[LOGO OF LINCOLN FINANCIAL GROUP]
Lincoln National
Managed Fund, Inc.
Semi-Annual Report
June 30, 2000
<PAGE>
Lincoln National Managed Fund, Inc.
Index
Commentary
Statement of Net Assets
Statement of Operations
Statements of Changes in Net Assets
Financial Highlights
Notes to Financial Statements
<PAGE>
Lincoln National Managed Fund, Inc.
Managed by: [LOGO OF LINCOLN FINANCIAL GROUP]
The Fund had a return of 0.7% (net of fees) for the first six months of 2000
while its customized benchmark (55% S & P 500 Index, 40% Lehman Brothers
Government/Corporate Bond Index and 5% Salomon Smith Barney 90 day T-Bill*)
returned 1.7% for the same period.
The market was characterized by a transition process the first half of 2000,
featuring a first quarter boom, followed by a second quarter bust in the
NASDAQ/technology. Strong economic growth led the markets to be concerned about
an aggressive Federal Reserve Board (Fed), which raised short-term rates by
1.0%. As the Fed increased rates, the market underwent a rapid rotation from
high growth, high tech companies in the first quarter to being led by the
defensive sector of health care and the value-oriented energy group in the
second quarter.
We have stated that slower economic growth would be confirmed in the third
quarter and that equities would perform well after the market receives this
confirmation. For now, we believe that the equity markets will be volatile and
mostly moving sideways as good corporate earnings "grow" the market out of its
current modest overvaluation. We are looking for confirmation that the economy
is traveling at the right speed--Fed speed. Fed speed is a 3-4% GDP growth rate.
David C. Fisher
*Standard & Poor's 500 Index - Broad based measurement of changes in stock
market conditions based on average performance of 500 widely held common stocks.
Lehman Brothers Gov't/Corp Bond Index - Measures performance of diversified,
investment grade, bond issues. Salomon Brothers 90 Day T-Bill Index - Measures
the return on short term securities. An investor cannot invest directly in the
above index/indexes, which is/are unmanaged.
Managed Fund 1
<PAGE>
Lincoln National Managed Fund, Inc.
Statement of Net Assets - Unaudited
June 30, 2000
Investments:
Par Market
Long-Term Debt Investments: Amount Value
----------------------------------------------------------------------------
U.S. Government and Agency Obligations: 16.4%
----------------------------------------------------------------------------
Federal Home Loan Mortgage Corporation
6.75%, 2/1/02 $10,100,000 $10,079,335
6.39%, 10/15/06 1,539,250 1,485,376
6.00%, 6/11/08 13,800,000 12,853,403
6.63%, 9/15/09 38,000,000 36,709,102
7.30%, 12/1/12 2,882,234 2,859,717
8.50%, 1/1/17 346,973 360,202
Federal National Mortgage Association
0.00%, 8/7/01 7,000,000 6,492,836
6.73%, 8/1/05 2,042,423 1,990,525
7.18%, 10/1/05 3,826,488 3,799,320
6.66%, 11/1/05 953,405 925,747
6.66%, 12/1/05 1,905,181 1,842,081
7.04%, 7/1/06 2,378,714 2,346,750
0.00%, 7/24/06 11,500,000 7,647,949
7.25%, 1/15/10 10,000,000 10,098,830
7.15%, 10/1/15 2,638,854 2,593,070
7.50%, 5/25/20 2,064,941 2,065,271
7.00%, 10/1/25 1,455,466 1,413,167
6.50%, 6/1/28 12,345,350 11,677,930
Government National Mortgage Association
6.50%, 12/15/23 794,102 762,338
U.S. Treasury Notes
10.75%, 8/15/05 15,000,000 17,882,820
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135,885,769
Collaterlized Mortgage Obligations: 1.0%
----------------------------------------------------------------------------
Federal National Mortgage Association Series 1996-23
6.50%, 9/25/21 2,971,414 2,922,564
Norwest Asset Sec Corp Series 99-5
6.25%, 3/25/14 4,449,831 4,300,344
Vanderbilt MTG Series 99-A CL 1A2 144A
5.97%, 3/7/12 1,300,000 1,267,500
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8,490,408
Automobile & Auto Parts: 0.3%
----------------------------------------------------------------------------
Chrysler
7.45%, 2/1/97 1,000,000 921,585
Goodyear Tire & Rubber
6.63%, 12/1/06 1,250,000 1,175,689
----------------------------------------------------------------------------
2,097,274
Banking, Finance & Insurance: 10.1%
----------------------------------------------------------------------------
Ahmanson, H. F.
8.25%, 10/1/02 2,000,000 2,021,630
Banc One
9.88%, 3/1/09 500,000 559,029
Banque Paribas-NY
8.35%, 6/15/07 1,600,000 1,629,510
Barnett Bank
6.90%, 9/1/05 1,500,000 1,459,199
Barnett Capital Trust I
8.06%, 12/1/26 1,900,000 1,717,906
Beaver Valley Funding
9.00%, 6/1/17 350,000 350,000
Citicorp Notes
6.33%, 1/5/06 1,600,000 1,510,848
Comerica Bank
7.88%, 9/15/26 1,500,000 1,438,952
Dow Capital
9.00%, 5/15/10 3,000,000 3,166,767
Fannie Mae- When Issued
0.00%, 6/1/17 26,260,000 7,914,423
Finova Capital
6.12%, 5/28/02 1,000,000 887,918
First Chicago
7.00%, 10/16/06 3,400,000 3,289,068
First Union
8.00%, 8/15/09 2,000,000 1,958,352
Par Market
Banking, Finance & Insurance (Cont.) Amount Value
----------------------------------------------------------------------------
First of America Capital Trust I
8.12%, 1/31/27 $ 2,000,000 $ 1,739,762
General Electric Capital
8.30%, 9/20/09 3,000,000 3,175,971
General Motors Acceptance
8.88%, 6/1/10 1,500,000 1,599,293
Household Finance
9.63%, 7/15/00 875,000 875,463
Hydro-Quebec
9.13%, 10/5/09 (1) 3,000,000 3,311,286
Interamerican Development Bank
7.38%, 1/15/10 11,000,000 11,202,917
John Deere Capital
8.63%, 8/1/19 2,000,000 2,071,828
Lehman Brothers
7.38%, 1/15/07 4,000,000 3,835,732
Mellon Capital I Notes
7.72%, 12/1/26 1,500,000 1,332,441
Mercantile Bancorp
7.30%, 6/15/07 1,325,000 1,273,471
Midland Bank
6.75%, 9/29/49 1,600,000 1,265,920
Morgan Stanley Group
6.88%, 3/1/07 2,250,000 2,123,314
National Westminister Bank
9.45%, 5/1/01 500,000 508,608
NationsBank
8.13%, 6/15/02 1,000,000 1,013,519
Nynex Capital Funding
7.63%, 10/15/09 (1) 3,000,000 3,128,268
Paine Weber Group
6.38%, 5/15/04 3,400,000 3,212,266
PNC Funding
6.88%, 7/15/07 1,663,000 1,578,455
PSE&G Capital 144A
6.25%, 5/15/03 2,500,000 2,403,558
Simon DeBartolo Group
7.13%, 6/24/05 600,000 570,176
SouthTrust Bank of Birmingham
7.69%, 5/15/25 2,750,000 2,840,635
Standard Chartered PLC
7.15%, 12/29/49 3,000,000 2,022,000
State Street Capital-B
8.04%, 3/15/27 1,400,000 1,264,432
Union Bank Switzerland
7.25%, 7/15/06 2,250,000 2,185,445
Wachovia Capital Trust I
7.64%, 1/15/27 1,900,000 1,646,365
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84,084,727
Cable, Media & Publishing: 0.5%
----------------------------------------------------------------------------
Century Communications
0.00%, 1/15/08 350,000 145,250
Charter Communications
8.63%, 4/1/09 350,000 309,313
News America Holdings
8.45%, 8/1/34 1,500,000 1,517,357
Time Warner
9.13%, 1/15/13 2,000,000 2,174,634
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4,146,554
Chemicals: 0.1%
----------------------------------------------------------------------------
ISP Holdings
9.00%, 10/15/03 350,000 327,688
Polymer Group
9.00%, 7/1/07 350,000 299,250
----------------------------------------------------------------------------
626,938
Consumer Products: 0.3%
----------------------------------------------------------------------------
Westvaco
8.30%, 8/1/22 2,500,000 2,482,310
----------------------------------------------------------------------------
Electric & Electrical Equipment: 0.1%
----------------------------------------------------------------------------
Flextronics International 144a
9.88%, 7/1/10 350,000 354,375
Kansas Gas & Electric
7.60%, 12/15/03 350,000 335,558
----------------------------------------------------------------------------
689,933
Managed Fund 2
<PAGE>
Par Market
Energy: 1.2% Amount Value
----------------------------------------------------------------------------
Central Power & Light
6.63%, 7/1/05 $3,000,000 $2,882,721
Enron
9.50%, 6/15/01 1,000,000 1,017,584
Petro-Canada
8.60%, 10/15/01 1,500,000 1,519,799
Semper Energy
7.95%, 3/1/10 4,500,000 4,545,702
----------------------------------------------------------------------------
9,965,806
Environmental Services: 0.1%
----------------------------------------------------------------------------
Waste Management
6.63%, 7/15/02 1,000,000 953,299
----------------------------------------------------------------------------
Food, Beverage & Tobacco: 0.1%
----------------------------------------------------------------------------
Nabisco
7.55%, 6/15/15 750,000 657,189
----------------------------------------------------------------------------
Healthcare & Pharmaceuticals: 0.2%
----------------------------------------------------------------------------
Allegiance
7.30%, 10/15/06 1,000,000 999,768
Colunbia HCA
8.85%, 1/1/07 350,000 339,064
Tenet Healthcare
8.00%, 1/15/05 350,000 337,750
----------------------------------------------------------------------------
1,676,582
Leisure, Lodging & Entertainment: 0.2%
----------------------------------------------------------------------------
Darden Restaurants
6.38%, 2/1/06 1,500,000 1,417,773
----------------------------------------------------------------------------
Metals & Mining: 0.7%
----------------------------------------------------------------------------
AK Steel
7.88%, 2/15/09 350,000 312,375
Cyprus Amax Minerals
7.38%, 5/15/07 2,500,000 2,399,253
Inco
9.60%, 6/15/22 1,000,000 982,542
Newmont Gold
8.91%, 1/5/09 642,313 654,536
Placer Dome
7.37%, 6/3/26 1,000,000 961,192
Placer Dome-Series A
7.31%, 1/26/21 1,000,000 835,263
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6,145,161
Miscellaneous: 0.7%
----------------------------------------------------------------------------
Corp Andina
7.75%, 3/1/04 2,000,000 1,981,626
ESI Tracebel
7.99%, 12/30/11 350,000 310,625
Lilly (Eli)
8.38%, 2/7/05 2,250,000 2,347,223
Manitoba
7.75%, 7/17/16 1,500,000 1,532,328
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6,171,802
Paper & Forest Products: 0.0%
----------------------------------------------------------------------------
Buckeye Cellulose
8.50%, 12/15/05 175,000 169,313
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Real Estate: 0.0%
----------------------------------------------------------------------------
Toll Brothers
8.13%, 2/1/09 350,000 316,750
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Retail: 0.3%
----------------------------------------------------------------------------
Sears Roebuck
9.05%, 2/6/12 2,500,000 2,721,255
----------------------------------------------------------------------------
Telecommunications: 0.9%
----------------------------------------------------------------------------
Global Crossing 144A
9.13%, 11/15/06 350,000 336,875
Level 3 Communications
11.00%, 3/15/08 350,000 348,250
Par Market
Telecommunications (Cont.) Amount Value
----------------------------------------------------------------------------
Litton Industries
6.98%, 3/15/36 $1,000,000 $ 950,343
Mcleodusa
8.13%, 2/15/09 350,000 316,750
Pacificorp
9.15%, 8/9/11 1,500,000 1,624,848
Qwest Communications International
0.00%, 2/1/08 (1) 350,000 276,500
Southwestern Bell Capital
7.13%, 6/1/05 2,000,000 1,970,676
U.S. Cellular
7.25%, 8/15/07 1,500,000 1,427,981
Williams Communications Group
10.88%, 10/1/09 350,000 343,875
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7,596,098
Transportation & Shipping: 1.2%
----------------------------------------------------------------------------
American Airlines
10.18%, 1/2/13 1,500,000 1,705,470
Burlington Northern Railroad
6.94%, 1/2/14 437,708 414,920
Chicago & Northwestern Transportation
6.25%, 7/30/12 1,271,464 1,162,830
CSX
7.25%, 5/1/27 1,000,000 977,195
Federal Express
7.96%, 3/28/17 1,129,243 1,079,556
General American Transportation
7.50%, 2/28/15 1,357,564 1,341,490
Norfolk Southern
7.05%, 5/1/37 2,000,000 1,958,208
United Airlines
9.35%, 4/7/16 (1) 1,500,000 1,572,645
----------------------------------------------------------------------------
10,212,314
Utilities: 2.8%
----------------------------------------------------------------------------
AES
9.50%, 6/1/09 350,000 344,750
Calpine
7.75%, 4/15/09 350,000 331,625
Colonial Gas-Series A
6.81%, 5/19/27 1,500,000 1,470,381
Consumers Energy
6.50%, 6/15/05 1,000,000 933,286
Detroit Edison
6.56%, 5/1/01 2,000,000 1,984,742
Great Lakes Power
9.00%, 8/1/04 1,500,000 1,523,093
Houston Light & Power Capital Trust II
8.26%, 2/1/37 1,900,000 1,700,426
MidAmerican Energy
6.50%, 12/15/01 1,250,000 1,232,951
Noble Affiliates
7.25%, 10/15/23 600,000 536,886
Old Dominion Electric
7.48%, 12/1/13 1,500,000 1,459,383
Pacific Gas & Electric
6.25%, 8/1/03 2,000,000 1,943,130
PSI Energy
8.85%, 1/15/22 495,000 521,163
Public Service
6.38%, 11/1/05 1,500,000 1,437,023
Scana
7.44%, 10/19/04 500,000 500,121
South Carolina Electric
9.00%, 7/15/06 2,500,000 2,663,190
Texas Gas Transmissions
8.63%, 4/1/04 2,000,000 2,090,024
Texas Utilities
7.38%, 8/1/01 1,500,000 1,501,056
Washington Water Public
8.01%, 12/17/01 1,000,000 1,005,397
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23,178,627
Total Long-Term Debt Investments: 37.4%
(Cost $319,320,141) 309,685,882
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Managed Fund 3
<PAGE>
Number Market
Common Stock: of Shares Value
----------------------------------------------------------------------------
Aerospace & Defense: 0.2%
----------------------------------------------------------------------------
GenCorp 30,700 $ 245,600
Kellstrom Industries 28,400 131,350
Northrop 16,600 1,099,750
Titan* 6,200 277,450
----------------------------------------------------------------------------
1,754,150
Automobiles & Auto Parts: 0.8%
----------------------------------------------------------------------------
AutoNation* 84,200 594,663
Avis Rent-A-Car* 18,600 348,750
CSX Auto* 11,100 83,944
Dollar Thrifty Automotive* 23,400 431,438
Ford Motor 57,000 2,451,000
General Motors 19,300 1,120,606
Goodrich (B.F.) 22,200 756,188
Navistar International* 17,300 537,381
Polaris Industries 7,100 227,200
Visteon 7,463 90,491
----------------------------------------------------------------------------
6,641,661
Banking, Finance & Insurance: 7.5%
----------------------------------------------------------------------------
Allstate 80,600 1,793,350
AmSouth Bancorporation 60,900 959,175
American General 7,900 481,900
American International Group 6,300 740,250
Americredit* 17,900 304,300
Associates First Capital* 47,800 1,530
Astoria Financial 34,700 893,525
Bank One 36,300 964,219
Bank of America 103,100 4,433,300
BSB Bancorp 29,700 595,856
Capitol Federal Financial 43,800 484,538
Citigroup 151,300 9,115,825
Citizens Bank 25,400 412,353
Comerica 43,800 1,965,525
Commerce Group 10,400 306,800
Dain Rausher 4,700 310,200
Dime Bancorp 41,700 656,775
Dime Community Bancshares 30,000 487,500
Donaldson Lufkin & Jenrette 15,400 653,538
Edwards (A.G.) 60,000 2,340,000
Federal Home Loan 16,100 652,050
Federal National Mortgage 13,100 683,656
Fidelity National Financial 17,047 312,173
Flagstar Bancorp 11,600 94,250
Fleet Boston Financial 47,000 1,598,000
GBC Bancorp 5,700 166,725
Harbor Florida Bancshares 27,400 285,988
Hartford Financial Services 11,200 626,500
Hudson United Bancorp 28,800 646,200
Lehman Brothers Holdings 25,300 2,392,431
Loews 16,500 990,000
Marsh & McLennan 6,700 699,731
Merrill Lynch 38,100 4,381,500
Metris 31,500 791,438
Morgan (J.P.) 26,200 2,885,275
Morgan Stanley Dean Witter 35,100 2,922,075
Old Republic International 39,300 648,450
Paine Webber Group 73,900 3,362,450
PNC Financial Group 19,900 932,813
Provident Bankshares 13,230 178,605
Queens County Bancorp 14,400 265,500
Raymond James Financial 22,000 495,000
RenaissanceRe Holdings 18,500 805,906
Roslyn Bancorp 35,775 594,200
Santander Bancorp 19,800 252,450
SEI 48,600 1,934,888
SLM Holding 36,300 1,358,981
Southwest Securities Group 3,600 134,100
St. Paul 16,000 546,000
Susquehanna Bancshares 9,600 136,800
Triad Guaranty* 9,200 211,025
Unionbancal 59,800 1,110,038
Washington Mutual 39,400 1,137,675
----------------------------------------------------------------------------
62,133,332
Number Market
Building & Materials: 0.5% of Shares Value
----------------------------------------------------------------------------
Beazer Homes USA* 16,800 $ 306,600
Centex Construction Products 6,500 147,469
D.R. Horton 30,000 406,875
M.D.C. Holdings 23,100 430,238
National R.V. Holdings* 13,000 136,500
Nortek* 12,400 244,900
NVR* 11,900 678,300
Pulte 15,000 324,375
Standard Pacific 54,700 547,000
Toll Brothers* 12,600 258,300
USG 28,900 877,838
----------------------------------------------------------------------------
4,358,395
Cable, Media & Publishing: 2.1%
----------------------------------------------------------------------------
24/7 Media* 8,500 132,813
ACTV* 8,400 125,475
Donnelley & Sons 75,100 1,694,444
Dow Jones 27,000 1,977,750
Grey Advertising 600 312,000
Hollinger International 34,400 468,700
InterPublic Group 17,100 735,300
Knight-Ridder 36,500 1,941,344
Macrovision* 2,500 159,805
McGraw-Hill 48,000 2,592,000
New York Times 88,400 3,491,800
Omnicom Group 21,600 1,923,750
Pegasus Communications* 4,400 215,875
Scholistic* 7,300 446,213
Time Warner 8,500 646,000
Wallace Computer Services 41,300 407,838
Zomax* 6,600 86,625
----------------------------------------------------------------------------
17,357,732
Chemicals: 0.6%
----------------------------------------------------------------------------
Avery Dennison* 7,900 530,288
Cambrex 7,100 319,500
Dow Chemical 76,500 2,309,344
Ethyl 136,000 340,000
Lubrizol 15,200 319,200
Millenium Chemicals 22,800 387,600
Omnova Solutions 34,000 212,500
Pioneer Natural Resources* 33,600 428,400
Quaker Chemical 23,600 410,050
----------------------------------------------------------------------------
5,256,882
Computers & Technology: 11.3%
----------------------------------------------------------------------------
3Com* 23,400 1,348,425
Adobe Systems 6,000 780,000
About.com* 3,500 110,250
Advanced Digital Information* 9,600 153,000
America Online* 88,500 4,668,375
American Management Systems* 24,500 804,289
Ancor Communications* 4,800 171,675
Apple Computer* 27,800 1,456,025
Aspen Technology* 5,600 215,600
Autobytel.com* 18,500 113,891
Autodesk 11,800 409,313
Automatic Data Processing 39,400 2,110,363
Avant* 20,000 374,688
Avtoration* 14,900 109,888
Axent Technologies* 10,500 260,531
Barra* 6,500 322,156
BEA Systems* 11,400 563,588
Bell & Howell* 11,700 283,725
Black Box* 6,400 506,700
BMC Software* 14,000 510,781
BroadVision* 16,500 838,406
Caci International* 15,800 308,100
Cisco Systems* 207,700 13,201,931
CMGI* 9,600 439,800
Compaq Computer 56,500 1,444,281
Computer Associates International 45,800 2,344,388
Cypress Semiconductor* 17,200 726,700
Dallas Semiconductor 7,700 313,775
Dell Computer* 55,000 2,712,188
Digital River* 9,400 72,263
Managed Fund 4
<PAGE>
Number Market
Computers & Technology (Cont.) of Shares Value
----------------------------------------------------------------------------
Electronic Data Systems 16,100 $ 664,125
EMC* 54,400 4,185,400
Emulex* 2,800 183,925
FactSet Research Systems 8,600 242,950
Fair Isacc 4,100 180,400
First Data 46,800 2,322,450
Go2net* 4,200 211,313
Henry(Jack) & Associates 3,300 165,413
Hewlett-Packard 26,300 3,284,213
HNC Software* 4,100 253,175
Imation* 9,500 279,063
Infocure* 21,400 120,375
InFocus* 5,400 173,813
Informix* 28,900 214,944
Infospace.com* 9,400 519,350
International Business Machine 67,300 7,373,556
ISS Group* 1,600 157,975
Kopin* 2,000 138,500
Macromedia* 10,900 1,053,894
Maxtor* 20,000 211,250
Mercury Interactive* 7,000 677,250
Micromuse* 1,800 297,872
Micron Technology* 7,700 678,081
Micros Systems* 4,900 90,956
Microsoft* 100,900 8,072,000
Microstrategy* 6,600 198,000
Midway Games* 16,900 136,256
National Computer Systems 9,700 477,725
Nvidia* 5,800 368,663
Oracle* 72,900 6,128,156
PE - Celera Genomics Group* 4,100 383,350
PerkinElmer 23,800 1,573,775
Phoenix Technologies* 8,700 141,919
Priceline.com* 10,700 406,433
Progress Software* 8,800 157,850
Rare Medium Group* 6,400 101,200
Remedy* 4,100 228,575
RSA Security* 3,300 228,525
Sandisk* 5,900 361,006
Siebel Systems* 3,900 637,894
Sun Microsystems* 59,100 5,374,406
Sunquest Information Systems* 20,600 221,450
Sybase* 18,600 427,800
Symantec* 7,600 409,925
Telxon* 10,000 178,750
Teradyne* 7,600 558,600
THQ* 10,700 130,406
Travelocity.com* 7,600 124,450
VeriSign* 4,085 721,003
Veritas Software* 8,500 960,633
Verticalnet* 6,500 240,094
WebMethods* 4,500 707,344
Western Digital* 26,200 131,000
Wind River Systems* 2,900 109,838
Xerox 49,800 1,033,350
Xircom* 5,100 242,250
Yahoo* 9,700 1,201,588
----------------------------------------------------------------------------
93,729,552
Consumer Products: 0.7%
----------------------------------------------------------------------------
Avon Products 18,100 805,450
Brady 16,000 520,000
Church & Dwight 9,000 162,000
Kimberly-Clark 33,900 1,945,013
Minnesota Mining & Manufacturing 17,800 1,468,500
Pennzoil-Quaker State 15,700 189,381
Tupperware 15,500 341,000
----------------------------------------------------------------------------
5,431,344
Electronics & Electrical Equipment: 7.7%
----------------------------------------------------------------------------
Advanced Micro Devices 15,200 1,174,200
Agilent Technologies* 9,725 717,219
Amkor Technologies* 11,200 395,500
Amphenol Class A* 4,500 297,844
Anadigics* 2,800 95,375
Analog Devices* 10,700 813,200
Applied Materials* 28,200 2,555,625
Arrow Electronics* 16,000 496,000
Number Market
Electronics & Electrical Equipment (Cont.) of Shares Value
----------------------------------------------------------------------------
Atmel* 11,800 $ 435,125
AVNET 11,000 651,750
AVX* 20,200 463,338
Broadcom-Class A* 6,700 1,466,881
C-Cube Microsystems* 6,300 123,638
Cable Design Technologies* 7,700 257,950
Coherent* 2,100 176,138
Conexant Systems* 10,200 495,975
Corning 10,500 2,833,688
Cree* 2,900 387,150
Credence Systems* 7,800 430,463
CTS 7,600 342,000
Eaton 8,000 536,000
Electro Scientific Industries* 7,400 325,831
FirstEnergy 24,200 565,675
Fisher Scientific International* 3,700 91,575
General Electric 252,900 13,403,700
Harmonic Lightwaves* 4,990 123,503
Integrated Device Technologies* 14,700 880,163
Intel 106,500 14,237,719
International Rectifier* 11,700 655,200
JDS Uniphase* 14,800 1,774,150
Kemet* 18,600 466,163
Kulicke & Soffa Industries* 6,400 380,000
Lam Research* 15,000 562,500
LSI Logic* 8,400 454,650
LTX* 7,800 272,513
Motorola 113,600 3,301,500
National Semiconductor* 11,600 658,300
PMC - Sierra* 3,500 621,906
Polaroid 34,500 623,156
Rogers* 5,600 196,000
Salton* 4,900 180,688
Sanmina* 5,740 490,770
Sawtek* 4,100 236,006
Sensormatic Electronics* 13,600 215,050
Silicon Valley Group* 6,100 157,838
Technitrol 4,300 416,563
Tektronix* 3,100 229,400
Texas Instruments* 62,600 4,299,838
Trimble Navigation Limited* 4,500 219,656
TriQuint Semiconductor* 3,800 363,613
Varian* 6,800 313,650
Varian Semiconductor Equipment* 4,700 295,219
Vishay Intertechnology* 14,250 540,609
Whirlpool 19,000 885,875
----------------------------------------------------------------------------
63,584,038
Energy: 3.4%
----------------------------------------------------------------------------
BP Amoco 48,800 2,760,250
Chevron 15,000 1,272,188
Enron 10,300 664,350
Exxon Mobil 98,100 7,700,850
Gulf Island Fabrication* 13,900 236,300
Helmerich & Payne 8,900 332,638
Houston Exploration* 17,700 444,713
HS Resources* 7,900 237,000
Kerr-McGee 18,000 1,060,875
Mitchell Energy & Development - Class A 8,700 279,488
Murphy Oil 12,400 737,025
Northwest Natural Gas 28,200 630,975
Occidental Petroleum 98,800 2,080,975
Pogo Producing 11,700 258,863
Royal Dutch Petroleum 52,500 3,232,031
Stone Energy* 8,700 519,825
Sunoco 18,000 529,875
Texaco 72,800 3,876,600
USX-Marathon Group 31,700 794,481
Valero Energy 13,300 422,275
Vintage Petroleum 10,800 243,675
Western Gas Resources 6,400 134,400
----------------------------------------------------------------------------
28,449,652
Food, Beverage & Tobacco: 1.8%
----------------------------------------------------------------------------
Canandaigua Brands - Class A* 12,400 625,425
ConAgra 59,100 1,126,594
Fleming Companies 8,500 111,031
Fortune Brands 60,200 1,388,363
Managed Fund 5
<PAGE>
Number Market
Food, Beverage & Tobacco (Cont.) of Shares Value
----------------------------------------------------------------------------
General Mills 24,100 $ 921,825
Heinz (H.J.) 50,900 2,226,875
Michael Foods 12,000 294,000
Philip Morris 116,900 3,105,156
Quaker Oats 16,100 1,209,513
Ralcorp Holdings* 13,800 169,050
RJ Reynolds Tobacco Holdings 50,500 1,410,844
Ryan's Family Steakhouses* 32,900 277,594
Schweitzer-Mauduit International 47,500 593,750
Suiza Foods* 19,100 933,513
Supervalu 27,400 522,313
Universal 9,000 190,125
----------------------------------------------------------------------------
15,105,971
Healthcare & Pharmaceuticals: 7.0%
----------------------------------------------------------------------------
Abgenix* 1,600 191,775
Affymetrix* 1,700 280,713
Albany Molecular Research* 4,700 255,856
Alkermes* 3,800 179,075
Allergan 10,300 767,350
Alpharma - Class A 8,700 541,575
American Home Products 18,900 1,110,375
Ameripath* 19,900 176,613
Apria Healthcare Group* 12,000 147,000
Baxter International Contigent Value Rights* 93,900 14,672
Bindley Western Industries 29,000 766,688
Boston Scientific* 22,800 500,175
Bristol-Myers Squibb 92,800 5,405,600
Cardinal Health 42,300 3,130,200
Celgene* 4,100 241,388
Cephalon* 6,300 377,213
COR Therapeutics* 2,000 170,625
Corixa* 4,600 197,513
Enzo Biochem* 3,800 262,200
Genzyme-General Division* 9,300 552,769
Gilead Sciences* 3,600 256,050
HCA - The Healthcare Company 45,400 1,379,025
Hooper Holmes 12,600 100,800
Human Genome Sciences* 3,100 413,463
Idec Pharmaceuticals* 4,300 504,444
ImClone Systems* 1,500 114,656
Incyte Pharmaceuticals* 2,800 230,125
Johnson & Johnson 54,300 5,531,813
Jones Pharma 9,600 383,400
King US* 9,900 434,363
Lilly (Eli) 32,600 3,255,925
Mallinckrodt 27,800 1,207,563
Matria Healthcare* 30,900 141,947
MedQuist* 8,600 292,400
Medicis Pharmaceutical Class A* 10,700 609,900
Merck 111,200 8,520,700
Milleniun Pharmacueticals* 5,400 604,125
NBTY* 20,000 127,500
Ocular Sciences* 12,500 146,875
Pfizer* 241,950 11,613,600
Prime Medical Services* 20,600 159,650
Protein Design Labs* 1,600 263,925
Schering-Plough 97,100 4,903,550
Spacelabs Medical* 10,000 112,500
Syncor International Corp-Del* 4,300 309,600
The Cooper Companies 7,500 272,813
Varian Associates 8,900 348,213
Vertex Pharmaceuticals 2,500 263,438
----------------------------------------------------------------------------
57,771,738
Industrial Machinery: 0.6%
----------------------------------------------------------------------------
Advanced Energy Industries* 3,300 194,494
Asyst Technologies* 4,800 164,400
Cascade* 39,400 470,338
Danaher 14,000 692,125
Dover 24,500 993,781
PRI Automation* 3,300 215,789
Smith (A.O.) 24,700 517,156
SPX* 6,000 725,625
Timken* 39,800 741,275
Trinity Industries 10,000 185,000
Zebra Technologies Class A* 6,900 305,756
----------------------------------------------------------------------------
5,205,739
Number Market
Leisure, Lodging & Entertainment: 0.6% of Shares Value
----------------------------------------------------------------------------
Callaway Golf 13,800 $ 225,113
Carnival Cruise Lines 41,100 801,450
Eastman Kodak 22,700 1,350,650
Jack in the Box* 21,000 517,125
Topps* 40,000 460,000
Walt Disney 35,700 1,385,606
----------------------------------------------------------------------------
4,739,944
Metals & Mining: 0.3%
----------------------------------------------------------------------------
Amcol International 18,500 305,250
Barnes Group* 19,500 318,094
Commercial Metals 21,700 596,750
Terex* 12,800 180,800
US Can* 8,700 151,163
USX-U.S. Steel Group 27,800 516,038
Worthington Industries 24,300 255,150
----------------------------------------------------------------------------
2,323,245
Miscellaneous: 0.5%
----------------------------------------------------------------------------
Advo* 20,600 865,200
Diamond Technology Partners* 1,900 167,200
Kelly Services 10,000 231,250
Manpower 13,500 432,000
Mettler-Toledo International* 3,700 148,000
Millipore* 10,000 753,750
Navigant Consulting* 24,200 102,850
Plexus* 2,300 259,900
Teletech Holdings* 4,100 127,356
United Stationers 4,500 145,688
URS* 23,300 326,200
Young & Rubicam 9,800 560,438
----------------------------------------------------------------------------
4,119,832
Packaging & Containers: 0.0%
----------------------------------------------------------------------------
Graphic Packaging International* 34,200 72,675
----------------------------------------------------------------------------
Paper & Forest Products: 0.2%
----------------------------------------------------------------------------
Georgia-Pacific 22,000 577,500
Temple-Inland 13,700 575,400
Weyerhaeuser 16,700 718,100
----------------------------------------------------------------------------
1,871,000
Real Estate: 0.4%
----------------------------------------------------------------------------
Boykin Lodging 27,100 365,850
Brandywine Realty Trust 9,300 177,863
Center Trust 22,500 113,906
Equity Inns 45,100 276,238
Glimcher Realty Trust 25,200 362,250
Health Care REIT 8,500 138,125
Healthcare Realty Trust 18,800 320,775
Hospitality Properties Trust 17,000 383,563
Macerich 21,300 469,931
National Health Investors 28,400 312,400
Security Capital Group-B* 23,700 402,900
US Restaurant Properties 19,300 172,494
----------------------------------------------------------------------------
3,496,295
Retail: 2.2%
----------------------------------------------------------------------------
Albertson's 37,200 1,236,900
Best Buy* 9,000 569,250
Charming Shoppes* 45,900 233,803
Children's Place* 6,200 127,100
Cost Plus* 6,650 190,772
Family Dollar Stores 50,000 978,125
Fossil* 13,650 265,322
Great Atlantic & Pacific Tea 12,500 207,813
Home Depot 60,200 3,006,238
Insight Enterprises* 6,850 406,291
Lowe's 38,100 1,564,481
Petco Animal Supplies* 11,100 217,838
Radioshack 11,500 544,813
Russ Berrie 21,400 411,950
Sears, Roebuck 19,700 642,713
Sherwin-Williams 32,400 686,475
Tiffany 19,400 1,309,500
TJX 68,300 1,280,625
Wal-Mart Stores 77,200 4,448,650
----------------------------------------------------------------------------
18,328,659
Managed Fund 6
<PAGE>
Number Market
Telecommunications: 5.6% of Shares Value
----------------------------------------------------------------------------
ADC Telecommunications* 10,200 $ 855,525
Adtran* 3,100 185,613
Advanced Fibre Communications* 5,000 226,563
Andrew* 10,000 335,625
AT&T 124,000 3,921,500
Bell Atlantic 81,000 4,115,813
BellSouth 130,400 5,558,300
Brightpoint* 11,300 97,816
Commscope* 8,400 344,400
Copper Mountain Networks* 6,500 572,813
CT Communications 7,700 218,969
Dycom* 10,025 461,150
Exodus Communications* 11,400 525,113
Global Crossing Limited 3,791 99,751
GTE 58,300 3,629,175
Harris 24,000 786,000
ICG Communications* 5,200 114,725
Interdigital Communications* 6,700 110,969
Intermedia Communications* 7,100 211,225
Leap Wireless* 3,400 159,800
Lucent Technologies 105,800 6,268,650
MRV Communications* 3,800 255,550
Nextlink Communications-A* 8,236 312,435
Nortel Networks 27,500 1,876,875
Plantronics* 4,200 485,100
Powertel* 6,700 475,281
Powerwave Technoloies* 3,600 158,400
Proxim* 1,900 188,041
Qualcomm* 20,200 1,212,000
SBC Communications 158,100 6,837,825
Scientic-Atlanta 7,600 566,200
Sprint 9,200 469,200
Terayon* 3,400 218,397
Transwitch* 2,500 192,969
True North Communications 9,000 396,000
U.S.West 22,900 1,963,675
Worldcom* 49,700 2,279,988
World Access* 9,700 107,306
----------------------------------------------------------------------------
46,794,737
Textiles, Apparel & Furniture: 0.3%
----------------------------------------------------------------------------
Furniture Brands International 14,100 213,210
Johnson Controls 30,000 1,539,375
Phillips - Van Heusen 20,000 190,000
Springs Industries - Class A 12,900 415,219
----------------------------------------------------------------------------
2,357,804
Transportation & Shipping: 0.8%
----------------------------------------------------------------------------
Alexander & Baldwin 20,300 447,869
America West Holdings-Class B* 21,500 368,188
American Freightways* 9,400 136,300
Canadian National Railway 17,400 507,863
Canadian Pacific 49,200 1,288,425
C.H.Robinson Worldwide 4,600 227,700
Delta Air Lines 25,200 1,274,175
Landstar Systems* 8,800 524,150
UAL 29,000 1,687,438
US Freightways 5,700 140,006
----------------------------------------------------------------------------
6,602,114
Utilities: 1.2%
----------------------------------------------------------------------------
Cascade Natural Gas 9,300 155,194
Energy East 61,900 1,179,969
General Public Utilities 40,100 1,085,206
Northwestern 18,300 423,188
Otter Tail Power 25,700 539,700
PG&E 73,400 1,807,475
PPL 28,500 625,219
Public Service Company of New Mexico 26,300 406,006
Public Service Enterprise Group 19,000 657,875
Puget Sound Energy 46,100 982,506
Reliant Energy 20,300 600,119
RGS Energy Group 25,600 569,600
Sierra Pacific Resources 9,400 118,088
TXU 25,200 743,400
UGI 10,300 211,150
----------------------------------------------------------------------------
10,104,695
Number Market
of Shares Value
----------------------------------------------------------------------------
Total Common Stock: 56.4%
(Cost $357,925,142) $467,591,186
----------------------------------------------------------------------------
Par
Money Market Instruments: Amount
----------------------------------------------------------------------------
Alltel
6.55%, 7/5/00 $6,800,000 6,795,066
Associates Corp North America
6.85%, 7/3/00 2,000,000 2,000,000
Corporate Asset Funding
6.63%, 8/7/00 3,800,000 3,774,380
Flour
6.75%, 7/26/00 5,000,000 4,976,701
Gillette
7.03%, 7/5/00 3,100,000 3,100,000
Goldman Sachs
6.58%, 7/10/00 10,900,000 10,882,179
International Lease Finance
6.62%, 7/5/00 2,800,000 2,800,000
Salomon Smith Barney Holding
6.63%, 8/7/00 2,900,000 2,880,448
Sara Lee
6.59%, 7/19/00 7,000,000 7,000,000
U.S. Treasury Bill (+)
4.69%, 7/20/00 620,000 618,440
U.S. Treasury Bill (+)
5.72%, 8/10/00 1,910,000 1,898,030
----------------------------------------------------------------------------
Total Money Market Instruments: 5.6%
(Cost $46,725,244) 46,725,244
----------------------------------------------------------------------------
Total Investments: 99.4%
(Cost $723,970,527) 824,002,312
----------------------------------------------------------------------------
Other Assets Over Liabilities: 0.6% 5,023,037
----------------------------------------------------------------------------
Net Assets: 100.0%
(Equivalent to $17.870 per share based on
46,392,456 shares issued and outstanding) $829,025,349
----------------------------------------------------------------------------
Components of Net Assets at June 30, 2000:
----------------------------------------------------------------------------
Common Stock, $.01 par value
100,000,000 authorized shares $ 463,925
Paid in capital in excess of par value
of shares issued 630,337,195
Undistributed net investment income 14,530,170
Accumulated net realized gain on
investments and futures contracts 83,543,177
Net unrealized appreciation of
investments and futures contracts 100,150,882
----------------------------------------------------------------------------
Total Net Assets $829,025,349
----------------------------------------------------------------------------
* Non-income producing security.
(1) Step-up Bond
(+) Fully or Partially pledged as collateral for open futures contracts.
See accompanying notes to financial statements.
Managed Fund 7
<PAGE>
Lincoln National Managed Fund, Inc.
Statement of Operations - Unaudited
Six months ended June 30, 2000
Investment income:
Interest $12,871,008
--------------------------------------------------------------------------
Dividends 3,501,009
--------------------------------------------------------------------------
Total investment income 16,372,017
--------------------------------------------------------------------------
Expenses:
Management fees 1,551,487
--------------------------------------------------------------------------
Accounting fees 178,358
--------------------------------------------------------------------------
Printing and postage 61,361
--------------------------------------------------------------------------
Legal fees 14,935
--------------------------------------------------------------------------
Custody fees 7,867
--------------------------------------------------------------------------
Directors fees 2,100
--------------------------------------------------------------------------
Other 33,606
--------------------------------------------------------------------------
1,849,714
--------------------------------------------------------------------------
Expenses paid indirectly (7,867)
--------------------------------------------------------------------------
Total expenses 1,841,847
--------------------------------------------------------------------------
Net investment income 14,530,170
--------------------------------------------------------------------------
Net realized and unrealized gain (loss)
on investments and futures contracts:
Net realized gain (loss) on:
Investment transactions 90,232,308
--------------------------------------------------------------------------
Futures contracts (3,106,219)
--------------------------------------------------------------------------
Net realized gain on investment transactions and
future contracts 87,126,089
--------------------------------------------------------------------------
Net change in unrealized appreciation/depreciation of
investments and futures contracts (97,728,840)
--------------------------------------------------------------------------
Net realized and unrealized loss on investments and
futures contracts (10,602,751)
--------------------------------------------------------------------------
Net increase in net assets resulting from operations $ 3,927,419
--------------------------------------------------------------------------
Statements of Changes in Net Assets
<TABLE>
<CAPTION>
Six months
ended
6/30/00 Year ended
(Unaudited) 12/31/99
-------------------------------
<S> <C> <C>
Changes from operations:
Net investment income $ 14,530,170 $ 30,476,453
-----------------------------------------------------------------------------------------
Net realized gain on investments and futures contracts 87,126,089 45,090,602
-----------------------------------------------------------------------------------------
Net change in unrealized appreciation/depreciation
of investments and future contracts (97,728,840) (6,367,364)
-----------------------------------------------------------------------------------------
Net increase in net assets resulting from operations 3,927,419 69,199,691
-----------------------------------------------------------------------------------------
Distributions to shareholders from:
Net investment income (3,289,188) (27,187,265)
-----------------------------------------------------------------------------------------
Net realized gain on investments (47,931,589) (44,522,215)
-----------------------------------------------------------------------------------------
Total distributions to shareholders (51,220,777) (71,709,480)
-----------------------------------------------------------------------------------------
Net decrease in net assets
resulting from capital share transactions (51,253,735) (35,403,805)
-----------------------------------------------------------------------------------------
Total decreasein net assets (98,547,093) (37,913,594)
-----------------------------------------------------------------------------------------
Net Assets, at beginning of period 927,572,442 965,486,036
-----------------------------------------------------------------------------------------
Net Assets, at end of period $829,025,349 $927,572,442
-----------------------------------------------------------------------------------------
</TABLE>
See accompanying notes to financial statements.
Managed Fund 8
<PAGE>
Lincoln National Managed Fund, Inc.
Financial Highlights
(Selected data for each capital share outstanding throughout each period)
<TABLE>
<CAPTION>
Six months
ended
6/30/00 Year ended December 31,
(Unaudited) 1999 1998 1997 1996 1995
------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period $ 18.910 $ 18.971 $ 19.304 $ 16.266 $ 15.895 $ 12.783
Income (loss) from investment operations:
Net investment income 0.321 0.622 0.599 0.661 0.628 0.623
Net realized and unrealized gain
on investments 2.234 0.767 1.632 2.811 1.291 3.132
------------------------------------------------------------------
Total from investment operations 2.555 1.389 2.231 3.472 1.919 3.755
------------------------------------------------------------------
Less dividends and distributions:
Dividends from net investment income (0.075) (0.552) (1.162) - (0.628) (0.623)
Distributions from net realized gain on
investment transactions (3.520) (0.898) (1.402) (0.434) (0.920) (0.020)
------------------------------------------------------------------
Total dividends and distributions (3.595) (1.450) (2.564) (0.434) (1.548) (0.643)
------------------------------------------------------------------
Net asset value, end of period $ 17.870 $ 18.910 $ 18.971 $ 19.304 $ 16.266 $ 15.895
------------------------------------------------------------------
Total Return(1) 0.67% 7.75% 12.72% 21.82% 12.05% 29.29%
Ratios and supplemental data:
Ratio of expenses to average net assets 0.45%(2) 0.42% 0.42% 0.42% 0.43% 0.43%
Ratio of net investment income
to average net assets 3.51%(2) 3.25% 3.31% 3.77% 4.05% 4.37%
Portfolio Turnover 28.01% 44.79% 57.36% 53.40% 108.86 % 112.52%
Net assets, end of period (000 omitted) $829,025 $927,572 $965,486 $850,646 $675,740 $589,165
</TABLE>
(1) Total return percentages in this table are calculated on the basis
prescribed by the Securities and Exchange Commission. These percentages are
based on the underlying mutual fund shares. The total return percentages in
the table are NOT calculated on the same basis as the performance
percentages in the letter at the front of this booklet (those percentages
are based upon the change in unit value).
(2) Annualized
See accompanying notes to financial statements.
Managed Fund 9
<PAGE>
Lincoln National Managed Fund, Inc.
Notes to Financial Statements - Unaudited
June 30, 2000
The Fund: Lincoln National Managed Fund, Inc. (the "Fund") is registered as an
open-end, diversified management investment company under the Investment Company
Act of 1940, as amended. The Fund's shares are sold only to Lincoln National
Life Insurance Company and Lincoln National Life Insurance Company of New York
(the "Companies") for allocation to their variable annuity products and variable
universal life products.
The Fund's investment objective is to maximize long-term total return (capital
gains plus income) consistent with prudent investment strategy. The Fund invests
in a mix of stocks, bonds, and money market securities, as determined by an
investment committee.
1. Significant Accounting Policies
Investment Valuation: Securities listed on an exchange are valued at the last
quoted sales price as of the close of the New York Stock Exchange (NYSE) on the
valuation date. Securities not traded or securities not listed on an exchange
are valued at the mean of the last quoted bid and asked prices. Long-term debt
securities are valued by an independent pricing service and such prices are
believed to reflect the fair value of such securities. Money market instruments
having less than 60 days to maturity are valued a amortized cost, which
approximates market value. Other securities and assets for which market
quotations are not readily available are valued at fair market value as
determined in good faith by or under direction of the Funds' Board of Trustees.
Investment Transactions and Investment Income: Investment transactions are
accounted for on the trade date. Dividend income is recorded on the ex-dividend
date and interest income is recorded on the accrual basis and includes
amortization of any premium and discount. Realized gains or losses from
investment transactions are reported on an identified cost basis.
Use of Estimates: The preparation of financial statements in conformity with
accounting principles generally accepted in the United States requires
management to make estimates and assumptions that affect the reported amounts of
assets and liabilities and disclosure of contingent assets and liabilities at
the date of the financial statements and the reported amounts of increases and
decreases in net assets from operations during the reporting period. Actual
results could differ from those estimates.
Expenses: The custodian bank of the Fund has agreed to waive its custodial fees
when the Fund maintains a prescribed amount of cash on deposit in certain
non-interest bearing accounts. For the six months ended June 30, 2000, the
custodial fees offset arrangements and amounted to $7,867.
Taxes: The Fund has complied with the special provisions of the Internal Revenue
Code for regulated investment companies. As such, the Fund is not subject to
U.S. federal income taxes to the extent that it distributes all of its taxable
income for its fiscal year.
2. Management Fees and Other Transactions With Affiliates
Lincoln Investment Management Company ("the Advisor") and its affiliates manage
the Fund's investment portfolio and maintain its accounts and records. For these
services, the Advisor receives a management fee at an annual rate of .48% of the
first $200,000,000 of the average daily net assets of the Fund, .40% of the next
$200,000,000, and .30% of the average daily net assets of the Fund in excess of
$400,000,000. The sub-advisor of the equities held by the Fund, Vantage
Investment Advisors, an affiliate of the Advisor, is paid directly by the
Advisor.
Delaware Service Company ("Delaware"), an affiliate of the Advisor, provides
accounting services and other administration support to the Fund. For these
services, the Fund pays Delaware a monthly fee based on average net assets,
subject to certain minimums.
If the aggregate annual expenses of the Fund, including the management fee, but
excluding taxes, interest, brokerage commissions relating to the purchase or
sale of portfolio securities and extraordinary non-recurring expenses, exceed
1.50% of the average daily net assets of the Fund, the Advisor will reimburse
the Fund in the amount of such excess. No reimbursement was due for the six
months ended June 30, 2000.
Certain officers and directors of the Fund are also officers or directors of the
Companies and receive no compensation from the Fund. The compensation of
unaffiliated directors of the Fund is borne by the Fund.
Managed Fund 10
<PAGE>
Notes to Financial Statements - Unaudited - (Continued)
3. Investments
The cost of investments for federal income tax purposes approximates cost for
book purposes. The aggregate cost of investments purchased and the aggregate
proceeds from investments sold for the six months ended June 30, 2000 and the
aggregate gross unrealized appreciation, the aggregate gross unrealized
depreciation and the net unrealized appreciation at June 30, 2000 are as
follows:
<TABLE>
<CAPTION>
Aggregate Aggregate Gross Gross Net
Cost of Proceeds Unrealized Unrealized Unrealized
Purchases From Sales Appreciation Depreciation Appreciation
-------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
$230,223,719 $355,264,548 $147,170,731 $(47,138,946) $100,031,785
</TABLE>
4. Supplemental Financial Instrument Information
Financial Futures Contracts: The Fund may purchase or sell financial futures
contracts, which are exchange traded. The Fund bears the market risk that arises
from changes in the value of these financial instruments. The Fund deposits with
its custodian a specified amount of cash or eligible securities called "initial
margin". The market value of investments pledged to cover margin requirements
for open positions at June 30, 2000 was $2,516,470. Unrealized gain or loss on
the contracts is reflected in the accompanying financial statements. The Fund is
subject to the market risks of unexpected changes in the underlying markets and
interest rates. Financial futures contracts open at June 30, 2000 were as
follows:
<TABLE>
<CAPTION>
Notional Unrealized
Contracts Cost Amount Expiration Dates Gain (Loss)
----------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
25 S&P 500 Index contracts $ 9,346,163 Sept. 2000 $(170,538)
(135) Russell 2000 Index contracts (35,565,135) Sept. 2000 289,635
---------
$ 119,097
=========
</TABLE>
5. Summary of Changes From Capital Share Transactions
<TABLE>
<CAPTION>
Shares Issued Upon Net Increase (Decrease)
Capital Reinvestment of Capital Shares Resulting From Capital
Shares Sold Dividends Redeemed Share Transactions
-----------------------------------------------------------------------------------------------------------
Shares Amount Shares Amount Shares Amount Shares Amount
-----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Six months ended
June 30, 2000
(Unaudited): 90,791 $ 1,695,734 2,843,861 $51,220,777 (5,595,374) $(104,170,246) (2,660,722) $(51,253,735)
Year ended
December 31, 1999: 573,212 10,677,943 3,925,375 71,709,480 (6,337,945) (117,791,228) (1,839,358) (35,403,805)
</TABLE>
6. Distributions to Shareholders
The Fund declares and distributes dividends on net investment income, if any,
semi-annually. Distributions of net realized gains, if any, are declared and
distributed annually.
Managed Fund 11
