodrich (B.F.) Co. ............... 16,200 551,813
Honeywell Inc. .................... 122,912 4,140,598
Lockheed Martin Corp. ............. 60,200 1,493,713
Northrop Grumman Corp. ............ 11,200 742,000
Parker-Hannifin Corp. ............. 20,010 685,343
Raytheon Co. (Class "B" Stock) .... 52,300 1,006,775
United Technologies Corp. ......... 71,400 4,203,675
--------------
20,313,480
--------------
AIRLINES -- 0.1%
AMR Corp. ......................... 24,000 634,500
Delta Air Lines, Inc. ............. 20,600 1,041,588
Southwest Airlines Co. ............ 78,200 1,480,912
US Airways Group, Inc.(a) ......... 11,100 432,900
--------------
3,589,900
--------------
APPAREL
Nike, Inc. (Class "B" Stock) ...... 41,800 1,664,162
Reebok International Ltd.(a) ...... 10,200 162,563
--------------
1,826,725
--------------
AUTOS - CARS & TRUCKS -- 0.4%
Cummins Engine Co., Inc. .......... 7,200 196,200
Dana Corp. ........................ 25,000 529,688
Delphi Automotive Systems Corp. ... 86,252 1,256,045
Ford Motor Co. .................... 189,500 8,148,500
General Motors Corp. .............. 80,191 4,656,090
Genuine Parts Co. ................. 30,700 614,000
Navistar International Corp.(a) ... 8,800 273,350
PACCAR, Inc. ...................... 13,900 551,656
Titan International, Inc. ......... 48,650 258,453
TRW, Inc. ......................... 20,500 889,187
Visteon Corp.(a) .................. 24,812 300,843
--------------
17,674,012
--------------
BANKS AND SAVINGS & LOANS -- 1.8%
AmSouth Bancorporation ............ 58,100 915,075
Banc One Corp. .................... 174,082 4,624,053
Bank of New York Co., Inc. ........ 114,200 5,310,300
BankAmerica Corp. ................. 263,061 11,311,623
BB&T Corp. ........................ 54,200 1,294,025
Charter One Financial, Inc. ....... 5,000 115,000
Chase Manhattan Corp. ............. 192,200 8,853,212
Comerica, Inc. .................... 26,100 1,171,237
First Union Corp. ................. 153,500 3,808,719
Firstar Corp. ..................... 147,438 3,105,413
Golden West Financial Corp. ....... 27,900 1,138,669
Huntington Bancshares, Inc. ....... 40,760 644,518
KeyCorp ........................... 68,300 1,203,787
Mellon Financial Corp. ............ 79,100 2,882,206
National City Corp. ............... 89,500 1,527,094
Northern Trust Corp. .............. 32,400 2,108,025
Old Kent Financial Corp. .......... 24,150 646,013
PNC Bank Corp. .................... 44,300 2,076,562
Providian Financial Corp. ......... 21,550 1,939,500
SouthTrust Corp. .................. 28,400 642,550
</TABLE>
<TABLE>
<CAPTION>
VALUE
COMMON STOCKS SHARES (NOTE 2)
(CONTINUED) ---------- --------------
<S> <C> <C>
BANKS AND SAVINGS & LOANS (CONT'D.)
Summit Bancorp(b) ................. 29,600 $ 728,900
SunTrust Banks, Inc. .............. 45,900 2,097,056
U.S. Bancorp ...................... 110,400 2,125,200
Union Planters Corp. .............. 23,800 664,913
Wachovia Corp.(b) ................. 30,900 1,676,325
Wells Fargo & Co. ................. 256,500 9,939,375
--------------
72,549,350
--------------
BUSINESS SERVICES -- 0.1%
Equifax, Inc. ..................... 24,500 643,125
Lexmark International Group,
Inc. ............................ 19,433 1,306,869
Molex, Inc. ....................... 30,800 1,482,250
Omnicom Group, Inc. ............... 27,200 2,422,500
--------------
5,854,744
--------------
CHEMICALS -- 0.5%
Air Products & Chemicals, Inc. .... 34,400 1,059,950
Dow Chemical Co. .................. 102,700 3,100,256
Du Pont (E.I.) de Nemours & Co. ... 162,120 7,092,750
Eastman Chemical Co. .............. 11,400 544,350
Engelhard Corp. ................... 18,100 308,831
FMC Corp.(a) ...................... 6,000 348,000
Grace (W.R.) & Co. ................ 15,400 186,725
Great Lakes Chemical Corp. ........ 9,700 305,550
Hercules, Inc. .................... 21,500 302,344
OM Group, Inc. .................... 28,400 1,249,600
Praxair, Inc. ..................... 26,000 973,375
Rohm & Haas Co. ................... 33,511 1,156,130
Sigma-Aldrich Corp. ............... 14,900 435,825
Union Carbide Corp. ............... 21,000 1,039,500
--------------
18,103,186
--------------
COMMERCIAL SERVICES -- 0.1%
Cendant Corp.(a) .................. 109,510 1,533,140
Convergys Corp.(a) ................ 14,000 726,250
Deluxe Corp. ...................... 15,000 353,437
Quintiles Transnational Corp. ..... 17,300 244,363
--------------
2,857,190
--------------
COMPUTER SERVICES -- 6.8%
3Com Corp.(a) ..................... 53,700 3,094,462
Adaptec, Inc.(a) .................. 17,400 395,850
Adobe Systems, Inc. ............... 18,600 2,418,000
America Online, Inc.(a) ........... 354,000 18,673,500
Autodesk, Inc. .................... 12,200 423,188
Automatic Data Processing, Inc. ... 97,800 5,238,412
BMC Software, Inc.(a) ............. 37,900 1,382,758
Cabletron Systems, Inc.(a) ........ 30,200 762,550
Ceridian Corp.(a) ................. 25,500 613,594
Cisco Systems, Inc.(a)(b) ......... 1,060,900 67,433,456
Citrix Systems, Inc. .............. 31,600 598,425
Computer Associates International, Inc. 84,500 4,325,344
Computer Sciences Corp.(a)(b) ..... 25,600 1,912,000
Compuware Corp.(a) ................ 59,000 612,125
Comverse Technology, Inc.(a) ...... 23,500 2,185,500
Electronic Data Systems Corp. ..... 68,900 2,842,125
EMC Corp.(a) ...................... 323,150 24,862,353
First Data Corp. .................. 61,300 3,042,012
Mercury Interactive Corp.(a) ...... 3,000 290,250
Microsoft Corp.(a) ................ 805,800 64,464,000
Network Appliance, Inc.(a) ........ 45,400 3,654,700
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B13
<PAGE> 29
CONSERVATIVE BALANCED PORTFOLIO (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
COMMON STOCKS SHARES (NOTE 2)
(CONTINUED) ---------- --------------
<S> <C> <C>
COMPUTER SERVICES (CONT'D.)
Novell, Inc.(a)(b) ................ 55,200 $ 510,600
Oracle Corp.(a)(b) ................ 436,700 36,710,094
Parametric Technology Corp.(a) .... 49,200 541,200
Peoplesoft, Inc. .................. 44,200 740,350
Sapient Corp.(a) .................. 9,600 1,026,600
Siebel Systems, Inc.(a) ........... 28,700 4,694,244
Silicon Graphics, Inc.(a) ......... 4,600 17,250
Unisys Corp. ...................... 49,200 716,475
VERITAS Software Corp.(a)(b) ...... 60,600 6,848,747
Yahoo!, Inc.(a)(b) ................ 81,800 10,132,975
--------------
271,163,139
--------------
COMPUTERS -- 2.7%
Apple Computer, Inc.(a) ........... 48,300 2,529,713
Compaq Computer Corp. ............. 257,039 6,570,559
Dell Computer Corp.(a)(b) ......... 397,200 19,586,925
Gateway, Inc. ..................... 48,800 2,769,400
Hewlett-Packard Co. ............... 155,900 19,468,012
International Business Machines Corp. 276,800 30,326,900
NCR Corp.(a) ...................... 14,700 572,381
Seagate Technology, Inc.(a) ....... 33,400 1,837,000
Sun Microsystems, Inc.(a) ......... 244,500 22,234,219
--------------
105,895,109
--------------
CONSTRUCTION -- 0.1%
Centex Corp. ...................... 8,100 190,350
Fluor Corp. ....................... 11,300 357,363
Pulte Corp. ....................... 7,600 164,350
Standard Pacific Corp. ............ 99,100 991,000
Vulcan Materials Co. .............. 16,400 700,075
--------------
2,403,138
--------------
CONTAINERS -- 0.1%
Ball Corp. ........................ 4,400 141,625
Bemis Co., Inc. ................... 10,300 346,338
Crown Cork & Seal Co., Inc. ....... 18,300 274,500
Owens-Illinois, Inc.(a) ........... 28,000 327,250
Pactiv Corp.(a) ................... 26,200 206,325
Sealed Air Corp.(a) ............... 12,500 654,687
--------------
1,950,725
--------------
COSMETICS & SOAPS -- 0.6%
Alberto-Culver Co. (Class "B"
Stock) .......................... 9,100 278,119
Avon Products, Inc. ............... 37,900 1,686,550
Colgate-Palmolive Co. ............. 90,600 5,424,675
Gillette Co. ...................... 166,400 5,813,600
International Flavors & Fragrances,
Inc. ............................ 17,100 516,206
Procter & Gamble Co. .............. 197,800 11,311,688
--------------
25,030,838
--------------
DIVERSIFIED CONSUMER PRODUCTS -- 0.3%
Eastman Kodak Co. ................. 47,800 2,844,100
Fortune Brands, Inc. .............. 27,700 638,831
Philip Morris Companies Inc. ...... 369,100 9,804,219
--------------
13,287,150
--------------
DIVERSIFIED OFFICE EQUIPMENT -- 0.1%
Avery Dennison Corp. .............. 18,100 1,214,963
Pitney Bowes, Inc. ................ 43,100 1,724,000
Xerox Corp. ....................... 102,400 2,124,800
--------------
5,063,763
--------------
</TABLE>
<TABLE>
<CAPTION>
VALUE
COMMON STOCKS SHARES (NOTE 2)
(CONTINUED) ---------- --------------
<S> <C> <C>
DIVERSIFIED OPERATIONS -- 2.0%
General Electric Co. .............. 1,530,100 $ 81,095,300
--------------
DRUGS & MEDICAL SUPPLIES -- 5.4%
Abbott Laboratories ............... 238,700 10,637,069
Allergan, Inc. .................... 21,500 1,601,750
ALZA Corp.(a) ..................... 16,300 963,737
American Home Products Corp. ...... 203,200 11,938,000
Amgen, Inc.(a) .................... 158,600 11,141,650
Bard (C.R.), Inc. ................. 9,400 452,375
Bausch & Lomb, Inc. ............... 8,900 688,637
Baxter International, Inc. ........ 43,200 3,037,500
Becton, Dickinson & Co. ........... 40,900 1,173,319
Biogen, Inc.(a) ................... 20,600 1,328,700
Biomet, Inc. ...................... 19,600 753,375
Boston Scientific Corp.(a) ........ 63,600 1,395,225
Bristol-Myers Squibb Co.(b) ....... 308,400 17,964,300
Cardinal Health, Inc.(b) .......... 41,200 3,048,800
Guidant Corp.(b) .................. 46,200 2,286,900
Johnson & Johnson ................. 216,200 22,025,375
Lilly (Eli) & Co.(b) .............. 169,100 16,888,862
Mallinckrodt, Inc. ................ 10,900 473,469
MedImmune, Inc.(a) ................ 16,000 1,184,000
Medtronic, Inc. ................... 180,300 8,981,194
Merck & Co., Inc. ................. 360,100 27,592,662
Pfizer, Inc. ...................... 962,700 46,209,600
Pharmacia & Upjohn, Inc.(b) ....... 196,362 10,149,461
Schering-Plough Corp. ............. 227,900 11,508,950
St. Jude Medical, Inc.(a) ......... 14,100 646,838
Watson Pharmaceuticals, Inc.(a) ... 15,900 854,625
--------------
214,926,373
--------------
ELECTRONICS -- 3.6%
Advanced Micro Devices, Inc.(a) ... 22,700 1,753,575
Altera Corp.(a) ................... 29,000 2,956,187
Analog Devices, Inc.(a) ........... 54,400 4,134,400
Applied Materials, Inc.(a) ........ 118,900 10,775,312
Broadcom Corp. (Class "A"
Stock)(a)........................ 4,000 799,930
Conexant Systems, Inc.(a) ......... 30,700 1,492,788
Emerson Electric Co. .............. 63,200 3,815,700
Intel Corp. ....................... 517,400 69,169,912
KLA-Tencor Corp.(a) ............... 29,100 1,704,169
Linear Technology Corp. ........... 46,500 2,973,094
LSI Logic Corp.(a)(b) ............. 45,000 2,435,625
Maxim Integrated Products,
Inc.(a) ......................... 39,000 2,649,563
Micron Technology, Inc. ........... 81,500 7,177,094
MIPS Technologies, Inc. (Class "B"
Stock) (a) ...................... 3,492 134,450
National Semiconductor Corp.(a) ... 27,000 1,532,250
Novellus Systems, Inc.(a) ......... 5,000 282,813
Rockwell International Corp. ...... 29,100 916,650
Sanmina Corp.(a) .................. 8,000 684,000
Solectron Corp.(a) ................ 88,900 3,722,687
Tektronix, Inc. ................... 10,800 799,200
Teradyne, Inc.(a) ................. 24,100 1,771,350
Texas Instruments, Inc. ........... 252,400 17,336,725
Thomas & Betts Corp. .............. 12,700 242,888
Xilinx Inc. (a) ................... 47,700 3,938,231
--------------
143,198,593
--------------
FINANCIAL SERVICES -- 3.1%
American Express Co. .............. 208,400 10,862,850
Associates First Capital Corp. .... 105,344 2,350,488
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B14
<PAGE> 30
CONSERVATIVE BALANCED PORTFOLIO (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
COMMON STOCKS SHARES (NOTE 2)
(CONTINUED) ---------- --------------
<S> <C> <C>
FINANCIAL SERVICES (CONT'D.)
Bear Stearns Companies, Inc. ...... 20,416 $ 849,816
Block (H.R.), Inc. ................ 17,800 576,275
Capital One Financial Corp. ....... 32,100 1,432,463
Citigroup, Inc. ................... 528,250 31,827,062
Countrywide Credit Industries,
Inc. ............................ 20,100 609,281
Dun & Bradstreet Corp. ............ 27,500 787,188
Federal Home Loan Mortgage Corp. .. 107,800 4,365,900
Federal National Mortgage
Association ..................... 159,100 8,303,031
Fifth Third Bancorp ............... 48,500 3,067,625
Fleet Boston Financial Corp. ...... 142,412 4,842,008
Franklin Resource, Inc. ........... 39,900 1,211,963
Household International, Inc. ..... 73,052 3,036,224
Lehman Brothers Holdings, Inc. .... 18,900 1,787,231
MBNA Corp. ........................ 124,850 3,386,556
Merrill Lynch & Co., Inc.(b) ...... 58,100 6,681,500
Morgan (J.P.) & Co., Inc. ......... 25,500 2,808,187
Morgan Stanley Dean Witter &
Co. ............................. 178,680 14,875,110
PaineWebber Group, Inc. ........... 23,300 1,060,150
Paychex, Inc. ..................... 57,700 2,423,400
Price (T. Rowe) Associates,
Inc. ............................ 16,100 684,250
Regions Financial Corp. ........... 37,700 749,288
Schwab (Charles) Corp.(a) ......... 194,250 6,531,656
SLM Holding Corp. ................. 25,700 962,144
State Street Corp. ................ 23,700 2,513,681
Synovus Financial Corp. ........... 48,250 850,406
Washington Mutual, Inc. ........... 87,878 2,537,477
--------------
121,973,210
--------------
FOOD & BEVERAGE -- 1.8%
Anheuser-Busch Companies,
Inc.(b) ......................... 72,400 5,407,375
Archer-Daniels-Midland Co. ........ 103,098 1,011,649
Bestfoods ......................... 40,400 2,797,700
Brown-Forman Corp. (Class "B"
Stock) .......................... 10,500 564,375
Campbell Soup Co. ................. 64,200 1,869,825
Coca-Cola Co. ..................... 383,700 22,038,769
Coca-Cola Enterprises, Inc.(b) .... 72,100 1,176,131
ConAgra, Inc. ..................... 79,400 1,513,563
Coors (Adolph) Co. (Class "B" Stock) 6,600 399,300
General Mills, Inc.(b) ............ 46,780 1,789,335
Heinz (H.J.) & Co. ................ 53,030 2,320,062
Hershey Foods Corp. ............... 22,300 1,081,550
Kellogg Co.(b) .................... 63,200 1,880,200
Nabisco Group Holdings Corp. ...... 54,100 1,403,219
PepsiCo, Inc. ..................... 225,900 10,038,431
Quaker Oats Co. ................... 21,100 1,585,138
Ralston-Ralston Purina Group(b) ... 49,600 988,900
Sara Lee Corp. .................... 132,500 2,558,906
Seagram Co., Ltd. ................. 67,400 3,909,200
Sysco Corp. ....................... 50,100 2,110,462
Unilever NV ....................... 88,517 3,806,231
Wrigley (William) Jr. Co. ......... 18,000 1,443,375
--------------
71,693,696
--------------
FOREST PRODUCTS -- 0.2%
Boise Cascade Corp. ............... 8,100 209,587
Fort James Corp. .................. 34,400 795,500
Georgia-Pacific Corp. ............. 28,000 735,000
International Paper Co. ........... 71,373 2,127,808
Louisiana-Pacific Corp. ........... 14,500 157,688
Mead Corp. ........................ 17,100 431,775
</TABLE>
<TABLE>
<CAPTION>
VALUE
COMMON STOCKS SHARES (NOTE 2)
(CONTINUED) ---------- --------------
<S> <C> <C>
FOREST PRODUCTS (CONT'D.)
Potlatch Corp. .................... 4,200 $ 139,125
Temple-Inland, Inc. ............... 10,500 441,000
Westvaco Corp. .................... 16,200 401,962
Weyerhaeuser Co. .................. 35,100 1,509,300
Willamette Industries, Inc. ....... 20,100 547,725
--------------
7,496,470
--------------
GAS PIPELINES -- 0.2%
Columbia Energy Group ............. 12,500 820,313
El Paso Energy Corp. .............. 35,200 1,793,000
Peoples Energy Corp. .............. 6,400 207,200
Sempra Energy ..................... 31,919 542,623
Williams Companies, Inc. .......... 64,700 2,697,181
--------------
6,060,317
--------------
HOSPITALS/HOSPITAL MANAGEMENT -- 0.2%
Columbia/HCA Healthcare Corp. ..... 84,100 2,554,537
Healthsouth Corp.(a) .............. 66,200 475,812
Humana, Inc.(a) ................... 71,900 350,513
IMS Health, Inc. .................. 56,200 1,011,600
Manor Care, Inc. .................. 17,000 119,000
McKesson HBOC Inc.(b) ............. 44,530 932,347
Shared Medical Systems Corp. ...... 3,000 218,813
Tenet Healthcare Corp.(a) ......... 52,500 1,417,500
UnitedHealth Group Inc. ........... 26,900 2,306,675
Wellpoint Health Networks Inc. .... 6,000 434,625
--------------
9,821,422
--------------
HOUSEHOLD PRODUCTS & PERSONAL CARE -- 0.2%
Clorox Co. ........................ 36,100 1,617,731
Kimberly-Clark Corp. .............. 86,400 4,957,200
Leggett & Platt, Inc. ............. 30,400 501,600
--------------
7,076,531
--------------
HOUSING RELATED -- 0.2%
Armstrong Holdings Inc. ........... 7,100 108,719
Kaufman & Broad Home Corp. ........ 7,200 142,650
Lowe's Companies, Inc. ............ 56,900 2,336,456
Masco Corp. ....................... 70,600 1,275,212
Maytag Corp. ...................... 13,600 501,500
Newell Rubbermaid Inc. ............ 44,614 1,148,811
Owens Corning ..................... 9,700 89,725
Stanley Works ..................... 13,200 313,500
Tupperware Corp. .................. 7,000 154,000
Whirlpool Corp. ................... 11,400 531,525
--------------
6,602,098
--------------
INSTRUMENTS -- CONTROLS -- 0.2%
Agilent Technologies, Inc.(a) ..... 57,593 4,247,497
Johnson Controls, Inc. ............ 13,500 692,719
PE Corp-PE Biosystems Group ....... 32,600 2,147,525
PerkinElmer, Inc. ................. 12,100 800,112
Thermo Electron Corp.(a) .......... 36,700 772,994
--------------
8,660,847
--------------
INSURANCE -- 1.6%
Aetna, Inc. ....................... 23,100 1,482,731
AFLAC Inc. ........................ 41,100 1,888,031
Allstate Corp. .................... 120,400 2,678,900
American General Corp. ............ 37,100 2,263,100
American International Group,
Inc. ............................ 239,853 28,182,727
Aon Corp. ......................... 38,600 1,199,013
Chubb Corp. ....................... 26,700 1,642,050
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B15
<PAGE> 31
CONSERVATIVE BALANCED PORTFOLIO (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
COMMON STOCKS SHARES (NOTE 2)
(CONTINUED) ---------- --------------
<S> <C> <C>
INSURANCE (CONT'D.)
CIGNA Corp. ....................... 25,400 $ 2,374,900
Cincinnati Financial Corp. ........ 27,000 848,813
Conseco, Inc.(b) .................. 54,821 534,505
Hartford Financial Services Group, Inc. 34,400 1,924,250
Jefferson-Pilot Corp. ............. 16,000 903,000
Lincoln National Corp. ............ 30,600 1,105,425
Loews Corp. ....................... 17,800 1,068,000
Marsh & McLennan Companies, Inc. .. 41,900 4,375,931
MBIA, Inc. ........................ 15,500 746,906
MGIC Investment Corp. ............. 16,900 768,950
Progressive Corp. ................. 12,500 925,000
Reinsurance Group of America,
Inc. ............................ 156,425 4,712,303
SAFECO Corp. ...................... 23,900 475,013
St. Paul Companies, Inc. .......... 37,200 1,269,450
Torchmark Corp. ................... 20,300 501,156
UnumProvident Corp. ............... 39,010 782,638
--------------
62,652,792
--------------
LEISURE -- 0.4%
Brunswick Corp. ................... 16,900 279,906
Carnival Corp. (Class "A"
Stock) .......................... 90,900 1,772,550
Disney (Walt) Co.(b) .............. 321,500 12,478,219
Harrah's Entertainment, Inc.(a) ... 23,800 498,313
Hilton Hotels Corp. ............... 57,500 539,062
Marriott International, Inc. (Class
"A" Stock) ...................... 38,300 1,381,194
--------------
16,949,244
--------------
MACHINERY -- 0.3%
American Power Conversion
Corp.(a) ........................ 19,000 775,437
Briggs & Stratton Corp. ........... 5,400 184,950
Caterpillar, Inc. ................. 54,600 1,849,575
Cooper Industries, Inc. ........... 15,900 517,744
Deere & Co. ....................... 36,600 1,354,200
Dover Corp. ....................... 31,300 1,269,606
Eaton Corp. ....................... 11,500 770,500
Ingersoll-Rand Co. ................ 26,600 1,070,650
Milacron, Inc. .................... 7,200 104,400
Snap-On, Inc. ..................... 8,900 236,963
Timken Co. ........................ 11,500 214,188
United Dominion Industries Ltd. ... 116,100 1,973,700
--------------
10,321,913
--------------
MANUFACTURING -- 0.4%
Illinois Tool Works, Inc. ......... 43,400 2,473,800
Smith (A.O.) Corp.(a) ............. 105,450 2,207,859
Tyco International Ltd. ........... 265,222 12,564,892
--------------
17,246,551
--------------
MEDIA -- 1.5%
Clear Channel Communications,
Inc.(a)(b) ...................... 53,100 3,982,500
Comcast Corp. (Special Class "A"
Stock) .......................... 144,000 5,832,000
Donnelley (R.R.) & Sons Co. ....... 64,900 1,464,306
Dow Jones & Co., Inc. ............. 14,400 1,054,800
Gannett Co., Inc. ................. 42,000 2,512,125
Interpublic Group of Companies,
Inc. ............................ 43,200 1,857,600
Knight-Ridder, Inc. ............... 13,600 723,350
McGraw-Hill Companies, Inc. ....... 30,900 1,668,600
Mediaone Group, Inc.(b) ........... 82,500 5,455,312
</TABLE>
<TABLE>
<CAPTION>
VALUE
COMMON STOCKS SHARES (NOTE 2)
(CONTINUED) ---------- --------------
<S> <C> <C>
MEDIA (CONT'D.)
Meredith Corp. .................... 10,200 $ 344,250
New York Times Co. (Class "A"
Stock) .......................... 25,500 1,007,250
Time Warner, Inc.(b) .............. 199,600 15,169,600
Tribune Co. ....................... 51,050 1,786,750
Viacom, Inc., (Class "B" Stock)
(a) ............................. 238,169 16,240,149
--------------
59,098,592
--------------
METALS-FERROUS
Allegheny Technologies, Inc. ...... 14,200 255,600
Bethlehem Steel Corp.(a) .......... 26,200 93,338
Material Sciences Corp.(a) ........ 19,000 190,000
Nucor Corp. ....................... 12,700 421,481
USX Corp.-U.S. Steel Group,
Inc. ............................ 12,200 226,462
Worthington Industries, Inc. ...... 11,400 119,700
--------------
1,306,581
--------------
METALS-NON FERROUS -- 0.1%
Alcan Aluminum Ltd.(b) ............ 33,700 1,044,700
Alcoa, Inc. ....................... 136,440 3,956,760
Inco Ltd. ......................... 33,800 519,675
--------------
5,521,135
--------------
MINERAL RESOURCES
Homestake Mining Co. .............. 39,600 272,250
Phelps Dodge Corp. ................ 12,893 479,458
--------------
751,708
--------------
MISCELLANEOUS - BASIC INDUSTRY -- 0.3%
AES Corp. ......................... 68,200 3,111,625
Crane Co. ......................... 10,800 262,575
Danaher Corp. ..................... 23,800 1,176,613
Ecolab, Inc. ...................... 23,300 910,156
Grainger (W.W.), Inc. ............. 15,500 477,594
IDEX Corp. ........................ 57,200 1,805,375
ITT Industries, Inc. .............. 19,600 595,350
Millipore Corp. ................... 8,200 618,075
NACCO Industries, Inc. (Class "A"
Stock) .......................... 200 7,025
Pall Corp. ........................ 22,000 407,000
PPG Industries, Inc. .............. 26,100 1,156,556
Textron, Inc. ..................... 24,000 1,303,500
--------------
11,831,444
--------------
MISCELLANEOUS - CONSUMER GROWTH/STABLE -- 0.4%
American Greetings Corp. (Class "A"
Stock) .......................... 9,800 186,200
Black & Decker Corp. .............. 15,500 609,344
Corning, Inc. ..................... 43,300 11,685,587
Energizer Holdings, Inc.(a) ....... 1 22
Minnesota Mining & Manufacturing Co. 62,000 5,115,000
Polaroid Corp. .................... 9,100 164,369
--------------
17,760,522
--------------
MOTORCYCLES
Harley-Davidson, Inc. ............. 47,300 1,821,050
--------------
OIL & GAS -- 2.2%
Amerada Hess Corp. ................ 15,100 932,425
Anadarko Petroleum Corp.(b) ....... 20,300 1,001,044
Ashland, Inc. ..................... 12,600 441,788
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B16
<PAGE> 32
CONSERVATIVE BALANCED PORTFOLIO (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
COMMON STOCKS SHARES (NOTE 2)
(CONTINUED) ---------- --------------
<S> <C> <C>
OIL & GAS (CONT'D.)
Chevron Corp. ..................... 102,000 $ 8,650,875
Coastal Corp. ..................... 32,900 2,002,787
Eastern Enterprises ............... 5,600 352,800
Exxon Mobil Corp. ................. 537,970 42,230,645
Kerr-McGee Corp. .................. 16,525 973,942
NICOR, Inc. ....................... 7,100 231,638
Phillips Petroleum Co. ............ 39,700 2,012,294
Pioneer Natural Resources Co. ..... 212,744 2,712,486
Royal Dutch Petroleum Co. ......... 333,300 20,518,781
Sunoco, Inc. ...................... 15,600 459,225
Texaco, Inc.(b) ................... 85,900 4,574,175
Unocal Corp. ...................... 40,100 1,328,312
USX-Marathon Group ................ 48,500 1,215,531
--------------
89,638,748
--------------
OIL & GAS EXPLORATION/PRODUCTION -- 0.2%
Baker Hughes, Inc. ................ 51,950 1,662,400
Burlington Resources Inc. ......... 34,100 1,304,325
Conoco, Inc. (Class "B" Stock) .... 91,394 2,244,865
Occidental Petroleum Corp. ........ 55,900 1,177,394
Transocean Sedco Forex, Inc. ...... 28,997 1,549,527
Union Pacific Resources Group,
Inc. ............................ 40,500 891,000
--------------
8,829,511
--------------
OIL & GAS SERVICES -- 0.6%
Apache Corp. ...................... 17,800 1,046,863
Enron Corp. ....................... 111,700 7,204,650
Halliburton Co. ................... 65,500 3,090,781
McDermott International, Inc. ..... 361,800 3,188,363
ONEOK, Inc. ....................... 4,700 121,906
Rowan Companies, Inc.(a) .......... 15,400 467,775
Schlumberger Ltd. ................. 85,400 6,372,975
Tosco Corp. ....................... 21,700 614,381
--------------
22,107,694
--------------
PRECIOUS METALS -- 0.1%
Barrick Gold Corp. ................ 59,600 1,083,975
Freeport-McMoRan Copper & Gold,
Inc. (Class "B" Stock) .......... 21,800 201,650
Newmont Mining Corp. .............. 29,400 635,775
Placer Dome, Inc. ................. 48,800 466,650
--------------
2,388,050
--------------
RAILROADS -- 0.2%
Burlington Northern Santa Fe
Corp. ........................... 72,500 1,662,969
CSX Corp. ......................... 34,800 737,325
Kansas City Southern Industries,
Inc. ............................ 17,700 1,569,769
Norfolk Southern Corp. ............ 64,200 954,975
Union Pacific Corp. ............... 37,800 1,405,687
--------------
6,330,725
--------------
RESTAURANTS -- 0.2%
Darden Restaurants, Inc. .......... 22,100 359,125
McDonald's Corp.(b) ............... 209,800 6,910,288
Starbucks Corp.(a) ................ 18,000 687,375
Tricon Global Restaurants, Inc.
(a) ............................. 23,900 675,175
Wendy's International, Inc. ....... 18,400 327,750
--------------
8,959,713
--------------
RETAIL -- 2.7%
Albertson's, Inc. ................. 61,366 2,040,419
</TABLE>
<TABLE>
<CAPTION>
VALUE
COMMON STOCKS SHARES (NOTE 2)
(CONTINUED) ---------- --------------
<S> <C> <C>
RETAIL (CONT'D.)
AutoZone, Inc.(a) ................. 23,500 $ 517,000
Bed Bath & Beyond, Inc. ........... 18,000 652,500
Best Buy Co., Inc.(a) ............. 30,200 1,910,150
Circuit City Stores, Inc. ......... 33,100 1,098,506
Consolidated Stores Corp. ......... 20,100 241,200
Costco Wholesale Corp. ............ 68,100 2,247,300
CVS Corp. ......................... 59,300 2,372,000
Dillard's, Inc. ................... 22,000 269,500
Dollar General Corp. .............. 56,756 1,106,742
Federated Department Stores,
Inc.(a)(b) ...................... 36,100 1,218,375
Gap, Inc., (The)(b) ............... 128,990 4,030,937
Great Atlantic & Pacific Tea Co.,
Inc. ............................ 8,900 147,963
Harcourt General, Inc. ............ 9,800 532,875
Home Depot, Inc. .................. 357,950 17,875,128
IKON Office Solutions, Inc. ....... 26,800 103,850
J.C. Penney Co., Inc. ............. 40,900 754,094
Kmart Corp.(a)(b) ................. 78,200 532,738
Kohl's Corp.(a) ................... 47,700 2,653,312
Kroger Co.(a) ..................... 121,116 2,672,122
Liz Claiborne, Inc. ............... 8,400 296,100
Longs Drug Stores, Inc. ........... 7,000 152,250
May Department Stores Co. ......... 51,900 1,245,600
Nordstrom, Inc. ................... 21,800 525,925
Office Depot, Inc.(a) ............. 59,700 373,125
RadioShack Corp. .................. 32,000 1,516,000
Rite Aid Corp.(b) ................. 43,800 287,438
Safeway, Inc.(a) .................. 79,800 3,600,975
Sears, Roebuck & Co.(b) ........... 57,700 1,882,462
Sherwin-Williams Co. .............. 25,400 538,163
Staples, Inc.(a) .................. 74,900 1,151,588
SUPERVALU Inc. .................... 28,000 533,750
Target Corp. ...................... 68,100 3,949,800
The Limited, Inc. ................. 125,506 2,714,067
Tiffany & Co. ..................... 1,000 67,500
TJX Companies, Inc. ............... 48,500 909,375
Toys 'R' Us, Inc.(a) .............. 41,900 610,169
Wal-Mart Stores, Inc. ............. 689,500 39,732,437
Walgreen Co. ...................... 152,000 4,892,500
Winn-Dixie Stores, Inc. ........... 25,100 359,244
--------------
108,315,179
--------------
RUBBER
Cooper Tire & Rubber Co. .......... 11,200 124,600
Goodyear Tire & Rubber Co. ........ 24,500 490,000
--------------
614,600
--------------
TELECOMMUNICATIONS -- 5.4%
ADC Telecommunications, Inc.(a) ... 44,600 3,740,825
ALLTEL Corp. ...................... 47,400 2,935,838
Andrew Corp.(a) ................... 17,600 590,700
AT&T Corp. ........................ 496,548 15,703,330
Bell Atlantic Corp.(b) ............ 241,100 12,250,894
BellSouth Corp. ................... 292,600 12,472,075
CenturyTel, Inc. .................. 22,400 644,000
General Motors Corp. (Class "H"
Stock)(a) ....................... 7,145 626,974
Global Crossing Ltd.(a) ........... 117,190 3,083,562
GTE Corp. ......................... 150,800 9,387,300
Lucent Technologies, Inc.(b) ...... 495,155 29,337,934
Motorola, Inc. .................... 330,525 9,605,883
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B17
<PAGE> 33
CONSERVATIVE BALANCED PORTFOLIO (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
COMMON STOCKS SHARES (NOTE 2)
(CONTINUED) ---------- --------------
<S> <C> <C>
TELECOMMUNICATIONS (CONT'D.)
Nextel Communications, Inc. (Class
"A" Stock) (a) .................. 114,400 $ 6,999,850
Nortel Networks Corp.(b) .......... 448,960 30,641,520
QUALCOMM, Inc. .................... 115,700 6,942,000
SBC Communications, Inc. .......... 530,608 22,948,796
Scientific-Atlanta, Inc. .......... 24,100 1,795,450
Sprint Corp. ...................... 135,200 6,895,200
Sprint Corp. (PCS Group)(b) ....... 129,400 7,699,300
Tellabs, Inc.(a) .................. 60,600 4,147,312
US West, Inc. ..................... 75,960 6,513,570
WorldCom, Inc.(a) ................. 441,821 20,268,538
--------------
215,230,851
--------------
TEXTILES
National Service Industries,
Inc. ............................ 6,000 117,000
Russell Corp. ..................... 6,500 130,000
Springs Industries, Inc. .......... 3,200 102,400
VF Corp. .......................... 19,100 454,819
--------------
804,219
--------------
TOBACCO
UST, Inc. ......................... 26,100 383,344
--------------
TOYS
Hasbro, Inc. ...................... 30,700 462,419
Mattel, Inc. ...................... 64,951 856,541
--------------
1,318,960
--------------
TRAVEL SERVICES
Sabre Holdings Corp.(a) ........... 23,526 670,491
--------------
TRUCKING/SHIPPING -- 0.1%
FedEx Corp.(a) .................... 44,900 1,706,200
Ryder System, Inc. ................ 11,500 217,781
--------------
1,923,981
--------------
UTILITY - ELECTRIC & GAS -- 0.7%
Ameren Corp. ...................... 21,200 715,500
American Electric Power Co.,
Inc.(b) ......................... 52,160 1,545,240
CINergy Corp. ..................... 23,500 597,781
CMS Energy Corp. .................. 21,000 464,625
Consolidated Edison, Inc. ......... 34,100 1,010,212
Constellation Energy Group ........ 22,400 729,400
CP&L, Inc. ........................ 24,600 785,663
Dominion Resources, Inc. .......... 38,116 1,634,223
DTE Energy Co.(b) ................. 22,700 693,769
Duke Energy Co. ................... 56,800 3,202,100
Edison International .............. 55,500 1,137,750
Entergy Corp. ..................... 39,400 1,071,187
FirstEnergy Corp.(a) .............. 36,900 862,537
Florida Progress Corp. ............ 14,100 660,938
FPL Group, Inc. ................... 27,700 1,371,150
GPU, Inc. ......................... 19,900 538,544
New Century Energies, Inc. ........ 18,200 546,000
Niagara Mohawk Holdings Inc.
(a) ............................. 27,000 376,313
Northern States Power Co. ......... 26,900 543,044
Pacific Gas & Electric Co. ........ 61,300 1,509,512
PECO Energy Co. ................... 30,800 1,241,625
Pinnacle West Capital Corp. ....... 11,400 386,175
PPL Corp. ......................... 24,100 528,694
Public Service Enterprise Group,
Inc. ............................ 34,600 1,198,025
</TABLE>
<TABLE>
<CAPTION>
VALUE
COMMON STOCKS SHARES (NOTE 2)
(CONTINUED) ---------- --------------
<S> <C> <C>
UTILITY - ELECTRIC & GAS (CONT'D.)
Reliant Energy, Inc. .............. 46,200 $ 1,365,787
Southern Co. ...................... 101,200 2,359,225
TXU Corp. ......................... 43,500 1,283,250
Unicom Corp. ...................... 35,300 1,365,669
--------------
29,723,938
--------------
WASTE MANAGEMENT -- 0.1%
Allied Waste Industries, Inc. ..... 29,700 297,000
Waste Management, Inc. ............ 96,142 1,826,698
--------------
2,123,698
--------------
TOTAL COMMON STOCKS
(cost $1,603,369,037).......................... 1,951,410,165
--------------
PREFERRED STOCKS -- 0.8%
FINANCIAL SERVICES
BCH Capital Ltd., Series B......... 225,900 5,732,212
Central Hispano Capital Corp.,
Series A......................... 1,000,000 25,000,000
--------------
TOTAL PREFERRED STOCKS
(cost $31,236,594)............................. 30,732,212
--------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
MOODY'S AMOUNT
LONG-TERM RATING (000)
BONDS -- 32.6% ------- -----------
<S> <C> <C> <C>
AEROSPACE -- 0.2%
Litton Industries, Inc.,
8.00%, 10/15/09....... Baa2 $ 2,100 2,107,770
Northrop-Grumman Corp.,
7.875%, 03/01/26...... Baa3 4,500 4,265,505
--------------
6,373,275
--------------
AIRLINES -- 1.6%
Continental Airlines,
Inc.,
8.00%, 12/15/05....... Ba2 1,680 1,554,269
7.461%, 04/01/15...... Aa3 7,239 6,930,197
Delta Air Lines, Inc.,
7.90%, 12/15/09....... Baa3 19,300 18,037,780
United Airlines, Inc.,
10.67%, 05/01/04...... Baa3 19,865 20,206,479
11.21%, 05/01/14...... Baa3 18,433 19,002,211
--------------
65,730,936
--------------
ASSET BACKED-SECURITIES -- 1.9%
Citibank Credit Card Master
Trust, Series 1999-5,
6.10%, 05/15/08....... Aaa 39,000 36,513,750
MBNA Master Credit Card
Trust, Series 1999-B,
5.90%, 08/15/11....... Aaa 26,300 23,804,605
Standard Credit Card
Master Trust,
5.95%, 10/07/04....... Aaa 4,650 4,484,321
Team Fleet Financing Corp.,
7.35%, 05/15/03....... Aa3 11,000 10,945,000
--------------
75,747,676
--------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B18
<PAGE> 34
CONSERVATIVE BALANCED PORTFOLIO (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL
MOODY'S AMOUNT VALUE
RATING (000) (NOTE 2)
------- ----------- --------------
<S> <C> <C> <C>
AUTO - CARS & TRUCKS -- 0.3%
Hertz Corp.,
8.25%, 06/01/05....... A3 $ 1,500 $ 1,531,200
Lear Corp.,
8.25%, 02/01/02....... Ba3 2,775 2,720,638
7.96%, 05/15/05....... Ba1 7,050 6,556,500
Navistar International
Corp.,
8.00%, 02/01/08(b).... Ba2 1,455 1,334,963
--------------
12,143,301
--------------
BANKS AND SAVINGS & LOANS -- 1.5%
National Australia Bank Ltd.,
6.40%, 12/10/07....... A1 8,400 8,284,500
Capital One Bank,
6.97%, 02/04/02....... Baa2 25,000 24,611,500
6.76%, 07/23/02....... Baa2 2,500 2,429,625
Chase Manhattan Corp.,
7.875%, 06/15/10...... A1 1,000 998,000
Key Bank NA,
5.80%, 04/01/04....... Aa3 5,000 4,725,000
Sanwa Finance Aruba,
A.E.C.,
8.35%, 07/15/09....... Baa1 5,970 5,943,493
Sovereign Bancorp, Sr. Notes,
10.25%, 05/15/04...... Ba3 605 596,584
10.50%, 11/15/06...... Ba3 1,045 1,045,000
Washington Mutual, Inc.,
8.25%, 10/01/02....... A3 5,200 5,239,728
7.50%, 08/15/06....... A3 5,000 4,851,900
--------------
58,725,330
--------------
BUILDING PRODUCTS -- 0.4%
Hanson Overseas B.V.,
7.375%, 01/15/03...... A3 14,751 14,657,036
--------------
CABLE & PAY TELEVISION SYSTEMS -- 0.8%
Cox Communications,
Inc.,
6.94%, 10/01/01....... Baa2 4,000 3,988,840
CSC Holdings, Inc.,
7.875%, 12/15/07...... Ba1 1,740 1,683,502
7.25%, 07/15/08....... Ba1 3,100 2,865,795
Rogers Cablesystems Ltd.,
(Canada),
11.00%, 12/01/15...... Ba3 4,010 4,330,800
Tele-Communications,
Inc.,
8.25%, 01/15/03....... A2 2,000 2,055,980
9.875%, 06/15/22...... A2 12,900 15,256,959
--------------
30,181,876
--------------
CHEMICALS -- 0.1%
Lyondell Chemical,
9.625%, 05/01/07...... Ba3 320 316,800
Monsanto Co.,
6.50%, 12/01/18....... A1 1,145 1,009,340
6.75%, 12/15/27....... A1 2,735 2,453,486
6.60%, 12/01/28....... A1 1,150 1,017,359
--------------
4,796,985
--------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
MOODY'S AMOUNT VALUE
RATING (000) (NOTE 2)
------- ----------- --------------
<S> <C> <C> <C>
CONSULTING -- 0.7%
Comdisco, Inc.,
6.00%, 01/30/02....... Baa1 $ 30,000 $ 28,912,500
--------------
CONTAINERS -- 0.5%
Owens-Illinois, Inc.,
7.15%, 05/15/05(b).... Ba1 13,000 11,883,560
Pactiv Corp.,
7.95%, 12/15/25....... Baa3 7,250 6,503,468
--------------
18,387,028
--------------
DIVERSIFIED CONSUMER PRODUCTS -- 0.1%
Eastman Kodak Co.,
M.T.N.,
7.25%, 06/15/05....... A2 2,500 2,490,750
--------------
DIVERSIFIED OPERATIONS
Corning Inc.,
6.85%, 03/01/29....... A2 2,180 1,856,248
--------------
FINANCIAL SERVICES -- 2.9%
Capital One Financial
Corp.,
7.25%, 05/01/06....... Baa3 2,950 2,699,250
Enterprise Rent-A-Car
USA Finance Co.,
6.95%, 03/01/04....... Baa1 7,500 7,221,750
7.50%, 06/15/03,
M.T.N. ............. Baa1 5,000 4,981,500
Finova Capital Corp.,
6.125%, 03/15/04...... Baa2 21,000 18,060,000
Ford Motor Credit Corp.,
7.375%, 10/28/09...... A2 2,000 1,934,540
7.875%, 06/15/10...... A2 4,700 4,735,250
Gatx Capital Corp.,
7.75%, 12/01/06....... Baa2 6,000 5,610,000
General Motors
Acceptance Corp.,
5.95%, 03/14/03....... A2 27,000 25,967,250
HVB Funding Trust,
9.00%, 10/22/31....... Aa3 1,200 1,138,920
International Lease
Finance Corp.,
5.90%, 03/12/03....... A1 5,000 4,800,000
Osprey Trust,
8.31%, 01/15/03....... Baa2 26,000 26,088,400
Pemex Finance Ltd.,
(Cayman Islands),
9.14%, 08/15/04....... Baa1 6,500 6,650,150
RBF Finance Co.,
11.375%, 03/15/09..... Ba3 2,280 2,462,400
Textron Financial Corp.,
6.05%, 03/16/09....... Aaa 5,029 5,000,810
--------------
117,350,220
--------------
FOOD & BEVERAGE -- 0.1%
Coca-Cola Bottling Co.,
6.375%, 05/01/09...... Baa2 3,000 2,744,010
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B19
<PAGE> 35
CONSERVATIVE BALANCED PORTFOLIO (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL
MOODY'S AMOUNT VALUE
RATING (000) (NOTE 2)
------- ----------- --------------
<S> <C> <C> <C>
FOOD & BEVERAGE (CONT'D.)
Embotelladora Andina, S.A.,
7.875%, 10/01/97...... Baa1 $ 1,250 $ 963,000
--------------
3,707,010
--------------
FOREST PRODUCTS -- 1.0%
International Paper Co.,
8.00%, 07/08/03(b).... Baa1 26,000 26,135,980
Scotia Pacific Co.
7.71%, 01/20/14....... Baa2 18,800 12,878,000
--------------
39,013,980
--------------
INDUSTRIAL -- 0.2%
Cendant Corp.,
7.75%, 12/01/03....... Baa1 2,000 1,922,600
Compania Sud Americana
de Vapores, S.A., (Chile),
7.375%, 12/08/03...... NR 4,600 4,416,000
--------------
6,338,600
--------------
INSURANCE -- 0.2%
Aon Corp.,
8.65%, 05/15/05(b).... A3 4,000 4,082,000
Conseco, Inc.,
8.50%, 10/15/02....... Ba1 4,050 2,997,000
--------------
7,079,000
--------------
INVESTMENT BANKERS -- 0.9%
Goldman Sachs Group, Inc.,
7.80%, 01/28/10(b).... A1 2,500 2,456,250
Lehman Brothers
Holdings, Inc.,
6.625%, 04/01/04...... A3 18,550 17,703,935
6.625%, 02/05/06...... A3 5,780 5,400,774
Morgan Stanley Dean
Witter & Co.,
7.125%, 01/15/03...... Aa3 4,360 4,332,052
PaineWebber Group, Inc.,
7.015%, 02/10/04...... Baa1 6,000 5,775,900
--------------
35,668,911
--------------
LEISURE -- 0.5%
ITT Corp.,
6.75%, 11/15/03....... Ba1 21,500 20,175,815
Park Place Entertainment
Corp.,
9.375%, 02/15/07...... Ba2 1,960 1,960,000
--------------
22,135,815
--------------
MEDIA -- 0.2%
Clear Channel
Communications, Inc.
7.875%, 06/15/05...... Baa3 1,600 1,608,512
Cox Enterprises, Inc.,
6.625%, 06/14/02...... Baa1 4,500 4,425,075
United News & Media PLC,
7.25%, 07/01/04....... Baa2 2,900 2,800,240
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
MOODY'S AMOUNT VALUE
RATING (000) (NOTE 2)
------- ----------- --------------
<S> <C> <C> <C>
MEDIA (CONT'D.)
World Color Press Inc.,
8.375%, 11/15/08...... Baa3 $ 1,340 $ 1,259,600
--------------
10,093,427
--------------
MISCELLANEOUS - BASIC INDUSTRY
AES Corp.,
9.50%, 06/01/09(b).... Ba1 2,350 2,303,000
--------------
OIL & GAS -- 0.5%
Amerada Hess Corp.,
7.875%, 10/01/29...... Baa1 2,020 1,975,176
B.J. Services Co.,
7.00%, 02/01/06....... Baa2 4,000 3,836,760
Limestone Electron
Trust,
8.625%, 03/15/03...... Baa3 8,750 8,834,700
Phillips Petroleum Co.,
8.50%, 05/25/05(b).... Baa2 3,750 3,874,050
--------------
18,520,686
--------------
OIL & GAS EXPLORATION/PRODUCTION -- 0.1%
Parker & Parsley Petroleum Co.,
8.875%, 04/15/05...... Ba2 1,375 1,341,326
Union Pacific Resources
Group Inc.,
7.95%, 04/15/29....... Baa3 3,400 3,371,984
--------------
4,713,310
--------------
REAL ESTATE INVESTMENT TRUST -- 1.4%
Duke Realty, L.P.,
7.30%, 06/30/03....... Baa1 3,850 3,778,775
EOP Operating, L.P.,
6.375%, 01/15/02...... Baa1 4,500 4,403,250
6.50%, 06/15/04....... Baa1 6,000 5,708,520
6.625%, 02/15/05(b)... Baa1 17,938 16,946,746
ERP Operating, L.P.,
7.10%, 06/23/04....... A3 2,000 1,939,520
6.63%, 4/13/05(e)..... A3 8,300 7,802,498
Simon Debartolo Group, Inc.,
6.75%, 06/15/05....... Baa1 17,500 16,395,050
--------------
56,974,359
--------------
RETAIL -- 1.2%
Federated Department
Stores, Inc.,
8.125%, 10/15/02...... Baa1 25,850 26,109,017
8.50%, 06/15/03(b).... Baa1 5,000 5,045,850
Kroger Co., (The),
7.25%, 06/01/09....... Baa3 5,100 4,692,000
Safeway Stores Inc.,
6.05%, 11/15/03....... Baa2 12,000 11,458,680
--------------
47,305,547
--------------
TELECOMMUNICATIONS -- 3.5%
360 Communication Co.,
7.125%, 03/01/03(b)... A2 22,550 22,191,906
7.60%, 04/01/09....... A2 7,000 6,793,150
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B20
<PAGE> 36
CONSERVATIVE BALANCED PORTFOLIO (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL
MOODY'S AMOUNT VALUE
RATING (000) (NOTE 2)
------- ----------- --------------
<S> <C> <C> <C>
TELECOMMUNICATIONS (CONT'D.)
Airtouch Communications,
Inc.,
7.00%, 10/01/03....... A2 $ 4,100 $ 4,030,300
Deutsche Telekom
International Finance B.V.,
7.75%, 06/15/05....... Aa2 15,000 15,075,000
8.00%, 06/15/10....... Aa2 10,000 10,070,000
8.25%, 06/15/30....... Aa2 15,000 15,151,500
Electric Lightwave,
Inc.,
6.05%, 05/15/04....... A2 4,700 4,376,875
Global Crossing
Holdings, Ltd.,
9.125%, 11/15/06...... Ba2 1,765 1,698,813
Rogers Cantel Inc.,
9.375%, 06/01/08...... Baa3 1,055 1,086,650
Sprint Capital Corp.,
6.125%, 11/15/08...... Baa1 18,500 16,490,345
Telecom De Puerto Rico,
6.65%, 05/15/06....... Baa2 9,500 8,823,125
6.80%, 05/15/09....... Baa2 7,900 7,218,625
U.S. West Capital
Funding Inc.,
6.875%, 08/15/01...... Baa1 15,000 14,922,000
Williams Communications
Group, Inc.,
10.875%, 10/01/09..... B2 1,460 1,430,800
Worldcom Inc.,
7.875%, 05/15/03...... A3 3,000 3,030,000
8.00%, 05/15/06(b) A3 5,000 5,056,250
8.25%, 05/15/10....... A3 1,000 1,025,810
--------------
138,471,149
--------------
UTILITIES -- 1.1%
Calpine Corp.,
10.50%, 05/15/06...... Ba1 4,500 4,702,500
Cogentrix Energy, Inc.,
8.75%, 10/15/08....... Ba1 2,940 2,837,100
Edison Mission Energy,
7.73%, 06/15/09....... A3 4,300 4,193,188
Entergy Louisiana, Inc.,
8.50%, 06/01/03....... Baa2 5,000 5,044,000
Hydro-Quebec,
8.00%, 02/01/13....... A2 1,900 1,975,962
Niagara Mohawk Power Co.,
7.375%, 08/01/03(b)... Baa2 10,000 9,860,300
Peco Energy Transition Trust,
5.80%, 03/01/07....... Aaa 7,500 7,087,500
PSEG Energy Holdings, Inc.,
10.00%, 10/01/09...... Ba1 2,385 2,414,813
Sonat, Inc.,
7.625%, 07/15/11...... Baa2 6,700 6,544,225
--------------
44,659,588
--------------
WASTE MANAGEMENT
Allied Waste Industries, Inc.,
7.625%, 01/01/06...... Ba3 970 848,750
--------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
MOODY'S AMOUNT VALUE
RATING (000) (NOTE 2)
------- ----------- --------------
<S> <C> <C> <C>
FOREIGN GOVERNMENT BONDS -- 0.7%
Junta de Andalucia, (Spain),
7.25%, 10/01/29....... Aa3 $ 720 $ 692,064
Province of Saskatchewan,
(Canada),
9.125%, 02/15/21...... A2 1,800 2,080,854
Quebec Province, (Canada),
7.125%, 02/09/24(b)... A2 2,700 2,550,366
Republic of Philippines,
8.875%, 04/15/08...... Ba1 4,700 4,230,000
United Mexican States,
10.375%, 02/17/09..... Baa3 18,600 19,995,000
--------------
29,548,284
--------------
U.S. GOVERNMENT & AGENCY OBLIGATIONS -- 10.0%
United States Treasury Bonds,
13.875%, 05/15/11(d)........... 3,350 4,543,974
7.50%, 11/15/16................ 13,750 15,528,838
8.75%, 05/15/17(b)............. 53,391 67,247,566
8.125%, 05/15/21(b)............ 57,900 70,647,264
8.125%, 08/15/21(b)............ 28,800 35,185,536
7.625%, 11/15/22(b)............ 35,600 41,652,000
7.125%, 02/15/23(b)............ 20,300 22,561,623
6.75%, 08/15/26(b)............. 12,050 12,966,885
6.125%, 08/15/29(b)............ 12,540 12,665,400
6.25%, 05/15/30(b)............. 5,750 6,033,015
United States Treasury Notes,
6.625%, 05/31/02(b)............ 13,500 13,550,625
5.50%, 03/31/03................ 150 146,672
7.50%, 02/15/05(d)............. 185 193,902
6.875%, 05/15/06............... 1,915 1,970,956
6.50%, 10/15/06................ 1,100 1,113,233
6.25%, 02/15/07................ 5,250 5,254,095
6.625%, 05/15/07(b)............ 37,250 38,030,015
6.50%, 02/15/10(b)............. 49,684 51,384,186
--------------
400,675,785
--------------
TOTAL LONG-TERM BONDS
(cost $1,343,500,689).......................... 1,305,410,362
--------------
TOTAL LONG-TERM INVESTMENTS
(cost $2,978,106,320).......................... 3,287,552,739
--------------
SHORT-TERM INVESTMENTS -- 31.1%
COMMERCIAL PAPER -- 22.6%
Abbott Laboratories,
7.00%, 07/06/00....... P1 1,200 1,198,833
Alltel Corp.,
6.55%, 07/12/00....... P1 11,900 11,876,183
American Electric Power Co.,
6.83%, 07/21/00(c).... P2 40,000 39,848,222
Aon Corp.,
6.60%, 07/20/00(c).... P2 46,013 45,852,721
Associates Corp. of
North America,
6.80%, 07/13/00....... P1 16,800 16,761,920
Bank One Corp.,
6.78%, 8/18/00........ P1 2,000 2,013,563
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B21
<PAGE> 37
CONSERVATIVE BALANCED PORTFOLIO (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL
MOODY'S AMOUNT VALUE
RATING (000) (NOTE 2)
------- ----------- --------------
<S> <C> <C> <C>
COMMERCIAL PAPER (CONT'D.)
Barton Capital Corp.,
6.60%, 07/21/00....... NR $ 7,419 $ 7,391,797
Baus Funding LLC,
6.77%, 07/14/00....... P1 23,600 23,542,305
Bishops Gate Residential
Mortgage,
6.60%, 07/17/00....... P1 10,400 10,369,493
Blue Ridge Asset Funding,
6.60%, 07/25/00....... P1 2,000 1,991,200
Bombardier Capital,
Inc.,
6.84%, 07/28/00(c).... P2 10,000 9,948,700
6.90%, 08/18/00(c).... P2 10,000 9,908,000
6.90%, 08/23/00(c).... P2 15,000 14,847,625
Bradford & Bingley
Building Society,
6.65%, 09/08/00....... P1 22,249 21,965,418
Citicorp,
6.55%, 07/10/00(c).... P1 15,000 14,975,438
6.55%, 07/27/00(c).... P1 25,176 25,056,904
6.60%, 08/10/00....... P1 23,000 22,831,333
Cooper Industries, Inc.,
7.05%, 07/05/00....... P1 23,600 23,581,513
Dexia CLF Finance Co.,
6.58%, 07/20/00....... P1 4,000 3,986,109
Dow Chemical Co., Inc.,
7.00%, 07/03/00....... P1 6,500 6,497,472
Dresdner U.S. Finance, Inc.,
6.75%, 07/12/00....... P1 1,100 1,097,731
Du Pont (E. I.) De
Nemours & Co., Inc.,
7.00%, 07/05/00....... P1 4,675 4,671,364
Duke Capital Corp.,
7.25%, 07/05/00(c).... P2 40,000 39,967,776
Enterprise Funding
Corp.,
6.60%, 07/19/00....... P1 9,000 8,970,300
6.61%, 08/23/00....... P1 14,000 13,863,761
Equitable Resources, Inc.,
6.57%, 07/17/00....... P1 10,000 9,970,800
6.62%, 07/21/00....... P1 13,500 13,450,350
Falcon Asset
Securitization Corp.,
6.72%, 07/21/00(c).... P1 20,000 19,925,333
First National Bank
Chicago,
5.70%, 07/12/00....... P1 3,000 2,997,604
Ford Motor Credit Corp.,
6.55%, 07/12/00....... P1 3,100 3,093,796
Fortis Funding LLC,
6.70%, 07/13/00....... P1 15,257 15,222,926
Fortune Brands, Inc.,
6.57%, 07/11/00....... P1 11,900 11,878,283
GE International Funding
Corp.,
6.52%, 07/17/00(c).... P1 20,000 19,942,044
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
MOODY'S AMOUNT VALUE
RATING (000) (NOTE 2)
------- ----------- --------------
<S> <C> <C> <C>
COMMERCIAL PAPER (CONT'D.)
General Electric Capital
Corp.,
6.60%, 07/12/00....... P1 $ 3,100 $ 3,093,748
6.75%, 07/12/00....... P1 4,000 3,991,750
6.63%, 07/13/00....... P1 12,100 12,073,259
Goldman Sachs Group, Inc.,
6.57%, 07/26/00....... 24,000 23,890,500
GTE Corp.,
6.62%, 07/06/00....... P1 1,293 1,291,811
6.62%, 07/13/00....... P1 9,662 9,640,679
6.62%, 07/27/00....... P1 2,400 2,388,525
6.62%, 07/28/00....... P1 1,600 1,592,056
6.63%, 08/09/00(c).... P1 10,000 9,928,172
Heller Financial, Inc.
6.75%, 07/21/00(c).... P2 35,000 34,868,750
Hertz Corp.,
7.15%, 07/06/00....... P1 1,200 1,198,808
Homeside Lending, Inc.,
6.55%, 07/18/00....... P1 11,900 11,863,192
6.62%, 07/27/00....... P1 12,000 11,942,627
ING America Insurance
Holdings, Inc.,
6.57%, 07/11/00....... P1 11,900 11,878,283
Invensys PLC,
7.30%, 07/05/00(c).... P1 15,900 15,887,102
Keyspan Corp.,
6.83%, 07/31/00(c).... P2 30,000 29,829,250
Morgan Stanley Dean
Witter & Co.,
6.58%, 07/27/00....... P1 24,000 23,885,947
Nike Inc.,
6.60%, 07/28/00....... P1 6,373 6,341,454
6.60%, 08/04/00....... P1 2,263 2,248,894
Northern Rock PLC,
6.60%, 07/14/00....... P1 24,000 23,942,800
Old Line Funding Corp.,
6.62%, 08/01/00....... P1 2,753 2,737,306
Phillips Petroleum Co.,
6.83%, 07/31/00(c).... P2 40,000 39,772,333
PNC Funding Corp.,
6.63%, 07/24/00....... P1 10,000 9,957,642
Potomac Electric Power Co.,
6.62%, 08/01/00....... P1 2,900 2,883,468
Preferred Receivables
Funding Corp.,
6.62%, 08/03/00....... P1 1,900 1,888,470
PSE&G Fuel Corp.,
7.30%, 07/06/00(c).... P2 40,000 40,000,000
Santander Finance
Delaware Inc.,
6.62%, 09/05/00....... P1 1,000 987,863
Scotiabanc Inc.,
6.62%, 07/26/00....... P1 14,000 13,935,639
Sweetwater Capital
Corp.,
6.63%, 07/24/00....... P1 4,965 4,943,969
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B22
<PAGE> 38
CONSERVATIVE BALANCED PORTFOLIO (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL
MOODY'S AMOUNT VALUE
RATING (000) (NOTE 2)
------- ----------- --------------
<S> <C> <C> <C>
COMMERCIAL PAPER (CONT'D.)
Target Corp.,
7.50%, 07/05/00....... P1 $ 1,746 $ 1,744,545
6.64%, 08/07/00....... P1 16,333 16,221,536
Thunder Bay Funding,
Inc.,
6.60%, 07/06/00....... P1 8,627 8,619,092
6.60%, 07/07/00....... P1 1,322 1,320,546
6.60%, 07/10/00....... P1 1,935 1,931,807
6.60%, 07/17/00....... P1 2,562 2,554,485
6.60%, 07/24/00....... P1 2,980 2,967,434
6.62%, 08/03/00....... P1 2,365 2,350,649
TRW, Inc.,
6.88%, 08/15/00(c).... P2 17,000 16,853,800
Triple-A-One Funding
Corp.,
7.00%, 07/07/00(c).... P1 6,312 6,304,630
United Technologies
Corp.,
6.60%, 07/27/00....... P1 5,765 5,737,520
--------------
904,987,159
--------------
OTHER CORPORATE OBLIGATIONS -- 4.1%
Advanta Corp.,
7.50%, 08/28/00....... B1 35,000 34,928,250
Camden Property Trust,
7.23%, 10/30/00....... Baa2 22,000 21,960,400
El Paso Energy Corp.,
6.625%, 07/15/01...... Baa2 5,100 5,055,222
Fort James Corp.,
6.234%, 03/15/01(e)... Baa2 10,000 9,909,300
HRPT Properties Trust,
7.521%, 07/10/00(e)... Baa2 750 750,000
ITT Corp.,
6.25%, 11/15/00....... Ba1 5,253 5,204,725
KN Energy, Inc.,
6.30, 03/01/01(e)..... Baa2 20,000 19,845,200
Kroger Co., (The),
6.34%, 06/01/01....... Baa3 8,700 8,547,750
Mallinckrodt, Inc.,
6.30%, 03/15/01(e).... Baa2 7,000 6,895,000
MCN Investment Corp.,
6.30%, 04/02/01(e).... Baa3 8,250 8,119,650
Raytheon Co.,
5.95%, 03/15/01....... Baa2 7,400 7,313,642
Seagram (J.) & Sons,
Inc.,
5.79%, 04/15/01....... Baa3 13,300 13,119,120
Sovereign Bancorp,
Sr. Notes,
6.625%, 03/15/01...... Ba3 4,000 3,940,000
TRW, Inc.,
6.45%, 06/15/01....... Baa1 9,700 9,554,500
Waste Management, Inc.,
6.125%, 07/15/01...... Ba1 8,000 7,725,760
--------------
162,868,519
--------------
REPURCHASE AGREEMENT -- 1.4%
Joint Repurchase Agreement
Account,
6.49%, 07/03/00 (Note 5)....... 57,017 57,017,000
--------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
MOODY'S AMOUNT VALUE
RATING (000) (NOTE 2)
------- ----------- --------------
<S> <C> <C> <C>
TIME DEPOSIT - EURODOLLAR -- 2.9%
Dexia Bank, S.A.,
(Cayman Islands)
7.125%, 07/03/00(c)... P1 $ 66,000 $ 66,000,000
Suntrust Bank,
7.00%, 07/13/00(c).... P1 48,210 48,210,000
Westdeutsche Landesbank
Girozentrale,
7.06%, 07/03/00....... P1 1,800 1,800,000
--------------
116,010,000
--------------
U.S. GOVERNMENT & AGENCY OBLIGATIONS -- 0.1%
United States Treasury Bills,
5.64%, 09/21/00(d)............. 1,700 1,678,161
5.67%, 09/21/00(d)............. 1,500 1,480,644
--------------
3,158,805
--------------
TOTAL SHORT-TERM INVESTMENTS
(cost $1,245,547,258).......................... 1,244,041,483
--------------
TOTAL INVESTMENTS -- 113.3%
(cost $4,223,653,578; Note 6).................. 4,531,594,222
--------------
VARIATION MARGIN ON OPEN FUTURES CONTRACTS (f)...
336,413
--------------
LIABILITIES IN EXCESS OF OTHER ASSETS --
(13.3%)........................................ (533,746,183)
--------------
TOTAL NET ASSETS -- 100.0%....................... $3,998,184,452
==============
</TABLE>
The following abbreviations are used in portfolio descriptions:
<TABLE>
<S> <C>
AG Aktiengesellschaft (German Stock Company)
ADR American Depository Receipt
L.P. Limited Partnership
M.T.N. Medium Term Note
PLC Public Limited Company (British Corporation)
SA Sociedad Anomia (Spanish Corporation) or Societe
Anonyme (French Corporation)
</TABLE>
(a) Non-income producing security.
(b) Portion of securities on loan with an aggregate market value of
$547,926,800; cash collateral of $549,263,308 was received with which the
portfolio purchased securities.
(c) Represents securities purchased with cash collateral received for securities
on loan.
(d) Security segregated as collateral for futures contracts.
(e) Mandatory put/call.
(f) Open futures contracts as of June 30, 2000 were as follows:
<TABLE>
<CAPTION>
NUMBER OF EXPIRATION VALUE AT VALUE AT APPRECIATION/
CONTRACTS TYPE DATE TRADE DATE JUNE 30, 2000 DEPRECIATION
<C> <S> <C> <C> <C> <C>
Long Position:
83 U.S. T-Bond Sept 00 $8,082,125 $ 8,079,531 $ (2,594)
28 S&P 500 Index Sept 00 10,464,000 10,276,700 (187,300)
220 U.S. Treasury 5yr Sept 00 21,505,313 21,783,438 278,125
81 S&P 500 Index Sept 00 29,837,875 29,729,025 (108,850)
458 U.S. Treasury 5yr Sept 00 44,785,688 45,349,157 563,469
---------
$ 542,850
=========
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B23
<PAGE> 39
FLEXIBLE MANAGED PORTFOLIO
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
LONG-TERM INVESTMENTS -- 88.7% VALUE
SHARES (NOTE 2)
COMMON STOCKS -- 57.1% ----------- --------------
<S> <C> <C>
ADVERTISING -- 0.1%
Omnicom Group, Inc. ............. 31,200 $ 2,778,750
--------------
AEROSPACE/DEFENSE -- 0.4%
Boeing Co. ...................... 214,500 8,968,781
GenCorp, Inc. ................... 140,000 1,120,000
General Dynamics Corp.(d) ....... 68,700 3,589,575
Lockheed Martin Corp. ........... 48,900 1,213,331
Northrop Grumman Corp. .......... 8,500 563,125
Raytheon Co. (Class "B" Stock)... 40,600 781,550
Titan Corp. ..................... 3,900 174,525
United Technologies Corp. ....... 58,100 3,420,638
--------------
19,831,525
--------------
AIRLINES -- 0.1%
AMR Corp. ....................... 164,600 4,351,612
Delta Airlines, Inc. ............ 15,800 798,888
Southwest Airlines Co. .......... 61,800 1,170,338
US Airways Group, Inc.(a)........ 8,700 339,300
--------------
6,660,138
--------------
AUTOS - CARS & TRUCKS -- 0.8%
Borg-Warner Automotive, Inc. .... 77,800 2,732,725
Cummins Engine Co., Inc. ........ 4,700 128,075
Dana Corp. ...................... 83,650 1,772,334
Delphi Automotive Systems
Corp. ......................... 253,054 3,685,099
Ford Motor Co. .................. 321,700 13,833,100
General Motors Corp. ............ 176,234 10,232,587
Genuine Parts Co................. 21,600 432,000
Johnson Controls, Inc. .......... 10,000 513,125
Navistar International
Corp.(a)....................... 9,000 279,562
PACCAR, Inc. .................... 10,000 396,875
Titan International, Inc. ....... 200,000 1,062,500
TRW, Inc. ....................... 14,800 641,950
Visteon Corp. ................... 42,121 510,719
--------------
36,220,651
--------------
BANKS AND SAVINGS & LOANS -- 2.1%
AmSouth Bancorp.................. 41,500 653,625
Associates First Capital
Corp. ......................... 137,390 3,065,514
Banc One Corp. .................. 140,064 3,720,450
Bank of New York Co., Inc. ...... 164,900 7,667,850
BankAmerica Corp. ............... 288,041 12,385,763
BB&T Corp. ...................... 43,400 1,036,175
Capital One Financial............ 24,900 1,111,163
Charter One Financial, Inc. ..... 3,000 69,000
Chase Manhattan Corp. ........... 291,900 13,445,644
Comerica, Inc. .................. 19,200 861,600
Fifth Third Bancorp.............. 36,000 2,277,000
First Union Corp. ............... 119,700 2,970,056
Firstar Corp. ................... 195,847 4,125,027
Golden West Financial Corp. ..... 28,500 1,163,156
Huntington Bancshares, Inc. ..... 29,392 464,761
KeyCorp.......................... 55,200 972,900
Mellon Financial Corp. .......... 61,400 2,237,262
National City Corp. ............. 73,100 1,247,269
Northern Trust Corp. ............ 39,100 2,543,944
PNC Bank Corp. .................. 137,400 6,440,625
Providian Financial Corp. ....... 95,400 8,586,000
SouthTrust Corp. ................ 19,000 429,875
</TABLE>
<TABLE>
<CAPTION>
VALUE
COMMON STOCKS SHARES (NOTE 2)
(CONTINUED) ----------- --------------
<S> <C> <C>
BANKS AND SAVINGS & LOANS (CONT'D.)
State Street Corp. .............. 36,000 $ 3,818,250
Summit Bancorp(b)(d)............. 21,300 524,513
Suntrust Banks, Inc. ............ 47,100 2,151,881
U.S. Bancorp..................... 145,300 2,797,025
Union Planters Corp. ............ 18,000 502,875
Wells Fargo & Co. ............... 357,900 13,868,625
--------------
101,137,828
--------------
CHEMICALS -- 0.7%
Air Products & Chemicals,
Inc. .......................... 83,400 2,569,763
Dow Chemical Co. ................ 147,600 4,455,675
Du Pont (E.I.) de Nemours &
Co. ........................... 213,549 9,342,769
Eastman Chemical Co. ............ 9,800 467,950
Engelhard Corp. ................. 15,600 266,175
FMC Corp.(a)..................... 3,500 203,000
Grace (W.R.) & Co.(a)............ 8,000 97,000
Great Lakes Chemical Corp. ...... 6,400 201,600
Hercules, Inc. .................. 11,700 164,531
Material Sciences Corp.(a)....... 255,600 2,556,000
OM Group, Inc. .................. 223,200 9,820,800
Praxair, Inc. ................... 57,100 2,137,681
Rohm & Haas Co. ................. 27,158 936,951
Sigma-Aldrich Corp. ............. 11,300 330,525
Union Carbide Corp. ............. 15,600 772,200
--------------
34,322,620
--------------
COMMERCIAL SERVICES -- 0.2%
Cendant Corp.(a)................. 84,000 1,176,000
Convergys Corp. ................. 42,500 2,204,687
Deluxe Corp. .................... 9,000 212,063
Electronic Data Systems Corp. ... 98,500 4,063,125
Quintiles Transnational Corp. ... 13,100 185,038
--------------
7,840,913
--------------
COMPUTERS -- 3.6%
Apple Computer, Inc.(a)(b)....... 92,700 4,855,163
Citrix Systems, Inc.(a).......... 19,900 376,856
Compaq Computer Corp. ........... 208,361 5,326,228
Dell Computer Corp.(a)........... 438,500 21,623,531
EMC Corp.(a)(b).................. 470,736 36,217,251
Gateway, Inc. ................... 38,500 2,184,875
Hewlett-Packard Co.(d) .......... 230,600 28,796,175
International Business Machines
Corp.(d) ...................... 308,100 33,756,206
Network Appliance, Inc.(a)....... 34,400 2,769,200
Seagate Technology, Inc.(a)...... 66,400 3,652,000
Sun Microsystems, Inc.(a)........ 355,600 32,337,375
--------------
171,894,860
--------------
COMPUTER SERVICES -- 7.2%
3Com Corp.(a).................... 42,200 2,431,775
Adaptec, Inc.(a)................. 11,500 261,625
Adobe Systems, Inc. ............. 34,000 4,420,000
America Online, Inc.(a)(d)....... 519,800 27,419,450
Autodesk, Inc. .................. 7,600 263,625
Automatic Data Processing,
Inc. .......................... 137,100 7,343,419
BMC Software, Inc.(a)............ 29,200 1,065,344
Cabletron Systems, Inc.(a)....... 25,600 646,400
Cadence Design Systems,
Inc.(a)........................ 2,100 42,788
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B24
<PAGE> 40
FLEXIBLE MANAGED PORTFOLIO (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
COMMON STOCKS SHARES (NOTE 2)
(CONTINUED) ----------- --------------
<S> <C> <C>
COMPUTER SERVICES (CONT'D.)
Ceridian Corp.(a)................ 18,600 $ 447,563
Cisco Systems, Inc.(a)........... 1,499,000 95,280,187
Computer Associates
International, Inc. ........... 71,700 3,670,144
Computer Sciences Corp.(a)(d).... 20,000 1,493,750
Compuware Corp.(a)............... 48,000 498,000
Comverse Technology, Inc.(a)..... 44,100 4,101,300
First Data Corp. ................ 89,000 4,416,625
Fiserv, Inc. .................... 30,000 1,297,500
Intuit, Inc.(a).................. 50,200 2,077,025
Jabil Circuit, Inc.(a)........... 35,000 1,736,875
Lexmark International Group,
Inc.(a)........................ 15,984 1,074,924
Mercury Interactive Corp. ....... 2,000 193,500
Microchip Technology, Inc. ...... 26,100 1,520,733
Micron Technology, Inc. ......... 108,400 9,545,975
Microsoft Corp.(a)............... 1,005,800 80,464,000
NCR Corp.(a)..................... 7,600 295,925
Networks Associates, Inc. ....... 49,200 1,002,450
Novell, Inc.(a)(d)............... 38,500 356,125
Oracle Corp.(a)(d)............... 624,800 52,522,250
Parametric Technology Corp.(a)... 31,500 346,500
Peoplesoft, Inc.(a).............. 294,900 4,939,575
Rational Software Corp.(a)....... 17,900 1,663,581
Sapient Corp. ................... 4,000 427,750
Siebel Systems, Inc.(a).......... 19,000 3,107,687
Symantec Corp. .................. 29,000 1,564,187
VERITAS Software Corp.(a)(d)..... 78,700 8,894,330
Yahoo, Inc.(d) .................. 127,700 15,818,837
--------------
342,651,724
--------------
CONSTRUCTION -- 0.2%
Armstrong Holdings, Inc. ........ 5,800 88,813
Centex Corp. .................... 7,000 164,500
Fluor Corp. ..................... 9,800 309,925
Kaufman & Broad Home Corp. ...... 6,400 126,800
Pulte Corp. ..................... 6,900 149,212
Standard Pacific Corp. .......... 597,500 5,975,000
Vulcan Materials Co. ............ 11,200 478,100
Webb (Del E.) Corp. ............. 189,200 2,897,125
--------------
10,189,475
--------------
CONTAINERS -- 0.1%
Ball Corp. ...................... 2,700 86,906
Bemis Co., Inc. ................. 6,600 221,925
Crown Cork & Seal Co., Inc. ..... 100,400 1,506,000
Owens-Illinois, Inc. ............ 144,200 1,685,337
Pactiv Corp. .................... 21,500 169,313
Sealed Air Corp. ................ 10,900 570,888
--------------
4,240,369
--------------
COSMETICS & SOAPS -- 0.6%
Alberto Culver Co. (Class "B"
Stock)......................... 6,200 189,488
Avon Products, Inc. ............. 28,700 1,277,150
Colgate-Palmolive Co. ........... 136,700 8,184,913
Gillette Co. .................... 262,200 9,160,612
</TABLE>
<TABLE>
<CAPTION>
VALUE
COMMON STOCKS SHARES (NOTE 2)
(CONTINUED) ----------- --------------
<S> <C> <C>
COSMETICS & SOAPS (CONT'D.)
International Flavors &
Fragrances, Inc. .............. 10,300 $ 310,931
Procter & Gamble Co.............. 159,900 9,144,281
--------------
28,267,375
--------------
DIVERSIFIED OPERATIONS -- 2.9%
Corning, Inc. ................... 34,000 9,175,750
Fortune Brands, Inc. ............ 18,300 422,044
General Electric Co.(d) ......... 2,149,100 113,902,300
Perkinelmer, Inc. ............... 6,100 403,362
Smith (A.O.) Corp. .............. 433,350 9,073,266
Unilever N. V.................... 95,042 4,086,806
--------------
137,063,528
--------------
DRUGS & MEDICAL SUPPLIES -- 5.2%
Abbott Laboratories.............. 284,000 12,655,750
Allergan, Inc. .................. 16,100 1,199,450
ALZA Corp.(a).................... 12,500 739,063
Amgen, Inc.(a)................... 240,800 16,916,200
Bard (C.R.), Inc. ............... 5,900 283,938
Bausch & Lomb, Inc. ............. 7,200 557,100
Baxter International, Inc. ...... 35,400 2,489,063
Becton Dickinson & Co. .......... 31,500 903,656
Biogen, Inc.(a).................. 16,000 1,032,000
Biomet, Inc.(a).................. 14,500 557,344
Boston Scientific Corp.(a)....... 52,700 1,156,106
Cardinal Health, Inc.(b)(d)...... 142,850 10,570,900
Forest Laboratories, Inc. ....... 28,700 2,898,700
Guidant Corp.(d) ................ 37,800 1,871,100
Johnson & Johnson................ 320,900 32,691,687
Lilly (Eli) & Co.(d) ............ 250,600 25,028,675
Mallinckrodt, Inc. .............. 7,500 325,781
Medimmune, Inc.(a)............... 11,000 814,000
Medtronic, Inc. ................. 146,000 7,272,625
Merck & Co., Inc. ............... 516,700 39,592,137
Minimed, Inc. ................... 9,600 1,132,800
PE Corp. ........................ 64,100 4,222,588
Pfizer, Inc. .................... 1,251,925 60,092,400
Pharmacia & Upjohn, Inc.(d) ..... 155,004 8,011,769
Schering-Plough Corp. ........... 279,300 14,104,650
St. Jude Medical, Inc.(a)........ 9,500 435,813
Watson Pharmaceuticals,
Inc.(a)........................ 11,200 602,000
--------------
248,157,295
--------------
ELECTRICAL EQUIPMENT
American Power Conversion Co. ... 3,000 122,438
--------------
ELECTRONICS -- 1.9%
Advanced Micro Devices,
Inc.(a)........................ 45,800 3,538,050
Agilent Technologies, Inc. ...... 46,931 3,461,161
Altera Corp.(a).................. 49,200 5,015,325
Analog Devices, Inc.(a).......... 87,300 6,634,800
Atmel Corp.(a)................... 88,000 3,245,000
Belden, Inc. .................... 199,900 5,122,437
Emerson Electric Co. ............ 96,300 5,814,112
Florida Progress Corp. .......... 9,100 426,563
Litton Industries, Inc. ......... 6,700 281,400
LSI Logic Corp.(a)(d)............ 127,400 6,895,525
Maxim Integrated Products,
Inc.(a)........................ 22,000 1,494,625
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B25
<PAGE> 41
FLEXIBLE MANAGED PORTFOLIO (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
COMMON STOCKS SHARES (NOTE 2)
(CONTINUED) ----------- --------------
<S> <C> <C>
ELECTRONICS (CONT'D.)
Molex, Inc. ..................... 22,600 $ 1,087,625
Novellus Systems, Inc.(a)........ 96,900 5,480,906
Pinnacle West Capital Corp. ..... 6,400 216,800
PPL Corp. ....................... 16,600 364,163
Rockwell International Corp. .... 21,600 680,400
Sanmina Corp. ................... 71,000 6,070,500
Sawtek, Inc.(a).................. 37,100 2,135,569
Solectron Corp.(a)(d)............ 69,700 2,918,687
Tektronix, Inc. ................. 6,600 488,400
Teradyne, Inc.(a)................ 53,600 3,939,600
Texas Instruments, Inc. ......... 344,500 23,662,844
Thomas & Betts Corp. ............ 5,900 112,838
--------------
89,087,330
--------------
FINANCIAL SERVICES -- 3.7%
American Express Co. ............ 306,200 15,960,675
Bear Stearns Companies, Inc. .... 14,458 601,814
Charles Schwab Corp.(d) ......... 150,750 5,068,969
Citigroup, Inc. ................. 752,276 45,324,629
Countrywide Mortgage Investments,
Inc. .......................... 13,900 421,344
Dun & Bradstreet Corp. .......... 20,100 575,363
Equifax, Inc. ................... 17,100 448,875
Federal Home Loan Mortgage
Corp. ......................... 159,200 6,447,600
Federal National Mortgage
Association.................... 233,000 12,159,687
Fleetboston Financial Corp. ..... 203,551 6,920,734
Franklin Resource, Inc. ......... 30,700 932,512
Goldman Sachs Group, Inc. ....... 20,400 1,935,450
H&R Block, Inc. ................. 11,400 369,075
Household International, Inc. ... 97,792 4,064,480
Lehman Brothers Holdings,
Inc. .......................... 71,500 6,761,219
MBNA Corp. ...................... 316,000 8,571,500
Merrill Lynch & Co., Inc.(d) .... 117,000 13,455,000
Morgan (J.P.) & Co., Inc. ....... 73,000 8,039,125
Morgan Stanley Dean Witter &
Co. ........................... 292,590 24,358,117
Old Kent Financial Corp. ........ 10,920 292,110
PaineWebber Group, Inc. ......... 52,400 2,384,200
Paychex, Inc. ................... 45,075 1,893,150
Regions Financial Corp. ......... 23,900 475,013
SLM Holding Corp. ............... 18,900 707,569
Synovus Financial Corp. ......... 35,300 622,163
T. Rowe Price & Associates,
Inc. .......................... 11,000 467,500
Washington Mutual, Inc. ......... 247,636 7,150,489
--------------
176,408,362
--------------
FOOD & BEVERAGE -- 1.7%
Anheuser-Busch Companies,
Inc.(d)........................ 111,700 8,342,594
Archer-Daniels-Midland Co. ...... 69,460 681,576
Bestfoods........................ 33,500 2,319,875
Brown-Forman Corp. (Class "B"
Stock)......................... 8,500 456,875
Campbell Soup Co. ............... 51,300 1,494,112
Coca-Cola Co. ................... 438,700 25,197,831
Coca-Cola Enterprises,
Inc.(d) ....................... 50,600 825,413
ConAgra, Inc. ................... 60,900 1,160,906
</TABLE>
<TABLE>
<CAPTION>
VALUE
COMMON STOCKS SHARES (NOTE 2)
(CONTINUED) ----------- --------------
<S> <C> <C>
FOOD & BEVERAGE (CONT'D.)
Coors (Adolph) Co. (Class "B"
Stock)......................... 5,000 $ 302,500
General Mills, Inc.(d) .......... 50,300 1,923,975
Heinz (H.J.) & Co. .............. 48,200 2,108,750
Hershey Foods Corp. ............. 16,500 800,250
Kellogg Co.(d) .................. 50,700 1,508,325
Nabisco Group Holding Corp. ..... 143,700 3,727,219
PepsiCo, Inc. ................... 346,700 15,406,481
Quaker Oats Co. ................. 16,000 1,202,000
Ralston-Ralston Purina
Group(d)....................... 38,600 769,588
Sara Lee Corp. .................. 109,200 2,108,925
Seagram Co., Ltd. ............... 92,900 5,388,200
Starbucks Corp. ................. 3,000 114,563
Sysco Corp. ..................... 46,100 1,941,962
Whitman Corp. ................... 26,300 325,463
Wrigley (William) Jr. Co. ....... 13,900 1,114,606
--------------
79,221,989
--------------
FOREST PRODUCTS -- 0.5%
Boise Cascade Corp. ............. 57,900 1,498,162
Fort James Corp. ................ 27,100 626,688
Georgia-Pacific Corp.(d) ........ 84,000 2,205,000
International Paper Co. ......... 130,981 3,904,871
Kimberly-Clark Corp. ............ 120,300 6,902,212
Louisiana-Pacific Corp. ......... 245,600 2,670,900
Mead Corp. ...................... 13,200 333,300
Potlatch Corp. .................. 3,700 122,563
Temple-Inland, Inc. ............. 7,100 298,200
Westvaco Corp. .................. 11,900 295,269
Weyerhaeuser Co. ................ 34,400 1,479,200
Willamette Industries, Inc. ..... 60,600 1,651,350
--------------
21,987,715
--------------
GAS PIPELINES -- 0.2%
Cinergy Corp. ................... 20,700 526,556
Columbia Gas System, Inc.(a)..... 10,500 689,062
El Paso Energy Corp. ............ 64,500 3,285,469
Peoples Energy Corp. ............ 5,700 184,538
Sempra Energy.................... 27,573 468,741
Williams Companies, Inc. ........ 52,300 2,180,256
--------------
7,334,622
--------------
HOSPITAL MANAGEMENT -- 0.4%
Columbia/HCA Healthcare Co. ..... 68,700 2,086,763
Healthsouth Corp.(a)............. 55,000 395,313
Humana, Inc.(a).................. 211,600 1,031,550
IMS Health, Inc. ................ 36,900 664,200
Manor Care, Inc. ................ 13,300 93,100
Mckesson HBOC, Inc.(d) .......... 33,881 709,383
Service Corp. International...... 1,001,500 3,192,281
Shared Medical Systems Corp. .... 3,200 233,400
Tenet Healthcare Corp.(a)........ 113,200 3,056,400
UnitedHealth Group, Inc.(d) ..... 107,200 9,192,400
Wellpoint Health Networks,
Inc. .......................... 6,000 434,625
--------------
21,089,415
--------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B26
<PAGE> 42
FLEXIBLE MANAGED PORTFOLIO (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
COMMON STOCKS SHARES (NOTE 2)
(CONTINUED) ----------- --------------
<S> <C> <C>
HOUSEHOLD & PERSONAL CARE PRODUCTS
Clorox Co. ...................... 28,300 $ 1,268,194
Leggett & Platt, Inc. ........... 15,800 260,700
--------------
1,528,894
--------------
HOUSING RELATED -- 0.3%
Lowe's Companies, Inc. .......... 209,200 8,590,275
Masco Corp. ..................... 52,300 944,669
Maytag Corp. .................... 13,500 497,812
Newell Rubbermaid, Inc........... 36,155 930,991
Owens Corning.................... 117,500 1,086,875
Stanley Works.................... 13,600 323,000
Tupperware Corp. ................ 9,900 217,800
Whirlpool Corp. ................. 9,900 461,588
--------------
13,053,010
--------------
INSURANCE -- 2.1%
Aetna, Inc. ..................... 49,800 3,196,537
Allstate Corp. .................. 306,200 6,812,950
American General Corp.(d) ....... 44,300 2,702,300
American International Group,
Inc. .......................... 342,778 40,276,415
Aon Corp.(d)..................... 29,650 921,003
Berkley (W.R.) Corp. ............ 75,000 1,406,250
Chubb Corp. ..................... 88,800 5,461,200
CIGNA Corp. ..................... 20,700 1,935,450
Cincinnati Financial Corp. ...... 20,200 635,038
Conseco, Inc.(d) ................ 41,587 405,473
ITT Hartford Group, Inc. ........ 37,600 2,103,250
Jefferson-Pilot Corp. ........... 13,400 756,263
Lincoln National Corp. .......... 22,300 805,588
Marsh & McLennan Companies,
Inc. .......................... 34,100 3,561,319
MBIA, Inc. ...................... 12,100 583,069
MGIC Investment Corp............. 13,300 605,150
Progressive Corp. ............... 9,400 695,600
Reinsurance Group of America,
Inc. .......................... 642,800 19,364,350
SAFECO Corp. .................... 79,900 1,588,012
St. Paul Companies, Inc. ........ 25,900 883,837
Torchmark Corp. ................. 74,800 1,846,625
UnumProvident Corp. ............. 27,270 547,104
Wachovia Corp.(d) ............... 23,800 1,291,150
--------------
98,383,933
--------------
LEISURE -- 0.2%
Brunswick Corp. ................. 11,200 185,500
Carnival Corp. (Class "A"
Stock)......................... 75,700 1,476,150
Harrah's Entertainment,
Inc.(a)........................ 16,400 343,375
Hasbro, Inc. .................... 23,500 353,969
Hilton Hotels Corp. ............. 44,600 418,125
Loews Corp. ..................... 41,900 2,514,000
Marriott International, Inc.
(Class "A" Stock).............. 31,200 1,125,150
Mattel, Inc. .................... 53,400 704,212
--------------
7,120,481
--------------
MACHINERY -- 0.7%
Briggs & Stratton Corp. ......... 3,300 113,025
Caterpillar, Inc. ............... 60,700 2,056,212
</TABLE>
<TABLE>
<CAPTION>
VALUE
COMMON STOCKS SHARES (NOTE 2)
(CONTINUED) ----------- --------------
<S> <C> <C>
MACHINERY (CONT'D.)
Cooper Industries, Inc. ......... 12,900 $ 420,056
Deere & Co. ..................... 164,200 6,075,400
Dover Corp. ..................... 25,800 1,046,513
Eaton Corp. ..................... 9,300 623,100
Harley-Davidson, Inc. ........... 38,000 1,463,000
IDEX Corp. ...................... 234,900 7,414,031
Ingersoll-Rand Co. .............. 61,400 2,471,350
Milacron, Inc. .................. 6,400 92,800
Parker Hannifin Corp. ........... 78,400 2,685,209
Snap-On, Inc. ................... 7,100 189,038
Thermo Electron Corp.(a)......... 17,600 370,700
Timken Co. ...................... 10,200 189,975
United Dominion Industries Ltd.
(Canada)....................... 468,100 7,957,700
--------------
33,168,109
--------------
MANUFACTURING -- 0.5%
Danaher Corp. ................... 18,100 894,819
Donaldson Co., Inc. ............. 173,100 3,418,725
Honeywell, Inc. ................. 187,512 6,316,810
Illinois Tool Works, Inc. ....... 34,500 1,966,500
Southdown, Inc. ................. 100 5,775
Tyco International Ltd. ......... 209,866 9,942,402
York International Corp. ........ 300 7,575
--------------
22,552,606
--------------
MEDIA -- 1.9%
Clear Channel Communications,
Inc.(a)(d)..................... 41,700 3,127,500
Comcast Corp. (Special Class "A"
Stock)......................... 225,500 9,132,750
Dow Jones & Co., Inc. ........... 10,700 783,775
Gannett Co., Inc. ............... 44,000 2,631,750
Interpublic Group of Companies,
Inc. .......................... 34,600 1,487,800
Knight-Ridder, Inc............... 40,600 2,159,413
McGraw-Hill, Inc. ............... 23,400 1,263,600
Mediaone Group, Inc.(d).......... 75,400 4,985,825
Meredith Corp. .................. 4,600 155,250
New York Times Co. (Class "A"
Stock)......................... 22,600 892,700
R.R. Donnelley & Sons, Co. ...... 219,400 4,950,212
Time Warner, Inc.(d) ............ 291,900 22,184,400
Tribune Co. ..................... 41,500 1,452,500
Viacom, Inc. (Class "B"
Stock)(a)...................... 248,438 16,940,366
Walt Disney Co.(d) .............. 464,500 18,028,406
--------------
90,176,247
--------------
METAL - STEEL -- 0.1%
Allegheny Teldyne, Inc. ......... 12,650 227,700
Bethlehem Steel Corp.(a)......... 20,700 73,744
Nucor Corp. ..................... 11,800 391,613
USX Corp. -- U.S. Steel Group.... 121,000 2,246,062
Worthington Industries, Inc. .... 9,700 101,850
--------------
3,040,969
--------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B27
<PAGE> 43
FLEXIBLE MANAGED PORTFOLIO (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
COMMON STOCKS SHARES (NOTE 2)
(CONTINUED) ----------- --------------
<S> <C> <C>
METALS-NON FERROUS -- 0.2%
Alcan Aluminum Ltd.(d) .......... 26,100 $ 809,100
Alcoa, Inc. ..................... 293,488 8,511,152
I Ltd. .......................... 23,000 353,625
--------------
9,673,877
--------------
MINERAL RESOURCES
Homestake Mining Co. ............ 34,300 235,812
Phelps Dodge Corp. .............. 10,953 407,315
--------------
643,127
--------------
MISCELLANEOUS BASIC INDUSTRY -- 0.1%
Crane Co. ....................... 7,600 184,775
Ecolab, Inc. .................... 14,500 566,406
ITT Industries, Inc. ............ 11,300 343,238
Millipore Corp. ................. 6,000 452,250
Pall Corp. ...................... 17,200 318,200
PPG Industries, Inc. ............ 20,400 903,975
Textron, Inc. ................... 18,600 1,010,212
W.W. Grainger, Inc. ............. 11,200 345,100
Wolverine Tube, Inc.(a).......... 2,300 39,100
--------------
4,163,256
--------------
MISCELLANEOUS CONSUMER GROWTH -- 0.2%
American Greetings Corp. (Class
"A" Stock)..................... 7,300 138,700
Black & Decker Corp. ............ 11,100 436,369
Minnesota Mining & Manufacturing
Co.(d)......................... 90,500 7,466,250
SMM Trust........................ 5,600 320,250
--------------
8,361,569
--------------
OFFICE EQUIPMENT & SUPPLIES -- 0.1%
Avery Dennison Corp. ............ 13,600 912,900
Office Depot, Inc.(a)............ 44,700 279,375
Pitney Bowes, Inc. .............. 33,600 1,344,000
Staples, Inc.(a)................. 60,000 922,500
Unisys Corp.(a).................. 36,600 532,988
Xerox Corp. ..................... 80,900 1,678,675
--------------
5,670,438
--------------
OIL & GAS -- 3.5%
Amerada Hess Corp. .............. 10,400 642,200
Anadarko Petroleum Corp.(d) ..... 15,300 754,481
Ashland Oil, Inc. ............... 8,700 305,044
Burlington Resources, Inc. ...... 24,500 937,125
Chevron Corp. ................... 150,500 12,764,281
Coastal Corp. ................... 55,200 3,360,300
Conoco, Inc. (Class "B" Stock)... 106,224 2,609,127
Eastern Enterprises, Inc. ....... 3,300 207,900
Exxon Mobil Corp. ............... 763,158 59,907,903
Kerr-McGee Corp. ................ 12,409 731,355
McDermott International, Inc. ... 1,475,600 13,003,725
NICOR, Inc. ..................... 5,000 163,125
Occidental Petroleum Corp. ...... 44,100 928,856
PG&E Corp. ...................... 110,900 2,730,913
Phillips Petroleum Co. .......... 133,000 6,741,438
Pioneer Natural Resources
Co.(a)......................... 686,431 8,751,995
Royal Dutch Petroleum Co. ....... 476,400 29,328,375
Sunoco, Inc. .................... 11,100 326,756
</TABLE>
<TABLE>
<CAPTION>
VALUE
COMMON STOCKS SHARES (NOTE 2)
(CONTINUED) ----------- --------------
<S> <C> <C>
OIL & GAS (CONT'D.)
Texaco, Inc.(d) ................. 218,800 $ 11,651,100
Transocean Sedco Forex, Inc. .... 26,235 1,401,933
Union Pacific Resources Group,
Inc. .......................... 32,200 708,400
Unocal Corp. .................... 30,800 1,020,250
USX- Marathon Corp. ............. 132,100 3,310,756
Western Gas Resources, Inc. ..... 262,800 5,518,800
--------------
167,806,138
--------------
OIL & GAS DRILLING -- 0.1%
Global Marine, Inc.(a)........... 67,600 1,905,475
Nabors Industries, Inc. ......... 42,100 1,749,781
--------------
3,655,256
--------------
OIL & GAS SERVICES -- 0.6%
Apache Corp. .................... 59,100 3,475,819
Baker Hughes, Inc. .............. 79,140 2,532,480
BJ Services Co. ................. 42,300 2,643,750
Enron Corp. ..................... 126,800 8,178,600
ENSCO International, Inc. ....... 39,500 1,414,594
Halliburton Co. ................. 55,300 2,609,469
ONEOK, Inc. ..................... 5,000 129,688
Rowan Companies, Inc.(a)......... 13,900 422,212
Schlumberger Ltd................. 71,600 5,343,150
Smith International, Inc.(a)..... 36,500 2,657,656
Tosco Corp. ..................... 12,200 345,412
--------------
29,752,830
--------------
PHARMACEUTICALS -- 0.8%
American Home Products Corp. .... 159,400 9,364,750
Bristol-Myers Squibb Co. ........ 449,600 26,189,200
--------------
35,553,950
--------------
PHOTOGRAPHY -- 0.1%
Eastman Kodak Co. ............... 62,800 3,736,600
Polaroid Corp. .................. 3,700 66,831
--------------
3,803,431
--------------
PRECIOUS METALS
Barrick Gold Corp. (ADR)
(Canada)....................... 46,900 852,994
Freeport-McMoRan Copper & Gold,
Inc. (Class "B" Stock)(a)...... 22,100 204,425
Newmont Mining Corp. ............ 20,600 445,475
Placer Dome, Inc. ............... 39,600 378,675
--------------
1,881,569
--------------
PROFESSIONAL SERVICES
CSG Systems International,
Inc. .......................... 12,500 700,781
--------------
PUBLISHING
Houghton Mifflin Co. ............ 300 14,006
--------------
RAILROADS -- 0.2%
Burlington Northern Santa Fe
Corp. ......................... 56,500 1,295,969
CSX Corp. ....................... 25,900 548,756
Kansas City Southern Industries,
Inc. .......................... 61,800 5,480,887
Norfolk Southern Corp. .......... 48,900 727,388
Union Pacific Corp. ............. 29,400 1,093,312
--------------
9,146,312
--------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B28
<PAGE> 44
FLEXIBLE MANAGED PORTFOLIO (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
COMMON STOCKS SHARES (NOTE 2)
(CONTINUED) ----------- --------------
<S> <C> <C>
RESTAURANTS -- 0.1%
Darden Restaurants, Inc. ........ 13,400 $ 217,750
McDonald's Corp.(d) ............. 164,800 5,428,100
Tricon Global Restaurants,
Inc.(a)........................ 20,100 567,825
Wendy's International, Inc. ..... 15,700 279,656
--------------
6,493,331
--------------
RETAIL -- 3.0%
Albertson's, Inc. ............... 55,361 1,840,753
AutoZone, Inc.(a)................ 16,000 352,000
Bed Bath & Beyond, Inc.(a)....... 116,000 4,205,000
Best Buy Co., Inc.(a)............ 133,900 8,469,175
Charming Shoppes, Inc.(a)........ 144,200 734,519
Circuit City Stores, Inc. ....... 25,200 836,325
Consolidated Stores Corp.(a)..... 13,100 157,200
Costco Wholesale Corp.(b)........ 53,400 1,762,200
CVS Corp. ....................... 48,500 1,940,000
Dillard's, Inc. ................. 75,900 929,775
Dollar General Corp. ............ 41,500 809,250
Dollar Tree Stores, Inc.(a)...... 4,500 178,031
Federated Department Stores,
Inc.(a)(d)..................... 25,700 867,375
Great Atlantic & Pacific Tea Co.,
Inc. .......................... 5,200 86,450
Harcourt General, Inc. .......... 8,100 440,438
Home Depot, Inc. ................ 375,950 18,774,003
IKON Office Solutions, Inc. ..... 21,800 84,475
J.C. Penney Co., Inc. ........... 33,800 623,188
Kmart Corp.(a)(d)................ 271,800 1,851,637
Kohl's Corp.(a).................. 152,100 8,460,562
Kroger Co.(a).................... 103,500 2,283,469
Liz Claiborne, Inc. ............. 8,000 282,000
Longs Drug Stores, Inc. ......... 4,300 93,525
May Department Stores Co. ....... 40,050 961,200
Nike, Inc. ...................... 44,600 1,775,637
Nordstrom, Inc. ................. 17,400 419,775
Radioshack Corp. ................ 23,800 1,127,525
Reebok International Ltd. ....... 9,100 145,031
Rite Aid Corp.(d) ............... 31,600 207,375
Safeway, Inc.(a)................. 61,400 2,770,675
Sears, Roebuck & Co.(d) ......... 139,400 4,547,925
Sherwin-Williams Co. ............ 22,500 476,719
Supervalu, Inc. ................. 15,300 291,656
Target Corp. .................... 95,200 5,521,600
The Gap, Inc. ................... 102,900 3,215,625
The Limited, Inc. ............... 188,680 4,080,205
Tiffany & Co. ................... 1,000 67,500
TJX Companies, Inc. ............. 35,800 671,250
Toys 'R' Us, Inc.(a)............. 128,700 1,874,194
Wal-Mart Stores, Inc............. 970,800 55,942,350
Walgreen Co. .................... 122,800 3,952,625
Winn-Dixie Stores, Inc. ......... 19,500 279,094
--------------
144,389,311
--------------
RUBBER -- 0.1%
B.F. Goodrich Co. ............... 14,000 476,875
Cooper Tire & Rubber Co. ........ 8,600 95,675
Goodyear Tire & Rubber Co. ...... 80,000 1,600,000
--------------
2,172,550
--------------
</TABLE>
<TABLE>
<CAPTION>
VALUE
COMMON STOCKS SHARES (NOTE 2)
(CONTINUED) ----------- --------------
<S> <C> <C>
SEMICONDUCTORS -- 2.9%
Applied Materials, Inc.(a)(d).... 235,200 $ 21,315,000
Conexant Systems, Inc. .......... 23,200 1,128,100
Intel Corp. ..................... 715,700 95,680,144
KLA Instruments Corp.(a)......... 22,000 1,288,375
Linear Technology Corp. ......... 75,500 4,827,281
MIPS Technologies, Inc. ......... 4,351 167,529
National Semiconductor
Corp.(a)....................... 35,900 2,037,325
Semtech Corp.(a)................. 14,700 1,124,320
Vitesse Semiconductor Corp.(a)... 64,300 4,730,069
Xilinx, Inc.(a).................. 80,400 6,638,025
--------------
138,936,168
--------------
TELECOMMUNICATIONS -- 5.5%
ADC Telecommunications,
Inc.(a)(d)..................... 79,600 6,676,450
AFLAC, Inc. ..................... 33,200 1,525,125
Alltel Corp. .................... 49,900 3,090,681
Andrew Corp.(a).................. 12,300 412,819
AT&T Corp. ...................... 625,072 19,767,902
Bell Atlantic Corp.(d) .......... 369,700 18,785,381
BellSouth Corp. ................. 439,200 18,720,900
Broadcom Corp.(a)................ 4,000 799,930
CenturyTel, Inc. ................ 14,500 416,875
Global Crossing Ltd. ............ 90,960 2,393,385
GTE Corp. ....................... 120,400 7,494,900
Lucent Technologies, Inc. ....... 542,630 32,150,828
MCI Worldcom, Inc. .............. 391,255 17,948,823
Motorola, Inc.(d) ............... 360,205 10,468,458
Nextel Communications, Inc.
(Class "A" Stock)(a)(b)........ 88,800 5,433,450
Nortel Networks Corp............. 649,200 44,307,900
Polycom, Inc. ................... 16,400 1,543,138
Powerwave Technologies, Inc. .... 51,300 2,257,200
Qualcomm, Inc.................... 91,500 5,490,000
SBC Communications, Inc. ........ 783,350 33,879,887
Scientific-Atlanta, Inc. ........ 28,300 2,108,350
Sprint Corp. .................... 219,000 11,169,000
Sprint Corp. (PCS Group)(d)...... 105,300 6,265,350
Tellabs, Inc.(a)................. 50,100 3,428,719
US West, Inc. ................... 62,641 5,371,466
--------------
261,906,917
--------------
TEXTILES
National Service Industries,
Inc. .......................... 4,900 95,550
Russell Corp. ................... 5,900 118,000
Springs Industries, Inc. ........ 3,300 105,600
VF Corp. ........................ 16,700 397,669
--------------
716,819
--------------
TOBACCO -- 0.3%
Philip Morris Companies, Inc. ... 369,200 9,806,875
R.J. Reynolds Tobacco Holdings,
Inc. .......................... 127,233 3,554,572
UST, Inc. ....................... 21,800 320,187
--------------
13,681,634
--------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B29
<PAGE> 45
FLEXIBLE MANAGED PORTFOLIO (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
COMMON STOCKS SHARES (NOTE 2)
(CONTINUED) ----------- --------------
<S> <C> <C>
TRUCKING & SHIPPING -- 0.1%
Federal Express Corp.(a)......... 36,100 $ 1,371,800
Ryder System, Inc. .............. 4,700 89,006
Sabre Group Holdings, Inc. ...... 73,547 2,096,090
Yellow Corp.(a).................. 153,500 2,264,125
--------------
5,821,021
--------------
UTILITIES - ELECTRIC -- 0.8%
AES Corp.(a)(d).................. 50,200 2,290,375
Ameren Corp...................... 15,500 523,125
American Electric Power Co.,
Inc.(d)........................ 40,980 1,214,032
Calpine Corp.(a)................. 43,900 2,886,425
CMS Energy Corp. ................ 16,200 358,425
Consolidated Edison, Inc. ....... 25,900 767,288
Constellation Energy Group....... 18,800 612,175
CP&L Energy, Inc. ............... 18,400 587,650
Dominion Resources, Inc. ........ 29,018 1,244,147
DTE Energy Co.(d) ............... 17,000 519,563
Duke Energy Corp. ............... 177,700 10,017,837
Edison International............. 42,800 877,400
Entergy Corp. ................... 117,110 3,183,928
FirstEnergy Corp.(a)............. 29,000 677,875
FPL Group, Inc. ................. 22,100 1,093,950
GPU, Inc. ....................... 13,400 362,638
New Century Energies, Inc. ...... 15,000 450,000
Niagara Mohawk Holdings,
Inc.(a)........................ 24,300 338,681
Northern States Power Co. ....... 19,900 401,731
PECO Energy Co. ................. 87,500 3,527,344
Public Service Enterprise Group,
Inc. .......................... 27,100 938,338
Reliant Energy, Inc. ............ 37,400 1,105,637
Southern Co...................... 136,100 3,172,831
TXU Corp. ....................... 35,900 1,059,050
Unicom Corp. .................... 25,800 998,137
--------------
39,208,582
--------------
WASTE MANAGEMENT
Allied Waste Industries,
Inc.(a)........................ 19,000 190,000
Waste Management, Inc. .......... 70,535 1,340,165
--------------
1,530,165
--------------
TOTAL COMMON STOCKS
(cost $2,353,527,383)......................... 2,711,216,209
--------------
<CAPTION>
PREFERRED STOCK -- 0.5%
<S> <C> <C>
FINANCIAL SERVICES
Central Hispano Eurocapital (cost
$25,440,000),.................. 1,000 25,000,000
--------------
<CAPTION>
WARRANT
<S> <C> <C>
Mexico Debenture (cost $0)....... 31,074 0
--------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
MOODY'S AMOUNT VALUE
LONG-TERM RATING (000) (NOTE 2)
BONDS -- 31.1% ----------- ----------- --------------
<S> <C> <C> <C>
AEROSPACE -- 0.1%
Northrop Grumman Corp.,
7.88%, 03/01/26...... Baa3 $ 5,300 $ 5,023,817
--------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
LONG-TERM MOODY'S AMOUNT VALUE
BONDS RATING (000) (NOTE 2)
(CONTINUED) ----------- ----------- --------------
<S> <C> <C> <C>
AIRLINES -- 1.4%
Continental Airlines,
Inc.,
7.46%, 04/01/15...... Aa3 $ 8,260 $ 7,907,532
Delta Airlines, Inc.,
7.90%, 12/15/09(d)... Baa3 23,800 22,243,480
United Airlines, Inc.,
10.67%, 05/01/04..... Baa3 19,500 19,835,205
11.21%, 05/01/14..... Baa3 17,500 18,040,400
--------------
68,026,617
--------------
AUTOMOBILES & TRUCKS -- 0.5%
Lear Corp.,
7.96%, 05/15/05(d)... Ba1 11,740 10,918,200
Navistar International
Corp.,
7.00%, 02/01/03...... Baa3 11,500 10,982,500
8.00%, 02/01/08(d)... Ba2 2,360 2,165,300
--------------
24,066,000
--------------
BANKS AND SAVINGS & LOANS -- 1.1%
Bank of Nova Scotia,
(Canada),
6.50%, 07/15/07...... A1 5,400 5,103,000
Bank Tokyo Mitsubishi
Ltd.,
8.40%, 04/15/10...... A3 2,500 2,525,750
Chase Manhattan Corp.,
7.88%, 06/15/10...... A1 1,000 998,000
Key Bank NA,
5.80%, 04/01/04...... Aa3 20,000 18,900,000
National Australia
Bank,
6.40%, 12/10/07...... A1 8,700 8,580,375
Sanwa Finance Aruba,
8.35%, 07/15/09...... Baa1 7,120 7,088,387
Sovereign Bancorp,
10.25%,
05/15/04(d).......... Ba3 2,670 2,632,861
10.50%,
11/15/06(d)........ Ba3 3,955 3,955,000
--------------
49,783,373
--------------
CONSULTING -- 0.5%
Comdisco, Inc.,
6.32%, 11/27/00...... Baa1 19,000 18,913,360
6.38%, 11/30/01...... Baa1 2,700 2,612,493
--------------
21,525,853
--------------
CABLE & PAY TELEVISION SYSTEMS -- 0.3%
British Sky
Broadcasting, Inc.,
6.88%, 02/23/09...... Baa3 2,090 1,836,086
Cox Communications,
Inc.,
6.94%, 10/01/01...... Baa2 4,000 3,988,840
CSC Holdings, Inc.,
7.88%, 12/15/07...... Ba1 3,025 2,926,778
7.25%, 07/15/08...... Ba1 5,500 5,084,475
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B30
<PAGE> 46
FLEXIBLE MANAGED PORTFOLIO (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL
LONG-TERM MOODY'S AMOUNT VALUE
BONDS RATING (000) (NOTE 2)
(CONTINUED) ----------- ----------- --------------
<S> <C> <C> <C>
CABLE & PAY TELEVISION SYSTEMS (CONT'D.)
Rogers Cablesystems,
Inc., (Canada),
10.00%, 03/15/05.... Ba1 $ 2,000 $ 2,045,000
--------------
15,881,179
--------------
CHEMICALS -- 0.1%
Lyondell Chemical,
9.63%, 05/01/07..... Ba3 1,625 1,608,750
Monsanto Co.,
6.50%, 12/01/18..... A2 1,550 1,366,356
6.75%, 12/15/27..... A1 3,715 3,332,615
--------------
6,307,721
--------------
CONTAINERS -- 0.6%
Owens-Illinois, Inc.,
7.15%, 05/15/05...... Ba1 26,250 23,995,650
Pactiv Corp.,
7.95%, 12/15/25...... Baa3 7,050 6,324,062
--------------
30,319,712
--------------
DIVERSIFIED OPERATIONS -- 0.2%
Corning, Inc.,
6.85%, 03/01/29 A2 5,000 4,257,450
Cox Enterprises, Inc.,
6.63%, 06/14/02...... Baa1 5,200 5,113,420
--------------
9,370,870
--------------
DRUGS & MEDICAL SUPPLIES -- 0.3%
Columbia/HCA Healthcare
Corp.,
6.91%, 06/15/05(d)... Ba2 4,990 4,528,425
Mallinckrodt, Inc.,
6.30%, 03/15/11...... Baa2 8,000 7,880,000
Tenet Healthcare Corp.,
7.88%, 01/15/03...... Ba1 3,805 3,700,363
--------------
16,108,788
--------------
FINANCIAL SERVICES -- 3.5%
AT&T Capital Corp.,
6.60%, 05/15/05...... A1 16,000 15,057,120
Calair Capital Corp.,
8.13%, 04/01/08...... Ba2 4,920 4,231,200
Capital One Bank Corp.,
6.76%, 07/23/02...... Baa2 7,500 7,288,875
Capital One Financial
Corp.,
7.25%, 05/01/06...... Baa3 3,400 3,111,000
Citibank Credit Card
Master Trust I
6.10%, 05/15/08...... Aaa 11,000 10,298,750
ERAC USA Finance Co.,
6.95%, 03/01/04...... Baa1 7,500 7,221,750
Ford Motor Credit
Corp.,
7.38%, 10/28/09...... A2 2,500 2,418,175
6.70%, 07/16/04...... A2 3,450 3,342,567
7.50%, 03/15/05(d)... A2 5,700 5,671,785
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
LONG-TERM MOODY'S AMOUNT VALUE
BONDS RATING (000) (NOTE 2)
(CONTINUED) ----------- ----------- --------------
<S> <C> <C> <C>
FINANCIAL SERVICES (CONT'D)
General Motors
Acceptance Corp.,
5.95%, 03/14/03...... A2 $ 21,500 $ 20,677,625
Heller Financial, Inc.,
6.00%, 03/19/04(d)... A3 4,900 4,585,616
HVB Funding Trust,
9.00%, 10/22/31...... Aa3 1,400 1,328,740
KBC Bank Funding Trust
III,
9.86%, 11/29/49...... A1 2,500 2,558,000
Lehman Brothers
Holdings, Inc.,
6.38%, 05/07/02...... A3 2,100 2,050,608
6.63%, 04/01/04...... A3 10,000 9,543,900
MBNA Master Credit Card
Trust,
5.90%, 08/15/11...... Aaa 29,800 26,972,518
Osprey Trust,
8.31%, 01/15/03...... Baa2 20,000 20,068,000
RBF Finance Co.,
11.38%, 03/15/09..... Ba3 2,615 2,824,200
Sakura Capital Funding
(Cayman Islands),
7.04%, 09/29/49...... Ba1 5,000 4,850,000
Salomon Smith Barney,
Inc.,
6.13%, 01/15/03...... Aa3 1,000 966,610
Textron Financial
Corp.,
6.05%, 03/16/09...... Aaa 3,370 3,351,505
Washington Mutual,
Inc.,
7.50%, 08/15/06...... A3 7,000 6,792,660
--------------
165,211,204
--------------
FOOD & BEVERAGE -- 0.1%
Coca-Cola Bottling Co.,
6.38%, 05/01/09...... Baa2 3,500 3,201,345
--------------
FOREST PRODUCTS -- 0.7%
Fort James Corp.,
6.23%, 03/15/11...... Baa2 11,000 10,900,230
Scotia Pacific Co.,
7.71%, 01/20/14...... Baa2 29,500 20,207,500
--------------
31,107,730
--------------
HOUSING RELATED -- 0.4%
Hanson, PLC, ADR,
(United Kingdom),
7.375%, 01/15/03..... A3 17,400,000 17,289,162
--------------
INDUSTRIAL -- 0.2%
Allied Waste North
America, Inc.,
7.63%, 01/01/06...... Ba3 2,840 2,485,000
Cendant Corp.,
7.75%, 12/01/03...... Baa1 2,000 1,922,600
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B31
<PAGE> 47
FLEXIBLE MANAGED PORTFOLIO (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL
LONG-TERM MOODY'S AMOUNT VALUE
BONDS RATING (000) (NOTE 2)
(CONTINUED) ----------- ----------- --------------
<S> <C> <C> <C>
INDUSTRIAL (CONT'D.)
Compania Sud Americana
de Vapores, S.A.,
(Chile),
7.38%, 12/08/03...... NA $ 3,650 $ 3,504,000
--------------
7,911,600
--------------
INSURANCE -- 0.1%
Conseco, Inc.,
8.50%, 10/15/02...... Ba1 1,500 1,110,000
8.70%, 11/15/26...... Ba3 4,100 1,783,500
--------------
2,893,500
--------------
LEISURE & TOURISM -- 0.5%
Harrahs Operating Co.,
Inc.,
7.88%, 12/15/05...... Ba2 600 564,000
HMH Properties, Inc.,
7.88%, 08/01/05(d)... Ba2 6,560 6,199,200
ITT Corp.,
6.75%, 11/15/03...... Ba1 14,000 13,137,740
Park Place
Entertainment Corp.,
7.88%, 12/15/05(d)... Ba2 5,030 4,728,200
9.38%, 02/15/07...... Ba2 1,360 1,360,000
--------------
25,989,140
--------------
MEDIA -- 0.3%
Paramount
Communications, Inc.,
7.50%, 01/15/02...... Baa1 9,100 9,070,243
United News & Media
PLC,
7.25%, 07/01/04...... Baa2 3,180 3,070,608
--------------
12,140,851
--------------
OIL & GAS -- 0.3%
Amerada Hess Corp.,
7.38%, 10/01/09(d)... Baa1 900 874,701
7.88%, 10/01/29...... Baa1 2,500 2,444,525
B.J. Services Co.,
7.00%, 02/01/06...... Baa2 4,000 3,836,760
Eott Energy Partners,
11.00%, 10/01/09..... Ba2 3,935 3,994,025
Phillips Petroleum Co.,
8.50%, 05/25/05(d)... Baa2 4,750 4,907,130
--------------
16,057,141
--------------
OIL & GAS EXPLORATION/PRODUCTION -- 0.1%
Parker & Parsley
Petroleum Co.,
8.88%, 04/15/05...... Ba2 3,100 3,024,081
--------------
OIL & GAS SERVICES -- 0.7%
KN Energy, Inc.,
6.30%, 03/01/21...... Baa2 30,000 29,767,800
Seagull Energy Co.,
7.88%, 08/01/03...... Ba1 3,750 3,637,500
--------------
33,405,300
--------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
LONG-TERM MOODY'S AMOUNT VALUE
BONDS RATING (000) (NOTE 2)
(CONTINUED) ----------- ----------- --------------
<S> <C> <C> <C>
PAPER -- 0.6%
International Paper
Co.,
8.00%, 07/08/03...... Baa1 $ 30,000 $ 30,156,900
--------------
PRINTING -- 0.1%
World Color Press,
Inc.,
8.38%, 11/15/08...... Baa3 1,500 1,410,000
7.75%, 02/15/09...... Baa3 4,960 4,526,000
--------------
5,936,000
--------------
RAILROADS -- 0.1%
Union Pacific Corp.,
7.95%, 04/15/29...... Baa3 3,700 3,669,512
--------------
REAL ESTATE INVESTMENT TRUST -- 1.5%
Duke Realty L.P.,
7.30%, 06/30/03...... Baa1 4,350 4,269,525
EOP Operating, L.P.,
6.38%, 01/15/02...... NA 5,000 4,892,500
6.50%, 06/15/04...... Baa1 6,000 5,708,520
6.63%, 02/15/05...... Baa1 18,187 17,181,986
ERP Operating, L.P.,
7.10%, 06/23/04...... NA 2,375 2,303,180
Felcor Suites L.P.,
7.38%, 10/01/04...... Ba2 24,200 21,659,000
Simon Debartolo Group,
Inc.,
6.75%, 06/15/05...... Baa1 17,500 16,395,050
--------------
72,409,761
--------------
RETAIL -- 0.1%
Kroger Co.,
7.25%, 06/01/09...... Baa3 6,000 5,520,000
--------------
TELECOMMUNICATIONS -- 3.8%
360 Communication Co.,
7.13%, 03/01/03...... A2 23,776 23,398,437
7.60%, 04/01/09...... A2 12,885 12,504,248
Airtouch
Communications, Inc.,
7.00%, 10/01/03...... A2 16,800 16,514,400
Clear Channel
Communications,
7.88%, 06/15/05(d)... Baa3 1,600 1,608,512
Deutsche Telekom
International,
7.75%, 06/15/05...... Aa2 5,000 5,025,000
8.00%, 06/15/10...... Aa2 10,000 10,070,000
8.25%, 06/15/30...... Aa2 8,475 8,560,598
Electric Lightwave,
Inc.,
6.05%, 05/15/04...... A2 5,300 4,935,625
Global Crossing
Holdings Ltd.,
9.13%, 11/15/06...... Ba2 8,970 8,633,625
LCI International,
Inc.,
7.25%, 06/15/07...... Ba1 18,030 17,071,345
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B32
<PAGE> 48
FLEXIBLE MANAGED PORTFOLIO (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL
LONG-TERM MOODY'S AMOUNT VALUE
BONDS RATING (000) (NOTE 2)
(CONTINUED) ----------- ----------- --------------
<S> <C> <C> <C>
TELECOMMUNICATIONS (CONT'D.)
Qwest Communications
International, Inc.,
7.50%, 11/01/08...... Baa1 $ 14,500 $ 13,992,500
Rogers Cantel, Inc.,
(Canada),
9.38%, 06/01/08...... Baa3 4,830 4,974,900
Tele-Communications,
Inc.,
6.34%, 02/01/12 A2 8,500 8,363,150
Telecom De Puerto Rico,
6.15%, 05/15/02...... Baa2 10,500 10,185,000
6.65%, 05/15/06(d)... Baa2 10,700 9,937,625
6.80%, 05/15/09...... NA 9,000 8,223,750
Williams Communications
Group, Inc.,
10.70%, 10/01/07..... B2 4,100 4,079,500
Worldcom, Inc.,
7.88%, 05/15/03(d)... A3 4,000 4,040,000
8.00%, 05/15/06...... A3 5,000 5,056,250
8.25%, 05/15/10...... A3 1,600 1,641,296
--------------
178,815,761
--------------
UTILITIES -- 1.4%
AES Corp.,
9.50%, 06/01/09...... Ba1 9,080 8,898,400
Calenergy Co., Inc.,
6.96%, 09/15/03...... Baa3 15,000 14,629,950
Calpine Corp.,
10.50%, 05/15/06..... Ba1 8,330 8,704,850
CMS Energy Corp.,
8.00%, 07/01/11...... Ba3 7,200 7,067,520
Cogentrix, Inc.,
8.10%, 03/15/04...... Ba1 5,775 5,567,331
El Paso Energy,
6.63%, 07/15/01...... Baa2 6,000 5,947,320
Entergy Louisiana,
Inc.,
8.50%, 06/01/03...... Baa2 5,000 5,044,000
Hydro-Quebec,
8.00%, 02/01/13 A2 1,500 1,559,970
PSEG Energy Holdings,
Inc.,
10.00%, 10/01/09..... Ba1 5,370 5,437,125
Utilicorp United, Inc.,
7.00%, 07/15/04...... Baa3 5,000 4,775,650
7.63%, 11/15/09...... Baa3 650 612,866
--------------
68,244,982
--------------
WASTE MANAGEMENT -- 0.3%
Waste Management, Inc.,
6.13%, 07/15/01...... Ba1 15,695 15,156,975
--------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
LONG-TERM MOODY'S AMOUNT VALUE
BONDS RATING (000) (NOTE 2)
(CONTINUED) ----------- ----------- --------------
<S> <C> <C> <C>
U.S. GOVERNMENT & AGENCY OBLIGATIONS -- 10.0%
United States Treasury
Bonds,
8.75%, 05/15/17(d)... $ 72,848 $ 91,754,241
8.75%, 05/15/20(d)... 24,000 30,806,160
8.13%, 08/15/21(d)... 45,000 54,977,400
7.63%, 11/15/22(d)... 60,400 70,668,000
7.13%, 02/15/23(d)... 50,700 56,348,487
7.50%, 11/15/24(d)... 38,800 45,214,028
6.13%, 08/15/29(d)... 990 999,900
6.25%, 05/15/30(d)... 2,450 2,579,008
United States Treasury
Notes,
6.88%, 05/15/06(d)... 2,400 2,470,128
6.63%, 05/15/07(d)... 84,500 86,269,430
6.00%, 08/15/09(d)... 1,980 1,964,219
6.50%, 02/15/10(d)... 28,936 29,926,190
United States Treasury
Strips,
zero, 02/15/19(d).... 10,500 3,353,700
--------------
477,330,891
--------------
FOREIGN GOVERNMENT BONDS -- 1.2%
Comunidad Autonoma De
Andalucia,
7.25%, 10/01/29...... Aa3 840 807,408
Quebec Hydro, (Canada),
7.50%, 04/01/16...... A2 800 796,288
Quebec Province,
(Canada),
7.00%, 01/30/07...... A2 1,200 1,176,624
Republic of Argentina,
zero, 10/15/01....... B1 7,625 6,557,500
Republic of
Philippines,
8.88%, 04/15/08...... Ba1 5,400 4,860,000
Saskatchewan Province,
(Canada),
9.13%, 02/15/21 A1 2,300 2,658,869
United Mexican States,
10.38%,
02/17/09(d).......... Baa3 15,500 16,662,500
9.88%, 02/01/10(d)... Baa3 4,000 4,140,000
6.93%, 12/31/19...... Baa3 3,550 3,487,875
6.94%, 12/31/19...... Baa3 6,900 6,779,250
5.87%, 12/31/19...... Baa3 9,750 9,579,375
--------------
57,505,689
--------------
TOTAL LONG-TERM BONDS
(cost $1,510,867,563),............................. 1,479,391,455
--------------
TOTAL LONG-TERM INVESTMENTS
(cost $3,889,834,946),............................. 4,215,607,664
--------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B33
<PAGE> 49
FLEXIBLE MANAGED PORTFOLIO (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL
SHORT-TERM MOODY'S AMOUNT VALUE
INVESTMENTS -- RATING (000) (NOTE 2)
24.9% ----------- ----------- --------------
<S> <C> <C> <C>
COMMERCIAL PAPER -- 19.4%
Abbey National Treasury
Services PLC,
5.67%, 07/13/00...... P1 $ 7,000 $ 7,365,590
Alcoa, Inc.,
7.30%, 07/05/00...... P1 500 499,595
Allianz of America
Finance(c),
6.60%, 07/18/00...... P1 10,000 9,972,500
American Electric
Power(c),
6.83%, 07/21/00...... P1 40,000 39,863,400
American Express Co.,
6.80%, 07/06/00...... P1 1,900 1,898,205
6.68%, 07/07/00...... P1 700 699,221
6.60%, 07/10/00...... P1 900 898,515
Aon Corp.,
6.60%, 07/06/00...... P1 7,133 7,126,462
Associates Corp. of
North America,
6.80%, 07/12/00...... P1 3,000 2,993,767
6.80%, 08/25/00...... P1 450 450,259
AT&T Corp.,
6.55%, 07/13/00...... P1 1,000 997,817
6.62%, 07/20/00...... P1 1,200 1,195,807
Barton Capital Corp.,
6.73%, 07/14/00...... P1 10,000 9,975,697
6.77%, 07/14/00...... P1 20,000 19,951,106
6.62%, 07/26/00...... P1 3,700 3,682,990
Baus Funding LLC,
6.82%, 07/07/00...... P1 20,000 19,977,267
6.77%, 07/14/00...... P1 5,400 5,386,798
BCI Funding Corp,
6.54%, 07/10/00...... P1 5,000 4,991,825
Black Forest Corp.,
6.57%, 07/05/00...... P1 3,200 3,197,664
6.58%, 07/05/00...... P1 2,500 2,498,172
Bombardier Capital,
Inc.,
6.84%, 07/28/00(c)... P1 29,000 28,862,250
6.90%, 08/23/00(c)... P1 15,000 14,853,375
Canadian Imperial Bank
of Commerce,
6.58%, 07/12/00...... P1 49,077 49,077,000
Citicorp,
6.55%, 07/10/00(c)... P1 15,000 14,980,895
6.55%, 07/27/00(c)... P1 20,000 19,912,666
6.60%, 08/10/00...... P1 2,000 1,985,333
Comdisco, Inc,
6.80%, 07/28/00(c)... P1 8,000 7,962,222
Conagra, Inc.,
6.85%, 07/07/00(c)... P1 16,000 15,987,822
Cooper Industries,
Inc.,
7.05%, 07/05/00...... P1 5,400 5,395,770
Countrywide Funding
Corp.,
6.92%, 07/05/00...... P1 1,200 1,199,077
Dexia Bank Grand
Cayman,
7.13%, 07/03/00...... P1 3,736 3,736,000
7.125%, 07/03/00(c).. P1 90,000 90,000,000
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
SHORT-TERM MOODY'S AMOUNT VALUE
INVESTMENTS RATING (000) (NOTE 2)
(CONTINUED) ----------- ----------- --------------
<S> <C> <C> <C>
COMMERCIAL PAPER (CONT'D.)
Dow Chemical & Company,
Inc.,
7.00%, 07/03/00...... P1 $ 5,114 $ 5,112,010
Duke Capital Corp.,
7.25%, 07/05/00(c)... P1 38,216 38,200,608
Enterprise Funding
Corp.,
6.70%, 07/21/00...... P1 2,582 2,572,389
Ford Motor Credit
Corp.,
6.63%, 07/10/00...... P1 1,600 1,597,349
6.70%, 07/10/00...... P1 1,600 1,597,320
Forrestal Funding
Master,
6.62%, 08/04/00...... P1 4,280 4,253,241
G.E. Capital Intl.
Funding,
6.52%, 07/17/00(c)... P1 30,000 29,923,935
General Electric
Capital Corp.,
6.55%, 07/05/00...... P1 1,556 1,554,867
6.60%, 07/13/00...... P1 1,700 1,696,260
6.70%, 07/18/00...... P1 1,754 1,748,450
General Motors
Acceptance Corp.,
6.55%, 07/18/00...... P1 328 326,986
Goldman Sachs Group
L.P.,
6.54%, 07/13/00(b)... P1 5,000 4,989,100
GTE Corp.,
6.65%, 07/10/00...... P1 20,600 20,565,752
6.62%, 07/13/00...... P1 2,754 2,747,923
6.63%, 08/09/00(c)... P1 10,000 9,931,859
6.65%, 08/11/00...... P1 5,000 4,962,132
Halliburton Corp.,
6.55%, 07/05/00...... P1 100 99,927
Heinz Co.,
6.65%, 07/20/00...... P1 1,000 996,490
Heller Financial, Inc.,
6.75%, 07/18/00(c)... P1 50,000 49,859,376
6.75%, 07/21/00(c)... P1 40,000 39,865,000
Homeside Lending,
6.65%, 07/25/00...... P1 3,593 3,577,071
International Business
Machines Corp.,
6.58%, 07/07/00...... P1 1,350 1,348,520
6.90%, 07/07/00...... P1 2,700 2,696,895
Keyspan Corp.,
6.82%, 07/28/00(c)... P1 25,800 25,677,808
Morgan Stanley Dean
Witter,
6.58%, 07/27/00...... P1 3,052 3,037,496
National Rural
Utilities Cooperative
Finance,
6.80%, 07/11/00...... P1 1,242 1,239,654
Nike, Inc.,
6.55%, 07/17/00...... P1 2,200 2,193,595
6.68%, 07/17/00...... P1 1,595 1,590,265
Northern Rock PLC,
6.60%, 07/14/00...... P1 14,000 13,966,633
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B34
<PAGE> 50
FLEXIBLE MANAGED PORTFOLIO (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL
SHORT-TERM MOODY'S AMOUNT VALUE
INVESTMENTS RATING (000) (NOTE 2)
(CONTINUED) ----------- ----------- --------------
<S> <C> <C> <C>
COMMERCIAL PAPER (CONT'D.)
Novartis Finance Corp.,
6.83%, 07/14/00...... P1 $ 2,800 $ 2,793,094
Old Line Funding Corp.,
6.57%, 07/17/00(c)... P1 9,875 9,849,769
Phillips Petroleum Co.,
6.83%, 07/31/00(c)... P1 48,000 47,745,013
Procter & Gamble Co.,
6.85%, 07/06/00...... P1 1,500 1,498,573
PSE&G Fuel Corp.,
7.30%, 07/06/00(c)... P1 43,000 43,000,000
Scotiabanc, Inc.,
6.62%, 07/26/00...... P1 2,751 2,738,353
Southern Co.,
6.65%, 07/19/00(c)... P1 9,360 9,332,336
Sprint Capital Corp.,
7.00%, 07/28/00(c)... P1 15,000 14,927,083
Suntrust Grand Cayman,
7.00%, 07/03/00(c)... P1 45,607 45,607,000
Sweetwater Capital,
6.55%, 07/05/00...... P1 4,928 4,924,414
Target Corp.,
7.10%, 07/05/00(c)... P1 35,000 34,986,194
Thunder Bay Funding,
Inc.,
6.56%, 07/06/00...... P1 6,916 6,909,699
6.60%, 07/06/00...... P1 3,100 3,097,158
Transamerica Fin.
Corp.,
6.60%, 07/17/00(c)... P1 13,000 12,966,633
Triple-A One Plus
Funding,
6.70%, 07/24/00...... P1 4,921 4,899,936
Westdeutsche
Landesbank,
7.06%, 07/03/00...... P1 3,200 3,200,000
--------------
923,979,233
--------------
OTHER CORPORATE
OBLIGATIONS -- 3.1%
Donaldson, Lufkin &
Jenrette,
5.74%, 05/01/01...... A3 10,000 9,884,500
ERAC USA Finance Co.,
6.35%, 01/15/01...... Baa1 21,000 20,821,500
ERP Operating, L.P.,
6.63%, 10/13/00...... A3 9,200 8,648,552
HRPT Properties Trust,
7.52%, 07/10/00...... NA 2,000 2,000,000
ITT Corp.,
6.25%, 11/15/00...... Ba1 5,183 5,135,368
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
SHORT-TERM MOODY'S AMOUNT VALUE
INVESTMENTS RATING (000) (NOTE 2)
(CONTINUED) ----------- ----------- --------------
<S> <C> <C> <C>
OTHER CORPORATE OBLI-
GATIONS (CONT'D.)
Kroger Co.,
6.34%, 06/01/01...... Baa3 $ 10,450 $ 10,267,125
Lockheed Martin Corp.,
6.85%, 05/15/01...... Baa3 400 398,016
MCN Investment Corp.,
6.30%, 10/02/00...... Baa3 8,250 8,119,650
Niagara Mohawk Power
Corp.,
7.00%, 10/01/00...... Ba2 18,902 18,877,115
Raytheon Co.,
5.95%, 03/15/01...... Baa2 12,000 11,859,960
Seagram (J.) & Sons,
5.79%, 04/15/01...... Baa3 20,000 19,728,000
TRW, Inc.,
6.45%, 06/15/01...... Baa1 32,800 32,308,000
--------------
148,047,786
--------------
REPURCHASE AGREEMENT -- 2.1%
Joint Repurchase
Agreement Account
6.49%, 07/03/00 (Note
5)................... 97,471 97,471,000
--------------
U.S. GOVERNMENT OBLIGATIONS -- 0.3%
United States Treasury
Bill
5.64%, 09/21/00...... 12,950 12,783,636
--------------
TOTAL SHORT-TERM INVESTMENTS
(cost $1,192,925,956).............................. 1,182,281,655
--------------
TOTAL INVESTMENTS BEFORE INVESTMENT SOLD
SHORT -- 113.6%
(cost $5,082,760,902; Note 6)...................... 5,397,889,319
--------------
INVESTMENT SOLD SHORT -- (.1%)
United States Treasury Note, 6.75%,
05/15/05 (proceeds $3,224,344)....... (3,165) (3,238,681)
--------------
TOTAL INVESTMENTS, NET OF INVESTMENT SOLD
SHORT -- 113.5% (cost $5,079,536,558; Note 6)...... 5,394,650,638
--------------
VARIATION MARGIN ON OPEN FUTURES CONTRACTS(e).......
1,592,491
--------------
OTHER LIABILITIES IN EXCESS OF OTHER
ASSETS -- (13.5)%.................................. (641,909,951)
--------------
TOTAL NET ASSETS -- 100.0%.......................... $4,754,333,178
==============
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B35
<PAGE> 51
FLEXIBLE MANAGED PORTFOLIO (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
The following abbreviations are used in portfolio descriptions:
<TABLE>
<S> <C>
AG Aktiengesellschaft (German Stock Company)
ADR American Depository Receipt
L.P. Limited Partnership
PLC Public Limited Company
SA Sociedad Anomia (Spanish Corporation) or Societe
Anonyme (French Corporation)
</TABLE>
(a) Non-income producing security.
(b) Security segregated as collateral for futures contracts.
(c) Represents security purchased with cash collateral received for securities
on loan.
(d) Portion of securities on loan with an aggregate market value of
$648,016,591; cash collateral of $654,267,744 was received with which the
portfolio purchased securities.
(e) Open Future Contracts as of June 30, 2000 were as follows:
<TABLE>
<CAPTION>
NUMBER OF EXPIRATION VALUE AT VALUE AT APPRECIATION/
CONTRACTS TYPE DATE TRADE DATE JUNE 30, 2000 DEPRECIATION
<C> <S> <C> <C> <C> <C>
Long Position:
39 U.S. 5 yr Treasury Note Sep 00 $ 3,783,000 $ 3,861,609 $ 78,609
40 S&P 500 Index Sep 00 14,977,000 14,681,000 (296,000)
589 S&P 500 Index Sep 00 219,082,750 216,177,725 (2,905,025)
-----------
$(3,122,416)
===========
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B36
<PAGE> 52
HIGH YIELD BOND PORTFOLIO
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
LONG-TERM INVESTMENTS -- 90.7% PRINCIPAL
MOODY'S INTEREST MATURITY AMOUNT VALUE
RATING RATE DATE (000) (NOTE 2)
CORPORATE BONDS -- 77.6% ------- -------- ---------- --------- ------------
<S> <C> <C> <C> <C> <C>
AEROSPACE -- 0.9%
American Commercial Lines LLC, Sr. Notes.................. B1 10.25% 06/30/08 $ 3,000 $ 2,460,000
BE Aerospace, Inc., Sr. Sub. Notes, AB.................... B1 9.50% 11/01/08 1,000 920,000
Compass Aerospace Corp., Sr. Sub. Notes................... Caa3 10.125% 04/15/05 750 112,500
Continental Airlines, Inc., Sr. Notes..................... Ba2 8.00% 12/15/05 1,850 1,711,546
Delta Air Lines, Inc., Sr. Notes.......................... Baa3 8.30% 12/15/29 700 612,045
Stellex Industries, Inc. Sr. Sub. Notes(d)................ B3 9.50% 11/01/07 4,000 800,000
United Air Lines, Inc., Sr. Notes......................... Baa3 9.75% 08/15/21 185 180,373
------------
6,796,464
------------
AUTOMOTIVE PARTS -- 1.5%
AM General Corp., Sr. Notes............................... B3 12.875% 05/01/02 3,375 2,970,000
Collins & Aikman Products, Sr. Sub. Notes................. B2 11.50% 04/15/06 720 689,400
Eagle Picher Holdings, Inc., Sr. Sub. Notes............... B3 9.375% 03/01/08 1,750 1,470,000
Hayes Lemmerz Int'l., Inc., Sr. Sub. Notes................ B2 8.25% 12/15/08 800 672,000
Hayes Wheels Int'l., Inc., Sr. Sub. Notes, Ser. B......... B2 9.125% 07/15/07 1,000 897,187
Standyne Automotive Corp., Sr. Sub. Notes, Ser. B......... Caa1 10.25% 12/15/07 2,000 1,680,000
Tenneco Automotive, Inc., Sr. Sub. Notes.................. B2 11.625% 10/15/09 1,860 1,655,400
United Rentals, Inc., Sr. Sub. Notes...................... B1 8.80% 08/15/08 1,370 1,198,750
------------
11,232,737
------------
BANKS -- 0.4%
Sovereign Bancorp, Sr. Notes.............................. Ba3 10.25% 05/15/04 1,235 1,217,821
Sovereign Bancorp, Sr. Notes.............................. Ba3 6.625% 03/15/01 795 783,075
Sovereign Bancorp, Sr. Notes.............................. Ba3 10.50% 11/15/06 1,265 1,265,000
------------
3,265,896
------------
BROADCASTING & OTHER MEDIA -- 4.6%
Ackerley Group, Inc., Sr. Sub. Notes, Ser. B ............. B2 9.00% 01/15/09 3,000 2,730,000
Alliance Atlantis Communications, Inc., Sr. Sub. Notes ... B2 13.00% 12/15/09 1,670 1,711,750
American Lawyer Media Holdings, Inc., Sr. Disc. Notes,
Zero Coupon (until 12/15/02)............................ B3 12.25% 12/15/08 3,000 1,920,000
Capstar Broadcasting Partners, Inc., Sr. Sub. Notes....... B1 9.25% 07/01/07 875 872,813
Globo Communicacoes, Sr. Notes (Brazil)................... B2 10.50% 12/20/06 1,300 1,131,000
Imax Corp., Sr. Notes .................................... Ba2 7.875% 12/01/05 325 300,625
Liberty Group Publishing, Inc., Sr. Disc. Notes, Zero
Coupon (until 02/01/03)................................. Caa1 11.625% 02/01/09 240 117,600
Lin Holdings Corp., Sr. Disc. Notes Zero Coupon (until
03/01/03)............................................... B3 10.00% 03/01/08 1,950 1,282,125
Mail-Well I Corp., Sr. Sub. Notes ........................ B1 8.75% 12/15/08 4,750 4,037,500
Phoenix Color Corp., Sr. Sub. Notes ...................... B3 10.375% 02/01/09 4,000 3,590,000
Radio Unica, Sr. Disc. Notes, Zero Coupon (until
08/01/02)............................................... NR 11.75% 08/01/06 2,750 1,773,750
Spectrasite Holdings, Inc., Sr. Sub. Notes................ B1 8.50% 05/15/09 1,900 1,021,250
Spectrasite Holdings, Inc., Sr. Disc. Notes Zero Coupon
(until 04/15/04)........................................ B3 11.25% 04/15/09 900 511,875
Sullivan Graphics Inc., Sr. Sub. Notes ................... Caa 12.75% 08/01/05 4,500 4,567,500
Susquehanna Media Co., Sr. Sub. Notes .................... B1 8.50% 05/15/09 1,800 1,710,000
TV Azteca S.A. De CV, Sr. Notes, (Mexico)................. B1 10.50% 02/15/07 2,850 2,515,125
XM Satellite Radio Holdings Inc., Sr. Notes............... NR 14.00% 03/15/10 4,505 3,964,400
------------
33,757,313
------------
BUILDING & RELATED INDUSTRIES -- 2.0%
Ainsworth Lumber Ltd., Bonds, PIK......................... B2 12.50% 07/15/07 4,625 4,625,000
Building Materials Corp., Sr. Sub., Notes................. Ba3 7.75% 07/15/05 265 218,625
Collins & Aikman Floorcovering Sr. Sub. Notes............. B3 10.00% 01/15/07 500 490,000
Engle Homes, Inc., Sr. Notes.............................. B1 9.25% 02/01/08 2,300 1,932,000
ICF Kaiser Int'l., Inc., Sr. Sub. Notes(d)................ B3 13.00% 12/31/03 4,450 2,047,000
Lennar Corp., Sr. Notes................................... Ba1 9.95% 05/01/10 345 340,688
New Millenium Homes, Sr. Notes(d)......................... NR 13.50% 09/03/04 3,000 2,340,000
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B37
<PAGE> 53
HIGH YIELD BOND PORTFOLIO (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL
MOODY'S INTEREST MATURITY AMOUNT VALUE
RATING RATE DATE (000) (NOTE 2)
CORPORATE BONDS (CONTINUED) ------- -------- ---------- --------- ------------
<S> <C> <C> <C> <C> <C>
BUILDING & RELATED INDUSTRIES (CONT'D.)
Nortek, Inc. Sr. Notes, Ser. B............................ B1 9.125% 09/01/07 $ 2,770 $ 2,562,250
Webb (Del E.) Sr. Sub. Deb................................ B2 9.375% 05/01/09 425 355,937
------------
14,911,500
------------
CABLE -- 7.6%
Adelphia Communications Corp., Sr. Notes, PIK............. B3 9.50% 02/15/04 43 39,784
Adelphia Communications Corp., Sr. Notes.................. B2 9.25% 10/01/02 6,000 5,880,000
Adelphia Communications Corp., Sr. Notes.................. B2 10.50% 07/15/04 500 500,000
Avalon Cable Holdings Sr. Disc. Notes Zero Coupon (until
12/01/03)............................................... Caa 11.875% 12/01/08 6,000 3,900,000
Century Communications Corp., Sr. Notes................... B1 9.50% 03/01/05 8,500 8,138,750
Charter Communications Holdings LLC, Sr. Notes............ B2 8.625% 04/01/04 4,855 2,755,212
Classic Cable Inc., Sr. Sub. Notes........................ B3 10.50% 03/01/10 1,390 1,278,800
Classic Cable, Inc., Sr. Sub. Notes....................... B3 9.375% 08/01/09 1,095 952,650
Coaxial Communications, Inc. Sr. Notes.................... B3 10.00% 08/15/06 1,250 1,193,750
Diamond Cable Communications, Sr. Disc. Notes Zero Coupon
(until 02/15/02) (United Kingdom)....................... B3 6.75% 02/15/07 4,000 3,080,000
International Cabletel, Inc. Sr. Disc. Notes.............. B3 12.75% 04/15/05 6,100 6,237,250
Mediacom LLC., Sr. Notes.................................. Ba2 7.875% 02/15/11 2,000 1,750,000
Multicanal S.A., Bonds.................................... Ba3 13.125% 04/15/09 2,400(e) 2,304,000
NTL, Inc., Sr. Notes, Zero Coupon (until 10/01/03) ....... B3 12.375% 10/01/08 3,750 2,418,750
NTL, Inc., Sr. Notes, Zero Coupon (until 04/01/03)........ B3 9.75% 04/01/08 2,000 1,240,000
Northeast Optic Sr. Notes................................. NR 12.75% 08/15/08 2,005 1,864,650
Rogers Cablesystems Ltd. Gtd. Notes....................... B2 11.00% 12/01/15 235 253,800
Scott Cable Communications, Inc. Jr. Sub., PIK............ NR 16.00% 07/18/02 108 32,400
Star Choice Communications, Sr. Sec'd. Notes (Canada)..... B3 13.00% 12/15/05 3,000 3,075,000
Telewest Communications PLC, Sr. Disc. Deb., Zero Coupon
(until 2/01/05) (United Kingdom)........................ B1 9.25% 02/1/10 3,570 1,953,500
United International Holdings, Inc., Sr. Disc. Notes, Zero
Coupon (until 02/15/03)................................. B3 10.75% 02/15/08 4,750 3,313,125
United Pan Europe Communications, Sr. Disc. Notes......... B2 11.25% 11/01/09 4,125 3,568,125
------------
55,729,546
------------
CHEMICALS -- 1.8%
Avecia Group Plc, Sr. Notes............................... B2 11.00% 07/01/09 2,595 2,543,100
Huntsman ICI Chemical, Sr. Sub Notes...................... B2 10.13% 07/1/09 3,265 3,281,325
Lyondell Chemical Co. Sr. Sub Notes....................... Ba3 10.875% 05/01/09 2,625 2,605,312
NL Industries, Inc., Sr. Notes............................ B1 11.75% 10/15/03 885 902,700
Sterling Chemicals, Inc., Sr. Sub Notes................... B3 12.375% 07/15/06 690 707,250
Sterling Chemicals, Inc., Sr. Sub Notes................... B3 11.75% 08/15/06 2,630 2,130,300
Texas Petrochemicals Corp., Sr. Sub Notes................. B3 11.125% 07/01/06 1,460 1,219,100
------------
13,389,087
------------
CONSUMER PRODUCTS -- 0.8%
Consumers International, Inc., Sr. Notes.................. B3 10.25% 04/01/05 3,125 1,593,750
Electronic Retailing Systems Int'l., Sr. Disc. Notes (b)
(cost $1,868,753; purchased 2/29/00).................... NR 13.25% 02/01/04 2,000 420,000
Radnor Holdings, Inc., Sr. Notes.......................... B2 10.00% 12/01/03 1,750 1,526,875
Windmere-Durable Holdings, Inc., Sr. Notes................ B3 10.00% 07/31/08 2,000 1,960,000
------------
5,500,625
------------
CONTAINERS -- 2.5%
Ball Corp., Sr. Sub. Notes ............................... B2 8.25% 08/01/08 500 468,125
Gaylord Container Corp. Sr. Notes ........................ B 9.75% 06/15/07 2,100 1,638,000
Owens Illinois Inc. Sr. Deb Notes ........................ Ba1 7.50% 05/15/10 340 294,868
Owens-Illinois, Inc., Sr., Notes.......................... Ba1 7.85% 05/15/04 2,000 1,914,660
Packaged Ice, Inc. Sr. Notes.............................. B3 9.75% 02/01/05 3,130 2,597,900
Silgan Holdings Inc. Sr. Sub Notes........................ NR 13.25% 07/15/06 3,149 3,369,430
Stone Container Corp., Sr. Sub Notes ..................... B2 11.50% 08/15/06 555 571,650
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B38
<PAGE> 54
HIGH YIELD BOND PORTFOLIO (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL
MOODY'S INTEREST MATURITY AMOUNT VALUE
RATING RATE DATE (000) (NOTE 2)
CORPORATE BONDS (CONTINUED) ------- -------- ---------- --------- ------------
<S> <C> <C> <C> <C> <C>
CONTAINERS (CONT'D.)
Stone Container Corp., Sr. Sub Notes...................... B2 10.75% 10/01/02 $ 490 $ 494,900
Stone Container Corp., Sr. Sub. Notes..................... B2 12.58% 08/01/16 250 260,000
Stone Container Corp., Sr. Sub. Notes .................... B3 12.25% 04/01/02 6,800 6,851,000
------------
18,460,533
------------
DRUGS & HEALTH CARE -- 3.9%
Abbey Healthcare Group, Inc. Sr. Notes.................... B3 9.50% 11/01/02 1,890 1,833,300
BIO Rad Laboratories, Inc., Sr. Sub Notes ................ B2 11.625% 02/15/07 1,070 1,103,438
Columbia/HCA Healthcare Corp., Sr. Notes ................. Ba2 8.36% 04/15/24 2,000 1,770,000
Columbia/HCA Healthcare Corp. Sr. Notes................... Ba2 7.50% 11/15/95 2,570 1,959,625
Columbia/HCA Healthcare Corp., Sr. Notes ................. Ba2 6.63% 07/15/45 1,000 952,210
Concentra Operating Corp., Sr. Sub. Notes................. B3 13.00% 08/15/09 1,936 1,635,075
Dade Int'l., Inc. Sr. Sub Notes........................... B2 11.125% 05/01/06 3,845 2,114,750
Fresnius Medical Care, Sr. Notes.......................... NR 7.875% 02/01/08 2,250 2,013,750
Harborside Healthcare Corp., Sr. Sub Disc. Notes Zero
Coupon (until 08/01/03)................................. B3 11.00% 08/01/08 2,500 500,000
Healthsouth Corp., Sr. Notes.............................. Baa3 6.875% 06/15/05 1,905 1,652,949
ICN Pharmaceuticals, Inc. Sr. Sub. Notes.................. Ba3 6.875% 11/15/08 3,250 3,152,500
Integrated Health Svcs., Inc. Sr. Sub. Notes(d)........... C 9.25% 01/15/08 3,250 65,000
Lifepoint Hospitals Holdings, Inc. Sr. Sub. Notes......... B3 10.75% 05/15/09 675 693,563
Magellan Health Services, Inc. Sr. Sub. Notes............. Caa1 9.00% 02/15/08 7,000 3,570,000
Mariner Post Acute Network, Inc. Sr. Sub Disc. Notes(d)
Zero Coupon (until 11/01/02)............................ C 10.50% 11/01/07 5,520 34,500
Team Health Inc., Sr. Sub. Notes.......................... B3 12.00% 03/15/09 3,250(e) 2,713,750
Tenet Healthcare Corp., Sr. Sub. Notes, Ser. B............ Ba3 8.125% 12/01/08 430 392,375
Triad Hospitals Holding Sr. Sub. Notes.................... B3 11.00% 05/15/09 2,555 2,615,681
------------
28,772,466
------------
ENERGY -- 3.7%
Applied Power, Inc., Sr. Sub. Notes....................... B1 8.75% 04/01/09 1,450 1,500,750
CMS Energy Corp. Sr. Notes................................ Ba3 7.50% 01/15/09 1,125 1,009,687
DI Industries, Inc. Sr. Notes............................. B1 8.875% 07/01/07 2,020 1,908,900
Eott Energy Partners LP, Sr. Notes........................ Ba2 11.00% 10/01/09 710 720,650
Gothic Production Corp., Sr. Notes........................ B3 11.125% 05/01/05 1,045 982,300
Great Lakes Carbon Corp. Sr. Sub. Notes................... B3 10.25% 05/15/08 2,000 1,600,000
Key Energy Group, Inc. Ser. D............................. NR 5.00% 09/15/04 3,500 2,756,250
Parker Drilling Co., Sr. Notes, Ser. D.................... B1 9.75% 11/15/06 3,005 2,987,337
RBF Finance Co., Sr. Sec'd. Notes......................... Ba3 11.375% 03/15/09 2,600 2,808,000
RBF Finance Co., Sr. Sec'd Notes dates: 08/23/99 through
10/06/99)............................................... Ba3 11.00% 03/15/06 2,410 2,584,725
R & B Falcon Corp., Sr. Notes............................. Ba3 12.25% 03/15/06 935 1,023,825
Seven Seas Petroleum, Inc. Sr. Sub. Notes, Ser. B......... Caa1 12.50% 05/15/05 1,500 375,000
Tesoro Petroleum Corp. Sr. Sub Notes...................... B1 9.00% 07/01/08 3,000 2,857,500
Universal Compression Holdings, Sr. Disc. Notes Zero
Coupon (until 02/15/03)................................. B2 9.875% 02/15/08 1,750 1,251,250
York Power Funding, Sr. Sec'd. Notes (Cayman Islands)..... Ba3 12.00% 10/30/07 3,000 2,940,000
------------
27,306,174
------------
ENTERTAINMENT -- 1.1%
Alliance Atlantis Sr. Sub Notes........................... NR 13.00% 12/15/09 1,000 1,025,000
Circus Enterprises, Inc. Sr. Notes........................ Baa3 6.45% 02/01/06 1,220 1,051,445
Circus Enterprises, Inc. Sr. Notes........................ Baa3 6.70% 11/15/96 1,680 1,540,341
Harrahs Entertainment, Inc. Sr. Sub. Gtd., Notes.......... Ba2 7.875% 12/15/05 250 235,000
Park Place Entertainment Corp. Sr. Sub. Notes............. Ba2 9.375% 02/15/07 485 485,000
SFX Entertainment Inc. Sr. Sub. Notes..................... B3 9.125% 12/01/08 3,500 3,535,000
TVN Entertainment Corp. Sr. Notes......................... NR 14.00% 08/01/08 1,135 454,000
------------
8,325,786
------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B39
<PAGE> 55
HIGH YIELD BOND PORTFOLIO (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL
MOODY'S INTEREST MATURITY AMOUNT VALUE
RATING RATE DATE (000) (NOTE 2)
CORPORATE BONDS (CONTINUED) ------- -------- ---------- --------- ------------
<S> <C> <C> <C> <C> <C>
FINANCIAL SERVICES -- 1.4%
AmeriCredit Corp., Sr. Notes.............................. B1 9.25% 02/01/04 $ 1,350(e) $ 1,309,500
AmeriCredit Corp., Sr. Notes.............................. B1 9.875% 04/15/06 3,000 2,940,000
Calair Capital Corp., Sr. Notes........................... Ba2 8.125% 04/01/08 400 344,000
Delta Financial Corp., Sr. Notes.......................... Caa2 9.50% 08/01/04 1,075 483,750
Hanvit Bank, Sr. Sub Notes................................ B1 12.75% 03/01/10 2,000 1,980,000
Metris Companies, Inc., Gtd. Notes........................ Ba3 10.125% 07/15/06 3,000 2,850,000
------------
9,907,250
------------
FOOD & BEVERAGE -- 3.0%
Advantica Restaurant Group, Inc. Sr. Notes ............... B3 11.25% 01/15/08 4,342 2,909,455
Agrilink Foods, Inc. Sr., Gtd. Notes...................... B3 11.875% 11/01/08 2,260 1,808,000
Ameriking, Inc. Sr. Notes................................. B3 10.75% 12/01/06 1,000 830,000
Aurora Foods, Inc. Sr. Sub. Notes......................... Caa1 9.875% 02/15/07 1,310 759,800
Carrols Corp. Sr. Notes .................................. B2 9.50% 12/01/08 2,885 2,394,550
CKE Restaurants, Inc., Gtd. Notes......................... B1 9.125% 05/01/09 2,250 1,552,500
Del Monte Foods Co., Sr. Disc. Notes, Zero Coupon (until
12/15/02)............................................... Caa1 12.50% 12/15/07 456 344,280
Fresh Foods, Inc., Bonds.................................. B3 10.75% 06/01/06 2,300 1,426,000
Grupo Azucarero, Sr. Notes (Mexico)(d).................... B3 11.50% 01/15/05 2,900 783,000
Premium Standard Farms, Sr. Sec'd. Notes, PIK(b) (cost
$284,644, purchased 02/25/99)........................... NR 11.00% 09/17/03 285 289,626
Pilgrim's Pride Corp. Sr. Sub Notes....................... B1 10.875% 08/01/03 1,919 1,933,393
Purina Mills, Inc. Sr. Sub. Notes(b)(d)
(cost $3,489,680; purchased 01/07/99 and 01/08/99)...... Ca 9.00% 03/15/10 3,500 1,015,000
Sbarro, Inc., Sr. Notes................................... Ba3 11.00% 09/15/09 1,260 1,282,050
SFC New Holdings, Inc. Sr. Notes, PIK..................... Ba3 11.25% 08/15/01 2,096 2,033,120
SFC Sub, Inc. Deb Notes, Zero Coupon (until 06/15/05)..... NR 11.00% 12/15/09 465 470,000
Stater Brothers Holdings, Sr. Notes....................... B2 10.75% 08/15/06 2,020 1,777,600
Vlasic Foods Int'l, Inc., Sr. Sub Notes................... Caa1 10.25% 07/01/09 1,875 693,750
------------
22,302,124
------------
GAMING -- 2.8%
Alliance Gaming Corp., Sr. Sub. Notes, Ser. B............. Caa1 10.00% 08/01/07 1,350 526,500
Aztar Corp., Sr. Sub. Notes............................... B2 8.875% 05/15/07 1,250 1,168,750
Boyd Gaming Corp., Sr. Sub. Notes......................... B1 9.50% 07/15/07 1,085 1,041,600
Casino Magic Corp., First Mtge. Bonds..................... B1 13.00% 08/15/03 3,750 3,993,750
Coast Hotels & Casinos, Inc., Sr. Sub. Notes.............. B3 9.50% 04/01/09 600 573,000
Fitzgeralds Gaming Corp., Sr. Notes(d) (b) (cost
$2,271,503; purchased 12/22/97)......................... B3 12.25% 12/15/04 2,375 1,306,250
Hollywood Park, Inc. Sr. Sub Notes........................ B2 9.25% 02/15/07 3,500 3,491,250
Harveys Casino Resorts Sr. Sub. Notes..................... B2 10.625% 06/01/06 2,960 3,019,200
Station Casinos, Inc., Sr. Sub. Notes..................... B1 10.125% 03/15/06 260 261,300
Station Casinos, Inc., Sr. Sub. Notes..................... B1 9.875% 07/01/10 1,605 1,613,025
Trump Atlantic City Assoc., First Mtge. Notes............. B3 11.25% 05/01/06 630 441,000
Venetian Casino Resort LLC, Gtd. Notes.................... NR 12.25% 11/15/04 2,880 2,908,800
------------
20,344,425
------------
INDUSTRIAL -- 1.4%
International Wireless Group, Inc. Sr. Sub Notes.......... NR 11.75% 06/01/05 700 703,500
International Wireless Group, Inc. Sr. Sub Notes(c)....... B3 11.75% 06/01/05 3,000 3,015,000
Kaiser Aluminum & Chemical Corp., Sr. Sub Notes........... NR 9.88% 02/15/02 250 240,000
Motors & Gears, Inc., Sr. Notes........................... B3 10.75% 11/15/06 3,500 3,395,000
Neenah Corp. Sr. Sub Notes................................ B3 11.125% 05/01/07 250 191,250
Thermadyne Holdings Sr. Disc. Notes Zero Coupon (until
06/01/03)............................................... Caa1 12.50% 06/01/08 2,375 855,000
Thermadyne Manufacturing Sr. Sub. Notes................... B3 9.875% 06/01/08 2,500 1,925,000
------------
10,324,750
------------
LEISURE -- 0.9%
Bally Health & Tennis Corp., Sr. Sub. Notes............... B3 9.875% 10/15/07 3,855 3,527,325
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B40
<PAGE> 56
HIGH YIELD BOND PORTFOLIO (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL
MOODY'S INTEREST MATURITY AMOUNT VALUE
RATING RATE DATE (000) (NOTE 2)
CORPORATE BONDS (CONTINUED) ------- -------- ---------- --------- ------------
<S> <C> <C> <C> <C> <C>
LEISURE (CONT'D.)
ITT Corp. Sr. Sub. Notes, Ser. B.......................... Ba1 7.375% 11/15/15 $ 1,250 $ 1,035,700
Premier Parks, Inc. Sr. Notes............................. B3 9.75% 06/15/07 2,000 1,925,000
------------
6,488,025
------------
LODGING -- 0.4%
Hilton Hotels, Sr. Notes.................................. Baa1 7.50% 12/15/17 285 240,115
HMH Properties, Inc. Sr. Notes Ser. C .................... Ba2 8.45% 12/01/08 3,350 3,082,000
------------
3,322,115
------------
MANUFACTURING -- 1.0%
Corning Consumer Prod. Co. Sr. Sub Notes.................. B3 9.625% 05/01/08 4,250 2,826,250
Gentek, Inc. Sr. Sub Notes................................ B2 11.00% 08/01/09 1,620 1,644,300
Polymer Group Inc., Sr. Sub Notes, Ser. B ................ B2 9.00% 07/01/07 570 484,500
Polymer Group, Inc., Sr. Sub Notes, Ser. B ............... B2 8.75% 03/01/08 855 718,200
Venture Holdings, Inc., Sr. Notes, Ser. B ................ B2 9.50% 07/01/05 2,270 1,657,100
------------
7,330,350
------------
MISCELLANEOUS -- 0.9%
Continental Global Group, Inc., Sr. Notes ................ B3 11.00% 04/01/07 2,320 580,000
Intersil Corp., Sr. Sub Notes............................. B3 13.25% 08/15/09 909 1,027,170
It Group, Inc., Sr. Sub Notes ............................ B3 11.25% 04/01/09 2,080 1,872,000
La Petite Academy, Inc., Sr. Notes ....................... B3 10.00% 05/15/08 1,250 737,500
MSX International, Inc., Gtd. Notes....................... B3 11.38% 01/15/08 1,750 1,653,750
Sun World International, Gtd. Notes ...................... B2 11.25% 04/15/04 270 251,100
USEC, Inc., Sr. Notes..................................... Ba1 6.75% 01/20/09 1,000 692,300
------------
6,813,820
------------
OIL & GAS -- 2.2%
Canadian First Oil, Ltd., Sr. Sub Notes .................. B2 8.75% 09/15/07 1,610 1,513,400
Clark USA, Inc., Sr. Notes................................ B3 10.875% 12/01/05 1,250 687,500
Comstock Resources, Inc., Sr. Notes ...................... B2 11.25% 05/01/07 4,500 4,556,250
Houston Exploration Co., Sr. Sub Notes.................... B2 8.625% 01/01/08 815 757,950
Leviathan Gas, Sr. Sub. Notes............................. Ba2 10.375% 06/01/09 2,000 2,035,000
Plains Resources, Inc., Sr. Sub. Notes ................... B2 10.25% 03/15/06 870 863,475
Snyder Oil Corp., Sr. Notes............................... Ba3 8.75% 06/15/07 1,000 990,000
Swift Energy Co., Sr. Sub. Notes ......................... B2 10.25% 08/01/09 2,015 2,035,150
Vintage Petroleum, Inc., Sr. Sub Notes ................... B1 9.75% 06/30/09 3,125 3,156,250
------------
16,594,975
------------
PAPER & PACKAGING -- 2.3%
AMM Holdings, Inc., Sr. Disc. Notes, Zero Coupon (until
07/01/03)............................................... Caa1 13.50% 07/01/09 6,000 300,000
APP International, Sr. Sec'd Notes........................ Ba3 11.75% 10/01/05 1,296 828,800
APP Int'l., Gtd. Notes ................................... B3 11.75% 10/01/05 2,600 1,820,000
Doman Industries Ltd., Sr. Notes ......................... Caa1 9.25% 11/15/07 270 199,800
Doman Industries Ltd., Sr. Notes ......................... Caa1 8.75% 03/15/04 2,915 2,244,550
Graham Packaging, Sr. Disc. Notes Zero Coupon (until
01/15/03) .............................................. Caa 10.75% 01/15/09 1,100 616,000
Maxxam Group, Inc., Sr. Notes............................. B3 12.00% 08/01/03 4,300 3,956,000
Repap New Brunswick, Inc. Sr. Sec'd Notes ................ B3 10.625% 04/15/05 4,805(e) 4,228,400
Riverwood Int'l., Corp., Gtd. Notes ...................... B3 10.25% 04/01/06 495(e) 470,250
Riverwood Int'l., Corp., Gtd. Notes ...................... B3 10.625% 08/01/07 455 443,625
Riverwood Int'l., Corp., Gtd. Notes ...................... Caa 10.875% 04/01/08 455 395,850
Sligan Holdings, Inc. Sub. Debs. PIK...................... NR 13.25% 07/15/06 1,250 1,185,250
------------
16,688,525
------------
REAL ESTATE -- 0.6%
CB Richards Ellis Svcs., Inc. Sr. Sub Notes .............. B1 8.875% 06/01/06 1,600 1,370,000
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B41
<PAGE> 57
HIGH YIELD BOND PORTFOLIO (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL
MOODY'S INTEREST MATURITY AMOUNT VALUE
RATING RATE DATE (000) (NOTE 2)
CORPORATE BONDS (CONTINUED) ------- -------- ---------- --------- ------------
<S> <C> <C> <C> <C> <C>
REAL ESTATE (CONT'D.)
Intrawest Corp., Sr. Notes................................ B1 10.50% 02/01/10 $ 1,275 $ 1,300,500
Saul B F Real Estate Investment Trust Sr. Sec'd Note...... NR 9.75% 04/01/08 1,750 1,518,125
------------
4,188,625
------------
RETAIL -- 2.5%
Big 5 Holdings Corp. Sr. Disc Notes, Zero Coupon (until
11/30/02) .............................................. NR 13.45% 11/30/08 1,500 735,000
Duane Reade, Inc., Sr. Sub Notes ......................... B3 9.25% 02/15/08 270 244,013
Franks Nursery & Crafts, Sr. Sub. Notes .................. Caa1 10.25% 03/01/08 2,100 756,000
French Fragrances, Inc., Sr. Notes, Ser. B ............... B2 10.375% 05/15/07 470 453,550
Kasper A.S.L Ltd., Sr. Notes.............................. NR 13.00% 03/31/04 7,171 4,876,280
Musicland Group, Inc., Gtd. Notes......................... B3 9.88% 03/15/08 4,600 4,186,000
Phar-Mor, Inc., Sr. Notes ................................ B3 11.72% 09/11/02 3,429 2,777,490
Phillips Van Heusen Corp., Sr. Sub. Notes................. B1 9.50% 05/01/08 1,250 1,137,500
Specialty Retailers, Inc., Gtd. Notes(d).................. Ca 8.50% 07/15/05 1,615 80,750
TNP Enterprises, Inc., Sr. Notes.......................... Ba3 10.25% 04/01/10 3,000 3,082,500
------------
18,329,083
------------
STEEL & METALS -- 1.9%
Alaska Steel Corp., Gtd. Notes............................ Ba2 7.875% 02/15/09 500 443,750
Algoma Steel, Inc., First Mtge. Notes..................... B2 12.375% 07/15/05 1,765 1,535,550
Golden Northwest Alum., Inc., First Mtge. Notes........... B2 9.00% 07/01/07 570 410,850
Kaiser Aluminum & Chemical Corp. Sr. Sub Notes............ B3 12.75% 02/01/03 4,000 3,670,000
LTV Corp. Sr. Notes....................................... Ba3 11.75% 11/15/09 1,450 1,232,500
National Steel Corp. Gtd. Sec'd First Mtge. Notes......... Ba3 9.875% 03/01/09 340 289,000
Renco Steel Holdings, Sr. Notes........................... NR 10.875% 02/01/05 500 410,000
Sheffield Steel Corp., First Mtge. Notes.................. NR 11.50% 12/01/05 3,500 2,450,000
Wheeling-Pittsburgh Corp., Sr. Notes...................... B2 9.25% 11/15/07 2,600 1,690,000
WHX Corp., Sr. Notes...................................... B3 10.50% 04/15/05 3,015 2,261,250
------------
14,392,900
------------
SUPERMARKETS -- 1.1%
Homeland Stores, Inc., Sr. Notes.......................... NR 10.00% 08/01/03 4,260 2,896,800
Pantry, Inc., Sr. Notes................................... B3 10.25% 10/15/07 2,615 2,471,175
Pathmark Stores, Inc. Sr. Sub Notes(d).................... B3 9.625% 05/01/03 4,215 2,950,500
------------
8,318,475
------------
TECHNOLOGY -- 0.8%
Ampex Corp., Sr. Notes.................................... NR 12.00% 03/15/03 5,000 5,025,000
Details Holding Corp., Sr. Disc. Notes, Zero Coupon (until
11/15/02)............................................... NR 12.50% 11/15/07 1,000 660,000
------------
5,685,000
------------
TEXTILES -- 1.4%
Burlington Inds., Inc. Sr. Notes.......................... Ba2 7.25% 08/01/27 1,000 660,000
Cluett American Corp., Sr. Sub Notes ..................... B3 10.125% 05/15/08 3,060 2,264,400
Foamex L.P., Sr. Sub Notes ............................... B3 9.875% 06/15/07 2,950 2,212,500
Simmons Co. Sr. Sub Notes, Ser. B......................... B3 10.25% 03/15/09 4,000 3,500,000
Steel Heddle Manufacturing Co., Sr. Sub. Notes............ Caa1 10.625% 06/01/06 2,000 700,000
Worldtex, Inc. Sr. Notes, Ser. B ......................... B1 9.625% 12/15/07 1,900 712,500
------------
10,049,400
------------
TELECOMMUNICATIONS -- 20%
Allegiance Telecommunications, Inc., Sr. Disc. Notes, Zero
Coupon
(until 02/15/03)........................................ NR 11.75% 02/15/08 3,300 2,392,500
Allegiance Telecommunications, Inc., Sr. Notes............ NR 12.875% 05/15/08 1,750 1,890,000
Birch Telecommunications, Inc., Sr. Notes................. NR 14.00% 06/15/08 2,500 2,425,000
Caprock Communications, Sr. Notes......................... Caa 12.00% 07/15/08 1,500 1,395,000
Cellnet Data Systems, Inc., Sr. Disc. Notes, Zero Coupon
(until 10/01/02)(b) (cost $2,566,560; purchased
01/26/99)............................................... NR 14.00% 10/01/07 3,680 257,600
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B42
<PAGE> 58
HIGH YIELD BOND PORTFOLIO (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL
MOODY'S INTEREST MATURITY AMOUNT VALUE
RATING RATE DATE (000) (NOTE 2)
CORPORATE BONDS (CONTINUED) ------- -------- ---------- --------- ------------
<S> <C> <C> <C> <C> <C>
TELECOMMUNICATIONS (CONT'D.)
Charter Communications Int'l., Sr. Notes.................. B2 10.25% 01/15/10 $ 2,235 $ 2,156,775
Charter Communications Int'l., Sr. Notes.................. B2 10.00% 01/15/10 4,000 2,270,000
Charter Communications Int'l., Sr. Notes.................. B2 10.00% 04/01/09 1,000 972,500
DTI Holdings, Inc. Sr. Disc. Notes Zero Coupon (until
03/01/03)............................................... NR 12.50% 03/01/08 1,000 421,250
Exodus Communications, Inc. Sr. Notes..................... NR 10.75% 12/15/09 1,680 1,621,200
Exodus Communications, Inc. Sr. Notes..................... NR 11.625% 07/15/10 4,280 4,301,400
Fairpoint Commerce Sr. Sub Notes.......................... B3 12.50% 05/01/10 2,120 2,141,200
Focal Communications Corp. Sr. Notes...................... B3 11.875% 01/15/10 650 654,875
Geotek Communications, Inc., Sr. Disc. Notes(d)........... Ca 15.00% 07/15/05 5,000 2,391,360
Global Crossing Holdings, Ltd. Sr. Notes.................. Ba2 9.13% 11/15/06 3,520 3,381,750
Globix Corp., Sr. Notes................................... NR 12.50% 02/01/10 3,400 2,805,000
GT Group Telecom Inc. Sr. Notes........................... Caa1 13.25% 02/01/05 6,725 3,698,750
Hyperion Telecommunications Inc., Sr. Disc Notes.......... B3 13.00% 04/15/03 2,205 2,028,600
Hyperion Telecommunications, Inc. Sr. Sec'd............... B3 12.25% 09/01/04 1,150 1,167,250
Impsat Corp. Gtd. Sr. Notes............................... B2 12.125% 07/15/03 2,235 1,989,150
Impsat Corp. Sr. Notes.................................... B3 12.375% 06/15/08 3,000 2,370,000
IPC Information Systems, Inc. Sr. Disc. Notes, Zero Coupon
(until 05/01/01)........................................ B3 10.875% 05/01/08 2,250 2,030,625
KMC Telecom Holdings Inc. Sr. Notes....................... NR 13.50% 05/15/09 1,985 1,707,100
Level 3 Communications, Inc. Sr. Disc Notes, Zero Coupon
(until 12/01/03) ....................................... B3 10.50% 12/01/08 4,760 2,903,600
Level 3 Communications, Inc. Sr. Notes.................... NR 10.50% 03/15/05 25,000 13,750,000
Level 3 Communications, Inc. Sr. Notes.................... B3 11.00% 03/15/08 615 608,850
Mcleodusa, Inc., Sr. Sub Notes Zero Coupon (until
03/01/02)............................................... B1 10.50% 03/01/07 2,765 2,231,625
McLeodusa, Inc., Sr. Sub Notes............................ B1 8.375% 03/15/08 150 136,500
Mcleodusa, Inc., Sr. Sub Notes............................ B1 8.125% 02/15/09 200 180,000
Metromedia Fiber Network, Inc., Sr. Notes ................ B2 10.00% 12/15/09 1,645 1,628,550
Microcell Telecommunications, Zero Coupon (until
06/01/04)............................................... B3 12.00% 06/01/09 5,500 3,616,250
Millicom International Cellular S.A Sr. Sub Disc. Notes... B3 12.00% 06/30/01 4,245 3,650,700
Netia Holdings Sr. Disc. Notes Zero Coupon (until
11/01/01)............................................... B2 11.25% 11/01/07 3,480 2,340,300
Netia Holdings Sr. Notes.................................. B2 10.25% 11/01/07 2,350 1,938,750
Nextel Communications, Inc. Sr. Sub Notes................. B1 9.375% 11/15/09 5,065 4,862,400
Nextel Communications, Inc. Sr. Sub Notes, Zero Coupon
(until 09/15/02)........................................ B1 10.65% 09/15/07 11,515 9,039,275
Nextel Partners, Inc. Sr. Disc. Notes, Zero Coupon (until
02/01/04)............................................... B3 14.00% 02/01/09 1,661 1,137,785
Nextlink Communications, Inc. Sr. Disc. Notes............. B2 10.75% 06/01/09 2,340 2,316,600
Nextlink Communications Inc. Sr. Notes ................... B2 10.50% 12/01/09 2,140 2,097,200
Price Communications Wireless, Inc. Sr. Sub Notes......... B2 11.75% 07/15/07 1,750 1,876,875
Primus Telecommunications Group, Sr. Notes ............... B3 12.75% 10/15/09 2,465 1,972,000
PSINet, Inc. Sr. Notes.................................... B3 11.00% 08/01/09 5,345 4,944,125
PTC Int'l. Corp., Gtd. Notes, Zero Coupon (until
07/01/02)............................................... B2 10.75% 07/01/07 1,250 887,500
RCN Corp. Sr. Notes....................................... B3 10.00% 10/05/07 17 435,765
RCN Corp. Sr. Notes ...................................... B3 10.125% 01/15/10 1,235 1,037,400
RSL Communications Plc, Sec'd Notes....................... B2 12.00% 11/01/08 1,000 730,000
RSL Communications Plc, Sr. Notes......................... B2 12.25% 11/15/06 1,500 1,230,000
SF Holdings Group, Inc. Sr. Notes......................... NR 10.25% 08/15/03 22 242,275
Telegroup Inc. Sr. Disc Notes(d) ......................... NR 10.50% 11/01/04 4,000 2,140,000
Tritel PCS, Inc., Sr. Disc. Notes, Zero Coupon (until
05/15/04)............................................... B3 12.75% 05/15/09 4,000 2,640,000
US Unwired Inc. Sr. Disc. Notes, Zero Coupon (until
11/01/04)............................................... Caa1 13.375% 11/01/09 7,340 3,981,950
US Xchange LLC. Sr. Notes................................. NR 15.00% 07/01/08 2,250 2,452,500
Verio, Inc. Sr. Notes..................................... B3 11.25% 12/01/08 210 235,725
Versatel Telecom Sr. Notes................................ Caa1 11.875% 07/15/09 625 615,625
Versatel Telecom Sr. Notes................................ Caa1 13.25% 05/15/08 2,000 2,040,000
Viasystems, Inc., Sr. Sub. Notes.......................... B3 9.75% 06/01/07 3,705 3,223,350
Viatel, Inc. Sr. Disc. Notes Zero Coupon (until
04/15/03)............................................... NR 12.50% 04/15/08 1,100 506,000
Viatel, Inc. Sr. Notes ................................... Caa1 11.25% 04/15/08 1,500 1,125,000
Viatel, Inc., Sr. Notes .................................. B3 11.50% 03/15/09 2,401 1,824,760
VoiceStream Wireless Corp. Sr. Disc. Notes................ B2 11.875% 11/15/09 10,515 6,992,475
VoiceStream Wireless Corp. Sr. Disc. Notes................ B2 10.375% 11/15/09 1,840 1,922,800
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B43
<PAGE> 59
HIGH YIELD BOND PORTFOLIO (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL
MOODY'S INTEREST MATURITY AMOUNT VALUE
RATING RATE DATE (000) (NOTE 2)
CORPORATE BONDS (CONTINUED) ------- -------- ---------- --------- ------------
<S> <C> <C> <C> <C> <C>
TELECOMMUNICATIONS (CONT'D.)
WamNet, Inc., Sr. Disc Notes, Zero Coupon (until
03/01/02)............................................... NR 13.25% 03/01/05 $ 500 $ 280,000
Williams Communications Group, Inc., Sr. Notes............ B2 10.875% 10/01/09 5,080 4,978,400
------------
147,221,795
------------
TRANSPORTATION -- 0.2%
Holt Group, Inc. Sr. Notes ............................... Caa3 9.75% 01/15/06 800 80,000
Kitty Hawk, Inc. Sr. Notes(d)............................. B1 9.95% 11/15/04 2,000 800,000
Trism, Inc., Sr. Notes ................................... NR 12.00% 02/15/05 83 59,389
Trism, Inc., Sr. Notes ................................... NR 12.00% 02/04/05 1,305 874,115
------------
1,813,504
------------
UTILITIES -- 0.7%
AES Corp., Sr. Sub Notes.................................. Ba1 9.50% 06/01/09 5,000 4,900,000
AES Corp., Sr. Sub. Notes................................. Ba1 8.875% 11/01/27 50 41,000
------------
4,941,000
------------
WASTE MANAGEMENT -- 1.3%
Allied Waste of North America, Inc., Sr. Sub Notes ....... Ba3 10.00% 08/01/09 1,310 1,100,400
Allied Waste of North America, Inc., Sr. Notes............ Ba3 7.875% 01/01/09 4,560 3,876,000
Allied Waste of North America, Inc., Sr. Notes............ Ba3 7.625% 01/01/06 3,250 2,843,750
GNI Group, Inc. Sr. Notes................................. Caa3 10.875% 07/15/05 4,000 800,000
Waste Management, Inc., Sr. Notes(b) (cost $912,342;
purchased 2/29/00)...................................... Ba1 6.375% 12/01/03 1,000 925,710
------------
9,545,860
------------
TOTAL CORPORATE BONDS
(cost $669,502,566)..................................................................................... 572,050,128
------------
CONVERTIBLE BONDS -- 0.4%
OIL/GAS
Key Energy Group, Inc. (cost $2,759,048).................. NR 5.00% 09/15/04 3,500 2,756,250
------------
<CAPTION>
SHARES
COMMON STOCK -- 5.1% ---------
<S> <C> <C> <C> <C> <C>
Callahan Nordrhein Westfalen.............................. 11,500 7,743,125
CD Radio, Inc............................................. 4,245 2,377,200
Classic Communications, Inc.(a)........................... 6,000 51,000
Dr. Pepper Bottling Holdings, Inc. (Class B)(a)(b) (cost
$5,226; purchased 10/21/88)............................. 5,807 145,175
Federal Mogul Corp. ...................................... 2,475 1,737,250
Flextronics International Ltd............................. 3,000 3,030,000
Fox Family Worldwide, Inc................................. 425 380,375
Intermediate Act Operating Co., Inc. ..................... 2,354 1,082,840
Lodgian Financing Corp.................................... 400 312,000
Maxcom Telecommunications................................. 245 215,600
Mcleodusa, Inc., (b) (cost 130,705; purchased at
06/26/00)............................................... 16 336,039
Midland Funding Corp. .................................... 170 190,301
Norampac Inc. ............................................ 350 337,750
Orion Power Holdings Inc.................................. 4,900 5,047,000
Packaging Resources, Inc.(a).............................. 2,251 900,526
Premier Cruises, Ltd. (a)(b) (cost $0; purchased
09/15/99)............................................... 74,058 203,660
Samuels Jewelers Inc.(a) ................................. 38 168,750
South Carolina Holding Corp. ............................. 1,596 1,703,730
Star Gas Partners L. P.................................... 2,561 39,375
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B44
<PAGE> 60
HIGH YIELD BOND PORTFOLIO (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 2)
COMMON STOCK (CONTINUED) --------- ------------
<S> <C> <C> <C> <C> <C>
United Pan Europe Commerce................................ 13,495 $ 8,252,550
Waste Systems International, Inc.(a)(b) (cost $1,970,169;
purchased 02/01/99)..................................... 503 880,864
YankeeNets LLC(b) (cost $2,100,000; purchased 03/09/00)... 2,100 2,021,250
------------
TOTAL COMMON STOCKS
(cost $42,333,756)...................................................................................... 37,156,360
------------
<CAPTION>
PREFERRED STOCKS -- 6.7%
<S> <C> <C> <C> <C> <C>
Adelphia Communications, Inc., PIK........................ 65,250 6,851,250
AmeriKing, Inc., Sr. Notes PIK............................ 27,505 220,040
California Federal Bancorp, Inc. ......................... 100,000 2,118,750
CSC Holdings, Inc., PIK................................... 38,533 4,055,566
Century Maintenance Supplies, PIK......................... 48,369 3,627,675
Clark USA, Inc., PIK...................................... 626 125,250
Cluett American Corp., PIK................................ 44,746 907,105
Contour Energy Co.(a)..................................... 38,400 254,400
Dobson Communications, PIK................................ 4,833 4,978,614
Eagle-Picher Holdings, Inc.(a)............................ 170 510,000
Fitzgeralds Gaming, Inc.(a)............................... 50,000 50,000
Geneva Steel, Inc.(a)..................................... 22,000 2,200
Global Crossing Holdings, Ltd., PIK....................... 16,250 1,576,250
GPA Group Plc(a).......................................... 1,550,000 744,000
ICG Communications, Inc., PIK............................. 1,567 1,316,272
Intermedia Communications, Inc., PIK...................... 129 298,151
Isle Capri Black Hawk LLC ................................ 4,000 4,360,000
Nextel Communications, Inc., PIK.......................... 1,084 1,051,480
Paxson Communications Inc., PIK........................... 591 5,664,750
Primedia, Inc............................................. 44,668 4,154,124
R&B Falcon Corp., PIK..................................... 3,305 3,751,719
Rural Cellular Corp., PIK................................. 12 11,280
Supermarkets General Holdings Corp., PIK(a)............... 25,000 4,062
Viasystems, Inc., PIK(a).................................. 47,804 860,467
Waste Systems International Inc.(b) (cost 4,000,000;
purchased 2/29/00)...................................... 4,038 1,070,070
World Access Inc.(b) (cost $2,000,000; purchased
02/11/00)............................................... 1,332 852,480
------------
TOTAL PREFERRED STOCKS
(cost $65,810,623)...................................................................................... 49,415,955
------------
</TABLE>
<TABLE>
<CAPTION>
Expiration
Date Units
WARRANTS(a) -- 0.9% ---------- ---------
<S> <C> <C> <C> <C> <C>
21st Century Telecom Group, Inc. ......................... 02/15/10 400 4,900
Allegiance Telecommunications, Inc. ...................... 02/03/08 3,800 444,600
American Banknote Corp. .................................. 12/01/02 2,500 25
Ampex Corp. .............................................. 03/15/03 170,000 1,700
Asia Pulp & Paper Ltd.(b) (cost $0; purchased 3/09/00).... 03/15/05 1,295 13
Bell Technology Group, Ltd. .............................. 03/15/03 1,250 51,250
Bestel S.A................................................ 05/01/05 2,500 30,000
Birch Telecomm, Inc. ..................................... 06/15/08 2,500 13,750
Cellnet Data Systems, Inc. ............................... 09/15/07 7,010 70
Clearnet Communications, Inc. ............................ 09/15/05 26,202 628,848
DTI Holdings, Inc. ....................................... 03/01/08 5,000 50
Electronic Retailing Systems.............................. 02/01/04 2,000 2,000
First World Communications................................ 04/15/08 1,175 82,250
GT Group Telecommunication, Inc. ......................... 02/01/10 6,725 0
HFI Icon Health........................................... 09/27/09 18,093 27,140
Intelcom Group, Inc. ..................................... 09/15/05 20,790 353,430
Interact Systems, Inc. ................................... 12/15/09 4,400 44
Intermediate Act Electronic Mktg. Inc..................... 12/15/09 4,400 22,000
Maxcom Telecommunications................................. 04/01/07 245 0
McCaw Int'l., Ltd. ....................................... 01/01/49 1,650 6,600
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B45
<PAGE> 61
HIGH YIELD BOND PORTFOLIO (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
EXPIRATION VALUE
DATE UNITS (NOTE 2)
WARRANTS (CONTINUED) ---------- --------- ------------
<S> <C> <C> <C> <C> <C>
MGC Communications, Inc. ................................. 01/01/49 2 $ 585,000
Pagemart, Inc. ........................................... 12/31/03 9,200 59,800
Powertel, Inc. ........................................... 02/01/06 6,720 342,720
Price Communications Cellular Holdings.................... 08/01/07 6,880 1,148,960
Primus Telecommunications Group........................... 05/01/07 1,500 46,125
R & B Falcon ............................................. 05/01/09 2,875 1,437,500
Star Choice Communications, Inc. ......................... 12/15/05 69,480 451,620
Sterling Chemical Holdings, Inc. ......................... 08/15/08 560 5,040
TVN Entertainment Corp. .................................. 08/01/08 1,135 0
USN Communications, Inc. ................................. 10/15/04 10,590 0
Versatel Telecommunications............................... 05/15/08 2,000 1,040,000
WamNet, Inc. ............................................. 08/01/08 3,000 36,000
Waste Systems International............................... 11/15/06 60,000 30,000
XM Satellite Radio Inc. .................................. 03/03/10 4,505 0
------------
TOTAL WARRANTS
(cost $2,071,260)....................................................................................... 6,851,435
------------
TOTAL LONG-TERM INVESTMENTS
(cost $782,477,253)..................................................................................... 668,230,128
------------
</TABLE>
<TABLE>
<CAPTION>
SHORT-TERM INVESTMENTS -- 12.2% PRINCIPAL
MOODY'S INTEREST MATURITY AMOUNT VALUE
RATING RATE DATE (000) (NOTE 2)
CORPORATE BONDS -- 3.3% ------- -------- ---------- --------- ------------
<S> <C> <C> <C> <C> <C>
AEROSPACE -- 0.4%
Aircraft Funding, Sr. Notes............................... NR 12.00% 07/16/00 $ 1,024 870,731
United States Air, Inc., Sr. Notes........................ B3 9.63% 02/01/01 2,000 1,977,600
------------
2,848,331
------------
CABLE
Century Communications Corp............................... B1 9.50% 08/15/00 100 99,500
------------
CONSUMER PRODUCTS -- 0.4%
Coinstar, Inc., Sr. Disc. Notes........................... NR 13.00% 06/30/00 3,275 3,307,750
------------
LEISURE -- 0.4%
Santa Fe Hotel, Inc., Gtd. First Mtge. Notes.............. Caa 11.00% 12/15/00 2,750 2,667,600
------------
RETAIL -- 0.4%
Family Restaurants, Inc., Sr. Notes....................... NR 15.00% 06/30/00 3,000 3,000,000
------------
TELECOMMUNICATIONS -- 1.6%
Bestel S.A., Sr. Disc. Notes.............................. NR 12.75% 05/15/01 2,500 1,775,000
GST Telecommunications, Inc., Sr. Sub. Notes(d)........... NR 13.88% 12/15/00 650 130,000
ICG Holdings, Inc., Sr. Sub. Notes........................ B3 13.50% 09/15/00 850 822,376
Millicom Intl. Cellular S.A., Sr. Sub. Notes.............. B3 12.00% 06/30/01 4,245 3,650,700
Pagemart Nationwide, Inc., Sr. Disc. Notes................ B3 15.00% 06/30/00 2,550 2,435,250
Telewest PLC, Sr. Disc. Notes............................. B1 9.25% 10/01/00 2,850 2,714,625
------------
11,527,951
------------
WASTE MANAGEMENT -- 0.1%
Clean Harbors, Inc., Sr. Notes............................ B2 12.50% 5/15/01 1,250 975,000
------------
TOTAL CORPORATE BONDS
(cost $26,765,233)...................................................................................... 24,426,132
------------
<CAPTION>
Expiration
Date Units
WARRANTS(a) -- 0.1% ---------- ---------
<S> <C> <C> <C> <C> <C>
Adelphia Business Solutions
(cost $127,500)......................................... 4/15/01 4,250 1,147,500
------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B46
<PAGE> 62
HIGH YIELD BOND PORTFOLIO (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL
INTEREST MATURITY AMOUNT VALUE
RATE DATE (000) (NOTE 2)
COMMERCIAL PAPER -- 2.5% -------- ---------- --------- ------------
<S> <C> <C> <C> <C> <C>
American Electric Power Co. .............................. 6.85% 7/20/00 $ 3,000(f) $ 2,990,296
American Electric Power Co. .............................. 6.83% 7/21/00 5,000(f) 4,982,925
Comdisco, Inc. ........................................... 7.00% 7/10/00 1,000(f) 998,639
GPU Capital, Inc. ........................................ 6.88% 7/31/00 1,197(f) 1,190,595
PSE&G Fuel Corp. ......................................... 6.82% 7/20/00 5,000(f) 4,983,897
TRW, Inc. ................................................ 6.90% 8/15/00 3,000(f) 2,975,275
------------
TOTAL COMMERCIAL PAPER
(cost $18,121,627)...................................................................................... 18,121,627
------------
TIME DEPOSIT -- 0.7%
Deutsche Bank AG
(cost $4,914,000)....................................... 7.125% 07/03/00 4,914(f) 4,914,000
------------
REPURCHASE AGREEMENT -- 5.6%
Joint Repurchase Agreement Account
(cost $41,437,000; Note 5)................................ 6.493% 07/03/00 41,437 41,437,000
------------
TOTAL SHORT-TERM INVESTMENTS
(cost $91,365,360)...................................................................................... 90,046,259
------------
TOTAL INVESTMENTS -- 102.9%
(cost $873,842,613; Note 6)............................................................................. 758,276,387
LIABILITIES IN EXCESS OF OTHER ASSETS -- (3.0)%........................................................... (21,869,502)
------------
TOTAL NET ASSETS -- 100.0%................................................................................ $736,406,885
============
</TABLE>
The following abbreviations are used in portfolio descriptions:
<TABLE>
<S> <C>
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
</TABLE>
(a) Non-income producing security.
(b) Indicates a restricted security; the aggregate cost of the restricted
securities is $25,043,821. The aggregate value, $10,518,737 is approximately
1.4% of net assets.
(c) Indicates a fair valued security. The aggregate value, $3,304,625 is
approximately .45% of net assets.
(d) Represents issuer in default on interest payments, non-income producing
security.
(e) Portion of securities on loan with an aggregate market value of $21,880,778,
cash collateral of $22,897,220 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.
B47
<PAGE> 63
STOCK INDEX PORTFOLIO
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
LONG-TERM INVESTMENTS -- 98.7% VALUE
SHARES (NOTE 2)
COMMON STOCKS ---------- --------------
<S> <C> <C>
ADVERTISING -- 0.2%
Omnicom Group, Inc. ............... 65,700 $ 5,851,406
Young & Rubicam, Inc............... 24,000 1,372,500
--------------
7,223,906
--------------
AEROSPACE -- 0.8%
Boeing Co. ........................ 321,936 13,460,949
General Dynamics Corp. ............ 74,700 3,903,075
Lockheed Martin Corp. ............. 148,298 3,679,644
Northrop Grumman Corp. ............ 24,200 1,603,250
Raytheon Co. (Class "B" Stock)..... 123,018 2,368,097
Rockwell International Corp. ...... 71,900 2,264,850
United Technologies Corp. ......... 173,500 10,214,812
--------------
37,494,677
--------------
AIRLINES -- 0.2%
AMR Corp. ......................... 55,300 1,461,994
Delta Airlines, Inc. .............. 48,300 2,442,169
Southwest Airlines Co. ............ 181,725 3,441,417
US Airways Group, Inc.(a).......... 30,900 1,205,100
--------------
8,550,680
--------------
APPAREL -- 0.1%
Nike, Inc. (Class "B" Shares) ..... 102,200 4,068,837
Reebok International Ltd. ......... 19,000 302,813
--------------
4,371,650
--------------
AUTOS - CARS & TRUCKS -- 0.9%
Cummins Engine Co., Inc. .......... 14,400 392,400
Dana Corp. ........................ 63,594 1,347,398
Delphi Automotive Systems Corp. ... 206,044 3,000,516
Ford Motor Co. .................... 442,700 19,036,100
General Motors Corp. .............. 199,700 11,595,081
Genuine Parts Co. ................. 65,925 1,318,500
Johnson Controls, Inc. ............ 32,000 1,642,000
Navistar International Corp.(a).... 23,900 742,394
PACCAR Inc. ....................... 29,160 1,157,287
TRW, Inc. ......................... 44,200 1,917,175
Visteon Corp.(a)................... 57,964 702,814
--------------
42,851,665
--------------
BANKS AND SAVINGS & LOANS -- 4.0%
AmSouth Bancorporation............. 134,900 2,124,675
Associates First Capital Corp. .... 274,266 6,119,560
Bank of New York Co., Inc. ........ 270,900 12,596,850
Bank One Corp. .................... 427,045 11,343,383
BankAmerica Corp. ................. 615,044 26,446,892
Capital One Financial.............. 74,400 3,320,100
Charter One Financial, Inc.(a)..... 34,000 782,000
Chase Manhattan Corp. ............. 453,241 20,877,414
Comerica, Inc. .................... 58,450 2,622,944
Fifth Third Bancorp................ 109,600 6,932,200
First Union Corp. ................. 362,978 9,006,392
Firstar Corp. ..................... 361,460 7,613,251
Golden West Financial Corp. ....... 61,900 2,526,294
Huntington Bancshares, Inc. ....... 85,250 1,348,016
KeyCorp............................ 169,700 2,990,962
Mellon Financial Corp. ............ 180,300 6,569,681
National City Corp. ............... 232,400 3,965,325
Northern Trust Corp. .............. 82,000 5,335,125
PNC Bank Corp. .................... 109,200 5,118,750
Providian Financial Corp. ......... 52,550 4,729,500
SouthTrust Corp. .................. 59,400 1,343,925
</TABLE>
<TABLE>
<CAPTION>
VALUE
COMMON STOCKS SHARES (NOTE 2)
(CONTINUED) ---------- --------------
<S> <C> <C>
BANKS AND SAVINGS & LOANS (CONT'D.)
State Street Corp. ................ 58,800 $ 6,236,475
Summit Bancorp..................... 63,900 1,573,538
Suntrust Banks, Inc. .............. 112,200 5,126,137
U.S. Bancorp....................... 268,926 5,176,825
Union Planters Corp. .............. 53,200 1,486,275
Wells Fargo & Co. ................. 596,560 23,116,700
--------------
186,429,189
--------------
CHEMICALS -- 0.9%
Air Products & Chemicals, Inc. .... 85,300 2,628,306
Dow Chemical Co. .................. 243,600 7,353,675
Du Pont (E.I.) de Nemours & Co. ... 386,291 16,900,231
Eastman Chemical Co. .............. 27,600 1,317,900
Engelhard Corp. ................... 49,875 850,992
FMC Corp.(a)....................... 12,300 713,400
Grace (W.R.) & Co.(a).............. 24,400 295,850
Great Lakes Chemical Corp. ........ 20,600 648,900
Hercules, Inc. .................... 37,400 525,938
Praxair, Inc. ..................... 59,100 2,212,556
Rohm & Haas Co. ................... 79,100 2,728,950
Sigma-Aldrich Corp. ............... 38,000 1,111,500
Union Carbide Corp. ............... 50,600 2,504,700
--------------
39,792,898
--------------
COMMERCIAL SERVICES -- 0.1%
Cendant Corp.(a)................... 267,618 3,746,652
Convergys Corp. ................... 34,000 1,763,750
Deluxe Corp. ...................... 29,000 683,312
Quintiles Transnational,
Corp.(a)......................... 36,000 508,500
--------------
6,702,214
--------------
COMPUTERS -- 5.4%
Apple Computer, Inc.(a) ........... 121,200 6,347,850
Citrix Systems, Inc.(a)............ 64,800 1,227,150
Compaq Computer Corp. ............. 629,069 16,080,576
Comverse Technology, Inc.(a)....... 52,000 4,836,000
Dell Computer Corp.(a)............. 944,200 46,560,863
Hewlett-Packard Co. ............... 369,300 46,116,338
International Business Machines
Corp. ........................... 651,400 71,369,012
Seagate Technology, Inc.(a)........ 81,200 4,466,000
Sun Microsystems, Inc.(a).......... 579,700 52,716,469
--------------
249,720,258
--------------
COMPUTER SERVICES -- 14.2%
3Com Corp. ........................ 127,600 7,352,950
Adaptec, Inc.(a)................... 37,500 853,125
Adobe Systems, Inc. ............... 44,900 5,837,000
America Online, Inc.(a)............ 839,600 44,288,900
Autodesk, Inc. .................... 19,800 686,813
Automatic Data Processing, Inc. ... 232,900 12,474,706
BMC Software, Inc.(a).............. 90,300 3,294,539
Cabletron Systems, Inc.(a)......... 63,500 1,603,375
Ceridian Corp.(a).................. 53,200 1,280,125
Cisco Systems, Inc.(a)............. 2,526,000 160,558,875
Computer Associates International,
Inc. ............................ 204,543 10,470,045
Computer Sciences Corp.(a)......... 60,700 4,533,531
Compuware Corp.(a)................. 133,600 1,386,100
EMC Corp.(a)....................... 776,174 59,716,887
First Data Corp. .................. 155,400 7,711,725
Gateway, Inc. ..................... 114,800 6,514,900
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B48
<PAGE> 64
STOCK INDEX PORTFOLIO (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
COMMON STOCKS SHARES (NOTE 2)
(CONTINUED) ---------- --------------
<S> <C> <C>
COMPUTER SERVICES (CONT'D.)
Lexmark International Group,
Inc.(a).......................... 48,414 $ 3,255,841
Mercury Interactive Corp. ......... 9,000 870,750
Micron Technology, Inc. ........... 199,400 17,559,662
Microsoft Corp. ................... 1,913,500 153,080,000
NCR Corp.(a)....................... 31,300 1,218,744
Network Appliance, Inc.(a)......... 110,400 8,887,200
Novell, Inc.(a).................... 126,100 1,166,425
Oracle Corp.(a).................... 1,038,460 87,295,544
Parametric Technology Corp.(a)..... 97,000 1,067,000
Peoplesoft, Inc.(a)................ 96,000 1,608,000
Sapient Corp. ..................... 15,000 1,604,063
Siebel Systems Inc.(a)............. 67,000 10,958,688
Unisys Corp.(a).................... 111,000 1,616,438
VERITAS Software Corp.(a).......... 138,000 15,596,156
Yahoo!, Inc. ...................... 194,400 24,081,300
--------------
658,429,407
--------------
CONSTRUCTION -- 0.1%
Armstrong Holdings Inc. ........... 14,700 225,094
Centex Corp. ...................... 21,600 507,600
Fluor Corp. ....................... 28,300 894,988
Kaufman & Broad Home Corp. ........ 16,166 320,289
Pulte Corp. ....................... 14,500 313,562
Vulcan Materials Co. .............. 37,600 1,605,050
--------------
3,866,583
--------------
CONSUMER PRODUCTS
Tupperware Corp. .................. 22,300 490,600
--------------
CONTAINERS -- 0.1%
Ball Corp. ........................ 10,900 350,844
Bemis Co., Inc. ................... 18,100 608,612
Crown Cork & Seal Co., Inc.(a)..... 44,200 663,000
Owens-Illinois, Inc.(a)............ 59,700 697,744
Pactiv Corp.(a).................... 58,900 463,838
--------------
2,784,038
--------------
COSMETICS & SOAPS -- 1.4%
Alberto-Culver Co. (Class "B"
Stock)........................... 19,100 583,744
Avon Products, Inc. ............... 91,000 4,049,500
Clorox Co. ........................ 86,500 3,876,281
Colgate-Palmolive Co. ............. 214,900 12,867,137
Gillette Co. ...................... 387,500 13,538,281
International Flavors & Fragrances,
Inc. ............................ 39,400 1,189,388
Procter & Gamble Co. .............. 480,704 27,490,260
--------------
63,594,591
--------------
DIVERSIFIED CONSUMER PRODUCTS -- 0.6%
Eastman Kodak Co. ................. 117,900 7,015,050
Philip Morris Companies, Inc. ..... 843,200 22,397,500
Polaroid Corp. .................... 15,400 278,163
--------------
29,690,713
--------------
DIVERSIFIED MANUFACTURING -- 4.1%
General Electric Co. .............. 3,615,800 191,637,400
--------------
DIVERSIFIED OFFICE EQUIPMENT -- 0.3%
Avery Dennison Corp. .............. 43,900 2,946,787
Pitney Bowes, Inc. ................ 100,900 4,036,000
Xerox Corp. ....................... 245,792 5,100,184
--------------
12,082,971
--------------
</TABLE>
<TABLE>
<CAPTION>
VALUE
COMMON STOCKS SHARES (NOTE 2)
(CONTINUED) ---------- --------------
<S> <C> <C>
DRUGS & MEDICAL SUPPLIES -- 10.3%
Abbott Laboratories................ 566,700 $ 25,253,569
Allergan, Inc. .................... 50,600 3,769,700
ALZA Corp.(a)...................... 35,700 2,110,762
American Home Products Corp. ...... 480,100 28,205,875
Bausch & Lomb, Inc. ............... 20,100 1,555,237
Baxter International, Inc. ........ 109,500 7,699,219
Becton, Dickinson & Co. ........... 93,100 2,670,806
Biogen, Inc. ...................... 52,000 3,354,000
Biomet, Inc........................ 42,100 1,618,219
Boston Scientific Corp.(a)......... 151,800 3,330,112
Bristol-Myers Squibb Co. .......... 725,760 42,275,520
Bard, (C.R.), Inc. ................ 19,000 914,375
Cardinal Health, Inc. ............. 101,650 7,522,100
Guidant Corp.(a)................... 113,100 5,598,450
Johnson & Johnson.................. 508,900 51,844,187
Lilly (Eli) & Co. ................. 401,200 40,069,850
Mallinckrodt, Inc. ................ 25,800 1,120,688
Medtronic, Inc. ................... 442,700 22,051,994
Merck & Co., Inc. ................. 843,800 64,656,175
Pfizer, Inc. ...................... 2,292,750 110,052,000
Pharmacia Corporation.............. 461,456 23,851,507
Schering-Plough Corp. ............. 536,300 27,083,150
St. Jude Medical, Inc. ............ 30,300 1,390,013
Watson Pharmaceuticals, Inc.(a).... 35,000 1,881,250
--------------
479,878,758
--------------
ELECTRICAL SERVICES -- 0.2%
American Power Conversion.......... 53,000 2,163,063
CP&L Energy, Inc.(a)............... 59,900 1,913,056
TXU Corp. ......................... 103,506 3,053,427
--------------
7,129,546
--------------
ELECTRONICS -- 7.4%
Advanced Micro Devices, Inc.(a).... 54,100 4,179,225
Altera Corp.(a).................... 67,000 6,829,812
Analog Devices, Inc.(a)............ 128,900 9,796,400
Applied Materials, Inc.(a)......... 282,200 25,574,375
Broadcom Corp. .................... 16,000 3,199,722
Conexant Systems Inc. ............. 72,000 3,501,000
Electronic Data Systems Corp. ..... 173,900 7,173,375
Emerson Electric Co.(a)............ 157,500 9,509,062
Intel Corp. ....................... 1,227,600 164,114,775
KLA-Tencor Corp.(a)................ 67,400 3,947,113
Linear Technology Corp. ........... 105,000 6,713,437
LSI Logic Corp.(a)................. 110,800 5,997,050
Maxim Integrated Products,
Inc.(a).......................... 92,000 6,250,250
MIPS Technologies, Inc. (Class "B"
Stock)........................... 9,396 361,735
Molex Inc. ........................ 70,000 3,368,750
National Semiconductor Corp.(a).... 65,400 3,711,450
Novellus Systems, Inc. ............ 28,000 1,583,750
Perkin Elmer, Inc. ................ 18,000 1,190,250
Pinnacle West Capital Corp. ....... 29,000 982,375
PPL Corp. ......................... 57,000 1,250,438
RadioShack Corp.(a)................ 70,660 3,347,518
Sanmina Corp. ..................... 31,000 2,650,500
Solectron Corp.(a)................. 218,000 9,128,750
Tektronix, Inc. ................... 17,500 1,295,000
Teradyne, Inc. (United
States)(a)....................... 63,900 4,696,650
Texas Instruments, Inc. ........... 596,600 40,978,962
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B49
<PAGE> 65
STOCK INDEX PORTFOLIO (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
COMMON STOCKS SHARES (NOTE 2)
(CONTINUED) ---------- --------------
<S> <C> <C>
ELECTRONICS (CONT'D.)
Thomas & Betts Corp. .............. 23,800 $ 455,175
Xilinx Inc.(a)..................... 118,400 9,775,400
--------------
341,562,299
--------------
FINANCIAL SERVICES -- 5.8%
American Express Co. .............. 493,100 25,702,837
Bear Stearns Companies, Inc. ...... 44,210 1,840,241
Schwab (Charles) Corp. ............ 468,800 15,763,400
Citigroup, Inc. ................... 1,235,213 74,421,583
Countrywide Credit Industries,
Inc. ............................ 40,800 1,236,750
Dun & Bradstreet Corp. ............ 62,360 1,785,055
Equifax, Inc. ..................... 52,300 1,372,875
Federal Home Loan Mortgage Corp. .. 257,700 10,436,850
Federal National Mortgage
Association...................... 372,700 19,450,281
Fleetboston Financial Corp. ....... 334,488 11,372,592
Franklin Resource, Inc. ........... 92,400 2,806,650
H&R Block, Inc. ................... 36,700 1,188,163
Household International, Inc. ..... 175,458 7,292,473
Lehman Brothers Holdings, Inc. .... 43,700 4,132,381
MBNA Corp. ........................ 296,768 8,049,832
Merrill Lynch & Co., Inc. ......... 136,900 15,743,500
Morgan (J.P.) & Co., Inc. ......... 61,150 6,734,144
Morgan Stanley Dean Witter &
Co. ............................. 416,910 34,707,757
Old Kent Financial Corp. .......... 32,550 870,713
PaineWebber Group, Inc. ........... 54,000 2,457,000
Paychex, Inc. ..................... 137,250 5,764,500
Price (T.Rowe) Associates, Inc. ... 36,000 1,530,000
Regions Financial Corp. ........... 83,100 1,651,613
SLM Holding Corp. ................. 59,600 2,231,275
Synovus Financial Corp. ........... 97,500 1,718,438
Washington Mutual, Inc. ........... 205,648 5,938,086
--------------
266,198,989
--------------
FOOD & BEVERAGE -- 3.7%
Anheuser-Busch Companies, Inc. .... 169,300 12,644,594
Archer-Daniels-Midland Co. ........ 225,931 2,216,948
Bestfoods.......................... 100,100 6,931,925
Brown-Forman Corp. (Class "B"
Stock)........................... 23,800 1,279,250
Campbell Soup Co. ................. 157,100 4,575,537
Coca-Cola Co. ..................... 907,100 52,101,556
Coca-Cola Enterprises Inc. ........ 159,000 2,593,688
ConAgra, Inc. ..................... 179,100 3,414,094
Coors (Adolph) Co. (Class "B"
Stock)........................... 12,800 774,400
General Mills, Inc. ............... 113,800 4,352,850
Heinz (H.J.) & Co. ................ 132,350 5,790,312
Hershey Foods Corp. ............... 49,500 2,400,750
Kellogg Co. ....................... 148,900 4,429,775
Nabisco Group Holdings Corp.(a).... 119,900 3,109,906
PepsiCo, Inc. ..................... 530,100 23,556,319
Quaker Oats Co. ................... 47,600 3,575,950
Ralston-Ralston Purina Group....... 113,620 2,265,299
Sara Lee Corp. .................... 328,400 6,342,225
Seagram Co., Ltd. ................. 161,800 9,384,400
Sysco Corp. ....................... 121,500 5,118,187
Unilever NV, ADR (Netherlands)..... 210,432 9,048,576
Wrigley (William) Jr. Co. ......... 42,600 3,415,988
--------------
169,322,529
--------------
</TABLE>
<TABLE>
<CAPTION>
VALUE
COMMON STOCKS SHARES (NOTE 2)
(CONTINUED) ---------- --------------
<S> <C> <C>
FOREST PRODUCTS -- 0.4%
Boise Cascade Corp. ............... 19,886 $ 514,550
Fort James Corp. .................. 81,000 1,873,125
Georgia-Pacific Corp. ............. 66,800 1,753,500
International Paper Co. ........... 179,968 5,365,281
Louisiana-Pacific Corp. ........... 38,900 423,038
Mead Corp. ........................ 37,400 944,350
Potlatch Corp. .................... 10,000 331,250
Temple-Inland, Inc. ............... 20,000 840,000
Westvaco Corp. .................... 35,700 885,806
Weyerhaeuser Co. .................. 87,100 3,745,300
Willamette Industries, Inc. ....... 44,200 1,204,450
--------------
17,880,650
--------------
GAS PIPELINES -- 0.6%
Cinergy Corp. ..................... 58,739 1,494,174
Columbia Energy Group.............. 30,250 1,985,156
Enron Corp. ....................... 265,700 17,137,650
Peoples Energy Corp. .............. 11,400 369,075
Sempra Energy...................... 74,154 1,260,618
Williams Companies, Inc. .......... 162,300 6,765,881
--------------
29,012,554
--------------
HOSPITALS/HEALTHCARE MANAGEMENT -- 1.4%
Agilent Technologies, Inc. ........ 155,613 11,476,459
Amgen, Inc.(a)..................... 376,900 26,477,225
Columbia/HCA Healthcare Corp....... 206,398 6,269,339
HEALTHSOUTH Corp.(a)............... 154,500 1,110,469
Humana, Inc.(a).................... 58,100 283,238
IMS Health, Inc. .................. 119,120 2,144,160
Manor Care, Inc. .................. 40,850 285,950
McKesson HBOC, Inc. ............... 101,107 2,116,928
MedImmune, Inc. ................... 57,000 4,218,000
Shared Medical Systems Corp. ...... 9,000 656,437
Tenet Healthcare Corp.(a).......... 111,100 2,999,700
UnitedHealth Group, Inc. .......... 62,200 5,333,650
Wellpoint Health Networks,
Inc.(a).......................... 25,100 1,818,181
--------------
65,189,736
--------------
HOUSEHOLD PRODUCTS & PERSONAL
CARE -- 0.3%
Kimberly-Clark Corp. .............. 200,788 11,520,212
Leggett & Platt, Inc. ............. 64,000 1,056,000
--------------
12,576,212
--------------
HOUSING RELATED -- 0.4%
Lowe's Companies, Inc. ............ 37,800 2,268,000
Lowe's Companies, Inc. ............ 143,000 5,871,937
Masco Corp. ....................... 161,200 2,911,675
Maytag Corp. ...................... 32,700 1,205,813
Newell Rubbermaid, Inc. ........... 107,049 2,756,512
Owens Corning...................... 21,100 195,175
Stanley Works...................... 32,300 767,125
Whirlpool Corp. ................... 27,300 1,272,862
--------------
17,249,099
--------------
INSTRUMENT - CONTROLS -- 0.1%
PE Corp. - PE Biosystems Group..... 77,400 5,098,725
--------------
INSURANCE -- 3.0%
Aetna, Inc. ....................... 53,312 3,421,964
AFLAC, Inc. ....................... 97,400 4,474,313
Allstate Corp. .................... 283,688 6,312,058
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B50
<PAGE> 66
STOCK INDEX PORTFOLIO (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
COMMON STOCKS SHARES (NOTE 2)
(CONTINUED) ---------- --------------
<S> <C> <C>
INSURANCE (CONT'D.)
American General Corp. ............ 92,286 $ 5,629,446
American International Group,
Inc. ............................ 565,943 66,498,302
Aon Corp. ......................... 94,125 2,923,758
Chubb Corp. ....................... 64,600 3,972,900
CIGNA Corp. ....................... 60,100 5,619,350
Cincinnati Financial Corp. ........ 62,500 1,964,844
Conseco, Inc. ..................... 118,259 1,153,025
Hartford Financial Services Group,
Inc. ............................ 81,200 4,542,125
Jefferson-Pilot Corp. ............. 39,912 2,252,533
Lincoln National Corp. ............ 68,800 2,485,400
Marsh & McLennan Companies,
Inc. ............................ 98,000 10,234,875
MBIA, Inc. ........................ 36,300 1,749,206
MGIC Investment Corp. ............. 40,200 1,829,100
Progressive Corp. ................. 27,000 1,998,000
SAFECO Corp. ...................... 48,300 959,963
St. Paul Companies, Inc. .......... 83,110 2,836,129
Torchmark Corp. ................... 51,000 1,259,063
UnumProvident Corp. ............... 86,656 1,738,536
Wachovia Corp. .................... 74,200 4,025,350
--------------
137,880,240
--------------
LEISURE -- 1.0%
Brunswick Corp. ................... 33,400 553,188
Carnival Corp. (Class "A" Stock)... 229,700 4,479,150
Disney (Walt) Co. ................. 760,001 29,497,539
Harley-Davidson Inc. .............. 100,000 3,850,000
Harrah's Entertainment, Inc.(a).... 46,350 970,453
Hilton Hotels Corp. ............... 104,800 982,500
Marriott International, Inc. (Class
"A" Stock)....................... 93,200 3,361,025
Sabre Group Holdings, Inc. (Class
"A" Stock)....................... 42,419 1,208,941
--------------
44,902,796
--------------
MACHINERY -- 0.4%
Briggs & Stratton Corp. ........... 7,800 267,150
Caterpillar, Inc. ................. 134,300 4,549,412
Cooper Industries, Inc. ........... 37,000 1,204,812
Deere & Co. ....................... 85,200 3,152,400
Dover Corp. ....................... 75,900 3,078,694
Eaton Corp. ....................... 27,600 1,849,200
Ingersoll-Rand Co. ................ 62,750 2,525,687
Milacron, Inc. .................... 6,600 95,700
Parker Hannifin Corp. ............. 41,225 1,411,956
Snap-On, Inc. ..................... 22,800 607,050
Thermo Electron Corp.(a)........... 57,000 1,200,563
Timken Co. ........................ 21,500 400,438
--------------
20,343,062
--------------
MEDIA -- 3.0%
Clear Channel Communications,
Inc.(a).......................... 124,200 9,315,000
Comcast Corp. (Special Class "A"
Stock)........................... 330,400 13,381,200
Dow Jones & Co., Inc. ............. 32,700 2,395,275
Gannett Co., Inc. ................. 99,700 5,963,306
Interpublic Group of Companies,
Inc. ............................ 105,100 4,519,300
Knight-Ridder, Inc. ............... 31,100 1,654,131
McGraw Hill, Inc. ................. 72,900 3,936,600
Mediaone Group, Inc.(a)............ 226,300 14,964,087
Meredith Corp. .................... 17,800 600,750
</TABLE>
<TABLE>
<CAPTION>
VALUE
COMMON STOCKS SHARES (NOTE 2)
(CONTINUED) ---------- --------------
<S> <C> <C>
MEDIA (CONT'D.)
New York Times Co. (Class "A"
Stock)........................... 65,200 $ 2,575,400
R.R. Donnelley & Sons, Co. ........ 49,500 1,116,844
Time Warner, Inc. ................. 473,180 35,961,680
Tribune Co. ....................... 124,400 4,354,000
Viacom, Inc. (Class "B"
Stock)(a)........................ 560,436 38,214,730
--------------
138,952,303
--------------
METALS - FERROUS -- 0.1%
Allegheny Technologies, Inc. ...... 34,940 628,920
Bethlehem Steel Corp.(a)........... 47,300 168,506
Nucor Corp. ....................... 31,200 1,035,450
USX -- U.S. Steel Group, Inc. ..... 31,540 585,462
Worthington Industries, Inc. ...... 34,000 357,000
--------------
2,775,338
--------------
METALS - NON FERROUS -- 0.3%
Alcan Aluminum Ltd. ............... 83,350 2,583,850
Alcoa, Inc. ....................... 320,476 9,293,804
INCO Ltd. ......................... 67,200 1,033,200
--------------
12,910,854
--------------
MINERAL RESOURCES -- 0.1%
Burlington Resources, Inc. ........ 75,817 2,900,000
Homestake Mining Co. .............. 93,700 644,188
Phelps Dodge Corp. ................ 27,528 1,023,698
--------------
4,567,886
--------------
MISCELLANEOUS - BASIC INDUSTRY -- 1.6%
AES Corp.(a)....................... 150,400 6,862,000
BB&T Corp. ........................ 114,300 2,728,912
Crane Co. ......................... 25,625 623,008
Danaher Corp. ..................... 51,400 2,541,087
Ecolab, Inc. ...................... 48,000 1,875,000
Fortune Brands, Inc. .............. 56,500 1,303,031
Honeywell Inc. .................... 293,250 9,878,859
Illinois Tool Works, Inc. ......... 106,900 6,093,300
ITT Industries, Inc. .............. 37,900 1,151,213
Millipore Corp. ................... 16,200 1,221,075
Pall Corp. ........................ 44,000 814,000
PPG Industries, Inc. .............. 65,800 2,915,762
Sealed Air Corp. .................. 30,810 1,613,674
Textron, Inc. ..................... 55,600 3,019,775
Tyco International Ltd. ........... 625,114 29,614,776
W.W. Grainger, Inc. ............... 33,400 1,029,138
--------------
73,284,610
--------------
MISCELLANEOUS - CONSUMER
GROWTH/STABLE -- 0.9%
American Greetings Corp. (Class "A"
Stock)........................... 24,800 471,200
Black & Decker Corp. .............. 32,900 1,293,381
Corning, Inc. ..................... 99,000 26,717,625
Energizer Holdings Inc. ........... 1 18
Minnesota Mining & Manufacturing
Co. ............................. 144,900 11,954,250
--------------
40,436,474
--------------
OIL & GAS -- 4.4%
Amerada Hess Corp. ................ 34,200 2,111,850
Anadarko Petroleum Corp. .......... 47,600 2,347,275
Ashland Oil, Inc. ................. 23,100 809,944
Chevron Corp. ..................... 241,600 20,490,700
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B51
<PAGE> 67
STOCK INDEX PORTFOLIO (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
COMMON STOCKS SHARES (NOTE 2)
(CONTINUED) ---------- --------------
<S> <C> <C>
OIL & GAS (CONT'D.)
Coastal Corp. ..................... 78,800 $ 4,796,950
Eastern Enterprises, Inc. ......... 9,500 598,500
Exxon Mobil Corp. ................. 1,268,235 99,556,447
Kerr-McGee Corp. .................. 31,926 1,881,639
NICOR, Inc. ....................... 16,200 528,525
Phillips Petroleum Co. ............ 91,700 4,648,044
Royal Dutch Petroleum Co........... 785,300 48,345,031
Sunoco, Inc. ...................... 29,200 859,575
Texaco, Inc. ...................... 204,982 10,915,291
Union Pacific Resources Group,
Inc. ............................ 83,656 1,840,432
Unocal Corp. ...................... 87,100 2,885,188
USX-Marathon Corp. ................ 112,000 2,807,000
--------------
205,422,391
--------------
OIL & GAS EXPLORATION/PRODUCTION -- 0.1%
Occidental Petroleum Corp. ........ 136,000 2,864,500
--------------
OIL - EXPLORATION/PRODUCTION -- 0.1%
Conoco, Inc. (Class "B" Stock)..... 229,757 5,643,406
--------------
OIL & GAS SERVICES -- 0.9%
Apache Corp. ...................... 42,100 2,476,006
Baker Hughes, Inc. ................ 122,130 3,908,160
Halliburton Co. ................... 164,100 7,743,469
McDermott International, Inc. ..... 20,700 182,419
ONEOK, Inc. ....................... 13,000 337,188
PG&E Corp. ........................ 140,000 3,447,500
Rowan Companies, Inc.(a)........... 28,700 871,762
Schlumberger, Ltd. ................ 204,300 15,245,887
Tosco Corp. ....................... 49,000 1,387,312
Transocean Sedco Forex Inc. ....... 70,333 3,758,420
--------------
39,358,123
--------------
PRECIOUS METALS -- 0.1%
Barrick Gold Corp. ................ 145,300 2,642,644
Freeport-McMoRan Copper & Gold,
Inc. (Class "B" Stock)(a)........ 66,200 612,350
Newmont Mining Corp. .............. 61,503 1,330,002
Placer Dome, Inc. ................. 121,000 1,157,062
--------------
5,742,058
--------------
RAILROADS -- 0.3%
Burlington Northern Sante Fe
Corp. ........................... 167,226 3,835,746
CSX Corp. ......................... 80,612 1,707,967
Kansas City Southern Industries,
Inc. ............................ 40,200 3,565,237
Norfolk Southern Corp. ............ 141,300 2,101,838
Union Pacific Corp. ............... 92,100 3,424,969
--------------
14,635,757
--------------
RESTAURANTS -- 0.4%
Darden Restaurants, Inc. .......... 50,300 817,375
McDonald's Corp. .................. 491,200 16,178,900
Tricon Global Restaurants,
Inc.(a).......................... 56,650 1,600,362
Wendy's International, Inc. ....... 44,800 798,000
--------------
19,394,637
--------------
RETAIL -- 5.3%
Albertson's, Inc. ................. 156,644 5,208,413
AutoZone, Inc.(a).................. 51,900 1,141,800
Bed Bath & Beyond, Inc.(a)......... 49,000 1,776,250
Best Buy Co., Inc.(a).............. 75,000 4,743,750
Circuit City Stores, Inc. ......... 75,200 2,495,700
Consolidated Stores Corp.(a)....... 40,200 482,400
Costco Wholesale Corp.(a).......... 164,432 5,426,256
</TABLE>
<TABLE>
<CAPTION>
VALUE
COMMON STOCKS SHARES (NOTE 2)
(CONTINUED) ---------- --------------
<S> <C> <C>
RETAIL (CONT'D.)
CVS Corp. ......................... 145,800 $ 5,832,000
Dillard's, Inc. ................... 37,750 462,438
Dollar General Corp. .............. 109,803 2,141,158
Federated Department Stores,
Inc.(a).......................... 76,500 2,581,875
Great Atlantic & Pacific Tea Co.,
Inc. ............................ 12,400 206,150
Harcourt General, Inc. ............ 27,006 1,468,451
Home Depot, Inc. .................. 845,919 42,243,080
IKON Office Solutions, Inc. ....... 52,476 203,345
J.C. Penney Co., Inc. ............. 100,500 1,852,969
Kmart Corp.(a)..................... 181,400 1,235,788
Kohl's Corp.(a).................... 121,600 6,764,000
Kroger Co.(a)...................... 308,000 6,795,250
Liz Claiborne, Inc. ............... 23,400 824,850
Longs Drug Stores, Inc. ........... 13,700 297,975
May Department Stores Co. ......... 119,700 2,872,800
Nordstrom, Inc. ................... 52,300 1,261,738
Office Depot, Inc.(a).............. 124,000 775,000
RiteAid Corp. ..................... 94,600 620,813
Safeway,Inc.(a).................... 183,100 8,262,387
Sears, Roebuck & Co. .............. 132,200 4,313,025
Sherwin-Williams Co. .............. 64,700 1,370,831
Staples, Inc.(a)................... 171,200 2,632,200
Starbucks Corp. ................... 44,000 1,680,250
Supervalu, Inc. ................... 46,800 892,125
Target Corp. ...................... 161,184 9,348,672
The Gap, Inc. ..................... 316,587 9,893,344
The Limited, Inc. ................. 159,896 3,457,751
Tiffany & Co.(a)................... 11,000 742,500
TJX Companies, Inc. ............... 116,400 2,182,500
Toys 'R' Us, Inc.(a)............... 90,450 1,317,178
Wal-Mart Stores, Inc. ............. 1,632,900 94,095,862
Walgreen Co. ...................... 373,000 12,005,937
Winn-Dixie Stores, Inc. ........... 54,900 785,756
--------------
252,694,567
--------------
RUBBER -- 0.1%
B.F. Goodrich Co. ................. 38,600 1,314,813
Cooper Tire & Rubber Co. .......... 28,800 320,400
Goodyear Tire & Rubber Co. ........ 58,000 1,160,000
--------------
2,795,213
--------------
TELECOMMUNICATIONS -- 11.0%
ADC Telecommunications, Inc.(a).... 113,400 9,511,425
Alltel Corp. ...................... 114,000 7,060,875
Andrew Corp.(a).................... 29,112 977,072
AT&T Corp. ........................ 1,175,321 37,169,527
Bell Atlantic Corp. ............... 569,690 28,947,373
BellSouth Corp. ................... 691,000 29,453,875
CenturyTel, Inc. .................. 51,200 1,472,000
Global Crossing Ltd.(a)............ 289,105 7,607,075
GTE Corp. ......................... 354,220 22,050,195
Lucent Technologies, Inc. ......... 1,175,905 69,672,371
Motorola, Inc. .................... 786,795 22,866,230
Nextel Communications, Inc. (Class
"A" Stock) ...................... 270,000 16,520,625
Nortel Networks Corp. ............. 1,066,480 72,787,260
Qualcomm, Inc.(a).................. 270,100 16,206,000
SBC Communications, Inc. .......... 1,247,277 53,944,730
Scientific-Atlanta, Inc. .......... 60,600 4,514,700
Sprint Corp. ...................... 322,900 16,467,900
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B52
<PAGE> 68
STOCK INDEX PORTFOLIO (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
COMMON STOCKS SHARES (NOTE 2)
(CONTINUED) ---------- --------------
<S> <C> <C>
TELECOMMUNICATIONS (CONT'D.)
Sprint Corp. (PCS Group)(a)........ 319,000 $ 18,980,500
Tellabs, Inc.(a)................... 149,400 10,224,562
US West, Inc. ..................... 186,922 16,028,561
Worldcom Inc. ..................... 1,046,958 48,029,198
--------------
510,492,054
--------------
TEXTILES
National Service Industries,
Inc. ............................ 14,700 286,650
Russell Corp. ..................... 6,700 134,000
Springs Industries, Inc. .......... 8,700 278,400
VF Corp. .......................... 42,836 1,020,032
--------------
1,719,082
--------------
TOBACCO
UST, Inc. ......................... 59,100 868,031
--------------
TOY MANUFACTURER -- 0.1%
Hasbro, Inc. ...................... 64,150 966,259
Mattel, Inc. ...................... 152,381 2,009,525
--------------
2,975,784
--------------
TRUCKING & SHIPPING -- 0.1%
Federal Express Corp. ............. 106,640 4,052,320
Ryder System, Inc. ................ 20,600 390,113
--------------
4,442,433
--------------
UTILITIES - ELECTRIC & GAS
Florida Progress Corp. ............ 36,000 1,687,500
--------------
UTILITIES - ELECTRIC -- 1.3%
Ameren Corp. ...................... 53,900 1,819,125
American Electric Power Co.,
Inc. ............................ 118,940 3,523,597
CMS Energy Corp. .................. 43,100 953,588
Consolidated Edison, Inc. ......... 80,400 2,381,850
Constellation Energy Group......... 53,550 1,743,722
Dominion Resources, Inc. .......... 90,742 3,890,563
DTE Energy Co. .................... 53,600 1,638,150
Duke Energy Corp. ................. 136,531 7,696,935
Edison International............... 129,800 2,660,900
El Paso Energy Corp. .............. 80,900 4,120,844
Entergy Corp. ..................... 90,300 2,455,031
FirstEnergy Corp.(a)............... 87,200 2,038,300
FPL Group, Inc. ................... 68,100 3,370,950
GPU, Inc. ......................... 46,200 1,250,288
New Century Energies, Inc. ........ 40,900 1,227,000
Niagara Mohawk Holdings, Inc.(a)... 64,600 900,363
Northern States Power Co. ......... 53,900 1,088,106
PECO Energy Co. ................... 67,500 2,721,094
Public Service Enterprise Group,
Inc. ............................ 80,400 2,783,850
Reliant Energy, Inc. .............. 107,410 3,175,308
Southern Co. ...................... 239,400 5,581,012
Unicom Corp. ...................... 71,000 2,746,813
--------------
59,767,389
--------------
WASTE MANAGEMENT -- 0.1%
Allied Waste Industries, Inc.(a)... 68,000 680,000
Waste Management, Inc.(a).......... 230,230 4,374,370
--------------
5,054,370
--------------
TOTAL LONG-TERM INVESTMENTS
(cost $2,357,867,825).......................... 4,568,423,395
--------------
<CAPTION>
PRINCIPAL
AMOUNT VALUE
SHORT-TERM (000) (NOTE 2)
INVESTMENTS -- 1.4% ---------- --------------
<S> <C> <C>
REPURCHASE AGREEMENT -- 1.3%
Joint Repurchase Agreement Account,
6.49%, 07/03/00 (Note 5)......... $ 59,383 $ 59,383,000
--------------
U.S. GOVERNMENT OBLIGATIONS -- 0.1%
United States Treasury Bill,
5.64%, 09/21/00(b)............... 4,500 4,442,190
--------------
TOTAL SHORT-TERM INVESTMENTS
(cost $63,825,190)............................. 63,825,190
--------------
TOTAL INVESTMENTS -- 100.1%
(cost $2,421,693,015; Note 6).................. 4,632,248,585
VARIATION MARGIN ON OPEN FUTURES CONTRACTS(c).... 417,311
LIABILITIES IN EXCESS OF
OTHER ASSETS -- (0.1)%......................... (3,738,810)
--------------
NET ASSETS -- 100.0%............................. $4,628,927,086
==============
</TABLE>
The following abbreviations are used in portfolio descriptions:
<TABLE>
<S> <C>
ADR American Depository Receipt.
NV Naamloze Vennootschap (Dutch Corporation).
PLC Public Limited Company (British Corporation).
SA Sociedad Anomia (Spanish Corporation) or Societe
Anonyme (French Corporation).
</TABLE>
(a) Non-income producing security.
(b) Security segregated as collateral for futures contracts.
(c) Open futures contracts as of June 30, 2000, are as follows:
<TABLE>
<CAPTION>
NUMBER OF EXPIRATION VALUE AT VALUE AT
CONTRACTS TYPE DATE TRADE DATE JUNE 30, 1999 DEPRECIATION
<C> <S> <C> <C> <C> <C>
187 S&P 500 Index Sept.00 $60,954,057 $59,825,075 $(1.128,982)
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B53
<PAGE> 69
EQUITY INCOME PORTFOLIO
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
LONG-TERM INVESTMENTS -- 97.6% VALUE
SHARES (NOTE 2)
COMMON STOCKS -- 95.8% --------- --------------
<S> <C> <C>
AIRLINES -- 1.4%
AMR Corp.(a) ........................ 912,100 $ 24,113,644
--------------
APPAREL -- 0.9%
Kellwood Co. ........................ 731,300 15,448,713
--------------
AUTOMOBILES & TRUCKS -- 2.5%
Borg-Warner Automotive, Inc. ........ 116,700 4,099,087
Dana Corp. .......................... 244,300 5,176,106
Ford Motor Co. ...................... 333,100 14,323,300
General Motors Corp. ................ 295,667 18,270,175
Visteon Corp. ....................... 43,614 528,817
--------------
42,397,485
--------------
BANKING -- 5.7%
BankAmerica Corp. ................... 553,500 23,800,500
Bank One Corp. ...................... 443,500 11,780,469
Chase Manhattan Corp. ............... 584,000 26,900,500
Comerica, Inc. ...................... 425,200 19,080,850
PNC Bank Corp. ...................... 356,000 16,687,500
--------------
98,249,819
--------------
CHEMICALS -- 2.7%
Dow Chemical Co. .................... 658,500 19,878,469
Lyondell Chemical Co. ............... 707,100 11,843,925
Millennium Chemicals, Inc. .......... 833,798 14,174,566
--------------
45,896,960
--------------
COMPUTERS -- 2.4%
Compaq Computer Corp. ............... 343,900 8,790,944
International Business Machines
Corp. ............................. 298,400 32,693,450
--------------
41,484,394
--------------
COMPUTER SOFTWARE & SERVICES -- 1.5%
Computer Associates International,
Inc. .............................. 502,900 25,742,194
--------------
CONSTRUCTION -- 0.8%
Centex Corp. ........................ 627,200(b) 14,739,200
--------------
CONTAINERS -- 0.5%
Crown Cork & Seal Co., Inc. ......... 529,700 7,945,500
--------------
DIVERSIFIED CONSUMER PRODUCTS -- 4.1%
Eastman Kodak Co. ................... 762,200 45,350,900
Philip Morris Co., Inc. ............. 926,400 24,607,500
--------------
69,958,400
--------------
DRUGS & MEDICAL SUPPLIES -- 0.6%
Merck & Co., Inc. ................... 129,400 9,915,275
--------------
ELECTRONICS -- 0.1%
Esterline Technologies Corp.(a) ..... 129,900 1,932,263
--------------
FINANCIAL SERVICES -- 16.6%
A.G. Edwards, Inc. .................. 768,000 29,952,000
Associates First Capital Corp. ...... 918,900 20,502,956
Bear, Stearns & Co., Inc. ........... 1,034,434 43,058,315
Countrywide Mortgage Investments,
Inc. .............................. 539,900 16,365,719
Lehman Brothers Holdings, Inc. ...... 1,038,200 98,174,787
PaineWebber Group, Inc. ............. 1,220,800 55,546,400
Washington Mutual, Inc. ............. 766,400 22,129,800
--------------
285,729,977
--------------
</TABLE>
<TABLE>
<CAPTION>
VALUE
COMMON STOCKS SHARES (NOTE 2)
(CONTINUED) --------- --------------
<S> <C> <C>
FOOD & BEVERAGE -- 2.8%
Nabisco Group Holdings Corp. ........ 1,853,380 $ 48,072,044
--------------
FOREST PRODUCTS -- 4.0%
Georgia-Pacific Corp. ............... 972,200(b) 25,520,250
Longview Fibre Co. .................. 1,333,500 14,751,844
Louisiana-Pacific Corp. ............. 1,299,900 14,136,413
Rayonier, Inc. ...................... 401,000 14,385,875
--------------
68,794,382
--------------
HOSPITALS/HOSPITAL MANAGEMENT -- 5.4%
Columbia/HCA Healthcare Corp. ....... 1,287,000 39,092,625
Humana, Inc.(a)...................... 3,064,600 14,939,925
Tenet Healthcare Corp. (a)........... 1,461,300 39,455,100
--------------
93,487,650
--------------
HOUSING RELATED -- 4.6%
Hanson, PLC, ADR (United Kingdom).... 1,265,050 44,593,012
Kaufman & Broad Home Corp. .......... 940,000(b) 18,623,750
Ryland Group, Inc. .................. 693,100 15,334,838
--------------
78,551,600
--------------
INSURANCE -- 3.2%
Aetna, Inc. ......................... 324,200 20,809,587
Allstate Corp. ...................... 604,900 13,459,025
SAFECO Corp. ........................ 704,500 14,001,938
Selective Insurance Group, Inc. ..... 401,900 7,636,100
--------------
55,906,650
--------------
MACHINERY -- 1.7%
Cascade Corp. ....................... 115,900 1,383,556
Ingersoll-Rand Co. .................. 200,000 8,050,000
Snap-On, Inc. ....................... 722,800 19,244,550
--------------
28,678,106
--------------
MEDIA -- 1.1%
Donnelley (R.R.) & Sons Co. ......... 860,800 19,421,800
--------------
METALS - FERROUS -- 2.5%
AK Steel Holding Corp. .............. 789,200 6,313,600
USX -- U.S. Steel Group.............. 1,975,400 36,668,362
--------------
42,981,962
--------------
METALS - NON FERROUS -- 3.2%
ALCOA, Inc. ......................... 1,905,206 55,250,974
--------------
OIL & GAS -- 5.1%
Anadarko Petroleum Corp. ............ 245,100(b) 12,086,494
ENSCO International, Inc............. 188,600 6,754,237
Noble Affiliates, Inc. .............. 824,000 30,694,000
Pioneer Natural Resources Co. ....... 2,582,617 32,928,367
USX-Marathon Corp. .................. 233,100 5,842,069
--------------
88,305,167
--------------
OIL & GAS SERVICES -- 1.5%
McDermott International, Inc. ....... 2,938,100 25,892,006
--------------
PRECIOUS METALS -- 1.1%
Stillwater Mining Co. (a)............ 712,500 19,860,937
--------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B54
<PAGE> 70
EQUITY INCOME PORTFOLIO (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
COMMON STOCKS SHARES (NOTE 2)
(CONTINUED) --------- --------------
<S> <C> <C>
REAL ESTATE INVESTMENT TRUST -- 7.9%
Crescent Real Estate Equities Co. ... 1,738,000 $ 35,629,000
Equity Office Properties Trust....... 550,178 15,164,281
Equity Residential Properties
Trust.............................. 987,800 45,438,800
Manufactured Home Communities,
Inc. .............................. 220,200 5,271,038
Vornado Realty Trust................. 1,002,500 34,836,875
--------------
136,339,994
--------------
RETAIL -- 1.2%
CVS Corp. ........................... 110,900 4,436,000
Heilig-Meyers Co. ................... 550,100 653,244
The Limited, Inc. ................... 726,432 15,709,092
--------------
20,798,336
--------------
TELECOMMUNICATIONS -- 5.9%
AT&T Corp. .......................... 635,900(b) 20,110,337
CenturyTel, Inc. .................... 81,800 2,374,016
GTE Corp. ........................... 639,500 39,808,875
Motorola, Inc. ...................... 267,600 7,777,125
SBC Communications, Inc. ............ 203,400 8,797,050
Sprint Corp. ........................ 446,100 22,751,100
--------------
101,618,503
--------------
TOBACCO -- 1.4%
R.J. Reynolds Tobacco Holdings,
Inc. .............................. 851,560 23,790,457
--------------
TRANSPORTATION -- 1.3%
Sabre Group Holdings, Inc. (Class "A"
Stock)............................. 770,967 21,972,559
--------------
UTILITIES -- 2.1%
Nisource Incorporated................ 925,800 17,243,025
PECO Energy Co. ..................... 450,200 18,148,687
--------------
35,391,712
--------------
TOTAL COMMON STOCKS
(cost $1,610,355,556)........................... 1,648,668,663
--------------
PREFERRED
STOCKS -- 1.4%
METALS - NON FERROUS -- 0.3%
Bethlehem Steel Corp., (Cum. Conv.),
$3.50.............................. 256,500 4,488,750
Hecla Mining Co. (Cum. Conv.),
7.00%, Ser. B...................... 60,600 1,166,550
--------------
5,655,300
--------------
RETAIL -- 1.1%
Kmart Corp. (Cum. Conv.), 7.75%...... 523,700 19,082,319
--------------
REAL ESTATE DEVELOPMENT
Union Pacific Capital Trust, 6.25%... 4,900 194,775
--------------
TOTAL PREFERRED STOCKS
(cost $46,106,438).............................. 24,932,394
--------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
MOODY'S AMOUNT VALUE
CONVERTIBLE RATING (000) (NOTE 2)
BONDS -- 0.4% ------- --------- --------------
<S> <C> <C> <C>
OIL & GAS SERVICES -- 0.3%
Baker Hughes, Inc.,
Zero Coupon 05/05/08..... A3 $ 5,900 $ 4,527,188
--------------
REAL ESTATE INVESTMENT
TRUST -- 0.1%
Malan Realty Investors,
Inc., 9.50%, 07/15/04.... A2 2,930 2,658,975
--------------
TOTAL CONVERTIBLE BONDS
(cost $7,186,099)............................... 7,186,163
--------------
TOTAL LONG-TERM INVESTMENTS
(cost $1,663,648,093)........................... 1,680,787,220
--------------
SHORT-TERM INVESTMENTS -- 4.3%
COMMERCIAL PAPER -- 1.4%
Keyspan Corp., 7.00%
07/28/00................. P2 3,240(c) 3,224,250
Phillips Pete Co., 7.30%
07/03/00................. P2 16,000(c) 16,000,000
TRW, Inc., 6.90% 08/15/00.. P2 5,000(c) 4,958,792
--------------
24,183,042
--------------
TIME DEPOSIT -- 1.7%
Deutsche Bank AG, 7.125%
07/03/00................. P1 3,611(c) 3,611,000
Dexia Bank, 7.062%
07/03/00................. P1 26,000(c) 26,000,000
--------------
29,611,000
--------------
REPURCHASE AGREEMENT -- 1.2%
Joint Repurchase
Agreement Account,
6.49%, 07/03/00
(cost $21,298,000; Note
5)....................... 21,298 21,298,000
--------------
TOTAL SHORT-TERM INVESTMENTS
(cost $75,092,042).............................. 75,092,042
--------------
TOTAL INVESTMENTS -- 101.9%
(cost $1,738,797,093; Note 6)....... 1,755,879,262
LIABILITIES IN EXCESS OF OTHER
ASSETS -- (1.9)%.................... (33,724,021)
--------------
NET ASSETS -- 100.0%.................. $1,722,155,241
==============
</TABLE>
The following abbreviations are used in portfolio descriptions:
ADR American Depository Receipt.
PLC Public Limited Company (British Corporation).
SA Sociedad Anomia (Spanish Corporation) or Societe Anonyme (French
Corporation).
(a) Non-income producing security.
(b) Portion of securities on loan with an aggregate market value of $50,735,826;
cash collateral of $53,524,300 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.
B55
<PAGE> 71
EQUITY PORTFOLIO
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
LONG-TERM INVESTMENTS -- 84.1% VALUE
SHARES (NOTE 2)
COMMON STOCKS ---------- --------------
<S> <C> <C>
AUTOMOBILES & TRUCKS -- 1.1%
Delphi Automotive Systems Corp. ... 440,325 $ 6,412,233
General Motors Corp. .............. 473,826 27,511,522
Navistar International Corp. (a)... 395,200 12,275,900
PACCAR Inc. ....................... 279,400 11,088,687
--------------
57,288,342
--------------
CHEMICALS -- 1.4%
Eastman Chemical Co. .............. 941,550 44,959,012
Potash Corp. of Saskatchewan, Inc.
(Canada)......................... 380,000 20,971,250
Wellman, Inc. ..................... 798,200 12,920,863
--------------
78,851,125
--------------
CONSTRUCTION & HOUSING -- 0.5%
Centex Corp. ...................... 1,200,000 28,200,000
--------------
CONSUMER SERVICES -- 3.7%
CKE Restaurants, Inc. ............. 1,933,700 5,801,100
Darden Restaurants, Inc. .......... 7,922,700 128,743,875
Hilton Hotels Corp. ............... 3,470,600 32,536,875
Waste Management, Inc. ............ 1,882,292 35,763,548
--------------
202,845,398
--------------
DIVERSIFIED CONSUMER PRODUCTS -- 8.2%
Eastman Kodak Co. ................. 3,368,600 200,431,700
Nabisco Group Holdings Corp. ...... 3,710,000 96,228,125
Philip Morris Co., Inc. ........... 2,025,000 53,789,063
R.J. Reynolds Tobacco Holdings,
Inc. ............................ 1,236,666 34,549,356
Sara Lee Corp. .................... 2,497,500 48,232,969
Service Corp. International (a).... 3,712,100 11,832,319
--------------
445,063,532
--------------
DIVERSIFIED MANUFACTURING -- 0.8%
American Standard Co., Inc.(a)..... 1,050,000 43,050,000
--------------
FINANCIAL SERVICES -- 13.8%
American Financial Group, Inc. .... 552,700 13,713,869
American General Corp. ............ 879,704 53,661,944
AXA Financial, Inc. ............... 2,373,800 79,009,200
Bank of America Corp. ............. 1,789,856 76,963,808
Bank of New York Co., Inc. ........ 1,265,600 58,850,400
Chubb Corp. ....................... 2,206,400 135,693,600
John Hancock Financial Services,
Inc.(a).......................... 1,748,100 41,408,119
Loews Corp. ....................... 1,775,000 106,500,000
Mellon Financial Corp. ............ 540,200 19,683,537
Mercantile Bankshares Corp. ....... 419,400 12,503,363
Old Republic International
Corp. ........................... 3,198,327 52,772,395
SAFECO Corp. ...................... 2,855,800 56,759,025
St. Paul Companies, Inc. .......... 1,320,100 45,048,412
--------------
752,567,672
--------------
HEALTHCARE SERVICE -- 16.4%
Foundation Health Systems,
Inc.(a).......................... 4,724,610 61,419,930
HCA - The Healthcare Company....... 5,790,100 175,874,287
HEALTHSOUTH Corp.(a)............... 5,787,800 41,599,813
PacifiCare Health Systems,
Inc.(a).......................... 1,143,900 68,848,481
Tenet Healthcare Corp.(a).......... 7,321,732 197,686,764
UnitedHealth Group, Inc. .......... 1,914,900 164,202,675
Wellpoint Health Networks,
Inc.(a).......................... 2,570,900 186,229,569
--------------
895,861,519
--------------
</TABLE>
<TABLE>
<CAPTION>
VALUE
COMMON STOCKS SHARES (NOTE 2)
(CONTINUED) ---------- --------------
<S> <C> <C>
HEALTHCARE SERVICE (CONT'D.)
INDUSTRIAL TECHNOLOGY -- 0.1%
Gerber Scientific, Inc............. 419,800 $ 4,827,700
--------------
METAL & MINERALS -- 4.9%
Alcoa, Inc. ....................... 3,764,000 109,156,000
Birmingham Steel Corp. (a)......... 1,492,400 5,783,050
Freeport-McMoRan Copper & Gold,
Inc. (Class "A" Stock)(a)........ 3,853,300 35,161,362
Freeport-McMoRan Copper & Gold,
Inc. (Class "B" Stock)(a)........ 319,600 2,956,300
Newmont Mining Corp. .............. 3,057,000 66,107,625
Phelps Dodge Corp. ................ 1,263,900 47,001,281
--------------
266,165,618
--------------
OIL & GAS -- 6.2%
Amerada Hess Corp. ................ 325,000 20,068,750
BP Amoco PLC, ADR (United
Kingdom)......................... 1,804,000 102,038,750
Kerr-McGee Corp. .................. 590,400 34,796,700
Occidental Petroleum Corp. ........ 1,100,000 23,168,750
Total Fina Elf SA, ADR (France).... 2,075,275 159,407,061
--------------
339,480,011
--------------
PAPER & FOREST PRODUCTS -- 9.2%
Fort James Corp. .................. 664,000 15,355,000
Georgia-Pacific Corp. (Timber
Group)........................... 1,158,000 25,041,750
Georgia-Pacific Group.............. 3,875,800 101,739,750
International Paper Co. ........... 2,261,200 67,412,025
Mead Corp. ........................ 2,690,300 67,930,075
Rayonier, Inc. .................... 830,400 29,790,600
Temple-Inland, Inc. ............... 1,516,600 63,697,200
Weyerhaeuser Co. .................. 1,522,500 65,467,500
Willamette Industries, Inc. ....... 2,500,000 68,125,000
--------------
504,558,900
--------------
RETAIL -- 5.9%
Consolidated Stores Corp.(a)....... 2,023,800 24,285,600
Dillard's, Inc. ................... 3,649,000 44,700,250
IKON Office Solutions, Inc. ....... 5,193,000 20,122,875
J.C. Penney Co., Inc. ............. 1,098,800 20,259,125
Jones Apparel Group, Inc.(a)....... 716,973 16,848,866
Kmart Corp.(a)..................... 6,500,000 44,281,250
Pep Boys - Manny, Moe & Jack....... 1,594,900 9,569,400
RadioShack Corp. .................. 2,166,900 102,656,887
Sears, Roebuck & Co. .............. 138,900 4,531,613
Toys 'R' Us, Inc.(a)............... 2,350,000 34,221,875
--------------
321,477,741
--------------
TECHNOLOGY -- 5.1%
Arrow Electronics, Inc.(a)......... 2,145,500 66,510,500
Avnet, Inc......................... 887,600 52,590,300
Compaq Computer Corp............... 4,533,150 115,878,647
Computer Associates International,
Inc.............................. 791,300 40,504,669
Lanier Worldwide, Inc.(a).......... 2,884,000 2,884,000
--------------
278,368,116
--------------
TELECOMMUNICATIONS -- 4.4%
ALLTEL Corp. (a)................... 1,129,588 69,963,857
AT&T Corp. ........................ 1,448,700 45,815,137
General Motors Corp. (Class "H"
Stock)(a)........................ 166,325 14,595,019
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B56
<PAGE> 72
EQUITY PORTFOLIO (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
COMMON STOCKS SHARES (NOTE 2)
(CONTINUED) ---------- --------------
<S> <C> <C>
TELECOMMUNICATIONS (CONT'D.)
Harris Corp. ...................... 2,884,000 $ 94,451,000
Loral Space & Communications, Ltd.
(a).............................. 2,600,000 18,037,500
--------------
242,862,513
--------------
UTILITY -- ELECTRIC -- 2.4%
American Electric Power Co,
Inc. ............................ 180,000 5,332,500
GPU, Inc. ......................... 500,000 13,531,250
KeySpan Corp....................... 1,356,432 41,710,284
Reliant Energy, Inc. .............. 974,519 28,809,218
Unicom Corp. ...................... 1,112,900 43,055,319
--------------
132,438,571
--------------
TOTAL LONG-TERM INVESTMENTS
(cost $4,101,340,677).......................... 4,593,906,758
--------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
SHORT-TERM MOODY'S AMOUNT
INVESTMENTS -- RATING (000)
15.8% ------- ----------
<S> <C> <C> <C>
COMMERCIAL PAPER -- 14.6%
American Express Co.,
6.63%, 07/11/00........ P1 $ 5,350 5,340,147
Bank of Montreal,
6.58%, 07/17/00........ P2 26,537 26,537,000
Barton Capital Corp.,
6.58%, 07/25/00........ P1 25,194 25,083,482
6.60%, 08/07/00........ P1 28,308 28,115,978
BCI Funding Corp.,
6.58%, 07/11/00........ P1 14,963 14,935,651
Black Forest Corp.,
6.57%, 07/05/00........ P1 20,800 20,784,816
6.56%, 07/10/00........ P1 35,000 34,942,600
Blue Ridge Asset,
6.58%, 07/19/00........ P1 25,000 24,917,750
Canadian Imperial Bank of
Commerce,
6.58%, 07/12/00........ P2 56,000 56,000,000
Centric Capital Corp.,
6.65%, 08/08/00........ P1 4,800 4,766,307
Citicorp,
6.62%, 08/14/00........ P1 27,000 26,781,540
Dexia Bank,
7.13%, 07/03/00........ P2 30,000 30,000,000
Edison Asset
Securitization LLC,
6.65%, 08/10/00........ P1 50,000 49,630,555
Enterprise Funding Corp.,
6.60%, 07/19/00........ P1 31,000 30,897,700
6.55%, 07/28/00........ P1 25,000 24,877,187
Falcon Asset
Securitization Corp.,
6.55%, 07/25/00........ P1 57,000 56,751,100
General Motors Acceptance
Corp.,
6.63%, 07/12/00........ P1 4,500 4,490,884
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
SHORT-TERM MOODY'S AMOUNT VALUE
INVESTMENTS RATING (000) (NOTE 2)
(CONTINUED) ------- ---------- --------------
<S> <C> <C> <C>
COMMERCIAL PAPER (CONT'D.)
GTE Corp.,
6.62%, 07/26/00........ P1 $ 5,600 $ 5,574,255
Hartford Financial
Services,
6.60%, 08/18/00........ P1 55,000 54,516,000
Kimberly Clark Corp.,
6.54%, 07/28/00........ P1 13,000 12,936,235
Morgan Stanley Dean
Witter & Co.,
6.58%, 07/27/00........ P1 20,000 19,904,956
Old Line Funding Corp.,
6.57%, 07/17/00........ P1 50,000 49,854,000
Salomon Smith Barney
Holdings, Inc.,
6.54%, 07/28/00........ P1 28,000 27,862,660
Sony Capital Corp.,
6.60%, 07/07/00........ P1 50,000 49,945,000
Target Corp.,
6.64%, 08/07/00........ P1 20,000 19,863,511
Thunder Bay Funding,
Inc.,
6.58%, 07/17/00........ P1 7,000 6,979,529
6.56%, 07/18/00........ P1 32,981 32,878,832
6.56%, 07/20/00........ P1 16,300 16,243,566
TransAmerica Financial
Corp.,
6.60%, 07/17/00........ P1 15,000 14,956,000
Windmill Funding Corp.,
6.60%, 07/26/00........ P1 20,000 19,908,333
--------------
796,275,574
--------------
<CAPTION>
PRINCIPAL
SHORT-TERM AMOUNT VALUE
INVESTMENTS (000) (NOTE 2)
(CONTINUED) ---------- --------------
<S> <C> <C> <C>
REPURCHASE AGREEMENT -- 1.2%
Joint Repurchase Agreement Account
6.49%, 07/03/00 (Note 5)........ 67,436 67,436,000
--------------
TOTAL SHORT-TERM INVESTMENTS
(cost $863,711,574)............................ 863,711,574
--------------
TOTAL INVESTMENTS -- 99.9%
(cost $4,965,052,251; Note 6).................. 5,457,618,332
ASSETS IN EXCESS OF OTHER
LIABILITIES -- 0.1%............................ 6,425,993
--------------
NET ASSETS -- 100.0%............................. $5,464,044,325
==============
</TABLE>
The following abbreviations are used in portfolio descriptions:
ADR American Depository Receipt.
PLC Public Limited Company (British Corporation).
SA Sociedad Anonima (Spanish Corporation) or Societe Anonyme (French
Corporation).
(a) Non-income producing security.
SEE NOTES TO FINANCIAL STATEMENTS.
B57
<PAGE> 73
JENNISON PORTFOLIO
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
LONG-TERM INVESTMENTS -- 95.9% VALUE
SHARES (NOTE 2)
COMMON STOCKS ---------- --------------
<S> <C> <C>
ADVERTISING -- 1.1%
Omnicom Group Inc. ........................ 420,200 $ 37,424,063
--------------
COMPUTERS -- 8.9%
Compaq Computer Corp. ..................... 1,348,100 34,460,806
Dell Computer Corp.(a)..................... 775,300 38,231,981
EMC Corp.(a)............................... 968,000 74,475,500
Hewlett-Packard Co. ....................... 965,500 120,566,812
Sun Microsystems, Inc.(a).................. 471,800 42,904,313
--------------
310,639,412
--------------
COMPUTER SOFTWARE & SERVICES -- 7.2%
ASM Lithography Holding N.V.(a)............ 555,100 24,493,787
Cisco Systems, Inc.(a)..................... 1,854,000 117,844,875
Juniper Networks, Inc.(a).................. 142,200 20,698,988
Microsoft Corp.(a)......................... 758,600 60,688,000
VERITAS Software Corp.(a).................. 229,050 25,886,229
--------------
249,611,879
--------------
COSMETICS & SOAPS -- 0.6%
Estee Lauder Companies (Class "A")......... 414,500 20,491,844
--------------
DIVERSIFIED OPERATIONS -- 3.2%
Corning, Inc. ............................. 154,200 41,614,725
General Electric Co. ...................... 1,330,000 70,490,000
--------------
112,104,725
--------------
DRUGS & MEDICAL SUPPLIES -- 12.8%
American Home Products Corp. .............. 1,061,300 62,351,375
Amgen, Inc.(a)............................. 744,300 52,287,075
Genetech, Inc.(a).......................... 232,800 40,041,600
Lilly (Eli) & Co. ......................... 270,200 26,986,225
Merck & Co., Inc. ......................... 714,200 54,725,575
Pfizer, Inc. .............................. 2,819,300 135,326,400
Pharmacia Corp. ........................... 1,373,994 71,018,315
--------------
442,736,565
--------------
ELECTRONICS -- 8.5%
Applied Materials, Inc.(a)................. 532,600 48,266,875
Applied Micro Circuits Corp.(a)............ 232,800 22,989,000
Broadcom Corp.(a).......................... 90,200 19,748,162
Intel Corp. ............................... 954,800 127,644,825
Texas Instruments, Inc. ................... 1,122,100 77,074,244
--------------
295,723,106
--------------
FINANCIAL SERVICES -- 10.0%
American Express Co. ...................... 1,278,600 66,647,025
Citigroup, Inc. ........................... 1,927,200 116,113,800
Merrill Lynch & Co., Inc. ................. 638,600 73,439,000
Morgan Stanley Dean Witter & Co. .......... 1,111,340 92,519,055
--------------
348,718,880
--------------
INSURANCE -- 2.2%
American International Group, Inc. ........ 636,425 74,779,937
--------------
INTERNET SOFTWARE -- 1.7%
America Online, Inc.(a).................... 706,600 37,273,150
Verisign, Inc. ............................ 128,000 22,592,000
--------------
59,865,150
--------------
MEDIA -- 8.2%
AT&T Corp. -- Liberty Media Group (Class
"A" Stock)............................... 2,239,000 54,295,750
Clear Channel Communications, Inc.(a)...... 779,100 58,432,500
Time Warner, Inc. ......................... 476,900 36,244,400
Univision Communications Inc(a)............ 338,300 35,014,050
Viacom, Inc.(a)............................ 1,477,119 100,721,052
--------------
284,707,752
--------------
</TABLE>
<TABLE>
<CAPTION>
VALUE
COMMON STOCKS SHARES (NOTE 2)
(CONTINUED) ---------- --------------
<S> <C> <C>
OIL & GAS SERVICES -- 1.0%
Schlumberger, Ltd. ........................ 479,600 $ 35,790,150
--------------
RETAIL -- 9.7%
Costco Wholesale Corp.(a).................. 137,500 4,537,500
Gap, Inc. (The)............................ 1,228,850 38,401,562
Home Depot, Inc. .......................... 2,269,700 113,343,144
Kohl's Corp.(a)............................ 1,277,200 71,044,250
Tiffany & Co. ............................. 525,900 35,498,250
Wal-Mart Stores, Inc. ..................... 1,273,400 73,379,675
--------------
336,204,381
--------------
TELECOMMUNICATIONS -- 20.8%
Allegiance Telecom, Inc.(a)................ 475,150 30,409,600
Ericsson (L.M.) Telephone Co., Inc. (ADR)
(Sweden)................................. 2,318,900 46,378,000
General Motors Corp (Class "H" Stock)...... 508,300 44,603,325
Global Crossing Ltd.(a).................... 1,580,000 41,573,750
JDS Uniphase Corp.(a)...................... 307,800 36,897,525
Level 3 Communications, Inc.(a)............ 173,300 15,250,400
Metromedia Fiber Network, Inc. ............ 709,200 28,146,375
Motorola, Inc. ............................ 1,026,100 29,821,031
Nextel Communications, Inc. ............... 502,400 30,740,600
Nextlink Communications(a)................. 501,600 19,029,450
Nokia Corp. (ADR) (Finland)(a)............. 2,331,500 116,429,281
Nortel Networks Corp....................... 576,100 39,318,825
NTL, Inc.(a)(b)............................ 740,850 44,358,394
Qwest Communications International,
Inc.(a)(b)............................... 1,896,100 94,212,469
Vodafone AirTouch Group PLC, ADR (United
Kingdom)................................. 2,574,581 106,684,217
--------------
723,853,242
--------------
TOTAL LONG-TERM INVESTMENTS
(cost $2,573,842,030).................................. 3,332,651,086
--------------
<CAPTION>
PRINCIPAL
AMOUNT VALUE
SHORT-TERM (000) (NOTE 2)
INVESTMENTS -- 4.2% ---------- --------------
<S> <C> <C>
REPURCHASE AGREEMENT
Joint Repurchase Agreement Account 6.49%,
07/03/00
(cost $145,588,000; Note 5).............. $ 145,588 $ 145,588,000
--------------
TOTAL INVESTMENTS -- 100.1%
(cost $2,719,430,030; Note 6).......................... 3,478,239,086
LIABILITIES IN EXCESS OF OTHER
ASSETS -- (0.1%)....................................... (5,109,135)
--------------
NET ASSETS -- 100.0%..................................... $3,473,129,951
==============
</TABLE>
The following abbreviations are used in portfolio descriptions:
<TABLE>
<S> <C>
ADR American Depository Receipt
PLC Public Limited Company (British Corporation)
NV Naamloze Vennootschap (Dutch Corporation)
</TABLE>
(a) Non-income producing security.
(b) Portion of the security on loans: As of June 30, 2000, the Fund had
securities on loan with an aggregate market value of $113,899,238. As of this
date, the collateral held for securities on loan was comprised of U.S.
government securities with an aggregate market value of $119,174,485.
SEE NOTES TO FINANCIAL STATEMENTS.
B58
<PAGE> 74
SMALL CAPITALIZATION STOCK PORTFOLIO
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
LONG-TERM
INVESTMENTS -- 95.3%
VALUE
SHARES (NOTE 2)
COMMON STOCKS --------- ------------
<S> <C> <C>
ADVERTISING -- 1.3%
Cyrk, Inc. ......................... 19,200 $ 96,000
HA-LO Industries, Inc. ............. 59,500 334,687
Penton Media Inc. .................. 38,800 1,358,000
Snyder Communications, Inc.(a)...... 87,500 2,078,125
True North Communications, Inc. .... 59,000 2,596,000
------------
6,462,812
------------
AEROSPACE -- 0.7%
Alliant Techsystems, Inc.(a)........ 11,500 775,531
BE Aerospace, Inc.(a)............... 30,400 209,000
GenCorp Inc. ....................... 51,100 408,800
Kaman Corp. (Class "A" Stock)....... 27,800 297,112
Orbital Sciences Corp.(a)........... 45,700 556,969
Trimble Navigation, Ltd.(a)......... 27,600 1,347,225
------------
3,594,637
------------
AGRICULTURAL PRODUCTS & SERVICES -- 0.3%
Agribrands International, Inc.(a)... 12,500 524,219
Delta & Pine Land Co................ 47,300 1,185,456
------------
1,709,675
------------
AIRLINES -- 0.5%
Atlantic Coast Airlines Holdings,
Inc.(a)........................... 22,700 720,725
Mesa Air Group, Inc.(a)............. 41,800 231,206
Midwest Express Holdings, Inc.(a)... 17,300 371,950
SkyWest, Inc. ...................... 30,100 1,115,581
------------
2,439,462
------------
APPAREL -- 0.4%
K-Swiss, Inc. (Class "A" Stock)..... 13,100 208,781
Pacific Sunwear of California,
Inc.(a)........................... 38,300 718,125
Phillips-Van Heusen Corp. .......... 33,300 316,350
Wolverine World Wide, Inc. ......... 50,412 497,819
------------
1,741,075
------------
APPLIANCES & HOME FURNISHINGS -- 0.2%
Applica, Inc........................ 27,600 312,225
Salton, Inc. ....................... 13,800(c) 508,875
------------
821,100
------------
AUTOS - CARS & TRUCKS -- 0.6%
Action Performance Cos., Inc. ...... 20,000(c) 145,000
Midas, Inc. ........................ 19,900 398,000
Myers Industries, Inc. ............. 24,394 262,235
Simpson Industries, Inc. ........... 22,000 165,688
Spartan Motors, Inc. ............... 15,300 64,069
Standard Motor Products, Inc. ...... 15,800 134,300
TBC Corp.(a)........................ 25,800 119,325
Tenneco Automotive, Inc. ........... 41,100 215,775
Titan International, Inc. .......... 25,200 133,875
Tower Automotive, Inc. ............. 57,300 716,250
Wabash National Corp. .............. 28,100 335,444
Wynn's International, Inc. ......... 22,725 515,573
------------
3,205,534
------------
BANKS AND SAVINGS & LOANS -- 4.3%
Anchor Bancorp Wisconsin, Inc. ..... 30,300 463,969
Banknorth Group, Inc. .............. 50,917 779,667
Centura Banks, Inc. ................ 48,200 1,635,787
</TABLE>
<TABLE>
<CAPTION>
VALUE
COMMON STOCKS SHARES (NOTE 2)
(CONTINUED) --------- ------------
<S> <C> <C>
BANKS AND SAVINGS & LOANS (CONT'D.)
Chittenden Corp. ................... 34,600 $ 845,538
Commercial Federal Corp.(a)......... 70,425 1,095,989
Community First Bankshares, Inc. ... 61,000 995,062
Cullen/Frost Bankers, Inc. ......... 64,900 1,707,681
Downey Financial Corp. ............. 34,444 998,876
First Bancorp/Puerto Rico........... 34,800 645,975
First Midwest Bancorp, Inc. ........ 50,300 1,169,475
Investors Financial Services
Corp. ............................ 35,600 1,412,875
Provident Bankshares Corp. ......... 32,751 442,139
Queens County Bancorp, Inc. ........ 25,850 476,609
Riggs National Corp.(a)............. 34,600 436,825
Silicon Valley Bancshares........... 54,600 2,327,325
Silicon Valley Group, Inc.(a)....... 40,800 1,055,700
Southwest Bancorp(a)................ 34,200 709,650
Staten Islands Bancorp Inc. ........ 48,400 853,050
Susquehanna Bancshares, Inc. ....... 45,200 644,100
TrustCo Bank Corp. ................. 65,420 817,750
United Bankshares, Inc. ............ 52,200 949,387
Whitney Holding Corp. .............. 27,600 943,575
------------
21,407,004
------------
CHEMICALS -- 1.9%
Arch Chemicals Inc. ................ 27,500 601,562
AVT Corp. .......................... 38,600 284,675
Cambrex Corp. ...................... 30,100 1,354,500
Chemed Corp. ....................... 12,800 360,800
Chemfirst, Inc.(a).................. 20,000 482,500
Geon Co............................. 29,000 536,500
Lilly Industries, Inc., (Class "A"
Stock)............................ 28,400 853,775
MacDermid, Inc. .................... 38,100 895,350
McWhorter Technologies, Inc.(a)..... 12,200 237,137
Mississippi Chemical Corp.(a)....... 31,872 151,392
OM Group, Inc. ..................... 29,100 1,280,400
Omnova Solutions, Inc. ............. 51,100 319,375
Penford Corp. ...................... 9,100 195,650
Quaker Chemical Corp. .............. 10,900 189,388
Scotts Co. (Class "A" Stock)(a)..... 34,200 1,248,300
TETRA Technologies, Inc. ........... 16,500 234,094
WD-40 Co............................ 18,900 392,175
------------
9,617,573
------------
COLLECTIBLES & GIFTS -- 2.5%
Department 56, Inc. ................ 21,200 233,200
Enesco Group, Inc. ................. 16,400 77,900
Lennox International Inc. .......... 69,900 926,175
------------
1,237,275
------------
COMMERCIAL SERVICES -- 4.1%
AAR Corp. .......................... 33,150 397,800
ABM Industries, Inc. ............... 27,400 630,200
Administaff Inc. ................... 8,200 520,700
ADVO, Inc. ......................... 25,100 1,054,200
Billing Information Concepts
Corp. ............................ 51,800 229,863
Bowne & Co., Inc. .................. 45,100 453,819
CDI Corp.(a)........................ 23,300 474,738
Central Parking Corp. .............. 45,050(c) 1,067,122
Central Vermont Public Service
Corp. ............................ 14,000 154,000
ChoicePoint, Inc.(a)................ 48,370 2,152,465
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B59
<PAGE> 75
SMALL CAPITALIZATION STOCK PORTFOLIO (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
COMMON STOCKS SHARES (NOTE 2)
(CONTINUED) --------- ------------
<S> <C> <C>
COMMERCIAL SERVICES (CONT'D.)
Consolidated Graphics, Inc. ........ 17,400 $ 163,125
Dentrite International, Inc. ....... 47,850 1,594,003
Eloyalty Corp....................... 52,400 668,100
Franklin Covey Co................... 24,700 171,356
F Y I Inc. ......................... 17,800 599,638
Hooper Holmes, Inc. ................ 79,000 632,000
Information Resources, Inc.(a)...... 34,400 135,450
Insurance Auto Auctions, Inc.(a).... 14,100 297,863
Interim Services, Inc.(a)........... 77,600 1,377,400
John H. Harland Co.................. 37,000 552,688
Labor Ready, Inc. .................. 52,250 346,156
Lason, Inc. ........................ 23,100 57,750
MAXIMUS, Inc.(a).................... 25,700 568,612
Memberworks, Inc.................... 18,200 611,975
Nelson Thomas, Inc. ................ 17,350 148,559
On Assignment, Inc.................. 25,600 780,800
PAREXEL International Corp.(a)...... 30,400 290,700
Pre-Paid Legal Services, Inc. ...... 27,600 824,550
Primark Corp.(a).................... 24,420 909,645
Profit Recovery Group Int'l.,
Inc. ............................. 59,500 989,187
StaffMark, Inc.(a).................. 35,900 240,081
Startek, Inc........................ 17,100 861,412
Volt Information Sciences, Inc. .... 18,400 606,050
------------
20,562,007
------------
COMPUTER SOFTWARE & SERVICES -- 0.7%
Actel Corp. ........................ 26,800 1,222,750
Davox Corp.......................... 16,600 214,763
Epresence, Inc...................... 8,100 58,725
Foster Wheeler Corp. ............... 49,800 429,525
Great Plains Software Inc. ......... 21,300 418,012
Phoenix Technology Limited.......... 30,400 495,900
Saga Systems Inc. .................. 34,979 435,051
------------
3,274,726
------------
COMPUTER SERVICES -- 6.4%
American Management Systems,
Inc.(a)........................... 49,950 1,639,765
Analysts International Corp. ....... 27,600 257,025
Aspen Technology, Inc. ............. 31,000 1,193,500
Auspex System, Inc.(a).............. 33,600 165,900
Avid Technology, Inc. .............. 29,100 349,200
BISYS Group, Inc.(a)................ 33,800(c) 2,078,700
Black Box Corp.(a).................. 24,000 1,900,125
Cerner Corp.(a)..................... 41,100 1,119,975
Ciber, Inc. ........................ 72,300(c) 957,975
Computer Task Group, Inc. .......... 25,500 129,094
Epicor Software Corp. .............. 49,900 124,750
Factset Research Systems, Inc. ..... 38,700 1,093,275
Fair Issac & Co., Inc. ............. 17,100 752,400
FileNet Corp.(a).................... 39,600 727,650
Henry (Jack) & Associates, Inc. .... 49,500 2,481,187
Hutchinson Technology, Inc. ........ 30,200 430,350
Insight Enterprises, Inc. .......... 31,600 1,874,275
Komag, Inc.(a)...................... 66,800(c) 116,900
Kroll O'Gara Co. ................... 27,100 181,231
Mercury Computer Systems, Inc. ..... 25,800 833,662
</TABLE>
<TABLE>
<CAPTION>
VALUE
COMMON STOCKS SHARES (NOTE 2)
(CONTINUED) --------- ------------
<S> <C> <C>
COMPUTER SERVICES (CONT'D.)
Midway Games, Inc. ................. 46,430 $ 374,342
National Data Corp. ................ 40,225 925,175
Pinnacle Systems Inc. .............. 59,300 1,333,323
Progress Software Corp.(a).......... 42,700 765,931
QRS Corp.(a)........................ 16,500 405,281
Radisys Corp. ...................... 20,100 1,140,675
Read-Rite Corp.(a).................. 61,000(c) 135,344
RSA Security, Inc.(a)............... 47,200 3,268,600
Scott Technologies, Inc. ........... 21,800 374,688
Standard Microsystems Corp.(a)...... 19,000 292,125
Teledyne Technologies Inc. ......... 33,000 552,750
Telxon Corp. ....................... 19,900 355,713
Xircom, Inc.(a)..................... 36,300 1,724,250
Zebra Technologies Corp. (Class "A"
Stock)(a)......................... 38,300 1,697,169
------------
31,752,305
------------
COMPUTERS -- 0.6%
Apex, Inc.(a)....................... 25,400 1,111,250
Cybex Computer Products Corp.(a).... 23,550 1,012,650
Exabyte Corp. ...................... 27,800 125,100
Gerber Scientific, Inc. ............ 27,100 311,650
Micros.............................. 20,300 376,819
------------
2,937,469
------------
CONSTRUCTION -- 1.8%
Butler Manufacturing Co. ........... 8,600 146,200
Coachmen Industries, Inc. .......... 19,200 220,800
Dycom Industries, Inc. ............. 47,250 2,173,500
Elcor Corp. ........................ 24,000 552,000
Florida Rock Industries, Inc. ...... 22,600 805,125
Insituform Technologies, Inc. (Class
"A" Stock)(a)..................... 30,100 816,462
M.D.C. Holdings, Inc. .............. 27,300 508,463
Morrison Knudsen Corp.(a)........... 64,000 464,000
NVR, Inc.(a)........................ 11,500 655,500
Oakwood Homes Corp. ................ 57,600 104,400
Republic Group, Inc. ............... 14,370 129,330
Shaw Group Inc. .................... 18,700 881,237
Simpson Manufacturing Co., Inc. .... 14,700 702,844
Standard Pacific Corp. ............. 36,050 360,500
Stone & Webster, Inc. .............. 15,600 11,700
Thomas Industries, Inc.(a).......... 19,350 342,253
------------
8,874,314
------------
CONSUMER CYCLICAL -- 0.1%
Jakks Pacific Inc. ................. 23,100 340,725
------------
CONTAINERS -- 0.2%
Aptar Group, Inc. .................. 44,600 1,204,200
------------
COSMETICS & SOAPS
Nature's Sunshine Products, Inc. ... 20,900 146,300
------------
DISTRIBUTION/ WHOLESALERS -- 0.4%
Castle (A.M.) & Co.................. 17,100 142,144
SCP Pool Corporation................ 20,700 486,450
United Stationers, Inc. ............ 41,600 1,346,800
------------
1,975,394
------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B60
<PAGE> 76
SMALL CAPITALIZATION STOCK PORTFOLIO (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
COMMON STOCKS SHARES (NOTE 2)
(CONTINUED) --------- ------------
<S> <C> <C>
DIVERSIFIED MANUFACTURING OPERATIONS -- 1.1%
Barnes Group, Inc. ................. 23,200 $ 378,450
CLARCOR, Inc. ...................... 29,300 582,337
Cuno, Inc. ......................... 20,000 462,500
Griffon Corp.(a).................... 36,400 202,475
Insteel Industries, Inc. ........... 10,300 63,731
Intermet Corp.(a)................... 28,300 194,563
Justin Industries, Inc. ............ 31,100 680,312
Lydall, Inc.(a)..................... 19,100 202,938
Mueller Industries, Inc.(a)......... 42,800 1,198,400
SPS Technologies, Inc.(a)........... 15,400 632,362
Standex International Corp. ........ 15,600 247,650
Valmont Industries, Inc. ........... 28,700 570,413
------------
5,416,131
------------
DRUGS & MEDICAL SUPPLIES -- 9.3%
ADAC Laboratories................... 25,200 604,800
Advanced Tissue Sciences, Inc.(a)... 69,200 555,762
Alliance Pharmaceutical Corp. ...... 57,400 645,750
Barr Laboratories, Inc.(a).......... 42,150 1,888,847
Baxter International, Inc. ......... 4,094 287,874
Cephalon, Inc.(a)................... 39,600(c) 2,371,050
Coherent, Inc.(a)................... 30,400 2,549,800
Conmed Corp. ....................... 18,700 483,863
COR Therapeutics, Inc.(a)........... 30,800(c) 2,627,625
Cygnus, Inc.(a)..................... 30,200 430,350
Diagnostic Products................. 16,700 534,400
Dura Pharmaceuticals, Inc........... 54,000 776,250
Enzo Biochem, Inc. ................. 30,718(c) 2,119,542
Hanger Orthopedic Group, Inc........ 23,300 115,044
Hologic, Inc.(a).................... 18,700(c) 126,225
IDEC Pharmaceuticals Corp.(a)....... 51,800 6,076,787
IDEXX Laboratories, Inc.(a)......... 44,700 1,022,512
Immune Response Corp. .............. 31,600 343,650
Invacare Corp. ..................... 36,700 963,375
Jones Pharmaceutical, Inc. ......... 79,550 3,177,028
Medicis Pharmaceutical Corp. (Class
"A" Stock)(a)..................... 35,700 2,034,900
NBTY, Inc.(a)....................... 80,800 515,100
Noven Pharmaceuticals, Inc.(a)...... 26,300 790,644
Osteotech, Inc. .................... 17,300 181,650
Owens & Minor, Inc. ................ 39,900 685,781
Priority Healthcare Corp. .......... 26,766 1,989,048
Protein Design Labs, Inc.(a)........ 22,900 3,777,427
Regeneron Pharmaceuticals,
Inc.(a)........................... 41,500 1,237,219
Resmed, Inc. ....................... 36,700 981,725
Respironics, Inc.(a)................ 35,800 644,400
SpaceLabs Medical, Inc.(a).......... 11,500 129,375
Summit Technology, Inc.(a).......... 57,100 1,077,762
Sunrise Medical, Inc.(a)............ 27,100 132,113
Syncor International Corp.(a)....... 14,500 1,044,000
Techne Corp. ....................... 24,800 3,224,000
Vital Signs, Inc. .................. 15,100 273,688
------------
46,419,366
------------
ELECTRICAL EQUIPMENT -- 3.5%
Anixter International, Inc.(a)...... 44,200 1,171,300
Baldor Electric Co.................. 43,866 817,004
</TABLE>
<TABLE>
<CAPTION>
VALUE
COMMON STOCKS SHARES (NOTE 2)
(CONTINUED) --------- ------------
<S> <C> <C>
ELECTRICAL EQUIPMENT (CONT'D.)
C-Cube Microsystems, Inc............ 49,000 $ 961,625
C&D Technologies.................... 31,800 1,796,700
Gentex Corp.(a)..................... 89,600 2,251,200
Harmon Industries, Inc. ............ 13,800 182,850
KEMET Corp.(a)...................... 106,200 2,661,637
Kent Electronics Corp.(a)........... 34,400 1,025,550
Kulicke & Soffa Industries, Inc..... 28,900 1,715,938
SLI, Inc. .......................... 43,700 529,863
Technitrol, Inc. ................... 19,900 1,927,812
Valence Technology, Inc.(a)......... 42,100 776,219
Vicor Corp.(a)...................... 50,400 1,754,550
------------
17,572,248
------------
ELECTRONICS -- 5.6%
Alpha Industries, Inc............... 48,600 2,141,437
Analogic Corp. ..................... 15,700 628,000
Artesyn Technologies, Inc. ......... 45,500 1,265,469
Audiovox Corp. ..................... 26,300 580,244
Belden, Inc. ....................... 29,800 763,625
Benchmark Electronics, Inc.(a)...... 19,800 723,937
BMC Industries, Inc. ............... 33,400 135,688
Cable Design Technologies........... 34,500 1,155,750
Checkpoint Systems, Inc. ........... 36,800 276,000
Cohu, Inc. ......................... 24,300 655,341
CTS Corp. .......................... 33,700 1,516,500
Dionex Corp.(a)..................... 27,000 722,250
Electro Scientific Industries,
Inc. ............................. 32,300 1,422,209
Electroglas, Inc.................... 24,400 524,600
Esterline Technologies Corp.(a)..... 21,200 315,350
Helix Technology Corp. ............. 27,300 1,064,700
Innovex, Inc. ...................... 18,100 176,475
Intermagnetics General Corp. ....... 15,783 298,891
International Rectifier Corp.(a).... 74,700 4,183,200
Itron, Inc.(a)...................... 18,200(c) 150,150
Methode Eletronics, Inc. (Class "A"
Stock)............................ 43,100 1,664,737
Park Electrochemical Corp. ......... 12,800 461,600
Photronics, Inc.(a)................. 29,300 831,387
Pioneer Standard Electronics,
Inc. ............................. 33,300(c) 491,175
Plexus Corp.(a)..................... 21,300 2,406,900
S3, Inc.(a)......................... 93,000 1,371,750
Three-Five Systems, Inc.(a)......... 22,150 1,306,850
Ultratech Stepper, Inc.(a).......... 26,100 388,238
X-Rite, Inc. ....................... 25,900 236,338
------------
27,858,791
------------
ELECTRONIC COMPONENTS -- 0.4%
Sanmina Corp. ...................... 23,380 1,998,990
------------
ENERGY -- 0.4%
UGI Corp. .......................... 33,300 682,650
Unisource Energy Corp............... 39,800 597,000
Veritas DGC, Inc.(a)................ 31,600 821,600
------------
2,101,250
------------
ENGINEERING -- 0.1%
URS Corp. .......................... 19,400 295,850
------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B61
<PAGE> 77
SMALL CAPITALIZATION STOCK PORTFOLIO (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
COMMON STOCKS SHARES (NOTE 2)
(CONTINUED) --------- ------------
<S> <C> <C>
ENVIRONMENTAL SERVICES -- 0.3%
Ionics, Inc.(a)..................... 19,800 $ 606,375
Tetra Tech, Inc.(a)................. 47,050 1,076,269
------------
1,682,644
------------
FINANCIAL SERVICES -- 4.4%
AmeriCredit Corp. .................. 91,500 1,555,500
Charles Schwab Corp. ............... 117,717 3,958,249
Commerce Bancorp, Inc. ............. 35,994 1,655,724
Dain Rauscher Corp. ................ 15,300 1,009,800
Eaton Vance Corp. .................. 43,100 1,993,375
HUBCO, Inc. ........................ 61,702 1,384,439
Jeffries Group, Inc. ............... 29,300 591,494
MAF Bancorp, Inc. .................. 29,400 534,712
Morgan Keegan, Inc. ................ 35,500 523,625
National Discount Brokers Group..... 20,800 663,000
Pioneer Group, Inc. ................ 32,400 1,372,950
Radian Group, Inc. ................. 45,500 2,354,625
Raymond James Financial, Inc. ...... 56,218 1,264,905
SEI Corp. .......................... 65,100 2,591,794
South Financial Group Inc. ......... 31,400 455,300
------------
21,909,492
------------
FOOD & BEVERAGE -- 2.2%
American Italian Pasta Co. (Class
"A" Stock)........................ 22,400 463,400
Beringer Wine Estates Holdings,
Inc. ............................. 24,000 847,500
Canandaigua Wine Co. ............... 22,100 1,114,669
Chiquita Brands International,
Inc. ............................. 80,475 316,870
Coca-Cola Bottling Co............... 10,700 460,267
Corn Products International,
Inc. ............................. 45,500 1,205,750
Earthgrains Co...................... 51,800 1,006,862
Fleming Companies, Inc. ............ 47,400 619,163
Hain Celestial Group Incorporated... 22,200 814,463
J & J Snack Foods Corp.(a).......... 11,000 196,625
Michael Foods, Inc. ................ 24,800 607,600
Nash-Finch Co....................... 13,800 113,850
Performance Food Group Co.(a)....... 17,300 553,600
Ralcorp Holdings, Inc. ............. 37,300 456,925
Smithfield Foods, Inc.(a)........... 71,000 1,992,437
United Natural Foods, Inc. ......... 22,300 306,625
------------
11,076,606
------------
FURNITURE -- 0.6%
Aaron Rents, Inc. .................. 24,300 305,269
Bassett Furniture Industries,
Inc. ............................. 14,900 188,112
Ethan Allen Interiors, Inc.(a)...... 49,950 1,198,800
Interface, Inc. (Class "A" Stock)... 62,900 239,806
La-Z-Boy Chair Co. ................. 75,000 1,050,000
------------
2,981,987
------------
HEALTHCARE -- 2.9%
Bio-Technology General Corp.(a)..... 64,600 851,912
Biomatrix, Inc.(a).................. 28,100(c) 635,763
Cooper Companies, Inc. (The) ....... 17,100 622,013
Coventry Corp....................... 72,300 963,623
Datascope Corp...................... 18,400 662,400
Laser Vision Ctrs, Inc. ............ 30,800 190,575
MedQuist, Inc....................... 43,900 1,492,600
</TABLE>
<TABLE>
<CAPTION>
VALUE
COMMON STOCKS SHARES (NOTE 2)
(CONTINUED) --------- ------------
<S> <C> <C>
HEALTHCARE (CONT'D.)
Mentor Corp. ....................... 29,700 $ 807,469
Organogenesis, Inc.(a).............. 37,200 425,475
Patterson Dental Co.(a)............. 41,200 2,101,200
Pharmaceutical Product Development,
Inc. ............................. 30,100 632,100
Renal Care Group, Inc.(a)........... 54,650 1,336,363
Sierra Health Services, Inc.(a)..... 32,825 104,630
Smith (A.O.) Corp. ................. 28,600 598,813
Sola International, Inc.(a)......... 30,400 148,200
Theragenics Corp. .................. 36,000 308,250
US Oncology, Inc. .................. 105,000 525,000
Varian Med Systems, Inc. ........... 37,800 1,478,925
Wesley Jessen Visioncare, Inc. ..... 21,400 803,837
------------
14,689,148
------------
HOSPITALS/HEALTHCARE MANAGEMENT -- 0.9%
Advance Paradigm, Inc.(a)........... 26,200 537,100
Curative Health Services, Inc. ..... 12,300 74,184
Magellan Health Services, Inc.(a)... 39,100 48,875
Orthodontic Centers of America,
Inc............................... 58,800 1,330,350
Pediatrix Medical Group, Inc.(a).... 19,000(c) 220,875
Universal Health Services, Inc.
(Class "B" Stock)(a).............. 37,475 2,454,612
------------
4,665,996
------------
HOUSING RELATED -- 0.8%
Champion Enterprises, Inc.(a)....... 58,200 283,725
D.R.Horton, Inc. ................... 75,425 1,022,951
Fedders Corp. ...................... 43,900 255,169
Fleetwood Enterprises, Inc. ........ 39,900 568,575
National Presto Industries, Inc. ... 9,000 276,750
Ryland Group, Inc. ................. 17,425 385,528
Skyline Corp. ...................... 10,700 230,050
Toll Brothers, Inc.(a).............. 44,600 914,300
------------
3,937,048
------------
INDUSTRIALS -- 0.1%
Circle Int'l Group Inc. ............ 21,200 532,650
------------
INSURANCE -- 2.1%
Arthur J. Gallagher & Co............ 44,900 1,885,800
Delphi Financial Group, Inc.(a)..... 25,279 857,906
E.W. Blanch Holdings, Inc. ......... 16,100 327,031
Enhance Financial Services Group,
Inc. ............................. 46,500 668,438
Fidelity National Financial,
Inc. ............................. 82,061 1,502,742
First American Financial Corp. ..... 79,700 1,140,706
Fremont General Corp. .............. 85,540 336,814
Hilb, Rogal & Hamilton Co........... 16,100 558,469
Mutual Risk Management, Ltd......... 53,400 924,487
RLI Corp............................ 12,100 420,475
SCPIE Holdings Inc. ................ 14,800 303,400
Selective Insurance Group, Inc. .... 33,600 638,400
Trenwick Group, Inc. ............... 20,750 302,172
Zenith National Insurance Corp. .... 21,000 446,250
------------
10,313,090
------------
LEISURE -- 1.1%
Anchor Gaming....................... 14,700 704,681
Aztar Corp.(a)...................... 53,400 827,700
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B62
<PAGE> 78
SMALL CAPITALIZATION STOCK PORTFOLIO (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
COMMON STOCKS SHARES (NOTE 2)
(CONTINUED) --------- ------------
<S> <C> <C>
LEISURE (CONT'D.)
Carmike Cinemas, Inc. (Class "A"
Stock)(a)......................... 13,900 $ 53,863
GC Companies, Inc.(a)............... 9,500 212,562
Huffy Corp. ........................ 12,400 53,475
K2, Inc.(a)......................... 21,800 181,213
Marcus Corp. ....................... 36,525 442,866
Pinnacle Entertainment Inc. ........ 31,900 620,056
Polaris Industries, Inc. ........... 29,800 953,600
Prime Hospitality Corp.(a).......... 59,700 563,419
Sturm Ruger & Co., Inc. ............ 32,900 291,987
Thor Industries, Inc. .............. 14,800 310,800
Winnebago Industries, Inc. ......... 26,600 347,462
------------
5,563,684
------------
MACHINERY -- 3.0%
Applied Industrial Technologies,
Inc. ............................. 25,400 415,925
Applied Power, Inc. (Class "A"
Stock)............................ 47,795 1,601,132
Astec Industries, Inc.(a)........... 23,400 593,775
Cognex Corp.(a)..................... 50,700 2,623,725
Dril-Quip, Inc. .................... 21,100 986,425
Flow International Corp.(a)......... 18,000 180,000
Gardner Denver Machinery, Inc.(a)... 18,300 327,113
Graco, Inc. ........................ 25,000 812,500
IDEX Corp. ......................... 36,200 1,142,563
JLG Industries, Inc. ............... 54,200 643,625
Lindsay Manufacturing Co.(a)........ 15,112 296,573
Manitowoc Co., Inc. ................ 31,812 850,971
Paxar Corp. ........................ 57,052 681,058
Regal Beloit Corp. ................. 25,600 411,200
Robbins & Myers, Inc. .............. 13,400 305,688
Roper Industries, Inc. ............. 37,000 948,125
Royal Appliance Manufacturing
Co.(a)............................ 21,100 120,006
Specialty Equipment Co., Inc. ...... 23,400 634,725
Speedfam-IPEC, Inc. ................ 36,000 654,750
Toro Co............................. 15,500 510,531
------------
14,740,410
------------
MEDIA -- 0.8%
Catalina Marketing Corp.(a)......... 22,400(c) 2,284,800
Harman International................ 21,000 1,281,000
Interpublic Group of Cos., Inc. .... 12,588 521,620
------------
4,087,420
------------
METALS - FERROUS -- 0.6%
Birmingham Steel Corp. ............. 24,600 95,325
Commercial Metals Co................ 17,600 484,000
Mascotech, Inc. .................... 54,400 588,200
Material Sciences Corp.(a).......... 18,725 187,250
Quanex Corp. ....................... 17,425 259,197
Reliance Steel & Aluminum Co........ 34,000 650,250
Steel Dynamics, Inc. ............... 58,600 531,062
Steel Technologies, Inc. ........... 13,300 94,763
WHX Corp.(a)........................ 17,500(c) 96,250
------------
2,986,297
------------
METALS - NON FERROUS -- 0.3%
Amcast Industrial Corp. ............ 10,900 95,375
AMCOL International Corp. .......... 32,750 540,375
</TABLE>
<TABLE>
<CAPTION>
VALUE
COMMON STOCKS SHARES (NOTE 2)
(CONTINUED) --------- ------------
<S> <C> <C>
METALS - NON FERROUS (CONT'D.)
Brush Wellman, Inc. ................ 19,900 $ 310,937
Commonwealth Industries, Inc. ...... 20,300 119,263
IMCO Recycling, Inc.(a)............. 20,200 109,838
RTI International Metals, Inc.(a)... 25,400 288,925
Wolverine Tube, Inc.(a)............. 15,500 263,500
------------
1,728,213
------------
MINERAL RESOURCES -- 0.2%
SEACOR Holdings, Inc.(a)............ 20,700 800,831
------------
MISCELLANEOUS - BASIC INDUSTRY -- 1.0%
Apogee Enterprises, Inc. ........... 33,900 119,709
Brightpoint, Inc. .................. 65,200 564,387
CPI Corp. .......................... 11,000 232,375
Fossil, Inc.(a)..................... 39,200 761,950
Lawson Products, Inc. .............. 12,700 312,738
Libbey, Inc. ....................... 19,600 629,650
Texas Industries, Inc. ............. 25,700 742,087
Tredegar Industries, Inc. .......... 45,550 865,450
Watsco, Inc. ....................... 35,600 445,000
Watts Industries, Inc. (Class "A"
Stock)............................ 32,300 407,788
------------
5,081,134
------------
MISCELLANEOUS - CONSUMER GROWTH/STABLE -- 0.1%
Dimon, Inc. ........................ 54,375 115,547
Hughes Supply, Inc. ................ 28,750 567,813
------------
683,360
------------
NETWORKING -- 0.2%
C-Cor.Net Corp. .................... 39,200 1,058,400
------------
OFFICE EQUIPMENT & SUPPLIES -- 0.1%
Nashua Corp. ....................... 7,200 59,400
New England Business Service,
Inc. ............................. 16,500 268,125
------------
327,525
------------
OIL & GAS -- 2.0%
Cabot Oil & Gas Corp. (Class "A"
Stock)............................ 34,800 737,325
Cascade Natural Gas Corp. .......... 13,522 225,648
Cross (A.T.) Co. (Class "A"
Stock)............................ 17,900 88,381
Cross Timbers Oil Co................ 59,575 1,318,097
Laclede Gas Co...................... 13,900 267,575
Newfield Exploration Co.(a)......... 50,850 1,989,506
Northwest Natural Gas Co............ 30,600 684,675
Piedmont Natural Gas Company,
Inc. ............................. 38,300 1,017,344
Remington Oil and Gas Corp. ........ 26,000 195,000
Southern Union Co.(a)............... 59,261 937,064
Southwest Gas Corp. ................ 37,700 659,750
Vintage Petroleum, Inc. ............ 76,300 1,721,519
------------
9,841,884
------------
OIL & GAS SERVICES -- 3.1%
Atwood Oceanics, Inc. .............. 16,800 745,500
Barrett Resources Corp.(a).......... 39,810 1,211,717
Cal Dive International, Inc. ....... 19,000 1,029,563
Eagle Geophysical, Inc. ............ 1,651 8
Energen Corp. ...................... 36,800 802,700
Friede Goldman Halter, Inc. ........ 48,713 435,372
HS Resources, Inc.(a)............... 23,000 690,000
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B63
<PAGE> 79
SMALL CAPITALIZATION STOCK PORTFOLIO (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
COMMON STOCKS SHARES (NOTE 2)
(CONTINUED) --------- ------------
<S> <C> <C>
OIL & GAS SERVICES (CONT'D.)
Input/Output, Inc.(a)............... 61,900 $ 522,281
Louis Dreyfus Natural Gas
Corp.(a).......................... 49,200 1,540,575
New Jersey Resources Corp. ......... 21,800 829,763
Oceaneering International,
Inc.(a)........................... 27,800 528,200
Offshore Logistics, Inc.(a)......... 25,800 370,875
Plains Resources, Inc.(a)........... 21,900 350,400
Pogo Producing Co................... 49,200 1,088,550
Pride International, Inc. .......... 73,900 1,829,025
Seitel, Inc.(a)..................... 29,594 240,451
Southwestern Energy Co.............. 30,400 190,000
St. Mary Land & Exploration Co...... 13,600 572,050
Stone Energy Corp.(a)............... 22,400 1,338,400
Varco Int'l., Inc. ................. 54,600 1,269,450
------------
15,584,880
------------
PAPER & FOREST PRODUCTS -- 0.6%
Brady (W.H.) Co. (Class "A"
Stock)............................ 27,700 900,250
Buckeye Technologies, Inc.(a)....... 42,800 938,925
Caraustar Industries, Inc. ......... 31,100 470,388
Pope & Talbot, Inc. ................ 18,325 293,200
Schweitzer-Mauduit Int'l., Inc. .... 19,200 240,000
Universal Forest Products, Inc. .... 24,800 341,000
------------
3,183,763
------------
PHARMACEUTICALS -- 1.4%
Alpharma, Inc. ..................... 42,300 2,633,175
Bindley Western, Inc. .............. 41,266 1,090,970
Vertex Pharmaceuticals, Inc. ....... 31,400 3,308,775
------------
7,032,920
------------
PRECIOUS METALS -- 0.3%
Coeur D'Alene Mines Corp. .......... 35,600(c) 86,775
Stillwater Mining Co.(a)............ 46,300 1,290,613
------------
1,377,388
------------
REAL ESTATE -- 0.1%
Lennar Corp. ....................... 14,976 303,264
------------
RESTAURANTS -- 1.6%
Applebee's Int'l., Inc. ............ 33,300 1,009,406
CEC Entertainment, Inc. ............ 33,275 852,672
Cheesecake Factory(a)............... 36,825 1,012,687
CKE Restaurants, Inc. .............. 61,712 185,136
IHOP Corp.(a)....................... 24,600 412,050
Jack In the Box, Inc.(a)............ 46,800 1,152,450
Landry's Seafood Restaurants,
Inc. ............................. 30,300 257,550
Luby's Cafeterias, Inc. ............ 27,400 219,200
Ruby Tuesday, Inc.(a)............... 75,800 952,237
Ryan's Family Steak Houses,
Inc.(a)........................... 44,200 372,938
Sonic Corp.(a)...................... 22,325 655,797
Taco Cabana, Inc. (Class "A"
Stock)(a)......................... 16,000 106,000
Triarc Companies, Inc. (Class "A"
Stock)(a)......................... 28,900 592,450
------------
7,780,573
------------
RETAIL -- 5.4%
99 Cents Only Stores................ 40,900 1,630,888
Ames Department Stores, Inc. ....... 35,600 275,900
AnnTaylor Stores Corp.(a)........... 38,600 1,278,625
</TABLE>
<TABLE>
<CAPTION>
VALUE
COMMON STOCKS SHARES (NOTE 2)
(CONTINUED) --------- ------------
<S> <C> <C>
RETAIL (CONT'D.)
Arctic Cat, Inc. ................... 30,500 $ 362,188
Bombay Company, Inc.(a)............. 44,300 130,131
Books-A-Million, Inc.(a)............ 22,100 102,213
Brown Shoe Co., Inc. ............... 22,850 297,050
Building Materials Holdings Corp.... 15,400 135,713
Caseys General Stores, Inc. ........ 64,400 668,150
Cash America International, Inc. ... 30,943 228,205
Cato Corp. (Class "A" Stock)........ 31,600 367,350
Consolidated Products, Inc. ........ 35,882 322,938
Copart, Inc.(a) .................... 65,600 1,049,600
Cost Plus, Inc...................... 25,100 720,056
Damark International, Inc.(a)....... 6,700 144,050
Discount Auto Parts, Inc.(a)........ 20,400 204,000
Dress Barn, Inc.(a)................. 22,300 493,388
Footstar, Inc.(a)................... 25,500 847,875
Goody's Family Clothing, Inc. ...... 40,400 222,200
Gottschalks, Inc.(a)................ 15,300 96,581
Group 1 Automotive, Inc.(a)......... 25,900 310,800
Hancock Fabrics, Inc. .............. 23,200 98,600
J. Baker, Inc.(a)................... 17,100 99,394
Jan Bell Marketing, Inc.(a)......... 27,500 65,312
Jo-Ann Stores, Inc. (Class "A"
Stock) ........................... 21,800 152,600
Just For Feet, Inc. ................ 34,000 797
Lillian Vernon Corp. ............... 10,900 114,450
Linens 'n Things, Inc. ............. 48,200 1,307,425
Michaels Stores, Inc.(a)............ 37,800 1,731,712
MicroAge, Inc.(a)................... 39,200 1,930,600
O'Reilly Automotive, Inc.(a)........ 61,900 858,862
Panera Bread Company -- (Class "A"
Stock)............................ 14,800 149,850
Pep Boys -- Manny, Moe & Jack,
Inc. ............................. 62,600 375,600
Pier 1 Imports, Inc. ............... 121,850 1,188,037
Quiksilver, Inc. ................... 27,300 424,856
Regis Corp. ........................ 49,700 621,250
Russ Berrie & Company, Inc. ........ 25,100 483,175
Shopko Stores, Inc. ................ 37,100 570,412
Sports Authority, Inc. ............. 39,150 44,044
Stein Mart, Inc.(a)................. 54,400 557,600
Stride Rite Corp. .................. 54,500 333,813
Swiss Army Brands, Inc.(a).......... 9,600 49,200
The Men's Wearhouse, Inc. .......... 51,250 1,143,516
Timberland Co. (Class "A" Stock).... 25,600 1,812,800
Wet Seal, Inc.(a)................... 16,600 217,875
Whole Foods Market, Inc.(a)......... 31,800(c) 1,313,737
Zale Corp. ......................... 42,900 1,565,850
------------
27,099,268
------------
SEMICONDUCTORS -- 1.9%
American Xtal Technology, Inc.(a)... 22,900 990,425
Dallas Semiconductor Corp. ......... 70,600 2,876,950
ESS Technology, Inc. ............... 49,800 722,100
General Semiconductor, Inc. ........ 45,000 663,750
Lattice Semiconductor Corp.(a)...... 58,600 4,050,725
------------
9,303,950
------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B64
<PAGE> 80
SMALL CAPITALIZATION STOCK PORTFOLIO (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
COMMON STOCKS SHARES (NOTE 2)
(CONTINUED) --------- ------------
<S> <C> <C>
SOFTWARE -- 4.6%
BARRA, Inc.(a)*..................... 17,200 $ 852,475
Concord Communications, Inc.(a) .... 17,500 697,812
HNC Software, Inc. ................. 30,000 1,852,500
Hyperion Solutions Corp. ........... 39,170 1,270,577
Mercury Interactive Corp. .......... 93,800 9,075,150
National Instruments Corp. ......... 61,200 2,669,850
Peregrine Systems Incorporated...... 35,475 1,230,539
Project Software & Development,
Inc.(a)........................... 26,300 473,400
Remedy Corp.(a)..................... 35,500 1,979,125
THQ, Inc.(a)........................ 22,550 274,828
Verity, Inc.(a)..................... 38,000 1,444,000
Zixit Corp. ........................ 18,700 861,369
------------
22,681,625
------------
SUPERMARKETS -- 0.1%
Kronos, Inc.(a)..................... 15,300 397,800
------------
TECHNOLOGY -- 0.2%
Systems & Computer Technology
Corp. ............................ 39,400 788,000
------------
TELECOMMUNICATIONS -- 2.9%
Adaptive Broadband Corp. ........... 45,800 1,683,150
Allen Telecom, Inc. ................ 33,800 597,837
Aspect Telecommunications
Corp.(a).......................... 59,500 2,339,094
Centigram Communications Corp.(a)... 7,400 189,163
Digi International, Inc.(a)......... 18,400 119,600
Digital Microwave Corp.(a).......... 85,100 3,244,437
General Communication, Inc. ........ 60,500 310,063
Intermediate Telephone, Inc. ....... 31,700 509,181
InterVoice, Inc.(a)................. 39,200 257,250
Network Equipment Technologies,
Inc.(a)........................... 26,200 263,638
P-COM, Inc. ........................ 88,000 500,500
Plantronics, Inc. .................. 19,800 2,286,900
Proxim, Inc.(a)..................... 14,400 1,425,150
Symmetricom, Inc.(a)................ 18,300 462,075
Talk.com, Inc. ..................... 79,000 459,187
------------
14,647,225
------------
TEXTILES -- 0.6%
Angelica Corp. ..................... 10,600 84,800
Ashworth, Inc.(a)................... 17,200 76,863
Cone Mills Corp.(a)................. 31,100 192,431
Dixie Group, Inc. .................. 14,200 55,025
G & K Services, Inc. (Class "A"
Stock)............................ 24,800 621,550
Guilford Mills, Inc. ............... 23,437 99,607
Gymboree Corp.(a)................... 29,700 89,100
Haggar Corp. ....................... 8,400 98,700
Hartmarx Corp.(a)................... 35,900 91,994
Kellwood Co......................... 33,975 717,722
Nautica Enterprises, Inc.(a)........ 42,300 452,081
Oshkosh B'Gosh, Inc. (Class"A"
Stock)............................ 15,500 253,813
</TABLE>
<TABLE>
<CAPTION>
VALUE
COMMON STOCKS SHARES (NOTE 2)
(CONTINUED) --------- ------------
<S> <C> <C>
TEXTILES (CONT'D.)
Oxford Industries, Inc. ............ 9,300 $ 167,400
Pillowtex Corp.(a).................. 17,409(c) 73,988
------------
3,075,074
------------
TIMBER -- 0.1%
Deltic Timber Corp. ................ 15,100 322,763
------------
TRANSPORTATION -- 0.2%
Pegasus Systems, Inc. .............. 21,800 237,075
------------
TRUCKING/SHIPPING -- 2.0%
American Freightways, Inc. ......... 39,200 568,400
Arkansas Best Corp. ................ 24,100 239,494
EGL Inc. ........................... 35,200 1,082,400
Expeditors International of
Washington, Inc. ................. 61,700 2,930,750
Fritz Companies, Inc.(a)............ 44,800 462,000
Frozen Food Express Industries,
Inc. ............................. 19,900 59,700
Heartland Express, Inc.(a).......... 36,649 611,580
Kirby Corp.(a)...................... 30,000 637,500
Landstar Systems, Inc.(a)........... 11,700 696,881
M.S. Carriers, Inc.(a).............. 15,000 264,375
Monaco Coach Corp. ................. 23,000 313,375
Oshkosh Truck Corp. ................ 8,700 311,025
Rollins Truck Leasing Corp. ........ 69,300 480,769
USFreightways Corp. ................ 32,400 795,825
Werner Enterprises, Inc. ........... 58,012 670,764
Yellow Corp. (b).................... 30,400 448,400
------------
10,573,238
------------
UTILITY -- ELECTRIC -- 0.8%
Atmos Energy Corp. ................. 38,500 673,750
Bangor Hydro-Electric Co. .......... 8,975 210,352
CH Energy Group, Inc. .............. 20,600 699,112
Green Mountain Power Corp. ......... 6,500 53,625
NorthWestern Corp. ................. 28,300 654,438
Philadelphia Suburban Corp. ........ 50,031 1,025,635
United Illuminating Co. ............ 17,525 766,719
------------
4,083,631
------------
UTILITY -- WATER -- 0.4%
American States Water Co. .......... 11,000 327,250
United Water Resources, Inc. ....... 47,500 1,656,563
------------
1,983,813
------------
TOTAL COMMON STOCKS
(cost $423,805,988)............................ 474,110,282
------------
<CAPTION>
RIGHTS
<S> <C> <C>
Elan Corporation PLC (cost $0)...... 46,800 23,400
------------
TOTAL LONG-TERM INVESTMENTS
(cost $423,805,988)............................ 474,133,682
------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B65
<PAGE> 81
SMALL CAPITALIZATION STOCK PORTFOLIO (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
SHORT-TERM (000) (NOTE 2)
INVESTMENTS -- 8.3% --------- ------------
<S> <C> <C>
U.S. GOVERNMENT OBLIGATIONS -- 0.4%
United States Treasury Bills,
5.64%, 09/21/00................... $ 1,800 $ 1,776,876
------------
COMMERCIAL PAPER -- 1.6%
American Electric Power
6.83%, 07/21/00................... 3,500 3,488,048
Keyspan Corp.
6.83%, 07/21/00................... 1,600 1,597,268
TRW Inc.
6.85%, 07/20/00................... 1,750 1,744,339
6.90%, 08/15/00................... 1,000 991,758
------------
7,821,413
------------
REPURCHASE AGREEMENT -- 4.5%
Joint Repurchase Agreement Account
6.49%, 07/03/00 (Note 5).......... 22,651 22,651,000
------------
TIME DEPOSIT -- YANKEE -- 1.8%
Deutsche Bank AG(d) 7.125%,
7/03/00........................... 8,859 8,859,000
------------
TOTAL SHORT-TERM INVESTMENTS
(cost $41,108,289)............................. 41,108,289
------------
TOTAL INVESTMENTS -- 103.6%
(cost $464,914,277; Note 6).................... 515,241,971
------------
VARIATION MARGIN ON OPEN FUTURES
CONTRACT(e) -- (0.1)%.......................... (297,000)
OTHER LIABILITIES IN EXCESS
OF OTHER ASSETS -- (3.5)%...................... (17,544,223)
------------
TOTAL NET ASSETS -- 100.0%....................... $497,400,748
============
</TABLE>
The following abbreviations are used in portfolio descriptions:
<TABLE>
<S> <C>
AG Aktiengesellschaft (German Stock Company)
NA Not Applicable
NR Not Rated by Moody's or Standard & Poor's
PLC Public Limited Company (British Corporation)
</TABLE>
(a) Non-income producing security.
(b) Security segregrated as collateral for futures contracts.
(c) Portion or all of securities on loan with an aggregate market value of
$15,506,731; cash collateral of $16,596,400 was received with which the
portfolio purchased securities.
(d) Represents security, or portion thereof, purchased with cash collateral
received for securities on loan.
(e) Open futures contract as of June 30, 2000 are as follows:
<TABLE>
<CAPTION>
NUMBER OF EXPIRATION VALUE AT VALUE AT APPRECIATION/
CONTRACTS TYPE DATE TRADE DATE JUNE 30, 2000 DEPRECIATION
<C> <S> <C> <C> <C> <C>
Long Positions:
MidCap 400
87 Index Sep 00 $21,840,950 $21,241,050 $ (599,900)
Russell 2000
6 Index Sep 00 1,563,900 1,567,800 3,900
----------
$ (596,000)
==========
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B66
<PAGE> 82
GLOBAL PORTFOLIO
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
LONG-TERM INVESTMENTS -- 85.0% VALUE
SHARES (NOTE 2)
COMMON STOCKS ---------- --------------
<S> <C> <C>
AUSTRALIA -- 2.3%
Broken Hill Proprietary Co.,
Ltd.............................. 1,524,500 $ 18,009,628
Commonwealth Bank of Australia
(c).............................. 922,600 15,280,819
--------------
33,290,447
--------------
FINLAND -- 2.3%
Nokia Oy........................... 651,200 33,269,935
--------------
FRANCE -- 7.1%
Havas Advertising SA (c)........... 545,940 12,497,993
Lafarge SA......................... 97,931 7,619,640
Legrand SA......................... 64,200 14,420,912
Publicis SA(a) (c)................. 15,489 6,084,923
Thomson Multimedia................. 291,562 18,895,155
Total Fina SA...................... 192,938 29,617,825
Vivendi SA......................... 143,700 12,698,533
--------------
101,834,981
--------------
REPUBLIC OF GERMANY -- 1.3%
Infineon Technologies AG(a)........ 40,600 3,203,561
Siemens AG......................... 99,400 15,011,819
--------------
18,215,380
--------------
HONG KONG -- 2.1%
China Merchants Holdings
International Co., Ltd........... 11,010,400 7,556,268
China Mobile, Ltd.(a).............. 1,765,400 15,569,199
Guangzhou Investment Co.,
Ltd.(a).......................... 85,621,100 6,370,291
--------------
29,495,758
--------------
ITALY -- 1.2%
Banca Intesa SpA................... 3,806,500 17,064,302
--------------
JAPAN -- 6.2%
Canon, Inc......................... 304,000 15,119,107
Nippon Telegraph & Telephone
Corp.(a)......................... 1,958 26,004,615
NTT Mobile Communications Network,
Inc.............................. 870 23,519,050
Softbank Corp...................... 36,400 4,937,220
Sony Corp. (c)..................... 217,100 20,244,808
--------------
89,824,800
--------------
MEXICO -- 2.5%
Grupo Televisa SA (GDR)(a)......... 219,100 15,104,206
Telefonos de Mexico, SA
(Class "L" Shares) (ADR)......... 355,300 20,296,513
--------------
35,400,719
--------------
NETHERLANDS -- 1.5%
ING Groep N.V...................... 328,800 22,251,276
--------------
SINGAPORE -- 0.9%
Singapore Airlines, Ltd............ 1,251,700 12,383,031
--------------
SOUTH KOREA -- 1.3%
Samsung Electronics Co., Ltd....... 55,070 18,224,551
--------------
SPAIN -- 3.2%
Banco Santander SA(a).............. 1,881,000 19,867,395
Telefonica SA...................... 1,191,808 25,631,774
--------------
45,499,169
--------------
</TABLE>
<TABLE>
<CAPTION>
VALUE
COMMON STOCKS SHARES (NOTE 2)
(CONTINUED) ---------- --------------
<S> <C> <C>
SWEDEN -- 3.7%
Hennes & Mauritz AB................ 788,400 $ 16,503,951
Skanska AB (Class "B" Shares)...... 435,200 15,472,567
Telefonaktiebolaget LM Ericsson
AB............................... 1,094,400 21,726,761
--------------
53,703,279
--------------
UNITED KINGDOM -- 7.9%
Bank of Scotland................... 1,407,200 13,410,094
Canary Wharf Finance PLC........... 1,601,000 8,993,946
GKN PLC............................ 1,084,800 13,865,897
Hays PLC........................... 2,026,045 11,320,283
Vodafone AirTouch PLC.............. 10,986,851 44,479,020
Barclays PLC....................... 887,991 22,121,615
--------------
114,190,855
--------------
UNITED STATES -- 41.5%
American Home Products Corp........ 221,000 12,983,750
AT&T Corp.......................... 363,500 10,132,563
Atmel Corp.(a) (c)................. 408,000 15,045,000
Cablevision Systems Corp.
(Class "A" Shares)(a)............ 132,000 8,959,500
Citigroup Inc...................... 664,600 40,042,150
Clear Channel Communications,
Inc.(a).......................... 196,200 14,715,000
Comcast Corp. (Class "A"
Shares)(a)....................... 315,700 12,785,850
Electronic Arts, Inc.(a)........... 464,200 33,857,587
Fox Entertainment Group, Inc.
(Class "A" Stock)(a)............. 564,800 17,155,800
Intertrust Technologies Corp....... 215,100 4,422,994
JDS Uniphase Corp.(a).............. 162,200 19,443,725
Juniper Networks, Inc.(a).......... 130,600 19,010,462
Mediaone Group, Inc. (c)........... 97,500 6,447,188
Micron Technology, Inc............. 306,200 26,964,737
Omnicom Group, Inc................. 238,500 21,241,406
Ondisplay, Inc..................... 73,800 6,010,088
Oracle Systems Corp.(a)............ 517,600 43,510,750
Pharmacia Corp..................... 388,200 20,065,087
PMC-Sierra, Inc.(a)................ 166,700 29,620,506
Portal Software, Inc............... 207,300 13,241,288
Quest Software, Inc. (c)........... 83,600 4,629,350
SCI Systems, Inc.(a)............... 488,400 19,139,175
Solectron Corp.(a) (c)............. 1,147,400 48,047,375
Target Corp........................ 316,800 18,374,400
Texas Instruments, Inc............. 311,200 21,375,550
Time Warner, Inc. (c).............. 681,400 51,786,400
USA Networks, Inc.(a).............. 1,440,300 31,146,487
Wal-Mart Stores, Inc............... 192,500 11,092,813
Williams-Sonoma, Inc.(a)........... 472,900 15,339,694
--------------
596,586,675
--------------
TOTAL LONG-TERM INVESTMENTS
(cost $931,781,068)................ 1,221,235,158
--------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B67
<PAGE> 83
GLOBAL PORTFOLIO (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL
MOODY'S AMOUNT VALUE
SHORT-TERM RATING (000) (NOTE 2)
INVESTMENTS -- 15.0% ----------- --------- --------------
<S> <C> <C> <C>
COMMERCIAL PAPER -- 7.3%
American Electric Power
6.83%, 07/21/00(b)....... P1 $ 8,000 $ 7,969,644
Bombardier Capital, Inc.
6.82, 07/21/00(b)........ P1 4,200 4,184,087
CitiCorp 6.55%,
07/10/00(b).............. P1 20,000 19,967,250
Conagra, Inc. 6.85%,
07/7/00(b)............... P1 8,600 8,590,182
General Electric Capital
International 6.52%,
07/14/00(b).............. P1 24,000 23,943,493
GPU Capital, Inc. 6.89%,
07/14/00(b).............. P1 8,900 8,877,856
Hartford Financial Services
6.60%, 08/18/00(b)....... P1 3,041 3,014,239
Keyspan Corp. 6.82%,
07/19/00(b).............. P1 6,124 6,103,117
Suntrust Grand Cayman
7.00%, 07/03/00(b)....... P1 13,782 13,782,000
TRW, Inc. 6.90%,
08/15/00(b).............. P1 8,000 7,931,000
--------------
104,362,868
--------------
U.S. GOVERNMENT OBLIGATIONS -- 5.9%
United States Treasury Bills,
5.61%, 08/17/00....................... 11,800 11,713,575
5.59%, 08/17/00....................... 5,310 5,271,420
5.74%, 09/14/00....................... 68,804 67,981,219
--------------
84,966,214
--------------
REPURCHASE AGREEMENT -- 1.8%
Joint Repurchase Agreement Account,
6.49%, 07/03/00
(cost $25,850,000; Note 5)............ 25,850 25,850,000
--------------
TOTAL SHORT-TERM INVESTMENTS
(cost $215,179,082)................................. 215,179,082
--------------
TOTAL INVESTMENTS -- 100.0%
(cost $1,146,960,150; Note 6)....................... 1,436,414,240
FORWARD CURRENCY CONTRACTS -- AMOUNT
PAYABLE TO COUNTERPARTIES(d)........................ (418,608)
ASSETS IN EXCESS OF OTHER
LIABILITIES......................................... 542,913
--------------
TOTAL NET ASSETS -- 100.0%............................ $1,436,538,545
==============
</TABLE>
The following abbreviations are used in portfolio descriptions:
AB Aktiebolag (Swedish Stock Company)
AG Aktiengesellschaft (German Stock Company)
N.V. Naamloze Vennootschap (Dutch Corporation)
Oy Osokehio (Finnish Corporation)
PLC Public Limited Company (British Corporation)
SA Sociedad Anomia (Spanish Corporation) or Societe Anonyme (French
Corporation)
(a) Non-income producing security.
(b) Represents security purchased with cash collateral received for securities
on loan.
(c) Portion of securities on loan with an aggregate market value of
$101,658,341; cash collateral of $103,874,453 was received with which the
portfolio purchased securities.
(d) Outstanding forward currency contract as of June 30, 2000 was as follows:
<TABLE>
<CAPTION>
FOREIGN CURRENCY VALUE AT CURRENT APPRECIATION
CONTRACT SETTLEMENT DATE VALUE (DEPRECIATION)
---------------- --------------- ----------- --------------
<S> <C> <C> <C>
Purchase Contract:
Japanese Yen,
expiring 8/15/00 $17,611,196 $17,629,352 $ 18,156
Sale Contract:
Japanese Yen,
expiring 8/15/00 $17,192,588 $17,629,352 $(436,764)
---------
$(418,608)
=========
</TABLE>
The industry classification of portfolio of holdings shown as a percentage of
net assets as of June 30, 2000 were as follows:
<TABLE>
<S> <C>
Telecommunications 20.0%
Electronics 15.1%
Media 9.5%
Computer Software & Services 5.7%
Commercial Banking 4.9%
Financial Services 4.8%
Retail 4.3%
Diversified Operations 2.9%
Advertising 2.8%
Pharmaceuticals 2.3%
Oil & Gas Services 2.1%
Telephones 1.4%
Manufacturing 1.3%
Banks 1.2%
Construction 1.1%
Diversified Manufacturing 1.1%
Automobiles & Manufacturing 1.0%
Electrical Equipment 1.0%
Airlines 0.9%
Real Estate-Development 0.6%
Building Materials & Components 0.5%
Materials 0.5%
Commercial Paper 7.3%
U.S. Government Securities 5.9%
Repurchase Agreement 1.8%
------
100.0%
======
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B68
<PAGE> 84
NATURAL RESOURCES PORTFOLIO
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
LONG-TERM INVESTMENTS -- 98.7% VALUE
SHARES (NOTE 2)
COMMON STOCKS -- 98.5% --------- ------------
<S> <C> <C>
ALUMINUM -- 1.2%
Comalco Ltd., ADR (Australia)........ 134,900 $ 3,835,194
------------
CHEMICALS
Agrium, Inc.......................... 503 4,314
------------
EXPLORATION & PRODUCTION -- 12.4%
Brigham Exploration Co.(a)........... 91,300 228,250
FX Energy, Inc.(a)................... 109,800 624,487
Gabriel Resources, Ltd.(a)........... 384,000 726,045
Miller Exploration Co.(a)............ 100,200 144,038
Newfield Exploration Co.(a).......... 363,600 14,225,850
Nuevo Energy Co.(a).................. 355,900 6,717,612
Pennaco Energy, Inc.(a).............. 73,100 1,197,012
Pioneer Natural Resources Co......... 382,560 4,877,640
Ranger Oil, Ltd...................... 642,246 3,426,122
Swift Energy Co.(a).................. 121,000 3,433,375
Talisman Energy, Inc.(a)............. 147,440 4,883,718
------------
40,484,149
------------
FERTILIZERS -- 1.5%
Potash Corp. of Saskatchewan, Inc.... 88,900 4,906,169
------------
FOREST PRODUCTS -- 1.9%
Boise Cascade Corp................... 96,700 2,502,113
Fletcher Challenge, Ltd., ADR (New
Zealand)........................... 310,800 1,126,650
Timberwest Forest Corp............... 343,600 2,413,019
------------
6,041,782
------------
GOLD -- 7.7%
Agnico-Eagle Mines, Ltd.............. 332,600 2,141,113
Anglogold, Ltd. ADR (Canada)......... 163,976 3,371,757
Avgold, Ltd.(a), ADR (South
Africa)............................ 136,000 731,000
Battle Mountain Gold Corp............ 114,500 250,469
Bema Gold Corp.(a)................... 504,500 283,781
Cambior, Inc......................... 322,400 160,066
Coeur d'Alene Mines Corp.(a)......... 67,225 163,861
Durban Roodepoort Deep, ADR (South
Africa)............................ 125,200 129,113
Francisco Gold Corp.(a).............. 83,000 341,887
Gold Fields, (South Africa).......... 217,343 853,073
Golden Star Resources(a)............. 243,700 228,469
Harmony Gold Mining, ADR (South
Africa)............................ 507,700 2,824,081
IAMGOLD Corp......................... 717,000 1,476,703
Kinross Gold Corp.................... 816,300 727,609
Meridian Gold, Inc.(a)............... 527,700 3,207,036
Newmont Mining Corp.................. 268,607 5,808,626
Repadre Capital Corp.(a)............. 1,511,300 1,785,924
TVX Gold, Inc.(a).................... 410,800 256,750
Western Areas Gold Mining Co.,
Ltd.(a) ADR (South Africa)......... 149,100 342,930
------------
25,084,248
------------
</TABLE>
<TABLE>
<CAPTION>
VALUE
COMMON STOCKS SHARES (NOTE 2)
(CONTINUED) --------- ------------
<S> <C> <C>
METALS-NON FERROUS -- 5.5%
Anaconda Nickel, Ltd.(a)............. 765,600 $ 1,328,037
Apex Silver Mines, Ltd.(a)........... 496,200 4,930,987
Atna Resources, Ltd.(a).............. 249,900 97,874
Cameco Corp.......................... 215,100 2,629,016
Freeport-McMoRan Copper & Gold,
Inc.(a), (Class "A" Stock)......... 367,900 3,357,088
Inco, Ltd............................ 171,700 2,639,888
Kaiser Aluminum Corp................. 726,500 2,906,000
Rio Tinto, Ltd., ADR (Australia)..... 1 66
------------
17,888,956
------------
MINERAL RESOURCES -- 0.9%
Burlington Resources, Inc............ 76,650 2,931,862
European Goldfields, Ltd.(a)......... 38,400 19,966
------------
2,951,828
------------
OIL & GAS EQUIPMENT -- 1.7%
Grant Prideco, Inc.(a)............... 225,100 5,627,500
------------
OIL & GAS EXPLORATION &
PRODUCTION -- 24.6%
Alberta Energy Co., Ltd. ADR
(Canada)........................... 318,900 12,901,283
Avid Oil & Gas Ltd.(a) (Class "A"
Stock)............................. 34,700 76,153
Beau Canada Exploration, Ltd.(a),
(Class "A" Stock), (Canada)........ 739,900 809,398
Crestar Energy, Inc.(a), ADR
(Canada)........................... 426,200 6,489,844
Cross Timbers Oil Co................. 294,300 6,511,387
Dynegy, Inc.......................... 184,696 12,617,049
Maverick Tube Corp.(a)............... 396,400 11,545,150
McMoRan Exploration Co.(a)........... 113,600 1,874,400
Noble Affiliates, Inc................ 111,300 4,145,925
Rio Alto Exploration, Ltd.(a),
(Canada)........................... 245,500 4,492,572
Santa Fe Snyder Corp.(a)............. 98,800 1,123,850
Tom Brown, Inc.(a)................... 206,200 4,755,488
Western Gas Resources, Inc........... 592,700 12,446,700
------------
79,789,199
------------
OIL & GAS SERVICES -- 22.7%
B.J. Services Co.(a)................. 268,200 16,762,500
Bouygues Offshore, SA, ADR
(France)........................... 156,300 3,887,962
Devon Energy Corp.................... 146,000 8,203,375
Kinder Morgan, Inc................... 310,800 10,742,025
Marine Drilling Co., Inc.(a)......... 118,900 3,329,200
NATCO Group, Inc.(a) (Class "A"
Stock)............................. 73,200 690,825
Smith International, Inc.(a)......... 221,800 16,149,812
Stolt Comex Seaway(a), SA............ 201,900 2,851,838
Tesco Corp.(a)....................... 206,500 2,105,578
Transcoastal Marine Services(a)...... 348,800 0
Weatherford International(a)......... 225,100 8,961,794
------------
73,684,909
------------
PLATINUM -- 18.4%
Anglo American Platinum, Ltd., ADR
(South Africa)..................... 565,169 16,290,996
Impala Platinum Holdings, Ltd........ 581,000 21,627,725
Stillwater Mining Co.(a)............. 786,450 21,922,294
------------
59,841,015
------------
TOTAL COMMON STOCKS
(cost $247,607,459)............................. 320,139,263
------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B69
<PAGE> 85
NATURAL RESOURCES PORTFOLIO (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 2)
--------- ------------
<S> <C> <C>
PREFERRED STOCKS -- 0.1%
GOLD
Hecla Mining Co. (Cum. Conv.) 7.00%,
Series B (cost $806,140)........... 16,700 $ 321,475
------------
WARRANTS -- 0.1%
METALS-NON FERROUS
Apex Silver Mines, Ltd.(a) (cost
$0)................................ 160,000 320,000
------------
TOTAL LONG-TERM INVESTMENTS
(cost $248,413,599)............................. 320,780,738
------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
SHORT-TERM (000) (NOTE 2)
INVESTMENT -- 1.4% --------- ------------
<S> <C> <C>
REPURCHASE AGREEMENT
Joint Repurchase Agreement
Account, 6.49%, 07/03/00
(cost $4,683,000; Note 5).......... $ 4,683 $ 4,683,000
------------
TOTAL INVESTMENTS -- 100.1%
(cost $253,096,599; Note 6)..................... 325,463,738
------------
LIABILITIES IN EXCESS OF OTHER
ASSETS -- (0.1%)................................ (300,964)
------------
TOTAL NET ASSETS -- 100.0%........................ $325,162,774
============
</TABLE>
The following abbreviations are used in portfolio descriptions:
ADR American Depository Receipt.
SA Sociedad Anomia (Spanish Corporation) or Societe Anonyme (French
Corporation).
(a) Non-income producing security.
SEE NOTES TO FINANCIAL STATEMENTS.
B70
<PAGE> 86
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 Portfolios of the Series Fund have the following as investment
objectives:
Money Market Portfolio: Current income, stability of capital and
maintenance of liquidity by investing in short-term money market
securities that generally mature in 13 months or less. 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.
Diversified Bond Portfolio: High level of income over the long term by
investing in U.S. government securities, mortgage-backed bonds, both
investment-grade and high yield corporate debt, and foreign securities.
Government Income Portfolio: High level of income over the long term by
investing primarily in intermediate and longer-term U.S. government
bonds, including U.S. Treasuries and agencies, mortgage-backed securities
and foreign government securities.
Zero Coupon Bond 2000 and 2005 Portfolios: Highest predictable compound
investment return by investing primarily in debt obligations of the U.S.
Treasury and investment-grade corporations, issued without interest
coupons or stripped of interest coupons.
Conservative Balanced Portfolio: Favorable total return consistent with
a more conservatively managed diversified portfolio by investing in money
market instruments, bonds and common stocks of both established and
smaller companies.
Flexible Managed Portfolio: High total return by investing in money
market instruments, bonds and common stocks.
High Yield Bond Portfolio: High total return by investing primarily in
noninvestment-grade bonds.
Stock Index Portfolio: Results that correspond to the price and yield
performance of the S&P 500 Index by investing primarily in stocks in the
S&P 500 Index.
Equity Income Portfolio: Current income and capital appreciation by
investing primarily in stocks and convertible securities with prospects
for income returns above those of the S&P 500 Index.
Equity Portfolio: Capital appreciation by investing primarily in stocks
of major, established companies.
Prudential Jennison Portfolio: Long-term growth of capital by investing
primarily in common stocks of established companies with above-average
growth prospects.
Small Capitalization Stock Portfolio: Long-term growth of capital that
corresponds to the price and yield performance of the S&P SmallCap 600
Index by investing primarily in stocks of the S&P SmallCap 600 Index.
Global Portfolio: Long-term growth of capital by investing primarily in
common stock and common stock equivalents of U.S. and foreign companies.
Natural Resources Portfolio: Long-term growth of capital by investing
primarily in stocks of companies that operate within, or do business
with, the natural resources sector of the economy.
NOTE 2: ACCOUNTING POLICIES
The following is a summary of significant accounting policies followed by
the Series Fund and the Portfolios in preparation of their 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 or a principal market
maker. 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.
The High Yield Bond Portfolio may hold up to 15% of its net assets in
illiquid securities, including those which are restricted as to
disposition under securities law ("restricted securities"). Certain
issues of restricted securities held by the High Yield Bond Portfolio at
June 30, 2000 include registration rights, none of which are currently
under contract to be registered.
C1
<PAGE> 87
Restricted securities, sometimes referred to as private placements, are
valued pursuant to the valuation procedures noted above.
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 investment 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.
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 may 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 a 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
C2
<PAGE> 88
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 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 a wholly owned subsidiary of The Prudential. For the six months
ended June 30, 2000, PSI has been compensated by the following amounts:
<TABLE>
<S> <C>
Conservative Balanced Portfolio............................. $313,795
Flexible Managed Portfolio.................................. 359,455
High Yield Bond Portfolio................................... 14,255
Stock Index Portfolio....................................... 6,743
Equity Income Portfolio..................................... 56,215
Prudential Jennison Portfolio............................... 175,958
Small Capitalization Stock Portfolio........................ 20,405
Global Portfolio............................................ 86,951
----------
$1,033,777
</TABLE>
Swaps: Certain portfolios of the Series Fund may enter into swap
agreements. A swap agreement is an agreement between two parties to
exchange a series of cash flows at specified intervals. Based on a
notional amount, each party pays an interest rate or the change in the
value of a security. Dividends and interest on the securities in the swap
are included in the value of the exchange. The swaps are valued daily at
current market value and any unrealized gain or loss is included in net
unrealized appreciation or depreciation on investments. Gain or loss is
realized on the termination date of the swap and is equal to the
difference between a Portfolio's basis in the swap and the proceeds of
the closing transaction, including any fees. During the period that the
swap agreement is open, the Portfolio may be subject to risk from the
potential inability of the counterparty to meet the terms of the
agreement.
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. These
estimates are adjusted when the actual source of the distributions is
disclosed. Expenses are recorded on the accrual basis which may require
the use of certain estimates by management. The Series Fund's expenses
are allocated to the respective Portfolios on the basis of relative net
assets except for Portfolio specific expenses which are attributable
directly at a Portfolio or class level.
For Portfolio's with multiple classes and shares, 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 statements 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. Each other Portfolio will declare and distribute
dividends from net investment income, if any, quarterly 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> 89
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,
2000, the application of this statement increased (decreased)
undistributed net investment income ("UNI") and accumulated net realized
gain (loss) on investments ("G/L") by the following amounts:
<TABLE>
<CAPTION>
UNI G/L
---------- -----------
<S> <C> <C>
Equity Income Portfolio(a).................................. $ (689) $ 689
Equity Portfolio(a)......................................... 2,338,357 (2,338,357)
Global Portfolio(a)......................................... 4,266,206 (4,266,206)
Natural Resources Portfolio(a).............................. (15,421) 15,421
</TABLE>
(a) Reclassification of net foreign currency gain (loss).
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 services of PIC and
Jennison, 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.
<TABLE>
<CAPTION>
Investment Advisory Fee
-----------------------
<S> <C>
Money Market Portfolio...................................... 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
</TABLE>
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 accrued daily and payable quarterly. No distribution or service fees
are paid to PIMS as distributor of the Class I shares of the Series Fund.
Pursuant to the Class II Plan, the Class II shares of each Portfolio
compensate PIMS for distribution-related activities at an annual rate of
0.25% 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 0.15%
of the average daily net assets of the Class II shares.
The Prudential has agreed to reimburse each 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
reimbursement was required for the six months ended June 30, 2000.
PIC, PIMS, PIFM and Jennison are wholly-owned subsidiaries of The
Prudential.
The Series Fund, along with other affiliated registered investment
companies (the "Funds"), entered into a syndicated credit agreement
("SCA") with an unaffiliated lender. The maximum commitment under the SCA
is $1 billion. Interest on any such
C4
<PAGE> 90
borrowings outstanding will be at market rates. The purpose of the
agreement is to serve as an alternative source of funding for capital
share redemptions. The Funds pays a commitment fee at an annual rate of
.080 of 1% on the unused portion of the credit facility. The commitment
fee is accrued and paid quarterly on a pro rata basis by the Funds. The
expiration date of the SCA is March 9, 2001. Prior to March 9, 2000, the
commitment fee was .065 of 1% on the unused portion of the facility. The
Series Fund did not borrow any amounts pursuant to the agreement during
the six months ended June 30, 2000.
NOTE 4: OTHER TRANSACTIONS WITH AFFILIATES
Prudential Mutual Fund Services LLC ("PMFS"), a wholly owned subsidiary
of PIFM, serves as the Series Fund's transfer agent. Transfer agent fees
and expenses in the statements of operations include certain
out-of-pocket expense paid to nonaffiliates. During the six months ended
June 30, 2000, the Series Fund incurred fees for the services of PMFS and
as of June 30, 2000 fees were due to PMFS as follows:
<TABLE>
<CAPTION>
Amount Incurred
for the Amount Due
Six Months Ended as of
June 30, 2000 June 30, 2000
---------------- -------------
<S> <C> <C>
Money Market Portfolio...................................... $ 4,800 $ 800
Diversified Bond Portfolio.................................. 4,900 800
Government Income Portfolio................................. 3,400 600
Zero Coupon Bond 2000 Portfolio............................. 1,000 200
Zero Coupon Bond 2005 Portfolio............................. 1,200 200
Conservative Balanced Portfolio............................. 4,000 700
Flexible Managed Portfolio.................................. 5,000 800
High Yield Bond Portfolio................................... 4,800 800
Stock Index Portfolio....................................... 4,900 800
Equity Income Portfolio..................................... 4,600 800
Equity Portfolio............................................ 5,000 900
Prudential Jennison Portfolio............................... 5,100 900
Small Capitalization Stock Portfolio........................ 3,900 700
Global Portfolio............................................ 4,700 800
Natural Resources Portfolio................................. 3,200 500
------- -------
$60,600 $10,300
</TABLE>
For the six months ended June 30, 2000, PSI earned $315,929 in brokerage
commissions from transactions executed on behalf of the Series Fund as
follows:
<TABLE>
<CAPTION>
Commission
----------
<S> <C>
Conservative Balanced Portfolio............................. $ 3,837
Flexible Managed Portfolio.................................. 20,378
Equity Income Portfolio..................................... 54,004
Equity Portfolio............................................ 99,440
Prudential Jennison Portfolio............................... 138,270
--------
$315,929
</TABLE>
At June 30, 2000 The High Yield Bond Portfolio includes a receivable of
$941,736 due from the manager relating to an unrealized loss in
connection with an investment transaction. This unrealized loss has been
included in net change in unrealized depreciation of investments in the
Statement of Operations.
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 $631,671,000 as of June 30,
2000. The Portfolios of the Series Fund with cash invested in the joint
accounts had the following principal amounts and percentage participation
in the account:
<TABLE>
<CAPTION>
Principal Percentage
Amount Interest
------------ ----------
<S> <C> <C>
Diversified Bond Portfolio.................................. $ 34,236,000 5.42%
Government Income Portfolio................................. 14,963,000 2.37
Zero Coupon Bond 2000 Portfolio............................. 6,738,000 1.07
Zero Coupon Bond 2005 Portfolio............................. 821,000 0.13
Conservative Balanced Portfolio............................. 57,017,000 9.03
Flexible Managed Portfolio.................................. 97,471,000 15.43
High Yield Bond Portfolio................................... 41,437,000 6.56
Stock Index Portfolio....................................... 59,383,000 9.40
Equity Income Portfolio..................................... 21,298,000 3.37
Equity Portfolio............................................ 67,436,000 10.67
</TABLE>
C5
<PAGE> 91
<TABLE>
<CAPTION>
Principal Percentage
Amount Interest
------------ ----------
<S> <C> <C>
Prudential Jennison Portfolio............................... $145,588,000 23.05%
Small Capitalization Stock Portfolio........................ 22,651,000 3.59
Global Portfolio............................................ 25,850,000 4.09
Natural Resources Portfolio................................. 4,683,000 0.74
All other portfolios........................................ 32,099,000 5.08
------------ ------
$631,671,000 100.00%
</TABLE>
As of such date, each repurchase agreement in the joint account and the
collateral therefor were as follows:
ABN AMRO Inc., 6.60%, in the principal amount of $130,000,000, repurchase
price $130,071,500, due 7/3/00. The value of the collateral including
accrued interest was $132,600,710.
ABN AMRO Inc., 6.20%, in the principal amount of $76,455,000, repurchase
price $76,494,502, due 7/3/00. The value of the collateral including
accrued interest was $77,984,334.
Bear, Stearns & Co., Inc., 6.55%, in the principal amount of
$125,000,000, repurchase price $125,068,229, due 7/3/00. The value of the
collateral including accrued interest was $127,935,940.
Credit Suisse First Boston Corp., 6.65%, in the principal amount of
$125,000,000, repurchase price $125,069,271, due 7/3/00. The value of the
collateral including accrued interest was $130,618,178.
UBS Warburg, 6.55%, in the principal amount of $100,000,000, repurchase
price $100,054,583, due 7/3/00. The value of the collateral including
accrued interest was $102,001,028.
UBS Warburg, 6.25%, in the principal amount of $75,216,000, repurchase
price $75,255,175, due 7/3/00. The value of the collateral including
accrued interest was $76,721,755.
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, 2000 were as follows:
Cost of Purchases:
<TABLE>
<CAPTION>
Government Non-Government
Securities Securities
-------------- --------------
<S> <C> <C>
Diversified Bond Portfolio.................................. $ 341,777,415 $ 247,515,370
Government Income Portfolio................................. 350,848,552 0
Zero Coupon Bond 2000 Portfolio............................. 0 0
Zero Coupon Bond 2005 Portfolio............................. 30,440,641 0
Conservative Balanced Portfolio............................. 794,806,228 1,096,759,509
Flexible Managed Portfolio.................................. 669,592,038 1,674,359,362
High Yield Bond Portfolio................................... 0 288,699,800
Stock Index Portfolio....................................... 0 133,703,961
Equity Income Portfolio..................................... 0 765,025,163
Equity Portfolio............................................ 0 251,721,501
Prudential Jennison Portfolio............................... 0 1,842,685,398
Small Capitalization Stock Portfolio........................ 0 101,591,481
Global Portfolio............................................ 0 376,923,599
Natural Resources Portfolio................................. 0 26,215,080
</TABLE>
Proceeds from Sales:
<TABLE>
<CAPTION>
Government Non-Government
Securities Securities
-------------- --------------
<S> <C> <C>
Diversified Bond Portfolio.................................. $ 273,669,937 $ 332,157,325
Government Income Portfolio................................. 393,492,453 0
Zero Coupon Bond 2000 Portfolio............................. 8,081,981 0
Zero Coupon Bond 2005 Portfolio............................. 33,299,676 0
Conservative Balanced Portfolio............................. 1,078,594,082 1,478,115,288
Flexible Managed Portfolio.................................. 340,750,236 2,274,589,749
High Yield Bond Portfolio................................... 0 263,848,234
Stock Index Portfolio....................................... 0 105,636,662
Equity Income Portfolio..................................... 0 887,894,500
Equity Portfolio............................................ 0 842,655,641
Prudential Jennison Portfolio............................... 0 1,266,685,655
Small Capitalization Stock Portfolio........................ 0 71,366,594
Global Portfolio............................................ 0 335,097,058
Natural Resources Portfolio................................. 0 35,430,743
</TABLE>
C6
<PAGE> 92
The federal income tax basis and unrealized appreciation (depreciation)
of the Series Fund's investments as of June 30, 2000 were as follows:
<TABLE>
<CAPTION>
Tax Total Net Gross Unrealized
Basis Unrealized Appreciation Depreciation
-------------- -------------- -------------- ------------
<S> <C> <C> <C> <C>
Diversified Bond Portfolio................... $1,251,783,832 $ (36,057,203) $ 5,834,834 $ 41,892,037
Government Income Portfolio.................. 313,671,938 (6,640,003) 434,284 7,074,287
Zero Coupon Bond 2000 Portfolio.............. 40,795,549 318,151 347,872 29,721
Zero Coupon Bond 2005 Portfolio.............. 44,924,768 94,241 505,358 411,117
Conservative Balanced Portfolio.............. 4,224,893,396 306,700,826 513,043,451 206,342,625
Flexible Managed Portfolio................... 5,087,503,758 307,146,880 594,772,598 287,625,718
High Yield Bond Portfolio.................... 874,482,573 (116,206,186) 15,876,945 132,083,131
Stock Index Portfolio........................ 2,421,693,015 2,210,555,510 2,370,266,248 159,710,678
Equity Income Portfolio...................... 1,738,740,135 17,139,127 253,827,943 236,688,816
Equity Portfolio............................. 4,965,052,251 492,566,081 1,138,419,652 645,853,571
Prudential Jennison Portfolio................ 2,724,954,392 753,284,694 852,783,794 99,499,100
Small Capitalization Stock Portfolio......... 465,038,384 50,203,587 216,241,857 76,038,270
Global Portfolio............................. 1,147,863,512 288,550,728 320,547,370 31,996,642
Natural Resources Portfolio.................. 253,096,618 72,367,120 129,469,613 57,102,493
</TABLE>
The Global Portfolio entered into 3 swap agreements with Merrill Lynch
International. The Portfolio receives the change in the market value of
shares of Taiwan Semiconductor including dividends and the Portfolio pays
3 months LIBOR plus 0.75% based on the value of the shares of Taiwan
Semiconductor on the date the contract was entered into. In addition, the
Portfolio will pay a fee at termination of the swap equal to the number
of shares of Taiwan Semiconductor times the market price on termination
date times 0.0075. Details of the swap agreements are as follows:
<TABLE>
<CAPTION>
Appreciation
Open Date Termination Date Shares Current Value Current Basis (Depreciation)
--------- ---------------- ---------- ------------- ------------- --------------
<S> <C> <C> <C> <C> <C>
8/16/99 8/18/00 1,874,689 $ 8,828,956 $10,165,688 $(1,336,732)
11/16/99 8/18/00 1,253,632 5,904,053 6,797,945 (893,892)
11/16/99 8/18/00 1,367,896 6,442,186 7,417,553 (975,367)
----------- ----------- -----------
$21,175,195 $24,381,186 $(3,205,991)
=========== =========== ===========
</TABLE>
The Global Portfolio also entered into a future swap agreement with
Merrill Lynch International having the following description. The
Portfolio receives the positive change in the market value of Dow Jones
Euro Stoxx 50 Sept '00 future and the Portfolio pays the negative change
in the market value of Dow Jones Euro Stoxx 50 Sept '00. The Portfolio
paid a transaction fee for the agreement. The Portfolio will pay a fee at
termination of the swap. Details of the swap are as follows:
<TABLE>
<CAPTION>
Open Date Termination Date Contracts Current Value Current Basis Appreciation
--------- ---------------- --------- ------------- ------------- ------------
<S> <C> <C> <C> <C> <C>
6/1/00 9/20/00 1,350 $67,061,974 $66,774,997 $286,977
</TABLE>
For federal income tax purposes, the following Portfolios had post
October losses deferred and capital loss carryforwards as of December 31,
1999. 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 Loss
Currency Capital Carryforwards
Losses Deferred Losses Deferred Available Expiration Date
--------------- --------------- ------------- ---------------
<S> <C> <C> <C> <C>
Conservative Balanced Portfolio.............. $ 8,302,364
Flexible Managed Portfolio................... -- 16,235,978 -- --
High Yield Bond Portfolio.................... 4,418,508 $(2,841,700) 2003
(43,467,300) 2007
-----------
(46,309,000)
Global Portfolio............................. $262,338
Natural Resources Portfolio.................. 15,460 (4,117,123) 2006
(3,511,444) 2007
-----------
(7,628,567)
</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 The
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. As of June 30, 2000, the Equity and
Prudential Jennison Portfolios have Class II shares outstanding.
C7
<PAGE> 93
Transactions in shares of common stock of the Equity and Prudential
Jennison Portfolios were as follows:
Equity Portfolio:
<TABLE>
<CAPTION>
Class I Shares Amount
------- ----------- ---------------
<S> <C> <C>
Six months ended June 30, 2000:
Capital stock sold.......................................... 3,146,069 $ 86,587,014
Capital stock issued in reinvestment of dividends and
distributions............................................. 6,358,428 165,952,214
Capital stock repurchased................................... (19,064,840) (516,323,539)
----------- ---------------
Net decrease in shares outstanding.......................... (9,560,343) $ (263,784,311)
=========== ===============
</TABLE>
<TABLE>
<CAPTION>
Shares Amount
----------- ---------------
<S> <C> <C>
Year ended December 31, 1999:
Capital stock sold.......................................... 8,671,360 $ 269,536,387
Capital stock issued in reinvestment of dividends and
distributions............................................. 29,303,403 842,957,463
Capital stock repurchased................................... (33,039,026) (1,018,930,728)
----------- ---------------
Net increase in shares outstanding.......................... 4,935,737 $ 93,563,122
=========== ===============
</TABLE>
<TABLE>
<CAPTION>
Class II Shares Amount
-------- ----------- ---------------
<S> <C> <C>
Six months ended June 30, 2000:
Capital stock sold.......................................... 41,625 $ 1,144,430
Capital stock issued in reinvestment of dividends and
distributions............................................. 486 15,453
Capital stock repurchased................................... (30,644) (840,234)
----------- ---------------
Net increase in shares outstanding.......................... 11,467 $ 319,649
=========== ===============
</TABLE>
<TABLE>
<CAPTION>
Shares Amount
----------- ---------------
<S> <C> <C>
May 3, 1999(a) through December 31, 1999:
Capital stock sold.......................................... 14,063 $ 457,113
Capital stock issued in reinvestment of dividends and
distributions............................................. 1,186 33,511
Capital stock repurchased................................... (4,199) (135,030)
----------- ---------------
Net increase in shares outstanding.......................... 11,050 $ 355,594
=========== ===============
</TABLE>
(a) Commencement of offering of Equity Portfolio Class II shares.
Prudential Jennison Portfolio:
<TABLE>
<CAPTION>
Class I Shares Amount
------- ----------- ---------------
<S> <C> <C>
Six months ended June 30, 2000:
Capital stock sold.......................................... 22,342,715 $ 749,265,516
Capital stock issued in reinvestment of dividends and
distributions............................................. 1,630,628 49,620,027
Capital stock repurchased................................... (4,759,602) (157,150,860)
----------- ---------------
Net increase in shares outstanding.......................... 19,213,741 $ 641,734,683
=========== ===============
</TABLE>
<TABLE>
<CAPTION>
Class II Shares Amount
-------- ----------- ---------------
<S> <C> <C>
February 10, 2000 (b) June 30, 2000:
Capital stock sold.......................................... 87,950 $ 2,840,721
Capital stock issued in reinvestment of dividends and
distributions............................................. 73 2,217
Capital stock repurchased................................... (4,108) (132,434)
----------- ---------------
Net increase in shares outstanding.......................... 83,915 $ 2,710,504
=========== ===============
</TABLE>
(b) Commencement of offering of Prudential Jennison Portfolio Class II
shares.
NOTE 8: SUBSEQUENT EVENT
The Zero Coupon Bond 2000 Portfolio will be liquidated on or about
November 15, 2000. On the liquidation date, all of the securities held in
the Portfolio will be sold and all outstanding shares will be redeemed.
All redemption proceeds will used to purchase shares of the Money Market
Portfolio, unless otherwise directed by Contract holders.
C8
<PAGE> 94
FINANCIAL HIGHLIGHTS
(UNAUDITED)
<TABLE>
<CAPTION>
MONEY MARKET PORTFOLIO
-----------------------------------------------------------------------
SIX
MONTHS YEAR ENDED
ENDED DECEMBER 31,
JUNE 30, ------------------------------------------------------
2000 1999 1998 1997 1996 1995(c)
---------- ---------- -------- -------- -------- --------
<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........................ 0.29 0.49 0.52 0.54 0.51 0.56
Dividends and distributions............... (0.29) (0.49) (0.52) (0.54) (0.51) (0.56)
-------- -------- -------- -------- -------- --------
Net Asset Value, end of period............ $ 10.00 $ 10.00 $ 10.00 $ 10.00 $ 10.00 $ 10.00
======== ======== ======== ======== ======== ========
TOTAL INVESTMENT RETURN(a)................ 2.94% 4.97% 5.39% 5.41% 5.22% 5.80%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in millions)... $1,166.8 $1,335.5 $ 920.2 $ 657.5 $ 668.8 $ 613.3
Ratios to average net assets:
Expenses................................ 0.43%(b) 0.42% 0.41% 0.43% 0.44% 0.44%
Net investment income................... 5.79%(b) 4.90% 5.20% 5.28% 5.10% 5.64%
</TABLE>
<TABLE>
<CAPTION>
DIVERSIFIED BOND
-----------------------------------------------------------------------
SIX
MONTHS YEAR ENDED
ENDED DECEMBER 31,
JUNE 30, ------------------------------------------------------
2000 1999 1998 1997 1996 1995(c)
---------- ---------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE:
Net Asset Value, beginning of period...... $ 10.95 $ 11.06 $ 11.02 $ 11.07 $ 11.31 $ 10.04
-------- -------- -------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income..................... 0.41 0.67 0.69 0.80 0.76 0.76
Net realized and unrealized gains (losses)
on investments.......................... (0.11) (0.75) 0.08 0.11 (0.27) 1.29
-------- -------- -------- -------- -------- --------
Total from investment operations...... 0.30 (0.08) 0.77 0.91 0.49 2.05
-------- -------- -------- -------- -------- --------
LESS DISTRIBUTIONS:
Dividends from net investment income...... (0.17) -- (0.69) (0.83) (0.73) (0.75)
Distributions from net realized gains..... --(d) (0.03) (0.04) (0.13) -- (0.03)
-------- -------- -------- -------- -------- --------
Total distributions................... (0.17) (0.03) (0.73) (0.96) (0.73) (0.78)
-------- -------- -------- -------- -------- --------
Net Asset Value, end of period............ $ 11.08 $ 10.95 $ 11.06 $ 11.02 $ 11.07 $ 11.31
======== ======== ======== ======== ======== ========
TOTAL INVESTMENT RETURN(a)................ 2.80% (0.74)% 7.15% 8.57% 4.40% 20.73%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in millions)... $1,210.7 $1,253.8 $1,122.6 $ 816.7 $ 720.2 $ 655.8
Ratios to average net assets:
Expenses................................ 0.43%(b) 0.43% 0.42% 0.43% 0.45% 0.44%
Net investment income................... 6.85%(b) 6.25% 6.40% 7.18% 6.89% 7.00%
Portfolio turnover rate................... 51% 171% 199% 224% 210% 199%
</TABLE>
(a) 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.
(b) Annualized.
(c) Calculations are based on average month-end shares outstanding.
(d) Less than $0.002 per share.
SEE NOTES TO FINANCIAL STATEMENTS.
D1
<PAGE> 95
FINANCIAL HIGHLIGHTS
(UNAUDITED)
<TABLE>
<CAPTION>
GOVERNMENT INCOME PORTFOLIO
---------------------------------------------------------------------
SIX MONTHS YEAR ENDED
ENDED DECEMBER 31,
JUNE 30, ----------------------------------------------------
2000 1999 1998 1997 1996 1995(C)
---------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE:
Net Asset Value, beginning of period...... $ 11.55 $ 11.87 $ 11.52 $ 11.22 $ 11.72 $ 10.46
-------- -------- -------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income..................... 0.52 0.76 0.67 0.75 0.75 0.74
Net realized and unrealized gains (losses)
on investments.......................... (0.01) (1.08) 0.36 0.30 (0.51) 1.28
-------- -------- -------- -------- -------- --------
Total from investment operations...... 0.51 (0.32) 1.03 1.05 0.24 2.02
-------- -------- -------- -------- -------- --------
LESS DISTRIBUTIONS:
Dividends from net investment income...... (0.22) -- (0.68) (0.75) (0.74) (0.76)
Distributions from net realized gains..... (0.03) -- --(c) -- -- --
-------- -------- -------- -------- -------- --------
Total distributions................... (0.25) -- (0.68) (0.75) (0.74) (0.76)
-------- -------- -------- -------- -------- --------
Net Asset Value, end of period............ $ 11.81 $ 11.55 $ 11.87 $ 11.52 $ 11.22 $ 11.72
======== ======== ======== ======== ======== ========
TOTAL INVESTMENT RETURN(a)................ 4.43% (2.70)% 9.09% 9.67% 2.22% 19.48%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in millions)... $ 285.7 $ 335.5 $ 443.2 $ 429.6 $ 482.0 $ 501.8
Ratios to average net assets:
Expenses................................ 0.45%(b) 0.44% 0.43% 0.44% 0.46% 0.45%
Net investment income................... 6.07%(b) 5.72% 5.71% 6.40% 6.38% 6.55%
Portfolio turnover rate................... 116% 106% 109% 88% 95% 195%
</TABLE>
<TABLE>
<CAPTION>
ZERO COUPON BOND 2000 PORTFOLIO
---------------------------------------------------------------------
SIX MONTHS YEAR ENDED
ENDED DECEMBER 31,
JUNE 30, ----------------------------------------------------
2000 1999 1998 1997 1996 1995(C)
---------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE:
Net Asset Value, beginning of period...... $ 12.99 $ 12.74 $ 12.61 $ 12.92 $ 13.27 $ 11.86
-------- -------- -------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income..................... 0.43 0.70 0.63 0.67 0.55 0.59
Net realized and unrealized gains (losses)
on investments.......................... (0.08) (0.43) 0.31 0.22 (0.36) 1.95
-------- -------- -------- -------- -------- --------
Total from investment operations...... 0.35 0.27 0.94 0.89 0.19 2.54
-------- -------- -------- -------- -------- --------
LESS DISTRIBUTIONS:
Dividends from net investment income...... (0.18) -- (0.64) (0.67) (0.54) (0.60)
Distributions from net realized gains..... (0.02) (0.02) (0.17) (0.53) -- (0.53)
-------- -------- -------- -------- -------- --------
Total distributions................... (0.20) (0.02) (0.81) (1.20) (0.54) (1.13)
-------- -------- -------- -------- -------- --------
Net Asset Value, end of period............ $ 13.14 $ 12.99 $ 12.74 $ 12.61 $ 12.92 $ 13.27
======== ======== ======== ======== ======== ========
TOTAL INVESTMENT RETURN(a)................ 2.71% 2.18% 7.57% 7.17% 1.53% 21.56%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in millions)... $ 41.0 $ 41.2 $ 40.2 $ 41.3 $ 44.7 $ 25.3
Ratios to average net assets:
Expenses................................ 0.62%(b) 0.58% 0.62% 0.66% 0.52% 0.48%
Net investment income................... 6.34%(b) 5.56% 4.85% 4.78% 4.88% 4.53%
Portfolio turnover rate................... 0% 4% 16% 32% 13% 71%
</TABLE>
(a) 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.
(b) Annualized.
(c) Calculations are based on average month-end shares outstanding.
SEE NOTES TO FINANCIAL STATEMENTS.
D2
<PAGE> 96
FINANCIAL HIGHLIGHTS
(UNAUDITED)
<TABLE>
<CAPTION>
ZERO COUPON BOND 2005 PORTFOLIO
--------------------------------------------------------------------
SIX MONTHS YEAR ENDED
ENDED DECEMBER 31,
JUNE 30, ----------------------------------------------------
2000 1999 1998 1997 1996 1995(c)
---------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE:
Net Asset Value, beginning of period...... $ 12.68 $ 13.44 $ 12.60 $ 12.25 $ 13.19 $ 10.74
-------- -------- -------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income..................... 0.37 0.67 0.66 0.68 0.66 0.66
Net realized and unrealized gains (losses)
on investments.......................... 0.21 (1.43) 0.87 0.66 (0.82) 2.73
-------- -------- -------- -------- -------- --------
Total from investment operations...... 0.58 (0.76) 1.53 1.34 (0.16) 3.39
-------- -------- -------- -------- -------- --------
LESS DISTRIBUTIONS:
Dividends from net investment income...... (0.18) -- (0.67) (0.71) (0.64) (0.65)
Distributions from net realized gains..... (0.30) -- (0.02) (0.28) (0.14) (0.29)
-------- -------- -------- -------- -------- --------
Total distributions................... (0.48) -- (0.69) (0.99) (0.78) (0.94)
-------- -------- -------- -------- -------- --------
Net Asset Value, end of period............ $ 12.78 $ 12.68 $ 13.44 $ 12.60 $ 12.25 $ 13.19
======== ======== ======== ======== ======== ========
TOTAL INVESTMENT RETURN(a)................ 4.58% (5.66)% 12.35% 11.18% (1.01)% 31.85%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in millions)... $ 44.9 $ 45.4 $ 45.5 $ 30.8 $ 25.8 $ 23.6
Ratios to average net assets:
Expenses................................ 0.61%(b) 0.59% 0.61% 0.74% 0.53% 0.49%
Net investment income................... 5.49%(b) 5.31% 5.35% 5.71% 5.42% 5.32%
Portfolio turnover rate................... 69% 15% --% 35% 10% 69%
</TABLE>
<TABLE>
<CAPTION>
CONSERVATIVE BALANCED PORTFOLIO
--------------------------------------------------------------------
SIX MONTHS YEAR ENDED
ENDED DECEMBER 31,
JUNE 30, ----------------------------------------------------
2000 1999 1998 1997 1996 1995(c)
---------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE:
Net Asset Value, beginning of period...... $ 15.36 $ 15.08 $ 14.97 $ 15.52 $ 15.31 $ 14.10
-------- -------- -------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income..................... 0.32 0.62 0.66 0.76 0.66 0.63
Net realized and unrealized gains (losses)
on investments.......................... (0.12) 0.37 1.05 1.26 1.24 1.78
-------- -------- -------- -------- -------- --------
Total from investment operations...... 0.20 0.99 1.71 2.02 1.90 2.41
-------- -------- -------- -------- -------- --------
LESS DISTRIBUTIONS:
Dividends from net investment income...... (0.17) (0.62) (0.66) (0.76) (0.66) (0.64)
Distributions from net realized gains..... -- (0.06) (0.94) (1.81) (1.03) (0.56)
Distributions in excess from net realized
gains................................... -- (0.03) -- -- -- --
-------- -------- -------- -------- -------- --------
Total distributions................... (0.17) (0.71) (1.60) (2.57) (1.69) (1.20)
-------- -------- -------- -------- -------- --------
Net Asset Value, end of period............ $ 15.39 $ 15.36 $ 15.08 $ 14.97 $ 15.52 $ 15.31
======== ======== ======== ======== ======== ========
TOTAL INVESTMENT RETURN(a)................ 1.39% 6.69% 11.74% 13.45% 12.63% 17.27%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in millions)... $3,998.2 $4,387.1 $4,796.0 $4,744.2 $4,478.8 $3,940.8
Ratios to average net assets:
Expenses................................ 0.58%(b) 0.57% 0.57% 0.56% 0.59% 0.58%
Net investment income................... 4.11%(b) 4.02% 4.19% 4.48% 4.13% 4.19%
Portfolio turnover rate................... 48% 109% 167% 295% 295% 201%
</TABLE>
(a) 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.
(b) Annualized.
(c) Calculations are based on average month-end shares outstanding.
SEE NOTES TO FINANCIAL STATEMENTS.
D3
<PAGE> 97
FINANCIAL HIGHLIGHTS
(UNAUDITED)
<TABLE>
<CAPTION>
FLEXIBLE MANAGED PORTFOLIO
--------------------------------------------------------------------
SIX MONTHS YEAR ENDED
ENDED DECEMBER 31,
JUNE 30, ----------------------------------------------------
2000 1999 1998 1997 1996 1995(c)
---------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE:
Net Asset Value, beginning of period...... $ 17.64 $ 16.56 $ 17.28 $ 17.79 $ 17.86 $ 15.50
-------- -------- -------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income..................... 0.33 0.58 0.58 0.59 0.57 0.56
Net realized and unrealized gains (losses)
on investments.......................... (0.23) 0.69 1.14 2.52 1.79 3.15
-------- -------- -------- -------- -------- --------
Total from investment operations...... 0.10 1.27 1.72 3.11 2.36 3.71
-------- -------- -------- -------- -------- --------
LESS DISTRIBUTIONS:
Dividends from net investment income...... (0.15) -- (0.59) (0.58) (0.58) (0.56)
Distributions from net realized gains..... (0.24) (0.19) (1.85) (3.04) (1.85) (0.79)
-------- -------- -------- -------- -------- --------
Total distributions................... (0.39) (0.19) (2.44) (3.62) (2.43) (1.35)
-------- -------- -------- -------- -------- --------
Net Asset Value, end of period............ $ 17.35 $ 17.64 $ 16.56 $ 17.28 $ 17.79 $ 17.86
======== ======== ======== ======== ======== ========
TOTAL INVESTMENT RETURN(a)................ 0.64% 7.78% 10.24% 17.96% 13.64% 24.13%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in millions)... $4,754.3 $5,125.3 $5,410.0 $5,490.1 $4,896.9 $4,261.2
Ratios to average net assets:
Expenses................................ 0.63%(b) 0.62% 0.61% 0.62% 0.64% 0.63%
Net investment income................... 3.39%(b) 3.20% 3.21% 3.02% 3.07% 3.30%
Portfolio turnover rate................... 52% 76% 138% 227% 233% 173%
</TABLE>
<TABLE>
<CAPTION>
HIGH YIELD BOND PORTFOLIO
--------------------------------------------------------------------
SIX MONTHS YEAR ENDED
ENDED DECEMBER 31,
JUNE 30, ----------------------------------------------------
2000 1999 1998 1997 1996 1995(c)
---------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE:
Net Asset Value, beginning of period...... $ 7.52 $ 7.21 $ 8.14 $ 7.87 $ 7.80 $ 7.37
-------- -------- -------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income..................... 0.42 0.79 0.77 0.78 0.80 0.81
Net realized and unrealized gains (losses)
on investments.......................... (0.56) (0.46) (0.94) 0.26 0.06 0.46
-------- -------- -------- -------- -------- --------
Total from investment operations...... (0.14) 0.33 (0.17) 1.04 0.86 1.27
-------- -------- -------- -------- -------- --------
LESS DISTRIBUTIONS:
Dividends from net investment income...... (0.21) (0.02) (0.76) (0.77) (0.78) (0.84)
Dividends in excess of net investment
income.................................. -- -- -- -- (0.01) --
-------- -------- -------- -------- -------- --------
Total distributions................... (0.21) (0.02) (0.76) (0.77) (0.79) (0.84)
-------- -------- -------- -------- -------- --------
Net Asset Value, end of period............ $ 7.17 $ 7.52 $ 7.21 $ 8.14 $ 7.87 $ 7.80
======== ======== ======== ======== ======== ========
TOTAL INVESTMENT RETURN(a)................ (1.90)% 4.61% (2.36)% 13.78% 11.39% 17.56%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in millions)... $ 736.4 $ 802.2 $ 789.3 $ 568.7 $ 432.9 $ 367.9
Ratios to average net assets:
Expenses................................ 0.59%(b) 0.60% 0.58% 0.57% 0.63% 0.61%
Net investment income................... 10.38%(b) 10.48% 10.31% 9.78% 9.89% 10.34%
Portfolio turnover rate................... 37% 58% 63% 106% 88% 139%
</TABLE>
(a) 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.
(b) Annualized.
(c) Calculations are based on average month-end shares outstanding.
SEE NOTES TO FINANCIAL STATEMENTS.
D4
<PAGE> 98
FINANCIAL HIGHLIGHTS
(UNAUDITED)
<TABLE>
<CAPTION>
STOCK INDEX PORTFOLIO
--------------------------------------------------------------------
SIX MONTHS YEAR ENDED
ENDED DECEMBER 31,
JUNE 30, ----------------------------------------------------
2000 1999 1998 1997 1996 1995(c)
---------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE:
Net Asset Value, beginning of period...... $ 44.45 $ 37.74 $ 30.22 $ 23.74 $ 19.96 $ 14.96
-------- -------- -------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income..................... 0.18 0.44 0.42 0.43 0.40 0.40
Net realized and unrealized gains (losses)
on investments.......................... (0.43) 7.23 8.11 7.34 4.06 5.13
-------- -------- -------- -------- -------- --------
Total from investment operations...... (0.25) 7.67 8.53 7.77 4.46 5.53
-------- -------- -------- -------- -------- --------
LESS DISTRIBUTIONS:
Dividends from net investment income...... (0.10) (0.43) (0.42) (0.42) (0.40) (0.38)
Distributions from net realized gains..... (0.04) (0.53) (0.59) (0.87) (0.28) (0.15)
-------- -------- -------- -------- -------- --------
Total distributions................... (0.14) (0.96) (1.01) (1.29) (0.68) (0.53)
-------- -------- -------- -------- -------- --------
Net Asset Value, end of period............ $ 44.06 $ 44.45 $ 37.74 $ 30.22 $ 23.74 $ 19.96
======== ======== ======== ======== ======== ========
TOTAL INVESTMENT RETURN(a)................ (0.54)% 20.54% 28.42% 32.83% 22.57% 37.06%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in millions)... $4,628.9 $4,655.0 $3,548.1 $2,448.2 $1,581.4 $1,031.3
Ratios to average net assets:
Expenses................................ 0.38%(b) 0.39% 0.37% 0.37% 0.40% 0.38%
Net investment income................... 0.84%(b) 1.09% 1.25% 1.55% 1.95% 2.27%
Portfolio turnover rate................... 2% 2% 3% 5% 1% 1%
</TABLE>
<TABLE>
<CAPTION>
EQUITY INCOME PORTFOLIO
--------------------------------------------------------------------
SIX MONTHS YEAR ENDED
ENDED DECEMBER 31,
JUNE 30, ----------------------------------------------------
2000 1999 1998 1997 1996 1995(c)
---------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE:
Net Asset Value, beginning of period...... $ 19.52 $ 20.03 $ 22.39 $ 18.51 $ 16.27 $ 14.48
-------- -------- -------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income..................... 0.25 0.51 0.56 0.61 0.58 0.64
Net realized and unrealized gains (losses)
on investments.......................... (1.29) 1.89 (1.03) 6.06 2.88 2.50
-------- -------- -------- -------- -------- --------
Total from investment operations...... (1.04) 2.40 (0.47) 6.67 3.46 3.14
-------- -------- -------- -------- -------- --------
LESS DISTRIBUTIONS:
Dividends from net investment income...... (0.16) (0.50) (0.59) (0.57) (0.71) (0.62)
Distributions from net realized gains..... (0.04) (2.41) (1.30) (2.22) (0.51) (0.73)
-------- -------- -------- -------- -------- --------
Total distributions................... (0.20) (2.91) (1.89) (2.79) (1.22) (1.35)
-------- -------- -------- -------- -------- --------
Net Asset Value, end of period............ $ 18.28 $ 19.52 $ 20.03 $ 22.39 $ 18.51 $ 16.27
======== ======== ======== ======== ======== ========
TOTAL INVESTMENT RETURN(a)................ (5.31)% 12.52% (2.38)% 36.61% 21.74% 21.70%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in millions)... $1,722.2 $2,024.0 $2,142.3 $2,029.8 $1,363.5 $1,110.0
Ratios to average net assets:
Expenses................................ 0.42%(b) 0.42% 0.42% 0.41% 0.45% 0.43%
Net investment income................... 2.63%(b) 2.34% 2.54% 2.90% 3.36% 4.00%
Portfolio turnover rate................... 43% 16% 20% 38% 21% 64%
</TABLE>
(a) 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.
(b) Annualized.
(c) Calculations are based on average month-end shares outstanding.
SEE NOTES TO FINANCIAL STATEMENTS.
D5
<PAGE> 99
FINANCIAL HIGHLIGHTS
(UNAUDITED)
<TABLE>
<CAPTION>
EQUITY PORTFOLIO
---------------------------------------------------------------------------------
CLASS I CLASS II
-------------------------------------------------------------------- ----------
SIX SIX
MONTHS YEAR ENDED MONTHS
ENDED DECEMBER 31, ENDED
JUNE 30, ---------------------------------------------------- JUNE 30,
2000 1999 1998 1997 1996 1995(c) 2000
---------- -------- -------- -------- -------- -------- ----------
<S> <C> <C> <C> <C> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE:
Net Asset Value, beginning of
period............................. $ 28.90 $ 29.64 $ 31.07 $ 26.96 $ 25.64 $ 20.66 $28.92
-------- -------- -------- -------- -------- -------- ------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income................ 0.27 0.54 0.60 0.69 0.71 0.55 0.15
Net realized and unrealized gains
(losses) on investments............ (1.86) 3.02 2.21 5.88 3.88 5.89 (1.80)
-------- -------- -------- -------- -------- -------- ------
Total from investment
operations..................... (1.61) 3.56 2.81 6.57 4.59 6.44 (1.65)
-------- -------- -------- -------- -------- -------- ------
LESS DISTRIBUTIONS:
Dividends from net investment
income............................. (0.14) (0.63) (0.60) (0.70) (0.67) (0.52) (0.11)
Distributions from net realized
gains.............................. (0.67) (3.77) (3.64) (1.76) (2.60) (0.94) (0.67)
-------- -------- -------- -------- -------- -------- ------
Total distributions.............. (0.81) (4.30) (4.24) (2.46) (3.27) (1.46) (0.78)
-------- -------- -------- -------- -------- -------- ------
Net Asset Value, end of period....... $ 26.50 $ 28.90 $ 29.64 $ 31.07 $ 26.96 $ 25.64 $26.49
======== ======== ======== ======== ======== ======== ======
TOTAL INVESTMENT RETURN(a)........... (5.47)% 12.49% 9.34% 24.66% 18.52% 31.29% (5.67)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of year (in
millions).......................... $5,463.4 $6,235.0 $6,247.0 $6,024.0 $4,814.0 $3,813.8 $ 0.6
Ratios to average net assets:
Expenses........................... 0.47%(b) 0.47% 0.47% 0.46% 0.50% 0.48% 0.87%(b)
Net investment income.............. 1.98%(b) 1.72% 1.81% 2.27% 2.54% 2.28% 1.65%(b)
Portfolio turnover rate.............. 5% 9% 25% 13% 20% 18% 5%
<CAPTION>
EQUITY PORTFOLIO
-----------------
CLASS II
-----------------
MAY 3, 1999(e)
THROUGH
DECEMBER 31,
1999
-----------------
<S> <C>
PER SHARE OPERATING PERFORMANCE:
Net Asset Value, beginning of
period............................. $32.79
------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income................ 0.28
Net realized and unrealized gains
(losses) on investments............ (0.60)
------
Total from investment
operations..................... (0.32)
------
LESS DISTRIBUTIONS:
Dividends from net investment
income............................. (0.34)
Distributions from net realized
gains.............................. (3.21)
------
Total distributions.............. (3.55)
------
Net Asset Value, end of period....... $28.92
======
TOTAL INVESTMENT RETURN(a)........... (0.68)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of year (in
millions).......................... $ 0.3
Ratios to average net assets:
Expenses........................... 0.87%(b)
Net investment income.............. 1.33%(b)
Portfolio turnover rate.............. 9%
</TABLE>
<TABLE>
<CAPTION>
PRUDENTIAL JENNISON PORTFOLIO
-------------------------------------------------------------------------------------------
CLASS I CLASS II
--------------------------------------------------------------------------- ------------
SIX APRIL 25, FEBRUARY 10,
MONTHS YEAR ENDED 1995(d) 2000(e)
ENDED DECEMBER 31, THROUGH THROUGH
JUNE 30, ---------------------------------------- DECEMBER 31, JUNE 30,
2000 1999 1998 1997 1996 1995(c) 2000
---------- -------- -------- ------ ------ ----------------- ------------
<S> <C> <C> <C> <C> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE:
Net Asset Value, beginning of
period............................ $ 32.39 $ 23.91 $ 17.73 $14.32 $12.55 $10.00 $ 34.25
-------- -------- -------- ------ ------ ------ --------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income............... 0.01 0.05 0.04 0.04 0.02 0.02 --(f)
Net realized and unrealized gains
(losses) on investments........... 1.23 9.88 6.56 4.48 1.78 2.54 (0.68)
-------- -------- -------- ------ ------ ------ --------
Total from investment
operations.................... 1.24 9.93 6.60 4.52 1.80 2.56 (0.68)
-------- -------- -------- ------ ------ ------ --------
LESS DISTRIBUTIONS:
Dividends from net investment
income............................ -- (0.05) (0.04) (0.04) (0.03) (0.01) --
Distributions from net realized
gains............................. (0.50) (1.40) (0.38) (1.07) -- -- (0.50)
-------- -------- -------- ------ ------ ------ --------
Total distributions............. (0.50) (1.45) (0.42) (1.11) (0.03) (0.01) (0.50)
-------- -------- -------- ------ ------ ------ --------
Net Asset Value, end of period...... $ 33.13 $ 32.39 $ 23.91 $17.73 $14.32 $12.55 $ 33.08
======== ======== ======== ====== ====== ====== ========
TOTAL INVESTMENT RETURN(a).......... 3.98% 41.76% 37.46% 31.71% 14.41% 24.20% (1.81)
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in
millions)......................... $3,470.3 $2,770.7 $1,198.7 $495.9 $226.5 $ 63.1 $2,775.9
Ratios to average net assets:
Expenses.......................... 0.62%(b) 0.63% 0.63% 0.64% 0.66% 0.79%(c) 1.02%(b)
Net investment income............. 0.06%(b) 0.17% 0.20% 0.25% 0.20% 0.15%(c) (0.34)%(b)
Portfolio turnover rate............. 41% 58% 54% 60% 46% 37% 41%
</TABLE>
(a) 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.
(b) Annualized.
(c) Calculations are based on average month-end shares outstanding.
(d) Commencement of offering of Class I shares.
(e) Commencement of offering of Class II shares.
(f) Less than ($0.003).
SEE NOTES TO FINANCIAL STATEMENTS.
D6
<PAGE> 100
FINANCIAL HIGHLIGHTS
(UNAUDITED)
<TABLE>
<CAPTION>
SMALL CAPITALIZATION STOCK PORTFOLIO
------------------------------------------------------------------
SIX MONTHS YEAR ENDED APRIL 25, 1995(d)
ENDED DECEMBER 31, THROUGH
JUNE 30, --------------------------------- DECEMBER 31,
2000 1999 1998 1997 1996 1995(c)
---------- ------ ------ ------ ------ -----------------
<S> <C> <C> <C> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE:
Net Asset Value, beginning of period...... $16.25 $14.71 $15.93 $13.79 $11.83 $10.00
------ ------ ------ ------ ------ ------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income..................... 0.03 0.10 0.09 0.10 0.09 0.08
Net realized and unrealized gains (losses)
on investments.......................... 1.04 1.71 (0.25) 3.32 2.23 1.91
------ ------ ------ ------ ------ ------
Total from investment operations...... 1.07 1.81 (0.16) 3.42 2.32 1.99
------ ------ ------ ------ ------ ------
LESS DISTRIBUTIONS:
Dividends from net investment income...... (0.02) (0.09) (0.10) (0.09) (0.04)
Distributions from net realized gains..... (0.94) (0.27) (0.97) (1.18) (0.27) (0.12)
------ ------ ------ ------ ------ ------
Total distributions................... (0.96) (0.27) (1.06) (1.28) (0.36) (0.16)
------ ------ ------ ------ ------ ------
Net Asset Value, end of period............ $16.36 $16.25 $14.71 $15.93 $13.79 $11.83
====== ====== ====== ====== ====== ======
TOTAL INVESTMENT RETURN(a)................ 7.48% 12.68% (0.76)% 25.17% 19.77% 19.74%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in millions)... $497.4 $437.5 $360.4 $290.3 $147.9 $ 47.5
Ratios to average net assets:
Expenses................................ 0.46%(b) 0.45% 0.47% 0.50% 0.56% 0.60%(b)
Net investment income................... 0.57%(b) 0.70% 0.57% 0.69% 0.87% 0.68%(b)
Portfolio turnover rate................... 16% 31% 26% 31% 13% 32%
</TABLE>
<TABLE>
<CAPTION>
GLOBAL PORTFOLIO
----------------------------------------------------------
SIX MONTHS YEAR ENDED
ENDED DECEMBER 31,
JUNE 30, ---------------------------------------------
2000 1999 1998 1997 1996 1995(c)
---------- -------- ------ ------ ------ -------
<S> <C> <C> <C> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE:
Net Asset Value, beginning of period...... $ 30.98 $ 21.16 $17.92 $17.85 $15.53 $13.88
-------- -------- ------ ------ ------ ------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income..................... 0.06 0.06 0.07 0.09 0.11 0.06
Net realized and unrealized gains (losses)
on investments.......................... (0.49) 10.04 4.38 1.11 2.94 2.14
-------- -------- ------ ------ ------ ------
Total from investment operations...... (0.43) 10.10 4.45 1.20 3.05 2.20
-------- -------- ------ ------ ------ ------
LESS DISTRIBUTIONS:
Dividends from net investment income...... (0.05) -- (0.16) (0.13) (0.11) (0.24)
Dividends in excess of net investment
income.................................. -- (0.10) (0.12) (0.10) -- --
Distributions from net realized gains..... (1.94) (0.18) (0.93) (0.90) (0.62) (0.31)
-------- -------- ------ ------ ------ ------
Total distributions................... (1.99) (0.28) (1.21) (1.13) (0.73) (0.55)
-------- -------- ------ ------ ------ ------
Net Asset Value, end of period............ $ 28.56 $ 30.98 $21.16 $17.92 $17.85 $15.53
======== ======== ====== ====== ====== ======
TOTAL INVESTMENT RETURN(a)................ (0.99)% 48.27% 25.08% 6.98% 19.97% 15.88%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in millions)... $1,436.5 $1,298.3 $844.5 $638.4 $580.6 $400.1
Ratios to average net assets:
Expenses................................ 0.81%(b) 0.84% 0.86% 0.85% 0.92% 1.06%
Net investment income................... 0.37%(b) 0.21% 0.29% 0.47% 0.64% 0.44%
Portfolio turnover rate................... 56% 76% 73% 70% 41% 59%
</TABLE>
(a) 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.
(b) Annualized.
(c) Calculations are based on average month-end shares outstanding.
(d) Commencement of offering of Class II shares.
SEE NOTES TO FINANCIAL STATEMENTS.
D7
<PAGE> 101
FINANCIAL HIGHLIGHTS
(UNAUDITED)
<TABLE>
<CAPTION>
NATURAL RESOURCES PORTFOLIO
--------------------------------------------------------
SIX MONTHS YEAR ENDED
ENDED DECEMBER 31,
JUNE 30, -------------------------------------------
2000 1999 1998 1997 1996 1995(c)
---------- ------ ------ ------ ------ -------
<S> <C> <C> <C> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE:
Net Asset Value, beginning of period...... $17.38 $11.98 $15.24 $19.77 $17.27 $14.44
------ ------ ------ ------ ------ ------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income..................... 0.06 0.10 0.09 0.12 0.15 0.21
Net realized and unrealized gains (losses)
on investments.......................... 2.67 5.40 (2.48) (2.43) 5.11 3.66
------ ------ ------ ------ ------ ------
Total from investment operations.... 2.73 5.50 (2.39) (2.31) 5.26 3.87
------ ------ ------ ------ ------ ------
LESS DISTRIBUTIONS:
Dividends from net investment income...... (0.17) (0.10) (0.11) (0.10) (0.14) (0.21)
Distributions from net realized gains..... -- -- (0.75) (2.12) (2.62) (0.83)
Tax Return of capital distributions....... -- -- (0.01) -- -- --
------ ------ ------ ------ ------ ------
Total distributions................. (0.17) (0.10) (0.87) (2.22) (2.76) (1.04)
------ ------ ------ ------ ------ ------
Net Asset Value, end of period............ $19.94 $17.38 $11.98 $15.24 $19.77 $17.27
====== ====== ====== ====== ====== ======
TOTAL INVESTMENT RETURN(a)................ 15.81% 45.99% (17.10)% (11.59)% 30.88% 26.92%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in millions)... $325.2 $289.5 $236.9 $358.0 $438.4 $293.2
Ratios to average net assets:
Expenses................................ 0.50%(b) 0.57% 0.61% 0.54% 0.52% 0.50%
Net investment income................... 0.59%(b) 0.70% 0.63% 0.60% 0.75% 1.25%
Portfolio turnover rate................... 9% 26% 12% 32% 36% 46%
</TABLE>
(a) 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.
(b) Annualized.
(c) Calculations are based on average month-end shares outstanding.
SEE NOTES TO FINANCIAL STATEMENTS.
D8
<PAGE>
The Prudential Series Fund, Inc.
--------------------------------------------------------------------------------
Board of Directors
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John R. Strangfeld
Chairman,
The Prudential Series Fund, Inc.
Saul K. Fenster, Ph.D.
President,
New Jersey Institute of Technology
W. Scott McDonald, Jr., Ph.D.
Vice President,
Kaludis Consulting Group
Joseph Weber, Ph.D.
Vice President,
Interclass (international corporate learning)
--------------------------------------------------------------------------------
Policy Form Numbers: VALA-88, VALB-88, VALA-86, VALB-86,VFL-85, VL-83,SVUL-95,
VAC-93-OR, VACQ-93-OR, VACQ-93, VA-85, VFM-95-OR, VFM-95-OK, VFM-95-NC,
VFM-95-MI, VFM-95, VIP-86-OR and VIP-86.
<PAGE>
--------------------------------------------------------------------------------
In the past, Contract Owners who held several variable contracts at the same
address received multiple copies of annual and semiannual 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 if you contact the reallocation area through
the toll-free numbers listed below. Proxy material and tax information will
continue to be sent to each account of record.
The toll-free numbers shown below can be used to make transfers and
reallocations, 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: (800) 778-2255 8 a.m. - Midnight Eastern time.
If you own a variable annuity contract, please call the following telephone
number: (888) 778-2888 8 a.m. - 9 p.m. Eastern time.
[LOGO OF PRUDENTIAL]
P.O.Box 7478
Philadelphia, PA 19101-7478
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Presorted
Standard
U.S.Postage
PAID
Prudential
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